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:_____811-21349________________________

     BlackRock Limited Duration Income Trust     
(Exact name of Registrant as specified in charter)
   
100 Bellevue Parkway, Wilmington, DE 
19809 
(Address of principal executive offices) 
(Zip code) 

Robert S. Kapito, President
BlackRock Limited Duration Income Trust

40 East 52nd Street, New York, NY 10022
(Name and address of agent for service)

Registrant's telephone number, including area code:      888-825-2257                         

Date of fiscal year end:
       October 31, 2006                                                                 

Date of reporting period:     October 31, 2006                                                                


Item 1. Reports to Stockholders.
The Registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:




 

 

 

 

 

 

 

 

 

 

 

ALTERNATIVES

 

BLACKROCK SOLUTIONS

 

EQUITIES

 

FIXED INCOME

 

LIQUIDITY

 

REAL ESTATE


 

 

 

 

 

 

 

BlackRock
Closed-End Funds

(BLACKROCK LOGO)

 

 

 

 

ANNUAL REPORT  |  OCTOBER 31, 2006

 

 

 

 

 

 

 

BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)

BlackRock Core Bond Trust (BHK)

BlackRock High Yield Trust (BHY)

BlackRock Income Opportunity Trust (BNA)

BlackRock Income Trust Inc. (BKT)

BlackRock Limited Duration Income Trust (BLW)

BlackRock Strategic Bond Trust (BHD)

NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE



TABLE OF CONTENTS

 

 

Letter to Shareholders

1

 

 

Trusts’ Summaries

2

 

 

Financial Statements

 

 

 

Portfolios of Investments

9

 

 

Statements of Assets and Liabilities

67

 

 

Statements of Operations

69

 

 

Statements of Cash Flows

71

 

 

Statements of Changes in Net Assets

73

 

 

Financial Highlights

76

 

 

Notes to Financial Statements

83

 

 

Report of Independent Registered Public Accounting Firm

96

 

 

Directors/Trustees Information

97

 

 

Dividend Reinvestment Plans

100

 

 

Additional Information

101

 

 

Investment Management Agreements

103

 

 

Section 19 Notices

108


BlackRock Privacy Principles

          BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their nonpublic personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

          If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

          BlackRock obtains or verifies personal nonpublic information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our Web sites.

          BlackRock does not sell or disclose to nonaffiliated third parties any nonpublic personal information about its Clients, except as permitted by law or as is necessary to service Client accounts. These nonaffiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

          We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to nonpublic personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the nonpublic personal information of its Clients, including procedures relating to the proper storage and disposal of such information.



LETTER TO SHAREHOLDERS

October 31, 2006

Dear Shareholder:

          We are pleased to report that during the annual period, the Trusts provided the opportunity to invest in various portfolios of fixed income securities. This report contains the Trusts’ audited financial statements and a listing of the Trusts’ holdings.

          The portfolio management team continuously monitors the fixed income markets and adjusts the Trust investments in order to gain exposure to various issuers and security types. This strategy enables the Trusts to move among different sectors, credits and coupons to capitalize on changing market conditions.

          The following table shows the Trusts’ yields, closing market prices per share and net asset values (“NAV”) per share as of October 31, 2006.

 

 

 

 

 

 

 

 

 

 

 

 


Trust

 

 

Yield1

 

Market Price

 

NAV

 


BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)

 

 

5.97

%

 

$

15.08

 

$

13.79

 


BlackRock Core Bond Trust (BHK)

 

 

6.25

 

 

 

12.86

 

 

13.82

 


BlackRock High Yield Trust (BHY)

 

 

7.88

 

 

 

  7.77

 

 

  7.85

 


BlackRock Income Opportunity Trust (BNA)

 

 

6.24

 

 

 

10.58

 

 

11.17

 


BlackRock Income Trust Inc. (BKT)

 

 

6.13

 

 

 

  6.07

 

 

  6.48

 


BlackRock Limited Duration Income Trust (BLW)

 

 

7.96

 

 

 

18.85

 

 

19.01

 


BlackRock Strategic Bond Trust (BHD)

 

 

7.19

 

 

 

12.85

 

 

13.83

 


 

 

1

Yield is based on closing market price. Past performance does not guarantee future results. These yields may increase/decrease due to an increase/decrease in the monthly distribution per share.

          On September 29, 2006, BlackRock, Inc. (“BlackRock”) and Merrill Lynch Investment Managers united to form one of the largest asset management firms in the world. Now with more than $1 trillion in assets under management, over 4,500 employees in 18 countries and representation in key markets worldwide, BlackRock’s global presence means greater depth and scale to serve you.

          BlackRock, a world leader in asset management, has a proven commitment to managing fixed income securities. As of September 30, 2006, BlackRock managed $448 billion in fixed income securities, including 37 open-end and 94 closed-end bond funds. BlackRock is recognized for its emphasis on risk management and proprietary analytics and for its reputation managing money for the world’s largest institutional investors. BlackRock Advisors, LLC, and its affiliate, BlackRock Financial Management, Inc., which manage the Trusts, are wholly owned subsidiaries of BlackRock, Inc.

          At a Meeting that occurred on November 21, 2006, the Board of Trustees of BNA approved an amendment to BNA’s Dividend Reinvestment Plan (the “Plan”). The amendment to the Plan is described under “Dividend Reinvestment Plans”.

          On behalf of BlackRock, we thank you for your continued confidence and assure you that we remain committed to excellence in managing your assets.

Sincerely,

 

 

-s- Laurence D. Fink

-s- Ralph L. Schlosstein

 

 

Laurence D. Fink

Ralph L. Schlosstein

Chief Executive Officer

President

BlackRock Advisors, LLC

BlackRock Advisors, LLC

1


TRUST SUMMARIES
OCTOBER 31, 2006

 

 

BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)

 

Trust Information

 

 

 

 

 


Symbol on American Stock Exchange:

 

BCT

 


Initial Offering Date:

 

June 17, 1993

 


Closing Market Price as of 10/31/06:

 

$

15.08

 


Net Asset Value as of 10/31/06:

 

$

13.79

 


Yield on Closing Market Price as of 10/31/06 ($15.08):1

 

 

  5.97%

 


Current Monthly Distribution per Share:2

 

$

0.075

 


Current Annualized Distribution per Share:2

 

$

0.900

 


 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 


 

10/31/06

10/31/05

Change

High

Low


Market Price

$15.08

$15.86

(4.92)%

$15.86

$14.75


NAV

$13.79

$14.63

(5.74)%

$14.65

$13.77


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

Portfolio Composition

 

 

 

 

 

 

 

 


Composition

 

 

October 31, 2006

 

October 31, 2005


U.S. Government and Agency Securities

 

 

30

%

 

46

%


Agency Multiple Class Mortgage Pass-Through Securities

 

 

28

 

 

16

 


Corporate Bonds

 

 

14

 

 

18

 


Taxable Municipal Bonds

 

 

11

 

 

9

 


Inverse Floating Rate Mortgage Securities

 

 

8

 

 

4

 


Interest Only Mortgage-Backed Securities

 

 

7

 

 

6

 


Mortgage Pass-Through Securities

 

 

2

 

 

1

 


2



 

 

TRUST SUMMARIES
OCTOBER 31, 2006

 

BlackRock Core Bond Trust (BHK)

 


Trust Information

 

 

 

 

 

 

 








Symbol on New York Stock Exchange:

 

BHK

 





Initial Offering Date:

 

November 27, 2001

 





Closing Market Price as of 10/31/06:

 

 

$

12.86

 

 








Net Asset Value as of 10/31/06:

 

 

$

13.82

 

 








Yield on Closing Market Price as of 10/31/06 ($12.86):1

 

 

 

6.25

%

 








Current Monthly Distribution per Share:2

 

 

$

0.067

 

 








Current Annualized Distribution per Share:2

 

 

$

0.804

 

 








 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

















 

 

10/31/06

 

10/31/05

 

Change

 

High

 

Low

 













Market Price

 

$12.86

 

$13.69

 

(6.06

)%

 

$13.85

 

$11.94

 


















NAV

 

$13.82

 

$14.27

 

(3.15

)%

 

$14.36

 

$13.12

 


















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

Portfolio Composition

 

 

 

 

 

 

 

 









Composition

 

October 31, 2006

 

October 31, 2005

 







Corporate Bonds

 

58

%

 

42

%

 









Mortgage Pass-Through Securities

 

10

 

 

15

 

 









Agency Multiple Class Mortgage
Pass-Through Securities

 

8

 

 

 

 









Asset-Backed Securities

 

8

 

 

1

 

 









Commercial Mortgage-Backed Securities

 

6

 

 

6

 

 









U.S. Government and Agency Securities

 

5

 

 

31

 

 









Non-Agency Multiple Class Mortgage
Pass-Through Securities

 

2

 

 

 

 









Interest Only Asset-Backed Securities

 

1

 

 

 

 









Interest Only Mortgage-Backed Securities

 

1

 

 

1

 

 









Foreign Government Bonds

 

1

 

 

2

 

 









Collateralized Mortgage Obligation Securities

 

 

 

2

 

 










Corporate Credit Breakdown3

 

 

 

 

 

 

 

 









Credit Rating

 

October 31, 2006

 

October 31, 2005

 







AAA/Aaa

 

7

%

 

5

%

 









AA/Aa

 

26

 

 

25

 

 









A

 

10

 

 

13

 

 









BBB/Baa

 

17

 

 

13

 

 









BB/Ba

 

12

 

 

12

 

 









B

 

23

 

 

23

 

 









CCC/Caa

 

5

 

 

6

 

 









Not Rated

 

 

 

3

 

 










 

 


3

Using the highest of Standard & Poor’s (“S&P’s”), Moody’s Investors Service (“Moody’s”) or Fitch Rating (“Fitch’s”) ratings. Corporate bonds represented approximately 58.3% and 53.3% of net assets on October 31, 2006 and 2005, respectively.

3


 

 

TRUST SUMMARIES
OCTOBER 31, 2006

 

BlackRock High Yield Trust (BHY)

 


Trust Information

 

 

 

 

 

 

 





Symbol on New York Stock Exchange:

 

BHY

 





Initial Offering Date:

 

December 23, 1998

 





Closing Market Price as of 10/31/06:

 

 

$

7.77

 

 








Net Asset Value as of 10/31/06:

 

 

$

7.85

 

 








Yield on Closing Market Price as of 10/31/06 ($7.77):1

 

 

 

7.88

%

 








Current Monthly Distribution per Share:2

 

 

$

0.051

 

 








Current Annualized Distribution per Share:2

 

 

$

0.612

 

 








 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















 

 

10/31/06

 

10/31/05

 

Change

 

High

 

Low

 


















Market Price

 

$7.77

 

$7.36

 

5.57

%

 

$8.89

 

$7.08

 


















NAV

 

$7.85

 

$7.48

 

4.95

%

 

$7.85

 

$7.33

 


















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

Corporate Portfolio Composition

 

 

 

 

 

 

 

 









Composition

 

October 31, 2006

 

October 31, 2005

 







Energy

 

16

%

 

19

%

 









Financial Institutions

 

14

 

 

14

 

 









Telecommunications

 

13

 

 

8

 

 









Basic Materials

 

11

 

 

12

 

 









Media

 

11

 

 

7

 

 









Consumer Products

 

6

 

 

7

 

 









Technology

 

5

 

 

5

 

 









Entertainment & Leisure

 

4

 

 

3

 

 









Aerospace & Defense

 

3

 

 

3

 

 









Automotive

 

3

 

 

2

 

 









Building & Development

 

3

 

 

3

 

 









Containers & Packaging

 

3

 

 

2

 

 









Health Care

 

3

 

 

4

 

 









Industrials

 

3

 

 

6

 

 









Transportation

 

2

 

 

3

 

 









Ecological Services & Equipment

 

 

 

1

 

 









Real Estate

 

 

 

1

 

 










Corporate Credit Breakdown3

 

 

 

 

 

 

 

 









Credit Rating

 

October 31, 2006

 

October 31, 2005

 







BBB/Baa

 

3

%

 

3

%

 









BB/Ba

 

26

 

 

32

 

 









B

 

55

 

 

51

 

 









CCC/Caa

 

12

 

 

14

 

 









C

 

2

 

 

 

 









Not Rated

 

2

 

 

 

 










 

 


3

Using the highest of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 128.9% and 133.8% of net assets on October 31, 2006 and 2005, respectively.

4



 

 

TRUST SUMMARIES
OCTOBER 31, 2006

 

BlackRock Income Opportunity Trust (BNA)

 


Trust Information

 

 

 

 

 

 

 








Symbol on New York Stock Exchange:

 

BNA

 





Initial Offering Date:

 

December 20, 1991

 





Closing Market Price as of 10/31/06:

 

 

$

10.58

 

 








Net Asset Value as of 10/31/06:

 

 

$

11.17

 

 








Yield on Closing Market Price as of 10/31/06 ($10.58):1

 

 

 

6.24

%

 








Current Monthly Distribution per Share:2

 

 

$

0.055

 

 








Current Annualized Distribution per Share:2

 

 

$

0.660

 

 








 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

10/31/06

 

10/31/05

 

Change

 

High

 

Low

 













Market Price

 

$

10.58

 

$

10.90

 

(2.94)%

 

$

11.06

 

$

9.63

 


















NAV

 

$

11.17

 

$

11.56

 

(3.37)%

 

$

11.63

 

$

10.58

 


















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

 

 

 

 

 

 

 

 

Portfolio Composition







Composition

 

October 31, 2006

 

October 31, 2005

 







Corporate Bonds

 

48

%

 

35

%

 









Asset-Backed Securities

 

13

 

 

 

 









Mortgage Pass-Through Securities

 

12

 

 

13

 

 









Agency Multiple Class Mortgage
Pass-Through Securities

 

7

 

 

5

 

 









U.S. Government and Agency Securities

 

7

 

 

37

 

 









Non-Agency Multiple Class Mortgage
Pass-Through Securities

 

6

 

 

1

 

 









Commercial Mortgage-Backed Securities

 

4

 

 

4

 

 









Federal Housing Administration Securities

 

1

 

 

1

 

 









Interest Only Mortgage-Backed Securities

 

1

 

 

1

 

 









Inverse Floating Rate Mortgage Securities

 

1

 

 

1

 

 









Interest Only Asset-Backed Securities

 

 

 

1

 

 









Collateralized Mortgage Obligation Securities

 

 

 

1

 

 










Corporate Credit Breakdown3

 

 

 

 

 

 

 

 







Credit Rating

 

October 31, 2006

 

October 31, 2005

 







AAA/Aaa

 

9

%

 

8

%

 









AA/Aa

 

17

 

 

17

 

 









A

 

10

 

 

9

 

 









BBB/Baa

 

19

 

 

19

 

 









BB/Ba

 

13

 

 

15

 

 









B

 

25

 

 

24

 

 









CCC/Caa

 

6

 

 

6

 

 









Not Rated

 

1

 

 

2

 

 










 

 


3

Using the highest of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 52.1% and 46.6% of net assets on October 31, 2006 and 2005, respectively.

5



 

 

TRUST SUMMARIES
OCTOBER 31, 2006

 

BlackRock Income Trust Inc. (BKT)

 


Trust Information

 

 

 

 

 

 

 





Symbol on New York Stock Exchange:

 

BKT

 





Initial Offering Date:

 

July 22, 1988

 





Closing Market Price as of 10/31/06:

 

 

$

6.07

 

 








Net Asset Value as of 10/31/06:

 

 

$

6.48

 

 








Yield on Closing Market Price as of 10/31/06 ($6.07):1

 

 

 

6.13

%

 








Current Monthly Distribution per Share:2

 

 

$

0.031

 

 








Current Annualized Distribution per Share:2

 

 

$

0.372

 

 








 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

10/31/06

 

10/31/05

 

Change

 

High

 

Low

 













Market Price

 

$ 6.07

 

$ 5.90

 

 2.88%

 

$ 6.52

 

$ 5.86

 


















NAV

 

$ 6.48

 

$ 6.54

 

(0.92)%

 

$ 6.57

 

$ 6.36

 


















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

Portfolio Composition

 

 

 

 

 

 

 

 







Composition

 

October 31, 2006

 

October 31, 2005

 







Agency Multiple Class Mortgage Pass-Through Securities

 

28

%

 

14

%

 









Mortgage Pass-Through Securities

 

22

 

 

23

 

 









U.S. Government and Agency Securities

 

20

 

 

30

 

 









Interest Only Mortgage-Backed Securities

 

10

 

 

7

 

 









Non-Agency Multiple Class Mortgage Pass-Through Securities

 

9

 

 

2

 

 









Principal Only Mortgage-Backed Securities

 

5

 

 

5

 

 









Inverse Floating Rate Mortgage Securities

 

3

 

 

1

 

 









Federal Housing Administration Securities

 

2

 

 

2

 

 









Corporate Bonds

 

1

 

 

 

 









Collateralized Mortgage Obligation Residual Securities

 

 

 

2

 

 









Interest Only Asset-Backed Securities

 

 

 

1

 

 









Collateralized Mortgage Obligation Securities

 

 

 

13

 

 









6



 

 

TRUST SUMMARIES
OCTOBER 31, 2006

 

BlackRock Limited Duration Income Trust (BLW)

 


Trust Information

 

 

 

 

 

 

 





Symbol on New York Stock Exchange:

 

BLW

 





Initial Offering Date:

 

July 30, 2003

 





Closing Market Price as of 10/31/06:

 

 

$

18.85

 

 








Net Asset Value as of 10/31/06:

 

 

$

19.01

 

 








Yield on Closing Market Price as of 10/31/06 ($18.85):1

 

 

 

7.96

%

 








Current Monthly Distribution per Share:2

 

 

$

0.125

 

 








Current Annualized Distribution per Share:2

 

 

$

1.500

 

 








 

 

1

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

2

The distribution is not constant and is subject to change.

The table below summarizes the Trust’s market price and NAV:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

10/31/06

 

10/31/05

 

Change

 

High

 

Low

 













Market Price

 

$

18.85

 

$

17.48

 

7.84%

 

$

18.90

 

$

16.54

 


















NAV

 

$

19.01

 

$

19.17

 

(0.83)%

 

$

19.22

 

$

18.67

 


















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

Portfolio Composition

 

 

 

 

 

 

 

 







Composition

 

October 31, 2006

 

October 31, 2005

 







Corporate Bonds

 

43

%

 

43

%

 









Bank Loans

 

36

 

 

32

 

 









Mortgage Pass-Through Securities

 

14

 

 

15

 

 









U.S. Government and Agency Securities

 

4

 

 

4

 

 









Foreign Government Bonds

 

2

 

 

2

 

 









Non-Agency Multiple Class Mortgage
Pass-Through Securities

 

1

 

 

1

 

 









Asset-Backed Securities

 

 

 

2

 

 









Interest Only Asset-Backed Securities

 

 

 

1

 

 










Corporate Credit Breakdown3

 

 

 

 

 

 

 

 







Credit Rating

 

October 31, 2006

 

October 31, 2005

 







AA/Aa

 

2

%

 

%

 









A

 

1

 

 

3

 

 









BBB/Baa

 

9

 

 

9

 

 









BB/Ba

 

24

 

 

33

 

 









B

 

51

 

 

43

 

 









CCC/Caa

 

11

 

 

8

 

 









Not Rated

 

2

 

 

4

 

 










 

 


3

Using the highest of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 64.3% and 59.8% of net assets on October 31, 2006 and 2005, respectively.

7



 

 

TRUST SUMMARIES
OCTOBER 31, 2006

 

BlackRock Strategic Bond Trust (BHD)

 


Trust Information

 

 

 

 

 

 

 





Symbol on New York Stock Exchange:

 

BHD

 





Initial Offering Date:

 

February 26, 2002

 





Closing Market Price as of 10/31/06:

 

 

$

12.85

 

 








Net Asset Value as of 10/31/06:

 

 

$

13.83

 

 








Yield on Closing Market Price as of 10/31/06 ($12.85):1

 

 

 

7.19

%

 








Current Monthly Distribution per Share:2

 

 

$

0.077

 

 








Current Annualized Distribution per Share:2

 

 

$

0.924

 

 








 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

10/31/06

 

10/31/05

 

Change

 

High

 

Low

 













Market Price

 

$

12.85

 

$

12.45

 

3.21%

 

$

13.23

 

$

11.56

 


















NAV

 

$

13.83

 

$

13.68

 

1.10%

$

13.85

 

$

13.23

 


















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

Corporate Portfolio Composition

 

 

 

 

 

 

 

 







Composition

 

October 31, 2006

 

October 31, 2005

 







Financial Institutions

 

18

%

 

21

%

 









Media

 

14

 

 

10

 

 









Energy

 

13

 

 

12

 

 









Telecommunications

 

12

 

 

8

 

 









Consumer Products

 

7

 

 

9

 

 









Aerospace & Defense

 

6

 

 

5

 

 









Basic Materials

 

6

 

 

5

 

 









Technology

 

5

 

 

3

 

 









Health Care

 

4

 

 

7

 

 









Entertainment & Leisure

 

3

 

 

3

 

 









Industrials

 

3

 

 

4

 

 









Automotive

 

2

 

 

3

 

 









Building & Development

 

2

 

 

2

 

 









Ecological Services & Equipment

 

2

 

 

2

 

 









Containers & Packaging

 

1

 

 

1

 

 









Real Estate

 

1

 

 

2

 

 









Transportation

 

1

 

 

2

 

 









Conglomerates

 

 

 

1

 

 










Corporate Credit Breakdown3

 

 

 

 

 

 

 

 







Credit Rating

 

October 31, 2006

 

October 31, 2005

 







AAA/Aaa

 

3

%

 

3

%

 









AA/Aa

 

6

 

 

8

 

 









A

 

12

 

 

11

 

 









BBB/Baa

 

13

 

 

19

 

 









BB/Ba

 

16

 

 

11

 

 









B

 

40

 

 

36

 

 









CCC/Caa

 

9

 

 

9

 

 









Not Rated

 

1

 

 

3

 

 










 

 


3

Using the highest of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 107.6% and 122.7% of net assets on October 31, 2006 and 2005, respectively.

8



 

CONSOLIDATED PORTFOLIO OF INVESTMENTS

OCTOBER 31, 2006

BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 










 

 

 

 

 

 

LONG-TERM INVESTMENTS—46.3%

 

 

 

 

 

 

 

 

 

 

Mortgage Pass-Through Securities—1.0%

 

 

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

$

375

 

 

5.50%, 1/01/17-2/01/17

 

$

376,888

 

 

 

 

 

15

 

 

6.50%, 7/01/29

 

 

15,499

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Mortgage Pass-Through Securities

 

 

392,387

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Agency Multiple Class Mortgage Pass-Through Securities—13.1%

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

2,168

 

 

Ser. 1510, Class G, 7.05%, 5/15/13

 

 

2,188,610

 

 

 

 

 

2,000

 

 

Ser. 1598, Class J, 6.50%, 10/15/08

 

 

2,002,862

 

 

 

 

 

81

 

 

Ser. 2564, Class NC, 5.00%, 2/15/33

 

 

76,072

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

23

 

 

Ser. 17, Class JA, 4.00%, 4/25/34

 

 

23,165

 

 

 

 

 

966

 

 

Ser. 49, Class H, 7.00%, 4/25/13

 

 

991,795

 

 

 

 

 

57

2

Government National Mortgage Assoc., REMIC Trust 2000, Ser. 16, Class FD, 5.97%, 12/16/27

 

 

57,524

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Agency Multiple Class Mortgage Pass-Through Securities

 

 

5,340,028

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Inverse Floating Rate Mortgage Securities—3.5%

 

 

 

 

AAA

 

 

 

166

2

Citicorp Mortgage Securities, Inc., Ser. 14, Class A-4, 4.192%, 11/25/23

 

 

165,379

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

97

2

 

Ser. 1425, Class SB, 7.966%, 12/15/07

 

 

97,272

 

 

 

 

 

20

2

 

Ser. 1506, Class S, 9.71%, 5/15/08

 

 

19,650

 

 

 

 

 

102

2

 

Ser. 1515, Class S, 8.756%, 5/15/08

 

 

103,024

 

 

 

 

 

181

2

 

Ser. 1618, Class SA, 8.25%, 11/15/08

 

 

187,548

 

 

 

 

 

22

2

 

Ser. 1661, Class SB, 8.834%, 1/15/09

 

 

22,752

 

 

 

 

 

84

2

 

Ser. 1688, Class S, 9.206%, 12/15/13

 

 

85,598

 

 

 

 

 

172

2

 

Ser. 2517, Class SE, 2.95%, 10/15/09

 

 

162,563

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

26

2

 

Ser. 13, Class SJ, 8.75%, 2/25/09

 

 

26,883

 

 

 

 

 

252

2

 

Ser. 179, Class SB, 7.437%, 10/25/07

 

 

254,487

 

 

 

 

 

53

2

 

Ser. 187, Class SB, 11.795%, 10/25/07

 

 

54,461

 

 

 

 

 

37

2

 

Ser. 191, Class SD, 6.83%, 10/25/08

 

 

36,968

 

 

 

 

 

87

2

 

Ser. 214, Class SH, 4.359%, 12/25/08

 

 

87,256

 

 

 

 

 

121

2

 

Ser. 214, Class SK, 10.00%, 12/25/08

 

 

126,866

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Inverse Floating Rate Mortgage Securities

 

 

1,430,707

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Interest Only Mortgage-Backed Securities—3.1%

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

1

 

 

Ser. 65, Class I, 918.03%, 8/15/20

 

 

1,242

 

 

 

 

 

 

 

Ser. 141, Class H, 1,060.00%, 5/15/21

 

 

249

 

 

 

 

 

104

 

 

Ser. 1645, Class IB, 5.50%, 9/15/08

 

 

1,151

 

 

 

 

 

1,970

 

 

Ser. 2523, Class EH, 5.50%, 4/15/20

 

 

167,571

 

 

 

 

 

673

 

 

Ser. 2633, Class PI, 4.50%, 3/15/12

 

 

15,876

 

 

 

 

 

5,605

 

 

Ser. 2739, Class PI, 5.00%, 3/15/22

 

 

314,814

 

 

 

 

 

1,243

 

 

Ser. 2775, Class UB, 5.00%, 12/15/17

 

 

26,360

 

 

 

 

 

2,255

 

 

Ser. 2976, Class KI, 5.50%, 11/15/34

 

 

179,326

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

1

 

 

Ser. 8, Class HA, 1,199.999%, 1/25/08

 

 

4,830

 

 

 

 

 

1,607

 

 

Ser. 13, Class IG, 5.00%, 10/25/22

 

 

77,528

 

 

 

 

 

103

2

 

Ser. 20, Class SL, 10.123%, 9/25/08

 

 

7,963

 

 

 

 

 

3

 

 

Ser. 49, Class L, 444.917%, 4/25/13

 

 

29,462

 

 

 

 

 

1

 

 

Ser. 51, Class K, 1,006.50%, 4/25/07

 

 

1,755

 

 

 

 

 

10,408

 

 

Ser. 70, Class ID, 5.00%, 4/25/22

 

 

394,743

 

 

 

 

 

3

2

 

Ser. 174, Class S, 97.242%, 9/25/22

 

 

12,318

 

 

 

 

 

 

 

Ser. G-21, Class L, 949.50%, 7/25/21

 

 

9,447

 

NR

 

 

 

14,857

2

Vendee Mortgage Trust, Ser. 1, 0.043%, 10/15/31

 

 

28,532

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

1,273,167

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

9


BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 










 

 

 

 

 

 

Principal Only Mortgage-Backed Security—0.0%

 

 

 

 

Aaa

 

 

$

21

3

Salomon Brothers Mortgage Securities, Inc. VI, Ser. 3, Class A, 12.50%, 10/23/17

 

$

18,787

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Asset-Backed Securities—0.0%

 

 

 

 

NR

 

 

 

235

2,4,5,6

Global Rated Eligible Asset Trust, Ser. A, Class 1, 7.33%, 9/15/07

 

 

23

 

 

 

 

 

 

 

Structured Mortgage Asset Residential Trust,

 

 

 

 

NR

 

 

 

568

2,5,6

 

Ser. 2, 8.24%, 12/15/06

 

 

57

 

NR

 

 

 

629

2,5,6

 

Ser. 3, 8.724%, 4/15/07

 

 

63

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Asset-Backed Securities

 

 

143

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Corporate Bonds—6.6%

 

 

 

 

Caa2

 

 

 

100

 

American Airlines, Inc., 10.44%, 3/04/07

 

 

101,250

 

BBB+

 

 

 

500

4

Israel Electric Corp. Ltd., 7.25%, 12/15/06 (Israel)

 

 

500,665

 

AA-

 

 

 

1,000

 

Morgan Stanley Group, Inc., 10.00%, 6/15/08

 

 

1,073,919

 

Aa1

 

 

 

500

 

U.S. Bank NA, 2.85%, 11/15/06

 

 

499,570

 

AA-

 

 

 

500

 

Wachovia Corp., 4.95%, 11/01/06

 

 

500,000

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Corporate Bonds

 

 

2,675,404

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

U.S. Government and Agency Securities—13.9%

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

 

 

 

3,200

 

 

3.50%, 11/15/06

 

 

3,197,751

 

 

 

 

 

2,000

 

 

6.00%, 8/15/09

 

 

2,070,860

 

 

 

 

 

385

 

 

6.625%, 5/15/07

 

 

388,128

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total U.S. Government and Agency Securities

 

 

5,656,739

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Taxable Municipal Bonds—5.1%

 

 

 

 

AAA

 

 

 

500

 

Fresno California Pension Oblig., 7.80%, 6/01/14

 

 

551,920

 

AAA

 

 

 

500

 

Kern County California Pension Oblig., 6.98%, 8/15/09

 

 

524,580

 

AAA

 

 

 

500

 

Los Angeles County California Pension Oblig., Ser. D, 6.97%, 6/30/08

 

 

514,320

 

AAA

 

 

 

500

 

Orleans Parish Louisiana School Board, Ser. A, 6.60%, 2/01/08

 

 

508,340

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Taxable Municipal Bonds

 

 

2,099,160

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Long-Term Investments (cost $19,176,252)

 

 

18,886,522

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS—53.1%

 

 

 

 

 

 

 

 

 

 

U.S. Government and Agency Discount Notes—53.1%

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Bank Discount Notes,

 

 

 

 

 

 

 

 

1,400

7

 

4.981%, 11/01/06

 

 

1,400,000

 

 

 

 

 

20,300

7

 

5.105%, 11/15/06

 

 

20,259,857

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Short-Term Investments (cost $21,659,857)

 

 

21,659,857

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Investments—99.4% (cost $40,836,1098)

 

$

40,546,379

 

 

 

 

 

 

 

Other assets in excess of liabilities—0.6%

 

 

234,939

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Net Assets—100%

 

$

40,781,318

 

 

 

 

 

 

 

 

 



 


 

 


1

Using the highest of S&P’s, Moody’s or Fitch’s ratings.

2

Variable rate security. Rate shown is interest rate as of October 31, 2006.

3

Rate shown is effective yield as of October 31, 2006 of the underlying collateral.

4

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2006, the Trust held 1.2% of its net assets, with a current market value of $500,688, in securities restricted as to resale.

5

Security is fair valued.

6

Illiquid security. As of October 31, 2006, the Trust held less than 0.1% of its net assets, with a current market value of $143, in these securities.

7

Rate shown is the yield to maturity as of the date of purchase.

8

Cost for federal income tax purposes is $40,836,108. The net unrealized depreciation on a tax basis is $289,729, consisting of $402,723 gross unrealized appreciation and $692,452 gross unrealized depreciation.


 

KEY TO ABBREVIATION

REMIC – Real Estate Mortgage Investment Conduit

 

See Notes to Financial Statements.

10


 

PORTFOLIO OF INVESTMENTS

OCTOBER 31, 2006

BlackRock Core Bond Trust (BHK)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

 

LONG-TERM INVESTMENTS—101.0%

 

 

 

 

 

 

 

 

 

 

Mortgage Pass-Through Securities—10.0%

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

$

1,875

2

 

3.01%, 4/19/07

 

$

1,855,324

 

 

 

 

 

83

 

 

5.00%, 8/01/33

 

 

79,991

 

 

 

 

 

5,884

 

 

5.50%, 11/01/18-5/01/36

 

 

5,827,530

 

 

 

 

 

1,747

2

 

5.50%, 11/01/18

 

 

1,751,440

 

 

 

 

 

3,008

 

 

6.00%, 2/01/13-12/01/18

 

 

3,053,783

 

 

 

 

 

115

3

 

6.276%, 5/01/32

 

 

118,233

 

 

 

 

 

28

 

 

7.00%, 9/01/31

 

 

28,550

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

3,675

2

 

2.35%, 4/05/07

 

 

3,628,886

 

 

 

 

 

47

 

 

4.50%, 2/01/20

 

 

45,515

 

 

 

 

 

12,612

 

 

5.00%, 11/01/17-6/01/36

 

 

12,417,281

 

 

 

 

 

4,138

 

 

5.50%, 1/01/18-4/01/36

 

 

4,128,134

 

 

 

 

 

977

 

 

6.00%, 8/01/29-3/01/36

 

 

983,099

 

 

 

 

 

332

 

 

7.00%, 1/01/31-7/01/32

 

 

348,043

 

 

 

 

 

271

 

Government National Mortgage Assoc., 5.50%, 8/15/33

 

 

270,157

 

 

 

 

 

 

 

Small Business Administration,

 

 

 

 

 

 

 

 

877

 

 

Ser. P10B, Class 1, 4.754%, 8/01/14

 

 

855,457

 

 

 

 

 

1,831

 

 

Ser. P10B, Class 1, 5.136%, 8/10/13

 

 

1,831,785

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Mortgage Pass-Through Securities

 

 

37,223,208

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Federal Housing Administration Security—0.3%

 

 

 

 

 

 

 

 

1,051

 

FHA Hebre Home Hospital, 6.25%, 9/01/28

 

 

1,077,172

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Agency Multiple Class Mortgage Pass-Through Securities—7.7%

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

2,416

 

 

Ser. 82, Class HJ, 5.50%, 9/25/32

 

 

2,419,852

 

 

 

 

 

1,200

 

 

Ser. 2562, Class PG, 5.00%, 1/15/18

 

 

1,181,088

 

 

 

 

 

3,120

 

 

Ser. 2806, Class VC, 6.00%, 12/15/19

 

 

3,195,004

 

 

 

 

 

1,440

 

 

Ser. 2825, Class VP, 5.50%, 6/15/15

 

 

1,454,425

 

 

 

 

 

1,300

 

 

Ser. 2883, Class DR, 5.00%, 11/15/19

 

 

1,269,858

 

 

 

 

 

3,392

 

 

Ser. 2922, Class GA, 5.50%, 5/15/34

 

 

3,416,276

 

 

 

 

 

1,821

 

 

Ser. 2927, Class BA, 5.50%, 10/15/33

 

 

1,835,232

 

 

 

 

 

1,754

 

 

Ser. 2933 Class HD, 5.50%, 2/15/35

 

 

1,769,474

 

 

 

 

 

1,600

 

 

Ser. 2968, Class EG, 6.00%, 10/15/34

 

 

1,636,881

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

1,552

 

 

Ser. 3 Class AP, 5.50%, 2/25/35

 

 

1,565,014

 

 

 

 

 

3,234

 

 

Ser. 5, Class PK, 5.00%, 12/25/34

 

 

3,207,705

 

 

 

 

 

2,040

 

 

Ser. 27, Class PC, 5.50%, 5/25/34

 

 

2,050,707

 

 

 

 

 

2,011

 

 

Ser. 70, Class NA, 5.50%, 8/25/35

 

 

2,023,175

 

 

 

 

 

1,828

3

 

Ser. 118, Class FD, 5.72%, 12/25/33

 

 

1,833,587

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Agency Multiple Class Mortgage Pass-Through Securities

 

 

28,858,278

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities—2.8%

 

 

 

 

 

 

 

 

 

 

First Union National Bank Commercial Mortgage,

 

 

 

 

AAA

 

 

 

3,150

 

 

Ser. C3, Class A3, 6.423%, 8/15/33

 

 

3,302,827

 

AAA

 

 

 

2,265

 

 

Ser. C4, Class A2, 6.223%, 12/12/33

 

 

2,363,523

 

AAA

 

 

 

2,350

 

General Motor Acceptance Corp. Commercial Mortgage Securities, Inc., Ser. C4, Class A2, 4.93%, 7/10/39

 

 

2,321,153

 

AAA

 

 

 

2,584

 

Structured Asset Securities Corp., Ser. AL1, Class A2, 3.45%, 2/25/32

 

 

2,317,368

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Non Agency Multiple Class Mortgage Pass-Through Securities

 

 

10,304,871

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Asset-Backed Securities—8.2%

 

 

 

 

AAA

 

 

 

2,800

 

Chase Manhattan Auto Owner Trust, Ser. B, Class A4, 4.88%, 6/15/12

 

 

2,792,323

 

AAA

 

 

 

2,825

 

Citibank Credit Card Issuance Trust, Ser. A2, Class A2, 4.85%, 2/10/11

 

 

2,815,182

 

 

 

 

 

 

 

Countrywide Asset-Backed Certificates,

 

 

 

 

AAA

 

 

 

1,242

3

 

Ser. 15, Class 2AV1, 5.42%, 4/25/36

 

 

1,242,234

 

AAA

 

 

 

1,870

3

 

Ser. 16, Class 4AV1, 5.42%, 5/25/36

 

 

1,870,245

 

AAA

 

 

 

2,825

 

DaimlerChrysler Auto Trust, Ser. A, Class A3, 5.00%, 5/08/10

 

 

2,820,494

 

AAA

 

 

 

2,850

 

Ford Credit Auto Owner Trust, Ser. A, Class A4, 5.07%, 12/15/10

 

 

2,850,545

 

AAA

 

 

 

2,300

 

Harley-Davidson Motorcycle Trust, Ser. 2, Class A2, 4.07%, 2/15/12

 

 

2,260,300

 

See Notes to Financial Statements.

11



BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

 

Description

 

 

Value

 











 

 

 

 

 

 

Asset-Backed Securities—(cont’d)

 

 

 

 

A1

 

 

$

2,500

 

Maryland Trust, Ser. 1, Class A, 5.55%, 12/10/65

 

$

2,485,937

 

AAA

 

 

 

2,825

 

MBNA Credit Card Master Note Trust, Ser. A1, Class A, 4.90%, 7/15/11

 

 

2,821,472

 

AAA

 

 

 

1,510

3,4

Merrill Lynch Mortgage Investors, Inc., Ser. HE2, Class A2A, 5.43%, 9/25/36

 

 

1,509,838

 

AAA

 

 

 

1,541

3

New Century Home Equity Loan Trust, Ser. C, Class A2A, 5.40%, 1/25/36

 

 

1,541,455

 

AAA

 

 

 

1,160

3

SLM Student Loan Trust, Ser. 5, Class A1, 5.377%, 1/25/18

 

 

1,160,762

 

AAA

 

 

 

1,741

3

Structured Asset Investment Loan Trust, Ser. 1, Class A1, 5.40%, 1/25/36

 

 

1,740,806

 

AAA

 

 

 

2,725

 

USAA Auto Owner Trust, Ser. 1 Class A4, 5.04%, 12/15/11

 

 

2,730,162

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Asset-Backed Securities

 

 

30,641,755

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Interest Only Asset-Backed Securities—0.5%

 

 

 

 

 

 

 

 

 

 

Sterling Coofs Trust,

 

 

 

 

NR

 

 

 

21,411

 

 

Ser. 1, 2.362%, 4/15/29

 

 

963,503

 

AAA

 

 

 

17,972

3

 

Ser. 2, 2.418%, 3/30/30

 

 

786,260

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Interest Only Asset-Backed Securities

 

 

1,749,763

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Interest Only Mortgage-Backed Securities—0.8%

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

2,611

 

 

Ser. 2579, Class HI, 5.00%, 8/15/17

 

 

337,982

 

 

 

 

 

6,656

 

 

Ser. 2611, Class QI, 5.50%, 9/15/32

 

 

1,239,324

 

 

 

 

 

29,152

3

Federal National Mortgage Assoc., Ser. 90, Class JH, 1.38%, 11/25/34

 

 

1,453,055

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

3,030,361

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Commercial Mortgage-Backed Securities—6.5%

 

 

 

 

AAA

 

 

 

2,180

3

Banc of America Commerical Mortgage, Inc., Ser. 1, Class A4, 4.885%, 11/10/42

 

 

2,170,441

 

AAA

 

 

 

1,366

 

Commercial Mortgage Acceptance Corp., Ser. C2, Class A2, 6.03%, 9/15/30

 

 

1,373,856

 

AAA

 

 

 

2,720

 

Credit Suisse First Boston Mortgage Securities Corp., Ser. CP5, Class A2, 4.94%, 12/15/35

 

 

2,679,590

 

AAA

 

 

 

1,573

 

General Motor Acceptance Corp. Commercial Mortgage Securities, Inc., Ser. C3, Class A2, 7.179%, 8/15/36

 

 

1,638,821

 

AAA

 

 

 

2,584

 

Goldman Sachs Mortgage Securities Corp. II, Ser. C1, Class A3, 6.135%, 10/18/30

 

 

2,612,055

 

AAA

 

 

 

1,615

 

Heller Financial Commercial Mortgage Asset Co., Ser. PH1, Class A2, 6.847%, 5/15/31

 

 

1,659,716

 

 

 

 

 

 

 

JP Morgan Chase Commercial Mortgage Securities Corp.,

 

 

 

 

AAA

 

 

 

2,140

 

 

Ser. C1, Class A3, 5.857%, 10/12/35

 

 

2,199,539

 

AAA

 

 

 

2,180

 

 

Ser. CBX, Class A4, 4.529%, 1/12/37

 

 

2,122,052

 

AAA

 

 

 

1,691

 

JP Morgan Commercial Mortgage Finance Corp., Ser. C10, Class A2, 7.371%, 8/15/32

 

 

1,788,462

 

AAA

 

 

 

2,387

 

Morgan Stanley Capital Trust I, Ser. HF2, Class A2, 6.48%, 11/15/30

 

 

2,423,872

 

AAA

 

 

 

3,500

 

Salomon Brothers Mortgage Securities VII, Ser. C1, Class A2, 7.52%, 12/18/09

 

 

3,709,492

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Commercial Mortgage-Backed Securities

 

 

24,377,896

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Corporate Bonds—58.3%

 

 

 

 

 

 

 

 

 

 

Aerospace & Defense—1.2%

 

 

 

 

B

 

 

 

100

 

Argo-Tech Corp., 9.25%, 6/01/11

 

 

103,750

 

B

 

 

 

1,305

 

DI Finance/DynCorp Intl., Ser. B, 9.50%, 2/15/13

 

 

1,357,200

 

 

 

 

 

 

 

DRS Technologies, Inc.,

 

 

 

 

B

 

 

 

70

 

 

6.875%, 11/01/13

 

 

70,000

 

B

 

 

 

80

 

 

7.625%, 2/01/18

 

 

81,800

 

 

 

 

 

 

 

Northrop Grumman Corp.,

 

 

 

 

BBB+

 

 

 

615

 

 

4.079%, 11/16/06

 

 

614,683

 

BBB+

 

 

 

960

 

 

7.875%, 3/01/26

 

 

1,192,609

 

BB

 

 

 

15

 

Sequa Corp., 9.00%, 8/01/09

 

 

15,825

 

A+

 

 

 

1,125

 

United Technologies Corp., 4.875%, 5/01/15

 

 

1,094,504

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Aerospace & Defense

 

 

4,530,371

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Automotive—0.6%

 

 

 

 

 

 

 

 

 

 

Autonation, Inc.,

 

 

 

 

BB+

 

 

 

150

 

 

7.00%, 4/15/14

 

 

149,250

 

BB+

 

 

 

150

3

 

7.374%, 4/15/13

 

 

151,125

 

BB-

 

 

 

30

3,5

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 7.905%, 5/15/14

 

 

29,325

 

BBB+

 

 

 

660

 

DaimlerChrysler NA Holding Corp., 7.45%, 3/01/27

 

 

709,073

 

B

 

 

 

300

 

Lear Corp., Ser. B, 8.11%, 5/15/09

 

 

304,125

 

CCC+

 

 

 

250

 

Metaldyne Corp., 10.00%, 11/01/13

 

 

256,250

 

BB-

 

 

 

517

 

TRW Automotive, Inc., 9.375%, 2/15/13

 

 

553,836

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Automotive

 

 

2,152,984

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Basic Materials—3.5%

 

 

 

 

B+

 

 

 

750

 

Abitibi-Consolidated, Inc., 6.00%, 6/20/13 (Canada)

 

 

596,250

 

B+

 

 

 

995

 

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

 

 

995,000

 

B-

 

 

 

80

3,5

BCI US Finance Corp./Borden 2 Nova Scotia Finance ULC, 11.874%, 7/15/10

 

 

81,600

 

See Notes to Financial Statements.

12


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

 

Description

 

 

Value

 











 

 

 

 

 

 

Basic Materials—(cont’d)

 

 

 

 

BB-

 

 

$

80

3

Bowater, Inc., 8.39%, 3/15/10

 

$

80,800

 

BB+

 

 

 

30

 

Chemtura Corp., 6.875%, 6/01/16

 

 

29,325

 

B-

 

 

 

200

 

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

 

 

204,000

 

 

 

 

 

 

 

Domtar, Inc.,

 

 

 

 

B2

 

 

 

60

 

 

7.125%, 8/15/15

 

 

57,300

 

B2

 

 

 

180

 

 

7.875%, 10/15/11

 

 

183,825

 

B+

 

 

 

150

 

Donohue Forest Products, 7.625%, 5/15/07 (Canada)

 

 

150,000

 

B2

 

 

 

66

 

Huntsman LLC, 11.50%, 7/15/12

 

 

74,745

 

BB

 

 

 

70

 

IMC Global, Inc., Ser. B, 10.875%, 6/01/08

 

 

75,513

 

 

 

 

 

 

 

Ineos Group Holdings PLC, (United Kingdom)

 

 

 

 

B2

 

 

 

285

 

 

7.875%, 2/07/16 (EUR)

 

 

348,741

 

B2

 

 

 

730

5

 

8.50%, 2/15/16

 

 

702,625

 

B3

 

 

 

1,045

 

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

 

 

1,042,387

 

BBB

 

 

 

130

 

Ispat Inland ULC, 9.75%, 4/01/14 (Canada)

 

 

145,600

 

 

 

 

 

 

 

Lyondell Chemical Co.,

 

 

 

 

BB-

 

 

 

240

 

 

8.00%, 9/15/14

 

 

245,400

 

BB-

 

 

 

385

 

 

8.25%, 9/15/16

 

 

396,550

 

BB+

 

 

 

2,120

 

 

9.50%, 12/15/08

 

 

2,175,650

 

BB

 

 

 

190

 

Millennium America, Inc., 9.25%, 6/15/08

 

 

195,700

 

B3

 

 

 

510

 

NewPage Corp., 10.00%, 5/01/12

 

 

534,225

 

 

 

 

 

 

 

Noranda, Inc.,

 

 

 

 

BBB+

 

 

 

825

 

 

6.00%, 10/15/15

 

 

829,616

 

BBB+

 

 

 

1,250

 

 

6.20%, 6/15/35

 

 

1,218,867

 

 

 

 

 

 

 

Nova Chemicals Corp.,

 

 

 

 

BB

 

 

 

50

 

 

6.50%, 1/15/12

 

 

47,000

 

BB

 

 

 

610

3

 

8.405%, 11/15/13

 

 

620,675

 

CCC+

 

 

 

545

5

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

 

 

577,700

 

B+

 

 

 

16

 

Rhodia SA, 10.25%, 6/01/10 (France)

 

 

18,120

 

BBB

 

 

 

1,430

 

Teck Cominco Ltd., 6.125%, 10/01/35 (Canada)

 

 

1,394,932

 

B-

 

 

 

80

5

Verso Paper Holdings LLC/Verson Paper, Inc., 11.375%, 8/01/16

 

 

81,200

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Basic Materials

 

 

13,103,346

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Building & Development—1.2%

 

 

 

 

B

 

 

 

635

 

ERICO Intl. Corp., 8.875%, 3/01/12

 

 

661,987

 

B-

 

 

 

440

 

Goodman Global Holding Co., Inc., 7.875%, 12/15/12

 

 

422,400

 

BB+

 

 

 

3,000

 

Hovnanian Enterprises, Inc., 10.50%, 10/01/07

 

 

3,112,500

 

B3

 

 

 

190

 

Nortek, Inc., 8.50%, 9/01/14

 

 

181,450

 

 

 

 

 

 

 

North American Energy Partners, Inc.,

 

 

 

 

Caa1

 

 

 

85

 

 

8.75%, 12/01/11

 

 

84,150

 

B1

 

 

 

175

 

 

9.00%, 6/01/10

 

 

190,750

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Building & Development

 

 

4,653,237

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Business Equipment & Services—0.0%

 

 

 

 

Ba2

 

 

 

100

5

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

 

 

102,250

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Consumer Products—2.4%

 

 

 

 

B3

 

 

 

90

 

ALH Finance LLC, 8.50%, 1/15/13

 

 

89,325

 

CCC+

 

 

 

650

3

Ames True Temper, Inc., 9.374%, 1/15/12

 

 

656,500

 

B2

 

 

 

165

5

Education Management LLC/Education Management Corp., 8.75%, 6/01/14

 

 

169,125

 

BBB+

 

 

 

530

 

Federated Department Stores, Inc., 6.79%, 7/15/27

 

 

534,044

 

B-

 

 

 

205

 

Finlay Fine Jewelry Corp., 8.375%, 6/01/12

 

 

184,500

 

B

 

 

 

80

 

Gold Kist, Inc., 10.25%, 3/15/14

 

 

91,800

 

B2

 

 

 

605

5

Knowledge Learning Corp., Inc., 7.75%, 2/01/15

 

 

573,237

 

B-

 

 

 

320

 

Lazydays RV Center, Inc., 11.75%, 5/15/12

 

 

310,400

 

B

 

 

 

385

3

Levi Strauss & Co., 10.122%, 4/01/12

 

 

397,031

 

 

 

 

 

 

 

May Deptartment Stores Co.,

 

 

 

 

BBB+

 

 

 

30

 

 

6.65%, 7/15/24

 

 

29,934

 

BBB+

 

 

 

230

 

 

7.875%, 3/01/30

 

 

260,152

 

 

 

 

 

 

 

Michaels Stores, Inc.,

 

 

 

 

B2

 

 

 

470

5

 

10.00%, 11/01/14

 

 

470,588

 

Caa1

 

 

 

600

5

 

11.375%, 11/01/16

 

 

606,750

 

B3

 

 

 

50

3,5

Nutro Products, Inc., 9.40%, 10/15/13

 

 

51,375

 

B

 

 

 

1,000

 

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

 

 

1,012,500

 

BB-

 

 

 

200

 

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

 

 

192,500

 

See Notes to Financial Statements.

13


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

 

Description

 

 

Value

 











 

 

 

 

 

 

Consumer Products—(cont’d)

 

 

 

 

BB+

 

 

$

250

5

Reynolds American, Inc., 7.625%, 6/01/16

 

$

265,444

 

B1

 

 

 

2,100

 

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

 

 

2,136,750

 

CCC

 

 

 

370

 

Spectrum Brands, Inc., 7.375%, 2/01/15

 

 

299,700

 

 

 

 

 

 

 

United Rentals NA, Inc.,

 

 

 

 

B

 

 

 

780

 

 

7.00%, 2/15/14

 

 

746,850

 

B

 

 

 

25

 

 

7.75%, 11/15/13

 

 

24,938

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Consumer Products

 

 

9,103,443

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Containers & Packaging—0.8%

 

 

 

 

 

 

 

 

 

 

Berry Plastics Holding Corp.,

 

 

 

 

B2

 

 

 

270

5

 

8.875%, 9/15/14

 

 

272,700

 

B2

 

 

 

180

3,5

 

9.265%, 9/15/14

 

 

182,025

 

B+

 

 

 

250

 

Crown Americas LLC/Crown Americas Capital Corp., 7.75%, 11/15/15

 

 

256,563

 

CCC+

 

 

 

75

 

Graham Packaging Co., Inc., 8.50%, 10/15/12

 

 

74,625

 

B1

 

 

 

190

3,5

Impress Holdings BV, 8.512%, 9/15/13

 

 

191,499

 

B

 

 

 

1,500

 

Owens Brockway, 8.25%, 5/15/13

 

 

1,545,000

 

B+

 

 

 

421

 

Smurfit-Stone Container Enterprises, Inc., 9.75%, 2/01/11

 

 

434,156

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Containers & Packaging

 

 

2,956,568

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Ecological Services & Equipment—0.2%

 

 

 

 

Caa1

 

 

 

590

 

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

 

 

604,750

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Energy—6.5%

 

 

 

 

BBB-

 

 

 

425

 

Amerada Hess Corp., 7.125%, 3/15/33

 

 

473,304

 

BBB

 

 

 

2,350

 

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

 

 

2,435,810

 

 

 

 

 

 

 

ANR Pipeline Co.,

 

 

 

 

Ba1

 

 

 

260

 

 

7.375%, 2/15/24

 

 

271,780

 

Ba1

 

 

 

810

 

 

9.625%, 11/01/21

 

 

1,008,088

 

B

 

 

 

140

 

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

 

 

139,650

 

CCC+

 

 

 

320

 

Chaparral Energy, Inc., 8.50%, 12/01/15

 

 

319,200

 

 

 

 

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

BB

 

 

 

150

 

 

6.375%, 6/15/15

 

 

144,750

 

BB

 

 

 

20

 

 

6.875%, 11/15/20

 

 

19,000

 

BB-

 

 

 

30

 

CMS Energy Corp., 7.50%, 1/15/09

 

 

30,825

 

BB-

 

 

 

160

 

Compagnie Generale de Geophysique SA, 7.50%, 5/15/15 (France)

 

 

158,000

 

B

 

 

 

415

 

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

 

 

393,212

 

A1

 

 

 

375

 

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

 

 

432,888

 

BBB

 

 

 

725

 

DTE Energy Co., 6.35%, 6/01/16

 

 

754,054

 

BB-

 

 

 

165

5

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

 

 

169,538

 

 

 

 

 

 

 

El Paso Corp.,

 

 

 

 

B

 

 

 

100

 

 

7.80%, 8/01/31

 

 

104,250

 

B

 

 

 

65

 

 

9.625%, 5/15/12

 

 

72,150

 

B

 

 

 

150

 

 

10.75%, 10/01/10

 

 

167,250

 

 

 

 

 

 

 

El Paso Natural Gas Co.,

 

 

 

 

Ba1

 

 

 

850

 

 

7.625%, 8/01/10

 

 

877,625

 

Ba1

 

 

 

225

 

 

8.375%, 6/15/32

 

 

260,388

 

Ba1

 

 

 

265

 

 

8.625%, 1/15/22

 

 

305,667

 

Ba1

 

 

 

131

 

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

 

 

139,115

 

A-

 

 

 

1,000

 

EnCana Corp., 6.50%, 8/15/34 (Canada)

 

 

1,047,586

 

 

 

 

 

 

 

Encore Acquisition Co.,

 

 

 

 

B1

 

 

 

40

 

 

6.00%, 7/15/15

 

 

36,500

 

B1

 

 

 

60

 

 

7.25%, 12/01/17

 

 

57,750

 

BBB

 

 

 

1,500

 

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

 

 

1,602,643

 

B-

 

 

 

130

 

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

 

 

125,125

 

AA-

 

 

 

950

 

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

 

 

857,447

 

BB+

 

 

 

80

 

Grant Prideco, Inc., Ser. B, 6.125%, 8/15/15

 

 

76,500

 

BBB+

 

 

 

175

 

Halliburton Co., 7.60%, 8/15/96

 

 

203,870

 

B

 

 

 

49

5

Hilcorp Energy I LP/Hilcorp Finance Corp., 10.50%, 9/01/10

 

 

52,553

 

B-

 

 

 

170

 

KCS Energy, Inc., 7.125%, 4/01/12

 

 

163,200

 

Ba2

 

 

 

75

 

Midwest Generation LLC, Ser. B, 8.56%, 1/02/16

 

 

81,143

 

 

 

 

 

 

 

Mirant Americas Generation LLC,

 

 

 

 

Caa1

 

 

 

155

 

 

8.30%, 5/01/11

 

 

156,938

 

Caa1

 

 

 

50

 

 

8.50%, 10/01/21

 

 

49,250

 

Caa1

 

 

 

75

 

 

9.125%, 5/01/31

 

 

77,625

 

See Notes to Financial Statements.

14



 

 

BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 


 

 

 

 

 

 

Energy—(cont’d)

 

 

 

 

BB-

 

 

$

590

 

Mission Energy Holdings Co., 13.50%, 7/15/08

 

$

657,850

 

 

 

 

 

 

 

NRG Energy, Inc.,

 

 

 

 

B+

 

 

 

50

 

 

7.25%, 2/01/14

 

 

50,563

 

B+

 

 

 

285

 

 

7.375%, 2/01/16

 

 

288,206

 

A-

 

 

 

360

 

Occidental Petroleum Corp., 7.20%, 4/01/28

 

 

420,832

 

BBB

 

 

 

1,000

 

Ohio Edison Co., 6.875%, 7/15/36

 

 

1,111,528

 

BBB

 

 

 

425

 

ONEOK Partners LP, 6.65%, 10/01/36

 

 

437,319

 

B2

 

 

 

130

 

Orion Power Holdings, Inc., 12.00%, 5/01/10

 

 

147,550

 

BBB+

 

 

 

790

 

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

 

 

706,258

 

BBB

 

 

 

1,650

 

Pemex Project Funding Master Trust, 9.375%, 12/02/08

 

 

1,773,750

 

 

 

 

 

 

 

Reliant Energy, Inc.,

 

 

 

 

BB-

 

 

 

210

 

 

6.75%, 12/15/14

 

 

200,288

 

BB-

 

 

 

50

 

 

9.25%, 7/15/10

 

 

51,750

 

A-

 

 

 

700

 

Scottish Power PLC, 5.375%, 3/15/15 (United Kingdom)

 

 

687,345

 

B+

 

 

 

315

5

SemGroup LP, 8.75%, 11/15/15

 

 

317,363

 

B

 

 

 

360

3,5

Stone Energy Corp., 8.124%, 7/15/10

 

 

357,750

 

A-

 

 

 

295

 

Suncor Energy, Inc., 5.95%, 12/01/34 (Canada)

 

 

302,323

 

B3

 

 

 

320

5

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

 

 

319,200

 

AA

 

 

 

1,050

 

Texaco Capital, Inc., 8.875%, 9/01/21

 

 

1,401,672

 

A2

 

 

 

550

 

Transcanada Pipelines Ltd., 5.85%, 3/15/36 (Canada)

 

 

548,423

 

BBB-

 

 

 

20

 

Transcontinental Gas Pipe Line Corp., 7.25%, 12/01/26

 

 

20,700

 

B+

 

 

 

270

 

Utilicorp Finance Corp., 7.75%, 6/15/11 (Canada)

 

 

285,125

 

B1

 

 

 

375

 

Whiting Petroleum Corp., 7.25%, 5/01/12-5/01/13

 

 

370,412

 

BB+

 

 

 

415

 

Williams Cos., Inc., 8.75%, 3/15/32

 

 

460,650

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Energy

 

 

24,181,531

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Entertainment & Leisure—1.0%

 

 

 

 

 

 

 

 

 

 

AMC Entertainment, Inc.,

 

 

 

 

B3

 

 

 

170

 

 

9.50%, 2/01/11

 

 

170,638

 

B3

 

 

 

185

 

 

11.00%, 2/01/16

 

 

204,656

 

B3

 

 

 

80

 

Cinemark, Inc., Zero Coupon, 3/15/14

 

 

65,100

 

B

 

 

 

1,000

 

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

 

 

1,050,000

 

B-

 

 

 

150

 

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

 

 

143,625

 

B3

 

 

 

335

5

Greektown Holdings LLC, 10.75%, 12/01/13

 

 

354,263

 

B

 

 

 

140

5

Pokagon Gaming Authority, 10.375%, 6/15/14

 

 

150,150

 

B3

 

 

 

110

 

Poster Financial Group, Inc., 8.75%, 12/01/11

 

 

114,675

 

BB

 

 

 

260

 

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

 

 

261,625

 

 

 

 

 

 

 

Travelport, Inc.,

 

 

 

 

B-

 

 

 

510

5

 

9.875%, 9/01/14

 

 

502,987

 

B-

 

 

 

510

5

 

11.875%, 9/01/16

 

 

502,350

 

BB-

 

 

 

40

 

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625%, 12/01/14

 

 

39,200

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Entertainment & Leisure

 

 

3,559,269

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Financial Institutions—22.0%

 

 

 

 

 

 

 

 

 

 

American Real Estate Partners LP/American Real Estate Finance Corp.,

 

 

 

 

BB+

 

 

 

320

 

 

7.125%, 2/15/13

 

 

319,200

 

BB+

 

 

 

3,165

 

 

8.125%, 6/01/12

 

 

3,236,213

 

Aa3

 

 

 

545

 

BAC Capital Trust XI, 6.625%, 5/23/36

 

 

587,083

 

Aa2

 

 

 

325

 

Bank One Corp., 3.70%, 1/15/08

 

 

318,680

 

Aa2

 

 

 

1,400

 

BankBoston NA, 6.375%, 3/25/08-4/15/08

 

 

1,422,020

 

AA+

 

 

 

4,970

3

Barclays Bank PLC NY, 5.40%, 3/13/09

 

 

4,970,875

 

B

 

 

 

40

 

BCP Crystal US Holdings Corp., 9.625%, 6/15/14 (Luxembourg)

 

 

43,900

 

AA

 

 

 

350

5

Belvoir Land LLC, Ser. A1, 5.27%, 12/15/47

 

 

330,652

 

 

 

 

 

 

 

Berkshire Hathaway Finance Corp.,

 

 

 

 

AAA

 

 

 

1,200

 

 

3.40%, 7/02/07

 

 

1,185,715

 

AAA

 

 

 

1,075

 

 

4.75%, 5/15/12

 

 

1,055,321

 

AA+

 

 

 

600

 

CitiFinancial, 6.25%, 1/01/08

 

 

605,668

 

 

 

 

 

 

 

Citigroup, Inc.,

 

 

 

 

AA+

 

 

 

3,950

6

 

3.625%, 2/09/09

 

 

3,828,087

 

AA+

 

 

 

5,470

 

 

4.125%, 2/22/10

 

 

5,317,907

 

AA+

 

 

 

1,020

 

 

4.25%, 7/29/09

 

 

999,198

 

AA+

 

 

 

525

 

 

6.875%, 2/15/98

 

 

588,480

 

BB

 

 

 

980

 

Crum & Forster Holdings Corp., 10.375%, 6/15/13

 

 

1,016,750

 

See Notes to Financial Statements.

15


 

 

BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 


 

 

 

 

 

 

Financial Institutions—(cont’d)

 

 

 

 

AAA

 

 

$

1,100

5

Depfa ACS Bank, 4.25%, 8/16/10 (Ireland)

 

$

1,072,678

 

AA-

 

 

 

900

3

Deutsche Bank AG, 5.37%, 3/15/07

 

 

900,000

 

AAA

 

 

 

1,700

 

Eksportfinans A/S, 5.50%, 5/25/16 (Norway)

 

 

1,756,348

 

Aaa

 

 

 

525

5

Fort Irwin Land LLC, Ser. A-1, 5.03%, 12/15/25

 

 

492,135

 

AAA

 

 

 

3,625

3

General Electric Capital Corp., 5.424%, 1/15/08

 

 

3,628,368

 

BB

 

 

 

460

 

General Motors Acceptance Corp., 6.875%, 8/28/12

 

 

461,235

 

AA-

 

 

 

1,415

 

Goldman Sachs Group, Inc., 5.35%, 1/15/16

 

 

1,397,839

 

 

 

 

 

 

 

HBOS Treasury Services PLC,

 

 

 

 

AA+

 

 

 

855

5

 

3.60%, 8/15/07

 

 

843,542

 

AA+

 

 

 

825

5

 

3.75%, 9/30/08

 

 

803,342

 

AA-

 

 

 

775

 

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

 

 

780,850

 

 

 

 

 

 

 

HSBC Finance Corp.,

 

 

 

 

AA-

 

 

 

1,820

 

 

4.75%, 5/15/09

 

 

1,806,783

 

AA-

 

 

 

635

 

 

6.375%, 8/01/10

 

 

660,357

 

 

 

 

 

 

 

iPayment, Inc.,

 

 

 

 

CCC+

 

 

 

240

5

 

9.75%, 5/15/14

 

 

246,600

 

NR

 

 

 

960

3,5,7

 

12.75%, 7/15/14

 

 

958,800

 

AA

 

 

 

1,500

5

Irwin Land LLC, 5.40%, 12/15/47

 

 

1,394,865

 

Aa3

 

 

 

600

 

JP Morgan Chase & Co., 5.35%, 3/01/07

 

 

599,768

 

B-

 

 

 

255

 

K&F Acquisition, Inc., 7.75%, 11/15/14

 

 

258,188

 

BBB

 

 

 

630

5

Liberty Mutual Group, Inc., 7.50%, 8/15/36

 

 

700,726

 

A

 

 

 

1,525

 

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

 

 

1,504,852

 

AA

 

 

 

1,150

5

Metropolitan Global Funding I, 4.25%, 7/30/09

 

 

1,121,712

 

 

 

 

 

 

 

Morgan Stanley,

 

 

 

 

AA-

 

 

 

3,300

3

 

5.44%, 3/07/08

 

 

3,302,881

 

AA-

 

 

 

1,900

 

 

6.25%, 8/09/26

 

 

1,990,218

 

AA

 

 

 

2,125

5

Nationwide Building Society, 3.50%, 7/31/07 (United Kingdom)

 

 

2,096,478

 

B+

 

 

 

645

5

Nell AF SARL, 8.375%, 8/15/15 (Luxembourg)

 

 

654,675

 

AAA

 

 

 

850

5

New York Life Global Funding, 3.875%, 1/15/09

 

 

827,107

 

AA

 

 

 

350

 

Ohana Military Communities LLC, Ser. 04l, 6.193%, 4/01/49

 

 

375,743

 

A

 

 

 

500

 

Prudential Financial, Inc., 5.90%, 3/17/36

 

 

506,264

 

AA-

 

 

 

1,000

5

Prudential Funding LLC, 6.60%, 5/15/08

 

 

1,019,865

 

AAA

 

 

 

5,550

3,5

Rabobank Nederland Global, 5.37%, 4/06/09 (Netherlands)

 

 

5,550,755

 

 

 

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

B+

 

 

 

200

5

 

8.75%, 9/01/12

 

 

210,250

 

B+

 

 

 

1,455

5

 

10.375%, 9/01/14

 

 

1,618,688

 

B-

 

 

 

630

 

Standard Aero Holdings, Inc., 8.25%, 9/01/14

 

 

625,275

 

AA+

 

 

 

2,888

8

Structured Asset Receivable Trust, 1.649%, 1/21/10

 

 

2,887,082

 

 

 

 

 

 

 

SunTrust Bank,

 

 

 

 

Aa3

 

 

 

1,635

 

 

3.625%, 10/15/07

 

 

1,608,014

 

Aa3

 

 

 

995

 

 

4.00%, 10/15/08

 

 

973,235

 

Aa2

 

 

 

1,265

 

 

4.415%, 6/15/09

 

 

1,243,353

 

AAA

 

 

 

235

5

TIAA Global Markets, Inc., 3.875%, 1/22/08

 

 

230,970

 

Aa2

 

 

 

375

 

U.S. Bancorp, Ser. N, 3.95%, 8/23/07

 

 

370,854

 

B-

 

 

 

50

3

Universal City Florida Holding Co. I/II, 10.121%, 5/01/10

 

 

51,438

 

 

 

 

 

 

 

US Bank NA,

 

 

 

 

Aa1

 

 

 

1,380

 

 

2.87%, 2/01/07

 

 

1,370,844

 

Aa2

 

 

 

2,790

 

 

6.50%, 2/01/08

 

 

2,824,459

 

AAA

 

 

 

495

5

USAA Capital Corp., 4.00%, 12/10/07

 

 

487,197

 

 

 

 

 

 

 

Wells Fargo & Co.,

 

 

 

 

Aa1

 

 

 

1,031

 

 

3.12%, 8/15/08

 

 

994,625

 

Aa1

 

 

 

355

 

 

4.20%, 1/15/10

 

 

345,263

 

Aa1

 

 

 

1,665

 

 

4.625%, 8/09/10

 

 

1,640,221

 

Aa1

 

 

 

435

 

 

4.875%, 1/12/11

 

 

431,835

 

Aa1

 

 

 

475

 

Wells Fargo Bank NA, 5.95%, 8/26/36

 

 

489,367

 

Aa3

 

 

 

50

 

Western Financial Bank, 9.625%, 5/15/12

 

 

55,097

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Financial Institutions

 

 

81,996,790

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Health Care—1.6%

 

 

 

 

B

 

 

 

730

5

Angiotech Pharmaceuticals, Inc., 7.75%, 4/01/14 (Canada)

 

 

693,500

 

 

 

 

 

 

 

Healthsouth Corp.,

 

 

 

 

CCC+

 

 

 

695

5

 

10.75%, 6/15/16

 

 

712,375

 

CCC+

 

 

 

360

3,5

 

11.418%, 6/15/14

 

 

368,100

 

See Notes to Financial Statements.

16



BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 


 

 

 

 

 

 

Health Care—(cont’d)

 

 

 

 

B-

 

 

$

460

 

Tenet Healthcare Corp., 6.875%, 11/15/31

 

$

356,500

 

BBB

 

 

 

995

 

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

 

 

973,753

 

A

 

 

 

870

 

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

 

 

867,494

 

B-

 

 

 

410

 

Universal Hospital Services, Inc., 10.125%, 11/01/11

 

 

433,575

 

 

 

 

 

 

 

WellPoint, Inc.,

 

 

 

 

A-

 

 

 

955

 

 

5.85%, 1/15/36

 

 

939,151

 

A-

 

 

 

85

 

 

5.95%, 12/15/34

 

 

84,534

 

A

 

 

 

675

 

Wyeth, 6.00%, 2/15/36

 

 

693,842

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Health Care

 

 

6,122,824

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Industrials—1.4%

 

 

 

 

B2

 

 

 

360

5

AGY Holding Corp., 11.00%, 11/15/14

 

 

359,550

 

B

 

 

 

140

 

Hexcel Corp., 6.75%, 2/01/15

 

 

135,800

 

B3

 

 

 

320

 

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

 

 

297,600

 

CCC+

 

 

 

300

 

Polypore, Inc., 8.75%, 5/15/12

 

 

293,250

 

 

 

 

 

 

 

RBS Global, Inc./Rexnord Corp.,

 

 

 

 

B3

 

 

 

480

5

 

9.50%, 8/01/14

 

 

496,800

 

CCC+

 

 

 

325

5

 

11.75%, 8/01/16

 

 

338,000

 

B3

 

 

 

950

5

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

 

 

992,750

 

B+

 

 

 

2,000

 

Terex Corp., 9.25%, 7/15/11

 

 

2,100,000

 

B3

 

 

 

210

 

Trimas Corp., 9.875%, 6/15/12

 

 

197,925

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Industrials

 

 

5,211,675

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Media—5.9%

 

 

 

 

 

 

 

 

 

 

Affinion Group, Inc.,

 

 

 

 

B-

 

 

 

515

 

 

10.125%, 10/15/13

 

 

545,900

 

B-

 

 

 

100

 

 

11.50%, 10/15/15

 

 

104,250

 

Caa2

 

 

 

450

 

American Media Operations, Inc., Ser. B, 10.25%, 5/01/09

 

 

427,500

 

 

 

 

 

 

 

AOL Time Warner, Inc.,

 

 

 

 

BBB+

 

 

 

90

 

 

6.625%, 5/15/29

 

 

91,532

 

BBB+

 

 

 

3,040

 

 

7.57%, 2/01/24

 

 

3,340,507

 

BBB+

 

 

 

205

6

 

7.625%, 4/15/31

 

 

231,131

 

BBB+

 

 

 

85

 

 

7.70%, 5/01/32

 

 

96,806

 

BBB

 

 

 

55

5

BSKYB Finance UK PLC, 6.50%, 10/15/35 (United Kingdom)

 

 

54,926

 

B+

 

 

 

180

3

Cablevision Systems Corp., Ser. B, 9.87%, 4/01/09

 

 

188,550

 

 

 

 

 

 

 

Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.,

 

 

 

 

CCC

 

 

 

710

 

 

10.25%, 9/15/10

 

 

733,075

 

CCC

 

 

 

130

 

 

Ser. B, 10.25%, 9/15/10

 

 

133,900

 

B3

 

 

 

645

5

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

 

 

623,231

 

 

 

 

 

 

 

Comcast Corp.,

 

 

 

 

BBB+

 

 

 

790

 

 

6.45%, 3/15/37

 

 

800,499

 

BBB+

 

 

 

2,375

 

 

6.50%, 1/15/17-11/15/35

 

 

2,473,341

 

B+

 

 

 

270

 

CSC Holdings, Inc., 7.875%, 12/15/07

 

 

273,713

 

B

 

 

 

75

 

Dex Media West LLC/Dex Media Finance Co., Ser. B, 9.875%, 8/15/13

 

 

81,469

 

BB

 

 

 

125

 

DirecTV Holdings LLC/DirecTV Financing Co., 8.375%, 3/15/13

 

 

129,688

 

 

 

 

 

 

 

Echostar DBS Corp.,

 

 

 

 

BB-

 

 

 

175

 

 

5.75%, 10/01/08

 

 

173,906

 

BB-

 

 

 

290

5

 

7.00%, 10/01/13

 

 

287,462

 

BB-

 

 

 

75

5

 

7.125%, 2/01/16

 

 

73,313

 

B

 

 

 

250

 

General Cable Corp., 9.50%, 11/15/10

 

 

266,250

 

CCC+

 

 

 

100

5

Iesy Repository GMBH, 10.375%, 2/15/15 (Germany)

 

 

94,500

 

Ba3

 

 

 

450

 

LIN Television Corp., 6.50%, 5/15/13

 

 

426,937

 

B

 

 

 

180

 

Medianews Group, Inc., 6.875%, 10/01/13

 

 

167,175

 

B2

 

 

 

485

 

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

 

 

488,031

 

 

 

 

 

 

 

News America Holdings, Inc.,

 

 

 

 

BBB

 

 

 

985

 

 

7.625%, 11/30/28

 

 

1,105,441

 

BBB

 

 

 

825

 

 

7.70%, 10/30/25

 

 

927,237

 

BBB

 

 

 

625

 

 

8.45%, 8/01/34

 

 

759,851

 

B3

 

 

 

560

 

Nexstar Finance, Inc., 7.00%, 1/15/14

 

 

515,900

 

CCC+

 

 

 

965

5

Nielsen Finance LLC/Nielsen Finance Co., 10.00%, 8/01/14

 

 

1,006,012

 

B1

 

 

 

600

3,5

Paxson Communications Corp., 8.624%, 1/15/12

 

 

606,750

 

See Notes to Financial Statements.

17


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 


 

 

 

 

 

 

Media—(cont’d)

 

 

 

 

 

 

 

 

 

 

Primedia, Inc.,

 

 

 

 

B2

 

 

$

260

 

 

8.00%, 5/15/13

 

$

242,450

 

B2

 

 

 

190

 

 

8.875%, 5/15/11

 

 

189,525

 

B2

 

 

 

250

3

 

10.78%, 5/15/10

 

 

258,750

 

B

 

 

 

865

 

RH Donnelley Corp., Ser. A-3, 8.875%, 1/15/16

 

 

892,031

 

Caa1

 

 

 

165

 

Sirius Satellite Radio, Inc., 9.625%, 8/01/13

 

 

160,875

 

 

 

 

 

 

 

TCI Communications, Inc.,

 

 

 

 

BBB+

 

 

 

200

 

 

7.125%, 2/15/28

 

 

213,723

 

BBB+

 

 

 

620

 

 

7.875%, 8/01/13-2/15/26

 

 

708,878

 

BBB+

 

 

 

70

 

Time Warner Cos., Inc., 6.95%, 1/15/28

 

 

73,423

 

 

 

 

 

 

 

Vertis, Inc.,

 

 

 

 

B1

 

 

 

645

 

 

9.75%, 4/01/09

 

 

658,706

 

Caa3

 

 

 

65

5

 

13.50%, 12/07/09

 

 

58,825

 

Caa1

 

 

 

225

 

 

Ser. B, 10.875%, 6/15/09

 

 

223,875

 

Caa1

 

 

 

1,155

 

Young Broadcasting, Inc., 10.00%, 3/01/11

 

 

1,091,475

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Media

 

 

22,001,319

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Real Estate—1.0%

 

 

 

 

 

 

 

 

 

 

AvalonBay Communities, Inc.,

 

 

 

 

BBB+

 

 

 

350

 

 

6.625%, 9/15/11

 

 

369,260

 

BBB+

 

 

 

775

 

 

8.25%, 7/15/08

 

 

810,976

 

 

 

 

 

 

 

Rouse Co.,

 

 

 

 

BB+

 

 

 

895

 

 

3.625%, 3/15/09

 

 

845,839

 

BB+

 

 

 

1,650

 

 

5.375%, 11/26/13

 

 

1,540,077

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Real Estate

 

 

3,566,152

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Technology—1.2%

 

 

 

 

BB-

 

 

 

50

 

Advanced Micro Devices, Inc., 7.75%, 11/01/12

 

 

50,875

 

CCC+

 

 

 

825

 

Amkor Technology, Inc., 9.25%, 6/01/16

 

 

767,250

 

B+

 

 

 

250

 

Celestica, Inc., 7.625%, 7/01/13 (Canada)

 

 

250,625

 

B+

 

 

 

455

5

NXP BV/NXP Funding LLC, 9.50%, 10/15/15

 

 

458,981

 

B-

 

 

 

175

5

Sensata Technologies BV, 8.00%, 5/01/14 (Netherlands)

 

 

168,875

 

CCC+

 

 

 

280

 

SS&C Technologies, Inc., 11.75%, 12/01/13

 

 

301,000

 

 

 

 

 

 

 

Sungard Data Systems, Inc.,

 

 

 

 

B-

 

 

 

120

 

 

9.125%, 8/15/13

 

 

124,500

 

B-

 

 

 

340

3

 

9.973%, 8/15/13

 

 

353,600

 

B-

 

 

 

560

 

 

10.25%, 8/15/15

 

 

586,600

 

B

 

 

 

945

 

Superior Essex Communications LLC/Essex Group, Inc., 9.00%, 4/15/12

 

 

966,263

 

B-

 

 

 

180

3,5

UGS Capital Corp. II, 10.38%, 6/01/11

 

 

185,850

 

B-

 

 

 

410

 

UGS Corp., 10.00%, 6/01/12

 

 

442,800

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Technology

 

 

4,657,219

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Telecommunications—7.6%

 

 

 

 

A

 

 

 

1,700

 

Bellsouth Telecommunications, Zero Coupon, 12/15/95

 

 

899,528

 

BB-

 

 

 

210

 

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

 

 

216,300

 

CCC

 

 

 

415

5

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

 

 

424,337

 

 

 

 

 

 

 

Deutsche Telekom Intl. Finance BV,

 

 

 

 

A-

 

 

 

3,000

 

 

5.75%, 3/23/16

 

 

2,963,874

 

A-

 

 

 

25

 

 

8.25%, 6/15/30

 

 

31,055

 

B3

 

 

 

190

3

Hawaiian Telcom Communications, Inc., Ser. B, 10.889%, 5/01/13

 

 

194,750

 

 

 

 

 

 

 

Intelsat Ltd., (Bermuda)

 

 

 

 

BB-

 

 

 

295

 

 

8.625%, 1/15/15

 

 

306,062

 

BB-

 

 

 

500

5

 

9.25%, 6/15/16

 

 

533,750

 

BB-

 

 

 

105

3

 

10.484%, 1/15/12

 

 

106,444

 

B

 

 

 

200

5

 

11.25%, 6/15/16

 

 

217,750

 

B

 

 

 

800

3,5

 

11.64%, 6/15/13

 

 

848,000

 

 

 

 

 

 

 

Lucent Technologies, Inc.,

 

 

 

 

B1

 

 

 

155

 

 

6.45%, 3/15/29

 

 

138,725

 

B1

 

 

 

805

 

 

6.50%, 1/15/28

 

 

720,475

 

B+

 

 

 

770

5

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

 

 

806,575

 

B-

 

 

 

70

 

Nortel Networks Corp., 6.875%, 9/01/23 (Canada).

 

 

57,750

 

 

 

 

 

 

 

Nortel Networks Ltd.,

 

 

 

 

B-

 

 

 

530

3,5

 

9.624%, 7/15/11

 

 

547,225

 

B-

 

 

 

185

5

 

10.125%, 7/15/13

 

 

196,100

 

See Notes to Financial Statements.

18


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 


 

 

 

 

 

 

Telecommunications—(cont’d)

 

 

 

 

 

 

 

 

 

 

PanAmSat Corp.,

 

 

 

 

B

 

 

$

155

 

 

9.00%, 8/15/14

 

$

161,975

 

B

 

 

 

475

5

 

9.00%, 6/15/16

 

 

496,375

 

 

 

 

 

 

 

Qwest Corp.,

 

 

 

 

BB+

 

 

 

200

 

 

7.875%, 9/01/11

 

 

211,750

 

BB+

 

 

 

470

3

 

8.64%, 6/15/13

 

 

506,425

 

BB+

 

 

 

155

 

Rogers Wireless, Inc., 7.25%, 12/15/12 (Canada)

 

 

162,750

 

A

 

 

 

780

 

SBC Communications, Inc., 6.45%, 6/15/34

 

 

806,610

 

BBB+

 

 

 

1,715

 

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

 

 

1,757,232

 

 

 

 

 

 

 

Telecom Italia Capital SA,

 

 

 

 

BBB+

 

 

 

1,075

 

 

4.95%, 9/30/14

 

 

997,138

 

BBB+

 

 

 

1,550

 

 

6.00%, 9/30/34

 

 

1,419,136

 

BBB+

 

 

 

1,975

 

Telefonica Emisones SAU, 7.045%, 6/20/36 (Spain)

 

 

2,126,451

 

BBB+

 

 

 

725

 

Telefonica Europe BV, 7.75%, 9/15/10 (Netherlands)

 

 

784,512

 

A+

 

 

 

70

 

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

 

 

81,809

 

A+

 

 

 

125

 

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

 

 

103,777

 

 

 

 

 

 

 

Verizon New Jersey, Inc.,

 

 

 

 

A+

 

 

 

230

 

 

7.85%, 11/15/29

 

 

258,765

 

A+

 

 

 

335

 

 

Ser. A, 5.875%, 1/17/12

 

 

340,618

 

A+

 

 

 

3,150

 

Verizon Virginia, Inc., 4.625%, 3/15/13

 

 

2,953,812

 

 

 

 

 

 

 

Vodafone Group PLC,

 

 

 

 

A-

 

 

 

1,465

3

 

5.457%, 12/28/07

 

 

1,465,435

 

A-

 

 

 

2,504

 

 

7.75%, 2/15/10

 

 

2,687,290

 

 

 

 

 

 

 

West Corp.,

 

 

 

 

B-

 

 

 

65

5

 

9.50%, 10/15/14

 

 

64,675

 

B-

 

 

 

460

5

 

11.00%, 10/15/16

 

 

462,300

 

B+

 

 

 

350

5

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

 

 

388,937

 

 

 

 

 

 

 

Windstream Corp.,

 

 

 

 

BB+

 

 

 

500

5

 

8.125%, 8/01/13

 

 

533,750

 

BB+

 

 

 

280

5

 

8.625%, 8/01/16

 

 

302,050

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Telecommunications

 

 

28,282,272

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Transportation—0.2%

 

 

 

 

BB-

 

 

 

115

 

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

 

 

114,713

 

A-

 

 

 

350

 

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

 

 

380,246

 

B1

 

 

 

405

 

CHC Helicopter Corp., 7.375%, 5/01/14 (Canada)

 

 

386,775

 

B3

 

 

 

47

 

Horizon Lines LLC, 9.00%, 11/01/12

 

 

49,115

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Transportation

 

 

930,849

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Corporate Bonds

 

 

217,716,849

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

U.S. Government and Agency Securities—4.5%

 

 

 

 

 

 

 

 

1,670

 

Aid to Israel, 5.50%, 4/26/24-9/18/33

 

 

1,754,110

 

 

 

 

 

1,050

 

Resolution Funding Corp., Zero Coupon, 7/15/18-10/15/18

 

 

591,295

 

 

 

 

 

 

 

Tennessee Valley Authority,

 

 

 

 

 

 

 

 

1,655

 

 

Ser. C, 5.88%, 4/01/36

 

 

1,843,900

 

 

 

 

 

2,650

2

 

Ser. D, 4.875%, 12/15/16

 

 

2,647,207

 

 

 

 

 

 

 

U.S. Treasury Bonds,

 

 

 

 

 

 

 

 

6,718

 

 

2.00%, 1/15/26

 

 

6,420,943

 

 

 

 

 

865

 

 

4.50%, 2/15/36

 

 

834,860

 

 

 

 

 

2,900

 

U.S. Treasury Notes, 4.875%, 8/15/16

 

 

2,960,719

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total U.S. Government and Agency Securities

 

 

17,053,034

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Foreign Government Bonds—1.4%

 

 

 

 

 

 

 

 

 

 

United Mexican States,

 

 

 

 

Baa1

 

 

 

2,000

 

 

5.625%, 1/15/17

 

 

1,999,000

 

Baa1

 

 

 

400

 

 

6.75%, 9/27/34

 

 

431,000

 

Baa1

 

 

 

2,255

 

 

8.00%, 9/24/22

 

 

2,734,188

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Foreign Government Bonds

 

 

5,164,188

 

 

 

 

 

 

 

 

 



 

 

 





 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

Common Stocks—0.0%

 

 

 

 

 

 

 

 

1,895

7,8

Critical Care Systems Intl., Inc.

 

 

15,160

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Preferred Security—0.0%

 

 

 

 

 

 

 

 

45,000

 

Superior Essex Holding Corp., Ser. A, 9.50%

 

 

36,000

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Long-Term Investments (cost $380,313,478)

 

 

377,248,535

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

19


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

Description

 

Value

 


 

 

 

 

 

 

SHORT-TERM INVESTMENT—0.2%

 

 

 

 

 

 

 

 

 

 

U.S. Government and Agency Discount Note—0.2%

 

 

 

 

 

 

 

$

800

10

Federal Home Loan Bank Discount Note, 4.981%, 11/01/06 (cost $800,000)

 

$

800,000

 

 

 

 

 

 

 

 



 

 

 


 

 

 

 

 

 

 

Contracts/
Notional
Amount
(000)

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

OUTSTANDING OPTIONS PURCHASED—0.2%

 

 

 

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

 

 

 

4,900

 

 

Trust pays 3-month LIBOR, Trust receives 5.52%, expires 9/21/36

 

 

334,056

 

 

 

 

 

4,900

 

 

Trust pays 5.52%, Trust receives 3-month LIBOR, expires 9/21/36

 

 

288,565

 

 

 

 

 

43,600

 

 

Trust pays 5.40%, Trust receives 3-month LIBOR, expires 3/14/08

 

 

18,870

 

 

 

 

 

43,600

 

 

Trust pays 5.90%, Trust receives 3-month LIBOR, expires 3/14/08

 

 

1,024

 

 

 

 

 

74

 

U.S. Treasury Notes Future, expiring 2/23/07

 

 

17,344

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Outstanding Options Purchased (cost $690,998)

 

 

659,859

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Investments before outstanding options written (cost $381,804,47611)

 

 

378,708,394

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

OUTSTANDING OPTIONS WRITTEN—(0.6)%

 

 

 

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

 

 

 

(4,500

)

 

Trust pays 3-month LIBOR, Trust receives 5.485%, expires 10/28/19

 

 

(138,531

)

 

 

 

 

(4,500

)

 

Trust pays 5.485%, Trust receives 3-month LIBOR, expires 10/28/19

 

 

(208,665

)

 

 

 

 

(5,300

)

 

Trust pays 3-month LIBOR, Trust receives 5.135%, expires 4/21/08

 

 

(140,057

)

 

 

 

 

(5,300

)

 

Trust pays 5.135%, Trust receives 3-month LIBOR, expires 4/21/08

 

 

(140,057

)

 

 

 

 

(11,500

)

 

Trust pays 3-month LIBOR, Trust receives 5.67%, expires 1/04/10

 

 

(315,813

)

 

 

 

 

(11,500

)

 

Trust pays 5.67%, Trust receives 3-month LIBOR, expires 1/04/10

 

 

(617,520

)

 

 

 

 

(13,300

)

 

Trust pays 3-month LIBOR, Trust receives 4.725%, expires 6/13/07

 

 

(476,406

)

 

 

 

 

(13,300

)

 

Trust pays 4.725%, Trust receives 3-month LIBOR, expires 6/13/07

 

 

(77,805

)

 

 

 

 

(87,200

)

 

Trust pays 3-month LIBOR, Trust receives 5.65%, expires 3/14/08

 

 

(10,028

)

 

 

 

 

(37

)

U.S. Treasury Notes Future, expiring 11/21/06

 

 

(2,890

)

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Outstanding Options Written (premium received $3,059,631)

 

 

(2,127,772

)

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Investments net of outstanding options written—100.8%

 

$

376,580,622

 

 

 

 

 

 

 

Liabilities in excess of other assets—(0.8)%

 

 

(3,062,498

)

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Net Assets—100%

 

$

373,518,124

 

 

 

 

 

 

 

 

 



 


 

 


1

Using the highest of S&P’s, Moody’s or Fitch’s ratings.

2

Entire or partial principal amount pledged as collateral for reverse repurchase agreements. See Note 4 in the Notes to Financial Statements for details of open reverse repurchase agreements.

3

Variable rate security. Rate shown is interest rate as of October 31, 2006.

4

Represents an investment in an affiliate.

5

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2006, the Trust held 11.0% of its net assets, with a current market value of $41,146,258, in securities restricted as to resale.

6

Security, or a portion thereof, pledged as collateral with a value of $3,154,652 on 26 long U.S. Treasury Note futures contracts expiring March 2007, 1,495 long U.S. Treasury Bond futures contracts expiring December 2006, 163 short Eurodollar futures contracts expiring December 2007 and 1,558 short U.S. Treasury Note futures contracts expiring December 2006. The notional value of such contracts on October 31, 2006 was $32,137,119, with an unrealized gain of $2,423,434.

7

Security is fair valued.

8

Illiquid security. As of October 31, 2006, the Trust held 0.8% of its net assets, with a current market value of $2,887,082, in these securities.

9

Non-income producing security.

10

Rate shown is the yield to maturity as of the date of purchase.

11

Cost for federal income tax purposes is $382,268,326. The net unrealized depreciation on a tax basis is $3,559,932, consisting of $5,026,453 gross unrealized appreciation and $8,586,385 gross unrealized depreciation.

 

A category in the Corporate Bonds section may contain multiple industries as defined by the SEC’s Standard Industry Codes.

KEY TO ABBREVIATIONS

EUR – Euro
LIBOR – London Interbank Offered Rate

See Notes to Financial Statements.

20



 

 

PORTFOLIO OF INVESTMENTS
OCTOBER 31, 2006

 

BlackRock High Yield Trust (BHY)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 








 

 

 

 

 

 

LONG-TERM INVESTMENTS—132.7%

 

 

 

 

 

 

 

 

 

 

Corporate Bonds—128.9%

 

 

 

 

 

 

 

 

 

 

Aerospace & Defense—3.7%

 

 

 

 

 

 

 

 

 

 

AAR Corp.,

 

 

 

 

BB

 

 

$

370

 

 

6.875%, 12/15/07

 

$

370,000

 

NR

 

 

 

350

2

 

Ser. A2, 8.39%, 5/15/11

 

 

353,500

 

B

 

 

 

325

 

Argo-Tech Corp., 9.25%, 6/01/11

 

 

337,188

 

NR

 

 

 

1,500

3

Condor Systems, Inc., Ser. B, 11.875%, 5/01/09

 

 

 

B

 

 

 

565

 

DI Finance/DynCorp Intl., Ser. B, 9.50%, 2/15/13

 

 

587,600

 

 

 

 

 

 

 

DRS Technologies, Inc.,

 

 

 

 

B

 

 

 

40

 

 

6.875%, 11/01/13

 

 

40,000

 

B

 

 

 

100

 

 

7.625%, 2/01/18

 

 

102,250

 

BB+

 

 

 

20

 

L-3 Communications Corp., 5.875%, 1/15/15

 

 

19,350

 

BB

 

 

 

40

 

Sequa Corp., 9.00%, 8/01/09

 

 

42,200

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Aerospace & Defense

 

 

1,852,088

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Automotive—3.3%

 

 

 

 

 

 

 

 

 

 

Autonation, Inc.,

 

 

 

 

BB+

 

 

 

90

 

 

7.00%, 4/15/14

 

 

89,550

 

BB+

 

 

 

80

4

 

7.374%, 4/15/13

 

 

80,600

 

BB-

 

 

 

20

4,5

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 7.905%, 5/15/14

 

 

19,550

 

B3

 

 

 

150

4

Delco Remy Intl., Inc., 9.374%, 4/15/09

 

 

145,500

 

B-

 

 

 

150

 

Keystone Automotive Operations, Inc., 9.75%, 11/01/13

 

 

144,750

 

B

 

 

 

305

 

Lear Corp., Ser. B, 8.11%, 5/15/09

 

 

309,194

 

CCC+

 

 

 

255

 

Metaldyne Corp., 10.00%, 11/01/13

 

 

261,375

 

B+

 

 

 

250

 

Rent-A-Center, Inc., 7.50%, 5/01/10

 

 

249,375

 

CCC+

 

 

 

350

 

Stanadyne Corp., 10.00%, 8/15/14

 

 

357,000

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Automotive

 

 

1,656,894

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Basic Materials—13.8%

 

 

 

 

B+

 

 

 

265

 

Abitibi-Consolidated, Inc., 6.00%, 6/20/13 (Canada)

 

 

210,675

 

B+

 

 

 

185

 

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

 

 

185,000

 

B-

 

 

 

205

 

Alpha Natural Resources LLC/Alpha Natural Resources Capital Corp., 10.00%, 6/01/12

 

 

220,375

 

B-

 

 

 

70

4,5

BCI US Finance Corp./Borden 2 Nova Scotia Finance ULC, 11.874%, 7/15/10

 

 

71,400

 

BB-

 

 

 

130

4

Bowater, Inc., 8.39%, 3/15/10

 

 

131,300

 

BB-

 

 

 

175

 

Cascades, Inc., 7.25%, 2/15/13 (Canada)

 

 

171,500

 

B+

 

 

 

170

 

Catalyst Paper Corp., 7.375%, 3/01/14 (Canada)

 

 

157,675

 

BB+

 

 

 

50

 

Chemtura Corp., 6.875%, 6/01/16

 

 

48,875

 

B-

 

 

 

150

 

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

 

 

153,000

 

 

 

 

 

 

 

Domtar, Inc.,

 

 

 

 

B2

 

 

 

40

 

 

7.125%, 8/15/15

 

 

38,200

 

B2

 

 

 

180

 

 

7.875%, 10/15/11

 

 

183,825

 

B+

 

 

 

90

 

Donohue Forest Products, 7.625%, 5/15/07 (Canada)

 

 

90,000

 

 

 

 

 

 

 

Equistar Chemicals LP/Equistar Funding Corp.,

 

 

 

 

BB-

 

 

 

50

 

 

8.75%, 2/15/09

 

 

52,000

 

BB-

 

 

 

115

 

 

10.125%, 9/01/08

 

 

121,900

 

BB-

 

 

 

100

 

 

10.625%, 5/01/11

 

 

107,000

 

Baa3

 

 

 

50

 

Hercules, Inc., 6.60%, 8/01/27

 

 

50,000

 

 

 

 

 

 

 

Huntsman LLC,

 

 

 

 

B2

 

 

 

95

 

 

11.50%, 7/15/12

 

 

107,588

 

Ba3

 

 

 

365

 

 

11.625%, 10/15/10

 

 

402,412

 

BB

 

 

 

35

 

IMC Global, Inc., Ser. B, 10.875%, 6/01/08

 

 

37,756

 

B2

 

 

 

190

5

Ineos Group Holdings PLC, 8.50%, 2/15/16 (United Kingdom)

 

 

182,875

 

B3

 

 

 

645

 

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

 

 

643,387

 

Baa3

 

 

 

325

 

Ipsco, Inc., 8.75%, 6/01/13 (Canada)

 

 

346,125

 

BBB

 

 

 

366

 

Ispat Inland ULC, 9.75%, 4/01/14 (Canada)

 

 

409,920

 

B

 

 

 

75

 

Jacuzzi Brands, Inc., 9.625%, 7/01/10

 

 

80,344

 

 

 

 

 

 

 

Lyondell Chemical Co.,

 

 

 

 

BB-

 

 

 

130

 

 

8.00%, 9/15/14

 

 

132,925

 

BB-

 

 

 

225

 

 

8.25%, 9/15/16

 

 

231,750

 

BB+

 

 

 

260

 

 

10.50%, 6/01/13

 

 

286,000

 


See Notes to Financial Statements.

21



BlackRock High Yield Trust (BHY) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 








 

 

 

 

 

 

Basic Materials—(cont’d)

 

 

 

 

BB

 

 

$

100

 

Millennium America, Inc., 9.25%, 6/15/08

 

$

103,000

 

B-

 

 

 

340

 

Nalco Co., 8.875%, 11/15/13

 

 

357,850

 

 

 

 

 

 

 

NewPage Corp.,

 

 

 

 

B3

 

 

 

450

 

 

10.00%, 5/01/12

 

 

471,375

 

Caa1

 

 

 

80

 

 

12.00%, 5/01/13

 

 

83,600

 

 

 

 

 

 

 

Nova Chemicals Corp.,

 

 

 

 

BB

 

 

 

75

 

 

6.50%, 1/15/12

 

 

70,500

 

BB

 

 

 

390

4

 

8.405%, 11/15/13

 

 

396,825

 

CCC+

 

 

 

310

5

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

 

 

328,600

 

B+

 

 

 

153

 

Rhodia SA, 10.25%, 6/01/10 (France)

 

 

173,272

 

BB

 

 

 

125

 

Russel Metals, Inc., 6.375%, 3/01/14 (Canada)

 

 

117,813

 

B-

 

 

 

10

5

Verso Paper Holdings LLC/Verson Paper, Inc., 11.375%, 8/01/16

 

 

10,150

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Basic Materials

 

 

6,966,792

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Building & Development—3.8%

 

 

 

 

B+

 

 

 

40

4

Ainsworth Lumber Co. Ltd., 9.122%, 10/01/10 (Canada)

 

 

31,800

 

B

 

 

 

575

 

ERICO Intl. Corp., 8.875%, 3/01/12

 

 

599,437

 

 

 

 

 

 

 

Goodman Global Holding Co., Inc.,

 

 

 

 

B-

 

 

 

160

 

 

7.875%, 12/15/12

 

 

153,600

 

B1

 

 

 

32

4

 

8.329%, 6/15/12

 

 

32,480

 

BB+

 

 

 

250

 

K Hovnanian Enterprises, Inc., 6.25%, 1/15/15

 

 

230,000

 

B3

 

 

 

110

 

Nortek, Inc., 8.50%, 9/01/14

 

 

105,050

 

 

 

 

 

 

 

North American Energy Partners, Inc.,

 

 

 

 

Caa1

 

 

 

335

 

 

8.75%, 12/01/11

 

 

331,650

 

B1

 

 

 

375

 

 

9.00%, 6/01/10

 

 

408,750

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Building & Development

 

 

1,892,767

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Business Equipment & Services—0.2%

 

 

 

 

Ba2

 

 

 

100

5

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

 

 

102,250

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Consumer Products—8.2%

 

 

 

 

B3

 

 

 

50

 

ALH Finance LLC, 8.50%, 1/15/13

 

 

49,625

 

CCC+

 

 

 

265

4

Ames True Temper, Inc., 9.374%, 1/15/12

 

 

267,650

 

B3

 

 

 

160

5

Burlington Coat Factory Warehouse Corp., 11.125%, 4/15/14

 

 

157,400

 

B2

 

 

 

90

5

Education Management LLC/Education Management Corp., 8.75%, 6/01/14

 

 

92,250

 

B-

 

 

 

190

 

Finlay Fine Jewelry Corp., 8.375%, 6/01/12

 

 

171,000

 

B

 

 

 

294

 

Gold Kist, Inc., 10.25%, 3/15/14

 

 

337,365

 

B2

 

 

 

175

5

Knowledge Learning Corp., Inc., 7.75%, 2/01/15

 

 

165,813

 

B-

 

 

 

485

 

Lazydays RV Center, Inc., 11.75%, 5/15/12

 

 

470,450

 

B

 

 

 

50

4

Levi Strauss & Co., 10.122%, 4/01/12

 

 

51,563

 

CC

 

 

 

380

 

Merisant Co., 9.50%, 7/15/13

 

 

235,600

 

 

 

 

 

 

 

Michaels Stores, Inc.,

 

 

 

 

B2

 

 

 

260

5

 

10.00%, 11/01/14

 

 

260,325

 

Caa1

 

 

 

330

5

 

11.375%, 11/01/16

 

 

333,712

 

C

 

 

 

1,200

2,3

Nebco Evans Holding Co., 12.375%, 7/15/07

 

 

 

B2

 

 

 

95

 

Neiman-Marcus Group, Inc., 9.00%, 10/15/15

 

 

101,888

 

B3

 

 

 

60

4,5

Nutro Products, Inc., 9.40%, 10/15/13

 

 

61,650

 

B

 

 

 

265

 

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

 

 

268,312

 

BB-

 

 

 

100

 

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

 

 

96,250

 

BB+

 

 

 

120

5

Reynolds American, Inc., 7.625%, 6/01/16

 

 

127,413

 

CCC

 

 

 

150

 

Spectrum Brands, Inc., 7.375%, 2/01/15

 

 

121,500

 

 

 

 

 

 

 

United Rentals NA, Inc.,

 

 

 

 

B

 

 

 

640

 

 

7.00%, 2/15/14

 

 

612,800

 

B

 

 

 

130

 

 

7.75%, 11/15/13

 

 

129,675

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Consumer Products

 

 

4,112,241

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Containers & Packaging—4.1%

 

 

 

 

 

 

 

 

 

 

Berry Plastics Holding Corp.,

 

 

 

 

B2

 

 

 

340

5

 

8.875%, 9/15/14

 

 

343,400

 

B2

 

 

 

100

4,5

 

9.265%, 9/15/14

 

 

101,125

 

B+

 

 

 

160

 

Crown Americas LLC/Crown Americas Capital Corp., 7.75%, 11/15/15

 

 

164,200

 

B

 

 

 

540

 

Crown Cork & Seal, Inc., 8.00%, 4/15/23

 

 

518,400

 

B

 

 

 

115

 

Crown European Holdings SA, 7.375%, 12/15/26

 

 

106,087

 

CCC+

 

 

 

110

 

Graham Packaging Co., Inc., 8.50%, 10/15/12

 

 

109,450

 

See Notes to Financial Statements.

22



BlackRock High Yield Trust (BHY) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 








 

 

 

 

 

 

Containers & Packaging—(cont’d)

 

 

 

 

B-

 

 

$

65

 

Graphic Packaging Intl., Inc., 9.50%, 8/15/13

 

$

66,788

 

B1

 

 

 

210

4,5

Impress Holdings BV, 8.512%, 9/15/13

 

 

211,657

 

B+

 

 

 

412

 

Smurfit-Stone Container Enterprises, Inc., 9.75%, 2/01/11

 

 

424,875

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Containers & Packaging

 

 

2,045,982

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Ecological Services & Equipment—0.5%

 

 

 

 

BB-

 

 

 

80

 

Allied Waste NA, Inc., Ser. B, 8.50%, 12/01/08

 

 

84,200

 

Caa1

 

 

 

185

 

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

 

 

189,625

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Ecological Services & Equipment

 

 

273,825

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Energy—20.9%

 

 

 

 

B+

 

 

 

135

 

AES Red Oak LLC, Ser. A, 8.54%, 11/30/19

 

 

144,677

 

Ba1

 

 

 

195

 

ANR Pipeline Co., 9.625%, 11/01/21

 

 

242,688

 

B

 

 

 

80

 

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

 

 

79,800

 

Ba1

 

 

 

146

 

CE Generation LLC, 7.416%, 12/15/18

 

 

150,293

 

CCC+

 

 

 

100

 

Chaparral Energy, Inc., 8.50%, 12/01/15

 

 

99,750

 

 

 

 

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

BB

 

 

 

90

 

 

6.375%, 6/15/15

 

 

86,850

 

BB

 

 

 

250

 

 

6.625%, 1/15/16

 

 

244,687

 

BB

 

 

 

20

 

 

6.875%, 11/15/20

 

 

19,000

 

BB-

 

 

 

10

 

CMS Energy Corp., 7.50%, 1/15/09

 

 

10,275

 

Ba1

 

 

 

40

 

Colorado Interstate Gas Co., 6.80%, 11/15/15

 

 

40,651

 

BB-

 

 

 

140

 

Compagnie Generale de Geophysique SA, 7.50%, 5/15/15 (France)

 

 

138,250

 

B

 

 

 

290

 

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

 

 

274,775

 

B

 

 

 

70

 

Copano Energy LLC, 8.125%, 3/01/16

 

 

71,225

 

B+

 

 

 

30

 

Denbury Resources, Inc., 7.50%, 12/15/15

 

 

30,000

 

CCC+

 

 

 

260

2

East Cameron Gas Co., 11.25%, 7/09/19 (Cayman Islands)

 

 

249,600

 

 

 

 

 

 

 

El Paso Corp.,

 

 

 

 

B

 

 

 

60

 

 

7.75%, 6/15/10

 

 

62,250

 

B

 

 

 

250

 

 

9.625%, 5/15/12

 

 

277,500

 

B

 

 

 

215

 

 

10.75%, 10/01/10

 

 

239,725

 

Ba1

 

 

 

65

 

El Paso Natural Gas Co., 7.625%, 8/01/10

 

 

67,113

 

Ba1

 

 

 

509

 

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

 

 

539,069

 

 

 

 

 

 

 

Encore Acquisition Co.,

 

 

 

 

B1

 

 

 

40

 

 

6.00%, 7/15/15

 

 

36,500

 

B1

 

 

 

30

 

 

7.25%, 12/01/17

 

 

28,875

 

B-

 

 

 

370

 

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

 

 

356,125

 

BB-

 

 

 

65

 

Frontier Oil Corp., 6.625%, 10/01/11

 

 

64,188

 

BB+

 

 

 

50

 

Grant Prideco, Inc., Ser. B, 6.125%, 8/15/15

 

 

47,813

 

B

 

 

 

195

 

Hanover Compressor Co., 8.625%, 12/15/10

 

 

202,800

 

B

 

 

 

170

5

Hilcorp Energy I LP/Hilcorp Finance Corp., 10.50%, 9/01/10

 

 

182,325

 

BBB-

 

 

 

98

 

Homer City Funding LLC, 8.734%, 10/01/26

 

 

110,458

 

BB-

 

 

 

5

 

Hornbeck Offshore Services, Inc., 6.125%, 12/01/14

 

 

4,656

 

B-

 

 

 

420

 

KCS Energy, Inc., 7.125%, 4/01/12

 

 

403,200

 

 

 

 

 

 

 

Midwest Generation LLC,

 

 

 

 

BB+

 

 

 

95

 

 

8.75%, 5/01/34

 

 

102,719

 

Ba2

 

 

 

96

 

 

Ser. B, 8.56%, 1/02/16

 

 

103,683

 

 

 

 

 

 

 

Mirant Americas Generation LLC,

 

 

 

 

Caa1

 

 

 

350

 

 

8.30%, 5/01/11

 

 

354,375

 

Caa1

 

 

 

135

 

 

8.50%, 10/01/21

 

 

132,975

 

Caa1

 

 

 

90

 

 

9.125%, 5/01/31

 

 

93,150

 

BB-

 

 

 

610

 

Mission Energy Holdings Co., 13.50%, 7/15/08

 

 

680,150

 

BB-

 

 

 

30

 

Newfield Exploration Co., 6.625%, 9/01/14

 

 

29,513

 

 

 

 

 

 

 

NRG Energy, Inc.,

 

 

 

 

B+

 

 

 

130

 

 

7.25%, 2/01/14

 

 

131,463

 

B+

 

 

 

385

 

 

7.375%, 2/01/16

 

 

389,331

 

B2

 

 

 

345

 

Orion Power Holdings, Inc., 12.00%, 5/01/10

 

 

391,575

 

BB-

 

 

 

70

 

Plains Exploration & Production Co., 7.125%, 6/15/14

 

 

75,075

 

BB

 

 

 

210

 

Pride Intl., Inc., 7.375%, 7/15/14

 

 

216,825

 

B

 

 

 

185

 

Range Resources Corp., 7.375%, 7/15/13

 

 

186,850

 

See Notes to Financial Statements.

23



BlackRock High Yield Trust (BHY) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 








 

 

 

 

 

 

Energy—(cont’d)

 

 

 

 

 

 

 

 

 

 

Reliant Energy, Inc.,

 

 

 

 

BB-

 

 

$

390

 

 

6.75%, 12/15/14

 

$

371,962

 

BB-

 

 

 

180

 

 

9.25%, 7/15/10

 

 

186,300

 

B+

 

 

 

210

5

SemGroup LP, 8.75%, 11/15/15

 

 

211,575

 

Ba2

 

 

 

40

 

Sithe Independence Funding, Ser. A, 9.00%, 12/30/13

 

 

44,160

 

B

 

 

 

250

4,5

Stone Energy Corp., 8.124%, 7/15/10

 

 

248,437

 

B3

 

 

 

200

5

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

 

 

199,500

 

Ba1

 

 

 

160

 

Tennessee Gas Pipeline Co., 8.375%, 6/15/32

 

 

186,014

 

 

 

 

 

 

 

Transcontinental Gas Pipe Line Corp.,

 

 

 

 

BBB-

 

 

 

65

 

 

7.25%, 12/01/26

 

 

67,275

 

BBB-

 

 

 

400

 

 

Ser. B, 8.875%, 7/15/12

 

 

449,000

 

BBB-

 

 

 

130

 

TXU Corp., 6.55%, 11/15/34

 

 

124,077

 

B+

 

 

 

115

 

Utilicorp Finance Corp., 7.75%, 6/15/11 (Canada)

 

 

121,442

 

B1

 

 

 

495

 

Whiting Petroleum Corp., 7.25%, 5/01/12-5/01/13

 

 

489,125

 

 

 

 

 

 

 

Williams Cos., Inc.,

 

 

 

 

BB+

 

 

 

355

 

 

7.625%, 7/15/19

 

 

373,637

 

BB+

 

 

 

75

 

 

8.75%, 3/15/32

 

 

83,250

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Energy

 

 

10,548,556

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Entertainment & Leisure—5.5%

 

 

 

 

 

 

 

 

 

 

AMC Entertainment, Inc.,

 

 

 

 

B3

 

 

 

150

 

 

9.50%, 2/01/11

 

 

150,563

 

B3

 

 

 

150

 

 

11.00%, 2/01/16

 

 

165,938

 

B3

 

 

 

40

 

Cinemark, Inc., Zero Coupon, 3/15/14

 

 

32,550

 

 

 

 

 

 

 

Gaylord Entertainment Co.,

 

 

 

 

B-

 

 

 

280

 

 

6.75%, 11/15/14

 

 

268,100

 

B-

 

 

 

40

 

 

8.00%, 11/15/13

 

 

40,700

 

B3

 

 

 

185

5

Greektown Holdings LLC, 10.75%, 12/01/13

 

 

195,637

 

BB

 

 

 

60

 

MGM Mirage, 6.75%, 9/01/12

 

 

58,200

 

B

 

 

 

80

5

Pokagon Gaming Authority, 10.375%, 6/15/14

 

 

85,800

 

B3

 

 

 

305

 

Poster Financial Group, Inc., 8.75%, 12/01/11

 

 

317,962

 

B-

 

 

 

185

 

Riddell Bell Holdings, Inc., 8.375%, 10/01/12

 

 

183,150

 

BB

 

 

 

140

 

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

 

 

140,875

 

Ba3

 

 

 

100

 

Station Casinos, Inc., 6.625%, 3/15/18

 

 

88,750

 

 

 

 

 

 

 

Travelport, Inc.,

 

 

 

 

B-

 

 

 

240

5

 

9.875%, 9/01/14

 

 

236,700

 

B-

 

 

 

250

5

 

11.875%, 9/01/16

 

 

246,250

 

B

 

 

 

435

 

Virgin River Casino, 9.00%, 1/15/12

 

 

441,525

 

B+

 

 

 

50

 

Warner Music Group, Inc., 7.375%, 4/15/14

 

 

48,875

 

BB-

 

 

 

70

 

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625%, 12/01/14

 

 

68,600

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Entertainment & Leisure

 

 

2,770,175

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Financial Institutions—18.6%

 

 

 

 

B+

 

 

 

459

 

AES Ironwood LLC, 8.857%, 11/30/25

 

 

502,275

 

B+

 

 

 

500

 

AES Red Oak LLC, Ser. B, 9.20%, 11/30/29

 

 

555,625

 

 

 

 

 

 

 

American Real Estate Partners LP/American Real Estate Finance Corp.,

 

 

 

 

BB+

 

 

 

185

 

 

7.125%, 2/15/13

 

 

184,538

 

BB+

 

 

 

300

 

 

8.125%, 6/01/11

 

 

306,750

 

B

 

 

 

238

 

BCP Crystal US Holdings Corp., 9.625%, 6/15/14 (Luxembourg)

 

 

261,205

 

BB

 

 

 

285

 

Crum & Forster Holdings Corp., 10.375%, 6/15/13

 

 

295,687

 

B+

 

 

 

500

5

Dow Jones CDX HY, Ser. 6-T1, 8.625%, 6/29/11

 

 

511,875

 

BB

 

 

 

25

 

Fairfax Financial Holdings Ltd., 6.875%, 4/15/08 (Canada)

 

 

24,563

 

Ba3

 

 

 

2,500

5

First Dominion Funding II, Ser. 1A, 11.614%, 4/25/14 (Cayman Islands)

 

 

2,550,000

 

BB-

 

 

 

35

 

Ford Motor Credit Co., 5.70%, 1/15/10

 

 

32,413

 

BB

 

 

 

370

 

General Motors Acceptance Corp., 6.875%, 9/15/11-8/28/12

 

 

371,244

 

 

 

 

 

 

 

iPayment, Inc.,

 

 

 

 

CCC+

 

 

 

325

5

 

9.75%, 5/15/14

 

 

333,937

 

NR

 

 

 

530

2,4,5

 

12.75%, 7/15/14

 

 

529,337

 

B-

 

 

 

200

 

K&F Acquisition, Inc., 7.75%, 11/15/14

 

 

202,500

 

B+

 

 

 

290

5

Nell AF SARL, 8.375%, 8/15/15 (Luxembourg)

 

 

294,350

 

 

 

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

B+

 

 

 

310

5

 

8.75%, 9/01/12

 

 

325,887

 

B+

 

 

 

490

5

 

10.375%, 9/01/14

 

 

545,125

 

See Notes to Financial Statements.

24



BlackRock High Yield Trust (BHY) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 








 

 

 

 

 

 

Financial Institutions—(cont’d)

 

 

 

 

B-

 

 

$

540

 

Standard Aero Holdings, Inc., 8.25%, 9/01/14

 

$

535,950

 

B-

 

 

 

30

4

Universal City Florida Holding Co. I/II, 10.121%, 5/01/10

 

 

30,863

 

Aa3

 

 

 

70

 

Western Financial Bank, 9.625%, 5/15/12

 

 

77,136

 

C

 

 

 

2,000

5

Zais Investment Grade Ltd., Class C, 9.95%, 9/23/14 (Cayman Islands)

 

 

877,600

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Financial Institutions

 

 

9,348,860

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Health Care—3.4%

 

 

 

 

B

 

 

 

320

5

Angiotech Pharmaceuticals, Inc., 7.75%, 4/01/14 (Canada)

 

 

304,000

 

 

 

 

 

 

 

Coventry Health Care, Inc.,

 

 

 

 

BBB-

 

 

 

80

 

 

5.875%, 1/15/12

 

 

79,438

 

BBB-

 

 

 

80

 

 

6.125%, 1/15/15

 

 

79,721

 

 

 

 

 

 

 

Healthsouth Corp.,

 

 

 

 

CCC+

 

 

 

425

5

 

10.75%, 6/15/16

 

 

435,625

 

CCC+

 

 

 

170

4,5

 

11.418%, 6/15/14

 

 

173,825

 

B2

 

 

 

135

 

Norcross Safety Products LLC/Norcross Capital Corp., 9.875%, 8/15/11

 

 

143,100

 

B-

 

 

 

110

 

Tenet Healthcare Corp., 6.875%, 11/15/31

 

 

85,250

 

B-

 

 

 

405

 

Universal Hospital Services, Inc., 10.125%, 11/01/11

 

 

428,288

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Health Care

 

 

1,729,247

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Industrials—4.0%

 

 

 

 

B2

 

 

 

200

5

AGY Holding Corp., 11.00%, 11/15/14

 

 

199,750

 

B-

 

 

 

195

 

Concentra Operating Corp., 9.125%, 6/01/12

 

 

203,775

 

B

 

 

 

80

 

Hexcel Corp., 6.75%, 2/01/15

 

 

77,600

 

B3

 

 

 

185

 

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

 

 

172,050

 

CCC+

 

 

 

50

 

Polypore, Inc., 8.75%, 5/15/12

 

 

48,875

 

 

 

 

 

 

 

RBS Global, Inc./Rexnord Corp.,

 

 

 

 

B3

 

 

 

270

5

 

9.50%, 8/01/14

 

 

279,450

 

CCC+

 

 

 

255

5

 

11.75%, 8/01/16

 

 

265,200

 

B3

 

 

 

510

5

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

 

 

532,950

 

B+

 

 

 

55

 

Terex Corp., 7.375%, 1/15/14

 

 

55,825

 

B3

 

 

 

210

 

Trimas Corp., 9.875%, 6/15/12

 

 

197,925

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Industrials

 

 

2,033,400

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Media—14.7%

 

 

 

 

 

 

 

 

 

 

Affinion Group, Inc.,

 

 

 

 

B-

 

 

 

215

 

 

10.125%, 10/15/13

 

 

227,900

 

B-

 

 

 

80

 

 

11.50%, 10/15/15

 

 

83,400

 

Caa2

 

 

 

210

 

American Media Operations, Inc., Ser. B, 10.25%, 5/01/09

 

 

199,500

 

B+

 

 

 

175

4

Cablevision Systems Corp., Ser. B, 9.87%, 4/01/09

 

 

183,313

 

CCC+

 

 

 

60

 

CBD Media Holdings LLC/CBD Holdings Finance, Inc., 9.25%, 7/15/12

 

 

59,775

 

 

 

 

 

 

 

Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.,

 

 

 

 

CCC

 

 

 

605

 

 

10.25%, 9/15/10

 

 

624,662

 

CCC

 

 

 

75

 

 

Ser. B, 10.25%, 9/15/10

 

 

77,250

 

B3

 

 

 

290

5

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

 

 

280,212

 

B+

 

 

 

45

 

CSC Holdings, Inc., Ser. B, 7.625%, 4/01/11

 

 

45,394

 

B

 

 

 

50

 

Dex Media West LLC/Dex Media Finance Co., Ser. B, 9.875%, 8/15/13

 

 

54,313

 

BB

 

 

 

125

 

DirecTV Holdings LLC/DirecTV Financing Co., 8.375%, 3/15/13

 

 

129,688

 

 

 

 

 

 

 

Echostar DBS Corp.,

 

 

 

 

BB-

 

 

 

15

 

 

6.375%, 10/01/11

 

 

14,850

 

BB-

 

 

 

200

5

 

7.00%, 10/01/13

 

 

198,250

 

BB-

 

 

 

260

5

 

7.125%, 2/01/16

 

 

254,150

 

B

 

 

 

325

 

General Cable Corp., 9.50%, 11/15/10

 

 

346,125

 

CCC+

 

 

 

75

5

Iesy Repository GMBH, 10.375%, 2/15/15 (Germany)

 

 

70,875

 

Ba3

 

 

 

325

 

LIN Television Corp., 6.50%, 5/15/13

 

 

308,344

 

B

 

 

 

165

 

Medianews Group, Inc., 6.875%, 10/01/13

 

 

153,244

 

B2

 

 

 

290

 

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

 

 

291,812

 

B3

 

 

 

325

 

Nexstar Finance, Inc., 7.00%, 1/15/14

 

 

299,406

 

CCC+

 

 

 

445

5

Nielsen Finance LLC/Nielsen Finance Co., 10.00%, 8/01/14

 

 

463,912

 

B1

 

 

 

125

4,5

Paxson Communications Corp., 8.624%, 1/15/12

 

 

126,406

 

 

 

 

 

 

 

Primedia, Inc.,

 

 

 

 

B2

 

 

 

430

 

 

8.00%, 5/15/13

 

 

400,975

 

B2

 

 

 

120

 

 

8.875%, 5/15/11

 

 

119,700

 

B2

 

 

 

155

4

 

10.78%, 5/15/10

 

 

160,425

 

See Notes to Financial Statements.

25



BlackRock High Yield Trust (BHY) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 








 

 

 

 

 

 

Media—(cont’d)

 

 

 

 

B

 

 

$

1,035

 

RH Donnelley Corp., Ser. A-3, 8.875%, 1/15/16

 

$

1,067,344

 

BB

 

 

 

165

 

Scholastic Corp., 5.00%, 4/15/13

 

 

147,403

 

 

 

 

 

 

 

Vertis, Inc.,

 

 

 

 

B1

 

 

 

280

 

 

9.75%, 4/01/09

 

 

285,950

 

Caa3

 

 

 

35

5

 

13.50%, 12/07/09

 

 

31,675

 

Caa1

 

 

 

145

 

 

Ser. B, 10.875%, 6/15/09

 

 

144,275

 

Caa1

 

 

 

595

 

Young Broadcasting, Inc., 10.00%, 3/01/11

 

 

562,275

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Media

 

 

7,412,803

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Technology—6.1%

 

 

 

 

BB-

 

 

 

30

 

Advanced Micro Devices, Inc., 7.75%, 11/01/12

 

 

30,525

 

CCC+

 

 

 

445

 

Amkor Technology, Inc., 9.25%, 6/01/16

 

 

413,850

 

B+

 

 

 

350

 

Celestica, Inc., 7.625%, 7/01/13 (Canada)

 

 

350,875

 

B+

 

 

 

60

5

Hynix Semiconductor, Inc., 9.875%, 7/01/12 (South Korea)

 

 

66,450

 

B+

 

 

 

195

5

NXP BV/NXP Funding LLC, 9.50%, 10/15/15

 

 

196,706

 

B-

 

 

 

100

5

Sensata Technologies BV, 8.00%, 5/01/14 (Netherlands)

 

 

96,500

 

CCC+

 

 

 

210

 

SS&C Technologies, Inc., 11.75%, 12/01/13

 

 

225,750

 

BB

 

 

 

105

 

STATS ChipPAC Ltd., 6.75%, 11/15/11 (Singapore)

 

 

101,850

 

 

 

 

 

 

 

Sungard Data Systems, Inc.,

 

 

 

 

B-

 

 

 

95

 

 

9.125%, 8/15/13

 

 

98,563

 

B-

 

 

 

230

4

 

9.973%, 8/15/13

 

 

239,200

 

B-

 

 

 

445

 

 

10.25%, 8/15/15

 

 

466,137

 

B

 

 

 

305

 

Superior Essex Communications LLC/Essex Group, Inc., 9.00%, 4/15/12

 

 

311,863

 

B-

 

 

 

100

4,5

UGS Capital Corp. II, 10.38%, 6/01/11

 

 

103,250

 

B-

 

 

 

305

 

UGS Corp., 10.00%, 6/01/12

 

 

329,400

 

BBB-

 

 

 

60

 

Xerox Corp., 6.40%, 3/15/16

 

 

60,150

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Technology

 

 

3,091,069

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Telecommunications—16.0%

 

 

 

 

NR

 

 

 

2,000

3

Asia Global Crossing Ltd., 13.375%, 10/15/10 (Bermuda)

 

 

170,000

 

A

 

 

 

182

 

AT&T Corp., 8.05%, 11/15/11

 

 

198,077

 

B+

 

 

 

455

 

Centennial Communications Corp., 8.125%, 2/01/14

 

 

455,569

 

BB-

 

 

 

405

 

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

 

 

417,150

 

CCC

 

 

 

215

5

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

 

 

219,838

 

BB-

 

 

 

260

 

Dobson Cellular Systems, Inc., 8.375%, 11/01/11

 

 

270,075

 

B3

 

 

 

100

4

Hawaiian Telcom Communications, Inc., Ser. B, 10.789%, 5/01/13

 

 

102,500

 

 

 

 

 

 

 

Intelsat Ltd., (Bermuda)

 

 

 

 

BB-

 

 

 

245

 

 

8.625%, 1/15/15

 

 

254,187

 

B

 

 

 

40

 

 

9.25%, 2/01/15

 

 

30,300

 

BB-

 

 

 

150

5

 

9.25%, 6/15/16

 

 

160,125

 

BB-

 

 

 

100

4

 

10.484%, 1/15/12

 

 

101,375

 

B

 

 

 

70

5

 

11.25%, 6/15/16

 

 

76,213

 

B

 

 

 

290

4,5

 

11.64%, 6/15/13

 

 

307,400

 

 

 

 

 

 

 

Lucent Technologies, Inc.,

 

 

 

 

B1

 

 

 

185

 

 

6.45%, 3/15/29

 

 

165,575

 

B1

 

 

 

387

 

 

6.50%, 1/15/28

 

 

346,365

 

B+

 

 

 

445

5

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

 

 

466,137

 

B-

 

 

 

205

 

Nortel Networks Corp., 6.875%, 9/01/23 (Canada)

 

 

169,125

 

 

 

 

 

 

 

Nortel Networks Ltd.,

 

 

 

 

B-

 

 

 

245

4,5

 

9.624%, 7/15/11

 

 

252,962

 

B-

 

 

 

95

5

 

10.125%, 7/15/13

 

 

100,700

 

 

 

 

 

 

 

PanAmSat Corp.,

 

 

 

 

BB

 

 

 

210

 

 

6.875%, 1/15/28

 

 

185,850

 

B

 

 

 

270

 

 

9.00%, 8/15/14

 

 

282,150

 

B

 

 

 

320

5

 

9.00%, 6/15/16

 

 

334,400

 

NR

 

 

 

600

3

PF Net Communications, Inc., 13.75%, 5/15/10

 

 

60

 

NR

 

 

 

360

4,5

ProtoStar I Ltd., Zero Coupon, 10/15/12 (Bermuda)

 

 

361,800

 

 

 

 

 

 

 

Qwest Corp.,

 

 

 

 

BB+

 

 

 

600

 

 

7.875%, 9/01/11

 

 

635,250

 

BB+

 

 

 

230

4

 

8.64%, 6/15/13

 

 

247,825

 

BB+

 

 

 

125

 

 

8.875%, 3/15/12

 

 

137,500

 

See Notes to Financial Statements.

26



BlackRock High Yield Trust (BHY) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 








 

 

 

 

 

 

Telecommunications—(cont’d)

 

 

 

 

 

 

 

 

 

 

Rogers Wireless, Inc.,

 

 

 

 

BB+

 

 

$

35

 

 

7.25%, 12/15/12

 

$

36,750

 

BB

 

 

 

395

 

 

8.00%, 12/15/12

 

 

417,712

 

 

 

 

 

 

 

West Corp.,

 

 

 

 

B-

 

 

 

40

5

 

9.50%, 10/15/14

 

 

39,800

 

B-

 

 

 

320

5

 

11.00%, 10/15/16

 

 

321,600

 

B+

 

 

 

375

5

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

 

 

416,719

 

 

 

 

 

 

 

Windstream Corp.,

 

 

 

 

BB+

 

 

 

200

5

 

8.125%, 8/01/13

 

 

213,500

 

BB+

 

 

 

145

5

 

8.625%, 8/01/16

 

 

156,419

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Telecommunications

 

 

8,051,008

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Transportation—2.1%

 

 

 

 

BB-

 

 

 

95

 

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

 

 

94,762

 

B1

 

 

 

170

 

CHC Helicopter Corp., 7.375%, 5/01/14 (Canada)

 

 

162,350

 

B3

 

 

 

430

 

Horizon Lines LLC, 9.00%, 11/01/12

 

 

449,350

 

BB+

 

 

 

350

 

Overseas Shipholding Group, Inc., 7.50%, 2/15/24

 

 

345,625

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Transportation

 

 

1,052,087

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Corporate Bonds

 

 

64,940,044

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Bank Loans—3.0%

 

 

 

 

 

 

 

 

530

2

Intelsat Ltd., 11.25%, 9/21/07

 

 

531,325

 

 

 

 

 

1,000

 

Navistar Financial Corp., LIBOR + 5.00%, 2/28/09

 

 

1,010,000

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Bank Loans

 

 

1,541,325

 

 

 

 

 

 

 

 

 



 

 

 


 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

Common Stocks—0.7%

 

 

 

 

 

 

 

 

4,737

2,6

Critical Care Systems Intl., Inc.

 

 

37,896

 

 

 

 

 

68,358

 

Globix Corp.

 

 

304,193

 

 

 

 

 

14,992

2

Mattress Discounters Corp.

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Common Stocks

 

 

342,089

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Preferred Securities—0.1%

 

 

 

 

 

 

 

 

1,098

3

Adelphia Business Solutions, Ser. B, 12.875%

 

 

 

 

 

 

 

40,000

 

Superior Essex Holding Corp., Ser. A, 9.50%

 

 

32,000

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Preferred Securities

 

 

32,000

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

Units
(000)

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

Warrants—0.0%

 

 

 

 

 

 

 

 

1

2,5,6,7

Mattress Discounters Corp., expires 7/15/07, strike price $0.01, 4.85 shares for 1 warrant

 

 

 

 

 

 

 

54

6,7

Neon Communications, Inc., expires 12/02/12

 

 

1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1

5,6,7

PF. Net Communications, Inc., expires 5/15/10, strike price $0.01, 36.87243 shares for 1 warrant

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Warrants

 

 

1

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Long-Term Investments (cost $72,838,609)

 

 

66,855,459

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

27



BlackRock High Yield Trust (BHY) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

Description

 

 

Value

 








 

 

 

 

 

 

SHORT-TERM INVESTMENT—4.2%

 

 

 

 

 

 

 

 

 

 

U.S. Government and Agency Discount Note—4.2%

 

 

 

 

 

 

 

$

2,100

8

Federal Home Loan Bank Discount Note, 4.981%, 11/01/06 (cost $2,100,000)

 

$

2,100,000

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Investments—136.9% (cost $74,938,6099)

 

$

68,955,459

 

 

 

 

 

 

 

Liabilities in excess of other assets—(36.9)%

 

 

(18,570,222

)

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Net Assets—100%

 

$

50,385,237

 

 

 

 

 

 

 

 

 



 



 

 

1

Using the highest of S&P’s, Moody’s or Fitch’s ratings.

2

Security is fair valued.

3

Issuer is in default and/or bankruptcy.

4

Variable rate security. Rate shown is interest rate as of October 31, 2006.

5

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2006, the Trust held 35.0% of its net assets, with a current market value of $17,650,704, in securities restricted as to resale.

6

Non-income producing security.

7

Illiquid security. As of October 31, 2006, the Trust held less than 0.1% of its net assets, with a current market value of $1, in these securities.

8

Rate shown is the yield to maturity as of the date of purchase.

9

Cost for federal income tax purposes is $74,968,332. The net unrealized depreciation on a tax basis is $6,012,873, consisting of $1,423,161 gross unrealized appreciation and $7,436,034 gross unrealized depreciation.

A category in the Corporate Bonds section may contain multiple industries as defined by the SEC’s Standard Industry Codes.

KEY TO ABBREVIATION

LIBOR – London Interbank Offered Rate

See Notes to Financial Statements.

28


PORTFOLIO OF INVESTMENTS
OCTOBER 31, 2006

BlackRock Income Opportunity Trust (BNA)

 


 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 








 

 

 

 

 

 

LONG-TERM INVESTMENTS—109.4%

 

 

 

 

 

 

 

 

 

 

Mortgage Pass-Through Securities—12.7%

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

$

1,082

2,3

4.363%, 1/01/35

 

$

1,088,796

 

 

 

 

 

1,871

2,3

5.149%, 1/01/35

 

 

1,843,811

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

15,843

 

5.50%, 12/01/13-5/18/35

 

 

15,814,190

 

 

 

 

 

17,470

3

5.50%, 7/01/16-6/01/36

 

 

17,374,336

 

 

 

 

 

397

4

5.50%, 12/01/32

 

 

393,246

 

 

 

 

 

7,801

3,4

5.50%, 1/01/33

 

 

7,732,403

 

 

 

 

 

1,056

 

6.00%, 3/01/16-5/01/36

 

 

1,071,793

 

 

 

 

 

166

 

7.00%, 2/01/24-10/01/28

 

 

171,308

 

 

 

 

 

2,915

3

7.25%, 1/15/10

 

 

3,118,313

 

 

 

 

 

104

 

Government National Mortgage Assoc., 8.00%, 4/15/24-11/15/25

 

 

108,895

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Mortgage Pass-Through Securities

 

 

48,717,091

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Federal Housing Administration Securities—1.1%

 

 

 

 

 

 

 

 

 

 

General Motors Acceptance Corp. Projects,

 

 

 

 

 

 

 

 

221

 

Ser. 37, 7.43%, 5/01/22

 

 

223,653

 

 

 

 

 

80

 

Ser. 44, 7.43%, 8/01/22

 

 

81,129

 

 

 

 

 

 

 

Merrill Projects,

 

 

 

 

 

 

 

 

152

5

Ser. 29, 7.43%, 10/01/20

 

 

153,837

 

 

 

 

 

51

5

Ser. 42, 7.43%, 9/01/22

 

 

51,939

 

 

 

 

 

1,785

 

Reilly Project, Ser. B-11, 7.40%, 4/01/21

 

 

1,801,471

 

 

 

 

 

1,796

 

Westmore Project, 7.25%, 4/01/21

 

 

1,803,047

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Federal Housing Administration Securities

 

 

4,115,076

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Agency Multiple Class Mortgage Pass-Through Securities—8.4%

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

3,380

 

Ser. 82, Class HJ, 5.50%, 9/25/32

 

 

3,385,987

 

 

 

 

 

2

Ser. 192, Class U, 1,009.033%, 2/15/22

 

 

4

 

 

 

 

 

 

Ser. 1057, Class J, 1,008.001%, 3/15/21

 

 

1,543

 

 

 

 

 

3,327

 

Ser. 2806, Class VC, 6.00%, 12/15/19

 

 

3,407,389

 

 

 

 

 

6,000

 

Ser. 2874, Class BC, 5.00%, 10/15/19

 

 

5,856,630

 

 

 

 

 

1,390

 

Ser. 2883, Class DR, 5.00%, 11/15/19

 

 

1,357,772

 

 

 

 

 

3,571

 

Ser. 2922, Class GA, 5.50%, 5/15/34

 

 

3,596,080

 

 

 

 

 

1,961

 

Ser. 2927, Class BA, 5.50%, 10/15/33

 

 

1,976,404

 

 

 

 

 

1,915

 

Ser. 2933 Class HD, 5.50%, 2/15/35

 

 

1,932,810

 

 

 

 

 

1,725

 

Ser. 2968, Class EG, 6.00%, 10/15/34

 

 

1,764,762

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

3,434

 

Ser. 5, Class PK, 5.00%, 12/25/34

 

 

3,406,120

 

 

 

 

 

2,175

 

Ser. 27, Class PC, 5.50%, 5/25/34

 

 

2,186,216

 

 

 

 

 

1,718

2

Ser. 118, Class FD, 5.72%, 12/25/33

 

 

1,722,939

 

 

 

 

 

1,678

 

Government National Mortgage Assoc., Ser. 65, Class VA, 6.00%, 6/20/15

 

 

1,718,272

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Agency Multiple Class Mortgage Pass-Through Securities

 

 

32,312,928

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities—6.2%

 

 

 

 

AAA

 

 

 

4,946

 

Countrywide Alternative Loan Trust, Ser. 19CB, Class A15, 6.00%, 8/25/36

 

 

4,957,120

 

AAA

 

 

 

2,483

 

DLJ Commercial Mortgage Corp., Class A 1B, 7.18%, 11/10/33

 

 

2,634,726

 

AAA

 

 

 

2,630

 

First Union-Lehman Brothers-Bank of America, Ser. C2, Class D, 6.778%, 11/18/35

 

 

2,839,549

 

AAA

 

 

 

2,310

 

GE Capital Commercial Mortgage Corp., Ser. 1A, Class A3, 6.269%, 12/10/35

 

 

2,424,154

 

AAA

 

 

 

2,580

 

General Motor Acceptance Corp. Commercial Mortgage Securities, Inc., Ser. C4, Class A2, 4.93%, 7/10/39

 

 

2,548,329

 

AAA

 

 

 

7,895

 

Residential Funding Securities Corp., Ser. RM2, Class AI5, 8.50%, 5/25/33

 

 

8,441,253

 

AAA

 

 

 

9

2,6,8

Summit Mortgage Trust, Ser. 1, Class B1, 6.573%, 12/28/12

 

 

8,838

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Non Agency Multiple Class Mortgage Pass-Through Securities

 

 

23,853,969

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Inverse Floating Rate Mortgage Securities—0.6%

 

 

 

 

 

 

 

 

618

2

Federal Home Loan Mortgage Corp., Ser. 1611, Class JC, 10.00%, 8/15/23

 

 

658,699

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

2

Ser. 7, Class S, 541.833%, 3/25/21

 

 

3,592

 

 

 

 

 

2

Ser. 17, Class S, 531.967%, 6/25/21

 

 

5,575

 

 

 

 

 

1,556

2

Ser. 23, Class PS, 9.206%, 4/25/23

 

 

1,626,996

 

 

 

 

 

2

Ser. 46, Class S, 1,295.281%, 5/25/21

 

 

3,680

 

 

 

 

 

2

Ser. 49, Class S, 479.05%, 12/25/21

 

 

2,066

 

 

 

 

 

68

2

Ser. 87, Class S, 12.522%, 8/25/21

 

 

79,534

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Inverse Floating Rate Mortgage Securities

 

 

2,380,142

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

29


BlackRock Income Opportunity Trust (BNA) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 








 

 

 

 

 

 

Asset-Backed Securities—14.7%

 

 

 

 

AAA

 

 

$

2,690

2

Ameriquest Mortgage Securities, Inc., Ser. R11, Class A1, 5.633%, 11/25/34

 

$

2,697,195

 

AAA

 

 

 

3,025

 

Capital Auto Receivables Asset Trust, Ser. 1, Class A3, 5.03%, 10/15/09

 

 

3,017,492

 

AAA

 

 

 

2,650

2

Chase Issuance Trust, Ser. A3, 5.31%, 7/15/11

 

 

2,650,618

 

AAA

 

 

 

3,100

 

Chase Manhattan Auto Owner Trust, Ser. B, Class A4, 4.88%, 6/15/12

 

 

3,091,500

 

AAA

 

 

 

3,125

 

Citibank Credit Card Issuance Trust, Ser. A2, Class A2, 4.85%, 2/10/11

 

 

3,114,140

 

 

 

 

 

 

 

Countrywide Asset-Backed Certificates,

 

 

 

 

AAA

 

 

 

1,361

2

Ser. 15, Class 2AV1, 5.42%, 4/25/36

 

 

1,361,056

 

AAA

 

 

 

2,046

2

Ser. 16, Class 4AV1, 5.42%, 1/25/35

 

 

2,046,080

 

AAA

 

 

 

3,150

 

DaimlerChrysler Auto Trust, Ser. A, Class A3, 5.00%, 5/08/10

 

 

3,144,975

 

AAA

 

 

 

2,575

2

Discover Card Master Trust I, Ser. 1, Class A, 5.33%, 9/16/10

 

 

2,575,724

 

AAA

 

 

 

3,400

 

Ford Credit Auto Owner Trust, Ser. A, Class A3, 5.07%, 11/15/09

 

 

3,392,950

 

AAA

 

 

 

2,550

 

Harley-Davidson Motorcycle Trust, Ser. 2, Class A2, 4.07%, 2/15/12

 

 

2,505,985

 

A1

 

 

 

2,500

 

Maryland Trust, Ser. 1, Class A, 5.55%, 12/10/65

 

 

2,485,938

 

 

 

 

 

 

 

MBNA Credit Card Master Note Trust,

 

 

 

 

AAA

 

 

 

3,075

 

Ser. A1, Class A, 4.90%, 7/15/11

 

 

3,071,159

 

AAA

 

 

 

4,050

2

Ser. A4, 5.31%, 9/15/11

 

 

4,050,916

 

AAA

 

 

 

1,651

2,5

Merrill Lynch Mortgage Investors, Inc., Ser. HE2, Class A2A, 5.43%, 9/25/36

 

 

1,651,789

 

 

 

 

 

 

 

Morgan Stanley ABS Capital I,

 

 

 

 

AAA

 

 

 

3,280

2

Ser. HE5, Class A2A, 5.39%, 8/25/36

 

 

3,280,219

 

AAA

 

 

 

2,994

2

Ser. NC4, Class A2A, 5.35%, 6/25/36

 

 

2,993,681

 

AAA

 

 

 

1,690

2

New Century Home Equity Loan Trust, Ser. C, Class A2A, 5.40%, 1/25/36

 

 

1,690,628

 

AAA

 

 

 

1,922

2

Structured Asset Investment Loan Trust, Ser. 1, Class A1, 5.40%, 1/25/36

 

 

1,922,455

 

AAA

 

 

 

3,075

 

USAA Auto Owner Trust, Ser. 1, Class A3, 5.01%, 9/15/10

 

 

3,071,063

 

AAA

 

 

 

2,925

 

Wachovia Auto Owner Trust, Ser. A, Class A4, 5.38%, 3/20/13

 

 

2,957,787

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Asset-Backed Securities

 

 

56,773,350

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Interest Only Asset-Backed Securities—0.5%

 

 

 

 

AAA

 

 

 

656

2,6

Morgan Stanley Capital Trust I, Ser. HF1, Class X, 1.89%, 6/15/17

 

 

2,948

 

 

 

 

 

 

 

Sterling Coofs Trust,

 

 

 

 

NR

 

 

 

21,411

 

Ser. 1, 2.362%, 4/15/29

 

 

963,503

 

AAA

 

 

 

19,508

2

Ser. 2, 2.418%, 3/30/30

 

 

853,487

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Interest Only Asset-Backed Securities

 

 

1,819,938

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Interest Only Mortgage-Backed Securities—0.8%

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

 

Ser. 176, Class M, 1,010.00%, 7/15/21

 

 

38

 

 

 

 

 

 

Ser. 200, Class R, 93,504.444%, 12/15/22

 

 

206

 

 

 

 

 

8

2

Ser. 1043, Class H, 20.813%, 2/15/21

 

 

8,027

 

 

 

 

 

2

Ser. 1054, Class I, 413.56%, 3/15/21

 

 

154

 

 

 

 

 

 

Ser. 1056, Class KD, 1,084.50%, 3/15/21

 

 

1,425

 

 

 

 

 

2

Ser. 1148, Class E, 563.074%, 10/15/21

 

 

436

 

 

 

 

 

 

Ser. 1179, Class O, 1,009.389%, 11/15/21

 

 

106

 

 

 

 

 

 

Ser. 1221, Class H, 1,006.50%, 3/15/07

 

 

5

 

 

 

 

 

185

 

Ser. 1254, Class Z, 8.50%, 4/15/22

 

 

1,266

 

 

 

 

 

345

 

Ser. 1831, Class PG, 6.50%, 3/15/11

 

 

31,851

 

 

 

 

 

6,656

 

Ser. 2611, Class QI, 5.50%, 9/15/32

 

 

1,239,324

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

96

 

Ser. 5, Class H, 9.00%, 1/25/22

 

 

23,393

 

 

 

 

 

7

 

Ser. 7, Class 2, 8.50%, 4/01/17

 

 

1,376

 

 

 

 

 

1

2

Ser. 10, Class S, 524.318%, 5/25/21

 

 

10,029

 

 

 

 

 

2

Ser. 12, Class S, 553.577%, 5/25/21

 

 

8,976

 

 

 

 

 

 

Ser. 33, Class PV, 1,078.42%, 10/25/21

 

 

11,731

 

 

 

 

 

 

Ser. 38, Class N, 1,008.50%, 4/25/21

 

 

425

 

 

 

 

 

3

 

Ser. 46, Class H, 1,042.50%, 12/25/09

 

 

43,364

 

 

 

 

 

419

2

Ser. 50, Class SI, 1.20%, 4/25/23

 

 

12,109

 

 

 

 

 

12

 

Ser. 89, Class 2, 8.00%, 6/01/18

 

 

2,186

 

 

 

 

 

29,152

2

Ser. 90, Class JH, 1.38%, 11/25/34

 

 

1,453,055

 

 

 

 

 

4

 

Ser. 94, Class 2, 9.50%, 8/01/21

 

 

935

 

 

 

 

 

 

Ser. 99, Class L, 930.00%, 8/25/21

 

 

3,925

 

 

 

 

 

 

Ser. 123, Class M, 1,009.50%, 10/25/20

 

 

634

 

 

 

 

 

17

2

Ser. 136, Class S, 14.746%, 11/25/20

 

 

21,639

 

 

 

 

 

 

Ser. 139, Class PT, 648.35%, 10/25/21

 

 

4,716

 

 

 

 

 

2

2

Ser. 141, Class SA, 13.625%, 8/25/07

 

 

88

 

AAA

 

 

 

5,102

2,6

Goldman Sachs Mortgage Securities Corp., Ser. 5, 1.006%, 2/19/25

 

 

105,767

 

AAA

 

 

 

2,321

2

Salomon Brothers Mortgage Securities VII, Ser. 1, 0.542%, 3/25/22

 

 

977

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

2,988,163

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

30


BlackRock Income Opportunity Trust (BNA) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 








 

 

 

 

 

 

Principal Only Mortgage-Backed Securities—0.1%

 

 

 

 

 

 

 

$

105

4,7

Federal Home Loan Mortgage Corp., Ser. 1739, Class B, 7.50%, 2/15/24

 

$

94,356

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

72

7

Ser. 51, Class E, 8.00%, 2/25/23

 

 

58,755

 

 

 

 

 

14

7

Ser. 70, Class A, 7.00%, 5/25/23

 

 

11,185

 

 

 

 

 

32

7

Ser. 167, Class D, 8.50%, 10/25/17

 

 

27,873

 

 

 

 

 

25

7

Ser. 203, Class 1, 8.00%, 2/01/23

 

 

20,452

 

 

 

 

 

17

7

Ser. 228, Class 1, 7.00%, 5/01/23

 

 

13,640

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Principal Only Mortgage-Backed Securities

 

 

226,261

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Commercial Mortgage-Backed Securities—4.3%

 

 

 

 

AAA

 

 

 

2,320

 

Bear Stearns Commercial Mortgage Services, Ser. PWR7, Class A2, 4.945%, 2/11/41

 

 

2,296,391

 

AAA

 

 

 

2,970

 

Credit Suisse First Boston Mortgage Securities Corp., Ser. CP5, Class A2, 4.94%, 12/15/35

 

 

2,925,876

 

AAA

 

 

 

2,090

 

First Union National Bank Commercial Mortgage Trust, Ser. C2, Class A2, 7.202%, 10/15/32

 

 

2,228,784

 

AAA

 

 

 

2,475

 

General Motors Acceptance Corp. Commercial Mortgage Securities, Inc., Ser. C3, Class A4, 4.547%, 12/10/41

 

 

2,406,559

 

 

 

 

 

 

 

JP Morgan Chase Commercial Mortgage Securities Corp.,

 

 

 

 

AAA

 

 

 

1,990

 

Ser. C1, Class A3, 5.857%, 10/12/35

 

 

2,045,365

 

AAA

 

 

 

2,380

 

Ser. CBX, Class A4, 4.529%, 1/12/37

 

 

2,316,736

 

AAA

 

 

 

2,530

2

LB-UBS Commercial Mortgage Trust, Ser. C4, Class A3, 4.984%, 6/15/29

 

 

2,539,117

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Commercial Mortgage-Backed Securities

 

 

16,758,828

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Collateralized Mortgage Obligation Residual Securities—0.0%

 

 

 

 

 

 

 

 

 

 

Collateralized Mortgage Obligation Trust,

 

 

 

 

AAA

 

 

 

 

Ser. 40, Class R, 580.50%, 4/01/18

 

 

175

 

AAA

 

 

 

 

Ser. 42, Class R, 6,000.00%, 10/01/14

 

 

2,464

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

 

Ser. 19, Class R, 9,427.316%, 3/15/20

 

 

906

 

 

 

 

 

 

Ser. 75, Class R, 9.50%, 1/15/21

 

 

2

 

 

 

 

 

 

Ser. 75, Class RS, 16.721%, 1/15/21

 

 

3

 

 

 

 

 

 

Ser. 173, Class R, 9.00%, 11/15/21

 

 

12

 

 

 

 

 

 

Ser. 173, Class RS, 9.029%, 11/15/21

 

 

12

 

NR

 

 

 

6

 

Painewebber CMO Trust, Ser. 88 M, Class 6, 13.80%, 9/01/18

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Collateralized Mortgage Obligation Residual Securities

 

 

3,574

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Corporate Bonds—52.1%

 

 

 

 

 

 

 

 

 

 

Aerospace & Defense—1.0%

 

 

 

 

B

 

 

 

120

 

Argo-Tech Corp., 9.25%, 6/01/11

 

 

124,500

 

B

 

 

 

1,488

 

DI Finance/DynCorp Intl., Ser. B, 9.50%, 2/15/13

 

 

1,547,520

 

 

 

 

 

 

 

DRS Technologies, Inc.,

 

 

 

 

B

 

 

 

80

 

6.875%, 11/01/13

 

 

80,000

 

B

 

 

 

80

 

7.625%, 2/01/18

 

 

81,800

 

BBB

 

 

 

712

 

Raytheon Co., 6.15%, 11/01/08

 

 

723,990

 

BB

 

 

 

15

 

Sequa Corp., 9.00%, 8/01/09

 

 

15,825

 

A+

 

 

 

1,250

 

United Technologies Corp., 4.875%, 5/01/15

 

 

1,216,115

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Aerospace & Defense

 

 

3,789,750

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Automotive—0.3%

 

 

 

 

 

 

 

 

 

 

Autonation, Inc.,

 

 

 

 

BB+

 

 

 

170

 

7.00%, 4/15/14

 

 

169,150

 

BB+

 

 

 

160

2

7.374%, 4/15/13

 

 

161,200

 

BB-

 

 

 

30

2,6

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 7.905%, 5/15/14

 

 

29,325

 

B

 

 

 

345

 

Lear Corp., Ser. B, 8.11%, 5/15/09

 

 

349,744

 

CCC+

 

 

 

295

 

Metaldyne Corp., 10.00%, 11/01/13

 

 

302,375

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Automotive

 

 

1,011,794

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Basic Materials—3.6%

 

 

 

 

B+

 

 

 

685

 

Abitibi-Consolidated, Inc., 6.00%, 6/20/13 (Canada)

 

 

544,575

 

B+

 

 

 

1,115

 

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

 

 

1,115,000

 

B-

 

 

 

80

2,6

BCI US Finance Corp./Borden 2 Nova Scotia Finance ULC, 11.874%, 7/15/10

 

 

81,600

 

BB-

 

 

 

90

2

Bowater, Inc., 8.39%, 3/15/10

 

 

90,900

 

BB+

 

 

 

30

 

Chemtura Corp., 6.875%, 6/01/16

 

 

29,325

 

B-

 

 

 

230

 

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

 

 

234,600

 

B2

 

 

 

80

 

Domtar, Inc., 7.125%, 8/15/15 (Canada)

 

 

76,400

 

B+

 

 

 

170

 

Donohue Forest Products, 7.625%, 5/15/07 (Canada)

 

 

170,000

 

BB-

 

 

 

300

 

Equistar Chemicals LP/Equistar Funding Corp., 10.625%, 5/01/11

 

 

321,000

 

 

 

 

 

 

 

Huntsman LLC,

 

 

 

 

Ba3

 

 

 

230

 

11.625%, 10/15/10

 

 

253,575

 

B2

 

 

 

72

 

12.00%, 7/15/12

 

 

81,540

 

See Notes to Financial Statements.

31


BlackRock Income Opportunity Trust (BNA) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 








 

 

 

 

 

 

Basic Materials—(cont’d)

 

 

 

 

BB

 

 

$

70

 

IMC Global, Inc., Ser. B, 10.875%, 6/01/08

 

$

75,513

 

B2

 

 

 

750

6

Ineos Group Holdings PLC, 8.50%, 2/15/16 (United Kingdom)

 

 

721,875

 

B3

 

 

 

1,150

 

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

 

 

1,147,125

 

BBB

 

 

 

135

 

Ispat Inland ULC, 9.75%, 4/01/14 (Canada)

 

 

151,200

 

 

 

 

 

 

 

Lyondell Chemical Co.,

 

 

 

 

BB-

 

 

 

260

 

8.00%, 9/15/14

 

 

265,850

 

BB-

 

 

 

515

 

8.25%, 9/15/16

 

 

530,450

 

BB+

 

 

 

130

 

10.50%, 6/01/13

 

 

143,000

 

BB+

 

 

 

1,785

 

11.125%, 7/15/12

 

 

1,932,262

 

BB

 

 

 

215

 

Millennium America, Inc., 9.25%, 6/15/08

 

 

221,450

 

B-

 

 

 

60

 

Nalco Co., 8.875%, 11/15/13

 

 

63,150

 

B3

 

 

 

575

 

NewPage Corp., 10.00%, 5/01/12

 

 

602,312

 

 

 

 

 

 

 

Noranda, Inc.,

 

 

 

 

BBB+

 

 

 

600

 

6.00%, 10/15/15

 

 

603,357

 

BBB+

 

 

 

1,550

 

6.20%, 6/15/35

 

 

1,511,396

 

 

 

 

 

 

 

Nova Chemicals Corp.,

 

 

 

 

BB

 

 

 

50

 

6.50%, 1/15/12

 

 

47,000

 

BB

 

 

 

630

2

8.405%, 11/15/13

 

 

641,025

 

CCC+

 

 

 

535

6

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

 

 

567,100

 

B+

 

 

 

26

 

Rhodia SA, 10.25%, 6/01/10 (France)

 

 

29,445

 

BBB

 

 

 

1,570

 

Teck Cominco Ltd., 6.125%, 10/01/35 (Canada)

 

 

1,531,499

 

B-

 

 

 

75

6

Verso Paper Holdings LLC/Verson Paper, Inc., 11.375%, 8/01/16

 

 

76,125

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Basic Materials

 

 

13,859,649

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Building & Development—0.5%

 

 

 

 

B

 

 

 

780

 

ERICO Intl. Corp., 8.875%, 3/01/12

 

 

813,150

 

B-

 

 

 

495

 

Goodman Global Holding Co., Inc., 7.875%, 12/15/12

 

 

475,200

 

B3

 

 

 

210

 

Nortek, Inc., 8.50%, 9/01/14

 

 

200,550

 

 

 

 

 

 

 

North American Energy Partners, Inc.,

 

 

 

 

Caa1

 

 

 

85

 

8.75%, 12/01/11

 

 

84,150

 

B1

 

 

 

300

 

9.00%, 6/01/10

 

 

327,000

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Building & Development

 

 

1,900,050

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Business Equipment & Services—0.0%

 

 

 

 

Ba2

 

 

 

125

6

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

 

 

127,812

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Consumer Products—1.7%

 

 

 

 

B3

 

 

 

95

 

ALH Finance LLC, 8.50%, 1/15/13

 

 

94,288

 

CCC+

 

 

 

720

2

Ames True Temper, Inc., 9.374%, 1/15/12

 

 

727,200

 

B2

 

 

 

250

6

Education Management LLC/Education Management Corp., 8.75%, 6/01/14

 

 

256,250

 

BBB+

 

 

 

560

 

Federated Department Stores, Inc., 6.79%, 7/15/27

 

 

564,273

 

B-

 

 

 

285

 

Finlay Fine Jewelry Corp., 8.375%, 6/01/12

 

 

256,500

 

B

 

 

 

90

 

Gold Kist, Inc., 10.25%, 3/15/14

 

 

103,275

 

B2

 

 

 

710

6

Knowledge Learning Corp., Inc., 7.75%, 2/01/15

 

 

672,725

 

B-

 

 

 

369

 

Lazydays RV Center, Inc., 11.75%, 5/15/12

 

 

357,930

 

B

 

 

 

470

2

Levi Strauss & Co., 10.122%, 4/01/12

 

 

484,688

 

 

 

 

 

 

 

Michaels Stores, Inc.,

 

 

 

 

B2

 

 

 

530

6

10.00%, 11/01/14

 

 

530,662

 

Caa1

 

 

 

670

6

11.375%, 11/01/16

 

 

677,537

 

B3

 

 

 

50

2,6

Nutro Products, Inc., 9.40%, 10/15/13

 

 

51,375

 

BB-

 

 

 

300

 

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

 

 

288,750

 

BB+

 

 

 

250

6

Reynolds American, Inc., 7.625%, 6/01/16

 

 

265,444

 

CCC

 

 

 

375

 

Spectrum Brands, Inc., 7.375%, 2/01/15

 

 

303,750

 

 

 

 

 

 

 

United Rentals NA, Inc.,

 

 

 

 

B

 

 

 

920

 

7.00%, 2/15/14

 

 

880,900

 

B

 

 

 

25

 

7.75%, 11/15/13

 

 

24,938

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Consumer Products

 

 

6,540,485

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Containers & Packaging—0.8%

 

 

 

 

 

 

 

 

 

 

Berry Plastics Holding Corp.,

 

 

 

 

B2

 

 

 

290

6

8.875%, 9/15/14

 

 

292,900

 

B2

 

 

 

190

2,6

9.265%, 9/15/14

 

 

192,137

 

B+

 

 

 

150

 

Crown Americas LLC/Crown Americas Capital Corp., 7.75%, 11/15/15

 

 

153,938

 

B1

 

 

 

210

2,6

Impress Holdings BV, 8.512%, 9/15/13

 

 

211,657

 

Ba2

 

 

 

1,626

 

Owens-Brockway Glass Container, Inc., 8.875%, 2/15/09

 

 

1,666,650

 

B+

 

 

 

464

 

Smurfit-Stone Container Enterprises, Inc., 9.75%, 2/01/11

 

 

478,500

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Containers & Packaging

 

 

2,995,782

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

32


BlackRock Income Opportunity Trust (BNA) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 








 

 

 

 

 

 

Ecological Services & Equipment—0.8%

 

 

 

 

B

 

 

$

2,250

 

Casella Waste Systems, Inc., 9.75%, 2/01/13

 

$

2,362,500

 

Caa1

 

 

 

600

 

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

 

 

615,000

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Ecological Services & Equipment

 

 

2,977,500

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Energy—5.7%

 

 

 

 

BBB

 

 

 

2,625

 

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

 

 

2,720,852

 

 

 

 

 

 

 

ANR Pipeline Co.,

 

 

 

 

Ba1

 

 

 

145

 

7.375%, 2/15/24

 

 

151,570

 

Ba1

 

 

 

565

 

9.625%, 11/01/21

 

 

703,172

 

B

 

 

 

160

 

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

 

 

159,600

 

CCC+

 

 

 

380

 

Chaparral Energy, Inc., 8.50%, 12/01/15

 

 

379,050

 

 

 

 

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

BB

 

 

 

175

 

6.375%, 6/15/15

 

 

168,875

 

BB

 

 

 

20

 

6.875%, 11/15/20

 

 

19,000

 

BB-

 

 

 

35

 

CMS Energy Corp., 7.50%, 1/15/09

 

 

35,963

 

BB-

 

 

 

180

 

Compagnie Generale de Geophysique SA, 7.50%, 5/15/15 (France)

 

 

177,750

 

B

 

 

 

395

 

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

 

 

374,262

 

A1

 

 

 

1,970

2

ConocoPhillips Australia Funding Co., 5.468%, 4/09/09

 

 

1,971,962

 

BBB

 

 

 

450

 

DTE Energy Co., 6.35%, 6/01/16

 

 

468,034

 

BB-

 

 

 

180

6

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

 

 

184,950

 

 

 

 

 

 

 

El Paso Corp.,

 

 

 

 

B

 

 

 

120

 

7.80%, 8/01/31

 

 

125,100

 

B

 

 

 

100

 

9.625%, 5/15/12

 

 

111,000

 

B

 

 

 

125

 

10.75%, 10/01/10

 

 

139,375

 

 

 

 

 

 

 

El Paso Natural Gas Co.,

 

 

 

 

Ba1

 

 

 

1,000

 

7.625%, 8/01/10

 

 

1,032,500

 

Ba1

 

 

 

150

 

8.375%, 6/15/32

 

 

173,592

 

Ba1

 

 

 

193

 

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

 

 

204,325

 

A-

 

 

 

425

 

EnCana Corp., 6.50%, 8/15/34 (Canada)

 

 

445,224

 

 

 

 

 

 

 

Encore Acquisition Co.,

 

 

 

 

B1

 

 

 

50

 

6.00%, 7/15/15

 

 

45,625

 

B1

 

 

 

60

 

7.25%, 12/01/17

 

 

57,750

 

BBB

 

 

 

1,675

 

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

 

 

1,789,619

 

B-

 

 

 

435

 

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

 

 

418,687

 

BBB-

 

 

 

480

 

FirstEnergy Corp., Ser. B, 6.45%, 11/15/11

 

 

502,201

 

AA-

 

 

 

575

 

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

 

 

518,981

 

BB+

 

 

 

90

 

Grant Prideco, Inc., Ser. B, 6.125%, 8/15/15

 

 

86,063

 

BBB+

 

 

 

190

 

Halliburton Co., 7.60%, 8/15/96

 

 

221,345

 

B

 

 

 

136

6

Hilcorp Energy I LP/Hilcorp Finance Corp., 10.50%, 9/01/10

 

 

145,860

 

B-

 

 

 

215

 

KCS Energy, Inc., 7.125%, 4/01/12

 

 

206,400

 

BBB+

 

 

 

1,250

 

Kinder Morgan Energy Partners LP, 7.30%, 8/15/33

 

 

1,365,795

 

Ba2

 

 

 

83

 

Midwest Generation LLC, Ser. B, 8.56%, 1/02/16

 

 

90,159

 

 

 

 

 

 

 

Mirant Americas Generation LLC,

 

 

 

 

Caa1

 

 

 

175

 

8.30%, 5/01/11

 

 

177,187

 

Caa1

 

 

 

110

 

8.50%, 10/01/21

 

 

108,350

 

Caa1

 

 

 

85

 

9.125%, 5/01/31

 

 

87,975

 

BB-

 

 

 

1,020

 

Mission Energy Holdings Co., 13.50%, 7/15/08

 

 

1,137,300

 

 

 

 

 

 

 

NRG Energy, Inc.,

 

 

 

 

B+

 

 

 

50

 

7.25%, 2/01/14

 

 

50,563

 

B+

 

 

 

285

 

7.375%, 2/01/16

 

 

288,206

 

BBB

 

 

 

350

 

Ohio Edison Co., 6.875%, 7/15/36

 

 

389,035

 

BBB

 

 

 

500

 

ONEOK Partners LP, 6.65%, 10/01/36

 

 

514,492

 

B2

 

 

 

140

 

Orion Power Holdings, Inc., 12.00%, 5/01/10

 

 

158,900

 

 

 

 

 

 

 

Reliant Energy, Inc.,

 

 

 

 

BB-

 

 

 

325

 

6.75%, 12/15/14

 

 

309,969

 

BB-

 

 

 

40

 

9.25%, 7/15/10

 

 

41,400

 

A-

 

 

 

175

 

Scottish Power PLC, 5.375%, 3/15/15 (United Kingdom)

 

 

171,836

 

B+

 

 

 

350

6

SemGroup LP, 8.75%, 11/15/15

 

 

352,625

 

B

 

 

 

390

2,6

Stone Energy Corp., 8.124%, 7/15/10

 

 

387,562

 

B3

 

 

 

360

6

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

 

 

359,100

 

AA

 

 

 

325

 

Texaco Capital, Inc., 8.875%, 9/01/21

 

 

433,851

 

A2

 

 

 

600

 

Transcanada Pipelines Ltd., 5.85%, 3/15/36 (Canada)

 

 

598,280

 

BBB-

 

 

 

30

 

Transcontinental Gas Pipe Line Corp., 7.25%, 12/01/26

 

 

31,050

 

B+

 

 

 

315

 

Utilicorp Finance Corp., 7.75%, 6/15/11 (Canada)

 

 

332,646

 

B1

 

 

 

415

 

Whiting Petroleum Corp., 7.25%, 5/01/12-5/01/13

 

 

409,912

 

BB+

 

 

 

510

 

Williams Cos., Inc., 8.75%, 3/15/32

 

 

566,100

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Energy

 

 

22,100,980

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

33


BlackRock Income Opportunity Trust (BNA) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 








 

 

 

 

 

 

Entertainment & Leisure—2.1%

 

 

 

 

 

 

 

 

 

 

AMC Entertainment, Inc.,

 

 

 

 

B3

 

 

$

190

 

9.50%, 2/01/11

 

$

190,713

 

B3

 

 

 

185

 

11.00%, 2/01/16

 

 

204,656

 

B3

 

 

 

90

 

Cinemark, Inc., Zero Coupon, 3/15/14

 

 

73,238

 

B-

 

 

 

250

 

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

 

 

239,375

 

B3

 

 

 

325

6

Greektown Holdings LLC, 10.75%, 12/01/13

 

 

343,687

 

B+

 

 

 

1,000

 

MGM Mirage, 9.75%, 6/01/07

 

 

1,020,000

 

Ba1

 

 

 

2,000

 

Park Place Entertainment Corp., 8.875%, 9/15/08

 

 

2,082,500

 

B

 

 

 

160

6

Pokagon Gaming Authority, 10.375%, 6/15/14

 

 

171,600

 

B3

 

 

 

205

 

Poster Financial Group, Inc., 8.75%, 12/01/11

 

 

213,713

 

BB

 

 

 

290

 

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

 

 

291,813

 

BBB-

 

 

 

1,930

 

Starwood Hotels & Resorts Worldwide, Inc., 7.875%, 5/01/12

 

 

2,024,087

 

 

 

 

 

 

 

Travelport, Inc.,

 

 

 

 

B-

 

 

 

570

6

9.875%, 9/01/14

 

 

562,162

 

B-

 

 

 

575

6

11.875%, 9/01/16

 

 

566,375

 

BB-

 

 

 

25

 

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625%, 12/01/14

 

 

24,500

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Entertainment & Leisure

 

 

8,008,419

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Financial Institutions—16.2%

 

 

 

 

BB+

 

 

 

350

 

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

 

 

349,125

 

Aa3

 

 

 

2,450

 

Bank of America Corp., 7.80%, 2/15/10

 

 

2,642,239

 

AA+

 

 

 

5,465

2

Barclays Bank PLC NY, 5.40%, 3/13/09

 

 

5,465,962

 

B

 

 

 

200

 

BCP Crystal US Holdings Corp., 9.625%, 6/15/14 (Luxembourg)

 

 

219,500

 

AAA

 

 

 

2,525

 

Berkshire Hathaway Finance Corp., 3.375%, 10/15/08

 

 

2,442,640

 

 

 

 

 

 

 

Citigroup, Inc.,

 

 

 

 

AA+

 

 

 

5,975

 

4.125%, 2/22/10

 

 

5,808,865

 

AA

 

 

 

1,350

 

6.125%, 8/25/36

 

 

1,401,943

 

AA+

 

 

 

550

 

6.875%, 2/15/98

 

 

616,503

 

 

 

 

 

 

 

Credit Suisse First Boston, Inc.,

 

 

 

 

AA-

 

 

 

700

4

6.125%, 11/15/11

 

 

727,658

 

AA-

 

 

 

1,000

 

7.125%, 7/15/32

 

 

1,183,748

 

BB

 

 

 

990

 

Crum & Forster Holdings Corp., 10.375%, 6/15/13

 

 

1,027,125

 

AA-

 

 

 

950

2

Deutsche Bank AG, 5.37%, 3/15/07

 

 

950,000

 

AAA

 

 

 

1,900

 

Eksportfinans A/S, 5.50%, 5/25/16 (Norway)

 

 

1,962,977

 

 

 

 

 

 

 

Fort Irwin Land LLC,

 

 

 

 

AA

 

 

 

780

6

Ser. A, Class II, 5.30%, 12/15/35

 

 

733,481

 

Aaa

 

 

 

575

6

Ser. A-1, 5.03%, 12/15/25

 

 

539,005

 

 

 

 

 

 

 

General Electric Capital Corp.,

 

 

 

 

AAA

 

 

 

3,670

2

5.424%, 1/15/08

 

 

3,673,409

 

AAA

 

 

 

3,000

 

6.75%, 3/15/32

 

 

3,464,031

 

BB

 

 

 

510

 

General Motors Acceptance Corp., 6.875%, 8/28/12

 

 

511,369

 

AA-

 

 

 

1,000

 

Goldman Sachs Group, Inc., 6.60%, 1/15/12

 

 

1,058,215

 

AA-

 

 

 

1,035

 

Household Finance Corp., 6.375%, 10/15/11

 

 

1,086,032

 

 

 

 

 

 

 

iPayment, Inc.,

 

 

 

 

CCC+

 

 

 

270

6

9.75%, 5/15/14

 

 

277,425

 

NR

 

 

 

1,060

2,6,8

12.75%, 7/15/14

 

 

1,058,675

 

B-

 

 

 

360

 

K&F Acquisition, Inc., 7.75%, 11/15/14

 

 

364,500

 

A+

 

 

 

1,500

 

Lehman Brothers Holdings, Inc., 6.625%, 1/18/12

 

 

1,593,793

 

BBB

 

 

 

700

6

Liberty Mutual Group, Inc., 7.50%, 8/15/36

 

 

778,585

 

A

 

 

 

1,200

 

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

 

 

1,184,146

 

 

 

 

 

 

 

Morgan Stanley,

 

 

 

 

AA-

 

 

 

3,620

2

5.44%, 3/07/08

 

 

3,623,160

 

AA-

 

 

 

2,100

 

6.25%, 8/09/26

 

 

2,199,714

 

B+

 

 

 

685

6

Nell AF SARL, 8.375%, 8/15/15 (Luxembourg)

 

 

695,275

 

AAA

 

 

 

6,100

2,6

Rabobank Nederland Global, 5.37%, 4/06/09 (Netherlands)

 

 

6,100,830

 

 

 

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

B+

 

 

 

225

6

8.75%, 9/01/12

 

 

236,531

 

B+

 

 

 

1,650

6

10.375%, 9/01/14

 

 

1,835,625

 

B-

 

 

 

685

 

Standard Aero Holdings, Inc., 8.25%, 9/01/14

 

 

679,862

 

AA

 

 

 

2,000

2

UBS Preferred Funding Trust I, 8.622%, 10/29/49

 

 

2,223,724

 

B-

 

 

 

50

2

Universal City Florida Holding Co. I/II, 10.121%, 5/01/10

 

 

51,438

 

Aa1

 

 

 

1,000

 

Wells Fargo & Co., 4.625%, 8/09/10

 

 

985,118

 

 

 

 

 

 

 

Wells Fargo Bank NA,

 

 

 

 

Aa1

 

 

 

550

 

5.95%, 8/26/36

 

 

566,636

 

Aa1

 

 

 

2,000

 

7.55%, 6/21/10

 

 

2,159,052

 

Aa3

 

 

 

50

 

Western Financial Bank, 9.625%, 5/15/12

 

 

55,097

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Financial Institutions

 

 

62,533,013

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

34


BlackRock Income Opportunity Trust (BNA) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 








 

 

 

 

 

 

Health Care—1.2%

 

 

 

 

B

 

 

$

800

6

Angiotech Pharmaceuticals, Inc., 7.75%, 4/01/14 (Canada)

 

$

760,000

 

 

 

 

 

 

 

Healthsouth Corp.,

 

 

 

 

CCC+

 

 

 

745

6

10.75%, 6/15/16

 

 

763,625

 

CCC+

 

 

 

435

2,6

11.418%, 6/15/14

 

 

444,788

 

B-

 

 

 

425

 

Tenet Healthcare Corp., 6.875%, 11/15/31

 

 

329,375

 

BBB

 

 

 

1,175

 

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

 

 

1,149,909

 

B-

 

 

 

450

 

Universal Hospital Services, Inc., 10.125%, 11/01/11

 

 

475,875

 

A-

 

 

 

595

 

WellPoint, Inc., 5.85%, 1/15/36

 

 

585,125

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Health Care

 

 

4,508,697

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Industrials—1.8%

 

 

 

 

B2

 

 

 

400

6

AGY Holding Corp., 11.00%, 11/15/14

 

 

399,500

 

Ba1

 

 

 

2,000

 

Briggs & Stratton Corp., 8.875%, 3/15/11

 

 

2,175,000

 

B

 

 

 

150

 

Hexcel Corp., 6.75%, 2/01/15

 

 

145,500

 

B+

 

 

 

1,306

 

Manitowoc, Inc., 10.50%, 8/01/12

 

 

1,410,480

 

B3

 

 

 

365

 

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

 

 

339,450

 

CCC+

 

 

 

300

 

Polypore, Inc., 8.75%, 5/15/12

 

 

293,250

 

 

 

 

 

 

 

RBS Global, Inc./Rexnord Corp.,

 

 

 

 

B3

 

 

 

540

6

9.50%, 8/01/14

 

 

558,900

 

CCC+

 

 

 

360

6

11.75%, 8/01/16

 

 

374,400

 

B3

 

 

 

1,050

6

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

 

 

1,097,250

 

B3

 

 

 

150

 

Trimas Corp., 9.875%, 6/15/12

 

 

141,375

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Industrials

 

 

6,935,105

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Media—6.4%

 

 

 

 

 

 

 

 

 

 

Affinion Group, Inc.,

 

 

 

 

B-

 

 

 

540

 

10.125%, 10/15/13

 

 

572,400

 

B-

 

 

 

110

 

11.50%, 10/15/15

 

 

114,675

 

Caa2

 

 

 

525

 

American Media Operations, Inc., Ser. B, 10.25%, 5/01/09

 

 

498,750

 

 

 

 

 

 

 

AOL Time Warner, Inc.,

 

 

 

 

BBB+

 

 

 

1,635

 

7.57%, 2/01/24

 

 

1,796,621

 

BBB+

 

 

 

3,000

 

9.125%, 1/15/13

 

 

3,502,980

 

BBB+

 

 

 

1,415

 

AT&T Broadband Corp., 8.375%, 3/15/13

 

 

1,616,371

 

BBB

 

 

 

55

6

BSKYB Finance UK PLC, 6.50%, 10/15/35 (United Kingdom)

 

 

54,926

 

B+

 

 

 

161

2

Cablevision Systems Corp., Ser. B, 9.87%, 4/01/09

 

 

168,648

 

 

 

 

 

 

 

Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.,

 

 

 

 

CCC

 

 

 

645

 

10.25%, 9/15/10

 

 

665,963

 

CCC

 

 

 

180

 

Ser. B, 10.25%, 9/15/10

 

 

185,400

 

B3

 

 

 

690

6

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

 

 

666,712

 

BBB+

 

 

 

1,000

 

Comcast Cable Communications, Inc., 6.75%, 1/30/11

 

 

1,051,697

 

B+

 

 

 

300

 

CSC Holdings, Inc., 7.875%, 12/15/07

 

 

304,125

 

B

 

 

 

85

 

Dex Media West LLC/Dex Media Finance Co., Ser. B, 9.875%, 8/15/13

 

 

92,331

 

BB

 

 

 

140

 

DirecTV Holdings LLC/DirecTV Financing Co., 8.375%, 3/15/13

 

 

145,250

 

 

 

 

 

 

 

Echostar DBS Corp.,

 

 

 

 

BB-

 

 

 

180

 

5.75%, 10/01/08

 

 

178,875

 

BB-

 

 

 

320

6

7.00%, 10/01/13

 

 

317,200

 

BB-

 

 

 

75

6

7.125%, 2/01/16

 

 

73,313

 

B

 

 

 

250

 

General Cable Corp., 9.50%, 11/15/10

 

 

266,250

 

CCC+

 

 

 

90

6

Iesy Repository GMBH, 10.375%, 2/15/15 (Germany)

 

 

85,050

 

Ba3

 

 

 

460

 

LIN Television Corp., 6.50%, 5/15/13

 

 

436,425

 

B

 

 

 

200

 

Medianews Group, Inc., 6.875%, 10/01/13

 

 

185,750

 

B2

 

 

 

535

 

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

 

 

538,344

 

 

 

 

 

 

 

News America Holdings, Inc.,

 

 

 

 

BBB

 

 

 

145

 

8.15%, 10/17/36

 

 

171,579

 

BBB

 

 

 

2,475

 

8.45%, 8/01/34

 

 

3,009,008

 

B3

 

 

 

660

 

Nexstar Finance, Inc., 7.00%, 1/15/14

 

 

608,025

 

CCC+

 

 

 

1,100

6

Nielsen Finance LLC/Nielsen Finance Co., 10.00%, 8/01/14

 

 

1,146,750

 

B1

 

 

 

500

2,6

Paxson Communications Corp., 8.624%, 1/15/12

 

 

505,625

 

 

 

 

 

 

 

Primedia, Inc.,

 

 

 

 

B2

 

 

 

290

 

8.00%, 5/15/13

 

 

270,425

 

B2

 

 

 

200

 

8.875%, 5/15/11

 

 

199,500

 

B2

 

 

 

260

2

10.78%, 5/15/10

 

 

269,100

 

B

 

 

 

950

 

RH Donnelley Corp., Ser. A-3, 8.875%, 1/15/16

 

 

979,687

 

Caa1

 

 

 

115

 

Sirius Satellite Radio, Inc., 9.625%, 8/01/13

 

 

112,125

 

BBB+

 

 

 

1,495

 

TCI Communications, Inc., 8.75%, 8/01/15

 

 

1,770,792

 

See Notes to Financial Statements.

35


BlackRock Income Opportunity Trust (BNA) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 








 

 

 

 

 

 

Media—(cont’d)

 

 

 

 

 

 

 

 

 

 

Vertis, Inc.,

 

 

 

 

B1

 

 

$

570

 

9.75%, 4/01/09

 

$

582,113

 

Caa3

 

 

 

75

6

13.50%, 12/07/09

 

 

67,875

 

Caa1

 

 

 

255

 

Ser. B, 10.875%, 6/15/09

 

 

253,725

 

Caa1

 

 

 

1,245

 

Young Broadcasting, Inc., 10.00%, 3/01/11

 

 

1,176,525

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Media

 

 

24,640,910

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Real Estate—0.9%

 

 

 

 

BBB+

 

 

 

1,000

 

AvalonBay Communities, Inc., 6.625%, 9/15/11

 

 

1,055,029

 

 

 

 

 

 

 

Rouse Co.,

 

 

 

 

BB+

 

 

 

725

 

3.625%, 3/15/09

 

 

685,176

 

BB+

 

 

 

1,715

 

5.375%, 11/26/13

 

 

1,600,747

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Real Estate

 

 

3,340,952

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Technology—1.4%

 

 

 

 

BB-

 

 

 

50

 

Advanced Micro Devices, Inc., 7.75%, 11/01/12

 

 

50,875

 

CCC+

 

 

 

825

 

Amkor Technology, Inc., 9.25%, 6/01/16

 

 

767,250

 

B+

 

 

 

555

 

Celestica, Inc., 7.625%, 7/01/13 (Canada)

 

 

556,387

 

B+

 

 

 

100

6

Hynix Semiconductor, Inc., 9.875%, 7/01/12 (South Korea)

 

 

110,750

 

B+

 

 

 

485

6

NXP BV/NXP Funding LLC, 9.50%, 10/15/15

 

 

489,244

 

B-

 

 

 

190

6

Sensata Technologies BV, 8.00%, 5/01/14 (Netherlands)

 

 

183,350

 

CCC+

 

 

 

295

 

SS&C Technologies, Inc., 11.75%, 12/01/13

 

 

317,125

 

BB

 

 

 

350

 

STATS ChipPAC Ltd., 6.75%, 11/15/11 (Singapore)

 

 

339,500

 

 

 

 

 

 

 

Sungard Data Systems, Inc.,

 

 

 

 

B-

 

 

 

105

 

9.125%, 8/15/13

 

 

108,938

 

B-

 

 

 

315

2

9.973%, 8/15/13

 

 

327,600

 

B-

 

 

 

625

 

10.25%, 8/15/15

 

 

654,687

 

B

 

 

 

950

 

Superior Essex Communications LLC/Essex Group, Inc., 9.00%, 4/15/12

 

 

971,375

 

B-

 

 

 

200

2,6

UGS Capital Corp. II, 10.38%, 6/01/11

 

 

206,500

 

B-

 

 

 

480

 

UGS Corp., 10.00%, 6/01/12

 

 

518,400

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Technology

 

 

5,601,981

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Telecommunications—7.3%

 

 

 

 

A

 

 

 

1,700

 

Bellsouth Telecommunications, Zero Coupon, 12/15/95

 

 

899,528

 

BB-

 

 

 

470

 

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

 

 

484,100

 

CCC

 

 

 

460

6

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

 

 

470,350

 

A-

 

 

 

325

 

Deutsche Telekom Intl. Finance BV, 5.75%, 3/23/16 (Netherlands)

 

 

321,086

 

B3

 

 

 

170

2

Hawaiian Telcom Communications, Inc., Ser. B, 10.889%, 5/01/13

 

 

174,250

 

 

 

 

 

 

 

Intelsat Ltd., (Bermuda)

 

 

 

 

BB-

 

 

 

300

 

8.625%, 1/15/15

 

 

311,250

 

BB-

 

 

 

450

6

9.25%, 6/15/16

 

 

480,375

 

BB-

 

 

 

100

2

10.484%, 1/15/12

 

 

101,375

 

B

 

 

 

210

6

11.25%, 6/15/16

 

 

228,638

 

B

 

 

 

840

2,6

11.64%, 6/15/13

 

 

890,400

 

 

 

 

 

 

 

Lucent Technologies, Inc.,

 

 

 

 

B1

 

 

 

170

 

6.45%, 3/15/29

 

 

152,150

 

B1

 

 

 

895

 

6.50%, 1/15/28

 

 

801,025

 

B+

 

 

 

935

6

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

 

 

979,412

 

B-

 

 

 

80

 

Nortel Networks Corp., 6.875%, 9/01/23 (Canada)

 

 

66,000

 

 

 

 

 

 

 

Nortel Networks Ltd.,

 

 

 

 

B-

 

 

 

585

2,6

9.624%, 7/15/11

 

 

604,012

 

B-

 

 

 

200

6

10.125%, 7/15/13

 

 

212,000

 

 

 

 

 

 

 

PanAmSat Corp.,

 

 

 

 

B

 

 

 

160

 

9.00%, 8/15/14

 

 

167,200

 

B

 

 

 

515

6

9.00%, 6/15/16

 

 

538,175

 

 

 

 

 

 

 

Qwest Corp.,

 

 

 

 

BB+

 

 

 

55

 

7.875%, 9/01/11

 

 

58,231

 

BB+

 

 

 

375

2

8.64%, 6/15/13

 

 

404,063

 

A

 

 

 

2,500

6

SBC Communications, Inc., 4.214%, 6/05/07

 

 

2,481,175

 

 

 

 

 

 

 

Sprint Capital Corp.,

 

 

 

 

BBB+

 

 

 

1,205

 

6.875%, 11/15/28

 

 

1,234,673

 

BBB+

 

 

 

1,250

 

8.75%, 3/15/32

 

 

1,544,320

 

BBB+

 

 

 

4,375

 

Telecom Italia Capital SA, 4.95%, 9/30/14 (Luxembourg)

 

 

4,058,119

 

BBB+

 

 

 

1,000

 

Telefonica Emisones SAU, 7.045%, 6/20/36 (Spain)

 

 

1,076,684

 

A+

 

 

 

575

 

Verizon Global Funding Corp., 7.75%, 6/15/32

 

 

672,886

 

See Notes to Financial Statements.

36


BlackRock Income Opportunity Trust (BNA) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 








 

 

 

 

 

 

Telecommunications—(cont’d)

 

 

 

 

 

 

 

 

 

 

Verizon Maryland, Inc.,

 

 

 

 

A+

 

 

$

540

 

5.125%, 6/15/33

 

$

448,318

 

A+

 

 

 

1,355

 

Ser. A, 6.125%, 3/01/12

 

 

1,392,395

 

A+

 

 

 

750

 

Verizon Virginia, Inc., 4.625%, 3/15/13

 

 

703,288

 

 

 

 

 

 

 

Vodafone Group PLC,

 

 

 

 

A-

 

 

 

1,700

2

5.427%, 6/29/07

 

 

1,699,934

 

A-

 

 

 

1,615

2

5.457%, 12/28/07

 

 

1,615,480

 

A-

 

 

 

1,000

 

7.75%, 2/15/10

 

 

1,073,199

 

 

 

 

 

 

 

West Corp.,

 

 

 

 

B-

 

 

 

85

6

9.50%, 10/15/14

 

 

84,575

 

B-

 

 

 

530

6

11.00%, 10/15/16

 

 

532,650

 

B+

 

 

 

360

6

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

 

 

400,050

 

 

 

 

 

 

 

Windstream Corp.,

 

 

 

 

BB+

 

 

 

410

6

8.125%, 8/01/13

 

 

437,675

 

BB+

 

 

 

325

6

8.625%, 8/01/16

 

 

350,594

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Telecommunications

 

 

28,149,635

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Transportation—0.4%

 

 

 

 

BB-

 

 

 

120

 

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

 

 

119,700

 

A-

 

 

 

1,000

 

Canadian National Railway Co., 6.375%, 10/15/11 (Canada)

 

 

1,050,757

 

B1

 

 

 

450

 

CHC Helicopter Corp., 7.375%, 5/01/14 (Canada)

 

 

429,750

 

B3

 

 

 

47

 

Horizon Lines LLC, 9.00%, 11/01/12

 

 

49,115

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Transportation

 

 

1,649,322

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Corporate Bonds

 

 

200,671,836

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

U.S. Government and Agency Securities—7.9%

 

 

 

 

 

 

 

 

 

 

Overseas Private Investment Corp.,

 

 

 

 

 

 

 

 

343

 

4.09%, 5/29/12

 

 

314,652

 

 

 

 

 

959

2

4.30%, 5/29/12

 

 

903,181

 

 

 

 

 

718

 

4.64%, 5/29/12

 

 

685,586

 

 

 

 

 

406

 

4.68%, 5/29/12

 

 

376,049

 

 

 

 

 

3,069

 

4.87%, 5/29/12

 

 

2,959,123

 

 

 

 

 

3,806

2

5.40%, 5/29/12

 

 

3,862,851

 

 

 

 

 

6,055

3

Resolution Funding Corp., Ser. B, Zero Coupon, 4/15/30

 

 

1,943,831

 

 

 

 

 

1,024

 

Small Business Administration, Ser. 20K-1, 6.95%, 11/01/16

 

 

1,059,732

 

 

 

 

 

 

 

Tennessee Valley Authority,

 

 

 

 

 

 

 

 

1,800

 

Ser. C, 5.88%, 4/01/36

 

 

2,005,450

 

 

 

 

 

2,900

3

Ser. D, 4.875%, 12/15/16

 

 

2,896,943

 

 

 

 

 

 

 

U.S. Treasury Bonds,

 

 

 

 

 

 

 

 

10,242

 

2.00%, 1/15/26

 

 

9,788,501

 

 

 

 

 

650

 

4.50%, 2/15/36

 

 

627,351

 

 

 

 

 

1,947

 

U.S. Treasury Notes, 2.00%, 7/15/14

 

 

1,896,470

 

 

 

 

 

2,000

 

U.S. Treasury Strip Principal, Zero Coupon, 11/15/21

 

 

967,144

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total U.S. Government and Agency Securities

 

 

30,286,864

 

 

 

 

 

 

 



 

 

 


 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

Common Stocks—0.0%

 

 

 

 

 

 

 

 

1,895

8,9

Critical Care Systems Intl., Inc.

 

 

15,160

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Long-Term Investments (cost $423,239,446)

 

 

420,923,180

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

Principal
Amount
(000)

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENT—1.3%

 

 

 

 

 

 

 

 

 

 

U.S. Government and Agency Discount Note—1.3%

 

 

 

 

 

 

 

$

5,100

10

Federal Home Loan Bank Discount Note, 4.981%, 11/01/06 (cost $5,100,000)

 

 

5,100,000

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

37


BlackRock Income Opportunity Trust (BNA) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts/
Notional
Amount
(000)

Description

 

Value

 









 

 

 

 

 

 

OUTSTANDING OPTIONS PURCHASED—0.2%

 

 

 

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

 

 

 

5,500

 

Trust pays 5.52%, Trust receives 3-month LIBOR, expires 9/21/36

 

$

323,899

 

 

 

 

 

5,500

 

Trust pays 3-month LIBOR, Trust receives 5.52%, expires 9/21/36

 

 

374,961

 

 

 

 

 

48,200

 

Trust pays 5.40%, Trust receives 3-month LIBOR, expires 3/14/08

 

 

20,861

 

 

 

 

 

48,200

 

Trust pays 5.90%, Trust receives 3-month LIBOR, expires 3/14/08

 

 

1,133

 

 

 

 

 

82

 

U.S. Treasury Notes Future, expiring 2/23/07

 

 

19,220

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Outstanding Options Purchased (cost $774,125)

 

 

740,074

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Investments before TBA sale commitment and outstanding options written
(cost $429,113,57111)

 

 

426,763,254

 

 

 

 

 

 

 

 

 



 

 

 


 

 

 

 

 

 

 

Principal
Amount
(000)

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

TBA SALE COMMITMENT—(6.8)%

 

 

 

 

 

 

 

$

(26,300

)

Federal National Mortgage Assoc., TBA, 5.50%, 11/13/36 (proceeds $25,774,000)

 

 

(25,987,687

)

 

 

 

 

 

 

 

 



 

 

 


 

 

 

 

 

 

 

Contracts/
Notional
Amount
(000)

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

OUTSTANDING OPTIONS WRITTEN—(0.6)%

 

 

 

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

 

 

 

(5,300

)

Trust pays 5.485%, Trust receives 3-month LIBOR, expires 10/28/19

 

 

(245,761

)

 

 

 

 

(5,300

)

Trust pays 3-month LIBOR, Trust receives 5.485%, expires 10/28/19

 

 

(163,158

)

 

 

 

 

(5,700

)

Trust pays 5.135%, Trust receives 3-month LIBOR, expires 4/21/08

 

 

(150,627

)

 

 

 

 

(5,700

)

Trust pays 3-month LIBOR, Trust receives 5.135%, expires 4/21/08

 

 

(150,628

)

 

 

 

 

(12,400

)

Trust pays 3-month LIBOR, Trust receives 5.67%, expires 1/04/10

 

 

(340,529

)

 

 

 

 

(12,400

)

Trust pays 5.67%, Trust receives 3-month LIBOR, expires 1/04/10

 

 

(665,848

)

 

 

 

 

(14,200

)

Trust pays 4.725%, Trust receives 3-month LIBOR, expires 6/13/07

 

 

(83,070

)

 

 

 

 

(14,200

)

Trust pays 3-month LIBOR, Trust receives 4.725%, expires 6/13/07

 

 

(508,644

)

 

 

 

 

(96,400

)

Trust pays 3-month LIBOR, Trust receives 5.65%, expires 3/14/08

 

 

(11,086

)

 

 

 

 

(41

)

U.S. Treasury Notes Future, expiring 11/21/06

 

 

(3,203

)

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Outstanding Options Written (premium received $3,321,623)

 

 

(2,322,554

)

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Investments net of TBA sale commitment and outstanding options written—103.5%

 

$

398,453,013

 

 

 

 

 

 

 

Liabilities in excess of other assets—(3.5)%

 

 

(13,602,714

)

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Net Assets—100%

 

$

384,850,299

 

 

 

 

 

 

 

 

 



 


 

 


1

Using the highest of Standard & Poor’s, Moody’s Investor Services or Fitch Ratings.

2

Variable rate security. Rate shown is interest rate as of October 31, 2006.

3

Entire or partial principal amount pledged as collateral for reverse repurchase agreements. See Note 4 in the Notes to Financial Statements for details of open reverse repurchase agreements.

4

Security, or a portion thereof, pledged as collateral with a value of $1,709,424 on 242 long U.S. Treasury Note futures contracts expiring December 2006 to March 2007, 1,671 long U.S. Treasury Bond futures contracts expiring December 2006, 180 short Eurodollar futures contracts expiring December 2007 and 1,758 short U.S. Treasury Note futures contracts expiring December 2006. The notional value of such contracts on October 31, 2006 was $13,998,969, with an unrealized gain of $3,271,217.

5

Represents an investment in an affiliate.

6

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2006, the Trust held 9.7% of its net assets, with a current market value of $37,197,269, in securities restricted as to resale.

7

Rate shown is effective yield as of October 31, 2006 of the underlying collateral.

8

Security is fair valued.

9

Non-income producing security.

10

Rate shown is the yield to maturity as of the date of purchase.

11

Cost for federal income tax purposes is $429,481,169. The net unrealized depreciation on a tax basis is $2,717,915, consisting of $6,258,254 gross unrealized appreciation and $8,976,169 gross unrealized depreciation.

A category in the Corporate Bonds section may contain multiple industries as defined by the SEC’s Standard Industry Codes.

KEY TO ABBREVIATIONS

LIBOR – London Interbank Offered Rate
TBA — To Be Announced

See Notes to Financial Statements.

38



 

 

PORTFOLIO OF INVESTMENTS
OCTOBER 31, 2006

 

BlackRock Income Trust Inc. (BKT)

 


 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

 

Value

 












 

 

 

 

 

 

LONG-TERM INVESTMENTS—121.1%

 

 

 

 

 

 

 

 

 

 

Mortgage Pass-Through Securities—26.5%

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

$

996

2

4.149%, 1/01/35

 

$

991,175

 

 

 

 

 

1,038

2

4.96%, 10/01/34

 

 

1,018,892

 

 

 

 

 

9,525

 

5.50%, 10/01/16-5/01/17

 

 

9,557,286

 

 

 

 

 

29

2

6.01%, 11/01/17

 

 

29,554

 

 

 

 

 

71

 

6.50%, 5/01/29-5/01/30

 

 

73,443

 

 

 

 

 

2

 

7.50%, 2/01/23

 

 

2,564

 

 

 

 

 

31

 

8.00%, 11/01/15

 

 

30,874

 

 

 

 

 

 

8.50%, 4/01/07-3/01/08

 

 

520

 

 

 

 

 

157

 

9.00%, 9/01/20

 

 

167,370

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

24,283

 

5.00%, 6/01/33-7/01/35

 

 

23,492,443

 

 

 

 

 

35,807

 

5.50%, 12/01/13-8/01/34

 

 

35,701,757

 

 

 

 

 

7,223

3

5.50%, 9/01/17

 

 

7,246,948

 

 

 

 

 

7,347

 

6.00%, 11/01/31-10/01/36

 

 

7,404,048

 

 

 

 

 

2,738

 

6.50%, 2/01/26-5/01/31

 

 

2,805,392

 

 

 

 

 

4,546

 

7.00%, 6/01/26-1/01/32

 

 

4,698,416

 

 

 

 

 

 

7.50%, 2/01/22

 

 

282

 

 

 

 

 

133

 

8.00%, 5/01/08-5/01/22

 

 

134,400

 

 

 

 

 

4

 

9.50%, 1/01/19-9/01/19

 

 

4,444

 

 

 

 

 

15,200

 

TBA, 6.50%, 11/13/36

 

 

15,489,742

 

 

 

 

 

 

 

Government National Mortgage Assoc.,

 

 

 

 

 

 

 

 

51

 

7.00%, 10/15/17

 

 

52,897

 

 

 

 

 

457

 

7.50%, 8/15/21-12/15/23

 

 

474,581

 

 

 

 

 

244

 

8.00%, 10/15/22-2/15/29

 

 

259,071

 

 

 

 

 

29

 

9.00%, 6/15/18-9/15/21

 

 

30,791

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Mortgage Pass-Through Securities

 

 

109,666,890

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Federal Housing Administration Securities—2.0%

 

 

 

 

 

 

 

 

404

 

GMAC Colonial, 7.40%, 12/01/22

 

 

408,207

 

 

 

 

 

 

 

GMAC Projects,

 

 

 

 

 

 

 

 

298

 

Ser. 51, 7.43%, 2/01/23

 

 

300,986

 

 

 

 

 

674

 

Ser. 56, 7.43%, 11/01/22

 

 

681,495

 

 

 

 

 

51

4

Merrill Projects, Ser. 54, 7.43%, 5/15/23

 

 

51,795

 

 

 

 

 

799

 

Reilly Project, Ser. 41, 8.28%, 3/01/20

 

 

807,776

 

 

 

 

 

 

 

USGI Projects,

 

 

 

 

 

 

 

 

110

 

Ser. 87, 7.43%, 12/01/22

 

 

110,777

 

 

 

 

 

340

 

Ser. 99, 7.43%, 10/01/23

 

 

344,142

 

 

 

 

 

5,652

 

Ser. 6094, 7.43%, 6/01/21

 

 

5,709,474

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Federal Housing Administration Securities

 

 

8,414,652

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Agency Multiple Class Mortgage Pass-Through Securities—33.3%

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

4,842

2

Ser. 11, Class A9, 2.354%, 1/25/28

 

 

4,370,318

 

 

 

 

 

268

 

Ser. 19, Class F, 8.50%, 3/15/20

 

 

267,482

 

 

 

 

 

886

 

Ser. 40, Class K, 6.50%, 8/17/24

 

 

909,395

 

 

 

 

 

2

Ser. 192, Class U, 1,009.033%, 2/15/22

 

 

10

 

 

 

 

 

 

Ser. 1057, Class J, 1,008.001%, 3/15/21

 

 

3,312

 

 

 

 

 

3,000

 

Ser. 1598, Class J, 6.50%, 10/15/08

 

 

3,004,292

 

 

 

 

 

536

 

Ser. 1961, Class H, 6.50%, 5/15/12

 

 

542,066

 

 

 

 

 

8,732

 

Ser. 2218, Class Z, 8.50%, 3/15/30

 

 

9,689,044

 

 

 

 

 

15,806

 

Ser. 2461, Class Z, 6.50%, 6/15/32

 

 

16,305,653

 

 

 

 

 

10,200

 

Ser. 2542, Class UC, 6.00%, 12/15/22

 

 

10,602,373

 

 

 

 

 

2,475

 

Ser. 2562, Class PG, 5.00%, 1/15/18

 

 

2,435,994

 

 

 

 

 

928

 

Ser. 2564, Class NC, 5.00%, 2/15/33

 

 

874,986

 

 

 

 

 

2,050

 

Ser. 2750, Class TC, 5.25%, 2/15/34

 

 

2,018,405

 

 

 

 

 

11,913

 

Ser. 2758, Class KV, 5.50%, 5/15/23

 

 

11,921,219

 

 

 

 

 

1,573

 

Ser. 2765, Class UA, 4.00%, 3/15/11

 

 

1,514,902

 

 

 

 

 

3,387

 

Ser. 2806, Class VC, 6.00%, 12/15/19

 

 

3,468,334

 

 

 

 

 

2,274

 

Ser. 2927, Class BZ, 5.50%, 2/15/35

 

 

2,215,089

 

 

 

 

 

3,428

 

Ser. 3179, Class Z, 5.75%, 12/15/18

 

 

3,409,017

 

See Notes to Financial Statements.

39



BlackRock Income Trust Inc. (BKT) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

 

Value

 












 

 

 

 

 

 

Agency Multiple Class Mortgage Pass-Through Securities—(cont’d)

 

 

 

 

 

 

 

$

3,202

 

Ser. 3193, Class ZA, 6.00%, 7/15/36

 

$

3,193,073

 

 

 

 

 

5,800

 

Ser. 3227, Class CZ, 6.00%, 8/15/36

 

 

5,778,250

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

1,288

2

Ser. 2, Class KP, 1.133%, 2/25/35

 

 

1,199,991

 

 

 

 

 

266

 

Ser. 17, Class JA, 4.00%, 4/25/34

 

 

264,472

 

 

 

 

 

6,100

 

Ser. 28, Class PB, 6.00%, 8/25/28

 

 

6,136,445

 

 

 

 

 

2,448

 

Ser. 29, Class HC, 7.50%, 7/25/30

 

 

2,593,509

 

 

 

 

 

2,210

 

Ser. 31, Class ZG, 7.50%, 5/25/34

 

 

2,757,610

 

 

 

 

 

7,849

 

Ser. 32, Class VT, 6.00%, 9/25/15

 

 

7,989,883

 

 

 

 

 

74

2

Ser. 38, Class F, 8.325%, 4/25/21

 

 

76,312

 

 

 

 

 

7,434

 

Ser. 38, Class Z, 5.00%, 5/25/36

 

 

7,392,356

 

 

 

 

 

3,105

 

Ser. 68, Class PC, 5.50%, 7/25/35

 

 

3,123,924

 

 

 

 

 

12,264

 

Ser. 135, Class PB, 6.00%, 1/25/34

 

 

12,502,139

 

 

 

 

 

2,825

 

Freddie Mac Structured Pass, Ser. 2996, Class MK, 5.50%, 6/15/35

 

 

2,849,819

 

 

 

 

 

 

 

Government National Mortgage Assoc.,

 

 

 

 

 

 

 

 

1,256

 

Ser. 5, Class Z, 7.00%, 5/16/26

 

 

1,308,961

 

 

 

 

 

2,255

 

Ser. 33, Class PB, 6.50%, 7/20/31

 

 

2,303,503

 

 

 

 

 

4,708

 

Ser. 89. Class PE, 6.00%, 10/20/34

 

 

4,834,498

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Agency Multiple Class Mortgage Pass-Through Securities

 

 

137,856,636

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities—11.1%

 

 

 

 

AAA

 

 

 

7,208

 

CWALT, Inc., Ser. 28CB, Class 1A5, 5.50%, 8/25/35

 

 

7,205,842

 

 

 

 

 

 

 

GSR Mortgage Loan Trust,

 

 

 

 

AAA

 

 

 

4,724

2

Ser. 10, Class 2A1, 4.474%, 10/25/33

 

 

4,520,060

 

AAA

 

 

 

4,625

2

Ser. 13, Class 1A1, 4.502%, 10/25/33

 

 

4,446,512

 

AAA

 

 

 

1,901

 

MASTR Alternative Loan Trust, Ser. 7, Class 4A3, 8.00%, 11/25/18

 

 

1,971,353

 

AAA

 

 

 

8,357

 

MASTR Asset Securitization Trust, Ser. 12, Class 3A5, 5.25%, 10/25/14

 

 

8,225,026

 

AAA

 

 

 

6,737

2

Residential Asset Securitization Trust, Ser. A8, Class A2, 5.67%, 10/25/18

 

 

6,714,725

 

AAA

 

 

 

11,053

 

Residential Funding Securities Corp., Ser. RM2, Class AI5, 8.50%, 5/25/33

 

 

11,817,755

 

AAA

 

 

 

6,196

2

Structured Adjustable Rate Mortgage Loan Trust, Ser. 18, Class 7AX, 5.50%, 9/25/35

 

 

900,525

 

AAA

 

 

 

61

2,5,8

Summit Mortgage Trust, Ser. 1, Class B1, 6.573%, 12/28/12

 

 

60,805

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Non Agency Multiple Class Mortgage Pass-Through Securities

 

 

45,862,603

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Inverse Floating Rate Mortgage Securities—4.0%

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

37

2

Ser. 1160, Class F, 17.319%, 10/15/21

 

 

37,578

 

 

 

 

 

242

2,3

Ser. 1616, Class SB, 8.50%, 11/15/08

 

 

246,616

 

 

 

 

 

752

2

Ser. 1688, Class S, 9.206%, 12/15/13

 

 

770,382

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

2

Ser. 7, Class S, 541.833%, 3/25/21

 

 

7,713

 

 

 

 

 

1

2

Ser. 17, Class S, 531.967%, 6/25/21

 

 

11,969

 

 

 

 

 

75

2

Ser. 38, Class SA, 10.186%, 4/25/21

 

 

79,669

 

 

 

 

 

2

Ser. 46, Class S, 1,295.281%, 5/25/21

 

 

7,892

 

 

 

 

 

2

Ser. 49, Class S, 479.05%, 12/25/21

 

 

4,435

 

 

 

 

 

6,047

2

Ser. 65, Class KS, 3.257%, 7/25/36

 

 

5,968,510

 

 

 

 

 

318

2

Ser. 72, Class S, 8.75%, 5/25/08

 

 

326,217

 

 

 

 

 

6,921

2

Ser. 73, Class DS, 3.718%, 8/25/35

 

 

6,671,270

 

 

 

 

 

149

2

Ser. 87, Class S, 12.522%, 8/25/21

 

 

173,782

 

 

 

 

 

126

2

Ser. 93, Class S, 8.50%, 5/25/08

 

 

127,509

 

 

 

 

 

47

2

Ser. 170, Class SC, 9.00%, 9/25/08

 

 

48,270

 

 

 

 

 

634

2

Ser. 196, Class SC, 7.826%, 10/25/08

 

 

644,652

 

 

 

 

 

262

2

Ser. 214, Class SH, 4.359%, 12/25/08

 

 

261,768

 

 

 

 

 

1,088

2

Ser. 247, Class SN, 10.00%, 12/25/23

 

 

1,173,630

 

AAA

 

 

 

124

2

Kidder Peabody Acceptance Corp., Ser. 1, Class A6, 6.742%, 8/25/23

 

 

123,714

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Inverse Floating Rate Mortgage Securities

 

 

16,685,576

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Interest Only Asset-Backed Securities—0.5%

 

 

 

 

AAA

 

 

 

1,998

2,5

Morgan Stanley Capital Trust I, Ser. HF1, Class X, 1.864%, 6/15/17

 

 

8,982

 

 

 

 

 

 

 

Sterling Coofs Trust,

 

 

 

 

NR

 

 

 

26,645

 

Ser. 1, 2.362%, 4/15/29

 

 

1,199,026

 

AAA

 

 

 

19,958

2

Ser. 2, 2.418%, 3/30/30

 

 

873,176

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Interest Only Asset-Backed Securities

 

 

2,081,184

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Interest Only Mortgage-Backed Securities—12.7%

 

 

 

 

AAA

 

 

 

2,310

 

ABN Amro Mortgage Corp., Ser. 4, Class A2, 5.50%, 3/25/33

 

 

34,868

 

Aaa

 

 

 

80,938

2

Commercial Mortgage Acceptance Corp., Ser. ML1, 0.916%, 12/15/30

 

 

995,778

 

See Notes to Financial Statements.

40



BlackRock Income Trust Inc. (BKT) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

 

Value

 












 

 

 

 

 

 

Interest Only Mortgage-Backed Securities—(cont’d)

 

 

 

 

AAA

 

 

$

16,503

2,5

Credit Suisse First Boston Mortgage Securities Corp., Ser. C1, Class AX, 1.781%, 6/20/29

 

$

504,351

 

AAA

 

 

 

169,061

2

CWALT, Inc., Ser. 79CB, Class A2, Zero Coupon, 1/25/36

 

 

856,581

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

4,592

2

Ser. 60, Class HS, 0.625%, 4/25/24

 

 

36,675

 

 

 

 

 

 

Ser. 176, Class M, 1,010.00%, 7/15/21

 

 

81

 

 

 

 

 

 

Ser. 200, Class R, 93,504.444%, 12/15/22

 

 

442

 

 

 

 

 

2,057

 

Ser. 204, 6.00%, 5/01/29

 

 

445,994

 

 

 

 

 

17

2

Ser. 1043, Class H, 20.813%, 2/15/21

 

 

17,233

 

 

 

 

 

2

Ser. 1054, Class I, 413.56%, 3/15/21

 

 

330

 

 

 

 

 

 

Ser. 1056, Class KD, 1,084.50%, 3/15/21

 

 

3,057

 

 

 

 

 

1

2

Ser. 1148, Class E, 563.074%, 10/15/21

 

 

937

 

 

 

 

 

 

Ser. 1179, Class O, 1,009.389%, 11/15/21

 

 

228

 

 

 

 

 

 

Ser. 1221, Class H, 1,006.50%, 3/15/07

 

 

11

 

 

 

 

 

305

 

Ser. 1706, Class IA, 7.00%, 10/15/23

 

 

22,324

 

 

 

 

 

99

 

Ser. 1720, Class PK, 7.50%, 1/15/24

 

 

9,413

 

 

 

 

 

4,018

 

Ser. 1914, Class PC, 0.75%, 12/15/11

 

 

50,503

 

 

 

 

 

921

2

Ser. 2296, Class SA, 2.43%, 3/15/16

 

 

49,241

 

 

 

 

 

534

2

Ser. 2444, Class ST, 2.65%, 9/15/29

 

 

23,035

 

 

 

 

 

290

 

Ser. 2513, Class BI, 5.50%, 12/15/15

 

 

7,384

 

 

 

 

 

1,682

 

Ser. 2542, Class MX, 5.50%, 5/15/22

 

 

278,545

 

 

 

 

 

3,235

 

Ser. 2545, Class NI, 5.50%, 3/15/22

 

 

441,974

 

 

 

 

 

2,754

2

Ser. 2559, 0.892%, 8/15/30

 

 

11,467

 

 

 

 

 

5,288

 

Ser. 2561, Class EW, 5.00%, 9/15/16

 

 

517,783

 

 

 

 

 

12,148

 

Ser. 2611, Class QI, 5.50%, 9/15/32

 

 

2,261,936

 

 

 

 

 

4,902

 

Ser. 2633, Class PI, 4.50%, 3/15/12

 

 

115,665

 

 

 

 

 

3,939

 

Ser. 2653, Class MI, 5.00%, 4/15/26

 

 

399,448

 

 

 

 

 

6,422

 

Ser. 2658, Class PI, 4.50%, 6/15/13

 

 

305,829

 

 

 

 

 

5,165

 

Ser. 2672, Class TQ, 5.00%, 3/15/23

 

 

229,933

 

 

 

 

 

2,784

 

Ser. 2676, Class JI, 5.50%, 8/15/13

 

 

35,497

 

 

 

 

 

3,633

 

Ser. 2687, Class IL, 5.00%, 9/15/18

 

 

496,985

 

 

 

 

 

8,478

 

Ser. 2687, Class IQ, 5.50%, 9/15/22

 

 

244,882

 

 

 

 

 

6,353

 

Ser. 2693, Class IB, 4.50%, 6/15/13

 

 

269,222

 

 

 

 

 

3,107

 

Ser. 2694, Class LI, 4.50%, 7/15/19

 

 

262,738

 

 

 

 

 

5,744

 

Ser. 2773, Class OX, 5.00%, 2/15/18

 

 

717,024

 

 

 

 

 

18,106

2

Ser. 2780, Class SM, 0.68%, 4/15/34

 

 

189,097

 

 

 

 

 

5,343

 

Ser. 2786, Class PI, 4.50%, 10/15/10

 

 

49,260

 

 

 

 

 

6,727

 

Ser. 2825, Class NI, 5.50%, 3/15/30

 

 

1,672,550

 

 

 

 

 

2,183

 

Ser. 2949, 5.50%, 3/15/35

 

 

246,577

 

 

 

 

 

37,960

2

Ser. 2990, Class WR, 1.306%, 6/15/35

 

 

2,126,694

 

 

 

 

 

107,764

2

Ser. 3122, Class IS, 1.38%, 3/15/36

 

 

5,846,680

 

 

 

 

 

100,000

2

Ser. 3225, Class EY, 0.96%, 10/15/36

 

 

4,312,500

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

248

 

Ser. 5, Class H, 9.00%, 1/25/22

 

 

60,153

 

 

 

 

 

15

 

Ser. 7, Class 2, 8.50%, 4/01/17

 

 

2,955

 

 

 

 

 

4,887

 

Ser. 9, Class BI, 5.50%, 10/25/22

 

 

746,587

 

 

 

 

 

1

2

Ser. 10, Class S, 524.318%, 5/25/21

 

 

21,531

 

 

 

 

 

1

 

Ser. 12, Class C, 1,016.898%, 2/25/22

 

 

20,257

 

 

 

 

 

1

2

Ser. 12, Class S, 553.577%, 5/25/21

 

 

19,271

 

 

 

 

 

6,448

 

Ser. 13, Class IG, 5.00%, 10/25/22

 

 

311,067

 

 

 

 

 

5,705

 

Ser. 16, Class PI, 5.00%, 11/25/12

 

 

116,985

 

 

 

 

 

1

 

Ser. 33, Class PV, 1,078.42%, 10/25/21

 

 

25,184

 

 

 

 

 

1,669

2

Ser. 33, Class SG, 2.756%, 3/25/09

 

 

48,652

 

 

 

 

 

55,453

2

Ser. 36, Class SP, 1.38%, 5/25/36

 

 

3,411,079

 

 

 

 

 

 

Ser. 38, Class N, 1,008.50%, 4/25/21

 

 

912

 

 

 

 

 

1,674

 

Ser. 43, Class LC, 6.00%, 3/25/34

 

 

425,725

 

 

 

 

 

1

 

Ser. 50, Class G, 1,158.628%, 12/25/21

 

 

16,194

 

 

 

 

 

837

2

Ser. 50, Class SI, 1.20%, 4/25/23

 

 

24,218

 

 

 

 

 

6,723

 

Ser. 51, Class IE, 5.50%, 4/25/26

 

 

343,103

 

 

 

 

 

6,044

 

Ser. 55, Class GI, 5.00%, 7/25/19

 

 

706,455

 

 

 

 

 

4,5902

 

Ser. 59, Class S, 4.918%, 10/25/22

 

 

603,149

 

 

 

 

 

714

2

Ser. 60, Class SB, 1.60%, 10/25/22

 

 

29,798

 

 

 

 

 

490

 

Ser. 62, Class IC, 5.50%, 7/25/15

 

 

19,564

 

See Notes to Financial Statements.

41



BlackRock Income Trust Inc. (BKT) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

 

Value

 












 

 

 

 

 

 

Interest Only Mortgage-Backed Securities—(cont’d)

 

 

 

 

 

 

 

$

6,255

 

Ser. 66, Class CI, 5.00%, 7/25/33

 

$

1,410,245

 

 

 

 

 

2,630

2

Ser. 68, Class SC, 2.756%, 1/25/24

 

 

164,032

 

 

 

 

 

16,392

2

Ser. 73, Class ST, 0.81%, 8/25/35

 

 

530,775

 

 

 

 

 

9,118

 

Ser. 88, Class TI, 4.50%, 11/25/13

 

 

364,766

 

 

 

 

 

26

 

Ser. 89, Class 2, 8.00%, 6/01/18

 

 

4,693

 

 

 

 

 

36,243

2

Ser. 90, Class JH, 1.38%, 11/25/34

 

 

1,806,500

 

 

 

 

 

15,322

 

Ser. 90, Class M, 6.00%, 1/25/28

 

 

3,035,315

 

 

 

 

 

8

 

Ser. 94, Class 2, 9.50%, 8/01/21

 

 

2,007

 

 

 

 

 

 

Ser. 99, Class L, 930.00%, 8/25/21

 

 

8,429

 

 

 

 

 

3,741

 

Ser. 122, Class IC, 5.00%, 9/25/18

 

 

516,226

 

 

 

 

 

 

Ser. 123, Class M, 1,009.50%, 10/25/20

 

 

1,359

 

 

 

 

 

36

2

Ser. 136, Class S, 14.746%, 11/25/20

 

 

46,458

 

 

 

 

 

1

 

Ser. 139, Class PT, 648.35%, 10/25/21

 

 

10,125

 

 

 

 

 

4

2

Ser. 141, Class SA, 13.625%, 8/25/07

 

 

188

 

 

 

 

 

2,628

2

Ser. 199, Class SB, 2.156%, 10/25/23

 

 

150,623

 

 

 

 

 

743

 

Ser. W4, 6.50%, 12/25/28

 

 

158,475

 

AAA

 

 

 

104

 

First Boston Mortgage Securities Corp., Ser. C, Class I, 10.965%, 4/25/17

 

 

29,541

 

 

 

 

 

 

 

First Horizon Alternative Mortgage Securities,

 

 

 

 

AAA

 

 

 

71,994

2

Ser. FA2, Class 1A4, 0.18%, 5/25/36

 

 

241,669

 

AAA

 

 

 

85,776

2

Ser. FA7, Class 1A7, Zero Coupon, 10/25/35

 

 

265,844

 

AAA

 

 

 

219,260

2

Ser. FA9, Class A2, Zero Coupon, 12/25/35

 

 

335,007

 

AAA

 

 

 

19,691

2

General Motors Acceptance Corp., Commercial Mortgage Securities, Inc., Ser. C1, Class X, 1.537%, 7/15/29

 

 

507,530

 

AAA

 

 

 

9,993

2,5

Goldman Sachs Mortgage Securities Corp., Ser. 5, 1.012%, 6/19/27

 

 

207,176

 

 

 

 

 

 

 

Government National Mortgage Assoc.,

 

 

 

 

 

 

 

 

2,137

 

Ser. 39, Class ID, 5.00%, 5/20/33

 

 

508,945

 

 

 

 

 

2,516

 

Ser. 58, Class IT, 5.50%, 7/20/33

 

 

387,518

 

 

 

 

 

7,798

 

Ser. 75, Class IJ, 5.50%, 7/20/25

 

 

248,479

 

 

 

 

 

20,883

2

Ser. 89, Classl SA, 0.58%, 10/16/33

 

 

636,417

 

Aaa

 

 

 

89

 

Kidder Peabody Acceptance Corp., Ser. B, Class A2, 9.50%, 4/22/18

 

 

23,987

 

AAA

 

 

 

31,183

 

MASTR Adjustable Rate Mortgages Trust, Ser. 3, Class 3AX, 0.977%, 4/25/34

 

 

621,924

 

AAA

 

 

 

1,711

 

MASTR Alternative Loan Trust, Ser. 9, Class 15X2, 6.00%, 1/25/19

 

 

417,527

 

AAA

 

 

 

2,092

 

Morgan Stanley Capital Trust I, Ser. 3, Class 1AX, 5.00%, 5/25/19

 

 

389,225

 

AAA

 

 

 

183,248

2

Residential Accredit Loans, Inc., Ser. QS16, Class A2, Zero Coupon, 11/25/35

 

 

283,705

 

AAA

 

 

 

108,723

2

Sequoia Mortgage Trust, Ser. 2, Class XA, 1.01%, 3/20/35

 

 

1,535,485

 

NR

 

 

 

10,504

6

Small Business Administration, Ser. 1, 1.381%, 4/01/15

 

 

1

 

 

 

 

 

 

 

Structured Adjustable Rate Mortgage Loan Trust,

 

 

 

 

AAA

 

 

 

19,794

2

Ser. 2, Class 4AX, 5.50%, 3/25/36

 

 

2,280,386

 

AAA

 

 

 

53,823

2

Ser. 7, Class 3AS, 2.503%, 8/25/36

 

 

3,565,757

 

AAA

 

 

 

5,661

 

Ser. 20, Class 3AX, 5.50%, 10/25/35

 

 

747,700

 

NR

 

 

 

102,405

2

Vendee Mortgage Trust, Ser. 2, Class 1, 0.052%, 5/15/29

 

 

236,084

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

52,723,714

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Principal Only Mortgage-Backed Securities—5.8%

 

 

 

 

 

 

 

 

 

 

Countrywide Home Loans, Inc.,

 

 

 

 

AAA

 

 

 

6,083

7

Ser. 26, 4.944%, 8/25/33

 

 

4,864,782

 

AAA

 

 

 

1,158

7

Ser. J4, 5.142%, 6/25/33

 

 

912,821

 

AAA

 

 

 

1,654

7

Ser. J5, 4.911%, 7/25/33

 

 

1,378,421

 

AAA

 

 

 

1,265

7

Ser. J8, 4.787%, 9/25/23

 

 

975,587

 

 

 

 

 

 

 

Drexel Burnham Lambert, Inc.,

 

 

 

 

AAA

 

 

 

32

7

Ser. K, Class 1, 11.50%, 9/23/17

 

 

31,299

 

AAA

 

 

 

400

7

Ser. V, Class 1, 11.50%, 9/01/18

 

 

343,629

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

274

7

Ser. 8, Class A10, 6.737%, 11/15/28

 

 

217,430

 

 

 

 

 

184

7

Ser. 1418, Class M, 7.50%, 11/15/22

 

 

165,941

 

 

 

 

 

577

7

Ser. 1571, Class G, 7.50%, 8/15/23

 

 

496,417

 

 

 

 

 

2,429

7

Ser. 1691, Class B, 7.50%, 3/15/24

 

 

2,076,967

 

 

 

 

 

236

7

Ser. 1739, Class B, 7.50%, 2/15/24

 

 

211,450

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

351

7

Ser. 2, Class KB, 8.00%, 1/25/23

 

 

288,397

 

 

 

 

 

48

7

Ser. 7, Class J, 10.00%, 2/25/21

 

 

38,919

 

 

 

 

 

1,062

7

Ser. 13, Class PR, 6.50%, 3/25/32

 

 

849,608

 

 

 

 

 

154

7

Ser. 51, Class E, 8.00%, 2/25/23

 

 

126,145

 

 

 

 

 

29

7

Ser. 70, Class A, 7.00%, 5/25/23

 

 

24,015

 

See Notes to Financial Statements.

42



BlackRock Income Trust Inc. (BKT) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 












 

 

 

 

 

 

Principal Only Mortgage-Backed Securities—(cont’d)

 

 

 

 

 

 

 

$

70

7

Ser. 167, Class D, 8.50%, 10/25/17

 

$

59,842

 

 

 

 

 

53

7

Ser. 203, Class 1, 8.00%, 2/01/23

 

 

43,911

 

 

 

 

 

36

7

Ser. 228, Class 1, 7.00%, 5/01/23

 

 

29,284

 

 

 

 

 

2,125

7

Ser. 249, Class B, 7.50%, 11/25/23

 

 

1,718,668

 

 

 

 

 

287

7

Ser. 273, Class 1, 7.00%, 7/01/26

 

 

234,463

 

 

 

 

 

5,216

7

Ser. 328, Class 1, 6.00%, 11/01/32

 

 

4,092,989

 

 

 

 

 

4,096

7

Ser. 338, Class 1, 5.50%, 6/01/33

 

 

3,099,711

 

 

 

 

 

380

7

Ser. W4, 5.985%, 2/25/29

 

 

295,167

 

AAA

 

 

 

314

7

MASTR Asset Securitization Trust, Ser. 3, Class 4A15, 5.634%, 3/25/34

 

 

184,019

 

AAA

 

 

 

983

7

Residential Asset Securitization Trust, Ser. A15, Class 1A8, 5.713%, 2/25/36

 

 

459,510

 

AAA

 

 

 

18

6,7

Structured Mortgage Asset Residential Trust, Ser. 3C, Class CX, 7.031%, 4/25/24

 

 

17,107

 

AAA

 

 

 

1,044

7

Washington Mutual, Ser. 9, Class CP, 5.112%, 11/25/35

 

 

782,615

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Principal Only Mortgage-Backed Securities

 

 

24,019,114

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Collateralized Mortgage Obligation Residual Securities—0.0%

 

 

 

 

 

 

 

 

 

 

Collateralized Mortgage Obligation Trust,

 

 

 

 

AAA

 

 

 

 

Ser. 40, Class R, 580.50%, 4/01/18

 

 

372

 

AAA

 

 

 

 

Ser. 42, Class R, 6,000.00%, 10/01/14

 

 

5,135

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

 

Ser. 19, Class R, 9,427.316%, 3/15/20

 

 

1,944

 

 

 

 

 

 

Ser. 75, Class R, 9.50%, 1/15/21

 

 

6

 

 

 

 

 

 

Ser. 75, Class RS, 16.721%, 1/15/21

 

 

6

 

 

 

 

 

 

Ser. 173, Class R, 9.00%, 11/15/21

 

 

26

 

 

 

 

 

 

Ser. 173, Class RS, 9.029%, 11/15/21

 

 

26

 

NR

 

 

 

13

 

Painewebber CMO Trust, Ser. 88 M, Class 6, 13.80%, 9/01/18

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Collateralized Mortgage Obligation Residual Securities

 

 

7,515

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

U.S. Government and Agency Securities—24.4%

 

 

 

 

 

 

 

 

 

 

Overseas Private Investment Corp.,

 

 

 

 

 

 

 

 

312

 

4.09%, 5/29/12

 

 

286,047

 

 

 

 

 

872

2

4.30%, 5/29/12

 

 

821,074

 

 

 

 

 

653

 

4.64%, 5/29/12

 

 

623,260

 

 

 

 

 

369

 

4.68%, 5/29/12

 

 

341,863

 

 

 

 

 

2,790

 

4.87%, 5/29/12

 

 

2,690,112

 

 

 

 

 

3,460

2

5.40%, 5/29/12

 

 

3,511,682

 

 

 

 

 

13,000

 

Resolution Funding Corp., Ser. B, Zero Coupon, 4/15/30

 

 

4,173,377

 

 

 

 

 

 

 

Small Business Administration,

 

 

 

 

 

 

 

 

765

 

Ser. 20C-1, 7.15%, 3/01/17

 

 

795,397

 

 

 

 

 

899

 

Ser. 20E-1, 7.60%, 5/01/16

 

 

937,753

 

 

 

 

 

1,128

 

Ser. 20F-1, 7.55%, 6/01/16

 

 

1,177,400

 

 

 

 

 

758

 

Ser. 20G-1, 7.70%, 7/01/16

 

 

793,405

 

 

 

 

 

1,111

 

Ser. 20H-1, 7.25%, 8/01/16

 

 

1,155,328

 

 

 

 

 

1,940

 

Ser. 20K-1, 6.95%, 11/01/16

 

 

2,006,526

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

 

 

 

21,0009

 

3.75%, 3/31/07

 

 

20,885,151

 

 

 

 

 

19,400

9

4.00%, 8/31/07

 

 

19,246,158

 

 

 

 

 

100,000

3,9

U.S. Treasury Strip, Zero Coupon, 11/15/24

 

 

41,832,800

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total U.S. Government and Agency Securities

 

 

101,277,333

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Corporate Bond—0.8%

 

 

 

 

AA+

 

 

 

3,258

6

Structured Asset Receivable Trust, 5.114%, 1/21/10

 

 

3,257,041

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Long-Term Investments (cost $517,692,022)

 

 

501,852,258

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

SHORT-TERM INVESTMENT—0.2%

 

 

 

 

 

 

 

 

 

 

U.S. Government and Agency Discount Note—0.2%

 

 

 

 

 

 

 

 

800

10

Federal Home Loan Bank Discount Notes, 5.084%, 11/08/06 (cost $799,212)

 

 

799,212

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

43



BlackRock Income Trust Inc. (BKT) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

Description

 

Value

 












 

 

 

 

 

 

OUTSTANDING OPTIONS PURCHASED—0.2%

 

 

 

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

 

 

$

5,500

 

Trust pays 3-month LIBOR, Trust receives 5.52%, expires 9/21/36

 

$

374,961

 

 

 

 

 

5,500

 

Trust pays 5.52%, Trust receives 3-month LIBOR, expires 9/21/36

 

 

323,899

 

 

 

 

 

49,200

 

Trust pays 5.40%, Trust receives 3-month LIBOR, expires 3/14/08

 

 

21,294

 

 

 

 

 

49,200

 

Trust pays 5.90%, Trust receives 3-month LIBOR, expires 3/14/08

 

 

1,157

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Outstanding Options Purchased (cost $729,050)

 

 

721,311

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Investments before borrowed bonds, investments sold short, TBA sale commitments and outstanding options written (cost $519,220,28411)

 

 

503,372,781

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

Principal
Amount
(000)

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

BORROWED BONDS—14.6%

 

 

 

 

 

 

 

 

31,811

12

U.S. Treasury Bonds, 5.15%, 11/01/06

 

 

31,811,250

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

 

 

 

2,613

12

5.03%, 11/01/06

 

 

2,612,500

 

 

 

 

 

11,805

12

5.08%, 11/01/06

 

 

11,805,000

 

 

 

 

 

14,174

12

5.125%, 11/01/06

 

 

14,173,625

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Borrowed Bonds (cost $60,402,375)

 

 

60,402,375

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

INVESTMENTS SOLD SHORT—(14.7)%

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Bonds,

 

 

 

 

 

 

 

 

(12,930

)

5.375%, 2/15/31

 

 

(14,038,140

)

 

 

 

 

(15,750

)

6.25%, 8/15/23

 

 

(18,329,062

)

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

 

 

 

(14,900

)

4.00%, 2/15/15

 

 

(14,289,443

)

 

 

 

 

(12,000

)

4.125%, 8/15/10

 

 

(11,812,968

)

 

 

 

 

(2,500

)

5.125%, 5/15/16

 

 

(2,598,827

)

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Investments Sold Short (proceeds $61,745,381)

 

 

(61,068,440

)

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

TBA SALE COMMITMENTS—(4.0)%

 

 

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc. TBA,

 

 

 

 

 

 

 

 

(9,500

)

5.00%, 11/13/36

 

 

(9,170,465

)

 

 

 

 

(7,500

)

5.50%, 11/13/36

 

 

(7,410,937

)

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total TBA Sale Commitments (proceeds $16,431,406)

 

 

(16,581,402

)

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

OUTSTANDING OPTIONS WRITTEN—(0.6)%

 

 

 

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

 

 

 

(5,400

)

Trust pays 3-month LIBOR, Trust receives 5.485%, expires 10/28/19

 

 

(166,237

)

 

 

 

 

(5,400

)

Trust pays 5.485%, Trust receives 3-month LIBOR, expires 10/28/19

 

 

(250,398

)

 

 

 

 

(5,700

)

Trust pays 3-month LIBOR, Trust receives 5.135%, expires 4/21/08

 

 

(150,627

)

 

 

 

 

(5,700

)

Trust pays 5.135%, Trust receives 3-month LIBOR, expires 4/21/08

 

 

(150,627

)

 

 

 

 

(12,400

)

Trust pays 3-month LIBOR, Trust receives 5.67%, expires 1/04/10

 

 

(340,529

)

 

 

 

 

(12,400

)

Trust pays 5.67%, Trust receives 3-month LIBOR, expires 1/04/10

 

 

(665,848

)

 

 

 

 

(14,100

)

Trust pays 3-month LIBOR, Trust receives 4.725%, expires 6/13/07

 

 

(505,062

)

 

 

 

 

(14,100

)

Trust pays 4.725%, Trust receives 3-month LIBOR, expires 6/13/07

 

 

(82,485

)

 

 

 

 

(98,400

)

Trust pays 3-month LIBOR, Trust receives 5.65%, expires 3/14/08

 

 

(11,316

)

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Outstanding Options Written (premium received $3,312,560)

 

 

(2,323,129

)

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Investments net of borrowed bonds, investments sold short, TBA sale commitments and outstanding options written—116.7%

 

$

483,802,185

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities in excess of other assets—(16.7)%

 

 

(69,342,013

)

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Net Assets—100%

 

$

414,460,172

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

44



BlackRock Income Trust Inc. (BKT) (continued)

 


 

 


1

Using the highest of S&P’s, Moody’s or Fitch’s ratings.

2

Variable rate security. Rate shown is interest rate as of October 31, 2006.

3

Security, or a portion thereof, pledged as collateral with a value of $9,908,132 on 1,806 short Eurodollar futures contracts expiring December 2006 to September 2009, 749 short U.S. Treasury Note futures contracts expiring December 2006 and 696 short U.S. Treasury Bond futures contracts expiring December 2006. The notional value of such contracts on October 31, 2006 was $587,181,063, with an unrealized loss of $1,269,150.

4

Represents an investment in an affiliate.

5

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2006, the Trust held 0.2% of its net assets, with a current market value of $781,314, in securities restricted as to resale.

6

Illiquid security. As of October 31, 2006, the Trust held 0.8% of its net assets, with a current market value of $3,274,149, in these securities.

7

Rate shown is effective yield as of October 31, 2006 of the underlying collateral.

8

Security is fair valued.

9

Entire or partial principal amount pledged as collateral for reverse repurchase agreements. See Note 4 in the Notes to Financial Statements for details of open reverse repurchase agreements.

10

Rate shown is the yield to maturity as of the date of purchase.

11

Cost for federal income tax purposes is $519,896,814. The net unrealized depreciation on a tax basis is $16,524,033, consisting of $16,041,855 gross unrealized appreciation and $32,565,888 gross unrealized depreciation.

12

The interest rate and maturity date shown represent the terms of the borrowed transaction, not the security borrowed.


KEY TO ABBREVIATIONS

LIBOR – London Interbank Offered Rate
TBA — To Be Announced

See Notes to Financial Statements.

45



 

 

PORTFOLIO OF INVESTMENTS
OCTOBER 31, 2006

 

BlackRock Limited Duration Income Trust (BLW)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

 

LONG-TERM INVESTMENTS—148.9%

 

 

 

 

 

 

 

 

 

 

Corporate Bonds—64.3%

 

 

 

 

 

 

 

 

 

 

Aerospace & Defense—1.3%

 

 

 

 

NR

 

 

$

1,560

2

AAR Corp., Ser. A2, 8.39%, 5/15/11

 

$

1,575,600

 

B

 

 

 

490

 

Argo-Tech Corp., 9.25%, 6/01/11

 

 

508,375

 

B

 

 

 

5,676

 

DI Finance/DynCorp Intl., Ser. B, 9.50%, 2/15/13

 

 

5,903,040

 

 

 

 

 

 

 

DRS Technologies, Inc.,

 

 

 

 

B

 

 

 

330

 

 

6.875%, 11/01/13

 

 

330,000

 

B

 

 

 

310

 

 

7.625%, 2/01/18

 

 

316,975

 

BB

 

 

 

755

 

Sequa Corp., 9.00%, 8/01/09

 

 

796,525

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Aerospace & Defense

 

 

9,430,515

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Automotive—2.0%

 

 

 

 

 

 

 

 

 

 

Autonation, Inc.,

 

 

 

 

BB+

 

 

 

690

 

 

7.00%, 4/15/14

 

 

686,550

 

BB+

 

 

 

690

3

 

7.374%, 4/15/13

 

 

695,175

 

BB-

 

 

 

130

3,4

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 7.905%, 5/15/14

 

 

127,075

 

BBB+

 

 

 

7,500

5

DaimlerChrysler NA Holding Corp., 4.05%, 6/04/08

 

 

7,333,395

 

B

 

 

 

1,170

 

Lear Corp., Ser. B, 8.11%, 5/15/09

 

 

1,186,088

 

CCC+

 

 

 

1,000

5

Metaldyne Corp., 11.00%, 11/01/13

 

 

1,025,000

 

BB-

 

 

 

2,629

 

TRW Automotive, Inc., 9.375%, 2/15/13

 

 

2,816,316

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Automotive

 

 

13,869,599

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Basic Materials—6.4%

 

 

 

 

B+

 

 

 

1,905

 

Abitibi-Consolidated, Inc., 6.00%, 6/20/13 (Canada)

 

 

1,514,475

 

B+

 

 

 

2,200

 

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

 

 

2,200,000

 

B-

 

 

 

350

3,4

BCI US Finance Corp./Borden 2 Nova Scotia Finance ULC, 11.874%, 7/15/10

 

 

357,000

 

BB-

 

 

 

670

3

Bowater, Inc., 8.39%, 3/15/10

 

 

676,700

 

BB+

 

 

 

120

 

Chemtura Corp., 6.875%, 6/01/16

 

 

117,300

 

B-

 

 

 

750

 

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

 

 

765,000

 

 

 

 

 

 

 

Domtar, Inc.,

 

 

 

 

B2

 

 

 

300

 

 

7.125%, 8/15/15

 

 

286,500

 

B2

 

 

 

880

 

 

7.875%, 10/15/11

 

 

898,700

 

B+

 

 

 

740

 

Donohue Forest Products, 7.625%, 5/15/07 (Canada)

 

 

740,000

 

 

 

 

 

 

 

Huntsman LLC,

 

 

 

 

Ba3

 

 

 

1,950

 

 

11.625%, 10/15/10

 

 

2,149,875

 

B2

 

 

 

310

 

 

12.00%, 7/15/12

 

 

351,075

 

BB

 

 

 

300

 

IMC Global, Inc., Ser. B, 10.875%, 6/01/08

 

 

323,625

 

 

 

 

 

 

 

Ineos Group Holdings PLC, (United Kingdom)

 

 

 

 

B2

 

 

 

1,490

 

 

7.875%, 2/07/16 (EUR)

 

 

1,823,242

 

B2

 

 

 

2,885

4

 

8.50%, 2/15/16

 

 

2,776,812

 

B3

 

 

 

2,625

 

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

 

 

2,618,437

 

Baa3

 

 

 

5,000

5

Ipsco, Inc., 8.75%, 6/01/13 (Canada)

 

 

5,325,000

 

 

 

 

 

 

 

Lyondell Chemical Co.,

 

 

 

 

BB-

 

 

 

1,100

 

 

8.00%, 9/15/14

 

 

1,124,750

 

BB-

 

 

 

1,835

 

 

8.25%, 9/15/16

 

 

1,890,050

 

BB+

 

 

 

560

 

 

10.50%, 6/01/13

 

 

616,000

 

BB+

 

 

 

3,020

5

 

11.125%, 7/15/12

 

 

3,269,150

 

BB

 

 

 

615

 

Millennium America, Inc., 9.25%, 6/15/08

 

 

633,450

 

B-

 

 

 

215

 

Nalco Co., 8.875%, 11/15/13

 

 

226,288

 

 

 

 

 

 

 

NewPage Corp.,

 

 

 

 

B3

 

 

 

810

 

 

10.00%, 5/01/12

 

 

848,475

 

B3

 

 

 

1,500

3,5

 

11.621%, 5/01/12

 

 

1,620,000

 

Caa1

 

 

 

300

 

 

12.00%, 5/01/13

 

 

313,500

 

 

 

 

 

 

 

Nova Chemicals Corp.,

 

 

 

 

BB

 

 

 

200

 

 

6.50%, 1/15/12

 

 

188,000

 

BB

 

 

 

2,690

3

 

8.405%, 11/15/13

 

 

2,737,075

 

CCC+

 

 

 

2,020

4

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

 

 

2,141,200

 

B+

 

 

 

81

 

Rhodia SA, 10.25%, 6/01/10 (France)

 

 

91,733

 

B

 

 

 

2,412

 

Rockwood Specialties Group, Inc., 10.625%, 5/15/11

 

 

2,586,870

 

BB

 

 

 

3,250

5

US Steel LLC, 10.75%, 8/01/08

 

 

3,501,875

 

See Notes to Financial Statements.

46


BlackRock Limited Duration Income Trust (BLW) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

 

Basic Materials—(cont’d)

 

 

 

 

B-

 

 

$

210

4

Verso Paper Holdings LLC/Verson Paper, Inc., 11.375%, 8/01/16

 

$

213,150

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Basic Materials

 

 

44,925,307

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Building & Development—1.4%

 

 

 

 

BBB-

 

 

 

3,000

5

DR Horton, Inc., 5.875%, 7/01/13

 

 

2,939,418

 

B

 

 

 

2,665

 

ERICO Intl. Corp., 8.875%, 3/01/12

 

 

2,778,263

 

 

 

 

 

 

 

Goodman Global Holding Co., Inc.,

 

 

 

 

B-

 

 

 

2,000

 

 

7.875%, 12/15/12

 

 

1,920,000

 

B1

 

 

 

269

3

 

8.329%, 6/15/12

 

 

273,035

 

B3

 

 

 

890

 

Nortek, Inc., 8.50%, 9/01/14

 

 

849,950

 

 

 

 

 

 

 

North American Energy Partners, Inc.,

 

 

 

 

Caa1

 

 

 

270

 

 

8.75%, 12/01/11

 

 

267,300

 

B1

 

 

 

550

 

 

9.00%, 6/01/10

 

 

599,500

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Building & Development

 

 

9,627,466

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Business Equipment & Services—0.1%

 

 

 

 

Ba2

 

 

 

350

4

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

 

 

357,875

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Conglomerates—1.1%

 

 

 

 

Baa3

 

 

 

7,500

5

Tyco Intl. Group SA, 6.125%, 11/01/08 (Luxembourg)

 

 

7,607,220

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Consumer Products—6.1%

 

 

 

 

B3

 

 

 

300

 

ALH Finance LLC, 8.50%, 1/15/13

 

 

297,750

 

CCC+

 

 

 

2,085

3

Ames True Temper, Inc., 9.374%, 1/15/12

 

 

2,105,850

 

B2

 

 

 

1,050

4

Education Management LLC/Education Management Corp., 8.75%, 6/01/14

 

 

1,076,250

 

B-

 

 

 

1,108

 

Finlay Fine Jewelry Corp., 8.375%, 6/01/12

 

 

997,200

 

B

 

 

 

2,140

 

Gold Kist, Inc., 10.25%, 3/15/14

 

 

2,455,650

 

Ba3

 

 

 

5,000

5

Group 1 Automotive, Inc., 8.25%, 8/15/13

 

 

5,143,750

 

BBB

 

 

 

4,400

5

JC Penney Co., Inc., 8.00%, 3/01/10

 

 

4,725,692

 

B2

 

 

 

2,770

4

Knowledge Learning Corp., Inc., 7.75%, 2/01/15

 

 

2,624,575

 

B-

 

 

 

1,505

 

Lazydays RV Center, Inc., 11.75%, 5/15/12

 

 

1,459,850

 

B

 

 

 

2,075

3

Levi Strauss & Co., 10.122%, 4/01/12

 

 

2,139,844

 

 

 

 

 

 

 

Michaels Stores, Inc.,

 

 

 

 

B2

 

 

 

2,210

4

 

10.00%, 11/01/14

 

 

2,212,762

 

Caa1

 

 

 

2,800

4

 

11.375%, 11/01/16

 

 

2,831,500

 

B2

 

 

 

223

 

Neiman-Marcus Group, Inc., 9.00%, 10/15/15

 

 

239,168

 

B3

 

 

 

210

3,4

Nutro Products, Inc., 9.40%, 10/15/13

 

 

215,775

 

BB-

 

 

 

600

 

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

 

 

577,500

 

BB+

 

 

 

1,000

4

Reynolds American, Inc., 7.625%, 6/01/16

 

 

1,061,777

 

B+

 

 

 

5,000

5

Rite Aid Corp., 8.125%, 5/01/10

 

 

5,050,000

 

B1

 

 

 

3,500

 

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

 

 

3,561,250

 

CCC

 

 

 

1,345

 

Spectrum Brands, Inc., 7.375%, 2/01/15

 

 

1,089,450

 

 

 

 

 

 

 

United Rentals NA, Inc.,

 

 

 

 

B

 

 

 

2,575

 

 

7.00%, 2/15/14

 

 

2,465,562

 

B

 

 

 

125

 

 

7.75%, 11/15/13

 

 

124,688

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Consumer Products

 

 

42,455,843

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Containers & Packaging—1.0%

 

 

 

 

 

 

 

 

 

 

Berry Plastics Holding Corp.,

 

 

 

 

B2

 

 

 

1,210

4

 

8.875%, 9/15/14

 

 

1,222,100

 

B2

 

 

 

835

3,4

 

9.265%, 9/15/14

 

 

844,394

 

B+

 

 

 

1,385

 

Crown Americas LLC/Crown Americas Capital Corp., 7.75%, 11/15/15

 

 

1,421,356

 

CCC+

 

 

 

585

 

Graham Packaging Co., Inc., 8.50%, 10/15/12

 

 

582,075

 

B1

 

 

 

870

3,4

Impress Holdings BV, 8.512%, 9/15/13

 

 

876,863

 

B+

 

 

 

2,114

 

Smurfit-Stone Container Enterprises, Inc., 9.75%, 2/01/11

 

 

2,180,063

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Containers & Packaging

 

 

7,126,851

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Ecological Services & Equipment—0.6%

 

 

 

 

B

 

 

 

2,000

 

Casella Waste Systems, Inc., 9.75%, 2/01/13

 

 

2,100,000

 

Caa1

 

 

 

2,065

 

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

 

 

2,116,625

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Ecological Services & Equipment

 

 

4,216,625

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Energy—7.2%

 

 

 

 

BB+

 

 

 

5,500

4,5

AES Corp., 8.75%, 5/15/13

 

 

5,905,625

 

 

 

 

 

 

 

ANR Pipeline Co.,

 

 

 

 

Ba1

 

 

 

460

 

 

7.375%, 2/15/24

 

 

480,842

 

Ba1

 

 

 

1,780

 

 

9.625%, 11/01/21

 

 

2,215,304

 

See Notes to Financial Statements.

47



BlackRock Limited Duration Income Trust (BLW) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

 

Energy—(cont’d)

 

 

 

 

B

 

 

$

550

 

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

 

$

548,625

 

CCC+

 

 

 

1,210

 

Chaparral Energy, Inc., 8.50%, 12/01/15

 

 

1,206,975

 

 

 

 

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

BB

 

 

 

650

 

 

6.375%, 6/15/15

 

 

627,250

 

BB

 

 

 

100

 

 

6.875%, 11/15/20

 

 

95,000

 

BB

 

 

 

4,000

5

 

7.50%, 9/15/13

 

 

4,095,000

 

BB-

 

 

 

200

 

ChipPAC, Inc., 2.50%, 6/01/08

 

 

197,000

 

BB-

 

 

 

150

 

CMS Energy Corp., 7.50%, 1/15/09

 

 

154,125

 

BB-

 

 

 

750

 

Compagnie Generale de Geophysique SA, 7.50%, 5/15/15 (France)

 

 

740,625

 

B

 

 

 

1,615

 

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

 

 

1,530,212

 

CCC+

 

 

 

1,640

2

East Cameron Gas Co., 11.25%, 7/09/19 (Cayman Islands)

 

 

1,574,400

 

BB-

 

 

 

815

4

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

 

 

837,412

 

 

 

 

 

 

 

El Paso Corp.,

 

 

 

 

B

 

 

 

400

 

 

7.80%, 8/01/31

 

 

417,000

 

B

 

 

 

525

 

 

9.625%, 5/15/12

 

 

582,750

 

B

 

 

 

225

 

 

10.75%, 10/01/10

 

 

250,875

 

Ba1

 

 

 

400

 

El Paso Natural Gas Co., 8.375%, 6/15/32

 

 

462,911

 

Ba1

 

 

 

168

 

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

 

 

178,241

 

 

 

 

 

 

 

Encore Acquisition Co.,

 

 

 

 

B1

 

 

 

250

 

 

6.00%, 7/15/15

 

 

228,125

 

B1

 

 

 

200

 

 

7.25%, 12/01/17

 

 

192,500

 

B-

 

 

 

495

 

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

 

 

476,438

 

BB+

 

 

 

380

 

Grant Prideco, Inc., Ser. B, 6.125%, 8/15/15

 

 

363,375

 

B

 

 

 

2,434

4

Hilcorp Energy I LP/Hilcorp Finance Corp., 10.50%, 9/01/10

 

 

2,610,465

 

B-

 

 

 

725

 

KCS Energy, Inc., 7.125%, 4/01/12

 

 

696,000

 

Ba2

 

 

 

4,324

5

Midwest Generation LLC, Ser. B, 8.56%, 1/02/16

 

 

4,670,206

 

 

 

 

 

 

 

Mirant Americas Generation LLC,

 

 

 

 

Caa1

 

 

 

625

 

 

8.30%, 5/01/11

 

 

632,813

 

Caa1

 

 

 

480

 

 

8.50%, 10/01/21

 

 

472,800

 

Caa1

 

 

 

295

 

 

9.125%, 5/01/31

 

 

305,325

 

BB-

 

 

 

500

 

Mission Energy Holdings Co., 13.50%, 7/15/08

 

 

557,500

 

 

 

 

 

 

 

NRG Energy, Inc.,

 

 

 

 

B+

 

 

 

210

 

 

7.25%, 2/01/14

 

 

212,363

 

B+

 

 

 

1,185

 

 

7.375%, 2/01/16

 

 

1,198,331

 

B2

 

 

 

580

 

Orion Power Holdings, Inc., 12.00%, 5/01/10

 

 

658,300

 

 

 

 

 

 

 

Reliant Energy, Inc.,

 

 

 

 

BB-

 

 

 

1,035

 

 

6.75%, 12/15/14

 

 

987,131

 

BB-

 

 

 

170

 

 

9.25%, 7/15/10

 

 

175,950

 

B+

 

 

 

1,240

4

SemGroup LP, 8.75%, 11/15/15

 

 

1,249,300

 

B

 

 

 

1,440

3,4

Stone Energy Corp., 8.124%, 7/15/10

 

 

1,431,000

 

B

 

 

 

5,000

 

Swift Energy Co., 9.375%, 5/01/12

 

 

5,262,500

 

B3

 

 

 

725

4

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

 

 

723,188

 

BBB-

 

 

 

100

 

Transcontinental Gas Pipe Line Corp., 7.25%, 12/01/26

 

 

103,500

 

B+

 

 

 

1,040

 

Utilicorp Finance Corp., 7.75%, 6/15/11 (Canada)

 

 

1,098,260

 

B1

 

 

 

1,550

 

Whiting Petroleum Corp., 7.25%, 5/01/12-5/01/13

 

 

1,531,025

 

 

 

 

 

 

 

Williams Cos., Inc.,

 

 

 

 

BB+

 

 

 

1,000

 

 

7.125%, 9/01/11

 

 

1,032,500

 

BB+

 

 

 

1,085

 

 

8.75%, 3/15/32

 

 

1,204,350

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Energy

 

 

50,173,417

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Entertainment & Leisure—2.0%

 

 

 

 

 

 

 

 

 

 

AMC Entertainment, Inc.,

 

 

 

 

B3

 

 

 

500

 

 

9.50%, 2/01/11

 

 

501,875

 

B3

 

 

 

505

 

 

11.00%, 2/01/16

 

 

558,656

 

B3

 

 

 

370

 

Cinemark, Inc., Zero Coupon, 3/15/14

 

 

301,088

 

B3

 

 

 

1,430

4

Greektown Holdings LLC, 10.75%, 12/01/13

 

 

1,512,225

 

B+

 

 

 

5,425

5

MGM Mirage, 9.75%, 6/01/07

 

 

5,533,500

 

B

 

 

 

660

4

Pokagon Gaming Authority, 10.375%, 6/15/14

 

 

707,850

 

B3

 

 

 

250

 

Poster Financial Group, Inc., 8.75%, 12/01/11

 

 

260,625

 

 

 

 

 

 

 

Travelport, Inc.,

 

 

 

 

B-

 

 

 

2,380

4

 

9.875%, 9/01/14

 

 

2,347,275

 

B-

 

 

 

2,180

4

 

11.875%, 9/01/16

 

 

2,147,300

 

See Notes to Financial Statements.

48



BlackRock Limited Duration Income Trust (BLW) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

 

Entertainment & Leisure—(cont’d)

 

 

 

 

BB-

 

 

$

100

 

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625%, 12/01/14

 

$

98,000

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Entertainment & Leisure

 

 

13,968,394

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Financial Institutions—8.2%

 

 

 

 

 

 

 

 

 

 

American Real Estate Partners LP/American Real Estate Finance Corp.,

 

 

 

 

BB+

 

 

 

1,480

5

 

7.125%, 2/15/13

 

 

1,476,300

 

BB+

 

 

 

5,860

5

 

8.125%, 6/01/11

 

 

5,991,850

 

B

 

 

 

1,733

 

BCP Crystal US Holdings Corp., 9.625%, 6/15/14 (Luxembourg)

 

 

1,901,967

 

BB

 

 

 

3,010

5

Crum & Forster Holdings Corp., 10.375%, 6/15/13

 

 

3,122,875

 

 

 

 

 

 

 

Ford Motor Credit Co.,

 

 

 

 

BB-

 

 

 

2,800

 

 

7.375%, 2/01/11

 

 

2,675,347

 

BB-

 

 

 

60

3

 

9.824%, 4/15/12

 

 

62,579

 

 

 

 

 

 

 

General Motors Acceptance Corp.,

 

 

 

 

BB

 

 

 

3,000

3,5

 

6.274%, 1/16/07

 

 

2,999,577

 

BB

 

 

 

5,620

5

 

6.875%, 8/28/12

 

 

5,635,084

 

 

 

 

 

 

 

iPayment, Inc.,

 

 

 

 

CCC+

 

 

 

950

4

 

9.75%, 5/15/14

 

 

976,125

 

NR

 

 

 

4,470

2,3,4

 

12.75%, 7/15/14

 

 

4,464,412

 

B-

 

 

 

900

 

K&F Acquisition, Inc., 7.75%, 11/15/14

 

 

911,250

 

Baa1

 

 

 

5,000

4,5

Kazkommerts Intl. BV, 10.125%, 5/08/07 (Netherlands)

 

 

5,097,500

 

BBB

 

 

 

200

3,5

Marsh & McLennan Cos., Inc., 5.513%, 7/13/07

 

 

199,963

 

B+

 

 

 

2,460

4

Nell AF SARL, 8.375%, 8/15/15 (Luxembourg)

 

 

2,496,900

 

 

 

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

B+

 

 

 

925

4

 

8.75%, 9/01/12

 

 

972,406

 

B+

 

 

 

4,835

4

 

10.375%, 9/01/14

 

 

5,378,937

 

B-

 

 

 

1,915

 

Standard Aero Holdings, Inc., 8.25%, 9/01/14

 

 

1,900,638

 

AA+

 

 

 

5,869

6

Structured Asset Receivable Trust, 1.649%, 1/21/10

 

 

5,866,699

 

B-

 

 

 

220

3

Universal City Florida Holding Co. I/II, 10.121%, 5/01/10

 

 

226,325

 

Aa3

 

 

 

4,425

5

Western Financial Bank, 9.625%, 5/15/12

 

 

4,876,080

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Financial Institutions

 

 

57,232,814

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Health Care—2.7%

 

 

 

 

B

 

 

 

2,535

4

Angiotech Pharmaceuticals, Inc., 7.75%, 4/01/14 (Canada)

 

 

2,408,250

 

B-

 

 

 

5,000

5

Concentra Operating Corp., 9.50%, 8/15/10

 

 

5,225,000

 

 

 

 

 

 

 

Healthsouth Corp.,

 

 

 

 

CCC+

 

 

 

3,335

4

 

10.75%, 6/15/16

 

 

3,418,375

 

CCC+

 

 

 

1,740

3,4

 

11.418%, 6/15/14

 

 

1,779,150

 

B2

 

 

 

3,000

 

Norcross Safety Products LLC/Norcross Capital Corp., 9.875%, 8/15/11

 

 

3,180,000

 

B-

 

 

 

1,145

 

Tenet Healthcare Corp., 6.875%, 11/15/31

 

 

887,375

 

B-

 

 

 

1,830

 

Universal Hospital Services, Inc., 10.125%, 11/01/11

 

 

1,935,225

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Health Care

 

 

18,833,375

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Industrials—2.4%

 

 

 

 

B2

 

 

 

1,700

4

AGY Holding Corp., 11.00%, 11/15/14

 

 

1,697,875

 

B-

 

 

 

4,000

5

Fasten Tech, Inc., 11.50%, 5/01/11

 

 

4,140,000

 

B

 

 

 

650

 

Hexcel Corp., 6.75%, 2/01/15

 

 

630,500

 

B3

 

 

 

1,805

 

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

 

 

1,678,650

 

CCC+

 

 

 

950

 

Polypore, Inc., 8.75%, 5/15/12

 

 

928,625

 

 

 

 

 

 

 

RBS Global, Inc./Rexnord Corp.,

 

 

 

 

B3

 

 

 

2,000

4

 

9.50%, 8/01/14

 

 

2,070,000

 

CCC+

 

 

 

1,090

4

 

11.75%, 8/01/16

 

 

1,133,600

 

B3

 

 

 

3,125

4

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

 

 

3,265,625

 

B3

 

 

 

1,415

 

Trimas Corp., 9.875%, 6/15/12

 

 

1,333,637

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Industrials

 

 

16,878,512

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Media—9.7%

 

 

 

 

 

 

 

 

 

 

Affinion Group, Inc.,

 

 

 

 

B-

 

 

 

1,975

 

 

10.125%, 10/15/13

 

 

2,093,500

 

B-

 

 

 

470

 

 

11.50%, 10/15/15

 

 

489,975

 

Caa2

 

 

 

1,870

 

American Media Operations, Inc., Ser. B, 10.25%, 5/01/09

 

 

1,776,500

 

B+

 

 

 

800

3

Cablevision Systems Corp., Ser. B, 9.87%, 4/01/09

 

 

838,000

 

B2

 

 

 

3,500

 

CBD Media Inc., 8.625%, 6/01/11

 

 

3,504,375

 

See Notes to Financial Statements.

49



BlackRock Limited Duration Income Trust (BLW) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

 

Media—(cont’d)

 

 

 

 

 

 

 

 

 

 

Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.,

 

 

 

 

CCC

 

 

$

755

 

 

10.25%, 9/15/10

 

$

779,538

 

CCC

 

 

 

865

 

 

Ser. B, 10.25%, 9/15/10

 

 

890,950

 

B3

 

 

 

2,425

4

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

 

 

2,343,156

 

BBB+

 

 

 

6,685

5

Comcast Cable Communications, Inc., 6.875%, 6/15/09

 

 

6,949,840

 

B+

 

 

 

5,795

5

CSC Holdings, Inc., 7.875%, 12/15/07

 

 

5,874,681

 

B

 

 

 

1,650

 

Dex Media West LLC/Dex Media Finance Co., Ser. B, 9.875%, 8/15/13

 

 

1,792,312

 

BB

 

 

 

500

 

DirecTV Holdings LLC/DirecTV Financing Co., 8.375%, 3/15/13

 

 

518,750

 

 

 

 

 

 

 

Echostar DBS Corp.,

 

 

 

 

BB-

 

 

 

2,800

 

 

5.75%, 10/01/08

 

 

2,782,500

 

BB-

 

 

 

1,330

4

 

7.00%, 10/01/13

 

 

1,318,363

 

BB-

 

 

 

200

4

 

7.125%, 2/01/16

 

 

195,500

 

B3

 

 

 

5,000

5

Houghton Mifflin Co., 9.875%, 2/01/13

 

 

5,356,250

 

CCC+

 

 

 

300

4

Iesy Repository GMBH, 10.375%, 2/15/15 (Germany)

 

 

283,500

 

Ba3

 

 

 

740

 

LIN Television Corp., 6.50%, 5/15/13

 

 

702,075

 

B

 

 

 

820

 

Medianews Group, Inc., 6.875%, 10/01/13

 

 

761,575

 

B2

 

 

 

2,105

 

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

 

 

2,118,156

 

B3

 

 

 

2,790

 

Nexstar Finance, Inc., 7.00%, 1/15/14

 

 

2,570,287

 

CCC+

 

 

 

4,340

4,5

Nielsen Finance LLC/Nielsen Finance Co., 10.00%, 8/01/14

 

 

4,524,450

 

B1

 

 

 

2,000

3,4

Paxson Communications Corp., 8.624%, 1/15/12

 

 

2,022,500

 

 

 

 

 

 

 

Primedia, Inc.,

 

 

 

 

B2

 

 

 

1,205

 

 

8.00%, 5/15/13

 

 

1,123,663

 

B2

 

 

 

520

 

 

8.875%, 5/15/11

 

 

518,700

 

B2

 

 

 

680

3

 

10.78%, 5/15/10

 

 

703,800

 

B

 

 

 

4,260

 

RH Donnelley Corp., Ser. A-3, 8.875%, 1/15/16

 

 

4,393,125

 

B2

 

 

 

2,000

 

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

 

 

2,020,000

 

B

 

 

 

460

 

Sinclair Broadcast Group, Inc., 4.875%, 7/15/18

 

 

415,150

 

Caa1

 

 

 

465

 

Sirius Satellite Radio, Inc., 9.625%, 8/01/13

 

 

453,375

 

 

 

 

 

 

 

Vertis, Inc.,

 

 

 

 

B1

 

 

 

2,390

5

 

9.75%, 4/01/09

 

 

2,440,787

 

Caa3

 

 

 

210

4

 

13.50%, 12/07/09

 

 

190,050

 

Caa1

 

 

 

865

 

 

Ser. B, 10.875%, 6/15/09

 

 

860,675

 

Caa1

 

 

 

4,442

 

Young Broadcasting, Inc., 10.00%, 3/01/11

 

 

4,197,690

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Media

 

 

67,803,748

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Real Estate—0.2%

 

 

 

 

BB+

 

 

 

2,000

5

Rouse Co., 5.375%, 11/26/13

 

 

1,866,760

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Technology—3.1%

 

 

 

 

BB-

 

 

 

200

 

Advanced Micro Devices, Inc., 7.75%, 11/01/12

 

 

203,500

 

 

 

 

 

 

 

Amkor Technology, Inc.,

 

 

 

 

CCC+

 

 

 

1,693

 

 

7.75%, 5/15/13

 

 

1,494,073

 

CCC+

 

 

 

3,345

 

 

9.25%, 6/01/16

 

 

3,110,850

 

B+

 

 

 

1,965

 

Celestica, Inc., 7.625%, 7/01/13 (Canada)

 

 

1,969,912

 

B+

 

 

 

430

4

Hynix Semiconductor, Inc., 9.875%, 7/01/12 (South Korea)

 

 

476,225

 

B+

 

 

 

1,415

4

NXP BV/NXP Funding LLC, 9.50%, 10/15/15

 

 

1,427,381

 

B-

 

 

 

815

4

Sensata Technologies BV, 8.00%, 5/01/14 (Netherlands)

 

 

786,475

 

CCC+

 

 

 

910

 

SS&C Technologies, Inc., 11.75%, 12/01/13

 

 

978,250

 

 

 

 

 

 

 

Sungard Data Systems, Inc.,

 

 

 

 

B-

 

 

 

665

 

 

9.125%, 8/15/13

 

 

689,938

 

B-

 

 

 

1,735

3

 

9.973%, 8/15/13

 

 

1,804,400

 

B-

 

 

 

2,430

 

 

10.25%, 8/15/15

 

 

2,545,425

 

B

 

 

 

3,765

 

Superior Essex Communications LLC/Essex Group, Inc., 9.00%, 4/15/12

 

 

3,849,712

 

B-

 

 

 

830

3,4

UGS Capital Corp. II, 10.38%, 6/01/11

 

 

856,975

 

B-

 

 

 

1,780

 

UGS Corp., 10.00%, 6/01/12

 

 

1,922,400

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Technology

 

 

22,115,516

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Telecommunications—8.2%

 

 

 

 

BB-

 

 

 

1,420

 

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

 

 

1,462,600

 

CCC

 

 

 

1,830

4

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

 

 

1,871,175

 

A-

 

 

 

5,000

5

Deutsche Telekom Intl. Finance BV, 8.00%, 6/15/10 (Netherlands)

 

 

5,457,805

 

B3

 

 

 

860

3

Hawaiian Telcom Communications, Inc., Ser. B, 10.889%, 5/01/13

 

 

881,500

 

See Notes to Financial Statements.

50



BlackRock Limited Duration Income Trust (BLW) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

 

Telecommunications—(cont’d)

 

 

 

 

 

 

 

 

 

 

Intelsat Ltd., (Bermuda)

 

 

 

 

BB-

 

 

$

1,470

 

 

8.625%, 1/15/15

 

$

1,525,125

 

BB-

 

 

 

1,800

4

 

9.25%, 6/15/16

 

 

1,921,500

 

BB-

 

 

 

815

3

 

10.484%, 1/15/12

 

 

826,206

 

B

 

 

 

630

4

 

11.25%, 6/15/16

 

 

685,913

 

B

 

 

 

2,520

3,4

 

11.64%, 6/15/13

 

 

2,671,200

 

 

 

 

 

 

 

Lucent Technologies, Inc.,

 

 

 

 

B1

 

 

 

105

 

 

6.45%, 3/15/29

 

 

93,975

 

B1

 

 

 

3,830

 

 

6.50%, 1/15/28

 

 

3,427,850

 

B+

 

 

 

3,850

4

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

 

 

4,032,875

 

B-

 

 

 

200

 

Nortel Networks Corp., 6.875%, 9/01/23 (Canada)

 

 

165,000

 

 

 

 

 

 

 

Nortel Networks Ltd.,

 

 

 

 

B-

 

 

 

2,220

3,4

 

9.624%, 7/15/11

 

 

2,292,150

 

B-

 

 

 

465

4

 

10.125%, 7/15/13

 

 

492,900

 

 

 

 

 

 

 

PanAmSat Corp.,

 

 

 

 

B

 

 

 

3,517

 

 

9.00%, 8/15/14

 

 

3,675,265

 

B

 

 

 

2,495

4

 

9.00%, 6/15/16

 

 

2,607,275

 

NR

 

 

 

3,000

3,4

ProtoStar I Ltd., Zero Coupon, 10/15/12 (Bermuda)

 

 

3,015,000

 

BB

 

 

 

4,000

3

Qwest Communications Intl., Inc., 8.905%, 2/15/09

 

 

4,065,000

 

 

 

 

 

 

 

Qwest Corp.,

 

 

 

 

BB+

 

 

 

1,000

 

 

7.875%, 9/01/11

 

 

1,058,750

 

BB+

 

 

 

2,500

3,5

 

8.64%, 6/15/13

 

 

2,693,750

 

BB+

 

 

 

3,675

5

 

8.875%, 3/15/12

 

 

4,042,500

 

BB+

 

 

 

460

 

Rogers Wireless, Inc., 7.25%, 12/15/12 (Canada)

 

 

483,000

 

 

 

 

 

 

 

West Corp.,

 

 

 

 

B-

 

 

 

340

4

 

9.50%, 10/15/14

 

 

338,300

 

B-

 

 

 

1,910

4

 

11.00%, 10/15/16

 

 

1,919,550

 

B+

 

 

 

1,500

4

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

 

 

1,666,875

 

 

 

 

 

 

 

Windstream Corp.,

 

 

 

 

BB+

 

 

 

2,340

4

 

8.125%, 8/01/13

 

 

2,497,950

 

BB+

 

 

 

1,310

4

 

8.625%, 8/01/16

 

 

1,413,162

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Telecommunications

 

 

57,284,151

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Transportation—0.6%

 

 

 

 

BB-

 

 

 

520

 

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

 

 

518,700

 

B1

 

 

 

1,715

 

CHC Helicopter Corp., 7.375%, 5/01/14 (Canada)

 

 

1,637,825

 

B3

 

 

 

111

 

Horizon Lines LLC, 9.00%, 11/01/12

 

 

115,995

 

BB+

 

 

 

1,650

5

Overseas Shipholding Group, Inc., 8.75%, 12/01/13

 

 

1,767,563

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Transportation

 

 

4,040,083

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Corporate Bonds

 

 

449,814,071

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Bank Loans—53.5%

 

 

 

 

 

 

 

 

 

 

Aerospace & Defense—0.7%

 

 

 

 

 

 

 

 

975

 

Arinc, Inc., Loan B, LIBOR + 2.00%, 2/15/11

 

 

976,219

 

 

 

 

 

860

 

Camp Acquisition Co., Loan A, LIBOR + 3.00%, 8/30/11

 

 

859,996

 

 

 

 

 

1,970

 

DI Finance/DynCorp Intl., Loan B, LIBOR + 2.25%, 1/31/11

 

 

1,977,387

 

 

 

 

 

 

 

Primus Intl., Inc.,

 

 

 

 

 

 

 

 

30

 

 

Loan B, 0.50%, 6/16/12

 

 

29,762

 

 

 

 

 

471

 

 

Loan B, LIBOR + 2.50%, 6/16/12

 

 

471,488

 

 

 

 

 

500

 

Wesco Aircraft Hardware Corp., LIBOR, 9/29/13

 

 

502,969

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Aerospace & Defense

 

 

4,817,821

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Automotive—1.9%

 

 

 

 

 

 

 

 

998

 

Dayco Products LLC, LIBOR + 2.50%, 6/30/11

 

 

1,004,565

 

 

 

 

 

 

 

Goodyear Tire & Rubber Co.,

 

 

 

 

 

 

 

 

500

 

 

LIBOR + 2.75%, 4/01/10

 

 

503,393

 

 

 

 

 

2,000

 

 

LIBOR + 3.50%, 4/01/11

 

 

2,024,166

 

 

 

 

 

744

 

IAP Worldwide Services, Inc., LIBOR + 3.00%, 12/31/12

 

 

742,514

 

 

 

 

 

1,000

 

Lear Corp., LIBOR + 2.50%, 3/23/12

 

 

996,042

 

 

 

 

 

925

 

Metaldyne Corp., Loan D, LIBOR + 4.50%, 12/31/09

 

 

927,420

 

 

 

 

 

1

 

Precision Parts Intl., Loan B, LIBOR + 3.75%, 10/01/11

 

 

616

 

 

 

 

 

1,000

 

Rent-A-Center, Inc., LIBOR + 1.75%, 6/30/12

 

 

1,002,500

 

See Notes to Financial Statements.

51



BlackRock Limited Duration Income Trust (BLW) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

 

Automotive—(cont’d)

 

 

 

 

 

 

 

 

 

 

Reynolds & Reynolds Co.,

 

 

 

 

 

 

 

$

2,000

 

 

LIBOR + 2.50%, 10/31/12

 

$

2,012,500

 

 

 

 

 

1,250

 

 

LIBOR + 5.50%, 10/31/13

 

 

1,269,271

 

 

 

 

 

517

 

Tenneco Automotive, Inc., Loan B1, LIBOR + 2.00%, 12/12/10

 

 

518,604

 

 

 

 

 

2,456

 

TRW Automotive Acquisitions Corp., Loan B, LIBOR + 1.50%, 6/30/12

 

 

2,447,808

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Automotive

 

 

13,449,399

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Basic Materials—4.3%

 

 

 

 

 

 

 

 

 

 

Basell NV,

 

 

 

 

 

 

 

 

417

 

 

Loan B2, LIBOR + 2.25%, 9/30/13

 

 

421,354

 

 

 

 

 

83

 

 

Loan B4, LIBOR + 2.25%, 8/01/14

 

 

84,271

 

 

 

 

 

83

 

 

Loan C4, LIBOR + 3.00%, 8/01/13

 

 

84,271

 

 

 

 

 

417

 

 

Loan C2, LIBOR + 3.00%, 9/30/14

 

 

421,354

 

 

 

 

 

810

 

Boise Cascade Corp., Loan D, LIBOR + 1.75%, 10/31/11

 

 

813,516

 

 

 

 

 

500

 

Brenntag Group, Loan B6, LIBOR + 2.50%, 9/15/14 (EUR)

 

 

644,930

 

 

 

 

 

2,046

 

Celanese AG, LIBOR + 2.00%, 6/03/11

 

 

2,052,069

 

 

 

 

 

3,000

 

Cognis Deutschland, Loan B, LIBOR + 4.75%, 11/15/13

 

 

3,054,999

 

 

 

 

 

907

 

Compass Minerals Group, Inc., LIBOR + 1.50%, 12/31/12

 

 

907,214

 

 

 

 

 

4,141

 

Huntsman Intl. LLC, Loan B, LIBOR + 1.75%, 8/15/12

 

 

4,135,661

 

 

 

 

 

 

 

Ineos Group Holdings PLC,

 

 

 

 

 

 

 

 

1,500

 

 

Loan A4, LIBOR + 2.25%, 12/16/12

 

 

1,509,845

 

 

 

 

 

1,750

 

 

Loan B2, LIBOR + 2.25%, 12/16/14

 

 

1,770,052

 

 

 

 

 

1,750

 

 

Loan C2, LIBOR + 2.75%, 12/16/13

 

 

1,770,052

 

 

 

 

 

 

 

Invista BV,

 

 

 

 

 

 

 

 

1,296

 

 

Loan B1, LIBOR + 1.50%, 4/30/11

 

 

1,294,849

 

 

 

 

 

687

 

 

Loan B2, LIBOR + 1.50%, 4/30/11

 

 

687,225

 

 

 

 

 

696

 

ISP Chemco, Inc., LIBOR + 2.00%, 2/28/13

 

 

697,491

 

 

 

 

 

483

 

John Maneely Co., Loan B, LIBOR + 3.00%, 3/31/13

 

 

486,745

 

 

 

 

 

2,211

 

Nalco Co., Loan B, LIBOR + 1.75%, 11/01/10

 

 

2,214,890

 

 

 

 

 

493

 

PQ Corp., LIBOR + 2.00%, 2/28/12

 

 

493,731

 

 

 

 

 

985

 

Rockwood Specialties Group, Inc., Loan E, LIBOR + 2.00%, 8/15/12

 

 

989,186

 

 

 

 

 

 

 

SP Newsprint,

 

 

 

 

 

 

 

 

1,611

 

 

LIBOR + 2.25%, 1/09/10

 

 

1,617,153

 

 

 

 

 

188

 

 

PRIME + 1.75%, 1/08/10

 

 

188,900

 

 

 

 

 

 

 

UPC Technology Corp.,

 

 

 

 

 

 

 

 

1,000

 

 

Loan J2, LIBOR + 2.00%, 3/31/13

 

 

999,375

 

 

 

 

 

1,000

 

 

Loan K2, LIBOR + 2.00%, 12/31/13

 

 

999,286

 

 

 

 

 

750

 

 

Loan K, LIBOR, 3/31/13 (EUR)

 

 

956,491

 

 

 

 

 

663

 

 

Loan J, LIBOR, 12/31/13 (EUR)

 

 

845,027

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Basic Materials

 

 

30,139,937

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Building & Development—1.7%

 

 

 

 

 

 

 

 

500

 

Armstrong World Industries, Inc., LIBOR, 10/02/13

 

 

500,469

 

 

 

 

 

1,250

 

Beacon Roofing Supply, Inc., LIBOR + 2.00%, 10/31/13

 

 

1,250,000

 

 

 

 

 

1,500

 

Custom Building Products, Inc., LIBOR + 5.00%, 4/30/12

 

 

1,501,249

 

 

 

 

 

250

 

Euramax Intl., Inc., LIBOR + 7.00%, 7/15/13

 

 

250,937

 

 

 

 

 

1,250

 

Harmon Koval, 3.25%, 12/31/06

 

 

1,250,000

 

 

 

 

 

424

 

Maxim Crane Works LP, LIBOR + 2.00%, 1/28/10

 

 

423,792

 

 

 

 

 

499

 

Nacco Industries, Inc., LIBOR + 2.00%, 3/31/13

 

 

496,880

 

 

 

 

 

490

 

Nortek, Inc., Loan B, LIBOR, 8/24/11

 

 

488,119

 

 

 

 

 

1,492

 

Ply Gem Industries, Inc., LIBOR + 2.25%, 8/15/11

 

 

1,488,769

 

 

 

 

 

1,496

 

Pro Build Holdings, Loan B, LIBOR + 1.75%, 6/30/13

 

 

1,491,263

 

 

 

 

 

900

 

Rhodes Ranch, LIBOR + 3.25%, 11/15/10

 

 

864,000

 

 

 

 

 

1,985

 

United Subcontractors, Inc., LIBOR + 2.75%, 12/31/12

 

 

1,925,450

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Building & Development

 

 

11,930,928

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Conglomerates—2.4%

 

 

 

 

 

 

 

 

 

 

Atlantis Plastics, Inc.,

 

 

 

 

 

 

 

 

985

 

 

LIBOR + 2.75%, 9/22/11

 

 

950,525

 

 

 

 

 

500

 

 

LIBOR + 7.25%, 3/22/12

 

 

492,500

 

 

 

 

 

900

 

Blount Intl., Loan B, LIBOR + 1.75%, 8/15/10

 

 

900,299

 

 

 

 

 

1,966

 

Colfax Corp., Loan B, LIBOR + 2.00%, 5/30/09

 

 

1,972,918

 

 

 

 

 

3,063

 

Fidelity National Information Solutions, Inc., Loan B, LIBOR + 1.75%, 3/30/13

 

 

3,068,736

 

 

 

 

 

419

 

Gentek, Inc., LIBOR + 4.25%, 3/15/12

 

 

421,343

 

See Notes to Financial Statements.

52



BlackRock Limited Duration Income Trust (BLW) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

 

Conglomerates—(cont’d)

 

 

 

 

 

 

 

 

 

 

Invensys PLC,

 

 

 

 

 

 

 

$

1,000

 

 

Loan A, LIBOR + 2.00%, 12/15/11

 

$

1,002,500

 

 

 

 

 

1,000

 

 

Loan B, LIBOR + 2.25%, 12/15/11 (GBP)

 

 

1,912,915

 

 

 

 

 

 

 

Jarden Corp.,

 

 

 

 

 

 

 

 

1,189

 

 

LIBOR + 2.00%, 1/24/12

 

 

1,187,074

 

 

 

 

 

485

 

 

Loan B2, LIBOR + 1.75%, 1/15/12

 

 

485,015

 

 

 

 

 

756

 

Mueller Group, Inc., Loan B, LIBOR + 2.00%, 9/30/12

 

 

759,173

 

 

 

 

 

1,470

 

Securityco, Inc., Loan B, LIBOR + 3.25%, 6/30/10

 

 

1,477,382

 

 

 

 

 

1,345

 

Sensus Metering Systems, Inc., Loan B1, LIBOR + 2.00%, 12/30/09

 

 

1,341,258

 

 

 

 

 

762

 

St. John Knits Intl., Inc., Loan B, LIBOR + 4.25%, 3/30/12

 

 

756,669

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Conglomerates

 

 

16,728,307

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Consumer Products—8.2%

 

 

 

 

 

 

 

 

1,000

 

Aearo Technologies, Inc., LIBOR + 6.50%, 9/30/13

 

 

1,011,250

 

 

 

 

 

995

 

24 Hour Fitness Worldwide, Inc., Loan B, LIBOR + 3.00%, 6/30/12

 

 

1,000,390

 

 

 

 

 

750

 

American Safety Razor Co., LIBOR + 6.25%, 2/15/14

 

 

761,250

 

 

 

 

 

453

 

Arby’s Restaurant Group, Inc., Loan B, LIBOR + 2.25%, 7/31/12

 

 

453,658

 

 

 

 

 

478

 

Bare Escentuals Beauty, Inc., LIBOR + 2.75%, 2/15/12

 

 

480,108

 

 

 

 

 

 

 

Berkline Bench Craft,

 

 

 

 

 

 

 

 

108

 

 

Loan B, LIBOR + 3.75%, 10/31/11

 

 

84,444

 

 

 

 

 

1,005

 

 

PRIME + 7.00%, 5/03/12

 

 

226,136

 

 

 

 

 

500

 

Buffets, Inc., LIBOR + 0.10%, 6/28/09

 

 

500,000

 

 

 

 

 

1,349

 

Burger King Corp., Loan B-1, LIBOR + 1.50%, 2/28/13

 

 

1,347,546

 

 

 

 

 

1,493

 

Burlington Coat Factory Warehouse Corp., Loan B, LIBOR + 2.25%, 4/15/13

 

 

1,469,880

 

 

 

 

 

493

 

Centerplate, Inc., LIBOR + 3.25%, 10/15/10

 

 

495,895

 

 

 

 

 

1,193

 

Central Garden & Pet Co., Loan B, LIBOR + 1.50%, 9/30/12

 

 

1,191,760

 

 

 

 

 

998

 

Cenveo Corp., LIBOR + 2.00%, 6/30/13

 

 

999,994

 

 

 

 

 

494

 

Chiquita Brands Intl., Inc., Loan C, LIBOR + 2.25%, 7/15/13

 

 

492,979

 

 

 

 

 

996

 

Coinmach Corp., Loan B1, LIBOR + 2.50%, 12/15/12

 

 

1,003,952

 

 

 

 

 

1,634

 

Commonwealth Brands, Inc., LIBOR + 2.25%, 12/15/12

 

 

1,643,752

 

 

 

 

 

2,486

 

Cracker Barrel, Loan B, LIBOR + 1.50%, 5/15/13

 

 

2,477,505

 

 

 

 

 

500

 

Denny’s Corp., LIBOR + 5.13%, 9/25/10

 

 

505,000

 

 

 

 

 

431

 

Douglas Dynamics LLC, LIBOR + 1.75%, 12/16/10

 

 

428,651

 

 

 

 

 

1,166

 

Eastman Kodak Co., Loan B1, LIBOR + 2.25%, 10/15/12

 

 

1,166,900

 

 

 

 

 

750

 

FTD, Inc., LIBOR, 8/15/13

 

 

751,875

 

 

 

 

 

350

 

Gold Toe, LIBOR + 6.00%, 4/30/14

 

 

355,250

 

 

 

 

 

645

 

Hertz Corp., LIBOR + 2.25%, 12/31/12

 

 

649,600

 

 

 

 

 

792

 

Keystone Foods Holdings LLC, LIBOR + 1.75%, 6/30/11

 

 

791,564

 

 

 

 

 

842

 

Language Line, Inc., Loan B, LIBOR + 4.25%, 6/14/11

 

 

846,213

 

 

 

 

 

1,250

 

Le-Natures, Inc., Loan B, LIBOR + 4.00%, 9/30/11

 

 

1,187,500

 

 

 

 

 

1,179

 

Maidenform, Inc., LIBOR + 1.75%, 5/14/10

 

 

1,177,097

 

 

 

 

 

2,731

 

Michael Foods, Inc., Loan B1, LIBOR + 2.00%, 11/30/10

 

 

2,733,684

 

 

 

 

 

643

 

Movie Gallery, Inc., Loan B, LIBOR + 5.25%, 4/30/11

 

 

600,145

 

 

 

 

 

1,661

 

Neiman-Marcus Group, Inc., LIBOR + 2.50%, 4/15/13

 

 

1,673,715

 

 

 

 

 

1,544

 

New Page, Loan B, LIBOR + 3.00%, 4/30/12

 

 

1,559,764

 

 

 

 

 

782

 

Nice Pak Products, LIBOR + 3.75%, 6/15/10

 

 

783,032

 

 

 

 

 

 

 

Olympus Cable Holdings LLC,

 

 

 

 

 

 

 

 

2,000

 

 

Loan A, PRIME + 1.25%, 6/30/10

 

 

1,942,500

 

 

 

 

 

3,500

 

 

Loan B, PRIME + 2.00%, 9/30/10

 

 

3,411,954

 

 

 

 

 

1,500

2

Orchard Supply Hardware Stores Corp., Loan B2, LIBOR + 2.45%, 12/09/07

 

 

1,500,000

 

 

 

 

 

998

 

Oriental Trading Co., LIBOR + 2.75%, 1/30/14

 

 

998,331

 

 

 

 

 

 

 

OSI Group LLC,

 

 

 

 

 

 

 

 

1,470

 

 

LIBOR + 1.75%, 9/15/11

 

 

1,467,243

 

 

 

 

 

1,470

 

 

Loan B, LIBOR + 1.75%, 9/15/11

 

 

1,467,244

 

 

 

 

 

602

 

Pierre Foods, Inc., Loan B, LIBOR + 2.00%, 7/15/10

 

 

602,419

 

 

 

 

 

750

 

Pivotal Promontory LLC, LIBOR + 6.50%, 9/15/11

 

 

725,000

 

 

 

 

 

1,463

 

Prestige Brands Holdings, Inc., Loan B, LIBOR + 2.25%, 4/07/11

 

 

1,467,984

 

 

 

 

 

250

 

Quality Home Brands Holdings LLC, LIBOR + 6.25%, 6/15/13

 

 

251,875

 

 

 

 

 

1,995

 

Quiznos Corp., LIBOR + 2.25%, 5/01/12

 

 

1,987,876

 

 

 

 

 

3,335

 

RH Donnelley, Inc., Loan D2, LIBOR + 1.50%, 12/31/11

 

 

3,320,530

 

 

 

 

 

1,950

 

Sturm Foods, Inc., LIBOR + 2.25%, 5/31/11

 

 

1,952,550

 

 

 

 

 

1,493

 

Supervalu, Inc., Loan B, LIBOR + 1.75%, 6/15/12

 

 

1,495,766

 

See Notes to Financial Statements.

53



BlackRock Limited Duration Income Trust (BLW) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

Description

 

Value

 









 

 

 

 

 

 

Consumer Products—(cont’d)

 

 

 

 

 

 

 

$

615

 

Synventive Acquisition, Inc., LIBOR + 14.0%, 1/31/14

 

$

499,444

 

 

 

 

 

 

 

Travelcenters of America, Inc.,

 

 

 

 

 

 

 

 

248

 

 

Loan B, LIBOR + 1.75%, 6/30/11

 

 

247,268

 

 

 

 

 

249

 

 

Loan B, LIBOR + 1.75%, 11/30/11

 

 

248,517

 

 

 

 

 

905

 

Tupperware Corp., LIBOR + 1.50%, 11/07/12

 

 

898,993

 

 

 

 

 

498

 

Warnaco, Inc., Loan B, LIBOR + 1.50%, 1/31/12

 

 

494,391

 

 

 

 

 

 

 

Waterpik Technologies, Inc.,

 

 

 

 

 

 

 

 

451

 

 

LIBOR + 2.25%, 4/15/13

 

 

450,875

 

 

 

 

 

750

 

 

LIBOR + 6.50%, 10/15/13

 

 

757,500

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Consumer Products

 

 

57,038,749

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Containers & Packaging—2.0%

 

 

 

 

 

 

 

 

 

 

Altivity Packaging LLC,

 

 

 

 

 

 

 

 

345

 

 

LIBOR + 2.25%, 6/30/13

 

 

347,498

 

 

 

 

 

1,500

 

 

LIBOR + 5.00%, 12/30/13

 

 

1,515,937

 

 

 

 

 

1,152

 

 

Loan B, LIBOR + 2.25%, 6/30/13

 

 

1,161,377

 

 

 

 

 

200

 

Covalence Specialty Materials Corp., LIBOR + 3.25%, 8/15/13

 

 

202,167

 

 

 

 

 

 

 

Georgia-Pacific Corp.,

 

 

 

 

 

 

 

 

2,488

 

 

LIBOR + 2.00%, 2/28/13

 

 

2,500,022

 

 

 

 

 

994

 

 

LIBOR + 3.00%, 2/28/14

 

 

1,005,939

 

 

 

 

 

 

 

Graham Packaging Co. LP,

 

 

 

 

 

 

 

 

1,965

 

 

Loan B, LIBOR + 2.25%, 10/01/11

 

 

1,973,772

 

 

 

 

 

1,429

 

 

Loan C, LIBOR + 4.25%, 4/01/12

 

 

1,438,393

 

 

 

 

 

1,324

 

Graphic Packaging Intl., Inc., Loan C, LIBOR + 2.50%, 8/08/10

 

 

1,337,894

 

 

 

 

 

568

 

Smurfit-Stone Container Corp., LIBOR + 2.35%, 11/01/10

 

 

570,806

 

 

 

 

 

1,950

 

Solo Cup, Inc., LIBOR + 3.25%, 2/27/11

 

 

1,958,227

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Containers & Packaging

 

 

14,012,032

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Ecological Services & Equipment—0.1%

 

 

 

 

 

 

 

 

500

 

Envirosolutions, Inc., LIBOR + 3.50%, 7/15/12

 

 

502,812

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Energy—3.6%

 

 

 

 

 

 

 

 

429

 

AES Corp., LIBOR + 1.75%, 4/30/08

 

 

428,839

 

 

 

 

 

952

 

Cellnet Technology, Inc., Loan B, LIBOR + 3.00%, 4/30/12

 

 

958,039

 

 

 

 

 

 

 

Coffeyville Resources LLC,

 

 

 

 

 

 

 

 

600

 

 

LIBOR + 2.50%, 6/22/11

 

 

602,924

 

 

 

 

 

889

 

 

Loan C, LIBOR + 2.25%, 7/15/12

 

 

893,138

 

 

 

 

 

 

 

Coleto Creek Power,

 

 

 

 

 

 

 

 

127

 

 

LIBOR + 2.75%, 7/31/13

 

 

126,433

 

 

 

 

 

1,868

 

 

Loan B, LIBOR, 7/31/13

 

 

1,853,921

 

 

 

 

 

248

 

Complete Production Services, Inc., Loan B, LIBOR + 2.50%, 8/31/12

 

 

247,887

 

 

 

 

 

1,000

 

Exco Resources, Inc., LIBOR + 6.00%, 10/31/11

 

 

1,010,000

 

 

 

 

 

1,489

 

Key Energy Services, Inc., Loan B, LIBOR + 3.25%, 8/15/12

 

 

1,495,729

 

 

 

 

 

500

 

Longyear Global Holdings, Inc., LIBOR + 7.00%, 10/06/13

 

 

495,000

 

 

 

 

 

976

 

LSP General Finance Co. LLC, LIBOR + 1.75%, 4/15/13

 

 

972,869

 

 

 

 

 

498

 

Meg Energy Corp., Loan B, LIBOR + 2.25%, 4/15/13

 

 

498,211

 

 

 

 

 

 

 

Northeast Energy,

 

 

 

 

 

 

 

 

1,500

 

 

PRIME + 1.50%, 10/31/13

 

 

1,512,750

 

 

 

 

 

250

 

 

PRIME + 3.50%, 10/31/14

 

 

252,125

 

 

 

 

 

5,976

 

NRG Energy, Inc., LIBOR + 2.00%, 1/31/13

 

 

6,004,309

 

 

 

 

 

346

 

Petro Geological Services, Loan B, LIBOR + 2.50%, 12/31/12

 

 

347,428

 

 

 

 

 

 

 

Plum Point Energy Associates,

 

 

 

 

 

 

 

 

194

 

 

LIBOR + 3.75%, 3/14/14

 

 

196,229

 

 

 

 

 

716

 

 

Loan B, LIBOR + 3.25%, 3/14/14

 

 

722,834

 

 

 

 

 

1,000

 

Regency Gas, LIBOR, 8/15/13

 

 

1,010,625

 

 

 

 

 

1,980

 

Reliant Energy, Inc., LIBOR + 2.38%, 4/30/10

 

 

1,978,521

 

 

 

 

 

979

 

Semcrude LP, LIBOR + 2.25%, 2/28/11

 

 

982,158

 

 

 

 

 

1,492

 

Trinidad Energy Services Income Trust, LIBOR + 2.50%, 4/15/11

 

 

1,496,231

 

 

 

 

 

 

 

Wolf Hollow I LP,

 

 

 

 

 

 

 

 

400

 

 

LIBOR + 2.25%, 6/15/12

 

 

392,000

 

 

 

 

 

100

 

 

LIBOR + 2.25%, 6/22/12

 

 

98,000

 

 

 

 

 

477

 

 

Loan B, LIBOR + 2.25%, 6/15/12

 

 

467,682

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Energy

 

 

25,043,882

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

54


BlackRock Limited Duration Income Trust (BLW) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

Description

 

Value

 








 

 

 

 

 

 

Entertainment & Leisure—2.7%

 

 

 

 

 

 

 

$

3,221

 

CCM Merger, Inc., Loan B, LIBOR + 2.00%, 7/31/12

 

$

3,214,107

 

 

 

 

 

1,125

 

Cinemark, Inc., Loan B, LIBOR, 10/05/13

 

 

1,131,856

 

 

 

 

 

500

 

Edge Las Vegas, LIBOR + 3.50%, 6/01/09

 

 

490,000

 

 

 

 

 

1,442

 

Fairmont Hotels & Resorts, Inc., Loan B, LIBOR + 3.25%, 7/15/11

 

 

1,449,039

 

 

 

 

 

2,000

 

Greektown Holdings LLC, Loan B, LIBOR + 2.50%, 12/15/12

 

 

2,012,500

 

 

 

 

 

488

 

Green Valley Ranch Gaming LLC, Loan B, LIBOR + 1.75%, 12/01/10

 

 

487,566

 

 

 

 

 

495

 

Hit Entertainment Ltd., LIBOR + 2.25%, 3/20/12

 

 

495,309

 

 

 

 

 

4,975

 

Metro-Goldwyn-Mayer Studios, Inc., Loan B, LIBOR + 3.25%, 4/15/12

 

 

4,909,260

 

 

 

 

 

1,481

 

Penn National Gaming, Inc., Loan B, LIBOR + 1.75%, 5/31/12

 

 

1,488,110

 

 

 

 

 

750

 

Time Warner, Inc., LIBOR + 2.25%, 10/31/13

 

 

755,062

 

 

 

 

 

325

 

Travelport, Inc., LIBOR + 3.00%, 8/31/13

 

 

325,871

 

 

 

 

 

500

 

Wembley, Inc., LIBOR + 2.50%, 8/31/11

 

 

504,375

 

 

 

 

 

1,099

 

Wyndham Intl., Inc., Loan E, LIBOR + 4.50%, 9/11/07

 

 

1,104,847

 

 

 

 

 

473

 

Yellowstone Mountain Club, LIBOR + 2.38%, 10/15/10

 

 

464,458

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Entertainment & Leisure

 

 

18,832,360

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial Institutions—5.6%

 

 

 

 

 

 

 

 

995

 

Advantage Sales & Marketing, Inc., LIBOR + 2.00%, 4/15/13

 

 

990,440

 

 

 

 

 

1,500

 

Alix Partners, LIBOR, 10/30/13

 

 

1,507,500

 

 

 

 

 

440

 

Ameritrade, Loan B, LIBOR + 1.50%, 1/31/13

 

 

439,148

 

 

 

 

 

982

 

Arias Acquisitions, Inc., LIBOR + 3.75%, 7/30/11

 

 

947,524

 

 

 

 

 

 

 

Asurion Corp.,

 

 

 

 

 

 

 

 

1,155

 

 

LIBOR + 3.00%, 8/30/12

 

 

1,159,107

 

 

 

 

 

500

 

 

LIBOR + 6.25%, 2/28/13

 

 

505,625

 

 

 

 

 

1,000

 

Bankruptcy Management, LIBOR + 2.75%, 6/30/11

 

 

1,008,125

 

 

 

 

 

975

 

Billing Services Group, LIBOR + 2.50%, 5/03/12 (EUR)

 

 

1,244,392

 

 

 

 

 

1,000

 

BNY Convergex Group LLC, LIBOR, 8/31/13

 

 

1,000,313

 

 

 

 

 

500

 

Brock Holdings, LIBOR + 2.50%, 8/30/13

 

 

501,875

 

 

 

 

 

500

 

CCC Information Services Group, Inc., Loan B, LIBOR + 2.50%, 2/15/13

 

 

501,666

 

 

 

 

 

4,000

 

Century Corp., PRIME + 2.00%, 12/31/09

 

 

3,901,428

 

 

 

 

 

1,250

 

Charter Mac, Loan B, LIBOR + 2.50%, 8/15/12

 

 

1,253,125

 

 

 

 

 

750

 

Conseco, Inc., LIBOR, 9/30/13

 

 

751,875

 

 

 

 

 

1,244

 

Global Cash Access LLC, PRIME + 0.75%, 3/15/10

 

 

1,242,525

 

 

 

 

 

872

 

Jostens, Inc., Loan C, LIBOR + 2.00%, 10/15/11

 

 

875,302

 

 

 

 

 

877

 

Lucite Intl. Finance PLC, LIBOR + 9.00%, 7/15/14 (EUR)

 

 

1,101,359

 

 

 

 

 

748

 

N.E.W. Holdings I LLC, LIBOR, 8/31/13

 

 

751,398

 

 

 

 

 

 

 

Nasdaq Stock Market, Inc.,

 

 

 

 

 

 

 

 

1,243

 

 

Loan B, LIBOR + 1.75%, 4/18/12

 

 

1,243,002

 

 

 

 

 

721

 

 

Loan C, LIBOR + 1.75%, 4/18/12

 

 

720,608

 

 

 

 

 

6,000

 

Navistar Financial Corp., LIBOR + 5.00%, 2/28/09

 

 

6,060,000

 

 

 

 

 

1,178

 

Professional Service, Inc., Loan B, LIBOR + 2.75%, 10/31/12

 

 

1,179,598

 

 

 

 

 

438

 

Renfro Corp., LIBOR + 3.25%, 10/05/13

 

 

436,289

 

 

 

 

 

 

 

Riverstone C/R GS Holdings,

 

 

 

 

 

 

 

 

91

 

 

LIBOR, 5/13/11

 

 

90,852

 

 

 

 

 

593

 

 

LIBOR + 1.75%, 5/12/13

 

 

591,110

 

 

 

 

 

64

 

 

TBD, 5/12/13

 

 

63,597

 

 

 

 

 

1,122

 

Sedgewick Claims Management Services, Inc., Loan B, LIBOR + 2.00%, 2/28/13

 

 

1,121,691

 

 

 

 

 

1,000

 

Targa Resources, Inc., LIBOR + 2.25%, 10/31/07

 

 

999,688

 

 

 

 

 

 

 

TPG Springs, (GBP)

 

 

 

 

 

 

 

 

997

 

 

Loan B, LIBOR, 3/22/13

 

 

1,899,697

 

 

 

 

 

997

 

 

Loan C, LIBOR, 7/22/14

 

 

1,908,413

 

 

 

 

 

998

 

Transfirst Holdings, Inc., Loan B, LIBOR + 2.50%, 8/09/12

 

 

1,004,981

 

 

 

 

 

438

 

Universal American Financial Corp., LIBOR + 2.25%, 5/25/09

 

 

438,594

 

 

 

 

 

905

 

USI Holdings Corp., Loan B, LIBOR + 2.25%, 7/30/08

 

 

908,515

 

 

 

 

 

748

 

Vertellus, LIBOR + 3.25%, 7/08/13

 

 

751,866

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Financial Institutions

 

 

39,101,228

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Health Care—3.5%

 

 

 

 

 

 

 

 

1,137

 

CCS Medical, Loan B, LIBOR + 3.25%, 10/31/12

 

 

1,092,671

 

 

 

 

 

2,940

 

Community Health Systems, Inc., LIBOR + 1.75%, 8/15/11

 

 

2,940,000

 

 

 

 

 

2,331

 

Concentra Operating Corp., Loan B, LIBOR + 2.00%, 9/30/11

 

 

2,339,782

 

 

 

 

 

1,710

 

Davita, Inc., Loan B, LIBOR + 2.00%, 6/30/12

 

 

1,717,363

 

 

 

 

 

523

 

Duloxetine Royalty, LIBOR + 4.50%, 10/15/13

 

 

523,161

 

See Notes to Financial Statements.

55


BlackRock Limited Duration Income Trust (BLW) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

Description

 

Value

 








 

 

 

 

 

 

Health Care—(cont’d)

 

 

 

 

 

 

 

$

985

 

Eye Care Centers of America, Inc., LIBOR + 3.00%, 2/28/12

 

$

985,616

 

 

 

 

 

498

 

Global Healthcare Exchange LLC, Loan B, LIBOR + 1.25%, 3/15/13

 

 

497,500

 

 

 

 

 

1,995

 

Healthsouth Corp., Loan B, LIBOR + 3.25%, 3/15/13

 

 

2,002,204

 

 

 

 

 

978

 

IASIS Healthcare Corp., Loan B, LIBOR + 2.25%, 6/30/11

 

 

980,921

 

 

 

 

 

2,200

 

Jean Coutu Group, Inc., Loan B, LIBOR + 2.50%, 6/30/11

 

 

2,204,748

 

 

 

 

 

459

 

Multiplan, Inc., LIBOR + 2.50%, 4/15/13

 

 

459,851

 

 

 

 

 

748

 

National Renal Institutes, Inc., Loan B, LIBOR + 2.25%, 4/15/13

 

 

747,657

 

 

 

 

 

 

 

Quintiles Transnational Corp.,

 

 

 

 

 

 

 

 

995

 

 

LIBOR + 2.00%, 3/31/13

 

 

994,502

 

 

 

 

 

250

 

 

LIBOR + 4.00%, 3/31/14

 

 

253,985

 

 

 

 

 

496

 

Radnet Management, Inc., Loan B, LIBOR + 4.00%, 3/15/11

 

 

497,491

 

 

 

 

 

985

 

Select Medical Corp., Loan B, LIBOR + 1.75%, 2/28/12

 

 

965,054

 

 

 

 

 

990

 

Vanguard Health Holding Co. II LLC, LIBOR + 2.25%, 9/30/11

 

 

989,729

 

 

 

 

 

 

 

Warner Chilcott Corp.,

 

 

 

 

 

 

 

 

88

 

 

LIBOR + 2.50%, 1/18/11

 

 

88,294

 

 

 

 

 

439

 

 

LIBOR + 2.50%, 1/18/12

 

 

440,311

 

 

 

 

 

1,896

 

 

Loan B, LIBOR + 2.50%, 1/18/11

 

 

1,904,918

 

 

 

 

 

521

 

 

Loan C, LIBOR + 2.50%, 1/18/11

 

 

522,995

 

 

 

 

 

978

 

Wellcare Holdings LLC, LIBOR + 2.50%, 5/13/09

 

 

977,500

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Health Care

 

 

24,126,253

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Industrials—1.6%

 

 

 

 

 

 

 

 

1,000

 

Acosta, Inc., LIBOR + 2.75%, 8/15/13

 

 

1,008,750

 

 

 

 

 

500

 

Applied Systems, Inc., Loan B, LIBOR, 9/30/13

 

 

501,563

 

 

 

 

 

993

 

Bolthouse Farms, Inc., LIBOR + 2.25%, 12/01/12

 

 

993,741

 

 

 

 

 

 

 

Buhrmann U.S., Inc.,

 

 

 

 

 

 

 

 

500

 

 

Loan D, LIBOR, 12/23/10

 

 

500,000

 

 

 

 

 

2,269

 

 

Loan D1, LIBOR + 1.75%, 12/30/10

 

 

2,269,443

 

 

 

 

 

1,900

 

Drummond Co., Inc., LIBOR + 1.75%, 2/15/12

 

 

1,852,500

 

 

 

 

 

 

 

Novelis, Inc.,

 

 

 

 

 

 

 

 

182

 

 

Loan B, LIBOR + 2.25%, 1/13/10

 

 

182,210

 

 

 

 

 

365

 

 

Loan B, LIBOR + 2.25%, 12/30/11

 

 

365,849

 

 

 

 

 

625

 

QTC Acquisition, Inc., LIBOR + 6.50%, 5/04/13

 

 

625,000

 

 

 

 

 

 

 

Standard Steel LLC,

 

 

 

 

 

 

 

 

83

 

 

1.00%, 6/30/12

 

 

83,958

 

 

 

 

 

416

 

 

Loan B, LIBOR + 2.50%, 7/15/12

 

 

418,742

 

 

 

 

 

1,337

 

Thermo Fluids, Inc., Loan B, LIBOR + 3.00%, 8/15/11

 

 

1,336,752

 

 

 

 

 

 

 

Trimas Corp.,

 

 

 

 

 

 

 

 

94

 

 

LIBOR + 2.75%, 7/31/11

 

 

94,219

 

 

 

 

 

406

 

 

Loan B, LIBOR, 7/31/13

 

 

408,281

 

 

 

 

 

473

 

United Rentals NA, Inc., LIBOR + 2.00%, 2/12/11

 

 

473,754

 

 

 

 

 

268

 

Worldspan LP, LIBOR + 2.75%, 6/30/07

 

 

267,337

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Industrials

 

 

11,382,099

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Media—7.4%

 

 

 

 

 

 

 

 

 

 

American Lawyers Media, Inc.,

 

 

 

 

 

 

 

 

1,711

 

 

LIBOR + 2.50%, 3/15/10

 

 

1,706,921

 

 

 

 

 

2,000

 

 

LIBOR + 5.75%, 3/07/11

 

 

2,009,584

 

 

 

 

 

450

 

Bresnan Communications Group LLC, LIBOR + 2.00%, 10/15/13

 

 

449,156

 

 

 

 

 

3,980

 

Cablevision Systems Corp., LIBOR + 1.75%, 3/31/13

 

 

3,976,271

 

 

 

 

 

5,500

 

Cequel Communications LLC, LIBOR + 2.25%, 11/01/13

 

 

5,488,877

 

 

 

 

 

3,500

 

Charter Communications Holdings LLC/Charter Communication Holdings Capital Corp.,

 

 

 

 

 

 

 

 

 

 

 

LIBOR + 2.63%, 4/28/13

 

 

3,528,329

 

 

 

 

 

732

 

CMP Susquehanna Corp., Loan B, LIBOR + 2.00%, 5/05/12

 

 

732,969

 

 

 

 

 

 

 

Dex Media West LLC/Dex Media Finance Co.,

 

 

 

 

 

 

 

 

817

 

 

Loan B1, LIBOR + 1.50%, 9/09/10

 

 

813,405

 

 

 

 

 

3,249

 

 

Loan B2, LIBOR + 1.50%, 9/01/09

 

 

3,233,909

 

 

 

 

 

1,324

 

DirecTV Holdings LLC, Loan B, LIBOR + 1.50%, 3/06/10

 

 

1,324,255

 

 

 

 

 

1,250

 

Gatehouse Media Operating, Inc., LIBOR + 2.25%, 12/15/13

 

 

1,250,521

 

 

 

 

 

4,000

 

German Media Partners LP, LIBOR, 6/06/13 (EUR)

 

 

5,117,962

 

 

 

 

 

498

 

Liberty Cablevision of Puerto Rico Ltd., LIBOR + 2.25%, 2/15/13

 

 

499,055

 

 

 

 

 

2,000

 

Mediacom Broadband LLC, Loan D1, LIBOR + 1.75%, 1/31/15

 

 

1,989,688

 

 

 

 

 

1,975

 

Mediacom Illinois LLC, Loan C, LIBOR + 1.75%, 1/15/15

 

 

1,968,123

 

See Notes to Financial Statements.

56


BlackRock Limited Duration Income Trust (BLW) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

Description

 

Value

 








 

 

 

 

 

 

Media—(cont’d)

 

 

 

 

 

 

 

$

1,926

 

Mission Broadcasting, Inc., Loan B, LIBOR + 1.75%, 8/14/12

 

$

1,919,232

 

 

 

 

 

500

 

NEP Supershooters LP, LIBOR + 8.00%, 8/01/11

 

 

505,000

 

 

 

 

 

 

 

New Wave Communications/Telecommunications Management LLC,

 

 

 

 

 

 

 

 

300

 

 

TBD, 6/20/13

 

 

300,000

 

 

 

 

 

948

 

 

LIBOR + 3.25%, 6/20/13

 

 

947,625

 

 

 

 

 

1,826

 

Nexstar Finance, Inc., Loan B, LIBOR + 1.75%, 8/14/12

 

 

1,818,979

 

 

 

 

 

 

 

Nielsen Finance LLC/Nielsen Finance Co.,

 

 

 

 

 

 

 

 

500

 

 

LIBOR + 2.75%, 8/15/13

 

 

501,719

 

 

 

 

 

3,000

 

 

Loan B, LIBOR + 2.75%, 8/15/13

 

 

3,010,314

 

 

 

 

 

500

 

NTL Investment Holding Ltd., Loan B4, PRIME, 9/03/12

 

 

502,344

 

 

 

 

 

748

 

PAETEC Communications, Inc., Loan B, LIBOR + 3.50%, 6/30/12

 

 

751,866

 

 

 

 

 

1,000

 

Persona Communications, Inc., LIBOR, 4/30/14

 

 

1,003,750

 

 

 

 

 

497

 

Prism Business Media, Inc., Loan B, LIBOR + 2.25%, 10/15/12

 

 

497,074

 

 

 

 

 

750

 

Puerto Rico Cable Acquisition Co., LIBOR + 6.25%, 7/31/11

 

 

753,750

 

 

 

 

 

500

 

Wide Open West Finance LLC, Loan B, LIBOR + 2.25%, 4/30/13

 

 

499,732

 

 

 

 

 

1,945

 

WMG Acquisition Corp., LIBOR + 2.00%, 4/08/11

 

 

1,951,336

 

 

 

 

 

 

 

Yell Group PLC,

 

 

 

 

 

 

 

 

1,000

 

 

Loan B, LIBOR + 2.00%, 2/10/13

 

 

1,004,229

 

 

 

 

 

1,500

 

 

Loan B, LIBOR + 2.00%, 2/21/13 (EUR)

 

 

1,929,658

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Media

 

 

51,985,633

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Real Estate—0.8%

 

 

 

 

 

 

 

 

2,250

 

Foster Wheeler Ltd., LIBOR - 0.10%, 10/13/11

 

 

2,255,625

 

 

 

 

 

 

 

Kyle Acquisition Group LLC,

 

 

 

 

 

 

 

 

270

 

 

Loan B, PRIME, 7/31/08

 

 

268,828

 

 

 

 

 

50

 

 

PRIME, 7/31/10

 

 

49,937

 

 

 

 

 

1,000

 

Landsource Communities Development LLC, Loan B, LIBOR + 2.50%, 3/31/10

 

 

978,333

 

 

 

 

 

492

 

Masonite Intl. Corp., LIBOR + 2.00%, 3/31/13

 

 

480,919

 

 

 

 

 

602

 

Stewart Enterprises, Inc., Loan B, LIBOR + 1.75%, 11/30/11

 

 

601,478

 

 

 

 

 

1,000

 

Williams Scotsman, Inc., Loan B, LIBOR + 1.50%, 6/30/10

 

 

993,750

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Real Estate

 

 

5,628,870

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Technology—1.8%

 

 

 

 

 

 

 

 

744

 

Affiliated Computer Services, Inc., Loan B, LIBOR + 2.00%, 3/31/13

 

 

745,364

 

 

 

 

 

375

 

Coinstar, Inc., LIBOR + 2.25%, 7/15/11

 

 

376,183

 

 

 

 

 

748

 

Crown Castle Intl. Corp., Loan B, LIBOR + 2.25%, 6/15/13

 

 

750,663

 

 

 

 

 

500

 

Electrical Components Intl. Holdings Co., LIBOR + 6.50%, 5/19/14

 

 

501,250

 

 

 

 

 

493

 

Federal IT Systems, Inc., LIBOR + 2.50%, 4/30/11

 

 

491,889

 

 

 

 

 

995

 

Nuance Communications, Inc., LIBOR + 2.00%, 12/29/13

 

 

988,159

 

 

 

 

 

2,494

 

Sensata Technologies BV, Loan B, LIBOR + 1.75%, 4/30/13

 

 

2,477,775

 

 

 

 

 

2,469

 

Sungard Data Systems, Inc., Loan B, LIBOR + 2.50%, 1/05/13

 

 

2,490,147

 

 

 

 

 

 

 

Verifone, Inc.,

 

 

 

 

 

 

 

 

2,000

 

 

LIBOR + 1.75%, 2/28/13

 

 

2,000,000

 

 

 

 

 

1,427

 

 

Loan B, LIBOR + 1.75%, 6/30/11

 

 

1,424,831

 

 

 

 

 

204

 

Westcom Corp., Loan B, LIBOR + 2.75%, 12/31/10

 

 

204,092

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Technology

 

 

12,450,353

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Telecommunications—4.4%

 

 

 

 

 

 

 

 

 

 

American Cellular Corp.,

 

 

 

 

 

 

 

 

375

 

 

1.00%, 8/15/07

 

 

375,703

 

 

 

 

 

125

 

 

LIBOR + 2.25%, 8/15/07

 

 

125,547

 

 

 

 

 

995

 

Atlantic Broadband Finance LLC, Loan B1, LIBOR + 2.75%, 1/30/11

 

 

1,007,438

 

 

 

 

 

 

 

BCM Luxembourg Ltd., (EUR)

 

 

 

 

 

 

 

 

2,000

 

 

Loan B, LIBOR + 2.38%, 9/15/15

 

 

2,564,201

 

 

 

 

 

2,000

 

 

Loan C, LIBOR + 3.08%, 9/15/14

 

 

2,546,999

 

 

 

 

 

448

 

Cavalier Telecom, Loan B, LIBOR + 4.50%, 3/31/12

 

 

452,787

 

 

 

 

 

527

 

Centennial Cellular Operating Co., LIBOR + 2.25%, 2/09/11

 

 

530,818

 

 

 

 

 

 

 

Communication Supply Corp.,

 

 

 

 

 

 

 

 

96

 

 

Loan B, PRIME + 1.75%, 2/28/12

 

 

96,154

 

 

 

 

 

403

 

 

PRIME + 1.75%, 2/28/12

 

 

402,837

 

 

 

 

 

1,481

 

Consolidated Communications, Inc., Loan D, LIBOR + 2.00%, 4/07/12

 

 

1,483,102

 

 

 

 

 

500

 

Country Road Communications LLC, LIBOR + 7.75%, 7/15/13

 

 

505,000

 

 

 

 

 

750

 

Fairpoint Communications, Inc., LIBOR + 1.75%, 2/15/12

 

 

748,594

 

See Notes to Financial Statements.

57


BlackRock Limited Duration Income Trust (BLW) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 








 

 

 

 

 

 

Telecommunications—(cont’d)

 

 

 

 

 

 

 

 

 

 

Insight Midwest Holdings LLC,

 

 

 

 

 

 

 

$

3,000

 

 

Loan B, LIBOR + 2.25%, 4/03/14

 

$

3,018,984

 

 

 

 

 

1,000

 

 

Loan B, LIBOR + 2.25%, 4/06/14

 

 

1,006,328

 

 

 

 

 

2,000

 

Iowa Telecommunications Services, Inc., Loan B, LIBOR + 1.75%, 11/30/11

 

 

2,000,416

 

 

 

 

 

750

 

IPC Acquisition Corp., LIBOR, 9/30/13

 

 

754,063

 

 

 

 

 

990

 

Madison River Capital LLC, Loan B1, LIBOR + 2.25%, 7/31/12

 

 

994,190

 

 

 

 

 

1,734

 

NTELOS, Inc., LIBOR + 2.25%, 2/24/10

 

 

1,739,786

 

 

 

 

 

 

 

NTL, Inc., (GBP)

 

 

 

 

 

 

 

 

968

 

 

Loan B2, LIBOR + 2.13%, 9/03/12

 

 

1,840,887

 

 

 

 

 

2,000

 

 

Loan C, LIBOR + 2.75%, 3/03/13

 

 

3,855,633

 

 

 

 

 

748

 

Nuvox Communications, LIBOR + 5.00%, 5/15/12

 

 

749,060

 

 

 

 

 

3,000

 

West Corp., LIBOR + 2.75%, 10/31/13

 

 

2,999,463

 

 

 

 

 

 

 

Wind Acquisition Finance SA (EUR),

 

 

 

 

 

 

 

 

861

 

 

Loan A1, LIBOR + 2.25%, 5/25/12

 

 

1,095,569

 

 

 

 

 

139

 

 

Loan A2, LIBOR + 2.25%, 12/31/10

 

 

177,380

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Telecommunications

 

 

31,070,939

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Transportation—0.8%

 

 

 

 

 

 

 

 

875

 

Delta Air Lines, Inc., Loan A, LIBOR + 2.75%, 3/16/08

 

 

882,193

 

 

 

 

 

655

 

Sirva Worldwide, Inc., LIBOR + 6.00%, 11/30/10

 

 

600,079

 

 

 

 

 

603

 

Transport Industries LP, Loan B, LIBOR + 2.50%, 9/30/11

 

 

604,650

 

 

 

 

 

995

 

UAL Corp., LIBOR + 3.75%, 1/31/12

 

 

1,009,935

 

 

 

 

 

2,338

 

Vanguard Car Rental Holdings, Inc., Loan B, LIBOR + 3.00%, 6/30/13

 

 

2,352,694

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Transportation

 

 

5,449,551

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Bank Loans

 

 

373,691,153

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Mortgage Pass-Through Securities—21.0%

 

 

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

1,338

 

 

5.50%, 12/01/28-11/01/33

 

 

1,327,329

 

 

 

 

 

8,270

5

 

5.50%, 2/01/32-10/01/33

 

 

8,197,006

 

 

 

 

 

17,000

5

 

7.25%, 1/15/10

 

 

18,185,699

 

 

 

 

 

121,000

 

 

TBA, 5.00%, 11/16/21

 

 

119,147,248

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Mortgage Pass-Through Securities

 

 

146,857,282

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities—1.9%

 

 

 

 

 

 

 

 

 

 

GSR Mortgage Loan Trust,

 

 

 

 

 

AAA

 

 

6,748

3,5

 

Ser. 10, Class 2A1, 4.474%, 10/25/33

 

 

6,457,229

 

 

AAA

 

 

6,752

3,5

 

Ser. 13, Class 1A1, 4.502%, 10/25/33

 

 

6,491,258

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Non Agency Multiple Class Mortgage Pass-Through Securities

 

 

12,948,487

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Interest Only Asset-Backed Securities—0.4%

 

 

 

 

 

 

 

 

 

 

Sterling Coofs Trust,

 

 

 

 

 

NR

 

 

37,113

 

 

Ser. 1, 2.362%, 4/15/29

 

 

1,670,072

 

 

AAA

 

 

32,152

3

 

Ser. 2, 2.418%, 3/30/30

 

 

1,406,660

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Interest Only Asset-Backed Securities

 

 

3,076,732

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

U.S. Government and Agency Securities—5.4%

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

 

 

 

20,425

5

 

3.375%, 12/15/08-9/15/09

 

 

19,878,320

 

 

 

 

 

10,000

5

 

3.75%, 3/31/07

 

 

9,945,310

 

 

 

 

 

6,000

5

 

3.875%, 5/15/09

 

 

5,892,654

 

 

 

 

 

1,815

5

 

4.25%, 8/15/15

 

 

1,769,342

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total U.S. Government and Agency Securities

 

 

37,485,626

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Foreign Government Bonds—2.4%

 

 

 

 

 

BB-

 

 

714

 

Bolivarian Republic of Venezuela, 6.438%, 12/18/07

 

 

711,724

 

 

BB

 

 

5,000

5

Republic of Colombia, 9.75%, 4/23/09

 

 

5,470,000

 

 

BB+

 

 

5,000

5

Republic of Peru, 9.125%, 2/21/12

 

 

5,775,000

 

 

BB-

 

 

5,093

5

Turkey, 7.00%, 9/26/16

 

 

5,118,465

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Foreign Government Bonds

 

 

17,075,189

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

58


BlackRock Limited Duration Income Trust (BLW) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

Units
(000)

Description

 

Value

 








 

 

 

 

 

 

Warrants—0.0%

 

 

 

 

 

 

 

 

10

2,7

Reliant Resources, Inc., expires 8/25/08, strike price $0.001, 1 share for 1 warrant

 

$

76,105

 

 

 

 

 

 

 

 

 



 

 

 


 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

Common Stock—0.0%

 

 

 

 

 

 

 

 

7,579

2,7

Critical Care Systems Intl., Inc.

 

 

60,632

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Preferred Security—0.0%

 

 

 

 

 

 

 

 

125,000

 

Superior Essex Holding Corp., Ser. A, 9.50%

 

 

100,000

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Investments—148.9% (cost $1,038,785,2888)

 

$

1,041,185,277

 

 

 

 

 

 

 

Liabilities in excess of other assets—(48.9)%

 

 

(341,979,177

)

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Net Assets—100%

 

$

699,206,100

 

 

 

 

 

 

 

 

 



 


 

 

1

Using the highest of S&P’s, Moody’s or Fitch’s ratings.

2

Security is fair valued.

3

Variable rate security. Rate shown is interest rate as of October 31, 2006.

4

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2006, the Trust held 16.5% of its net assets, with a current market value of $115,420,303, in securities restricted as to resale.

5

Entire or partial principal amount pledged as collateral for reverse repurchase agreements. See Note 4 in the Notes to Financial Statements for details of open reverse repurchase agreements.

6

Illiquid security. As of October 31, 2006, the Trust held 0.8% of its net assets, with a current market value of $5,866,699, in these securities.

7

Non-income producing security.

8

Cost for federal income tax purposes is $1,038,986,573. The net unrealized appreciation on a tax basis is $2,198,704, consisting of $14,069,191 gross unrealized appreciation and $11,870,487 gross unrealized depreciation.

A category in the Corporate Bonds and Bank Loans sections may contain multiple industries as defined by the SEC’s Standard Industry Codes.

 

 

 

 

 

 

KEY TO ABBREVIATIONS

 

 

 

EUR

Euro

 

 

GBP

British Pound

 

 

LIBOR

London Interbank Offered Rate

 

 

PRIME

Prime Rate

 

 

TBA

To Be Announced

 

 

TBD

To Be Determined

 

 

 

 

 

 

See Notes to Financial Statements.

59


PORTFOLIO OF INVESTMENTS
OCTOBER 31, 2006

BlackRock Strategic Bond Trust (BHD)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 


 

 

 

 

 

 

LONG-TERM INVESTMENTS—112.5%

 

 

 

 

 

 

 

 

 

 

Corporate Bonds—107.6%

 

 

 

 

 

 

 

 

 

 

Aerospace & Defense—6.8%

 

 

 

 

NR

 

 

$

250

2

AAR Corp., Ser. A2, 8.39%, 5/15/11

 

$

252,500

 

B

 

 

 

80

 

Argo-Tech Corp., 9.25%, 6/01/11

 

 

83,000

 

B

 

 

 

1,164

 

DI Finance/DynCorp Intl., Ser. B, 9.50%, 2/15/13

 

 

1,210,560

 

 

 

 

 

 

 

DRS Technologies, Inc.,

 

 

 

 

B

 

 

 

50

 

 

6.875%, 11/01/13

 

 

50,000

 

B

 

 

 

80

 

 

7.625%, 2/01/18

 

 

81,800

 

A-

 

 

 

2,000

3

Lockheed Martin Corp., 6.15%, 9/01/36

 

 

2,125,172

 

BBB+

 

 

 

1,000

 

Northrop Grumman Corp., 7.125%, 2/15/11

 

 

1,070,837

 

BBB

 

 

 

650

 

Raytheon Co., 4.85%, 1/15/11

 

 

639,824

 

BB

 

 

 

50

 

Sequa Corp., 9.00%, 8/01/09

 

 

52,750

 

A+

 

 

 

1,000

 

United Technologies Corp., 6.35%, 3/01/11

 

 

1,045,147

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Aerospace & Defense

 

 

6,611,590

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Automotive—2.3%

 

 

 

 

B

 

 

 

45

3

Ashtead Capital, Inc., 9.00%, 8/15/16

 

 

47,362

 

 

 

 

 

 

 

Autonation, Inc.,

 

 

 

 

BB+

 

 

 

110

 

 

7.00%, 4/15/14

 

 

109,450

 

BB+

 

 

 

110

4

 

7.374%, 4/15/13

 

 

110,825

 

BB-

 

 

 

20

3,4

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 7.905%, 5/15/14

 

 

19,550

 

BBB+

 

 

 

1,000

5

DaimlerChrysler NA Holding Corp., 7.30%, 1/15/12

 

 

1,067,041

 

B

 

 

 

145

 

Lear Corp., Ser. B, 8.11%, 5/15/09

 

 

146,994

 

CCC+

 

 

 

200

 

Metaldyne Corp., 10.00%, 11/01/13

 

 

205,000

 

BB-

 

 

 

492

 

TRW Automotive, Inc., 9.375%, 2/15/13

 

 

527,055

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Automotive

 

 

2,233,277

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Basic Materials—5.9%

 

 

 

 

B+

 

 

 

320

 

Abitibi-Consolidated, Inc., 6.00%, 6/20/13 (Canada)

 

 

254,400

 

B+

 

 

 

320

 

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

 

 

320,000

 

B-

 

 

 

80

3,4

BCI US Finance Corp./Borden 2 Nova Scotia Finance ULC, 11.874%, 7/15/10

 

 

81,600

 

BB-

 

 

 

60

4

Bowater, Inc., 8.39%, 3/15/10

 

 

60,600

 

BB+

 

 

 

20

 

Chemtura Corp., 6.875%, 6/01/16

 

 

19,550

 

B-

 

 

 

150

 

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

 

 

153,000

 

 

 

 

 

 

 

Domtar, Inc.,

 

 

 

 

B2

 

 

 

40

 

 

7.125%, 8/15/15

 

 

38,200

 

B2

 

 

 

140

 

 

7.875%, 10/15/11

 

 

142,975

 

B+

 

 

 

120

 

Donohue Forest Products, 7.625%, 5/15/07 (Canada)

 

 

120,000

 

 

 

 

 

 

 

Huntsman LLC,

 

 

 

 

Ba3

 

 

 

50

 

 

11.625%, 10/15/10

 

 

55,125

 

B2

 

 

 

99

 

 

12.00%, 7/15/12

 

 

112,118

 

BB

 

 

 

70

 

IMC Global, Inc., Ser. B, 10.875%, 6/01/08

 

 

75,513

 

B2

 

 

 

595

3

Ineos Group Holdings PLC, 8.50%, 2/15/16 (United Kingdom)

 

 

572,687

 

B3

 

 

 

1,155

 

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

 

 

1,152,112

 

 

 

 

 

 

 

Lyondell Chemical Co.,

 

 

 

 

BB-

 

 

 

170

 

 

8.00%, 9/15/14

 

 

173,825

 

BB-

 

 

 

290

 

 

8.25%, 9/15/16

 

 

298,700

 

BB+

 

 

 

177

 

 

9.50%, 12/15/08

 

 

181,646

 

BB+

 

 

 

130

 

 

10.50%, 6/01/13

 

 

143,000

 

BB

 

 

 

150

 

Millennium America, Inc., 9.25%, 6/15/08

 

 

154,500

 

B-

 

 

 

55

 

Nalco Co., 8.875%, 11/15/13

 

 

57,888

 

B3

 

 

 

280

 

NewPage Corp., 10.00%, 5/01/12

 

 

293,300

 

 

 

 

 

 

 

Nova Chemicals Corp.,

 

 

 

 

BB

 

 

 

40

 

 

6.50%, 1/15/12

 

 

37,600

 

BB

 

 

 

475

4

 

8.405%, 11/15/13

 

 

483,312

 

CCC+

 

 

 

565

3

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

 

 

598,900

 

B+

 

 

 

20

 

Rhodia SA, 10.25%, 6/01/10 (France)

 

 

22,650

 

B-

 

 

 

30

3

Verso Paper Holdings LLC/Verson Paper, Inc., 11.375%, 8/01/16

 

 

30,450

 

BBB

 

 

 

169

 

Weyerhaeuser Co., 6.125%, 3/15/07

 

 

169,080

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Basic Materials

 

 

5,802,731

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

60


BlackRock Strategic Bond Trust (BHD) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 


 

 

 

 

 

 

Building & Development—2.6%

 

 

 

 

BB+

 

 

$

1,000

 

Beazer Homes USA, Inc., 8.625%, 5/15/11

 

$

1,020,000

 

B

 

 

 

595

 

ERICO Intl. Corp., 8.875%, 3/01/12

 

 

620,288

 

B-

 

 

 

465

 

Goodman Global Holding Co., Inc., 7.875%, 12/15/12

 

 

446,400

 

B3

 

 

 

140

 

Nortek, Inc., 8.50%, 9/01/14

 

 

133,700

 

 

 

 

 

 

 

North American Energy Partners, Inc.,

 

 

 

 

Caa1

 

 

 

125

 

 

8.75%, 12/01/11

 

 

123,750

 

B1

 

 

 

200

 

 

9.00%, 6/01/10

 

 

218,000

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Building & Development

 

 

2,562,138

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Conglomerates—0.4%

 

 

 

 

A+

 

 

 

325

 

Honeywell Intl., Inc., 7.50%, 3/01/10

 

 

348,223

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Consumer Products—7.5%

 

 

 

 

B3

 

 

 

90

 

ALH Finance LLC, 8.50%, 1/15/13

 

 

89,325

 

CCC+

 

 

 

350

4

Ames True Temper, Inc., 9.374%, 1/15/12

 

 

353,500

 

B2

 

 

 

120

3

Education Management LLC/Education Management Corp., 8.75%, 6/01/14

 

 

123,000

 

B-

 

 

 

215

 

Finlay Fine Jewelry Corp., 8.375%, 6/01/12

 

 

193,500

 

BBB+

 

 

 

1,000

 

General Mills, Inc., 5.125%, 2/15/07

 

 

998,966

 

B

 

 

 

320

 

Gold Kist, Inc., 10.25%, 3/15/14

 

 

367,200

 

B2

 

 

 

480

3

Knowledge Learning Corp., Inc., 7.75%, 2/01/15

 

 

454,800

 

B-

 

 

 

369

 

Lazydays RV Center, Inc., 11.75%, 5/15/12

 

 

357,930

 

B

 

 

 

270

4

Levi Strauss & Co., 10.122%, 4/01/12

 

 

278,438

 

 

 

 

 

 

 

Michaels Stores, Inc.,

 

 

 

 

B2

 

 

 

340

3

 

10.00%, 11/01/14

 

 

340,425

 

Caa1

 

 

 

430

3

 

11.375%, 11/01/16

 

 

434,837

 

B3

 

 

 

30

3,4

Nutro Products, Inc., 9.40%, 10/15/13

 

 

30,825

 

B

 

 

 

500

 

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

 

 

506,250

 

BB-

 

 

 

100

 

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

 

 

96,250

 

BB+

 

 

 

200

3

Reynolds American, Inc., 7.625%, 6/01/16

 

 

212,355

 

B1

 

 

 

1,400

 

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

 

 

1,424,500

 

CCC

 

 

 

200

 

Spectrum Brands, Inc., 7.375%, 2/01/15

 

 

162,000

 

 

 

 

 

 

 

United Rentals NA, Inc.,

 

 

 

 

B

 

 

 

875

 

 

7.00%, 2/15/14

 

 

837,812

 

B

 

 

 

25

 

 

7.75%, 11/15/13

 

 

24,938

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Consumer Products

 

 

7,286,851

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Containers & Packaging—1.3%

 

 

 

 

 

 

 

 

 

 

Berry Plastics Holding Corp.,

 

 

 

 

B2

 

 

 

190

3

 

8.875%, 9/15/14

 

 

191,900

 

B2

 

 

 

130

3,4

 

9.265%, 9/15/14

 

 

131,462

 

B+

 

 

 

400

 

Crown Americas LLC/Crown Americas Capital Corp., 7.75%, 11/15/15

 

 

410,500

 

CCC+

 

 

 

55

 

Graham Packaging Co., Inc., 8.50%, 10/15/12

 

 

54,725

 

B1

 

 

 

130

3,4

Impress Holdings BV, 8.512%, 9/15/13

 

 

131,026

 

B+

 

 

 

301

 

Smurfit-Stone Container Enterprises, Inc., 9.75%, 2/01/11

 

 

310,406

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Containers & Packaging

 

 

1,230,019

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Ecological Services & Equipment—2.2%

 

 

 

 

B

 

 

 

1,500

 

Casella Waste Systems, Inc., 9.75%, 2/01/13

 

 

1,575,000

 

Caa1

 

 

 

550

 

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

 

 

563,750

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Ecological Services & Equipment

 

 

2,138,750

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Energy—13.5%

 

 

 

 

 

 

 

 

 

 

ANR Pipeline Co.,

 

 

 

 

Ba1

 

 

 

185

 

 

7.375%, 2/15/24

 

 

193,382

 

Ba1

 

 

 

655

 

 

9.625%, 11/01/21

 

 

815,182

 

B

 

 

 

100

 

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

 

 

99,750

 

CCC+

 

 

 

250

 

Chaparral Energy, Inc., 8.50%, 12/01/15

 

 

249,375

 

 

 

 

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

BB

 

 

 

130

 

 

6.375%, 6/15/15

 

 

125,450

 

BB

 

 

 

20

 

 

6.875%, 11/15/20

 

 

19,000

 

BB-

 

 

 

35

 

ChipPAC, Inc., 2.50%, 6/01/08

 

 

34,475

 

BB-

 

 

 

95

 

CMS Energy Corp., 7.50%, 1/15/09

 

 

97,613

 

BB-

 

 

 

190

 

Compagnie Generale de Geophysique SA, 7.50%, 5/15/15 (France)

 

 

187,625

 

B

 

 

 

450

 

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

 

 

426,375

 

A1

 

 

 

1,000

 

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

 

 

1,154,368

 

See Notes to Financial Statements.

61


BlackRock Strategic Bond Trust (BHD) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 


 

 

 

 

 

 

Energy—(cont’d)

 

 

 

 

BBB+

 

 

$

1,000

 

Dominion Resources, Inc., 5.70%, 9/17/12

 

$

1,012,948

 

BBB

 

 

 

250

 

DTE Energy Co., 7.05%, 6/01/11

 

 

265,397

 

BB-

 

 

 

150

3

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

 

 

154,125

 

 

 

 

 

 

 

El Paso Corp.,

 

 

 

 

B

 

 

 

165

 

 

7.75%, 1/15/32

 

 

172,012

 

B

 

 

 

205

 

 

7.80%, 8/01/31

 

 

213,712

 

B

 

 

 

165

 

 

9.625%, 5/15/12

 

 

183,150

 

B

 

 

 

100

 

 

10.75%, 10/01/10

 

 

111,500

 

Ba1

 

 

 

175

 

El Paso Natural Gas Co., 8.375%, 6/15/32

 

 

202,524

 

Ba1

 

 

 

33

 

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

 

 

34,779

 

 

 

 

 

 

 

Encore Acquisition Co.,

 

 

 

 

B1

 

 

 

30

 

 

6.00%, 7/15/15

 

 

27,375

 

B1

 

 

 

40

 

 

7.25%, 12/01/17

 

 

38,500

 

B-

 

 

 

275

 

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

 

 

264,687

 

BBB-

 

 

 

1,075

 

FirstEnergy Corp., Ser. C, 7.375%, 11/15/31

 

 

1,257,446

 

BB+

 

 

 

60

 

Grant Prideco, Inc., Ser. B, 6.125%, 8/15/15

 

 

57,375

 

B

 

 

 

97

3

Hilcorp Energy I LP/Hilcorp Finance Corp., 10.50%, 9/01/10

 

 

104,033

 

B-

 

 

 

195

 

KCS Energy, Inc., 7.125%, 4/01/12

 

 

187,200

 

 

 

 

 

 

 

Midwest Generation LLC,

 

 

 

 

BB+

 

 

 

370

 

 

8.75%, 5/01/34

 

 

400,062

 

Ba2

 

 

 

426

 

 

Ser. B, 8.56%, 1/02/16

 

 

459,809

 

 

 

 

 

 

 

Mirant Americas Generation LLC,

 

 

 

 

Caa1

 

 

 

185

 

 

8.30%, 5/01/11

 

 

187,312

 

Caa1

 

 

 

110

 

 

8.50%, 10/01/21

 

 

108,350

 

Caa1

 

 

 

90

 

 

9.125%, 5/01/31

 

 

93,150

 

BB-

 

 

 

120

 

Mission Energy Holdings Co., 13.50%, 7/15/08

 

 

133,800

 

 

 

 

 

 

 

NRG Energy, Inc.,

 

 

 

 

B+

 

 

 

50

 

 

7.25%, 2/01/14

 

 

50,563

 

B+

 

 

 

285

 

 

7.375%, 2/01/16

 

 

288,206

 

A-

 

 

 

250

 

Occidental Petroleum Corp., 6.75%, 1/15/12

 

 

267,218

 

B2

 

 

 

140

 

Orion Power Holdings, Inc., 12.00%, 5/01/10

 

 

158,900

 

Baa2

 

 

 

1,000

 

Progress Energy, Inc., 7.75%, 3/01/31

 

 

1,217,886

 

 

 

 

 

 

 

Reliant Energy, Inc.,

 

 

 

 

BB-

 

 

 

285

 

 

6.75%, 12/15/14

 

 

271,819

 

BB-

 

 

 

130

 

 

9.25%, 7/15/10

 

 

134,550

 

B+

 

 

 

275

3

SemGroup LP, 8.75%, 11/15/15

 

 

277,062

 

B

 

 

 

190

3,4

Stone Energy Corp., 8.124%, 7/15/10

 

 

188,812

 

B3

 

 

 

400

3

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

 

 

399,000

 

BBB-

 

 

 

30

 

Transcontinental Gas Pipe Line Corp., 7.25%, 12/01/26

 

 

31,050

 

B+

 

 

 

245

 

Utilicorp Finance Corp., 7.75%, 6/15/11 (Canada)

 

 

258,725

 

B1

 

 

 

330

 

Whiting Petroleum Corp., 7.25%, 5/01/12-5/01/13

 

 

325,950

 

 

 

 

 

 

 

Williams Cos., Inc.,

 

 

 

 

BB+

 

 

 

100

 

 

7.125%, 9/01/11

 

 

103,250

 

BB+

 

 

 

135

 

 

8.75%, 3/15/32

 

 

149,850

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Energy

 

 

13,194,682

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Entertainment & Leisure—3.6%

 

 

 

 

 

 

 

 

 

 

AMC Entertainment, Inc.,

 

 

 

 

B3

 

 

 

120

 

 

9.50%, 2/01/11

 

 

120,450

 

B3

 

 

 

200

 

 

11.00%, 2/01/16

 

 

221,250

 

B3

 

 

 

60

 

Cinemark, Inc., Zero Coupon, 3/15/14

 

 

48,825

 

B3

 

 

 

225

3

Greektown Holdings LLC, 10.75%, 12/01/13

 

 

237,937

 

B

 

 

 

100

3

Pokagon Gaming Authority, 10.375%, 6/15/14

 

 

107,250

 

B3

 

 

 

55

 

Poster Financial Group, Inc., 8.75%, 12/01/11

 

 

57,338

 

Ba1

 

 

 

1,500

 

Royal Caribbean Cruises Ltd., 8.75%, 2/02/11 (Liberia)

 

 

1,637,583

 

BB

 

 

 

190

 

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

 

 

191,188

 

 

 

 

 

 

 

Travelport, Inc.,

 

 

 

 

B-

 

 

 

370

3

 

9.875%, 9/01/14

 

 

364,912

 

B-

 

 

 

365

3

 

11.875%, 9/01/16

 

 

359,525

 

BB-

 

 

 

140

 

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625%, 12/01/14

 

 

137,200

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Entertainment & Leisure

 

 

3,483,458

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

62


BlackRock Strategic Bond Trust (BHD) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 


 

 

 

 

 

 

Financial Institutions—19.9%

 

 

 

 

B+

 

 

$

106

 

AES Ironwood LLC, 8.857%, 11/30/25

 

$

115,523

 

AA

 

 

 

185

3

Allstate Financial Global Funding LLC, 5.25%, 2/01/07

 

 

184,941

 

 

 

 

 

 

 

American Real Estate Partners LP/American Real Estate Finance Corp.,

 

 

 

 

BB+

 

 

 

230

 

 

7.125%, 2/15/13

 

 

229,425

 

BB+

 

 

 

860

 

 

8.125%, 6/01/11

 

 

879,350

 

Aa3

 

 

 

650

3,4,5

Barclays Bank PLC, 8.55%, 9/29/49 (United Kingdom)

 

 

732,463

 

B

 

 

 

190

 

BCP Crystal US Holdings Corp., 9.625%, 6/15/14 (Luxembourg)

 

 

208,525

 

B2

 

 

 

2,000

 

Bluewater Finance Ltd., 10.25%, 2/15/12 (Cayman Islands)

 

 

2,040,000

 

BB

 

 

 

495

 

Crum & Forster Holdings Corp., 10.375%, 6/15/13

 

 

513,562

 

BB

 

 

 

95

 

Fairfax Financial Holdings Ltd., 6.875%, 4/15/08 (Canada)

 

 

93,338

 

BB-

 

 

 

1,600

4

Ford Motor Credit Co., 6.944%, 1/15/10

 

 

1,522,018

 

AAA

 

 

 

2,000

5

General Electric Capital Corp., 3.45%, 7/16/07

 

 

1,974,496

 

BB

 

 

 

330

 

General Motors Acceptance Corp., 6.875%, 8/28/12

 

 

330,886

 

AA

 

 

 

1,500

5

HSBC Bank, Inc., 3.875%, 9/15/09

 

 

1,453,827

 

 

 

 

 

 

 

iPayment, Inc.,

 

 

 

 

CCC+

 

 

 

175

3

 

9.75%, 5/15/14

 

 

179,813

 

NR

 

 

 

690

2,3,4

 

12.75%, 7/15/14

 

 

689,137

 

B-

 

 

 

225

 

K&F Acquisition, Inc., 7.75%, 11/15/14

 

 

227,812

 

A

 

 

 

325

 

MetLife, Inc., 6.125%, 12/01/11

 

 

337,793

 

B+

 

 

 

565

3

Nell AF SARL, 8.375%, 8/15/15 (Luxembourg)

 

 

573,475

 

 

 

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

B+

 

 

 

210

3

 

8.75%, 9/01/12

 

 

220,763

 

B+

 

 

 

2,245

3

 

10.375%, 9/01/14

 

 

2,497,562

 

B-

 

 

 

605

 

Standard Aero Holdings, Inc., 8.25%, 9/01/14

 

 

600,462

 

AA+

 

 

 

759

6

Structured Asset Receivable Trust, 1.649%, 1/21/10

 

 

758,784

 

AAA

 

 

 

1,000

3,5

TIAA Global Markets, Inc., 3.875%, 1/22/08

 

 

982,852

 

B-

 

 

 

50

4

Universal City Florida Holding Co. I/II, 10.121%, 5/01/10

 

 

51,438

 

Aa1

 

 

 

2,000

5

Wells Fargo & Co., 3.50%, 4/04/08

 

 

1,955,186

 

Aa3

 

 

 

50

 

Western Financial Bank, 9.625%, 5/15/12

 

 

55,097

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Financial Institutions

 

 

19,408,528

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Health Care—4.6%

 

 

 

 

B

 

 

 

355

3

Angiotech Pharmaceuticals, Inc., 7.75%, 4/01/14 (Canada)

 

 

337,250

 

 

 

 

 

 

 

Healthsouth Corp.,

 

 

 

 

CCC+

 

 

 

485

3

 

10.75%, 6/15/16

 

 

497,125

 

CCC+

 

 

 

225

3,4

 

11.418%, 6/15/14

 

 

230,063

 

AA

 

 

 

1,000

5

Merck & Co., Inc., 4.375%, 2/15/13

 

 

952,488

 

B-

 

 

 

150

 

Tenet Healthcare Corp., 6.875%, 11/15/31

 

 

116,250

 

B-

 

 

 

290

 

Universal Hospital Services, Inc., 10.125%, 11/01/11

 

 

306,675

 

A-

 

 

 

1,000

 

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

 

 

994,514

 

A

 

 

 

1,000

 

Wyeth, 6.50%, 2/01/34

 

 

1,095,154

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Health Care

 

 

4,529,519

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Industrials—2.7%

 

 

 

 

B2

 

 

 

260

3

AGY Holding Corp., 11.00%, 11/15/14

 

 

259,675

 

B

 

 

 

100

 

Hexcel Corp., 6.75%, 2/01/15

 

 

97,000

 

B3

 

 

 

650

 

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

 

 

604,500

 

CCC+

 

 

 

200

 

Polypore, Inc., 8.75%, 5/15/12

 

 

195,500

 

 

 

 

 

 

 

RBS Global, Inc./Rexnord Corp.,

 

 

 

 

B3

 

 

 

350

3

 

9.50%, 8/01/14

 

 

362,250

 

CCC+

 

 

 

175

3

 

11.75%, 8/01/16

 

 

182,000

 

B3

 

 

 

470

3

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

 

 

491,150

 

B3

 

 

 

440

 

Trimas Corp., 9.875%, 6/15/12

 

 

414,700

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Industrials

 

 

2,606,775

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Media—14.9%

 

 

 

 

NR

 

 

 

400

7

Adelphia Communications Corp., Ser. B, 10.50%, 7/15/04

 

 

312,000

 

 

 

 

 

 

 

Affinion Group, Inc.,

 

 

 

 

B-

 

 

 

435

 

 

10.125%, 10/15/13

 

 

461,100

 

B-

 

 

 

70

 

 

11.50%, 10/15/15

 

 

72,975

 

Caa2

 

 

 

475

 

American Media Operations, Inc., Ser. B, 10.25%, 5/01/09

 

 

451,250

 

BBB+

 

 

 

1,000

 

AOL Time Warner, Inc., 7.70%, 5/01/32

 

 

1,138,892

 

B+

 

 

 

120

4

Cablevision Systems Corp., Ser. B, 9.87%, 4/01/09

 

 

125,700

 

See Notes to Financial Statements.

63


BlackRock Strategic Bond Trust (BHD) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 


 

 

 

 

 

 

Media—(cont’d)

 

 

 

 

 

 

 

 

 

 

Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.,

 

 

 

 

CCC

 

 

$

315

 

 

10.25%, 9/15/10

 

$

325,237

 

CCC

 

 

 

105

 

 

Ser. B, 10.25%, 9/15/10

 

 

108,150

 

B3

 

 

 

500

3

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

 

 

483,125

 

BBB+

 

 

 

1,000

 

Comcast Cable Communications, Inc., 6.875%, 6/15/09

 

 

1,039,617

 

B+

 

 

 

200

 

CSC Holdings, Inc., 7.875%, 12/15/07

 

 

202,750

 

B

 

 

 

50

 

Dex Media West LLC/Dex Media Finance Co., Ser. B, 9.875%, 8/15/13

 

 

54,313

 

BB

 

 

 

100

 

DirecTV Holdings LLC/DirecTV Financing Co., 8.375%, 3/15/13

 

 

103,750

 

 

 

 

 

 

 

Echostar DBS Corp.,

 

 

 

 

BB-

 

 

 

550

 

 

5.75%, 10/01/08

 

 

546,562

 

BB-

 

 

 

210

3

 

7.00%, 10/01/13

 

 

208,163

 

BB-

 

 

 

45

3

 

7.125%, 2/01/16

 

 

43,988

 

CCC+

 

 

 

75

3

Iesy Repository GMBH, 10.375%, 2/15/15 (Germany)

 

 

70,875

 

Ba3

 

 

 

165

 

LIN Television Corp., 6.50%, 5/15/13

 

 

156,544

 

B

 

 

 

130

 

Medianews Group, Inc., 6.875%, 10/01/13

 

 

120,738

 

B2

 

 

 

405

 

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

 

 

407,531

 

BBB

 

 

 

1,500

5

News America, Inc., 6.20%, 12/15/34

 

 

1,464,787

 

B3

 

 

 

560

 

Nexstar Finance, Inc., 7.00%, 1/15/14

 

 

515,900

 

CCC+

 

 

 

710

3

Nielsen Finance LLC/Nielsen Finance Co., 10.00%, 8/01/14

 

 

740,175

 

B1

 

 

 

500

3,4

Paxson Communications Corp., 8.624%, 1/15/12

 

 

505,625

 

 

 

 

 

 

 

Primedia, Inc.,

 

 

 

 

B2

 

 

 

210

 

 

8.00%, 5/15/13

 

 

195,825

 

B2

 

 

 

120

 

 

8.875%, 5/15/11

 

 

119,700

 

B2

 

 

 

150

4

 

10.78%, 5/15/10

 

 

155,250

 

B

 

 

 

945

 

RH Donnelley Corp., Ser. A-3, 8.875%, 1/15/16

 

 

974,531

 

B

 

 

 

70

 

Sinclair Broadcast Group, Inc., 4.875%, 7/15/18

 

 

63,175

 

Caa1

 

 

 

175

 

Sirius Satellite Radio, Inc., 9.625%, 8/01/13

 

 

170,625

 

BBB+

 

 

 

1,000

 

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

 

 

1,143,759

 

 

 

 

 

 

 

Vertis, Inc.,

 

 

 

 

B1

 

 

 

445

 

 

9.75%, 4/01/09

 

 

454,456

 

Caa3

 

 

 

40

3

 

13.50%, 12/07/09

 

 

36,200

 

Caa1

 

 

 

370

 

 

Ser. B, 10.875%, 6/15/09

 

 

368,150

 

BBB

 

 

 

85

 

Viacom, Inc., 6.625%, 5/15/11

 

 

88,512

 

Caa1

 

 

 

1,160

 

Young Broadcasting, Inc., 10.00%, 3/01/11

 

 

1,096,200

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Media

 

 

14,526,130

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Real Estate—0.5%

 

 

 

 

A

 

 

 

500

 

ERP Operating LP, 6.95%, 3/02/11

 

 

531,965

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Technology—4.8%

 

 

 

 

BB-

 

 

 

30

 

Advanced Micro Devices, Inc., 7.75%, 11/01/12

 

 

30,525

 

CCC+

 

 

 

570

 

Amkor Technology, Inc., 9.25%, 6/01/16

 

 

530,100

 

B+

 

 

 

565

 

Celestica, Inc., 7.625%, 7/01/13 (Canada)

 

 

566,413

 

B+

 

 

 

100

3

Hynix Semiconductor, Inc., 9.875%, 7/01/12 (South Korea)

 

 

110,750

 

B+

 

 

 

235

3

NXP BV/NXP Funding LLC, 9.50%, 10/15/15

 

 

237,056

 

B-

 

 

 

130

3

Sensata Technologies BV, 8.00%, 5/01/14 (Netherlands)

 

 

125,450

 

CCC+

 

 

 

295

 

SS&C Technologies, Inc., 11.75%, 12/01/13

 

 

317,125

 

 

 

 

 

 

 

Sungard Data Systems, Inc.,

 

 

 

 

B-

 

 

 

160

 

 

9.125%, 8/15/13

 

 

166,000

 

B-

 

 

 

410

4

 

9.973%, 8/15/13

 

 

426,400

 

B-

 

 

 

580

 

 

10.25%, 8/15/15

 

 

607,550

 

B

 

 

 

1,010

 

Superior Essex Communications LLC/Essex Group, Inc., 9.00%, 4/15/12

 

 

1,032,725

 

B-

 

 

 

130

3,4

UGS Capital Corp. II, 10.38%, 6/01/11

 

 

134,225

 

B-

 

 

 

410

 

UGS Corp., 10.00%, 6/01/12

 

 

442,800

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Technology

 

 

4,727,119

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Telecommunications—12.6%

 

 

 

 

BB-

 

 

 

190

 

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

 

 

195,700

 

CCC

 

 

 

280

3

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

 

 

286,300

 

B3

 

 

 

130

4

Hawaiian Telcom Communications, Inc., Ser. B, 10.889%, 5/01/13

 

 

133,250

 

See Notes to Financial Statements.

64


BlackRock Strategic Bond Trust (BHD) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

Description

 

Value

 


 

 

 

 

 

 

Telecommunications—(cont’d)

 

 

 

 

 

 

 

 

 

 

Intelsat Ltd., (Bermuda)

 

 

 

 

BB-

 

 

$

240

 

 

8.625%, 1/15/15

 

$

249,000

 

BB-

 

 

 

300

3

 

9.25%, 6/15/16

 

 

320,250

 

BB-

 

 

 

95

4

 

10.484%, 1/15/12

 

 

96,306

 

B

 

 

 

170

3

 

11.25%, 6/15/16

 

 

185,088

 

B

 

 

 

680

3,4

 

11.64%, 6/15/13

 

 

720,800

 

 

 

 

 

 

 

Lucent Technologies, Inc.,

 

 

 

 

B1

 

 

 

25

 

 

6.45%, 3/15/29

 

 

22,375

 

B1

 

 

 

905

 

 

6.50%, 1/15/28

 

 

809,975

 

B+

 

 

 

500

3

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

 

 

523,750

 

B-

 

 

 

160

 

Nortel Networks Corp., 6.875%, 9/01/23 (Canada)

 

 

132,000

 

 

 

 

 

 

 

Nortel Networks Ltd.,

 

 

 

 

B-

 

 

 

390

3,4

 

9.624%, 7/15/11

 

 

402,675

 

B-

 

 

 

135

3

 

10.125%, 7/15/13

 

 

143,100

 

 

 

 

 

 

 

PanAmSat Corp.,

 

 

 

 

B

 

 

 

125

 

 

9.00%, 8/15/14

 

 

130,625

 

B

 

 

 

355

3

 

9.00%, 6/15/16

 

 

370,975

 

 

 

 

 

 

 

Qwest Corp.,

 

 

 

 

BB+

 

 

 

200

 

 

7.875%, 9/01/11

 

 

211,750

 

BB+

 

 

 

340

4

 

8.64%, 6/15/13

 

 

366,350

 

BB+

 

 

 

85

 

Rogers Wireless, Inc., 7.25%, 12/15/12 (Canada)

 

 

89,250

 

A

 

 

 

1,500

5

SBC Communications, Inc., 6.45%, 6/15/34

 

 

1,551,172

 

BBB+

 

 

 

1,000

 

Telecom Italia Capital SA, 4.95%, 9/30/14 (Luxembourg)

 

 

927,570

 

A+

 

 

 

2,000

5

Verizon New England, Inc., 6.50%, 9/15/11

 

 

2,061,178

 

A-

 

 

 

1,000

 

Vodafone Group PLC, 7.75%, 2/15/10 (United Kingdom)

 

 

1,073,199

 

 

 

 

 

 

 

West Corp.,

 

 

 

 

B-

 

 

 

45

3

 

9.50%, 10/15/14

 

 

44,775

 

B-

 

 

 

320

3

 

11.00%, 10/15/16

 

 

321,600

 

B+

 

 

 

250

3

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

 

 

277,813

 

 

 

 

 

 

 

Windstream Corp.,

 

 

 

 

BB+

 

 

 

360

3

 

8.125%, 8/01/13

 

 

384,300

 

BB+

 

 

 

220

3

 

8.625%, 8/01/16

 

 

237,325

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Telecommunications

 

 

12,268,451

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Transportation—1.5%

 

 

 

 

BB-

 

 

 

125

 

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

 

 

124,688

 

A-

 

 

 

500

 

Canadian National Railway Co., 6.90%, 7/15/28 (Canada)

 

 

576,856

 

B1

 

 

 

475

 

CHC Helicopter Corp., 7.375%, 5/01/14 (Canada)

 

 

453,625

 

B3

 

 

 

39

 

Horizon Lines LLC, 9.00%, 11/01/12

 

 

40,755

 

BB+

 

 

 

300

 

Overseas Shipholding Group, Inc., 8.25%, 3/15/13

 

 

315,000

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Transportation

 

 

1,510,924

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Corporate Bonds

 

 

105,001,130

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

U.S. Government and Agency Securities—4.6%

 

 

 

 

 

 

 

 

410

5

U.S. Treasury Bonds, 5.375%, 2/15/31

 

 

445,138

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

 

 

 

933

5

 

2.625%, 11/15/06

 

 

932,052

 

 

 

 

 

810

5

 

4.125%, 8/15/10

 

 

797,375

 

 

 

 

 

1,075

5

 

4.25%, 8/15/13-8/15/15

 

 

1,053,738

 

 

 

 

 

710

5

 

4.75%, 5/15/14

 

 

717,100

 

AAA

 

 

 

550

5

 

4.875%, 8/15/16

 

 

561,430

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total U.S. Government and Agency Securities

 

 

4,506,833

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Foreign Government Bond—0.3%

 

 

 

 

Baa1

 

 

 

230

 

United Mexican States, 8.30%, 8/15/31

 

 

292,445

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

65


BlackRock Strategic Bond Trust (BHD) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares

Description

 

Value

 


 

 

 

 

 

 

Common Stocks—0.0%

 

 

 

 

 

 

 

 

947

2,8

Critical Care Systems Intl., Inc.

 

$

7,576

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Preferred Security—0.0%

 

 

 

 

 

 

 

 

50,000

 

Superior Essex Holding Corp., Ser. A, 9.50%

 

 

40,000

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Total Investments—112.5%(cost $109,152,1469)

 

$

109,847,984

 

 

 

 

 

 

 

Liabilities in excess of other assets—(12.5)%

 

 

(12,234,372

)

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Net Assets—100%

 

$

97,613,612

 

 

 

 

 

 

 

 

 



 


 

 


1

Using the highest of S&P’s, Moody’s or Fitch’s ratings.

2

Security is fair valued.

3

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2006, the Trust held 23.6% of its net assets, with a current market value of $23,053,909, in securities restricted as to resale.

4

Variable rate security. Rate shown is interest rate as of October 31, 2006.

5

Entire or partial principal amount pledged as collateral for reverse repurchase agreements. See Note 4 in the Notes to Financial Statements for details of open reverse repurchase agreements.

6

Illiquid security. As of October 31, 2006, the Trust held 0.8% of its net assets, with a current market value of $758,784, in these securities.

7

Issuer is in default and/or bankruptcy.

8

Non-income producing security.

9

Cost for federal income tax purposes is $109,227,844. The net unrealized appreciation on a tax basis is $620,140, consisting of $2,146,296 gross unrealized appreciation and $1,526,156 gross unrealized depreciation.

A category in the Corporate Bonds section may contain multiple industries as defined by the SEC’s Standard Industry Codes.

See Notes to Financial Statements.

66



 

STATEMENTS OF ASSETS AND LIABILITIES
October 31, 2006



 

 

 

 

 

 

 

 

 

 

 

Broad Investment
Grade 2009
Term Trust Inc.1
(BCT)

 

Core
Bond Trust
(BHK)

 

 

 


 


 

Assets

 

 

 

 

 

 

 

Investments at value2

 

$

40,546,379

 

$

377,198,556

 

Investments in affiliates3

 

 

 

 

1,509,838

 

Affiliated investments

 

 

21,282

 

 

79,736

 

Cash

 

 

111,325

 

 

819,918

 

Foreign currency at value4

 

 

 

 

3,742,495

 

Receivable from investments sold

 

 

 

 

395,818

 

Variation margin receivable

 

 

 

 

633,338

 

Deposits with brokers as collateral for borrowed bonds

 

 

 

 

 

Unrealized gain on foreign currency exchange contracts

 

 

 

 

83,487

 

Interest receivable

 

 

347,920

 

 

5,352,688

 

Unrealized appreciation on interest rate swaps

 

 

 

 

2,436,084

 

Other assets

 

 

2,450

 

 

22,336

 

 

 



 



 

 

 

 

41,029,356

 

 

392,274,294

 

 

 



 



 

Liabilities

 

 

 

 

 

 

 

Reverse repurchase agreement

 

 

 

 

3,911,088

 

Foreign currency payable to custodian

 

 

 

 

 

Payable for investments purchased

 

 

 

 

10,965,788

 

Payable for dollar rolls

 

 

 

 

 

Variation margin payable

 

 

 

 

 

Unrealized loss on foreign currency exchange contracts

 

 

 

 

 

Loan payable

 

 

 

 

 

Investments sold short at value5

 

 

 

 

 

Outstanding options written at value6

 

 

 

 

2,127,772

 

TBA sale commitments7

 

 

 

 

 

Unrealized depreciation on credit default swaps

 

 

 

 

44,927

 

Interest payable

 

 

 

 

682,737

 

Interest rate floors at value

 

 

 

 

 

Cash with brokers as collateral

 

 

 

 

600,000

 

Investment advisory fee payable

 

 

19,341

 

 

147,136

 

Administration fee payable

 

 

5,275

 

 

 

Deferred Trustees’fees

 

 

21,282

 

 

79,736

 

Payable to affiliates

 

 

7,954

 

 

17,839

 

Other accrued expenses

 

 

194,186

 

 

179,147

 

 

 



 



 

 

 

 

248,038

 

 

18,756,170

 

 

 



 



 

Net Assets

 

$

40,781,318

 

$

373,518,124

 

 

 



 



 

Composition of Net Assets

 

 

 

 

 

 

 

Par value

 

$

29,571

 

$

27,019

 

Paid-in capital in excess of par

 

 

38,447,104

 

 

386,089,643

 

Cost of shares held in treasury8

 

 

 

 

 

Undistributed (distributions in excess of) net investment income

 

 

5,833,604

 

 

(5,693,238

)

Accumulated net realized loss

 

 

(3,239,231

)

 

(9,537,812

)

Net unrealized appreciation (depreciation)

 

 

(289,730

)

 

2,632,512

 

 

 



 



 

Net assets, October 31, 2006

 

$

40,781,318

 

$

373,518,124

 

 

 



 



 

Net asset value9

 

$

13.79

 

$

13.82

 

 

 



 



 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

1

Consolidated Statement of Assets and Liabilities

 

 

 

 

 

 

 

2

Investments at cost

 

$

40,836,109

 

$

380,294,928

 

3

Cost of affiliates

 

 

 

 

1,509,548

 

4

Foreign currency at cost

 

 

 

 

3,878,971

 

5

Proceeds received

 

 

 

 

 

6

Premium received

 

 

 

 

3,059,631

 

7

Proceeds for TBA sale commitments

 

 

 

 

 

8

Shares held in treasury

 

 

 

 

 

9

Common shares outstanding

 

 

2,957,093

 

 

27,018,774

 

See Notes to Financial Statements.

67



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

High
Yield Trust
(BHY)

 

Income
Opportunity
Trust
(BNA)

 

Income
Trust Inc.
(BKT)

 

Limited
Duration
Income Trust
(BLW)

 

Strategic
Bond Trust
(BHD)

 

 

 


 


 


 


 


 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments at value2

 

$

68,955,459

 

$

424,905,689

 

$

503,320,986

 

$

1,041,185,277

 

$

109,847,984

 

Investments in affiliates3

 

 

 

 

1,857,565

 

 

51,795

 

 

 

 

 

Affiliated investments

 

 

30,559

 

 

149,968

 

 

179,222

 

 

73,680

 

 

16,366

 

Cash

 

 

162,231

 

 

540,788

 

 

108,401

 

 

160,756

 

 

522,891

 

Foreign currency at value4

 

 

 

 

 

 

 

 

 

 

 

Receivable from investments sold

 

 

221,719

 

 

26,538,398

 

 

16,463,994

 

 

3,275,224

 

 

276,351

 

Variation margin receivable

 

 

 

 

810,094

 

 

 

 

 

 

 

Deposits with brokers as collateral for borrowed bonds

 

 

 

 

 

 

60,402,375

 

 

 

 

 

Unrealized gain on foreign currency exchange contracts

 

 

 

 

 

 

 

 

 

 

 

Interest receivable

 

 

1,564,454

 

 

5,550,226

 

 

4,294,472

 

 

15,471,361

 

 

2,163,819

 

Unrealized appreciation on interest rate swaps

 

 

 

 

2,807,676

 

 

1,083,508

 

 

 

 

 

Other assets

 

 

4,007

 

 

29,575

 

 

27,936

 

 

58,533

 

 

6,383

 

 

 



 



 



 



 



 

 

 

 

70,938,429

 

 

463,189,979

 

 

585,932,689

 

 

1,060,224,831

 

 

112,833,794

 

 

 



 



 



 



 



 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reverse repurchase agreement

 

 

 

 

34,326,158

 

 

70,690,625

 

 

219,999,531

 

 

14,951,135

 

Foreign currency payable to custodian

 

 

 

 

 

 

 

 

1,100

 

 

 

Payable for investments purchased

 

 

60,632

 

 

13,590,349

 

 

 

 

139,565,749

 

 

80,843

 

Payable for dollar rolls

 

 

 

 

 

 

15,527,433

 

 

 

 

 

Variation margin payable

 

 

 

 

 

 

1,068,671

 

 

 

 

 

Unrealized loss on foreign currency exchange contracts

 

 

 

 

 

 

 

 

36,980

 

 

 

Loan payable

 

 

20,250,000

 

 

 

 

 

 

 

 

 

Investments sold short at value5

 

 

 

 

 

 

61,068,440

 

 

 

 

 

Outstanding options written at value6

 

 

 

 

2,322,554

 

 

2,323,129

 

 

 

 

 

TBA sale commitments7

 

 

 

 

25,987,687

 

 

16,581,402

 

 

 

 

 

Unrealized depreciation on credit default swaps

 

 

 

 

49,972

 

 

 

 

 

 

 

Interest payable

 

 

86,900

 

 

877,171

 

 

1,603,236

 

 

675,238

 

 

25,249

 

Interest rate floors at value

 

 

 

 

 

 

1,894,856

 

 

 

 

 

Cash with brokers as collateral

 

 

 

 

600,000

 

 

 

 

 

 

 

Investment advisory fee payable

 

 

44,607

 

 

193,988

 

 

227,740

 

 

422,874

 

 

51,716

 

Administration fee payable

 

 

2,157

 

 

65,820

 

 

96,249

 

 

 

 

 

Deferred Trustees’fees

 

 

30,559

 

 

149,968

 

 

179,222

 

 

73,680

 

 

16,366

 

Payable to affiliates

 

 

980

 

 

5,805

 

 

47,752

 

 

18,508

 

 

5,770

 

Other accrued expenses

 

 

77,357

 

 

170,208

 

 

163,762

 

 

225,071

 

 

89,103

 

 

 



 



 



 



 



 

 

 

 

20,553,192

 

 

78,339,680

 

 

171,472,517

 

 

361,018,731

 

 

15,220,182

 

 

 



 



 



 



 



 

Net Assets

 

$

50,385,237

 

$

384,850,299

 

$

414,460,172

 

$

699,206,100

 

$

97,613,612

 

 

 



 



 



 



 



 

Composition of Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Par value

 

$

6,417

 

$

344,497

 

$

639,425

 

$

36,782

 

$

7,058

 

Paid-in capital in excess of par

 

 

92,987,168

 

 

404,369,870

 

 

518,124,907

 

 

700,322,623

 

 

98,443,594

 

Cost of shares held in treasury8

 

 

 

 

(17,377,850

)

 

 

 

 

 

 

Undistributed (distributions in excess of) net investment income

 

 

10,204

 

 

(900,730

)

 

(519,359

)

 

(36,700

)

 

(16,366

)

Accumulated net realized loss

 

 

(36,635,402

)

 

(6,096,797

)

 

(91,060,940

)

 

(3,477,620

)

 

(1,516,512

)

Net unrealized appreciation (depreciation)

 

 

(5,983,150

)

 

4,511,309

 

 

(12,723,861

)

 

2,361,015

 

 

695,838

 

 

 



 



 



 



 



 

Net assets, October 31, 2006

 

$

50,385,237

 

$

384,850,299

 

$

414,460,172

 

$

699,206,100

 

$

97,613,612

 

 

 



 



 



 



 



 

Net asset value9

 

$

7.85

 

$

11.17

 

$

6.48

 

$

19.01

 

$

13.83

 

 

 



 



 



 



 



 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1

Consolidated Statement of Assets and Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2

Investments at cost

 

$

74,938,609

 

$

427,244,788

 

$

519,165,867

 

$

1,038,785,288

 

$

109,152,146

 

3

Cost of affiliates

 

 

 

 

1,868,783

 

 

54,417

 

 

 

 

 

4

Foreign currency at cost

 

 

 

 

 

 

 

 

(1,091

)

 

 

5

Proceeds received

 

 

 

 

 

 

61,745,381

 

 

 

 

 

6

Premium received

 

 

 

 

3,321,623

 

 

3,312,560

 

 

 

 

 

7

Proceeds for TBA sale commitments

 

 

 

 

25,774,000

 

 

16,431,406

 

 

 

 

 

8

Shares held in treasury

 

 

 

 

1,757,400

 

 

 

 

 

 

 

9

Common shares outstanding

 

 

6,417,363

 

 

34,449,693

 

 

63,942,536

 

 

36,782,283

 

 

7,058,402

 

68


 

STATEMENTS OF OPERATIONS
For the year ended October 31, 2006



 

 

 

 

 

 

 

 

 

 

Broad Investment
Grade 2009
Term Trust Inc.1
(BCT)

 

Core
Bond Trust
(BHK)

 

 

 


 


 

Investment Income

 

 

 

 

 

 

 

Interest income

 

$

2,405,515

 

$

21,587,538

 

Income from affiliates

 

 

941

 

 

104,365

 

 

 



 



 

Total investment income

 

 

2,406,456

 

 

21,691,903

 

 

 



 



 

 

Expenses

 

 

 

 

 

 

 

Investment advisory

 

 

234,437

 

 

2,199,983

 

Administration

 

 

63,937

 

 

 

Transfer agent

 

 

10,579

 

 

14,788

 

Custodian

 

 

71,905

 

 

238,500

 

Reports to shareholders

 

 

33,083

 

 

104,269

 

Directors/Trustees

 

 

14,402

 

 

43,256

 

Registration

 

 

1,825

 

 

21,243

 

Independent accountants

 

 

30,479

 

 

69,992

 

Legal

 

 

11,866

 

 

84,304

 

Insurance

 

 

2,548

 

 

25,137

 

Deferred Trustees’fees

 

 

941

 

 

4,848

 

Miscellaneous

 

 

11,656

 

 

49,371

 

 

 



 



 

Total expenses excluding interest expense

 

 

487,658

 

 

2,855,691

 

Interest expense

 

 

 

 

1,149,965

 

 

 



 



 

Total expenses

 

 

487,658

 

 

4,005,656

 

Less fees waived by Advisor

 

 

 

 

 

Less fees paid indirectly

 

 

 

 

(14,200

)

 

 



 



 

Net expenses

 

 

487,658

 

 

3,991,456

 

 

 



 



 

Net investment income

 

 

1,918,798

 

 

17,700,447

 

 

 



 



 

 

Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

Net realized gain (loss) on:

 

 

 

 

 

 

 

Investments

 

 

(493,395

)

 

(7,280,220

)

Investments in affiliates

 

 

 

 

 

Foreign currency

 

 

 

 

(248,242

)

Futures and Swaps

 

 

 

 

(713,181

)

Options written

 

 

 

 

(43,430

)

Short sales

 

 

 

 

 

 

 



 



 

 

 

 

(493,395

)

 

(8,285,073

)

 

 



 



 

Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

Investments

 

 

341,182

 

 

7,820,242

 

Foreign currency

 

 

 

 

16,542

 

Futures and Swaps

 

 

(177

)

 

2,958,582

 

Interest rate floors

 

 

 

 

 

Options written

 

 

 

 

756,176

 

Short sales

 

 

 

 

 

 

 



 



 

 

 

 

341,005

 

 

11,551,542

 

 

 



 



 

Net gain (loss)

 

 

(152,390

)

 

3,266,469

 

 

 



 



 

 

 

 

 

 

 

 

 

Net Increase in Net Assets Resulting from Operations

 

$

1,766,408

 

$

20,966,619

 

 

 



 



 


 

 


1

Consolidated Statement of Operations

See Notes to Financial Statements.

69



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

High
Yield Trust
(BHY)

 

Income
Opportunity
Trust
(BNA)

 

Income
Trust Inc.
(BKT)

 

Limited
Duration
Income Trust
(BLW)

 

Strategic
Bond Trust
(BHD)

 

 

 


 


 


 


 


 

Investment Income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest income

 

$

6,372,658

 

$

25,515,608

 

$

29,079,814

 

$

64,850,597

 

$

8,885,695

 

Income from affiliates

 

 

1,940

 

 

130,830

 

 

15,712

 

 

4,998

 

 

825

 

 

 



 



 



 



 



 

Total investment income

 

 

6,374,598

 

 

25,646,438

 

 

29,095,526

 

 

64,855,595

 

 

8,886,520

 

 

 



 



 



 



 



 

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment advisory

 

 

724,170

 

 

2,290,356

 

 

2,688,382

 

 

5,293,699

 

 

880,402

 

Administration

 

 

68,969

 

 

381,726

 

 

620,396

 

 

 

 

 

Transfer agent

 

 

15,715

 

 

27,901

 

 

73,310

 

 

17,254

 

 

14,723

 

Custodian

 

 

110,636

 

 

272,501

 

 

276,129

 

 

493,509

 

 

97,481

 

Reports to shareholders

 

 

37,763

 

 

115,410

 

 

159,102

 

 

185,730

 

 

31,726

 

Directors/Trustees

 

 

14,343

 

 

48,065

 

 

43,668

 

 

68,550

 

 

15,214

 

Registration

 

 

21,243

 

 

25,612

 

 

44,530

 

 

27,459

 

 

21,243

 

Independent accountants

 

 

40,717

 

 

76,567

 

 

72,942

 

 

52,750

 

 

39,075

 

Legal

 

 

10,530

 

 

75,822

 

 

76,292

 

 

114,858

 

 

21,090

 

Insurance

 

 

4,131

 

 

29,027

 

 

30,941

 

 

59,109

 

 

6,977

 

Deferred Trustees’fees

 

 

1,940

 

 

5,372

 

 

11,858

 

 

4,998

 

 

825

 

Miscellaneous

 

 

11,772

 

 

51,883

 

 

68,969

 

 

124,334

 

 

15,688

 

 

 



 



 



 



 



 

Total expenses excluding interest expense

 

 

1,061,929

 

 

3,400,242

 

 

4,166,519

 

 

6,442,250

 

 

1,144,444

 

Interest expense

 

 

1,106,179

 

 

2,741,131

 

 

4,603,103

 

 

8,900,833

 

 

1,020,195

 

 

 



 



 



 



 



 

Total expenses

 

 

2,168,108

 

 

6,141,373

 

 

8,769,622

 

 

15,343,083

 

 

2,164,639

 

Less fees waived by Advisor

 

 

 

 

 

 

 

 

 

 

(234,774

)

Less fees paid indirectly

 

 

(5,181

)

 

(9,729

)

 

(26,140

)

 

(83,543

)

 

(8,883

)

 

 



 



 



 



 



 

Net expenses

 

 

2,162,927

 

 

6,131,644

 

 

8,743,482

 

 

15,259,540

 

 

1,920,982

 

 

 



 



 



 



 



 

Net investment income

 

 

4,211,671

 

 

19,514,794

 

 

20,352,044

 

 

49,596,055

 

 

6,965,538

 

 

 



 



 



 



 



 

 

Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized gain (loss) on:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

(2,067,969

)

 

(4,856,599

)

 

(4,883,743

)

 

(1,590,127

)

 

(759,640

)

Investments in affiliates

 

 

 

 

 

 

(59,731

)

 

 

 

 

Foreign currency

 

 

 

 

 

 

 

 

(331,171

)

 

 

Futures and Swaps

 

 

 

 

(2,764,912

)

 

6,522,072

 

 

4,040

 

 

 

Options written

 

 

 

 

 

 

 

 

327,353

 

 

 

Short sales

 

 

 

 

291,133

 

 

359,076

 

 

 

 

 

 

 



 



 



 



 



 

 

 

 

(2,067,969

)

 

(7,330,378

)

 

1,937,674

 

 

(1,589,905

)

 

(759,640

)

 

 



 



 



 



 



 

Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

4,444,627

 

 

3,042,311

 

 

6,074,193

 

 

2,593,098

 

 

2,082,388

 

Foreign currency

 

 

 

 

 

 

 

 

(115,958

)

 

 

Futures and Swaps

 

 

 

 

5,199,875

 

 

(6,629,728

)

 

(4,008

)

 

 

Interest rate floors

 

 

 

 

 

 

1,789,308

 

 

 

 

 

Options written

 

 

 

 

810,300

 

 

801,246

 

 

 

 

 

Short sales

 

 

 

 

(1,087,240

)

 

(767,708

)

 

 

 

 

 

 



 



 



 



 



 

 

 

 

4,444,627

 

 

7,965,246

 

 

1,267,311

 

 

2,473,132

 

 

2,082,388

 

 

 



 



 



 



 



 

Net gain (loss)

 

 

2,376,658

 

 

634,868

 

 

3,204,985

 

 

883,227

 

 

1,322,748

 

 

 



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Increase in Net Assets Resulting from Operations

 

$

6,588,329

 

$

20,149,662

 

$

23,557,029

 

$

50,479,282

 

$

8,288,286

 

 

 



 



 



 



 



 

70



 

STATEMENTS OF CASH FLOWS

For the year ended October 31, 2006



 

 

 

 

 

 

 

 

 

 

Broad Investment
Grade 2009
Term Trust Inc.1
(BCT)

 

Core
Bond Trust
(BHK)

 

 

 


 


 

Net Increase in Net Assets Resulting from Operations to Net Cash Flows Provided by Operating Activities

 

 

 

 

 

 

 

Cash flows from operating activities:

 

 

 

 

 

 

 

Net increase in net assets resulting from operations

 

$

1,766,408

 

$

20,966,916

 

 

 



 



 

Purchases of long-term investments

 

 

(3,161,603

)

 

(1,208,218,010

)

Proceeds from sales of long-term investments

 

 

20,467,520

 

 

1,317,417,917

 

Net proceeds (purchases) of short-term investments

 

 

(15,452,608

)

 

(544,199

)

Decrease in deposits with brokers as collateral for borrowed bonds

 

 

 

 

 

Amortization of premium and discount on investments

 

 

537,223

 

 

4,457,162

 

Net realized loss on investments

 

 

493,395

 

 

7,280,220

 

Increase in unrealized appreciation/depreciation on investments

 

 

(341,182

)

 

(7,820,242

)

Net effect of exchange rates on foreign currency

 

 

 

 

248,242

 

Decrease in investments sold short

 

 

 

 

 

Decrease in outstanding options written

 

 

 

 

(413,298

)

Decrease in TBA sale commitments

 

 

 

 

 

Increase in interest rate floor

 

 

 

 

 

Decrease (Increase) in unrealized appreciation on interest rate swaps

 

 

176

 

 

(590,466

)

Decrease in credit default swaps

 

 

 

 

47,167

 

Increase in investments in affiliates

 

 

(2,441

)

 

(19,452

)

Decrease (Increase) in receivable for investments sold

 

 

 

 

31,361,149

 

Decrease (Increase) in unrealized gain on foreign currency exchange contracts

 

 

 

 

(34,210

)

Decrease (Increase) in variation margin receivable

 

 

 

 

(561,182

)

Decrease (Increase) in interest receivable

 

 

161,690

 

 

2,669,650

 

Decrease (Increase) in other assets

 

 

1,352

 

 

1,667

 

Increase in foreign currency payable to custodian

 

 

 

 

 

Increase (Decrease) in payable for investments purchased

 

 

 

 

(42,583,640

)

Increase (Decrease) in payable for dollar rolls

 

 

 

 

(7,284,443

)

Increase in unrealized loss on foreign currency exchange contracts

 

 

 

 

 

Increase in variation margin payable

 

 

 

 

 

Increase (Decrease) in interest payable

 

 

(4,386

)

 

(463,614

)

Increase (Decrease) in investment advisory fee payable

 

 

(1,148

)

 

(54,827

)

Increase in cash with brokers as collateral

 

 

 

 

599,273

 

Increase (Decrease) in administration fee payable

 

 

(313

)

 

 

Increase in deferred Directors/Trustees’ fees

 

 

2,441

 

 

19,452

 

Increase (Decrease) in payable to affiliates

 

 

(109

)

 

(3,557

)

Increase (Decrease) in accrued expenses

 

 

(175,744

)

 

20,833

 

 

 



 



 

Total adjustments

 

 

2,524,263

 

 

95,531,592

 

 

 



 



 

Net cash provided by operating activities

 

$

4,290,671

 

$

116,498,508

 

 

 



 



 

Cash from financing activities:

 

 

 

 

 

 

 

Capital contributions

 

 

 

 

 

Increase (Decrease) in reverse repurchase agreements

 

 

 

 

(82,964,968

)

Decrease in loan payable

 

 

 

 

 

Cash dividends paid

 

 

(4,261,094

)

 

(32,962,581

)

 

 



 



 

Net cash used for financing activities:

 

 

(4,261,094

)

 

(115,927,549

)

 

 



 



 

Net increase (decrease) in cash

 

 

29,577

 

 

570,959

 

Cash and foreign currency at beginning of year

 

 

81,748

 

 

3,991,454

 

 

 



 



 

Cash and foreign currency at end of year

 

$

111,325

 

$

4,562,413

 

 

 



 



 


 

 


1

Consolidated Statement of Cash Flows.

See Notes to Financial Statements.

71



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

High Yield
Trust
(BHY)

 

Income
Opportunity
Trust
(BNA)

 

Income
Trust Inc.
(BKT)

 

Limited
Duration
Income Trust
(BLW)

 

Strategic
Bond Trust
(BHD)

 

 

 


 


 


 


 


 

Net Increase in Net Assets Resulting from Operations to Net Cash Flows Provided by Operating Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash flows from operating activities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net increase in net assets resulting from operations

 

$

6,588,329

 

$

20,149,662

 

$

23,557,029

 

$

50,479,282

 

$

8,288,286

 

 

 



 



 



 



 



 

Purchases of long-term investments

 

 

(55,870,951

)

 

(1,886,550,246

)

 

(703,940,487

)

 

(2,116,360,671

)

 

(64,776,313

)

Proceeds from sales of long-term investments

 

 

56,576,912

 

 

2,064,778,891

 

 

777,064,810

 

 

2,048,916,653

 

 

81,537,775

 

Net proceeds (purchases) of short-term investments

 

 

(279,574

)

 

(2,482,005

)

 

25,134

 

 

4,078,363

 

 

726,362

 

Decrease in deposits with brokers as collateral for borrowed bonds

 

 

 

 

 

 

12,694,650

 

 

8,670,825

 

 

 

Amortization of premium and discount on investments

 

 

(35,414

)

 

4,124,503

 

 

14,322,806

 

 

4,852,069

 

 

165,829

 

Net realized loss on investments

 

 

2,067,969

 

 

4,856,599

 

 

4,943,474

 

 

1,590,127

 

 

759,640

 

Increase in unrealized appreciation/depreciation on investments

 

 

(4,444,627

)

 

(3,042,311

)

 

(6,074,193

)

 

(2,593,098

)

 

(2,082,388

)

Net effect of exchange rates on foreign currency

 

 

 

 

 

 

 

 

331,171

 

 

 

Decrease in investments sold short

 

 

 

 

 

 

(11,033,743

)

 

 

 

 

Decrease in outstanding options written

 

 

 

 

(406,075

)

 

(357,154

)

 

 

 

 

Decrease in TBA sale commitments

 

 

 

 

(96,108,174

)

 

(4,923,602

)

 

 

 

 

Increase in interest rate floor

 

 

 

 

 

 

1,894,856

 

 

 

 

 

Decrease (Increase) in unrealized appreciation on interest rate swaps

 

 

 

 

(740,498

)

 

215,922

 

 

4,008

 

 

 

Decrease in credit default swaps

 

 

 

 

52,329

 

 

 

 

 

 

 

Increase in investments in affiliates

 

 

(4,324

)

 

(21,542

)

 

(30,420

)

 

(27,779

)

 

(3,566

)

Decrease (Increase) in receivable for investments sold

 

 

156,449

 

 

168,714,804

 

 

29,800,157

 

 

(1,426,149

)

 

(211,616

)

Decrease (Increase) in unrealized gain on foreign currency exchange contracts

 

 

 

 

 

 

 

 

77,712

 

 

 

Decrease (Increase) in variation margin receivable

 

 

 

 

(693,241

)

 

 

 

 

 

 

Decrease (Increase) in interest receivable

 

 

131,949

 

 

2,553,972

 

 

1,101,610

 

 

(907,002

)

 

403,618

 

Decrease (Increase) in other assets

 

 

2,734

 

 

(4,271

)

 

(3,493

)

 

(10,786

)

 

3,318

 

Increase in foreign currency payable to custodian

 

 

 

 

 

 

 

 

1,100

 

 

 

Increase (Decrease) in payable for investments purchased

 

 

(222,394

)

 

(155,650,910

)

 

(48,947,681

)

 

132,211,888

 

 

(172,676

)

Increase (Decrease) in payable for dollar rolls

 

 

 

 

 

 

15,527,433

 

 

(119,709,882

)

 

 

Increase in unrealized loss on foreign currency exchange contracts

 

 

 

 

 

 

 

 

36,980

 

 

 

Increase in variation margin payable

 

 

 

 

 

 

935,970

 

 

 

 

 

Increase (Decrease) in interest payable

 

 

9,725

 

 

(412,918

)

 

(413,315

)

 

324,956

 

 

(20,216

)

Increase (Decrease) in investment advisory fee payable

 

 

827

 

 

(11,025

)

 

(3,739

)

 

(47,703

)

 

(8,837

)

Increase in cash with brokers as collateral

 

 

 

 

600,000

 

 

 

 

 

 

 

Increase (Decrease) in administration fee payable

 

 

79

 

 

(1,838

)

 

(863

)

 

 

 

 

Increase in deferred Directors/Trustees’ fees

 

 

4,324

 

 

21,542

 

 

30,420

 

 

27,779

 

 

3,566

 

Increase (Decrease) in payable to affiliates

 

 

(33

)

 

(8,372

)

 

(9,474

)

 

18,508

 

 

(932

)

Increase (Decrease) in accrued expenses

 

 

9,219

 

 

(25,735

)

 

(1,134

)

 

90,132

 

 

(4,326

)

 

 



 



 



 



 



 

Total adjustments

 

 

(1,897,130

)

 

99,543,479

 

 

82,817,944

 

 

(39,850,799

)

 

16,319,238

 

 

 



 



 



 



 



 

Net cash provided by operating activities

 

$

4,691,199

 

$

119,693,141

 

$

106,374,973

 

$

10,628,483

 

$

24,607,524

 

 

 



 



 



 



 



 

Cash from financing activities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital contributions

 

 

48,307

 

 

 

 

 

 

251,427

 

 

 

Increase (Decrease) in reverse repurchase agreements

 

 

 

 

(85,853,042

)

 

(78,867,625

)

 

43,989,269

 

 

(16,931,413

)

Decrease in loan payable

 

 

(500,000

)

 

 

 

 

 

 

 

 

Cash dividends paid

 

 

(4,175,232

)

 

(33,377,416

)

 

(27,486,981

)

 

(56,486,026

)

 

(7,220,745

)

 

 



 



 



 



 



 

Net cash used for financing activities:

 

 

(4,626,925

)

 

(119,230,458

)

 

(106,354,606

)

 

(12,245,330

)

 

(24,152,158

)

 

 



 



 



 



 



 

Net increase (decrease) in cash

 

 

64,274

 

 

462,683

 

 

20,367

 

 

(1,616,847

)

 

455,366

 

Cash and foreign currency at beginning of year

 

 

97,957

 

 

78,105

 

 

88,034

 

 

1,777,603

 

 

67,525

 

 

 



 



 



 



 



 

Cash and foreign currency at end of year

 

$

162,231

 

$

540,788

 

$

108,401

 

$

160,756

 

$

522,891

 

 

 



 



 



 



 



 

72



 

STATEMENTS OF CHANGES IN NET ASSETS

For the years ended October 31, 2006 and 2005



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Broad Investment Grade
2009 Term Trust Inc.1
(BCT)

 

Core Bond Trust
(BHK)

 

 

 


 


 

 

 

2006

 

2005

 

2006

 

2005

 

 

 


 


 


 


 

Increase (Decrease) in Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

1,918,798

 

$

2,365,140

 

$

17,700,447

 

$

20,946,361

 

Net realized gain (loss)

 

 

(493,395

)

 

785,483

 

 

(8,285,073

)

 

17,026,631

 

Net change in unrealized appreciation/depreciation

 

 

341,005

 

 

(3,333,736

)

 

11,551,542

 

 

(26,925,832

)

 

 



 



 



 



 

Net increase (decrease) in net assets resulting from operations

 

 

1,766,408

 

 

(183,113

)

 

20,966,916

 

 

11,047,160

 

 

 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends and Distributions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(4,191,834

)

 

(3,053,790

)

 

(25,048,230

)

 

(27,245,732

)

Net realized gains

 

 

(69,260

)

 

(742,526

)

 

(7,914,351

)

 

(9,450,897

)

Tax return of capital

 

 

 

 

 

 

 

 

 

 

 



 



 



 



 

Total dividends and distributions

 

 

(4,261,094

)

 

(3,796,316

)

 

(32,962,581

)

 

(36,696,629

)

 

 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of common dividends

 

 

 

 

 

 

 

 

 

 

 



 



 



 



 

Total increase (decrease)

 

 

(2,494,686

)

 

(3,979,429

)

 

(11,995,665

)

 

(25,649,469

)

 

 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Beginning of year

 

 

43,276,004

 

 

47,255,433

 

 

385,513,789

 

 

411,163,258

 

 

 



 



 



 



 

End of year

 

$

40,781,318

 

$

43,276,004

 

$

373,518,124

 

$

385,513,789

 

 

 



 



 



 



 

End of year undistributed (distribution in excess of) net investment income

 

$

5,833,604

 

$

4,778,322

 

$

(5,693,238

)

$

515,459

 


 

 


1

Consolidated Statement of Changes in Net Assets.

See Notes to Financial Statements.

73



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

High Yield Trust
(BHY)

 

Income Opportunity Trust
(BNA)

 

Income Trust Inc.
(BKT)

 

 

 


 


 


 

 

 

2006

 

2005

 

2006

 

2005

 

2006

 

2005

 

 

 


 


 


 


 


 


 

Increase (Decrease) in Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

4,211,671

 

$

4,365,000

 

$

19,514,794

 

$

24,695,470

 

$

20,352,044

 

$

28,144,451

 

Net realized gain (loss)

 

 

(2,067,969

)

 

863,475

 

 

(7,330,378

)

 

14,315,363

 

 

1,937,674

 

 

(15,436,336

)

Net change in unrealized appreciation/depreciation

 

 

4,444,627

 

 

(3,198,856

)

 

7,965,246

 

 

(30,139,747

)

 

1,267,311

 

 

(3,057,050

)

 

 



 



 



 



 



 



 

Net increase (decrease) in net assets resulting from operations

 

 

6,588,329

 

 

2,029,619

 

 

20,149,662

 

 

8,871,086

 

 

23,557,029

 

 

9,651,065

 

 

 



 



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends and Distributions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(4,175,232

)

 

(5,087,371

)

 

(22,238,524

)

 

(27,821,573

)

 

(21,910,288

)

 

(30,667,298

)

Net realized gains

 

 

 

 

 

 

(8,976,694

)

 

(9,614,909

)

 

 

 

 

Tax return of capital

 

 

 

 

 

 

(2,162,198

)

 

 

 

(5,576,693

)

 

(4,798,184

)

 

 



 



 



 



 



 



 

Total dividends and distributions

 

 

(4,175,232

)

 

(5,087,371

)

 

(33,377,416

)

 

(37,436,482

)

 

(27,486,981

)

 

(35,465,482

)

 

 



 



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of common dividends

 

 

48,307

 

 

67,545

 

 

 

 

 

 

 

 

1,569,925

 

 

 



 



 



 



 



 



 

Total increase (decrease)

 

 

2,461,404

 

 

(2,990,207

)

 

(13,227,754

)

 

(28,565,396

)

 

(3,929,952

)

 

(24,244,492

)

 

 



 



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Beginning of year

 

 

47,923,833

 

 

50,914,040

 

 

398,078,053

 

 

426,643,449

 

 

418,390,124

 

 

442,634,616

 

 

 



 



 



 



 



 



 

End of year

 

$

50,385,237

 

$

47,923,833

 

$

384,850,299

 

$

398,078,053

 

$

414,460,172

 

$

418,390,124

 

 

 



 



 



 



 



 



 

End of year undistributed (distribution in excess of) net investment income

 

$

10,204

 

$

(26,235

)

$

(900,730

)

$

2,180,817

 

$

(519,359

)

$

(595,003

)

74



 

STATEMENTS OF CHANGES IN NET ASSETS (continued)

For the year ended October 31, 2006 and 2005



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Limited Duration Income Trust
(BLW)

 

Strategic Bond Trust
(BHD)

 

 

 


 


 

 

 

2006

 

2005

 

2006

 

2005

 

 

 


 


 


 


 

Increase (Decrease) in Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

49,596,055

 

$

53,638,295

 

$

6,965,538

 

$

7,734,392

 

Net realized loss

 

 

(1,589,905

)

 

(2,199,531

)

 

(759,640

)

 

(324,159

)

Net change in unrealized appreciation/depreciation

 

 

2,473,132

 

 

(32,007,565

)

 

2,082,388

 

 

(7,608,367

)

 

 



 



 



 



 

Net increase (decrease) in net assets resulting from operations

 

 

50,479,282

 

 

19,431,199

 

 

8,288,286

 

 

(198,134

)

 

 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends and Distributions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends from net investment income

 

 

(55,725,066

)

 

(49,020,501

)

 

(6,969,104

)

 

(7,935,935

)

Net realized gains

 

 

 

 

(5,497,247

)

 

 

 

 

Tax return of capital

 

 

(760,960

)

 

 

 

(251,641

)

 

(1,898,203

)

 

 



 



 



 



 

Total dividends and distributions

 

 

(56,486,026

)

 

(54,517,748

)

 

(7,220,745

)

 

(9,834,138

)

 

 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of common dividends

 

 

251,427

 

 

822,572

 

 

 

 

145,218

 

 

 



 



 



 



 

Total increase (decrease)

 

 

(5,755,317

)

 

(34,263,977

)

 

1,067,541

 

 

(9,887,054

)

 

 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Beginning of year

 

 

704,961,417

 

 

739,225,394

 

 

96,546,071

 

 

106,433,125

 

 

 



 



 



 



 

End of year

 

$

699,206,100

 

$

704,961,417

 

$

97,613,612

 

$

96,546,071

 

 

 



 



 



 



 

End of year undistributed (distribution in excess of) net investment income

 

$

(36,700

)

$

6,419,573

 

$

(16,366

)

$

(12,800

)

See Notes to Financial Statements.

75



FINANCIAL HIGHLIGHTS

BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 


 

 

 

2006

 

2005

 

2004

 

2003

 

2002

 

 

 


 


 


 


 


 

PER SHARE OPERATING PERFORMANCE:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of year

 

$

14.63

 

$

15.98

 

$

16.02

 

$

17.33

 

$

16.05

 

 

 



 



 



 



 



 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

0.65

 

 

0.80

 

 

0.61

 

 

1.28

 

 

2.01

 

Net realized and unrealized gain (loss)

 

 

(0.05

)

 

(0.87

)

 

0.25

 

 

(1.40

)

 

0.04

 

 

 



 



 



 



 



 

Net increase (decrease) from investment operations

 

 

0.60

 

 

(0.07

)

 

0.86

 

 

(0.12

)

 

2.05

 

 

 



 



 



 



 



 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(1.42

)

 

(1.03

)

 

(0.90

)

 

(1.19

)

 

(0.77

)

Net realized gains

 

 

(0.02

)

 

(0.25

)

 

 

 

 

 

 

 

 



 



 



 



 



 

Total dividends and distributions

 

 

(1.44

)

 

(1.28

)

 

(0.90

)

 

(1.19

)

 

(0.77

)

 

 



 



 



 



 



 

Net asset value, end of year

 

$

13.79

 

$

14.63

 

$

15.98

 

$

16.02

 

$

17.33

 

 

 



 



 



 



 



 

Market price, end of year

 

$

15.08

 

$

15.86

 

$

15.80

 

$

15.85

 

$

16.18

 

 

 



 



 



 



 



 

TOTAL INVESTMENT RETURN1

 

 

4.44

%

 

8.74

%

 

5.45

%

 

5.32

%

 

18.34

%

 

 



 



 



 



 



 

RATIOS TO AVERAGE NET ASSETS:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.14

%

 

2.37

%

 

2.48

%

 

2.43

%

 

2.50

%

Net expenses

 

 

1.14

%

 

2.37

%

 

2.48

%

 

2.43

%

 

2.50

%

Net expenses excluding interest expense

 

 

1.14

%

 

1.19

%

 

1.11

%

 

1.18

%

 

1.16

%

Net investment income

 

 

4.50

%

 

5.23

%

 

3.83

%

 

7.54

%

 

12.22

%

SUPPLEMENTAL DATA:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets (000)

 

$

42,625

 

$

45,264

 

$

47,191

 

$

49,882

 

$

48,731

 

Portfolio turnover

 

 

8

%

 

116

%

 

20

%

 

39

%

 

35

%

Net assets, end of year (000)

 

$

40,781

 

$

43,276

 

$

47,255

 

$

47,381

 

$

51,244

 

Reverse repurchase agreements outstanding, end of year (000)

 

$

 

$

 

$

19,263

 

$

19,953

 

$

23,669

 

Asset coverage, end of year2

 

$

 

$

 

$

3,453

 

$

3,375

 

$

3,165

 

Reverse repurchase agreements average daily balance (000)

 

$

 

$

7,865

 

$

22,055

 

$

19,409

 

$

18,388

 

Reverse repurchase agreements weighted average interest rate

 

 

%

 

2.32

%

 

1.20

%

 

1.21

%

 

1.82

%


 

 


1

Total investment return is calculated assuming a purchase of a share at the current market price on the first day and a sale at the current market price on the last day of each year reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Past performance is not a guarantee of future results.

2

Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the audited operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each year indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s shares.

See Notes to Financial Statements.

76



FINANCIAL HIGHLIGHTS

BlackRock Core Bond Trust (BHK)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

For the period
November 30, 20011
through
October 31, 2002

 

 

 


 

 

 

 

2006

 

2005

 

2004

 

2003

 

 

 

 


 


 


 


 


 

PER SHARE OPERATING PERFORMANCE:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of year

 

$

14.27

 

$

15.22

 

$

14.75

 

$

14.33

 

 

$

14.33

2

 

 

 



 



 



 



 

 



 

 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

0.66

 

 

0.78

 

 

0.92

 

 

0.83

 

 

 

0.99

 

 

Net realized and unrealized gain (loss)

 

 

0.11

 

 

(0.37

)

 

0.66

 

 

0.77

 

 

 

0.04

 

 

 

 



 



 



 



 

 



 

 

Net increase from investment operations

 

 

0.77

 

 

0.41

 

 

1.58

 

 

1.60

 

 

 

1.03

 

 

 

 



 



 



 



 

 



 

 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.93

)

 

(1.01

)

 

(0.86

)

 

(1.00

)

 

 

(1.00

)

 

Net realized gains

 

 

(0.29

)

 

(0.35

)

 

(0.25

)

 

(0.18

)

 

 

 

 

 

 



 



 



 



 

 



 

 

Total dividends and distributions

 

 

(1.22

)

 

(1.36

)

 

(1.11

)

 

(1.18

)

 

 

(1.00

)

 

 

 



 



 



 



 

 



 

 

Capital charges with respect to issuance of shares

 

 

 

 

 

 

 

 

 

 

 

(0.03

)

 

 

 



 



 



 



 

 



 

 

Net asset value, end of year

 

$

13.82

 

$

14.27

 

$

15.22

 

$

14.75

 

 

$

14.33

 

 

 

 



 



 



 



 

 



 

 

Market price, end of year

 

$

12.86

 

$

13.69

 

$

14.02

 

$

13.57

 

 

$

13.82

 

 

 

 



 



 



 



 

 



 

 

TOTAL INVESTMENT RETURN3

 

 

3.07

%

 

7.46

%

 

11.93

%

 

6.62

%

 

 

(1.02

)%

 

 

 



 



 



 



 

 



 

 

RATIOS TO AVERAGE NET ASSETS:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.08

%

 

1.50

%

 

1.32

%

 

1.05

%

 

 

1.04

%4

 

Net expenses

 

 

1.08

%

 

1.50

%

 

1.32

%

 

1.05

%

 

 

1.04

%4

 

Net expenses excluding interest expense

 

 

0.77

%

 

0.85

%

 

0.92

%

 

0.87

%

 

 

0.93

%4

 

Net investment income

 

 

4.78

%

 

5.20

%

 

6.20

%

 

5.58

%

 

 

7.67

%4

 

SUPPLEMENTAL DATA:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets (000)

 

$

370,219

 

$

402,783

 

$

401,212

 

$

401,049

 

 

$

380,277

 

 

Portfolio turnover

 

 

88

%

 

220

%

 

398

%

 

161

%

 

 

73

%

 

Net assets, end of year (000)

 

$

373,518

 

$

385,514

 

$

411,163

 

$

398,540

 

 

$

387,238

 

 

Reverse repurchase agreements outstanding, end of year (000)

 

$

3,911

 

$

86,876

 

$

102,474

 

$

91,668

 

 

$

165,215

 

 

Asset coverage, end of year5

 

$

96,502

 

$

5,438

 

$

5,012

 

$

5,348

 

 

$

3,342

 

 

Reverse repurchase agreements average daily balance (000)

 

$

25,340

 

$

91,130

 

$

145,094

 

$

67,591

 

 

$

35,207

 

 

Reverse repurchase agreements weighted average interest rate

 

 

4.54

%

 

2.86

%

 

1.11

%

 

1.05

%

 

 

1.04

%

 


 

 


1

Commencement of investment operations. This information includes the initial investment by BlackRock Funding, Inc.

2

Net asset value, beginning of period, reflects a deduction of $0.675 per share sales charge from the initial offering price of $15.00 per share.

3

Total investment return is calculated assuming a purchase of a common share at the current market price on the first day and a sale at the current market price on the last day of each period reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.

4

Annualized.

5

Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the audited operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s shares.

See Notes to Financial Statements.

77



FINANCIAL HIGHLIGHTS

BlackRock High Yield Trust (BHY)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 


 

 

 

2006

 

2005

 

2004

 

2003

 

2002

 

 

 


 


 


 


 


 

PER SHARE OPERATING PERFORMANCE:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of year

 

$

7.48

 

$

7.95

 

$

6.96

 

$

6.13

 

$

7.20

 

 

 



 



 



 



 



 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

0.66

 

 

0.68

 

 

0.92

 

 

1.06

 

 

1.20

 

Net realized and unrealized gain (loss)

 

 

0.36

 

 

(0.36

)

 

1.02

 

 

0.89

 

 

(0.98

)

 

 



 



 



 



 



 

Net increase from investment operations

 

 

1.02

 

 

0.32

 

 

1.94

 

 

1.95

 

 

0.22

 

 

 



 



 



 



 



 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.65

)

 

(0.79

)

 

(0.92

)

 

(1.07

)

 

(1.20

)

Tax return of capital

 

 

 

 

 

 

(0.03

)

 

(0.05

)

 

(0.09

)

 

 



 



 



 



 



 

Total dividends and distributions

 

 

(0.65

)

 

(0.79

)

 

(0.95

)

 

(1.12

)

 

(1.29

)

 

 



 



 



 



 



 

Net asset value, end of year

 

$

7.85

 

$

7.48

 

$

7.95

 

$

6.96

 

$

6.13

 

 

 



 



 



 



 



 

Market price, end of year

 

$

7.77

 

$

7.36

 

$

9.30

 

$

10.25

 

$

8.68

 

 

 



 



 



 



 



 

TOTAL INVESTMENT RETURN1

 

 

14.93

%

 

(13.49

)%

 

0.28

%

 

32.87

%

 

7.97

%

 

 



 



 



 



 



 

RATIOS TO AVERAGE NET ASSETS:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

4.50

%

 

3.52

%

 

2.69

%

 

3.07

%

 

3.45

%

Net expenses

 

 

4.49

%

 

3.51

%

 

2.68

%

 

3.07

%

 

3.45

%

Net expenses excluding interest expense

 

 

2.19

%

 

2.10

%

 

1.96

%

 

2.22

%

 

2.20

%

Net investment income

 

 

8.74

%

 

8.71

%

 

12.16

%

 

16.37

%

 

16.29

%

SUPPLEMENTAL DATA:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets (000)

 

$

48,176

 

$

50,104

 

$

48,186

 

$

41,326

 

$

46,751

 

Portfolio turnover

 

 

85

%

 

102

%

 

156

%

 

30

%

 

147

%

Net assets, end of year (000)

 

$

50,385

 

$

47,924

 

$

50,914

 

$

44,438

 

$

38,953

 

Loan outstanding, end of year (000)

 

$

20,250

 

$

20,750

 

$

19,250

 

$

19,250

 

$

19,250

 

Asset coverage, end of year2

 

$

3,488

 

$

3,310

 

$

3,645

 

$

3,308

 

$

3,024

 

Loan average daily balance (000)

 

$

20,621

 

$

20,425

 

$

19,250

 

$

19,250

 

$

22,664

 

Loan weighted average interest rate

 

 

4.75

%

 

2.87

%

 

1.80

%

 

1.96

%

 

2.65

%


 

 


1

Total investment return is calculated assuming a purchase of a common share at the current market price on the first day and a sale at the current market price on the last day of each year reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Past performance is not a guarantee of future results.

2

Per $1,000 of loan outstanding.

The information in the above Financial Highlights represents the audited operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each year indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

See Notes to Financial Statements.

78



FINANCIAL HIGHLIGHTS

BlackRock Income Opportunity Trust (BNA)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 


 

 

 

2006

 

2005

 

2004

 

2003

 

2002

 

 

 


 


 


 


 


 

PER SHARE OPERATING PERFORMANCE:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of year

 

$

11.56

 

$

12.38

 

$

11.93

 

$

11.83

 

$

11.47

 

 

 



 



 



 



 



 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

0.57

 

 

0.72

 

 

0.76

 

 

0.84

 

 

1.15

 

Net realized and unrealized gain (loss)

 

 

0.01

 

 

(0.45

)

 

0.53

 

 

0.31

 

 

(0.05

)

 

 



 



 



 



 



 

Net increase from investment operations

 

 

0.58

 

 

0.27

 

 

1.29

 

 

1.15

 

 

1.10

 

 

 



 



 



 



 



 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.65

)

 

(0.81

)

 

(0.84

)

 

(0.81

)

 

(0.75

)

Net realized gains

 

 

(0.26

)

 

(0.28

)

 

 

 

(0.24

)

 

 

Tax return of capital

 

 

(0.06

)

 

 

 

 

 

 

 

 

 

 



 



 



 



 



 

Total dividends and distributions

 

 

(0.97

)

 

(1.09

)

 

(0.84

)

 

(1.05

)

 

(0.75

)

 

 



 



 



 



 



 

Increase resulting from Trust shares repurchased

 

 

 

 

 

 

 

 

 

 

0.01

 

 

 



 



 



 



 



 

Net asset value, end of year

 

$

11.17

 

$

11.56

 

$

12.38

 

$

11.93

 

$

11.83

 

 

 



 



 



 



 



 

Market price, end of year

 

$

10.58

 

$

10.90

 

$

11.38

 

$

10.95

 

$

10.50

 

 

 



 



 



 



 



 

TOTAL INVESTMENT RETURN1

 

 

6.27

%

 

5.53

%

 

12.04

%

 

14.71

%

 

8.44

%

 

 



 



 



 



 



 

RATIOS TO AVERAGE NET ASSETS:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.61

%

 

1.72

%

 

1.11

%

 

1.29

%

 

1.40

%

Net expenses

 

 

1.61

%

 

1.72

%

 

1.11

%

 

1.29

%

 

1.40

%

Net expenses excluding interest expense

 

 

0.89

%

 

0.87

%

 

0.84

%

 

0.89

%

 

0.93

%

Net investment income

 

 

5.11

%

 

5.97

%

 

6.29

%

 

6.99

%

 

10.04

%

SUPPLEMENTAL DATA:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets (000)

 

$

381,726

 

$

413,777

 

$

415,131

 

$

413,543

 

$

394,495

 

Portfolio turnover

 

 

131

%

 

396

%

 

300

%

 

46

%

 

153

%

Net assets, end of year (000)

 

$

384,850

 

$

398,078

 

$

426,643

 

$

410,981

 

$

407,480

 

Reverse repurchase agreements outstanding, end of year (000)

 

$

34,326

 

$

120,179

 

$

94,644

 

$

103,378

 

$

85,704

 

Asset coverage, end of year2

 

$

12,212

 

$

4,312

 

$

5,508

 

$

4,976

 

$

5,755

 

Reverse repurchase agreements average daily balance (000)

 

$

59,691

 

$

122,457

 

$

97,264

 

$

136,172

 

$

36,153

 

Reverse repurchase agreements weighted average interest rate

 

 

4.59

%

 

2.87

%

 

1.14

%

 

1.22

%

 

1.93

%


 

 


1

Total investment return is calculated assuming a purchase of a common share at the current market price on the first day and a sale at the current market price on the last day of each year reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Past performance is not a guarantee of future results.

2

Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the audited operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each year indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

See Notes to Financial Statements.

79



FINANCIAL HIGHLIGHTS

BlackRock Income Trust Inc. (BKT)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 


 

 

 

2006

 

2005

 

2004

 

2003

 

2002

 

 

 


 


 


 


 


 

PER SHARE OPERATING PERFORMANCE:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of year

 

$

6.54

 

$

6.95

 

$

7.21

 

$

8.13

 

$

8.06

 

 

 



 



 



 



 



 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

0.32

 

 

0.44

 

 

0.51

 

 

0.61

 

 

0.99

 

Net realized and unrealized gain (loss)

 

 

0.05

 

 

(0.30

)

 

(0.16

)

 

(0.52

)

 

(0.35

)

 

 



 



 



 



 



 

Net increase from investment operations

 

 

0.37

 

 

0.14

 

 

0.35

 

 

0.09

 

 

0.64

 

 

 



 



 



 



 



 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.34

)

 

(0.48

)

 

(0.61

)

 

(1.01

)

 

(0.57

)

Tax return of capital

 

 

(0.09

)

 

(0.07

)

 

 

 

 

 

 

 

 



 



 



 



 



 

Total dividends and distributions

 

 

(0.43

)

 

(0.55

)

 

(0.61

)

 

(1.01

)

 

(0.57

)

 

 



 



 



 



 



 

Net asset value, end of year

 

$

6.48

 

$

6.54

 

$

6.95

 

$

7.21

 

$

8.13

 

 

 



 



 



 



 



 

Market price, end of year

 

$

6.07

 

$

5.90

 

$

7.50

 

$

7.71

 

$

8.07

 

 

 



 



 



 



 



 

TOTAL INVESTMENT RETURN1

 

 

10.18

%

 

(14.63

)%

 

5.97

%

 

15.41

%

 

15.35

%

 

 



 



 



 



 



 

RATIOS TO AVERAGE NET ASSETS:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

2.12

%

 

2.80

%

 

1.37

%

 

1.36

%

 

2.05

%

Net expenses

 

 

2.11

%

 

2.79

%

 

1.37

%

 

1.36

%

 

2.05

%

Net expenses excluding interest expense

 

 

1.00

%

 

0.99

%

 

0.97

%

 

1.02

%

 

1.03

%

Net investment income

 

 

4.92

%

 

6.54

%

 

7.13

%

 

8.18

%

 

12.28

%

SUPPLEMENTAL DATA:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets (000)

 

$

413,597

 

$

430,035

 

$

447,984

 

$

472,676

 

$

506,533

 

Portfolio turnover

 

 

80

%

 

60

%

 

120

%

 

64

%

 

125

%

Net assets, end of year (000)

 

$

414,460

 

$

418,390

 

$

442,635

 

$

457,301

 

$

511,385

 

Reverse repurchase agreements outstanding, end of year (000)

 

$

70,691

 

$

149,558

 

$

223,736

 

$

121,767

 

$

205,792

 

Asset coverage, end of year2

 

$

6,863

 

$

3,798

 

$

2,978

 

$

4,756

 

$

3,485

 

Reverse repurchase agreements average daily balance (000)

 

$

104,393

 

$

180,553

 

$

158,278

 

$

135,804

 

$

173,501

 

Reverse repurchase agreements weighted average interest rate

 

 

4.54

%

 

2.81

%

 

1.12

%

 

1.17

%

 

1.81

%


 

 


1

Total investment return is calculated assuming a purchase of a common share at the current market price on the first day and a sale at the current market price on the last day of each year reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Past performance is not a guarantee of future results.

2

Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the audited operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each year indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

See Notes to Financial Statements.

80



FINANCIAL HIGHLIGHTS

BlackRock Limited Duration Income Trust (BLW)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the period
July 30, 20031
through
October 31, 2003

 

 

 

Year Ended October 31,

 

 

 

 


 

 

 

 

2006

 

2005

 

2004

 

 

 

 


 


 


 


 

PER SHARE OPERATING PERFORMANCE:

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of year

 

$

19.17

 

$

20.13

 

$

19.74

 

 

$

19.10

2

 

 

 



 



 



 

 



 

 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

1.35

 

 

1.46

 

 

1.46

 

 

 

0.33

 

 

Net realized and unrealized gain (loss)

 

 

0.03

 

 

(0.94

)

 

0.43

 

 

 

0.60

 

 

 

 



 



 



 

 



 

 

Net increase from investment operations

 

 

1.38

 

 

0.52

 

 

1.89

 

 

 

0.93

 

 

 

 



 



 



 

 



 

 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(1.52

)

 

(1.33

)

 

(1.49

)

 

 

(0.25

)

 

Net realized gains

 

 

 

 

(0.15

)

 

(0.01

)

 

 

 

 

Tax return of capital

 

 

(0.02

)

 

 

 

 

 

 

 

 

 

 



 



 



 

 



 

 

Total dividends and distributions

 

 

(1.54

)

 

(1.48

)

 

(1.50

)

 

 

(0.25

)

 

 

 



 



 



 

 



 

 

Capital charges with respect to issuance of shares

 

 

 

 

 

 

 

 

 

(0.04

)

 

 

 



 



 



 

 



 

 

Net asset value, end of year

 

$

19.01

 

$

19.17

 

$

20.13

 

 

$

19.74

 

 

 

 



 



 



 

 



 

 

Market price, end of year

 

$

18.85

 

$

17.48

 

$

19.95

 

 

$

18.80

 

 

 

 



 



 



 

 



 

 

TOTAL INVESTMENT RETURN3

 

 

17.31

%

 

(5.30

)%

 

14.64

%

 

 

(4.77

)%

 

 

 



 



 



 

 



 

 

RATIOS TO AVERAGE NET ASSETS:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

2.20

%

 

1.71

%

 

1.26

%

 

 

0.82

%4

 

Net expenses

 

 

2.19

%

 

1.71

%

 

1.25

%

 

 

0.82

%4

 

Net expenses excluding interest expense

 

 

0.91

%

 

0.92

%

 

0.90

%

 

 

0.79

%4

 

Net investment income

 

 

7.10

%

 

7.42

%

 

7.34

%

 

 

6.87

%4

 

SUPPLEMENTAL DATA:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets (000)

 

$

698,382

 

$

722,668

 

$

730,369

 

 

$

686,655

 

 

Portfolio turnover

 

 

132

%

 

70

%

 

215

%

 

 

127

%

 

Net assets, end of year (000)

 

$

699,206

 

$

704,961

 

$

739,225

 

 

$

724,747

 

 

Reverse repurchase agreements outstanding, end of year (000)

 

$

220,000

 

$

176,010

 

$

159,416

 

 

$

118,993

 

 

Asset coverage, end of year5

 

$

4,178

 

$

5,005

 

$

5,637

 

 

$

7,091

 

 

Reverse repurchase agreements average daily balance (000)

 

$

179,366

 

$

186,660

 

$

195,845

 

 

$

26,591

 

 

Reverse repurchase agreements weighted average interest rate

 

 

4.96

%

 

3.08

%

 

1.32

%

 

 

0.76

%

 


 

 


1

Commencement of investment operations. This information includes the initial investment by BlackRock Funding, Inc.

2

Net asset value, beginning of period, reflects a deduction of $0.90 per share sales charge from the initial offering price of $20.00 per share.

3

Total investment return is calculated assuming a purchase of a common share at the current market price on the first day and a sale at the current market price on the last day of each period reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.

4

Annualized.

5

Per $1,000 reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the audited operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

See Notes to Financial Statements.

81



FINANCIAL HIGHLIGHTS

BlackRock Strategic Bond Trust (BHD)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the period
February 28, 20021
through
October 31, 2002

 

 

 

Year Ended October 31,

 

 

 

 


 

 

 

 

2006

 

2005

 

2004

 

2003

 

 

 

 


 


 


 


 


 

PER SHARE OPERATING PERFORMANCE:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of year

 

$

13.68

 

$

15.10

 

$

15.07

 

$

12.63

 

 

$

14.33

2

 

 

 



 



 



 



 

 



 

 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

0.99

 

 

1.10

 

 

1.39

 

 

1.59

 

 

 

0.98

 

 

Net realized and unrealized gain (loss)

 

 

0.18

 

 

(1.13

)

 

0.25

 

 

2.34

 

 

 

(1.77

)

 

 

 



 



 



 



 

 



 

 

Net increase (decrease) from investment operations

 

 

1.17

 

 

(0.03

)

 

1.64

 

 

3.93

 

 

 

(0.79

)

 

 

 



 



 



 



 

 



 

 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.98

)

 

(1.12

)

 

(1.61

)

 

(1.49

)

 

 

(0.84

)

 

Tax return of capital

 

 

(0.04

)

 

(0.27

)

 

 

 

 

 

 

 

 

 

 



 



 



 



 

 



 

 

Total dividends and distributions

 

 

(1.02

)

 

(1.39

)

 

(1.61

)

 

(1.49

)

 

 

(0.84

)

 

 

 



 



 



 



 

 



 

 

Capital charges with respect to issuance of shares

 

 

 

 

 

 

 

 

 

 

 

(0.07

)

 

 

 



 



 



 



 

 



 

 

Net asset value, end of year

 

$

13.83

 

$

13.68

 

$

15.10

 

$

15.07

 

 

$

12.63

 

 

 

 



 



 



 



 

 



 

 

Market price, end of year

 

$

12.85

 

$

12.45

 

$

16.70

 

$

15.27

 

 

$

12.35

 

 

 

 



 



 



 



 

 



 

 

TOTAL INVESTMENT RETURN3

 

 

11.87

%

 

(18.11

)%

 

21.54

%

 

37.36

%

 

 

(12.34

)%

 

 

 



 



 



 



 

 



 

 

RATIOS TO AVERAGE NET ASSETS:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

2.25

%

 

2.14

%

 

1.49

%

 

2.01

%

 

 

2.57

%4

 

Net expenses

 

 

2.00

%

 

1.87

%

 

1.23

%

 

1.71

%

 

 

2.26

%4

 

Net expenses excluding interest expense

 

 

0.94

%

 

0.92

%

 

0.89

%

 

1.01

%

 

 

1.25

%4

 

Net investment income

 

 

7.26

%

 

7.58

%

 

9.23

%

 

11.32

%

 

 

10.68

%4

 

SUPPLEMENTAL DATA:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets (000)

 

$

96,003

 

$

101,990

 

$

106,330

 

$

98,498

 

 

$

95,675

 

 

Portfolio turnover

 

 

56

%

 

51

%

 

31

%

 

32

%

 

 

22

%

 

Net assets, end of year (000)

 

$

97,614

 

$

96,546

 

$

106,433

 

$

106,045

 

 

$

88,594

 

 

Reverse repurchase agreements outstanding, end of year (000)

 

$

14,951

 

$

31,883

 

$

13,188

 

$

45,872

 

 

$

44,223

 

 

Asset coverage, end of year5

 

$

7,529

 

$

4,028

 

$

9,071

 

$

3,312

 

 

$

3,003

 

 

Reverse repurchase agreements average daily balance (000)

 

$

21,104

 

$

30,406

 

$

27,562

 

$

46,036

 

 

$

44,889

 

 

Reverse repurchase agreements weighted average interest rate

 

 

4.81

%

 

3.20

%

 

1.33

%

 

1.51

%

 

 

1.45

%

 


 

 


1

Commencement of investment operations. This information includes the initial investment by BlackRock Funding, Inc.

2

Net asset value, beginning of period, reflects a deduction of $0.675 per share sales charge from the initial offering price of $15.00 per share.

3

Total investment return is calculated assuming a purchase of a common share at the current market price on the first day and a sale at the current market price on the last day of each period reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Trust’s dividend reinvestment plan. Total investment returns do not reflect brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.

4

Annualized

5

Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the audited operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

See Notes to Financial Statements.

82



NOTES TO FINANCIAL STATEMENTS


Note 1. Organization & Accounting Policies

BlackRock Broad Investment Grade 2009 Term Trust Inc. (“Broad Investment Grade”), BlackRock Core Bond Trust (“Core Bond”), BlackRock High Yield Trust (“High Yield”), BlackRock Income Opportunity Trust (“Income Opportunity”), BlackRock Income Trust Inc. (“Income Trust”), BlackRock Limited Duration Income Trust (“Limited Duration”) and BlackRock Strategic Bond Trust (“Strategic Bond”) (collectively, the “Trusts”) are registered as diversified, closed-end management investment companies under the Investment Company Act of 1940, as amended (the “1940 Act”). Broad Investment Grade, Income Opportunity and Income Trust are organized as Maryland corporations. Core Bond, High Yield, Limited Duration and Strategic Bond are organized as Delaware statutory trusts.

          On December 3, 1999, Broad Investment Grade transferred a substantial portion of its total assets to a 100% owned registered investment company subsidiary called BCT Subsidiary, Inc. The financial statements and these notes to the financial statements for Broad Investment Grade are consolidated and include the operations of both Broad Investment Grade and its wholly owned subsidiary after elimination of all intercompany transactions and balances.

          On September 29, 2006, BlackRock, Inc., the parent of BlackRock Advisors, LLC (formerly BlackRock Advisors, Inc.), and Merrill Lynch & Co., Inc. (“Merrill Lynch”) combined Merrill Lynch’s investment management business, Merrill Lynch Investment Managers (“MLIM”), with BlackRock, Inc. to create a new independent company. Merrill Lynch has a 49.8% economic interest and a 45% voting interest in the combined company and The PNC Financial Services Group, Inc. (“PNC”), has approximately a 34% economic and voting interest. The new company operates under the BlackRock name and is governed by a board of directors with a majority of independent members.

          Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trusts. In addition, in the normal course of business, the Trusts enter into contracts with their vendors and others that provide for general indemnifications. The Trusts’ maximum exposure under these arrangements are unknown as this would involve future claims that may be made against the Trusts. However, based on experience, the Trusts consider the risk of loss from such claims to be remote.

          The following is a summary of significant accounting policies followed by the Trusts.

Investment Valuation: The Trusts value most of their investments on the basis of current market quotations provided by dealers or pricing services selected under the supervision of each Trust’s Board (the “Board”) of Directors/Trustees (the “Trustees”). In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, market transactions in comparable investments, various relationships observed in the market between investments, and calculated yield measures based on valuation technology commonly employed in the market for such investments. Exchange-traded options are valued at their last sales price as of the close of options trading on applicable exchanges. In the absence of a last sale, options are valued at the average of the quoted bid and asked prices as of the close of business. Swap quotations are provided by dealers selected under supervision of the Board. A futures contract is valued at the last sale price as of the close of the commodities exchange on which it trades. Short-term securities may be valued at amortized cost. Investments or other assets for which such current market quotations are not readily available are valued at fair value (“Fair Value Assets”) as determined in good faith under procedures established by, and under the general supervision and responsibility of, each Trust’s Board. The investment advisor and/or sub-advisor will submit its recommendations regarding the valuation and/or valuation methodologies for Fair Value Assets to a valuation committee. The valuation committee may accept, modify or reject any recommendations. The pricing of all Fair Value Assets shall be subsequently reported to the Board.

          When determining the price for a Fair Value Asset, the investment advisor and/or sub-advisor shall seek to determine the price that the Trust might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that BlackRock Advisors deems relevant.

          In September 2006, the Financial Accounting Standards Board (“FASB”) issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”) which is effective for fiscal years beginning after November 15, 2007. FAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the implications of FAS 157. At this time, its impact on the Trusts’ financial statements has not been determined.

Investment Transactions and Investment Income: Investment transactions are recorded on trade date. The cost of investments sold and the related gain or loss is determined by use of the specific identification method, generally first-in, first-out, for both financial reporting and federal income tax purposes. Each Trust records interest income on an accrual basis and amortizes premium and/or accretes discount on securities purchased using the interest method.

          Each Trust may from time to time purchase in the secondary market certain mortgage pass-through securities packaged or master serviced by affiliates or mortgage-related securities containing loans or mortgages originated by Merrill Lynch, PNC Bank or their affiliates, each of which may be presumed to be an affiliate of BlackRock Advisors, LLC. It is possible, under certain circumstances, that Merrill Lynch’s Global Markets and Investment Banking Group, PNC Mortgage Securities Corp. or their affiliates, could have interests that are in conflict with the holders of these mortgage-backed securities, and such holders could have rights against Merrill Lynch’s Global Markets and Investment Banking Group, PNC Mortgage Securities Corp. or their affiliates.

Reverse Repurchase Agreements: The Trusts may enter into reverse repurchase agreements with qualified third-party broker-dealers as determined by and under the direction of the Trusts’ Board. Interest expense paid by the Trusts on the value of reverse repurchase agreements issued and outstanding is based upon competitive market rates at the time of issuance. At the time a Trust enters into a reverse repurchase agreement,

83


it will establish and maintain a segregated account with the lender, containing liquid investment grade securities having a value not less than the repurchase price, including accrued interest of the reverse repurchase agreement.

Dollar Rolls: The Trusts may enter into dollar rolls in which a Trust sells securities for delivery in the current month and simultaneously contracts to repurchase substantially similar (same type, coupon and maturity) securities on a specified future date. During the roll period the Trusts forgo principal and interest paid on the securities. The Trusts will be compensated by the interest earned on the cash proceeds of the initial sale and/or by the lower repurchase price at the future date.

Loan Payable: High Yield has a $32 million committed credit facility (the “facility”). Under the terms of the facility, the Trust borrows at the London Interbank Offered Rate (“LIBOR”) plus facility and administrative fees. In addition, the Trust pays a liquidity fee on the unused portion of the facility. The Trust may borrow up to 331/3% of its total assets up to the committed amount. In accordance with the terms of the facility, the Trust has pledged its portfolio assets as collateral for the borrowing.

Bank Loans: In the process of buying, selling and holding bank loans, a Trust may receive and/or pay certain fees. These fees are included in the purchase price and may include facility fees, commitment fees, amendment fees, commissions and prepayment penalty fees. These fees are amortized as premium and/or accretes discount over the term of the loan. When a Trust buys a bank loan it may receive a facility fee and when it sells a bank loan it may pay a facility fee. On an ongoing basis, a Trust may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a bank loan. In certain circumstances, a Trust may receive a prepayment penalty fee upon the prepayment of a bank loan by a borrower. Other fees received by a Trust may include covenant waiver fees and covenant modification fees.

          A Trust may invest in multiple series or tranches of an issuer. A different series or tranch may have varying terms and carry different associated risks.

Option Writing/Purchasing: When a Trust writes or purchases an option, an amount equal to the premium received or paid by the Trust is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by the Trust on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or the proceeds from the sale in determining whether a Trust has realized a gain or a loss on investment transactions. A Trust, as writer of an option, may have no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option.

          Option writing and purchasing may be used by the Trusts as an attempt to manage the duration of positions, or collections of positions, so that changes in interest rates do not adversely affect the targeted duration of the portfolio unexpectedly. Duration is a measure of the price sensitivity of a security or a portfolio to relative changes in interest rates. For instance, a duration of “one” means that a portfolio’s or a security’s price would be expected to change by approximately one percent with a one percent change in interest rates, while a duration of five would imply that the price would move approximately five percent in relation to a one percent change in interest rates.

          A call option gives the purchaser of the option the right (but not obligation) to buy, and obligates the seller to sell (when the option is exercised), the underlying position at the exercise price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying position at the exercise price at any time or at a specified time during the option period. The main risk that is associated with purchasing options is that the option expires without being exercised. In this case, the option expires worthless and the premium paid for the option is considered the loss. The risk associated with writing call options is that a Trust may forgo the opportunity for a profit if the market value of the underlying position increases and the option is exercised. The risk in writing put options is that a Trust may incur a loss if the market value of the underlying position decreases and the option is exercised. In addition, the Trust risks not being able to enter into a closing transaction for the written option as the result of an illiquid market.

Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Trust may not fully recoup its initial investment in IOs. Such securities will be considered liquid only if so determined in accordance with guidelines established by the Trustees.

Inverse Floating Rate Securities: The Trusts may invest in inverse floating rate securities that pay interest at a rate that varies inversely with interest rates. As interest rates rise, inverse floating rates decline. The market value of such securities is more volatile than comparable fixed rate securities.

Credit Default Swaps: Credit default swaps are agreements in which one party pays fixed periodic payments to a counterparty in consideration for a guarantee from the counterparty to make a specific payment should a negative credit event take place. Risks arise from the possible inability of the counterparties to meet the terms of their contracts.

          During the term of the swap, changes in the value of the swap are recognized as unrealized gains or losses by “marking-to-market” to reflect the market value of the swap. When the swap is terminated, a Trust will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust’s basis in the contract, if any.

          The Trusts are exposed to credit loss in the event of non-performance by the other party to the swap. However, the Trusts closely monitor swaps and do not anticipate non-performance by any counterparty.

84


Total Return Swaps: Total return swaps are agreements in which one party commits to pay interest in exchange for a market-linked return. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Trust will receive a payment from or make a payment to the counterparty.

          During the term of the swap, changes in the value of the swap are recognized as unrealized gains or losses by “marking-to-market” to reflect the market value of the swap. When the swap is terminated, a Trust will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust’s basis in the contract, if any.

          The Trusts are exposed to credit loss in the event of non-performance by the other party to the swap. However, the Trusts closely monitor swaps and do not anticipate non-performance by any counterparty.

Interest Rate Swaps: In an interest rate swap, one investor pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, an investor may pay a fixed rate and receive a floating rate. Interest rate swaps are efficient as asset/liability management tools. In more complex swaps, the notional principal amount may decline (or amortize) over time.

          During the term of the swap, changes in the value of the swap are recognized as unrealized gains or losses by “marking-to-market” to reflect the market value of the swap. When the swap is terminated, a Trust will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust’s basis in the contract, if any.

          The Trusts are exposed to credit loss in the event of non-performance by the other party to the swap. However, the Trusts closely monitor swaps and do not anticipate non-performance by any counterparty.

Swap Options: Swap options are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swap option is granting or buying the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the option. Premiums received or paid from writing or purchasing options are recorded as liabilities or assets and are subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by a Trust on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commission, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or the proceeds from the sale in determining whether a Trust has realized a gain or loss on investment transactions.

          The main risk that is associated with purchasing swap options is that the swap option expires without being exercised. In this case, the option expires worthless and the premium paid for the swap option is considered the loss. The main risk that is associated with the writing of a swap option is the market risk of an unfavorable change in the value of the interest rate swap underlying the written swap option.

          Swap options may be used by the Trusts to manage the duration of the Trusts’ portfolios in a manner similar to more generic options described above.

Interest Rate Caps: Interest rate caps are similar to interest rate swaps, except that one party agrees to pay a fee, while the other party pays the excess, if any, of a floating rate over a specified fixed or floating rate.

          Interest rate caps are intended to both manage the duration of the Trusts’ portfolios and their exposure to changes in short-term interest rates. Owning interest rate caps reduces a portfolio’s duration, making it less sensitive to changes in interest rates from a market value perspective. The effect on income involves protection from rising short-term interest rates, which the Trusts experience primarily in the form of leverage.

          The Trusts are exposed to credit loss in the event of non-performance by the other party to the interest rate cap. However, the Trusts do not anticipate non-performance by any counterparty.

          Transaction fees paid or received by the Trusts are recognized as assets or liabilities and amortized or accreted into interest expense or income over the life of the interest rate cap. The asset or liability is subsequently adjusted to the current market value of the interest rate cap purchased or sold. Changes in the value of the interest rate cap are recognized as unrealized gains and losses.

Interest Rate Floors: Interest rate floors are similar to interest rate swaps, except that one party agrees to pay a fee, while the other party pays the deficiency, if any, of a floating rate under a specified fixed or floating rate.

          Interest rate floors are used by the Trusts to both manage the duration of the portfolios and their exposure to changes in short-term interest rates. Selling interest rate floors reduces a portfolio’s duration, making it less sensitive to changes in interest rates from a market value perspective. The Trusts’ leverage provides extra income in a period of falling rates. Selling floors reduces some of that extra income by partially monetizing it as an up front payment which the Trusts receive.

          The Trusts are exposed to credit loss in the event of non-performance by the other party to the interest rate floor. However, the Trusts do not anticipate non-performance by any counterparty.

          Transaction fees paid or received by the Trusts are recognized as assets or liabilities and amortized or accreted into interest expense or income over the life of the interest rate floor. The asset or liability is subsequently adjusted to the current market value of the interest rate floor purchased or sold. Changes in the value of the interest rate floor are recognized as unrealized gains and losses.

Financial Futures Contracts: A futures contract is an agreement between two parties to buy and sell a financial instrument for a set price on a future date. Initial margin deposits are made upon entering into futures contracts and can be either cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by “marking-to-market” on a daily

85


basis to reflect the market value of the contract at the end of each day’s trading. Variation margin payments are made or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, a Trust records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust’s basis in the contract.

          Financial futures contracts, when used by the Trusts, help in maintaining a targeted duration. Futures contracts can be sold to effectively shorten an otherwise longer duration portfolio. In the same sense, futures contracts can be purchased to lengthen a portfolio that is shorter than its duration target. Thus, by buying or selling futures contracts, the Trusts attempt to manage the duration of positions so that changes in interest rates do not change the duration of the portfolio unexpectedly.

Forward Currency Contracts: The Trusts enter into forward currency contracts primarily to facilitate settlement of purchases and sales of foreign securities and to help manage the overall exposure to foreign currency. A forward contract is a commitment to purchase or sell a foreign currency at a future date (usually the security transaction settlement date) at a negotiated forward rate. In the event that a security fails to settle within the normal settlement period, the forward currency contract is renegotiated at a new rate. The gain or loss arising from the difference between the settlement value of the original and renegotiated forward contracts is isolated and is included in net realized gains (losses) from foreign currency transactions. Risks may arise as a result of the potential inability of the counterparties to meet the terms of their contract.

          Forward currency contracts, when used by the Trusts, help to manage the overall exposure to the foreign currency backing some of the investments held by the Trusts. Forward currency contracts are not meant to be used to eliminate all of the exposure to the foreign currency, rather they allow the Trusts to limit their exposure to foreign currency within a narrow band to the objectives of the Trusts.

Foreign Currency Translation: Foreign currency amounts are translated into United States dollars on the following basis:

 

 

 

 

(i)

market value of investment securities, assets and liabilities at the current rate of exchange.

 

 

 

 

(ii)

purchases and sales of investment securities, income and expenses—at the rates of exchange prevailing on the respective dates of such transactions.

          The Trusts isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held at period end. Similarly, the Trusts isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of portfolio securities sold during the period.

          Net realized and unrealized foreign exchange gains and losses includes realized foreign exchange gains and losses from sales and maturities of foreign portfolio securities, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, the difference between the amounts of interest and discount recorded on the Trusts’ books and the U.S. dollar equivalent amounts actually received or paid, and changes in unrealized foreign exchange gains and losses in the value of portfolio securities and other assets and liabilities arising as a result of changes in the exchange rate.

          Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin, including unanticipated movements in the value of the foreign currency relative to the U.S. dollar.

Short Sales: The Trusts may make short sales of securities as a method of managing potential price declines in similar securities owned. When a Trust makes a short sale, it may borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the sale. The Trusts may have to pay a fee to borrow the particular securities and may be obligated to pay over any payments received on such borrowed securities, which would be included in interest expense in the Statement of Operations. A gain, limited to the price at which a Trust sold the security short, or a loss, unlimited as to 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.

Bonds Borrowed Agreements: In a bonds borrowed agreement, the Trust borrows securities from a third party, with the commitment that they will be returned to the lender on an agreed-upon date. Bonds borrowed agreements are primarily entered into to settle short positions. In a bonds borrowed agreement, the Trust’s prime broker or third party broker takes possession of the underlying collateral securities or cash to settle such short positions. The value of the underlying collateral securities or cash approximates the principal amount of the bonds borrowed transaction, including accrued interest. To the extent that bonds borrowed transactions exceed one business day, the value of the collateral with any counterparty is marked-to-market on a daily basis to ensure the adequacy of the collateral. If the lender defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the lender of the security, realization of the collateral by the Trust may be delayed or limited.

Segregation: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (the “Commission”) require that each Trust segregate assets in connection with certain investments (e.g., when issued securities, reverse repurchase agreements, swaps or futures contracts), each Trust will, consistent with certain interpretive letters issued by the Commission, designate on its books and records cash or other liquid debt securities having a market value at least equal to the amount that would otherwise be required to be physically segregated.

Federal Income Taxes: It is each Trust’s intention to continue to be treated as a regulated investment company under the Internal Revenue Code and to distribute sufficient amounts of their taxable income to shareholders. Therefore, no federal income tax provisions have been recorded. As part of a tax planning strategy, Broad Investment Grade has retained a portion of its taxable income and will pay excise tax on the undistributed amounts.

          On July 13, 2006, the Financial Accounting Standards Board (“FASB”) released FASB Interpretation No. 48 (“FIN 48”) “Accounting for Uncertainty in Income Taxes.” FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in financial statements. FIN 48 requires the evaluation of tax positions taken in the course of preparing the Trusts’ tax returns to deter-

86


mine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax benefits of positions not deemed to meet the more-likely-than-not threshold would be booked as a tax expense in the current year and recognized as: a liability for unrecognized tax benefits; a reduction of an income tax refund receivable; a reduction of deferred tax asset; an increase in deferred tax liability; or a combination thereof. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006. At this time, management is evaluating the implications of FIN 48 and its impact on the financial statements has not yet been determined.

Dividends and Distributions: Each Trust declares and pays dividends and distributions to common shareholders monthly from net investment income, net realized short-term capital gains and, if necessary, other sources. Net long-term capital gains, if any, in excess of loss carryfor-wards may be distributed in accordance with the 1940 Act. Dividends and distributions are recorded on the ex-dividend date. Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America.

Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities including investment and swap valuations at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates and such differences may be material.

Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by each Trust’s Board, non-interested Trustees (“Independent Trustees”) are required to 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 the other BlackRock Closed-End Funds selected by the Independent Trustees. These amounts are shown on the Statement of Assets and Liabilities as “Affiliated Investments”. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts in such Trusts.

          The deferred compensation plan is not funded and obligations thereunder represent general unsecured claims against the general assets of the Trust. Each Trust may, however, elect to invest in common shares of those Trusts selected by the Independent Trustees in order to match its deferred compensation obligations.

Other: Expenses that are directly related to one of the Trusts are charged directly to that Trust. Other operating expenses are generally prorated to the Trusts on the basis of relative net assets of all the BlackRock Closed-End Funds.

Note 2. Agreements and Other Transactions with Affiliates and Related Parties

Each Trust has an Investment Management Agreement with BlackRock Advisors, LLC (the “Advisor”), which is a wholly owned subsidiary of BlackRock, Inc. BlackRock Financial Management, Inc. (“BFM”), a wholly owned subsidiary of BlackRock, Inc., serves as sub-advisor to Core Bond, Limited Duration and Strategic Bond. BlackRock, Inc. may be presumed to be an affiliate of Merrill Lynch & Co., Inc. and The PNC Financial Services Group, Inc.

          Broad Investment Grade, High Yield, Income Opportunity and Income Trust each have an Administration Agreement with the Advisor. The Investment Management Agreement for Core Bond, Limited Duration and Strategic Bond covers both investment advisory and administration services.

          Each Trust’s investment advisory fee paid to the Advisor is computed weekly and payable monthly based on an annual rate, 0.55% for Broad Investment Grade, 0.60% for Income Opportunity and 0.65% for Income Trust, of each Trust’s average net assets and 0.55% for Core Bond and Limited Duration, 1.05% for High Yield and 0.75% for Strategic Bond, of each Trust’s average weekly managed assets. “Net assets” means the toal assets of the Trust minus the sum of accrued liabilities. “Managed assets” means the total assets of a Trust (including any assets attributable to any borrowing that may be outstanding) minus the sum of accrued liabilities (other than debt representing financial leverage). The Advisor has voluntarily agreed to waive a portion of the investment advisory fees or other expenses on Strategic Bond as a percentage of its average weekly managed assets as follows: 0.20% for the first five years of the Trust’s operations from 2002 through 2007, 0.15% in 2008, 0.10% in 2009 and 0.05% in 2010.

          The Advisor pays BFM fees for its sub-advisory services.

          The administration fee paid to the Advisor by Broad Investment Grade, High Yield, Income Opportunity and Income Trust is computed weekly and payable monthly based on an annual rate of 0.15%, 0.10%, 0.10%, and 0.15%, respectively of the Trusts’ average weekly managed assets.

          Pursuant to the Investment Management and Administration Agreements, the Advisor provides continuous supervision of the investment portfolio and pays the compensation of officers of each Trust who are affiliated persons of the Advisor, as well as occupancy and certain clerical and accounting costs of each Trust. Each Trust bears all other costs and expenses, which include reimbursements to the Advisor for cost of employees that provide pricing, secondary market support and compliance services provided to each Trust. For the year ended October 31, 2006, the Trusts reimbursed the Advisor the following amounts, which are included in miscellaneous expenses in the Statement of Operations:

 

 

 

 

 

 

 

 

Trust

 

Amount

 


 

 





 

Broad Investment Grade

 

 

$

3,650

 

 

Core Bond

 

 

 

24,820

 

 

High Yield

 

 

 

2,500

 

 

Income Opportunity

 

 

 

25,652

 

 

 

 

 

 

 

Trust

 

Amount

 


 

 


 

Income Trust

 

 

$

31,087

 

 

Limited Duration

 

 

 

91,820

 

 

Strategic Bond

 

 

 

6,198

 

 



          Pursuant to the terms of their custody agreements, each Trust may receive earnings credits from its custodian for positive cash balances maintained, which are used to offset custody fees. These credits are shown on the Statements of Operations as “fees paid indirectly.”

87


          During the year ended October 31, 2006, Merrill Lynch & Co., Inc., through its affiliated broker dealer Merrill Lynch, Pierce, Fenner & Smith, Inc., earned commissions on transactions of securities as follows:

 

 

 

 

 

 

 

Trust

 

Commission
Amount

 


 


 

Core Bond

 

 

$

51,942

 

 

Income Opportunity

 

 

 

60,362

 

 

Income Trust

 

 

 

30,922

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Portfolio
Company

 

Beginning
Principal
Amount

 

Purchases

 

Sales

 

Ending
Principal
Amount

 

Net
Realized
Loss

 

Dividend/
Interest
Income

 

Market
Value of
Affiliates at
October 31,
2006

 


 


 


 


 


 


 


 


 


 

Core Bond

 

Merrill Lynch
Mortgage
Investors, Inc.,
Ser. HE2,
Class A2A

 

 

$

 

 

 

$

2,925,000

 

 

 

$

1,415,452

 

 

 

$

1,509,548

 

 

 

$

 

 

 

$

99,517

 

 

 

$

1,509,838

 

 

Income
Opportunity

 

Merrill Lynch
Mortgage
Investors, Inc.,
Ser. HE2,
Class A2A

 

 

 

 

 

 

 

3,200,000

 

 

 

 

1,548,529

 

 

 

 

1,651,471

 

 

 

 

 

 

 

 

109,155

 

 

 

 

1,651,789

 

 

 

 

Merrill Projects,
Ser. 29

 

 

 

157,733

 

 

 

 

 

 

 

 

5,408

 

 

 

 

152,325

 

 

 

 

 

 

 

 

11,480

 

 

 

 

153,837

 

 

 

 

Merrill Projects,
Ser. 42

 

 

 

230,458

 

 

 

 

 

 

 

 

179,060

 

 

 

 

51,398

 

 

 

 

 

 

 

 

4,823

 

 

 

 

51,939

 

 

Income
Trust

 

Merrill Lynch
Mortgage
Investors, Inc.,
Ser. C2

 

 

 

2,055,258

 

 

 

 

 

 

 

 

2,055,258

 

 

 

 

 

 

 

 

(59,731

)

 

 

 

 

 

 

 

 

 

 

 

Merrill Projects,
Ser. 54

 

 

 

52,851

 

 

 

 

 

 

 

 

1,601

 

 

 

 

51,250

 

 

 

 

 

 

 

 

3,855

 

 

 

 

51,795

 

 

Note 3. Portfolio Securities

          Purchases and sales of investment securities, other than short-term investments, dollar rolls and U.S. government securities, for the year ended October 31, 2006 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Purchases

 

Sales

 

Trust

 

Purchases

 

Sales

 


 


 


 


 


 


 

Broad Investment Grade

 

 

$

3,161,603

 

 

 

$

8,767,520

 

 

Income Trust

 

 

$

171,866,685

 

 

 

$

433,349,706

 

 

Core Bond

 

 

 

233,060,016

 

 

 

 

208,830,241

 

 

Limited Duration

 

 

 

1,405,244,885

 

 

 

 

1,337,948,590

 

 

High Yield

 

 

 

55,870,951

 

 

 

 

56,576,912

 

 

Strategic Bond

 

 

 

57,922,011

 

 

 

 

74,222,016

 

 

Income Opportunity

 

 

 

476,873,405

 

 

 

 

427,093,810

 

 

 

 

 

 

 

 

 

 

 

 

 

 

          Purchases and sales of U.S. government securities for the year ended October 31, 2006, aggregated as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Purchases

 

 

Sales

 

Trust

 

Purchases

 

Sales

 


 


 

 


 


 


 


 

Broad Investment Grade

 

 

$

 

 

 

$

11,700,000

 

 

Income Trust

 

 

$

258,366,922

 

 

 

$

69,184,243

 

 

Core Bond

 

 

 

135,017,135

 

 

 

 

268,311,645

 

 

Strategic Bond

 

 

 

6,854,302

 

 

 

 

7,315,759

 

 

Income Opportunity

 

 

 

148,497,169

 

 

 

 

299,648,887

 

 

 

 

 

 

 

 

 

 

 

 

 

 

          Details of open foreign currency exchange contracts at October 31, 2006 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Foreign
Currency

 

Settlement
Date

 

Contract to
Purchase /
Receive

 

Value at
Settlement
Date

 

Value at
October 31,
2006

 

Unrealized
Appreciation
(Depreciation)

 


 


 


 


 


 


 


 

Core Bond

 

 

Bought:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Euro

 

 

 

1/10/07

 

 

 

$

3,983,300

 

 

 

$

5,042,698

 

 

 

$

5,102,113

 

 

 

$

59,415

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

Sold:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Euro

 

 

 

1/10/07

 

 

 

 

4,190,867

 

 

 

 

5,392,053

 

 

 

 

5,367,981

 

 

 

 

24,072

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

83,487

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

Limited Duration

 

 

Sold:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Euro

 

 

 

1/10/07

 

 

 

 

16,753,550

 

 

 

 

21,523,286

 

 

 

 

21,474,717

 

 

 

$

48,569

 

 

 

 

 

Euro

 

 

 

1/10/07

 

 

 

 

500,000

 

 

 

 

633,187

 

 

 

 

640,900

 

 

 

 

(7,713

)

 

 

 

 

British Pounds

 

 

 

1/10/07

 

 

 

 

5,963,875

 

 

 

 

11,309,271

 

 

 

 

11,387,107

 

 

 

 

(77,836

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(36,980

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

88


          Income Trust held interest rate floors at October 31, 2006. Under the agreement, Income Trust pays the excess, if any, of a fixed rate over a floating rate. Income Trust received transaction fees for the floors. Transaction fees are amortized through the termination of the agreement. Details of the interest rate floors held at October 31, 2006 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

Variable Rate

 

Counter
Party

 

Floating Rate

 

Termination
Date

 

Amortized
Cost

 

Value at
October 31, 2006

 

Unrealized
Appreciation

 


 


 


 


 


 


 


 


 

 

$

185,000

 

 

 

 

4.80

%

 

 

Goldman Sachs

 

 

3-month LIBOR

 

 

 

3/25/11

 

 

 

$

(2,075,000

)

 

 

$

(1,196,567

)

 

 

$

878,433

 

 

 

 

146,000

 

 

 

 

4.95

 

 

 

JP Morgan

 

 

3-month LIBOR

 

 

 

3/25/11

 

 

 

 

(1,609,164

)

 

 

 

(698,289

)

 

 

 

910,875

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 




 

 




 

 




 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(3,684,164

)

 

 

$

(1,894,856

)

 

 

$

1,789,308

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 




 

 




 

 




 

 

          Details of open interest rate swaps at October 31, 2006 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Notional
Amount
(000)

 

Fixed
Rate

 

Counter Party

 

Floating
Rate

 

Termination
Date

 

Unrealized
Appreciation
(Depreciation)

 


 


 


 


 


 


 


 

Core Bond

 

 

 

5,600

 

 

 

4.415

%(a)

 

Union Bank of Switzerland

 

 

3-month LIBOR

 

 

09/27/08

 

 

$

(75,880

)

 

 

 

 

 

41,200

 

 

 

4.510

(b)

 

CitiBank

 

 

3-month LIBOR

 

 

10/29/14

 

 

 

1,571,998

 

 

 

 

 

 

50,000

 

 

 

3.000

(b)

 

Union Bank of Switzerland

 

 

3-month LIBOR

 

 

04/16/07

 

 

 

596,890

 

 

 

 

 

 

14,100

 

 

 

4.305

(a)

 

Morgan Stanley

 

 

3-month LIBOR

 

 

06/17/10

 

 

 

(200,178

)

 

 

 

 

 

20,000

 

 

 

4.458

(b)

 

Morgan Stanley

 

 

3-month LIBOR

 

 

04/18/10

 

 

 

(361,070

)

 

 

 

 

 

2,800

 

 

 

4.500

(b)

 

JP Morgan

 

 

3-month LIBOR

 

 

05/26/15

 

 

 

88,722

 

 

 

 

 

 

4,800

 

 

 

4.372

(a)

 

Union Bank of Switzerland

 

 

3-month LIBOR

 

 

06/30/15

 

 

 

(202,080

)

 

 

 

 

 

6,200

 

 

 

4.725

(a)

 

Morgan Stanley

 

 

3-month LIBOR

 

 

08/02/15

 

 

 

(180,335

)

 

 

 

 

 

7,200

 

 

 

5.160

(a)

 

Deutsche Bank

 

 

3-month LIBOR

 

 

09/12/09

 

 

 

19,896

 

 

 

 

 

 

4,600

 

 

 

5.000

(a)

 

Deutsche Bank

 

 

3-month LIBOR

 

 

11/07/10

 

 

 

44,909

 

 

 

 

 

 

5,000

 

 

 

4.870

(a)

 

Goldman Sachs

 

 

3-month LIBOR

 

 

01/25/16

 

 

 

(30,767

)

 

 

 

 

 

4,800

 

 

 

5.723

(a)

 

JP Morgan

 

 

3-month LIBOR

 

 

07/14/16

 

 

 

285,761

 

 

 

 

 

 

25,100

 

 

 

5.496

(a)

 

Bank of America

 

 

3-month LIBOR

 

 

07/28/11

 

 

 

837,085

 

 

 

 

 

 

8,900

 

 

 

5.410

(a)

 

Deutsche Bank

 

 

3-month LIBOR

 

 

08/15/08

 

 

 

41,133

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

2,436,084

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

Income Opportunity Trust

 

 

 

7,800

 

 

 

4.415

%(a)

 

Union Bank of Switzerland

 

 

3-month LIBOR

 

 

09/27/08

 

 

$

(105,690

)

 

 

 

 

 

50,000

 

 

 

3.000

(b)

 

Union Bank of Switzerland

 

 

3-month LIBOR

 

 

04/16/07

 

 

 

596,890

 

 

 

 

 

 

27,500

 

 

 

4.399

(b)

 

Deutsche Bank

 

 

3-month LIBOR

 

 

10/25/14

 

 

 

1,267,076

 

 

 

 

 

 

13,800

 

 

 

4.510

(b)

 

CitiBank

 

 

3-month LIBOR

 

 

10/29/14

 

 

 

526,543

 

 

 

 

 

 

13,300

 

 

 

4.305

(a)

 

Morgan Stanley

 

 

3-month LIBOR

 

 

06/17/10

 

 

 

(188,820

)

 

 

 

 

 

10,000

 

 

 

4.458

(b)

 

Morgan Stanley

 

 

3-month LIBOR

 

 

04/18/10

 

 

 

(180,535

)

 

 

 

 

 

3,000

 

 

 

4.500

(b)

 

JP Morgan

 

 

3-month LIBOR

 

 

05/26/15

 

 

 

95,060

 

 

 

 

 

 

5,200

 

 

 

4.372

(a)

 

Union Bank of Switzerland

 

 

3-month LIBOR

 

 

06/30/15

 

 

 

(218,920

)

 

 

 

 

 

9,600

 

 

 

5.410

(a)

 

Deutsche Bank

 

 

3-month LIBOR

 

 

08/15/08

 

 

 

44,368

 

 

 

 

 

 

8,000

 

 

 

4.670

(a)

 

Goldman Sachs

 

 

3-month LIBOR

 

 

09/20/15

 

 

 

(257,895

)

 

 

 

 

 

5,000

 

 

 

5.000

(a)

 

Deutsche Bank

 

 

3-month LIBOR

 

 

11/07/10

 

 

 

48,815

 

 

 

 

 

 

5,200

 

 

 

5.723

(a)

 

JP Morgan

 

 

3-month LIBOR

 

 

07/14/16

 

 

 

309,574

 

 

 

 

 

 

27,900

 

 

 

5.496

(a)

 

Bank of America

 

 

3-month LIBOR

 

 

07/28/11

 

 

 

930,465

 

 

 

 

 

 

6,600

 

 

 

5.160

(a)

 

Deutsche Bank

 

 

3-month LIBOR

 

 

09/12/09

 

 

 

18,238

 

 

 

 

 

 

25,000

 

 

 

5.011

(a)

 

Lehman Brothers

 

 

3-month LIBOR

 

 

10/10/10

 

 

 

(77,493

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

2,807,676

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

Income Trust

 

 

 

11,000

 

 

 

4.415

%(a)

 

Union Bank of Switzerland

 

 

3-month LIBOR

 

 

09/27/08

 

 

$

(149,050

)

 

 

 

 

 

2,800

 

 

 

5.940

(a)

 

Union Bank of Switzerland

 

 

3-month LIBOR

 

 

12/07/15

 

 

 

207,312

 

 

 

 

 

 

50,000

 

 

 

3.000

(b)

 

Union Bank of Switzerland

 

 

3-month LIBOR

 

 

04/16/07

 

 

 

596,890

 

 

 

 

 

 

19,000

 

 

 

4.889

(b)

 

Goldman Sachs

 

 

3-month LIBOR

 

 

04/22/14

 

 

 

231,918

 

 

 

 

 

 

12,500

 

 

 

4.399

(b)

 

Deutsche Bank

 

 

3-month LIBOR

 

 

10/25/14

 

 

 

575,944

 

 

 

 

 

 

25,000

 

 

 

4.883

(a)

 

Union Bank of Switzerland

 

 

3-month LIBOR

 

 

03/21/15

 

 

 

(411,500

)

 

 

 

 

 

16,000

 

 

 

4.925

(b)

 

Deutsche Bank

 

 

3-month LIBOR

 

 

03/22/15

 

 

 

210,693

 

 

 

 

 

 

3,000

 

 

 

4.500

(b)

 

JP Morgan

 

 

3-month LIBOR

 

 

05/26/15

 

 

 

95,059

 

 

 

 

 

 

4,500

 

 

 

4.442

(a)

 

Morgan Stanley

 

 

3-month LIBOR

 

 

07/11/15

 

 

 

(161,389

)

 

 

 

 

 

12,000

 

 

 

4.320

(a)

 

Union Bank of Switzerland

 

 

3-month LIBOR

 

 

09/08/10

 

 

 

(319,000

)

 

 

 

 

 

5,500

 

 

 

4.870

(a)

 

Goldman Sachs

 

 

3-month LIBOR

 

 

01/25/16

 

 

 

(33,844

)

 

 

 

 

 

5,400

 

 

 

5.723

(a)

 

JP Morgan

 

 

3-month LIBOR

 

 

07/14/16

 

 

 

321,481

 

 

 

 

 

 

9,300

 

 

 

5.410

(a)

 

Deutsche Bank

 

 

3-month LIBOR

 

 

08/15/08

 

 

 

42,982

 

 

 

 

 

 

40,000

 

 

 

5.011

(a)

 

Lehman Brothers

 

 

3-month LIBOR

 

 

10/10/10

 

 

 

(123,988

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

1,083,508

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 


 

 

(a)

Trust pays floating interest rate and receives fixed rate.

(b)

Trust pays fixed interest rate and receives floating rate.

89


          The terms of the open credit default swap agreements at October 31, 2006 were to receive the quarterly notional amount multiplied by the fixed rate and pay the counterparty, upon default event of Dow Jones CDX, the par value of the notional amount of Dow Jones CDX. Details of open credit default swaps at October 31, 2006 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Notional
Amount
(000)

 

Fixed
Rate

 

Counter
Party

 

Termination
Date

 

Unrealized
Depreciation

 


 


 


 


 


 


 

Core Bond

 

 

6,000

 

 

 

0.650

%

 

 

Barclays Bank

 

 

6/20/16

 

 

$

17,794

 

 

 

 

 

13,130

 

 

 

0.075

 

 

 

Deutsche Bank

 

 

6/20/11

 

 

 

27,133

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

44,927

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

Income Opportunity Trust

 

 

6,750

 

 

 

0.650

%

 

 

Barclays Bank

 

 

6/20/16

 

 

$

20,018

 

 

 

 

 

14,495

 

 

 

0.075

 

 

 

Deutsche Bank

 

 

6/20/11

 

 

 

29,954

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

49,972

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

          Transaction in options written during the year ended October 31, 2006 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Calls

 

Puts

 

 

 


 


 

Trust

 

Contracts/
Notional Amount

 

Premium
Received

 

Contracts/
Notional Amount

 

Premium
Received

 


 


 


 


 


 

Core Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

Options outstanding at October 31, 2005

 

 

$

16,800,035

 

 

$

841,809

 

 

$

43,400,035

 

 

$

1,874,944

 

Options written

 

 

 

4,500,069

 

 

 

202,007

 

 

 

91,700,106

 

 

 

248,033

 

Options expired

 

 

 

(69

)

 

 

(33,369

)

 

 

(37

)

 

 

(15,553

)

Options closed

 

 

 

(35

)

 

 

(19,100

)

 

 

(67

)

 

 

(39,140

)

 

 

 



 

 



 

 



 

 



 

Options outstanding at October 31, 2006

 

 

$

21,300,000

 

 

$

991,347

 

 

$

135,100,037

 

 

$

2,068,284

 

 

 

 



 

 



 

 



 

 



 

Income Opportunity Trust

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options outstanding at October 31, 2005

 

 

$

18,100,038

 

 

$

907,168

 

 

$

46,500,038

 

 

$

2,010,230

 

Options written

 

 

 

5,300,074

 

 

 

234,520

 

 

 

101,700,115

 

 

 

285,355

 

Options expired

 

 

 

(74

)

 

 

(35,902

)

 

 

(39

)

 

 

(16,298

)

Options closed

 

 

 

(38

)

 

 

(20,717

)

 

 

(73

)

 

 

(42,733

)

 

 

 



 

 



 

 



 

 



 

Options outstanding at October 31, 2006

 

 

$

23,400,000

 

 

$

1,085,069

 

 

$

148,200,041

 

 

$

2,236,554

 

 

 

 



 

 



 

 



 

 



 

Income Trust

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options outstanding at October 31, 2005

 

 

$

18,100,000

 

 

$

886,450

 

 

$

46,300,000

 

 

$

1,982,018

 

Options written

 

 

 

5,400,074

 

 

 

238,267

 

 

 

103,800,074

 

 

 

280,317

 

Options expired

 

 

 

(74

)

 

 

(35,902

)

 

 

(39

)

 

 

(16,297

)

Options closed

 

 

 

 

 

 

 

 

 

(35

)

 

 

(22,293

)

 

 

 



 

 



 

 



 

 



 

Options outstanding at October 31, 2006

 

 

$

23,500,000

 

 

$

1,088,815

 

 

$

150,100,000

 

 

$

2,223,745

 

 

 

 



 

 



 

 



 

 



 

Note 4. Borrowings

Details of open reverse repurchase agreements at October 31, 2006 were as follows (please see Corresponding Underlying Collateral Chart):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust/Counter Party

 

Rate

 

Trade
Date

 

Maturity
Date

 

Net Closing
Amount

 

Par

 


 


 


 


 


 


 

Core Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse First Boston LLC

 

 

 

5.320

%

 

 

10/24/06

 

 

11/13/06

 

$

203,821

 

$

203,250

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Lehman Brothers

 

 

 

5.300

 

 

 

10/04/06

 

 

11/03/06

 

 

2,247,392

 

 

2,237,838

 

 

 

 

 

5.280

 

 

 

10/11/06

 

 

11/03/06

 

 

1,474,743

 

 

1,470,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

3,707,838

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Income Opportunity

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse First Boston LLC

 

 

 

5.300

 

 

 

10/02/06

 

 

11/02/06

 

 

1,400,910

 

 

1,394,750

 

 

 

 

 

5.320

 

 

 

10/24/06

 

 

11/13/06

 

 

1,528,655

 

 

2,497,500

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

3,892,250

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Lehman Brothers

 

 

 

5.300

 

 

 

10/04/06

 

 

11/03/06

 

 

2,486,226

 

 

2,475,656

 

 

 

 

 

5.270

 

 

 

10/12/06

 

 

11/13/06

 

 

3,166,608

 

 

3,151,844

 

 

 

 

 

5.290

 

 

 

10/12/06

 

 

11/14/06

 

 

24,926,699

 

 

24,806,408

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

30,433,908

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Income Trust

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse First Boston LLC

 

 

 

5.260

 

 

 

10/30/06

 

 

11/20/06

 

 

3,568,648

 

 

3,558,250

 

 

 

 

 

5.270

 

 

 

10/31/06

 

 

11/20/06

 

 

1,825,830

 

 

1,820,500

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

5,378,750

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Lehman Brothers

 

 

 

5.240

 

 

 

10/19/06

 

 

11/10/06

 

 

39,754,635

 

 

39,650,750

 

 

 

 

 

5.270

 

 

 

10/19/06

 

 

11/10/06

 

 

17,107,460

 

 

17,062,500

 

 

 

 

 

5.270

 

 

 

10/27/06

 

 

11/20/06

 

 

8,044,028

 

 

8,019,375

 

 

 

 

 

5.260

 

 

 

10/30/06

 

 

11/20/06

 

 

581,027

 

 

579,250

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

65,311,875

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

90


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust/Counter Party

 

Rate

 

Trade
Date

 

Maturity
Date

 

Net Closing
Amount

 

Par

 


 


 


 


 


 


 

Limited Duration

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse First Boston LLC

 

 

 

5.500

%

 

 

10/03/06

 

 

 

11/03/06

 

 

$

68,580,435

 

$

68,257,162

 

 

 

 

 

5.400

 

 

 

10/10/06

 

 

 

11/06/06

 

 

 

34,696,178

 

 

34,556,226

 

 

 

 

 

5.500

 

 

 

10/10/06

 

 

 

11/06/06

 

 

 

15,879,897

 

 

15,814,662

 

 

 

 

 

5.280

 

 

 

10/10/06

 

 

 

11/07/06

 

 

 

18,518,042

 

 

18,445,000

 

 

 

 

 

5.500

 

 

 

10/12/06

 

 

 

11/06/06

 

 

 

3,305,577

 

 

3,293,000

 

 

 

 

 

5.500

 

 

 

10/16/06

 

 

 

11/13/06

 

 

 

2,832,456

 

 

2,821,000

 

 

 

 

 

5.200

 

 

 

10/19/06

 

 

 

11/13/06

 

 

 

37,821,604

 

 

37,707,225

 

 

 

 

 

5.400

 

 

 

10/19/06

 

 

 

11/13/06

 

 

 

3,882,491

 

 

3,870,300

 

 

 

 

 

5.400

 

 

 

10/24/06

 

 

 

11/13/06

 

 

 

885,649

 

 

883,000

 

 

 

 

 

5.450

 

 

 

10/24/06

 

 

 

11/06/06

 

 

 

3,639,600

 

 

3,633,000

 

 

 

 

 

5.450

 

 

 

10/26/06

 

 

 

11/16/06

 

 

 

850,568

 

 

848,000

 

 

 

 

 

5.500

 

 

 

10/27/06

 

 

 

11/16/06

 

 

 

596,818

 

 

595,000

 

 

 

 

 

5.450

 

 

 

10/30/06

 

 

 

12/04/06

 

 

 

2,438,487

 

 

2,426,000

 

 

 

 

 

5.500

 

 

 

10/31/06

 

 

 

12/01/06

 

 

 

4,336,730

 

 

4,316,287

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

197,465,862

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Lehman Brothers

 

 

 

3.250

 

 

 

01/09/06

 

 

 

TBD

 

 

 

1,384,000

 

 

1,384,000

 

 

 

 

 

1.500

 

 

 

09/06/06

 

 

 

TBD

 

 

 

888,000

 

 

888,000

 

 

 

 

 

5.290

 

 

 

10/12/06

 

 

 

11/14/06

 

 

 

7,930,942

 

 

7,892,669

 

 

 

 

 

5.280

 

 

 

10/26/06

 

 

 

11/16/06

 

 

 

12,405,282

 

 

12,369,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

22,533,669

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Strategic Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse First Boston LLC

 

 

 

5.400

 

 

 

10/12/06

 

 

 

11/10/06

 

 

 

6,208,308

 

 

6,182,342

 

 

 

 

 

5.400

 

 

 

10/17/06

 

 

 

11/10/06

 

 

 

902,143

 

 

899,000

 

 

 

 

 

5.400

 

 

 

10/25/06

 

 

 

12/04/06

 

 

 

2,239,022

 

 

2,226,000

 

 

 

 

 

5.400

 

 

 

10/30/06

 

 

 

12/04/06

 

 

 

1,137,773

 

 

1,132,000

 

 

 

 

 

4.830

 

 

 

10/31/06

 

 

 

11/15/06

 

 

 

566,262

 

 

565,125

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

11,004,467

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Lehman Brothers

 

 

 

5.250

 

 

 

10/25/06

 

 

 

11/15/06

 

 

 

3,958,179

 

$

3,946,668

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

          Details of underlying collateral for open reverse repurchase agreements at October 31, 2006 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust/Counter Party

 

Description

 

Rate

 

Maturity
Date

 

Original
Face

 

Current
Face

 

Market Value

 


 


 


 


 


 


 


 

Core Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse First Boston LLC

 

 

Tennessee Valley Authority

 

 

 

4.875

%

 

 

12/15/16

 

$

200,000

 

$

200,000

 

$

199,789

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Lehman Brothers

 

 

Federal Home Loan Mortgage Corp.

 

 

 

5.500

 

 

 

11/01/18

 

 

2,200,000

 

 

1,129,662

 

 

1,132,744

 

 

 

 

Federal Home Loan Mortgage Corp.

 

 

 

3.010

 

 

 

04/19/07

 

 

1,135,000

 

 

1,135,000

 

 

1,123,089

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

2.350

 

 

 

04/05/07

 

 

1,500,000

 

 

1,500,000

 

 

1,481,178

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

3,737,011

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Income Opportunity

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse First Boston LLC

 

 

Tennessee Valley Authority

 

 

 

4.875

 

 

 

12/15/16

 

 

2,900,000

 

 

2,900,000

 

 

2,896,949

 

 

 

 

Tennessee Valley Authority

 

 

 

5.880

 

 

 

04/01/36

 

 

1,800,000

 

 

1,800,000

 

 

2,005,450

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

4,902,399

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Lehman Brothers

 

 

Federal Home Loan Mortgage Corp.

 

 

 

5.149

 

 

 

01/01/35

 

 

2,042,400

 

 

1,871,302

 

 

1,843,811

 

 

 

 

Federal Home Loan Mortgage Corp.

 

 

 

4.363

 

 

 

01/01/35

 

 

1,360,100

 

 

1,077,640

 

 

1,084,331

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

5.500

 

 

 

01/01/33

 

 

3,429,659

 

 

689,059

 

 

682,986

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

7.250

 

 

 

01/15/10

 

 

2,915,000

 

 

2,915,000

 

 

3,118,313

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

5.500

 

 

 

02/01/33

 

 

17,464,674

 

 

6,999,589

 

 

6,937,896

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

5.500

 

 

 

01/01/33

 

 

11,231,919

 

 

5,668,494

 

 

5,618,533

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

5.500

 

 

 

02/01/35

 

 

5,014,015

 

 

3,520,154

 

 

3,488,073

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

5.500

 

 

 

06/01/36

 

 

1,001,094

 

 

977,871

 

 

966,507

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

5.500

 

 

 

10/01/20

 

 

810,190

 

 

774,726

 

 

775,830

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

5.500

 

 

 

10/01/20

 

 

833,871

 

 

755,664

 

 

756,740

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

5.500

 

 

 

10/01/20

 

 

807,941

 

 

754,353

 

 

755,427

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

5.500

 

 

 

03/01/21

 

 

677,502

 

 

643,156

 

 

643,866

 

91


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust/Counter Party

 

Description

 

Rate

 

Maturity
Date

 

Original
Face

 

Current
Face

 

Market Value

 


 


 


 


 


 


 


 

Income Opportunity (cont’d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Lehman Brothers (cont’d)

 

 

Federal National Mortgage Assoc.

 

 

 

5.500

%

 

 

03/01/21

 

$

654,254

 

$

621,683

 

$

622,370

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

5.500

 

 

 

03/01/18

 

 

1,483,364

 

 

580,987

 

 

582,714

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

5.500

 

 

 

03/01/18

 

 

1,539,074

 

 

577,555

 

 

579,271

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

5.500

 

 

 

07/01/16

 

 

5,601,876

 

 

563,376

 

 

565,518

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

5.500

 

 

 

08/01/17

 

 

3,217,577

 

 

543,934

 

 

545,738

 

 

 

 

Resolution Funding Corp.

 

 

 

0.000

 

 

 

04/15/30

 

 

5,555,000

 

 

5,555,000

 

 

1,783,316

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

31,351,240

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Income Trust

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse First Boston LLC

 

 

U.S. Treasury Strip

 

 

 

0.000

 

 

 

11/15/24

 

 

13,000,000

 

 

13,000,000

 

$

5,438,264

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Lehman Brothers

 

 

U.S. Treasury Notes

 

 

 

3.750

 

 

 

03/31/07

 

 

20,400,000

 

 

20,400,000

 

 

20,288,432

 

 

 

 

U.S. Treasury Notes

 

 

 

4.000

 

 

 

08/31/07

 

 

19,400,000

 

 

19,400,000

 

 

19,246,158

 

 

 

 

U.S. Treasury Strip

 

 

 

0.000

 

 

 

11/15/24

 

 

62,900,000

 

 

62,900,000

 

 

26,312,957

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

65,847,547

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Limited Duration

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse First Boston LLC

 

 

AES Corp.

 

 

 

8.750

 

 

 

05/15/13

 

 

5,000,000

 

 

5,000,000

 

 

5,368,750

 

 

 

 

American Real Estate Partners LP

 

 

 

8.125

 

 

 

06/01/11

 

 

5,860,000

 

 

5,860,000

 

 

5,991,850

 

 

 

 

CSC Holdings, Inc.

 

 

 

7.875

 

 

 

12/15/07

 

 

5,795,000

 

 

5,795,000

 

 

5,874,681

 

 

 

 

Republic of Colombia

 

 

 

9.750

 

 

 

04/23/09

 

 

5,000,000

 

 

5,000,000

 

 

5,470,000

 

 

 

 

MGM Mirage

 

 

 

9.750

 

 

 

06/01/07

 

 

5,425,000

 

 

5,425,000

 

 

5,533,500

 

 

 

 

Midwest Generation LLC

 

 

 

8.560

 

 

 

01/02/16

 

 

4,800,000

 

 

4,007,041

 

 

4,327,604

 

 

 

 

Ipsco, Inc.

 

 

 

8.750

 

 

 

06/01/13

 

 

5,000,000

 

 

5,000,000

 

 

5,325,000

 

 

 

 

Fasten Tech, Inc.

 

 

 

11.50

 

 

 

05/01/11

 

 

2,500,000

 

 

2,500,000

 

 

2,587,500

 

 

 

 

Houghton Mifflin Co.

 

 

 

9.875

 

 

 

02/01/13

 

 

5,000,000

 

 

5,000,000

 

 

5,356,250

 

 

 

 

Group 1 Automotive, Inc.

 

 

 

8.250

 

 

 

08/15/13

 

 

5,000,000

 

 

5,000,000

 

 

5,143,750

 

 

 

 

Concentra Operating Corp.

 

 

 

9.500

 

 

 

08/15/10

 

 

5,000,000

 

 

5,000,000

 

 

5,225,000

 

 

 

 

Vertis, Inc.

 

 

 

9.750

 

 

 

04/01/09

 

 

500,000

 

 

500,000

 

 

510,625

 

 

 

 

General Motors Acceptance Corp.

 

 

 

6.274

 

 

 

01/16/07

 

 

2,700,000

 

 

2,700,000

 

 

2,699,619

 

 

 

 

General Motors Acceptance Corp.

 

 

 

6.875

 

 

 

08/28/12

 

 

5,620,000

 

 

5,620,000

 

 

5,635,084

 

 

 

 

Nielsen Finance LLC

 

 

 

10.00

 

 

 

08/01/14

 

 

4,340,000

 

 

4,340,000

 

 

4,524,450

 

 

 

 

US Steel LLC

 

 

 

10.75

 

 

 

08/01/18

 

 

500,000

 

 

500,000

 

 

538,750

 

 

 

 

Turkey

 

 

 

7.000

 

 

 

09/26/16

 

 

4,431,000

 

 

4,431,000

 

 

4,453,155

 

 

 

 

Rite Aid Corp.

 

 

 

8.125

 

 

 

05/01/10

 

 

3,800,000

 

 

3,800,000

 

 

3,838,000

 

 

 

 

Lyondell Chemical Co.

 

 

 

11.125

 

 

 

07/15/12

 

 

3,020,000

 

 

3,020,000

 

 

3,269,150

 

 

 

 

Deutsche Telekom Intl. Finance BV

 

 

 

8.000

 

 

 

06/15/10

 

 

5,000,000

 

 

5,000,000

 

 

5,457,805

 

 

 

 

DaimlerChrysler NA Holding Corp.

 

 

 

4.050

 

 

 

06/04/08

 

 

7,500,000

 

 

7,500,000

 

 

7,333,395

 

 

 

 

Marsh & McLennan Cos., Inc.

 

 

 

5.513

 

 

 

07/13/07

 

 

200,000

 

 

200,000

 

 

199,963

 

 

 

 

Tyco Intl. Group SA

 

 

 

6.125

 

 

 

11/01/08

 

 

7,500,000

 

 

7,500,000

 

 

7,607,220

 

 

 

 

Comcast Cable Communications, Inc.

 

 

 

6.875

 

 

 

06/15/09

 

 

6,685,000

 

 

6,685,000

 

 

6,949,840

 

 

 

 

JC Penney Co., Inc.

 

 

 

8.000

 

 

 

03/01/10

 

 

4,400,000

 

 

4,400,000

 

 

4,725,692

 

 

 

 

DR Horton, Inc.

 

 

 

5.875

 

 

 

07/01/13

 

 

3,000,000

 

 

3,000,000

 

 

2,939,418

 

 

 

 

Republic of Peru

 

 

 

9.125

 

 

 

02/21/12

 

 

5,000,000

 

 

5,000,000

 

 

5,775,000

 

 

 

 

Chesapeake Energy Corp.

 

 

 

7.500

 

 

 

09/15/13

 

 

4,000,000

 

 

4,000,000

 

 

4,095,000

 

 

 

 

Qwest Corp.

 

 

 

7.741

 

 

 

06/15/13

 

 

1,900,000

 

 

1,900,000

 

 

2,047,250

 

 

 

 

Qwest Corp.

 

 

 

9.125

 

 

 

03/15/12

 

 

3,675,000

 

 

3,675,000

 

 

4,042,500

 

 

 

 

Crum & Forster Holdings Corp.

 

 

 

10.375

 

 

 

06/15/13

 

 

3,010,000

 

 

3,010,000

 

 

3,122,875

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

7.250

 

 

 

01/15/10

 

 

17,000,000

 

 

17,000,000

 

 

18,185,699

 

 

 

 

American Real Estate Partners LP

 

 

 

7.125

 

 

 

02/15/13

 

 

1,480,000

 

 

1,480,000

 

 

1,476,300

 

 

 

 

Overseas Shipholding Group, Inc.

 

 

 

8.750

 

 

 

12/01/13

 

 

1,650,000

 

 

1,650,000

 

 

1,767,563

 

 

 

 

Rouse Co.

 

 

 

5.375

 

 

 

11/26/13

 

 

2,300,000

 

 

2,300,000

 

 

2,146,774

 

 

 

 

US Steel LLC

 

 

 

10.750

 

 

 

08/01/08

 

 

2,750,000

 

 

2,750,000

 

 

2,963,125

 

 

 

 

U.S. Treasury Notes

 

 

 

3.375

 

 

 

12/15/08

 

 

17,000,000

 

 

17,000,000

 

 

16,565,701

 

 

 

 

U.S. Treasury Notes

 

 

 

3.750

 

 

 

03/31/07

 

 

10,000,000

 

 

10,000,000

 

 

9,945,310

 

 

 

 

U.S. Treasury Notes

 

 

 

3.875

 

 

 

05/15/09

 

 

6,000,000

 

 

6,000,000

 

 

5,892,654

 

 

 

 

U.S. Treasury Notes

 

 

 

3.375

 

 

 

09/15/09

 

 

3,425,000

 

 

3,425,000

 

 

3,312,619

 

 

 

 

U.S. Treasury Notes

 

 

 

4.250

 

 

 

08/15/15

 

 

1,815,000

 

 

1,815,000

 

 

1,769,342

 

 

 

 

Western Financial Bank

 

 

 

9.625

 

 

 

05/15/12

 

 

4,300,000

 

 

4,300,000

 

 

4,738,337

 

 

 

 

Kazkommerts Intl. BV

 

 

 

10.125

 

 

 

05/08/07

 

 

4,000,000

 

 

4,000,000

 

 

4,078,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

208,810,100

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

92


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust/Counter Party

 

Description

 

Rate

 

Maturity
Date

 

Original
Face

 

Current
Face

 

Market Value

 


 


 


 


 


 


 


 

Limited Duration (cont’d.)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Lehman Brothers

 

 

NewPage Corp.

 

 

 

11.739

%

 

 

05/01/12

 

$

1,500,000

 

$

1,500,000

 

$

1,620,000

 

 

 

 

Metaldyne Corp.

 

 

 

11.000

 

 

 

11/01/13

 

 

1,000,000

 

 

1,000,000

 

 

1,025,000

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

5.500

 

 

 

02/01/32

 

 

397,360

 

 

129,080

 

 

127,942

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

5.500

 

 

 

03/01/32

 

 

1,100,000

 

 

397,232

 

 

394,779

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

5.500

 

 

 

03/01/33

 

 

1,006,453

 

 

295,594

 

 

292,900

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

5.500

 

 

 

06/01/33

 

 

800,952

 

 

412,890

 

 

409,128

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

5.500

 

 

 

07/01/33

 

 

2,207,045

 

 

1,206,934

 

 

1,195,934

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

5.500

 

 

 

08/01/33

 

 

2,113,543

 

 

955,902

 

 

947,190

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

5.500

 

 

 

09/01/33

 

 

5,852,429

 

 

3,304,045

 

 

3,273,934

 

 

 

 

Federal National Mortgage Assoc.

 

 

 

5.500

 

 

 

10/01/33

 

 

3,182,952

 

 

1,569,503

 

 

1,555,199

 

 

 

 

GSR Mortgage Loan Trust

 

 

 

4.506

 

 

 

10/25/33

 

 

10,000,000

 

 

6,748,247

 

 

6,457,229

 

 

 

 

GSR Mortgage Loan Trust

 

 

 

4.531

 

 

 

10/25/33

 

 

10,000,000

 

 

6,752,162

 

 

6,491,258

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

23,790,493

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Strategic Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse First Boston LLC

 

 

DaimlerChrysler NA Holding Corp.

 

 

 

7.300

 

 

 

01/15/12

 

 

600,000

 

 

600,000

 

 

640,225

 

 

 

 

Wells Fargo & Co.

 

 

 

3.500

 

 

 

04/04/08

 

 

2,000,000

 

 

2,000,000

 

 

1,955,186

 

 

 

 

HSBC Bank, Inc.

 

 

 

3.875

 

 

 

09/15/09

 

 

1,500,000

 

 

1,500,000

 

 

1,453,827

 

 

 

 

TIAA Global Markets, Inc.

 

 

 

3.875

 

 

 

01/22/08

 

 

1,000,000

 

 

1,000,000

 

 

982,852

 

 

 

 

Barclays Bank PLC

 

 

 

8.550

 

 

 

09/29/49

 

 

650,000

 

 

650,000

 

 

732,463

 

 

 

 

News America, Inc.

 

 

 

6.200

 

 

 

12/15/34

 

 

1,300,000

 

 

1,300,000

 

 

1,269,483

 

 

 

 

Merck & Co., Inc.

 

 

 

4.375

 

 

 

02/15/13

 

 

300,000

 

 

300,000

 

 

285,746

 

 

 

 

General Electric Capital Corp.

 

 

 

3.450

 

 

 

07/16/07

 

 

2,000,000

 

 

2,000,000

 

 

1,974,496

 

 

 

 

SBC Communications, Inc.

 

 

 

6.450

 

 

 

06/15/34

 

 

300,000

 

 

300,000

 

 

310,235

 

 

 

 

Verizon New England, Inc.

 

 

 

6.500

 

 

 

09/15/11

 

 

1,130,000

 

 

1,130,000

 

 

1,164,565

 

 

 

 

U.S. Treasury Notes

 

 

 

4.875

 

 

 

08/15/16

 

 

550,000

 

 

550,000

 

 

561,430

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

11,330,508

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Lehman Brothers

 

 

U.S. Treasury Bonds

 

 

 

5.375

 

 

 

02/15/31

 

 

410,000

 

 

410,000

 

 

445,138

 

 

 

 

U.S. Treasury Notes

 

 

 

4.250

 

 

 

08/15/13

 

 

1,000,000

 

 

1,000,000

 

 

980,625

 

 

 

 

U.S. Treasury Notes

 

 

 

2.625

 

 

 

11/15/06

 

 

933,000

 

 

933,000

 

 

932,052

 

 

 

 

U.S. Treasury Notes

 

 

 

4.750

 

 

 

05/15/14

 

 

710,000

 

 

710,000

 

 

717,100

 

 

 

 

U.S. Treasury Notes

 

 

 

4.125

 

 

 

08/15/10

 

 

810,000

 

 

810,000

 

 

797,375

 

 

 

 

U.S. Treasury Notes

 

 

 

4.250

 

 

 

08/15/15

 

 

75,000

 

 

75,000

 

 

73,114

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

3,945,404

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Note 5. Commitments

Bridge Debt Commitments: At October 31, 2006, High Yield and Limited Duration had $90,000 and $740,000, respectively, in commitments outstanding to fund high yield bridge debt. The Trusts are entitled to a fee upon the expiration of the commitment period, generally within six months of the initial commitment date. The bridge debt terms approximate market rates at the time the commitment is entered into.

Note 6. Income Tax Information

The tax character of distributions paid during the year ended October 31, 2006 and 2005 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year ended October 31, 2006

 

 

 


 

Distributions Paid from:

 

Ordinary
Income

 

Non-taxable
Return of Capital

 

Long-term
Capital Gains

 

Total
Distributions

 


 


 


 


 


 

Broad Investment Grade

 

$

4,241,016

 

 

$

 

 

 

$

20,078

 

 

 

$

4,261,094

 

 

Core Bond

 

 

25,048,230

 

 

 

 

 

 

 

7,914,351

 

 

 

 

32,962,581

 

 

High Yield

 

 

4,175,232

 

 

 

 

 

 

 

 

 

 

 

4,175,232

 

 

Income Opportunity

 

 

22,238,533

 

 

 

2,162,198

 

 

 

 

8,976,685

 

 

 

 

33,377,416

 

 

Income Trust

 

 

21,910,288

 

 

 

5,576,693

 

 

 

 

 

 

 

 

27,486,981

 

 

Limited Duration

 

 

55,725,066

 

 

 

760,960

 

 

 

 

 

 

 

 

56,486,026

 

 

Strategic Bond

 

 

6,969,104

 

 

 

251,641

 

 

 

 

 

 

 

 

7,220,745

 

 

93


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year ended October 31, 2005

 

 

 


 

Distributions Paid from:

 

Ordinary
Income

 

Non-taxable
Return of Capital

 

Long-term
Capital Gains

 

Total
Distributions

 


 


 


 


 


 

Broad Investment Grade

 

$

3,271,251

 

 

$

 

 

 

$

525,065

 

 

 

$

3,796,316

 

 

Core Bond

 

 

27,245,722

 

 

 

 

 

 

 

9,450,907

 

 

 

 

36,696,629

 

 

High Yield

 

 

5,087,371

 

 

 

 

 

 

 

 

 

 

 

5,087,371

 

 

Income Opportunity

 

 

28,509,597

 

 

 

 

 

 

 

8,926,885

 

 

 

 

37,436,482

 

 

Income Trust

 

 

30,667,298

 

 

 

4,798,184

 

 

 

 

 

 

 

 

35,465,482

 

 

Limited Duration

 

 

52,882,982

 

 

 

 

 

 

 

1,634,766

 

 

 

 

54,517,748

 

 

Strategic Bond

 

 

7,935,935

 

 

 

1,898,203

 

 

 

 

 

 

 

 

9,834,138

 

 

          As of October 31, 2006 the components of distributable earnings on a tax basis were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Undistributed
Ordinary
Income

 

Undistributed
Long-term
Capital Gains

 

Unrealized
Net
Appreciation

 


 


 


 


 

Broad Investment Grade

 

 

$

5,852,444

 

 

 

$

 

 

 

$

 

 

Core Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

High Yield

 

 

 

40,763

 

 

 

 

 

 

 

 

1,392,602

 

 

Income Opportunity

 

 

 

 

 

 

 

 

 

 

 

 

 

Income Trust

 

 

 

 

 

 

 

 

 

 

 

 

 

Limited Duration

 

 

 

 

 

 

 

 

 

 

 

 

 

Strategic Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

          For federal income tax purposes, the following Trusts had capital loss carryforwards as of their last respective tax year-end. These amounts may be used to offset future realized capital gains, if any:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Capital Loss
Carryforward
Amount

 

Expires

 

Trust

 

Capital Loss
Carryforward
Amount

 

Expires

 


 


 


 


 


 


 

Broad Investment Grade

 

$

2,061,303

 

 

2011

 

Income Trust

 

$

33,107,952

 

 

2007

 

 

 

 

684,360

 

 

2012

 

 

 

 

 

1,352,206

 

 

2008

 

 

 

 

493,567

 

 

2014

 

 

 

 

 

13,940,898

 

 

2009

 

 

 



 

 

 

 

 

 

 

 

21,960,613

 

 

2011

 

 

 

$

3,239,230

 

 

 

 

 

 

 

 

10,100,201

 

 

2012

 

 

 



 

 

 

 

 

 

 

 

3,861,222

 

 

2013

 

 

 

 

 

 

 

 

 

 

 

 

 

6,952,429

 

 

2014

 

High Yield

 

$

2,558,868

 

 

2007

 

 

 

 



 

 

 

 

 

 

 

3,270,311

 

 

2008

 

 

 

 

$

91,275,521

 

 

 

 

 

 

 

15,159,280

 

 

2009

 

 

 

 



 

 

 

 

 

 

 

8,468,860

 

 

2010

 

 

 

 

 

 

 

 

 

 

 

 

 

4,771,417

 

 

2011

 

 

 

 

 

 

 

 

 

 

 

 

 

316,410

 

 

2012

 

Limited Duration

 

$

2,008,113

 

 

2013

 

 

 

 

2,060,533

 

 

2014

 

 

 

 

 

1,268,222

 

 

2014

 

 

 



 

 

 

 

 

 

 



 

 

 

 

 

 

$

36,605,679

 

 

 

 

 

 

 

$

3,276,335

 

 

 

 

 

 



 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income Opportunity

 

$

2,451,628

 

 

2014

 

Strategic Bond

 

$

432,713

 

 

2011

 

 

 

 

 

 

 

 

 

 

 

 

 

318,492

 

 

2013

 

 

 

 

 

 

 

 

 

 

 

 

 

689,609

 

 

2014

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

1,440,814

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

          Accordingly, no capital gain distributions are expected to be paid to shareholders of a Trust until that Trust has net realized capital gains in excess of its capital loss carryforward amounts.

Reclassification of Capital Accounts: In order to present undistributed (distribution in excess of) net investment income (“UNII”), accumulated net realized gain (“Accumulated Gain”) and paid-in-capital (“PIC”) more closely to its tax character, the following accounts for each Trust were increased (decreased):

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

UNII

 

Accumulated Gain

 

PIC

 


 


 


 


 

Broad Investment Grade

 

$

3,328,318

 

 

$

(172

)

 

$

(3,328,146

)

Core Bond

 

 

1,629,245

 

 

 

(1,523,247

)

 

 

(105,998

)

Income Opportunity

 

 

1,804,381

 

 

 

357,817

 

 

 

(2,162,198

)

Income Trust

 

 

7,210,581

 

 

 

188,004

 

 

 

(7,398,585

)

Limited Duration

 

 

433,698

 

 

 

327,262

 

 

 

(760,960

)

Strategic Bond

 

 

251,641

 

 

 

 

 

 

(251,641

)

94


Note 7. Capital

There are 200 million of $0.01 par value common shares authorized for each of the Broad Investment Grade, Income Opportunity and Income Trusts. There are an unlimited number of $0.001 par value common shares authorized for Core Bond, High Yield, Limited Duration and Strategic Bond. At April 30, 2006, the shares owned by affiliates of the Advisor of Limited Duration were 6,021.

          During the years ended October 31, 2006 and 2005, the following Trusts issued additional shares under their respective dividend reinvestment plan:

 

 

 

 

 

 

 

 

 

 

Trust

 

October 31, 2006

 

October 31, 2005

 


 


 


 

High Yield

 

 

6,259

 

 

 

7,498

 

 

Income Trust

 

 

 

 

 

227,068

 

 

Limited Duration

 

 

13,785

 

 

 

41,211

 

 

Strategic Bond

 

 

 

 

 

9,684

 

 



Note 8. Dividends

Subsequent to October 31, 2006, the Board of each of the Trusts declared and paid dividends per common share payable November 30, 2006, to shareholders of record on November 15, 2006. The per share common dividends declared were as follows:

 

 

 

 

 

 

 

 

 

Trust

 

Common Dividend
Per Share


 


Broad Investment Grade

 

 

$

0.075

 

Core Bond

 

 

 

0.067

 

High Yield

 

 

 

0.051

 

Income Opportunity

 

 

 

0.055

 

Income Trust

 

 

 

0.031

 

Limited Duration

 

 

 

0.125

 

Strategic Bond

 

 

 

0.077

 

95



 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM



To the Trustees/Directors and Shareholders of:

 

 

 

BlackRock Broad Investment Grade 2009 Term Trust Inc.
BlackRock Core Bond Trust
BlackRock High Yield Trust
BlackRock Income Opportunity Trust
BlackRock Income Trust Inc.
BlackRock Limited Duration Income Trust
BlackRock Strategic Bond Trust
(Collectively the “Trusts”)

We have audited the accompanying statements of assets and liabilities of the Trusts, including the portfolios of investments, as of October 31, 2006, 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 its 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 Trust’s 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 October 31, 2006, by correspondence with the custodian and brokers; where replies were not received from brokers, 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 position of the Trusts as of October 31, 2006, 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.

-s- Deloitte & Touche LLP

Boston, Massachusetts
December 29, 2006

96


 

DIRECTORS/TRUSTEES INFORMATION (Unaudited)



 

 

 

 

 

 

 


 

Name, address, age

Current positions held
with the Trusts

Term of office
and length of
time served

Principal occupations
during the past five years

Number of
portfolios over-
seen within the
fund complex1

Other Directorships
held outside the
fund complex1

Events or transactions by
reason of which the Trustee
is an interested person as
defined in Section 2(a)
(19) of the 1940 Act


Interested Directors/Trustees2


Ralph L.
Schlosstein
BlackRock, Inc.
40 East 52nd Street
New York, NY
10022
Age: 55

Chairman of the
Board3

3 years4/since
inception

Director since 1999 and President of BlackRock, Inc. since its formation in 1998 and of BlackRock, Inc.’s predecessor entities since 1988. Member of the Management Committee and Investment Strategy Group of BlackRock, Inc. Formerly, Managing Director of Lehman Brothers, Inc. and Co-head of its Mortgage and Savings Institutions Group. Chairman and President of the BlackRock Liquidity Funds and Director of several of BlackRock’s alternative investment vehicles.

68

Member of the Visiting Board of Overseers of the John F. Kennedy School of Government at Harvard University, a member of the board of the Financial Institutions Center of The Wharton School of the University of Pennsylvania, a Trustee of the American Museum of Natural History, a Trustee of Trinity School in New York City, a member of the Board of Advisors of Marujupu LLC, and a Trustee of New Visions for Public Education of The Public Theater in New York City and the James Baird Foundation. Formerly, a director of Pulte Corporation, the nation’s largest home-builder, a Trustee of Denison University and a member of Fannie Mae’s Advisory Council.

Director and President of the Advisor.


Robert S. Kapito
BlackRock, Inc.
40 East 52nd Street
New York, NY
10022
Age: 49

President and
Trustee

3 years4/since
August 22,
2002

Director, since 2006, and Vice Chairman of BlackRock, Inc. Head of the Portfolio Management Group. Also a member of the Management Committee, the Investment Strategy Group, the Fixed Income and Global Operating Committees and the Equity Investment Strategy Group. Responsible for the portfolio man- agement of the Fixed Income, Domestic Equity and International Equity, Liquidity, and Alternative Investment Groups of BlackRock.

58

Chairman of the Hope and Heroes Children’s Cancer Fund. President of the Board of Directors of the Periwinkle National Theatre for Young Audiences.

Director and Vice Chairman of the Advisor.


97


 

DIRECTORS/TRUSTEES INFORMATION (Unaudited) (Continued)



 

 

 

 

 

 


 

Name, address, age

Current positions held
with the Trusts

Term of office and
length of time served

Principal occupations
during the past five years

Number of
portfolios overseen
within the fund
complex1

Other Directorships held
outside the fund complex


Independent Directors/Trustees


Andrew F. Brimmer
P.O. Box 4546
New York, NY
10163-4546
Age: 80

Lead Trustee
Audit Committee
Chairman5

3 years4/since
inception

President of Brimmer & Company, Inc., a Washington, D.C.-based economic and financial consulting firm, also Wilmer D. Barrett Professor of Economics, University of Massachusetts – Amherst. Formerly member of the Board of Governors of the Federal Reserve System. Former Chairman, District of Columbia Financial Control Board.

58

Former Director of CarrAmerica Realty Corporation and Borg-Warner Automotive, Airborne Express, BankAmerica Corporation (Bank of America), BellSouth Corporation, College Retirement Equities Fund (Trustee), Commodity Exchange, Inc. (Public Governor), Connecticut Mutual Life Insurance Company, E.I. du Pont de Nemours & Company, Equitable Life Assurance Society of the United States, Gannett Company, Mercedes-Benz of North America, MNC Financial Corporation (American Security Bank), NCM Capital Management, Navistar International Corporation, PHH Corp. and UAL Corporation (United Airlines).


Richard E. Cavanagh
P.O. Box 4546
New York, NY
10163-4546
Age: 60

Trustee
Audit Committee
Member

3 years4/since
inception6

President and Chief Executive Officer of The Conference Board, Inc., a leading global business research organization, from 1995-present. Former Executive Dean of the John F. Kennedy School of Government at Harvard University from 1988-1995. Acting Director, Harvard Center for Business and Government (1991-1993). Formerly Partner (principal) of McKinsey & Company, Inc. (1980-1988). Former Executive Director of Federal Cash Management, White House Office of Management and Budget (1977-1979). Co-author, THE WINNING PERFORMANCE (best selling management book published in 13 national editions).

58

Trustee: Aircraft Finance Trust (AFT) and Chairman of the Board of Trustees, Educational Testing Service (ETS). Director, Arch Chemicals, Fremont Group and The Guardian Life Insurance Company of America.


Kent Dixon
P.O. Box 4546
New York, NY
10163-4546
Age: 69

Trustee
Audit Committee
Member5

3 years4/since
inception

Consultant/Investor. Former President and Chief Executive Officer of Empire Federal Savings Bank of America and Banc PLUS Savings Association, former Chairman of the Board, President and Chief Executive Officer of Northeast Savings.

58

Former Director of ISFA (the owner of INVEST, a national securities brokerage service designed for banks and thrift institutions).


Frank J. Fabozzi
P.O. Box 4546
New York, NY
10163-4546
Age: 58

Trustee
Audit Committee
Member5

3 years4/since
inception

Consultant. Editor of THE JOURNAL OF PORTFOLIO MANAGEMENT and Adjunct Professor of Finance at the School of Management at Yale University. Author and editor of several books on fixed income portfolio management.

58

Director, Guardian Mutual Funds Group (18 portfolios).


98


 

DIRECTORS/TRUSTEES INFORMATION (Unaudited) (Continued)



 

 

 

 

 

 


 

Name, address, age

Current positions
held with the Trusts

Term of office and
length of time served

Principal occupations
during the past five years

Number of
portfolios
overseen
within
the fund
complex1

Other Directorships held
outside the fund complex1


Independent Directors/Trustees (continued)


Kathleen F. Feldstein
P.O. Box 4546
New York, NY
10163-4546
Age: 65

Trustee

3 years4/since
January 19, 2005

President of Economics Studies, Inc., a Belmont, MA-based private economic consulting firm, since 1987; Chair, Board of Trustees, McLean Hospital in Belmont, MA.

58

Director of BellSouth Inc. and McClatchy Company; Trustee of the Museum of Fine Arts, Boston, and of the Committee for Economic Development; Corporation Member, Partners HealthCare and Sherrill House; Member of the Visiting Committee of the Harvard University Art Museums and of the Advisory Board to the International School of Business at Brandeis University.


R. Glenn Hubbard
P.O. Box 4546
New York, NY
10163-4546
Age: 48

Trustee

3 years4/since
November 16, 2004

Dean of Columbia Business School since July 1, 2004. Columbia faculty member since 1988. Co-director of Columbia Business School’s Entrepreneurship Program 1994-1997. Visiting professor at the John F. Kennedy School of Government at Harvard and the Harvard Business School, as well as the University of Chicago. Visiting scholar at the American Enterprise Institute in Washington and member of International Advisory Board of the MBA Program of Ben-Gurion University. Deputy assistant secretary of the U.S. Treasury Department for Tax Policy 1991-1993. Chairman of the U.S. Council of Economic Advisers under the President of the United States 2001–2003.

58

Director of ADP, R.H. Donnelly, Duke Realty, KKR Financial Corporation, and Ripplewood Holdings, the Council on Competitiveness, the American Council on Capital Formation, the Tax Foundation and the Center for Addiction and Substance Abuse. Trustee of Fifth Avenue Presbyterian Church of New York.


 

 

1

The Fund Complex means two or more registered investments companies that: (1) hold themselves out to investors as related companies for purposes of investment and investor services; or (2) have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies.

2

Interested Director/Trustee as defined by Section 2(a)(19) of the Investment Company Act of 1940.

3

Director/Trustee since inception; appointed Chairman of the Board on August 22, 2002.

4

The Board is classified into three classes of which one class is elected annually. Each Director/Trustee serves a three-year term concurrent with the class from which they are elected.

5

The Board of each Trust has determined that each Trust has three Audit Committee financial experts serving on its Audit Committee, Dr. Brimmer, Mr. Dixon and Mr. Fabozzi, each of whom are independent for the purpose of the definition of Audit Committee financial expert as applicable to the Trusts.

6

For Broad Investment Grade, Income Opportunity and Income Trust appointed Director on 8/11/94.

99


 

DIVIDEND REINVESTMENT PLANS


          Pursuant to each Trust’s respective Dividend Reinvestment Plan (the “Plan”), shareholders of Broad Investment Grade, Income Opportunity and Income Trust may elect, while shareholders of Core Bond, High Yield, Limited Duration and Strategic Bond are automatically enrolled, to have all distributions of dividends and capital gains reinvested by Computershare Trust Company, N.A. (the “Plan Agent”) in the respective Trust’s shares pursuant to the Plan. Shareholders who do not participate in the 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 Plan Agent, which serves as agent for the shareholders in administering the Plan.

          After Broad Investment Grade declares a dividend or determines to make a capital gain distribution, the Plan Agent will acquire shares for the participants’ account, by the purchase of outstanding shares on the open market, on the Trust’s primary exchange or elsewhere (“open market purchases”). The Trust will not issue any new shares under the Plan.

          After Core Bond, High Yield, Income Trust, Limited Duration and/or Strategic Bond declares a dividend or determines to make a capital gain distribution, the Plan Agent will acquire shares for the participants’ account, depending upon the circumstances described below, either (i) through receipt of unissued but authorized shares from the Trust (“newly issued shares”) or (ii) by open market purchases. If, on the dividend payment date, the NAV is equal to or less than the market price per share plus estimated brokerage commissions (such condition being referred to herein as “market premium”), the Plan Agent will invest the dividend amount in newly issued shares on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the 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 value per share plus estimated brokerage commissions (such condition being referred to herein as “market discount”), the Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases.

          At a meeting of the Board of Trustees of the Income Opportunity Trust on November 21, 2006, the Board approved an amendment to the Dividend Reinvestment Plan of the Income Opportunity Trust. The Plan previously operated in a manner similar to Broad Investment Grade’s Plan, and permitted shares to be purchased only on the open market. As a result of the amendment, the Plan will permit purchases of newly issued shares on terms similar to the Plans described in the next paragraph. This amendment will take effect on April 1, 2007.

          The Plan Agent’s fees for the handling of the reinvestment of dividends and distributions will be paid by each Trust. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Plan Agent’s open market purchases in connection with the reinvestment of dividends and distributions. The automatic reinvestment of dividends and distributions will not relieve participants of any Federal income tax that may be payable on such dividends or distributions.

          Each Trust reserves the right to amend or terminate the Plan. There is no direct service charge to participants in the Plan; however, each Trust reserves the right to amend the Plan to include a service charge payable by the participants. Participants who request a sale of shares through the Plan Agent are subject to a $2.50 sales fee and a $0.15 per share sold brokerage commission. All correspondence concerning the Plan should be directed to the Plan Agent at 250 Royall Street, Canton, MA 02021 or (800) 699-1BFM.

100


 

ADDITIONAL INFORMATION


          We are required by the Internal Revenue Code to advise you within 60 days of a Trust’s tax year-end as to the federal tax status of dividends paid by the Trusts1 during such tax year. Shareholders, however, must report distributions on a calendar year basis for income tax purposes. Accordingly, the information needed by shareholders for income tax purposes will be sent to them in January 2007. Please consult your tax advisor for proper treatment of this information.

60 Day Notice

          The following information is provided with respect to the distributions paid by the BlackRock Closed-End Funds for the fiscal year ended October 31, 2006:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Payable Date

 

Federal
Obligation
Interest1

 

Interest Related
Dividends for Non-
U.S. Residents2

 

Long-Term
Capital Gains
Per Share ($)

 

 

 


 


 


 


 

Broad Investment Grade 2009 Term Trust (BCT)

 

 

6/30/06

 

 

 

 

 

0.006790

 

 

High Yield Trust (BHY)

 

 

11/30/05 – 10/31/06

 

2.02

%

 

84.90

%

 

 

 

Income Opportunity Trust (BNA)

 

 

11/30/05

 

10.91

%

 

28.68

%

 

 

 

 

 

 

12/30/05

 

10.91

%

 

84.39

%

 

 

 

 

 

 

12/30/05

 

 

 

 

 

0.274779

 

 

 

 

 

1/31/06 – 10/31/06

 

10.91

%

 

74.25

%

 

 

 

Income Trust (BKT)

 

 

11/30/05 – 12/31/05

 

5.96

%

 

82.10

%

 

 

 

 

 

 

1/31/06 – 10/31/06

 

5.96

%

 

59.69

%

 

 

 

Limited Duration Income Trust (BLW)

 

 

11/30/05

 

2.49

%

 

 

 

 

 

 

 

 

12/30/05

 

2.49

%

 

83.23

%

 

 

 

 

 

 

1/31/06 – 10/31/06

 

2.49

%

 

83.10

%

 

 

 

Strategic Bond Trust (BHD)

 

 

11/30/05 – 12/31/05

 

2.16

%

 

85.36

%

 

 

 

 

 

 

1/31/06 – 10/31/06

 

2.16

%

 

81.77

%

 

 

 


 

 

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 distributions paid that are exempt from U.S withholding tax for nonresident aliens and foreign corporations.

          In January 2007, a form 1099-DIV will be sent to shareholders which will state the amount and composition of distributions and provide information with respect to their appropriate tax treatment.

Shareholder Meetings

          The Joint Annual Meeting of Shareholders was held on August 23, 2006 for shareholders of record as of June 5, 2006, to approve a New Investment Management Agreement and Sub-Advisory Agreement for each of the following Trusts:

          Approved the Investment Management Agreement as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Votes For

 

Votes Against

 

Votes Abstain

 

 

 


 


 


Broad Investment Grade

 

 

1,559,461

 

 

78,270

 

 

79,709

 

Core Bond

 

 

13,817,341

 

 

697,113

 

 

842,421

 

High Yield

 

 

3,191,192

 

 

219,850

 

 

237,255

 

Income Opportunity

 

 

18,405,320

 

 

1,007,469

 

 

988,120

 

Income Trust

 

 

31,116,585

 

 

1,710,010

 

 

1,955,880

 

Limited Duration Income

 

 

17,973,594

 

 

666,163

 

 

1,056,610

 

Strategic Bond

 

 

3,742,105

 

 

159,104

 

 

229,833

 

          Approved the Sub-Advisory Agreement as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Votes For

 

Votes Against

 

Votes Abstain

 

 

 


 


 


Broad Investment Grade

 

 

1,556,229

 

 

76,465

 

 

84,746

 

Core Bond

 

 

13,810,209

 

 

706,768

 

 

839,898

 

High Yield

 

 

3,204,388

 

 

212,481

 

 

231,428

 

Income Opportunity

 

 

18,431,772

 

 

1,002,369

 

 

966,768

 

Income Trust

 

 

31,018,460

 

 

1,764,993

 

 

1,999,022

 

Limited Duration Income

 

 

17,928,908

 

 

695,024

 

 

1,072,435

 

Strategic Bond

 

 

3,760,701

 

 

157,713

 

 

212,628

 

101


          The Joint Annual Meeting of Shareholders was held on May 23, 2006 for shareholders of record as of February 28, 2006, to elect a certain number of Trustees for each of the following Trusts to three-year terms expiring in 2009:

          Elected the Class I Trustees as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Richard E. Cavanagh

 

R. Glenn Hubbard

 

 

 

 

 

 

 

 

 


 


 

 

 

 

 

 

 

 

 

Votes For

 

Votes Withheld

 

Votes For

 

Votes Withheld

 

 

 

 

 

 

 

 

 


 


 


 


 

 

 

 

 

 

 

High Yield

 

 

5,952,601

 

240,631

 

 

 

5,953,361

 

239,871

 

 

 

 

 

 

 

 

          Elected the Class II Directors/Trustees as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Frank J. Fabozzi

 

Kathleen F. Feldstein

 

Ralph L. Schlosstein

 

 

 


 


 


 

 

 

Votes For

 

Votes Withheld

 

Votes For

 

Votes Withheld

 

Votes For

 

Votes Withheld

 

 

 


 


 


 


 


 


 

Core Bond

 

 

24,846,702

 

295,420

 

 

 

24,858,451

 

283,671

 

 

 

24,861,522

 

280,600

 

 

Income Opportunity

 

 

30,998,611

 

1,320,709

 

 

 

30,946,385

 

1,372,935

 

 

 

30,973,958

 

1,345,362

 

 

Income Trust

 

 

57,527,905

 

1,354,832

 

 

 

57,445,814

 

1,436,923

 

 

 

57,504,994

 

1,377,743

 

 

Strategic Bond

 

 

6,563,416

 

120,207

 

 

 

6,565,086

 

118,537

 

 

 

6,565,891

 

117,732

 

 

          Elected the Class III Directors/Trustees as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Andrew F. Brimmer

 

Kent Dixon

 

Robert S. Kapito

 

 

 


 


 


 

 

 

Votes For

 

Votes Withheld

 

Votes For

 

Votes Withheld

 

Votes For

 

Votes Withheld

 

 

 


 


 


 


 


 


 

Broad Investment Grade

 

 

2,762,104

 

53,009

 

 

 

2,764,286

 

50,827

 

 

 

2,764,186

 

50,927

 

 

Limited Duration

 

 

34,352,553

 

565,108

 

 

 

34,377,362

 

540,299

 

 

 

34,400,110

 

517,551

 

 

          The following Trust had an additional proposal (Proposal #2) to amend its Declaration of Trust to expand the authority of the executive committee of the Board of Trustees:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Votes For

 

Votes Against

 

Votes Withheld

 

 

 

 

 

 

 

 

 

 

 

 


 


 


 

 

 

 

 

 

 

 

 

 

High Yield

 

 

5,851,448

 

204,367

 

 

137,417

 

 

 

 

 

 

 

 

 

 

 

          Each Trust listed for trading on the New York Stock Exchange (“NYSE”) has filed with the NYSE its annual chief executive officer certification regarding compliance with the NYSE’s listing standards and each Trust listed for trading on the American Stock Exchange (“AMEX”) has filed with the AMEX its corporate governance certification regarding compliance with the AMEX’s listing standards. All of the Trusts have filed with the Securities and Exchange Commission the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

          The Trusts do not make available copies of their respective 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 such Trust’s offering and the information contained in each Trust’s Statement of Additional Information may have become outdated.

          During the period, there were no material changes in any Trust’s investment objective or policies or to any Trust’s charters or by-laws that were not approved by the shareholders or in the principle 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 BlackRock’s website, which can be accessed at http://www1.blackrock.com. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended, to incorporate BlackRock’s website into this report.

          Certain of the officers of the Trusts listed on the inside back cover of this Report to Shareholders are also officers of the Advisor or Sub-Advisor. They serve in the following capacities for the Advisor or Sub-Advisor: Robert S. Kapito—Director and Vice Chairman of the Advisor and the Sub-Advisor, Donald Burke, Anne Ackerley, Bartholomew Battista, Vincent Tritto and Brian Kindelan—Managing Directors of the Advisor and the Sub-Advisor, James Kong—Managing Director of the Sub-Advisor.

Important Information Regarding the BlackRock Closed-End Funds Annual Investor Update

          The Annual Investor Update (“Update”) is available on the Internet and may be accessed through BlackRock’s website at http://www1.black-rock.com. The Update provides information on the fixed income markets and summaries of certain BlackRock Closed-End Funds’ investment objectives and strategies. It also contains recent news regarding certain BlackRock Closed-End Funds.

          Historically, BlackRock provided this information in materials mailed with the Trusts’Annual report. However, we believe that making this information available through BlackRock’s website allows us to communicate more fully and efficiently with the Trusts’ shareholders.

          If you would like to receive a hard copy of the BlackRock Closed-End Funds Annual Investor Update, please call (800) 699-1BFM.

102


 

INVESTMENT MANAGEMENT AGREEMENTS


          Under the 1940 Act, the continuation of each Trust’s investment management agreement generally is required to be approved annually by the Boards, including the Independent Trustees. At a meeting held on May 23, 2006, the Board of each Trust, including the Independent Trustees, met to consider the annual continuation of each management agreement in effect prior to such date (the “Old Management Agreements”). The Boards first considered the annual continuation of each Old Management Agreement without considering the impending acquisition by BlackRock, Inc. of the investment management business of Merrill Lynch & Co., Inc. (the “Transaction”) because the Old Management Agreements needed to be reapproved whether or not the Transaction closes. Accordingly, it was appropriate to review each Old Management Agreement without considering the impending Transaction, and then to separately consider the impact of the Transaction on the Old Management Agreements.

          At the meeting on May 23, 2006, the Board of each Trust, including these trustees/directors of each trust who are not interested persons of the Trusts for purposes of the Investment Company Act of 1940, as amended (the “Independent Trustee”), unanimously approved the continuance of each Old Management Agreement for each Trust with a contract considered for renewal and then approved a new management agreement for each Trust to take effect following the completion of the Transaction (the “New Management Agreements”).

Information Received by the Boards

          To assist each Board in its evaluation of the Old Management Agreements, the Independent Trustees received information from BlackRock on or about April 22, 2006, which detailed, among other things: the organization, business lines and capabilities of BlackRock Advisors, LLC (formerly BlackRock Advisors, Inc., “BlackRock”) the sub-advisors, if any, for each trust (collectively, the “Advisors”), including the responsibilities of various departments and key personnel and biographical information relating to key personnel; financial statements for BlackRock, PNC and each Trust; the advisory and/or administrative fees paid by each Trust to the Advisors, including comparisons, compiled by an independent third party, with the management fees of funds with similar investment objectives (“Peers”); the profitability of BlackRock and certain industry profitability analyses for advisors to registered investment companies; the expenses of BlackRock in providing the various services; non-investment advisory reimbursements and “fallout” benefits to BlackRock; the expenses of each Trust, including comparisons of the respective Trust’s expense ratios (both before and after any fee waivers) with the expense ratios of its Peers; and each Trust’s performance for the past one-, three-, five- and ten-year periods, when applicable, and each Trust’s performance compared to its Peers. This information supplemented the information received by each Board throughout the year regarding each Trust’s performance, expense ratios, portfolio composition, trade execution and compliance.

          In addition to the foregoing materials, independent legal counsel to the Independent Trustees provided a legal memorandum outlining, among other things, the duties of each Board under the 1940 Act, as well as the general principles of relevant law in reviewing and approving advisory contracts, the requirements of the 1940 Act in such matters, an advisor’s fiduciary duty with respect to advisory agreements and compensation, and the standards used by courts in determining whether investment company boards of trustees have fulfilled their duties as well as factors to be considered by the boards in voting on advisory agreements.

          The Independent Trustees reviewed this information and discussed it with independent counsel in executive session prior to the Board meeting. At the Board meeting on May 23, 2006, BlackRock made a presentation to and responded to additional questions from the Boards. After the presentations and after additional discussion, each Board considered each Old Management Agreement and, in consultation with independent counsel, reviewed the factors set out in judicial decisions and SEC statements relating to the renewal of the Old Management Agreements.

Matters Considered by the Boards

The Old Management Agreements

          In connection with their deliberations with respect to the Old Management Agreements, the Boards considered all factors they believed relevant with respect to each Trust, including the following: the nature, extent and quality of the services to be provided by the Advisors; the investment performance of each Trust; the costs of the services to be provided and profits to be realized by the Advisors and their affiliates from their relationship with the Trusts; the extent to which economies of scale would be realized as the BlackRock closed-end fund complex grows; and whether BlackRock realizes other benefits from its relationship with the Trusts.

          Nature and Quality of Investment Advisory and Sub-Advisory Services. In evaluating the nature, extent and quality of the Advisors’ services, each Board reviewed information concerning the types of services that the Advisors provide and are expected to provide to each Trust, including narrative and statistical information concerning each Trust’s performance record and how such performance compares to each Trust’s Peers, information describing BlackRock’s organization and its various departments, the experience and responsibilities of key personnel and available resources. The Boards noted the willingness of the personnel of BlackRock to engage in open, candid discussions with the Boards. Each Board further considered the quality of the Advisors’ investment process in making portfolio management decisions. Given the Boards’ experience with BlackRock, the Boards noted that they were familiar with and continue to have a good understanding of the organization, operations and personnel of BlackRock. The Boards also noted that the formation of Portfolio Review Committees and a Compliance Committee had helped each Board to continue to improve their understanding of BlackRock’s organization, operations and personnel.

          In addition to advisory services, the Independent Trustees considered the quality of the administrative or non-investment advisory services provided to the Trusts. In this regard, the Advisors provide each Trust with such administrative and other services (exclusive of, and in addition to, any such services provided by others for the Trusts) and officers and other personnel as are necessary for the operation of the respective Trust. In addition to investment management services, the Advisors and their affiliates provide each Trust with services such as: preparing shareholder reports and communications, including annual and semi-annual financial statements and Trust websites; communications with analysts to support secondary market trading; assisting with daily accounting and pricing; preparing periodic filings with regulators and stock

103


exchanges; overseeing and coordinating the activities of other service providers; administering and organizing Board meetings and preparing the Board materials for such meetings; providing legal and compliance support (such as helping to prepare proxy statements and responding to regulatory inquiries); and performing other Trust administrative tasks necessary for the operation of the respective Trust (such as tax reporting and fulfilling regulatory filing requirements). The Boards considered the Advisors’ policies and procedures for assuring compliance with applicable laws and regulations.

          Investment Performance of the Trusts. As previously noted, the Boards received performance information regarding each Trust and its Peers. Among other things, the Boards received materials reflecting each Trust’s historic performance and each Trust’s performance compared to its Peers. More specifically, each Trust’s one-, three-, five- and ten-year total returns (when applicable) were evaluated relative to its respective Peers (including the performance of individual Peers as well as the Peers’ median performance).

          The Boards reviewed a narrative analysis of the third-party Peer rankings, prepared by BlackRock at the Boards’ request. The summary placed the Peer rankings into context by analyzing various factors that affect these comparisons. In evaluating the performance information, in certain limited instances, the Boards noted that the Peers most similar to a given Trust still would not adequately reflect such Trust’s investment objectives and strategies, thereby limiting the usefulness of the comparisons of such Trust’s performance with that of its Peers.

          With respect to BHK, BNA and BKT, the Boards noted that each of these Trusts had under-performed its benchmark by no more than one of the one-, three- and five-year periods. The Boards further noted the Advisor believes that each of these Trusts may have under-performed their Peers in one of the three periods because they may have a shorter duration than their respective Lipper Peers. In a rising interest rate environment experienced in the one-year period, the Advisor would anticipate that the shorter duration funds would under-perform longer duration funds because the one-year period yield-curve is flattening.

          With respect to each of BHY, BLW and BHD, the Boards noted that each of these Trusts had under-performed its benchmark by no more than one of the one-, three- and five-year periods. The Boards noted that the Advisor believes that each of these entities may have been investing in higher quality debt than their Lipper Peers or their benchmark and that higher quality debt under-performed lower-quality debt during 2005. The Boards noted that BHY had out-performed its benchmark for the one- and three-year periods.

          With respect to BCT, the Board noted that BCT is a Trust with a finite term and that its performance is not comparable to its Peers because its performance is affected by the duration of its portfolio. The duration of BCT’s portfolio is very different from the portfolio duration of funds without a finite life such as the Peers selected by Lipper.

          After considering this information, the Boards concluded that the performance of each Trust, in light of and after considering the other facts and circumstances applicable to each Trust, supports a conclusion that each Trust’s Old Management Agreement should be renewed.

          Fees and Expenses. In evaluating the management fees and expenses that a Trust is expected to bear, the Boards considered each Trust’s management fee structure and the Trust’s expected expense ratios in absolute terms as well as relative to the fees and expense ratios of applicable Peers. In reviewing fees, each Board, among other things, reviewed comparisons of each Trust’s gross management fees before and after any applicable reimbursements and fee waivers and total expense ratios before and after any applicable waivers with those of the applicable Peers. The Boards also reviewed a narrative analysis of the Peer rankings that was prepared by an independent third party and summarized by BlackRock at the request of the Boards. This summary placed the rankings into context by analyzing various factors that affect these comparisons.

          The Boards, noted that, of the seven Trusts with Old Management Agreements subject to annual continuation, BHK, BKT and BLW pay fees lower than or equal to the median fees paid by their Peers in each of (i) contractual management fees payable by a Trust prior to any expense reimbursements or fee waivers (“contractual management fees”), (ii) actual management fees paid by a Trust after taking into consideration expense reimbursements and fee waivers (“actual management fees”) and (iii) total expenses. The remaining four Trusts are worse than the median of their Peers in at least one of (a) contractual management fees, (b) actual management fees or (c) total expenses. The Board noted the following reasons why these four Trusts have contractual or actual management fees or total expenses higher than the median of their Peers:

 

 

 

 

Small Trust. The Board of BCT noted that Trust incurs total expenses that are worse than median of its Peers. The Boards noted that because BCT is small relative to its Peers, the fixed costs associated with operating BCT adversely affects its relative expense ratios. BCT pays contractual and actual management fees that are better than or equal to the median of its Peers.

 

 

 

 

Advisor Incurred Additional Risk. The Board noted that BHY pays actual management fees, incurs total expenses and has contractual management fees worse than the median of its Peers. In this connection, the Board noted that the Advisor incurred substantially greater business risk in connection with the initial offering of BHY’s common shares, as BlackRock reimbursed about $4.3 million in underwriting commissions at the time of BHY’s initial offering.

 

 

 

 

Other Explanation. The Board of BNA noted that it pays actual management fees and incurs total expenses that are better than or equal to the median of its Peers, but that its contractual management fees are worse than the median of its Peers.

 

 

 

 

Fee Waivers. The Board of BHD noted that this Trust has contractual fees that are higher than the median of their respective Peers. Nevertheless, this Trust pays actual management fees and incurs total expenses that are lower than the median, as it has a fee waiver structure in place until 2010.

          The Boards also compared the management fees charged to the Trusts by the Advisors to the management fees the Advisors charge other types of clients (such as open-end investment companies and separately managed institutional accounts). With respect to open-end investment companies, the management fees charged to the Trusts generally were higher than those charged to the open-end investment companies. The Boards also noted that the Advisors provide the Trusts with certain services not provided to open-end funds, such as leverage management in connection with the issuance of preferred shares, stock exchange listing compliance requirements, rating agency compliance with respect to

104


the leverage employed by the Trusts and secondary market support and other services not provided to the Trusts, such as monitoring of subscriptions and redemptions. With respect to separately managed institutional accounts, the management fees for such accounts were generally lower than those charged to the comparable Trusts. The Boards noted, however, the various services that are provided and the costs incurred by the Advisors in managing and operating the Trusts. For instance, the Advisors and their affiliates provide numerous services to the Trusts that are not provided to institutional accounts including, but not limited to: preparing shareholder reports and communications, including annual and semi-annual financial statements; preparing periodic filings with regulators and stock exchanges; overseeing and coordinating the activities of other service providers; administering and organizing Board meetings and preparing the Board materials for such meetings; income monitoring; expense budgeting; preparing proxy statements; and performing other Trust administrative tasks necessary for the operation of the respective Trust (such as tax reporting and fulfilling regulatory filing requirements). Further, the Boards noted the increased compliance requirements for the Trusts in light of new SEC regulations and other legislation. These services are generally not required to the same extent, if at all, for separate accounts.

          In connection with the Boards’ consideration of this information, the Boards reviewed the considerable investment management experience of the Advisors and considered the high level of investment management, administrative and other services provided by the Advisors. In light of these factors and the other facts and circumstances applicable to each Trust, the Boards concluded that the fees paid and expenses incurred by each Trust under its Old Management Agreements supports a conclusion that each Trust’s Old Management Agreements should be renewed.

          Profitability. The Trustees also considered BlackRock’s profitability in conjunction with their review of fees. The Trustees reviewed BlackRock’s revenues, expenses and profitability margins on an after-tax basis. In reviewing profitability, the Trustees recognized that one of the most difficult issues in determining profitability is establishing a method of allocating expenses. The Trustees also reviewed BlackRock’s assumptions and methodology of allocating expenses, noting the inherent limitations in allocating costs among various advisory products. The Boards also recognized that individual fund or product line profitability of other advisors is generally not publicly available.

          The Boards recognized that profitability may be affected by numerous factors including, among other things, the types of funds managed, expense allocations and business mix, and therefore comparability of profitability is somewhat limited. Nevertheless, to the extent available, the Boards considered BlackRock’s pre-tax profit margin compared to the pre-tax profitability of various publicly traded investment management companies and/or investment management companies that publicly disclose some or all of their financial results. The comparison indicated that BlackRock’s pre-tax profitability was in the second quartile of the fifteen companies compared (including BlackRock), with the most profitable quartile being ranked first and the least profitable quartile being ranked fourth.

          In evaluating the reasonableness of the Advisors’ compensation, the Boards also considered any other revenues paid to the Advisors, including partial reimbursements paid to the Advisors for certain non-investment advisory services. The Boards noted that these payments were less than the Advisors’ costs for providing these services. The Boards also considered indirect benefits (such as soft dollar arrangements) that the Advisors and their affiliates are expected to receive that are attributable to their management of the Trusts.

          In reviewing each Trust’s fees and expenses, the Boards examined the potential benefits of economies of scale, and whether any economies of scale should be reflected in the Trusts’ fee structures, for example through the use of breakpoints. In this connection, the Boards reviewed information provided by BlackRock, noting that most closed-end fund complexes do not have fund-level breakpoints, as closed-end funds generally do not experience substantial growth after their initial public offering and each fund is managed independently, consistent with its own investment objectives. The Boards also noted that the one registered closed-end investment company managed by BlackRock has a breakpoint in its fee structure, but that fund that was inherited by BlackRock when it took over managing the fund from another manager and that BlackRock simply retained the structure it inherited. The information also revealed that only one closed-end fund complex used a complex-level breakpoint structure, and that this complex generally is homogeneous with regard to the types of funds managed and is about four times as large as the Trusts’ complex.

          The Boards concluded that BlackRock’s profitability, in light of all the other facts and circumstances applicable to each Trust, supports a conclusion that each Trust’s Old Management Agreements should be renewed.

          Other Benefits. In evaluating fees, the Boards also considered indirect benefits or profits the Advisors or their affiliates may receive as a result of their relationships with the Trusts. The Trustees, including the Independent Trustees, considered the intangible benefits that accrue to the Advisors and their affiliates by virtue of their relationships with the Trusts, including potential benefits accruing to the Advisors and their affiliates as a result of participating in offerings of the Trusts’ shares, potentially stronger relationships with members of the broker-dealer community, increased name recognition of the Advisors and their affiliates, enhanced sales of other investment funds and products sponsored by the Advisors and their affiliates and increased assets under management which may increase the benefits realized by the Advisors from soft dollar arrangements with broker-dealers. The Boards also considered the unquantifiable nature of these potential benefits.

          Miscellaneous. During the Boards’ deliberations in connection with the Old Management Agreements, the Boards were aware that the Advisor pays compensation, out of its own assets, to the lead underwriter and to certain qualifying underwriters of many of its closed-end funds, and to employees of the Advisors’ affiliates that participated in the offering of such funds. The Boards considered whether the management fee met applicable standards in light of the services provided by the Advisors, without regard to whether the Advisors ultimately pay any portion of the anticipated compensation to the underwriters.

          Conclusion with respect to the Old Management Agreements. In reviewing the Old Management Agreements without considering the impending Transaction, the Trustees did not identify any single factor discussed above as all-important or controlling. The Trustees, including the Independent Trustees, unanimously determined that each of the factors described above, in light of all the other factors and all of the facts and circumstances applicable to each respective Trust, was acceptable for each Trust and supported the Trustees’ conclusion that the terms of each Old Management Agreement were fair and reasonable, that the respective Trust’s fees are reasonable in light of the services provided to the respective Trust, and that each Old Management Agreement should be approved.

105


The Transaction

          On September 29, 2006, Merrill Lynch contributed its investment management business, MLIM, to BlackRock, one of the largest publicly traded investment management firms in the United States and the parent company of the Advisor, to form a new asset management company that is one of the world’s preeminent, diversified global money management organizations with approximately $1 trillion in assets under management. Based in New York, BlackRock manages assets for institutional and individual investors worldwide through a variety of equity, fixed income, cash management and alternative investment products. The new company operates under the BlackRock name and is governed by a board of directors with a majority of independent members. The new company offers a full range of equity, fixed income, cash management and alternative investment products with strong representation in both retail and institutional channels, in the United States and in non-U.S. markets. It has over 4,500 employees in 18 countries and a major presence in most key markets, including the United States, the United Kingdom, Asia, Australia, the Middle East and Europe. Merrill Lynch owns no more than 49.8% of the total capital stock of the new company on a fully diluted basis and it owns no more than 45% of the new company’s voting power, and The PNC Financial Services Group, LLC. (“PNC”), which previously held a majority interest in BlackRock, retains approximately 34% of the new company’s common stock. Each of Merrill Lynch and PNC has agreed that it will vote all of its shares on all matters in accordance with the recommendation of BlackRock’s board of directors.

The New Management Agreements

          Consequences of the Transaction. On February 23, 2006, April 21, 2006 and May 23, 2006 members of BlackRock management made presentations on the Transaction to the Trustees and the Trustees discussed with management and amongst themselves management’s general plans and intentions regarding the Trusts, including the preservation, strengthening and growth of BlackRock’s business and its combination with MLIM’s business. The Boards also inquired about the plans for and anticipated roles and responsibilities of certain BlackRock employees and officers after the Transaction. The Independent Trustees also met in executive session to discuss the Transaction. After these meetings, BlackRock continued to update the Boards with respect to its plans to integrate the operations of BlackRock and MLIM and the potential impact of those plans on the Trusts as those plans were further developed.

          At the Board meeting on May 23, 2006, after considering and approving the Old Management Agreements, the Boards (including the Independent Trustees) then considered the information received at or prior to the meeting and the consequences of the Transaction to each Trust, including, among other things:

 

 

 

          (i) that BlackRock, MLIM and their investment advisory subsidiaries are experienced and respected asset management firms, and that BlackRock advised the Boards that in connection with the completion of the Transaction, it intends to take steps to combine the investment management operations of BlackRock and MLIM, which, among other things, may involve sharing common systems and procedures, employees (including portfolio managers), investment and trading platforms, and other resources. Furthermore, these combination processes will result in changes to the portfolio management teams for each of the Trusts;.

 

 

 

          (ii) that BlackRock advised the Boards that following the Transaction, there is not expected to be any diminution in the nature, quality and extent of services provided to the Trusts and their shareholders by the Advisors, including compliance services;

 

 

 

          (iii) that BlackRock advised the Boards that it has no present intention to alter the expense waivers and reimbursements currently in effect for certain of the Trusts;

 

 

 

          (iv) the experience, expertise, resources and performance of MLIM that will be contributed to BlackRock after the closing of the Transaction and their anticipated impact on BlackRock’s ability to manage the Trusts;

 

 

 

          (v) that BlackRock and MLIM would derive benefits from the Transaction and that as a result, they have a financial interest in the matters that were being considered;

 

 

 

          (vi) the potential effects of regulatory restrictions on the Trusts as a result of Merrill Lynch’s equity stake in BlackRock after the Transaction;

 

 

 

          (vii) the fact that each Trust’s aggregate investment advisory and sub-advisory fees payable under the New Management Agreements and the Old Management Agreements are identical;

 

 

 

          (viii) the terms of the New Management Agreements, including the differences from the Old Management Agreements (see “Comparison of Old Management Agreements to the New Management Agreements” above);

 

 

 

          (ix) that the Trusts would not bear the costs of obtaining shareholder approval of the New Management Agreements; and

 

 

 

          (x) that BlackRock and Merrill Lynch have agreed to conduct their respective businesses (and use reasonable best efforts to cause their respective affiliates to conduct their respective businesses) to enable the conditions of Section 15(f) to be true in relation to any registered investment companies advised by MLIM and registered under the 1940 Act and have agreed to the same conduct in relation to the BlackRock registered investment companies to the extent it is determined the Transaction is an assignment under the 1940 Act.

          Nature and Quality of Investment Advisory and Sub-Advisory Services. The Boards considered the expected impact of the Transaction on the operations, facilities, organization and personnel of the Advisors, the potential implications of regulatory restrictions on the Trusts following the Transaction and the ability of the Advisors to perform their duties after the Transaction. The Boards considered that the services to be provided and the standard of care under the New Management Agreements are the same as under the Old Management Agreements. The Boards also considered statements by management of BlackRock that, in connection with integrating the operations of the Advisors and MLIM, the objective was to preserve the best of both organizations in order to enhance BlackRock’s ability to provide investment advisory services following completion of the Transaction.

106


          The Boards noted that it is impossible to predict with certainty the impact of the Transaction on the nature, quality and extent of the services provided by the Advisors to the Trusts, but concluded based on the information currently available and in light of all of the current facts and circumstances, that the Transaction is likely to provide the Advisors with additional resources with which to serve the Trusts and was not expected to adversely affect the nature, quality and extent of the services to be provided to the Trusts and their shareholders by the Advisors and was not expected to materially adversely affect the ability of the Advisors to provide those services.

          The Board considered that BlackRock portfolio managers for the Trusts would remain the same following completion of the Transaction.

          Investment Performance of the Trusts. The Boards examined MLIM’s investment performance with respect to its closed-end funds. The Boards noted the Advisors’ and MLIM’s considerable investment management experience and capabilities. The Boards considered this information together with the level of services expected to be provided to the Trusts. Although the Boards noted that it is impossible to predict the effect, if any, that consummation of the Transaction would have on the future performance of the Trusts, the Boards concluded that the information currently available, in light of all of the current facts and circumstances, supported approving the New Management Agreements.

          Fees. The Boards noted that the fees payable by the Trusts under the New Management Agreements are identical to the fees payable under the Old Management Agreements. The Boards also considered the fees paid by the MLIM closed-end funds. In light of (i) the Boards’ approval of the fees paid by each Trust pursuant to the Old Management Agreements at the May 23, 2006 meeting, (ii) the fact that no change to the fees paid by any Trust was proposed solely as a result of the Transaction, and (iii) the Boards’ earlier conclusion with respect to the services expected to be provided to the Trusts under the New Management Agreements, the Boards concluded that the fee structure under the New Management Agreements was reasonable.

          Profitability. Management of the Advisors stated to the Boards that, following the Transaction, the current intention is to continue to determine profitability and report profitability to the Boards in the same way as they did prior to the Transaction, subject to management’s desire to preserve the best practices of MLIM. Management of the Advisors stated that any changes in the methods used to determine profitability and report profitability to the Boards would be discussed with the Boards. The Boards considered the potential for increased economies of scale as a result of the Transaction and whether any economies of scale should be reflected in the Trusts’ fee structures. The Boards also considered that the process of integrating the operations of the Advisors and MLIM was in the early stages and that considerable expense would be incurred in connection with integrating such operations, all of which made it difficult to conclude that economies of scale would be realized as a result of the Transaction. In light of the foregoing, the Boards concluded that, at this time, no changes were necessary to the fee structure of the Trusts as a result of the Transaction.

          Other Benefits. In evaluating ancillary benefits to be received by the Advisors and their affiliates under the New Management Agreements, the Boards considered whether the Transaction would have an impact on the ancillary benefits received by the Advisor by virtue of the Old Management Agreements. Based on its review of the materials provided, including materials received in connection with its approval of the continuance of each Old Management Agreement earlier at the May 23, 2006 meetings of the Boards and its discussions with the Advisors, the Boards noted that such benefits were difficult to quantify with certainty at this time and indicated that it would continue to evaluate them going forward.

          Conclusion with respect to the New Management Agreements. The Trustees did not identify any single consequence of the Transaction discussed above as all-important or controlling. The Boards determined that all of the factors referred to in their evaluation of the Old Management Agreements described above under “Matters Considered by the Boards – The Old Management Agreements” are applicable to the evaluation of the New Management Agreements and concluded that these factors, in light of all the other factors and all of the facts and circumstances applicable to each Trust, were acceptable for each Trust and supported the Trustees’ conclusion that the terms of each New Management Agreement were fair and reasonable, that the fees in each New Management Agreement are fair and reasonable in light of the services provided to the respective Trust and that each New Management Agreement should be approved.

Shareholder Meeting

          At the shareholder meeting for each Trust held on August 23, 2006, the shareholders of each Trust approved the New Management Agreement for each Trust.

107



 

SECTION 19 NOTICES


          Set forth below is a summary of distributions which required each Trust, if any, to notify shareholders of the type of distributions paid pursuant to Section 19 of the Investment Company Act of 1940. Section 19 requires each Trust to accompany dividend payments with a notice if any part of that payment is from a source other than accumulated net investment income, not including profits or losses from the sale of securities or other properties. These notices are not for tax reporting purposes and were provided only for informational purposes in order to comply with the requirements of Section 19. In January 2007, after the completion of each Trust’s tax year, shareholders will receive a Form 1099-DIV which will reflect the amount of income, capital gain and return of capital paid by the Trust taxable in calendar year 2006 and reportable on your 2006 federal and other income tax returns.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Date of
Distribution

 

Total
Distributions

 

Net Investment
Income

 

Distributions from
proceeds from the
sale of securities

 

Distributions from
return of capital

 

 

 


 


 


 


 


 

Core Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

February 2006

 

 

$

0.07710

 

 

 

$

0.06140

 

 

 

$

 

 

 

$

0.01570

 

 

 

 

 

March 2006

 

 

$

0.07710

 

 

 

$

0.06370

 

 

 

$

 

 

 

$

0.01340

 

 

 

 

 

April 2006

 

 

$

0.07710

 

 

 

$

0.05880

 

 

 

$

 

 

 

$

0.01830

 

 

 

 

 

May 2006

 

 

$

0.07710

 

 

 

$

0.06000

 

 

 

$

 

 

 

$

0.01710

 

 

 

 

 

June 2006

 

 

$

0.06700

 

 

 

$

0.05762

 

 

 

$

 

 

 

$

0.00938

 

 

 

 

 

July 2006

 

 

$

0.06700

 

 

 

$

0.05956

 

 

 

$

 

 

 

$

0.00744

 

 

 

 

 

August 2006

 

 

$

0.06700

 

 

 

$

0.00593

 

 

 

$

0.01814

 

 

 

$

 

 

 

 

 

September 2006

 

 

$

0.06700

 

 

 

$

0.06700

 

 

 

$

 

 

 

$

0.02607

 

 

 

 

 

October 2006

 

 

$

0.06700

 

 

 

$

0.06700

 

 

 

$

 

 

 

$

0.02040

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

High Yield

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

February 2006

 

 

$

0.05533

 

 

 

$

0.05533

 

 

 

$

 

 

 

$

 

 

 

 

 

May 2006

 

 

$

0.05533

 

 

 

$

0.05533

 

 

 

$

 

 

 

$

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income Opportunity

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

May 2006

 

 

$

0.06190

 

 

 

$

0.05870

 

 

 

$

 

 

 

$

0.00320

 

 

 

 

 

June 2006

 

 

$

0.06190

 

 

 

$

0.05765

 

 

 

$

 

 

 

$

0.00425

 

 

 

 

 

July 2006

 

 

$

0.06190

 

 

 

$

0.04811

 

 

 

$

 

 

 

$

0.01379

 

 

 

 

 

August 2006

 

 

$

0.06190

 

 

 

$

0.05342

 

 

 

$

 

 

 

$

0.00848

 

 

 

 

 

September 2006

 

 

$

0.06190

 

 

 

$

0.02780

 

 

 

$

 

 

 

$

0.03410

 

 

 

 

 

October 2006

 

 

$

0.06190

 

 

 

$

0.04744

 

 

 

$

 

 

 

$

0.01446

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income Trust

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

April 2006

 

 

$

0.03679

 

 

 

$

0.03109

 

 

 

$

 

 

 

$

0.00570

 

 

 

 

 

May 2006

 

 

$

0.03679

 

 

 

$

0.03149

 

 

 

$

 

 

 

$

0.00530

 

 

 

 

 

June 2006

 

 

$

0.03679

 

 

 

$

0.02999

 

 

 

$

 

 

 

$

0.00680

 

 

 

 

 

July 2006

 

 

$

0.03679

 

 

 

$

0.00079

 

 

 

$

 

 

 

$

0.03600

 

 

 

 

 

August 2006

 

 

$

0.03679

 

 

 

$

0.03339

 

 

 

$

 

 

 

$

0.00340

 

 

 

 

 

September 2006

 

 

$

0.03100

 

 

 

$

0.00140

 

 

 

$

 

 

 

$

0.02960

 

 

 

 

 

October 2006

 

 

$

0.03100

 

 

 

$

0.02790

 

 

 

$

 

 

 

$

0.00310

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Strategic Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

February 2006

 

 

$

0.08800

 

 

 

$

0.06370

 

 

 

$

 

 

 

$

0.02430

 

 

 

 

 

March 2006

 

 

$

0.08800

 

 

 

$

0.08100

 

 

 

$

 

 

 

$

0.00700

 

 

 

 

 

May 2006

 

 

$

0.08800

 

 

 

$

0.08570

 

 

 

$

 

 

 

$

0.00230

 

 

 

 

 

June 2006

 

 

$

0.08800

 

 

 

$

0.08610

 

 

 

$

 

 

 

$

0.00190

 

 

 

 

 

July 2006

 

 

$

0.08800

 

 

 

$

0.08690

 

 

 

$

 

 

 

$

0.00110

 

 

108


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BlackRock Closed-End Funds

 

Directors/Trustees

Ralph L. Schlosstein, Chairman

Andrew F. Brimmer, Lead Trustee

Richard E. Cavanagh

Kent Dixon

Frank J. Fabozzi

Kathleen Feldstein

R. Glenn Hubbard

Robert S. Kapito

 

Officers

Robert S. Kapito, President

Donald C. Burke, Treasurer

Bartholomew Battista, Chief Compliance Officer

Anne Ackerley, Vice President

Neal Andrews, Assistant Treasurer

Jay Fife, Assistant Treasurer

Spencer Fleming, Assistant Treasurer

James Kong, Assistant Treasurer

Robert Mahar, Assistant Treasurer

Vincent B. Tritto, Secretary

Brian P. Kindelan, Assistant Secretary

 

Investment Advisor

BlackRock Advisors, LLC

100 Bellevue Parkway

Wilmington, DE 19809

(800) 227-7BFM

 

Sub-Advisor1

BlackRock Financial Management, Inc.

40 East 52nd Street

New York, NY 10022

 

Accounting Agent and Custodian

State Street Bank and Trust Company

2 Avenue de Lafayette

Boston, MA 02111

 

Transfer Agent

Computershare Trust Company, N.A.

250 Royall Street

Canton, MA 02021

(800) 699-1BFM

 

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

200 Berkeley Street

Boston, MA 02116

 

Legal Counsel

Skadden, Arps, Slate, Meagher & Flom LLP

4 Times Square

New York, NY 10036

 

Legal Counsel – Independent Directors/Trustees

Debevoise & Plimpton LLP

919 Third Avenue

New York, NY 10022

 

          This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of Trust shares. Statements and other information contained in this report are as dated and are subject to change.

 

BlackRock Closed-End Funds

c/o BlackRock Advisors, LLC

100 Bellevue Parkway

Wilmington, DE 19809

(800) 227-7BFM




 

 

1

For Core Bond, Limited Duration and Strategic Bond.

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 contact the Trusts at (800) 699-1BFM.

The Trusts have delegated to the Advisor the voting of proxies relating to their voting securities pursuant to the Advisor’s proxy voting policies and procedures. You may obtain a copy of these proxy voting policies and procedures, without charge, by calling (800) 699-1BFM. These policies and procedures are also available on the website of the Securities and Exchange Commission (the “Commission”) at http://www.sec.gov.

Information on how proxies relating to the Trusts’ voting securities were voted (if any) by the Advisor during the most recent 12-month period ended June 30th is available without charge, upon request, by calling (800) 699-1BFM or on the website of the Commission at http://www.sec.gov.

The Trusts file their complete schedule of portfolio holdings for the first and third quarters of their respective fiscal years with the Commission on Form N-Q. Each Trust’s Form N-Q will be available on the Commission’s website at http://www.sec.gov. Each Trust’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information regarding the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Each Trust’s Form N-Q may also be obtained, upon request, by calling (800) 699-1BFM.



 

 

This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of Trust shares. Statements and other information contained in this report are as dated and are subject to change.

CEF-ANN-3-1006

(BLACKROCK LOGO)



Item 2. Code of Ethics.
(a)      The Registrant has adopted a code of ethics (the "Code of Ethics") that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.

(b)      Not applicable.

(c)      The Registrant has not amended its Code of Ethics during the period covered by the shareholder report presented in Item 1 hereto.

(d)      The Registrant has not granted a waiver or an implicit waiver from a provision of its Code of Ethics during the period covered by the shareholder report presented in Item 1 hereto.

(e)      Not applicable.

(f)      The Registrant's Code of Ethics is available without charge at www.blackrock.com.

Item 3. Audit Committee Financial Expert.
The Registrant's Board of Trustees has determined that it has three audit committee financial experts serving on its audit committee, each of whom is an "independent" Trustee: Dr. Andrew F. Brimmer, Kent Dixon and Frank Fabozzi. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification. Dr. Brimmer retired from the Board of Trustees as of December 31, 2006.

Item 4. Principal Accountant Fees and Services.
(a) Audit Fees. The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the Registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were $37,000 for the fiscal year ended October 31, 2006 and $39,100 for the fiscal year ended October 31, 2005.


(b)      Audit-Related Fees. The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported above in Item 4(a) were $0 for the fiscal year ended October 31, 2006 and $0 for the fiscal year ended October 31, 2005. The nature of the service includes assurance and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees.

(c)      Tax Fees. The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice and tax planning were $8,000 for the fiscal year ended October 31, 2006 and $7,500 for the fiscal year ended October 31, 2005. The nature of these services was federal, state and local income and excise tax return preparation and related advice and planning and miscellaneous tax advice.

(d)      All Other Fees. The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported above in Items 4(a) through (c) were $4,700 for the fiscal year ended October 31, 2006 and $4,700 for the fiscal year ended October 31, 2005. The nature of the service includes a review of compliance procedures and provided an attestation regarding such review.

(e)      Audit Committee Pre-Approval Policies and Procedures.

          (1) The Registrant has polices and procedures (the "Policy") for the pre-approval by the Registrant's Audit Committee of Audit, Audit-Related, Tax and Other Services (as each is defined in the Policy) provided by the Trust's independent auditor (the "Independent Auditor") to the Registrant and other "Covered Entities" (as defined below). The term of any such pre-approval is 12 months from the date of pre-approval, unless the Audit Committee specifically provides for a different period. The amount of any such pre-approval is set forth in the appendices to the Policy (the "Service Pre-Approval Documents"). At its first meeting of each calendar year, the Audit Committee will review and re-approve the Policy and approve or re-approve the Service Pre-Approval Documents for that year, together with any changes deemed necessary or desirable by the Audit Committee. The Audit Committee may, from time to time, modify the nature of the services pre-approved, the aggregate level of fees pre-approved or both.

          For the purposes of the Policy, "Covered Services" means (A) all engagements for audit and non-audit services to be provided by the Independent Auditor to the Trust and (B) all engagements for non-audit services related directly to the operations and financial reporting or the Trust to be provided by the Independent Auditor to any Covered Entity, "Covered Entities" means (1) the Advisor or (2) any entity controlling, controlled by or under common control with the Advisor that provides ongoing services to the Trust.

          In the intervals between the scheduled meetings of the Audit Committee, the Audit Committee delegates pre-approval authority under this Policy to the Chairman of the Audit Committee (the "Chairman"). The Chairman shall report any pre-approval decisions under this Policy to the Audit Committee at its next scheduled meeting. At each


scheduled meeting, the Audit Committee will review with the Independent Auditor the Covered Services pre-approved by the Chairman pursuant to delegated authority, if any, and the fees related thereto. Based on these reviews, the Audit Committee can modify, at its discretion, the pre-approval originally granted by the Chairman pursuant to delegated authority. This modification can be to the nature of services pre-approved, the aggregate level of fees approved, or both. Pre-approval of Covered Services by the Chairman pursuant to delegated authority is expected to be the exception rather than the rule and the Audit Committee may modify or withdraw this delegated authority at any time the Audit Committee determines that it is appropriate to do so.

          Fee levels for all Covered Services to be provided by the Independent Auditor and pre-approved under this Policy will be established annually by the Audit Committee and set forth in the Service Pre-Approval Documents. Any increase in pre-approved fee levels will require specific pre-approval by the Audit Committee (or the Chairman pursuant to delegated authority).

          The terms and fees of the annual Audit services engagement for the Trust are subject to the specific pre-approval of the Audit Committee. The Audit Committee (or the Chairman pursuant to delegated authority) will approve, if necessary, any changes in terms, conditions or fees resulting from changes in audit scope, Trust structure or other matters.

          In addition to the annual Audit services engagement specifically approved by the Audit Committee, any other Audit services for the Trust not listed in the Service Pre-Approval Document for the respective period must be specifically pre-approved by the Audit Committee (or the Chairman pursuant to delegated authority).

          Audit-Related services are assurance and related services that are not required for the audit, but are reasonably related to the performance of the audit or review of the financial statements of the Registrant and, to the extent they are Covered Services, the other Covered Entities (as defined in the Joint Audit Committee Charter) or that are traditionally performed by the Independent Auditor. Audit-Related services that are Covered Services and are not listed in the Service Pre-Approval Document for the respective period must be specifically pre-approved by the Audit Committee (or the Chairman pursuant to delegated authority).

          The Audit Committee believes that the Independent Auditor can provide Tax services to the Covered Entities such as tax compliance, tax planning and tax advice without impairing the auditor’s independence. However, the Audit Committee will not permit the retention of the Independent Auditor in connection with a transaction initially recommended by the Independent Auditor, the sole business purpose of which may be tax avoidance and the tax treatment of which may not be supported in the Internal Revenue Code and related regulations. Tax services that are Covered Services and are not listed in the Service Pre-Approval Document for the respective period must be specifically pre-approved by the Audit Committee (or the Chairman pursuant to delegated authority).

          All Other services that are covered and are not listed in the Service Pre-Approval Document for the respective period must be specifically pre-approved by the Audit Committee (or the Chairman pursuant to delegated authority).

          Requests or applications to provide Covered Services that require approval by the Audit Committee (or the Chairman pursuant to delegated authority) must be submitted to the Audit Committee or the Chairman, as the case may be, by both the Independent


Auditor and the Chief Financial Officer of the respective Covered Entity, and must include a joint statement as to whether, in their view, (a) the request or application is consistent with the rules of the Securities and Exchange Commission ("SEC") on auditor independence and (b) the requested service is or is not a non-audit service prohibited by the SEC. A request or application submitted to the Chairman between scheduled meetings of the Audit Committee should include a discussion as to why approval is being sought prior to the next regularly scheduled meeting of the Audit Committee.

          (2) None of the services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f)       Not applicable.

(g)      The aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, the Registrant’s investment advisrr (except for any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) or any entity controlling, controlled by, or under common control with the Registrant’s investment adviser that provides ongoing services to the Registrant for each of the last two fiscal years were $286,200 for the fiscal year ended October 31, 2006 and $286,200 for the fiscal year ended October 31, 2005.

(h)      The Registrant's Audit Committee of the Board of Trustees has considered whether the provision of non-audit services that were rendered to the Registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant 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.
The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. The Audit Committee of the Registrant is comprised of: Dr. Andrew F. Brimmer; Richard E. Cavanagh; Kent Dixon and Frank J. Fabozzi. Dr. Brimmer retired from the Board of Trustees as of December 31, 2006.

Item 6. Schedule of Investments.
The Registrant’s Schedule of Investments is included as part of the Report to Shareholders filed under Item 1 of this Form.


Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
The Registrant has delegated the voting of proxies relating to its voting securities to its investment advisor, BlackRock Advisors, LLC (the "Advisor"), and its sub-advisor, BlackRock Financial Management, Inc. (the "Sub-Advisor"). The Proxy Voting Policies and Procedures of the Advisor and Sub-Advisor (the "Proxy Voting Policies") are attached as an Exhibit 99.PROXYPOL hereto.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

 

(a)(1) BlackRock’s fund management team involved with the Registrant is led by a team of investment professionals, including the following individuals who have day-to-day responsibility: Scott Amero and Jeff Gary.

Scott Amero, Managing Director, is co-head of BlackRock's fixed income portfolio management team, a member of the Management Committee and co-chair of the Fixed Income Investment Strategy Group. Mr. Amero is a senior strategist and portfolio manager with responsibility for overseeing all fixed income sector strategy and the overall management of client portfolios. He is also the head of global fixed income research. In addition, he is a director of Anthracite Capital, Inc., BlackRock's publicly-traded real estate investment trust. Mr Amero joined BlackRock in 1990.

Jeff Gary, CPA, Managing Director and portfolio manager, is head of BlackRock's high yield team within the Fixed Income Portfolio Management Group. Prior to joining BlackRock in 2003, Mr. Gary was a Managing Director and portfolio manager with AIG (American General) Investment Group.

(a)(2) As of October 31, 2006, Scott Amero managed or was a member of the management team for the following client accounts:

 


Type of Account

Number of Accounts

Assets of
Accounts

Number of
Accounts Subject
to a Performance
Fee

Assets Subject to
a Performance
Fee


Registered Investment Companies

29

$13,827,835,797

0

0


Pooled Investment Vehicles Other Than Registered Investment Companies

38

$7,714,636,227

8

$1,609,318,115


Other Accounts

309

$110,875,850,007

24

$7,791,436,751




As of October 31, 2006, Jeff Gary managed or was a member of the management team for the following client accounts:

 


Type of Account

Number of
Accounts

Assets of
Accounts

Number of
Accounts Subject
to a Performance
Fee

Assets Subject to
a Performance
Fee


Registered Investment Companies

18

$6,404,343,366

0

0


Pooled Investment Vehicles Other Than Registered Investment Companies

6

$5,551,926,709

5

$1,320,262,421


Other Accounts

28

$4,283,255,801

9

$1,672,666,508



          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 Registrant, 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 Registrant. In addition, BlackRock, its affiliates and any officer, director, stockholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Registrant. BlackRock, or any of its affiliates, or any officer, director, stockholder, employee or any member of their families may take different actions than those recommended to the Registrant 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’) officers, directors or employees are directors or officers, or companies as to which BlackRock or any of its affiliates or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Each portfolio manager also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for the Registrant. In this connection, it should be noted that portfolio management team may manage certain accounts that are subject to performance fees. In addition, the portfolio management team may assist in managing certain hedge funds and may be entitled to receive a portion of any incentive fees earned such funds and a portion of such incentive fees may be voluntarily or involuntarily deferred. Additional portfolio managers may in the future manage other such accounts or funds and may be entitled to receive incentive fees.


          As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock has adopted a policy that is intended to ensure that investment opportunities are allocated fairly and equitably among client accounts over time. This policy also seeks to achieve reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base.

(a)(3) 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 discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock such as its Long-Term Retention and Incentive Plan and Restricted Stock Program.

          Base compensation. Generally, portfolio managers receive base compensation based on their seniority and/or their position with the firm.

          Discretionary compensation. In addition to base compensation, portfolio managers may receive discretionary compensation, which can be a substantial portion of total compensation. Discretionary compensation can include a discretionary cash bonus as well as one or more of the following:

          Long-Term Retention and Incentive Plan (LTIP) —The LTIP is a long-term incentive plan that seeks to reward certain key employees. The plan provides for the grant of awards that are expressed as an amount of cash that, if properly vested and subject to the attainment of certain performance goals, will be settled in cash and/or in BlackRock, Inc. common stock.

          Deferred Compensation Program —A portion of the compensation paid to each portfolio manager may be voluntarily deferred by the portfolio manager into an account that tracks the performance of certain of the firm’s investment products. Each portfolio manager is permitted to allocate his deferred amounts among various options, including to certain of the firm’s hedge funds and other unregistered products. In addition, prior to 2005, a portion of the annual compensation of certain senior managers was mandatorily deferred in a similar manner for a number of years. Beginning in 2005, a portion of the annual compensation of certain senior managers was paid in the form of BlackRock, Inc. restricted stock units which vest ratably over a number of years.

          Options and Restricted Stock Awards —While incentive stock options are not currently being awarded to BlackRock employees, BlackRock, Inc. previously granted


stock options to key employees, including certain portfolio managers who may still hold unexercised or unvested options. BlackRock, Inc. also has a restricted stock award program designed to reward certain key employees as an incentive to contribute to the long-term success of BlackRock. These awards vest over a period of years.

          Incentive Savings Plans —BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock employees are eligible to participate, including an Employee Stock Purchase Plan (ESPP) and a 401(k) plan. The 401(k) plan may involve a company match of the 50% employee’s pre-tax contribution of up to 6% of the employee’s salary, limited to $4,000 per year. BlackRock also offers a Company Retirement Contribution equal to 3% to 5% of eligible compensation, depending on BlackRock, Inc.’s overall net operating income. The company match is made in cash. The firm’s 401(k) plan offers a range of investment options, including registered investment companies managed by the firm. Each portfolio manager is eligible to participate in these plans.

          Annual incentive compensation for each portfolio manager 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 and income generation, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s teamwork and contribution to the overall performance of these portfolios and BlackRock. Unlike many other firms, portfolio managers at BlackRock compete against benchmarks rather than each other. In most cases, including for the portfolio managers of the Registrant, these benchmarks are the same as the benchmark or benchmarks against which the investment performance, including risk-adjusted returns and income generation, of the Registrant or other accounts are measured. These benchmarks include customized benchmarks, Lipper peer groups and a subset of other closed-end taxable debt funds. A group of BlackRock, Inc.’s officers determines which benchmarks against which to compare the performance of funds and other accounts managed by each portfolio manager. With respect to the Registrant, such benchmarks include Customized Index and standard list.

          The group of BlackRock, Inc.’s officers then makes a subjective determination with respect to the portfolio manager’s compensation based on the performance of the funds and other accounts managed by each portfolio manager relative to the various benchmarks. This determination may take into consideration the fact that a benchmark may not perfectly correlate to the way the Registrant or other accounts are managed, even if it is the benchmark that is most appropriate for the Registrant or other account. For example, a benchmark’s return may be based on the total return of the securities comprising the benchmark, but the Registrant or other account may be managed to maximize income and not total return. Senior portfolio managers who perform additional management functions within BlackRock may receive additional compensation for serving in these other capacities.


(a)(4) As of October 31, 2006, the end of the Registrant’s most recently completed fiscal year, the dollar range of securities beneficially owned by each portfolio manager in the Registrant is shown below:

Scott Amero: $10,001-$50,000
Jeff Gary: None

(b) Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Companies and Affiliated Purchasers.
Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.
The Registrant’s Governance Committee will consider nominees to the Board of Trustees recommended by shareholders when a vacancy becomes available. Shareholders who wish to recommend a nominee should send nominations which include biographical information and sets forth the qualifications of the proposed nominee to the Registrant’s Secretary. There have been no material changes to these procedures.

Item 11. Controls and Procedures.
(a) The Registrant's principal executive officer and principal financial officer have evaluated the Registrant's disclosure controls and procedures within 90 days of this filing and have concluded, as of that date, that the Registrant’s disclosure controls and procedures were reasonably designed to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized, and reported within the required time periods and that information required to be disclosed by the Registrant in this Form N-CSR was accumulated and communicated to the Registrant’s management, including its principle executive and principle financial officers, as appropriate to allow timely decisions regarding required disclosure.

(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 (17 CFR 270.30a -3(d)) that occurred during the Registrant's fourth fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.

Item 12. Exhibits.

(a) (2) Certifications of Principal Executive and Financial Officers pursuant to Rule 30a-2(a) under the 1940 Act attached as EX-99.CERT.

(b) Certification of Principal Executive and Financial Officers pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 furnished as EX-99.906CERT.

Proxy Voting Policies attached as EX-99.PROXYPOL.


SIGNATURES

          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.

(Registrant)     BlackRock Limited Duration Income Trust                    

By:     /s/ Donald C. Burke               
Name: Donald C. Burke
Title:    Treasurer and Principal Financial Officer
Date: January 12, 2007

          Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By:     /s/ Robert S. Kapito               
Name: Robert S. Kapito
Title:    President and Principal Executive Officer
Date: January 12, 2007

By:     /s/ Donald C. Burke               

Name: Donald C. Burke
Title:    Treasurer and Principal Financial Officer
Date: January 12, 2007