Edgar Filing: BLACKROCK INCOME TRUST INC.

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 811-05542

Name of Fund: BlackRock Income Trust, Inc. (BKT)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Income Trust, Inc., 55 East 52^nd Street, New York, NY 10055

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

Date of fiscal year end: 08/31/2012

Date of reporting period: 08/31/2012

Item 1 – Report to Stockholders


	August 31, 2012


	Annual Report

	BlackRock Core Bond Trust (BHK)

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

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

	BlackRock High Income Shares (HIS)

	BlackRock High Yield Trust (BHY)

	BlackRock Income Opportunity Trust, Inc. (BNA)

	BlackRock Income Trust, Inc. (BKT)

	BlackRock Strategic Bond Trust (BHD)


Not FDIC Insured § No Bank Guarantee § May Lose Value

Table of Contents


	Page

Dear Shareholder	3
Annual Report:
Trust Summaries	4
The Benefits and Risks of Leveraging	20
Derivative Financial Instruments	20
Financial Statements:
Schedules of Investments	21
Statements of Assets and Liabilities	110
Statements of Operations	114
Statements of Changes in Net Assets	116
Statements of Cash Flows	118
Financial Highlights	120
Notes to Financial Statements	127
Report of Independent Registered Public Accounting Firm	143
Important Tax Information	143
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements	144
Automatic Dividend Reinvestment Plans	148
Officers and Trustees	149
Additional Information	152



2	ANNUAL REPORT	AUGUST 31, 2012

Dear Shareholder

About this time one year ago, financial markets had been upended by sovereign debt turmoil in the United States and Europe as well as growing concerns about the future of the global economy. Since then, asset prices have waxed and waned in broad strokes as investors reacted to developments in Europe’s financial situation, mixed US economic news and global central bank policy action.

After confidence crumbled in the third quarter of 2011, October brought improving economic data and more concerted efforts among European leaders toward stemming the region’s debt crisis, gradually drawing investors back to the markets. Improving sentiment carried over into early 2012 as investors felt some relief from the world’s financial woes. Volatility abated and risk assets (including stocks, commodities and high yield bonds) moved boldly higher through the first two months of 2012 while climbing Treasury yields pressured higher-quality fixed income assets.

Markets reversed course in the spring when Europe’s debt problems boiled over once again. High levels of volatility returned as political instability in Greece threatened the country’s membership in the euro zone. Spain faced severe deficit issues while the nation’s banks clamored for liquidity. Yields on Spanish and Italian government debt rose to levels deemed unsustainable. European leaders conferred and debated vehemently over the need for fiscal integration among the 17 nations comprising the euro currency bloc as a means to resolve the crisis for the long term.

Alongside the drama in Europe, investors were discouraged by gloomy economic reports from various parts of the world. A slowdown in China, a key powerhouse for global growth, became particularly worrisome. In the United States, disappointing jobs reports dealt a crushing blow to sentiment. Risk assets sold off in the second quarter as investors again retreated to safe haven assets.

Despite the continuation of heightened market volatility, most asset classes enjoyed a robust summer rally. Global economic data continued to be mixed, but the spate of downside surprises seen in the second quarter began to recede and, outside of Europe, the risk of recession largely subsided. Central bank policy action has been a major driver of market sentiment in 2012. Investors’ anticipation for economic stimulus drove asset prices higher over the summer as the European Central Bank stepped up its efforts to support the region’s troubled nations and the US Federal Reserve reiterated its readiness to take action if economic conditions warrant.

On the whole, most asset classes advanced during the reporting period. US large cap stocks delivered strong returns for the 12 months ended August 31, 2012, while small cap stocks and high yield bonds also performed well. Despite the risk-asset rally in recent months, higher-quality investments including tax-exempt municipal bonds and US Treasury bonds posted exceptional gains by historical standards and outperformed investment-grade corporate bonds. International and emerging equities, however, lagged other asset classes amid ongoing global uncertainty. Near-zero short term interest rates kept yields on money market securities near their all-time lows.

We know that investors continue to face a world of uncertainty and volatile markets, but we also believe these challenging times present many opportunities. We remain committed to working with you and your financial professional to identify actionable ideas for your portfolio. We encourage you to visit www.blackrock.com/newworld for more information.

Sincerely,

-s- Rob kapito

Rob Kapito

President, BlackRock Advisors, LLC

(PHOTO)

“We know that investors continue to face a world of uncertainty and volatile markets, but we also believe these challenging times present many opportunities.”

Rob Kapito

President, BlackRock Advisors, LLC

Total Returns as of August 31, 2012


	6-month			12-month
US large cap equities (S&P 500^®Index)		4.14	%		18.00	%
US small cap equities (Russell 2000^®Index)		0.89			13.40
International equities (MSCI Europe, Australasia, Far East Index)		(4.00	)		(0.04	)
Emerging market equities (MSCI Emerging Markets Index)		(10.51	)		(5.80	)
3-month Treasury bill (BofA Merrill Lynch 3-Month US Treasury Bill Index)		0.06			0.06
US Treasury securities (BofA Merrill Lynch 10- Year US Treasury Index)		5.25			9.14
US investment grade bonds (Barclays US Aggregate Bond Index)		2.97			5.78
Tax-exempt municipal bonds (S&P Municipal Bond Index)		3.24			9.37
US high yield bonds (Barclays US Corporate High Yield 2% Issuer Capped Index)		4.80			13.84

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



	THIS PAGE NOT PART OF YOUR FUND REPORT	3



Trust Summary as of August 31, 2012	BlackRock Core Bond Trust

Investment Objective

BlackRock Core Bond Trust’s (BHK) (the “Trust”) investment objective is to provide current income and capital appreciation. The Trust seeks to achieve its investment objective by investing at least 75% of its assets in bonds that are investment grade quality at the time of investment. The Trust’s investments will include a broad range of bonds, including corporate bonds, US government and agency securities and mortgage-related securities. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

Portfolio Management Commentary


	How did the Trust perform?

•	For the 12-month period ended August 31, 2012, the Trust returned 28.78% based on market price and 17.06% based on net asset value (“NAV”). For the same period, the closed-end Lipper Corporate BBB-Rated Debt Funds (Leveraged) category posted an average return of 20.04% based on market price and 14.26% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

	What factors influenced performance?

•	Concerns over US economic growth potential, political uncertainty and sover-eign debt problems abroad drove investors to safe assets during the majority of the reporting period. Therefore, the Trust’s increased use of leverage to purchase a broad, diversified basket of high-quality assets and an overall long duration profile proved beneficial as interest rates touched new lows during the period.

•	Spread sectors outperformed government-related debt for the twelve-month period as persistently low interest rates drove strong investor demand for higher-yielding assets. Spread sectors were also buoyed by supportive US and European monetary policy action as well as continued improvement in US underlying credit fundamentals. As a result, the Trust benefited from its sector allocations to high yield and investment grade corporate credit. The Trust also benefited from exposure to securitized assets such as commercial mortgage-backed securities (“CMBS”) and non-agency residential mortgage-backed securities (“MBS”). In particular, the Trust favored higher-quality multi-family CMBS, which performed well due to strong demand for rental housing.

•	The Trust’s duration stance modestly detracted from performance during a brief period of rising interest rates in the first quarter of 2012. However, the Trust’s longer duration at that time did not represent a tactical stance, rather it was a result of the Trust’s leveraged exposure to credit spread sectors to generate an attractive level of income. The net result of the Trust’s duration positioning remains positive for the reporting period as a whole.

	Describe recent portfolio activity.

•	Investor risk aversion began to wane as the European Central Bank’s long-term refinancing operation program alleviated liquidity risk in the euro zone toward the end of 2011. The Trust increased duration to take advantage of low borrowing costs and gain additional exposure to higher-yielding credit spread sectors. Within investment grade credit, the Trust increased exposure to utilities given their attractive valuation relative to industrial names. The Trust also increased its diversified exposure to financial names in banking and insurance both in the United States and Europe. Toward period end, the Trust added exposure to European securitized credit in the form of United Kingdom residential MBS.

	Describe portfolio positioning at period end.

•	At period end, the Trust maintained a diversified exposure to non-government spread sectors, including investment grade credit, high yield corporate credit, CMBS, asset-backed securities and non-agency residential MBS. The Trust also held allocations to government-related sectors such as US Treasuries, agency debt and agency MBS. The Trust ended the reporting period with a long duration profile.

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



4	ANNUAL REPORT	AUGUST 31, 2012

BlackRock Core Bond Trust

Trust Information


Symbol on New York Stock Exchange (“NYSE”)	BHK
Initial Offering Date	November 27, 2001
Yield on Closing Market Price as of August 31, 2012 ($15.41)¹		5.68%
Current Monthly Distribution per Common Share²	$	0.073
Current Annualized Distribution per Common Share²	$	0.876
Economic Leverage as of August 31, 2012³		31%


	¹	Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

	²	The distribution rate is not constant and is subject to change.

	³	Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

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


	8/31/12		8/31/11		Change			High		Low
Market Price	$	15.41	$	12.69		21.43	%	$	15.46	$	12.59
Net Asset Value	$	15.21	$	13.78		10.38	%	$	15.24	$	13.65

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

Portfolio Composition


	8/31/12			8/31/11
Corporate Bonds		52	%		52	%
US Treasury Obligations		14			16
US Government Sponsored Agency Securities		13			13
Non-Agency Mortgage-Backed Securities		11			12
Asset-Backed Securities		5			4
Taxable Municipal Bonds		2			1
Preferred Securities		2			1
Foreign Agency Obligations		1			1

Credit Quality Allocations⁴


	8/31/12			8/31/11
AAA/Aaa⁵		36	%		40	%
AA/Aa		3			8
A		20			17
BBB/Baa		23			16
BB/Ba		7			6
B		9			11
CCC/Caa		2			2


⁴	Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investors Service (“Moody’s”) ratings.

⁵	Includes US Government Sponsored Agency Securities, which were deemed AAA/Aaa by the investment advisor.



ANNUAL REPORT	AUGUST 31, 2012	5



Trust Summary as of August 31, 2012	BlackRock Corporate High Yield Fund V, Inc.

Investment Objective

BlackRock Corporate High Yield Fund V, Inc.’s (HYV) (the “Trust”) investment objective is to provide shareholders with current income by investing primarily in a diversified portfolio of fixed income securities that are rated in the lower rating categories of the established rating services (BB or lower by S&P or Ba or lower by Moody’s) or in unrated securities considered by the Trust’s investment adviser to be of comparable quality. The Trust also seeks to provide shareholders with capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its assets in domestic and foreign high yield debt instruments, including high yield bonds (commonly referred to as “junk” bonds) and high yield corporate loans which are below investment grade quality. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

Portfolio Management Commentary


	How did the Trust perform?

•	For the 12-month period ended August 31, 2012, the Trust returned 27.88% based on market price and 17.92% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 22.72% based on market price and 16.49% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

	What factors influenced performance?

•	Security selection among high yield bonds in the middle and upper credit quality tiers had a positive impact on performance. From a sector perspective, selection within non-captive diversified financials, consumer services and food & beverages contributed positively. The Trust’s exposure to common stock and select equity-correlated instruments also boosted returns.

•	Conversely, security selection among non-rated securities detracted from performance. On a sector basis, selection within independent energy, non-cable media and paper had a negative impact on returns. The Trust’s allocation to bank loans also hindered performance as the asset class underperformed relative to the high yield market in the risk asset rally.

	Describe recent portfolio activity.

•	The 12-month period began with severe market volatility in reaction to head-winds from Europe’s debt crisis and a possible US government shut-down. However, the environment shifted in December when the European Central Bank announced its program of long-term refinancing operations. As financial market conditions improved, the Trust selectively added back some risk in names with appealing risk-reward characteristics. Over the first eight months of 2012, the high yield market surged, prompting the Trust to moderate its risk profile. The Trust’s view on high yield remained positive throughout this period; however, as valuations paced higher, the Trust became increasingly focused on higher-quality, income-oriented credit names with stable fundamentals and an attractive coupon rate, since the potential for price appreciation had largely diminished. Given global growth concerns posing a persistent threat and fueling uncertainty, the Trust continued to favor issuers in mature industries that exhibit consistent cash flows and good earnings visibility and debt instruments that are backed by profitable assets. The Trust generally remained cautious of cyclical credits that tend to be more vulnerable to slower economic growth and/or macroeconomic weakness.

	Describe portfolio positioning at period end.

•	At period end, the Trust held 74% of its total portfolio in corporate bonds and 17% in floating rate loan interests (bank loans), with the remainder in common stocks, preferred stocks, other interests and asset-backed securities. The Trust’s largest sector exposures included non-cable media, health care and chemicals, while its portfolio holdings reflected less emphasis on the riskier, more cyclical segments of the market such as banking, home construction and restaurants. The Trust ended the period with economic leverage at 30% of its total managed assets.

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



6	ANNUAL REPORT	AUGUST 31, 2012



	BlackRock Corporate High Yield Fund V, Inc.


Trust Information
Symbol on NYSE		HYV
Initial Offering Date		November 30, 2001
Yield on Closing Market Price as of August 31, 2012 ($13.51)¹		7.99%
Current Monthly Distribution per Common Share²		$0.09
Current Annualized Distribution per Common Share²		$1.08
Economic Leverage as of August 31, 2012³		30%


	¹	Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

	²	The distribution rate is not constant and is subject to change.

	³	Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

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


	8/31/12	8/31/11	Change	High	Low
Market Price	$ 13.51	$ 11.55	16.97%	$ 13.58	$ 10.13
Net Asset Value	$ 12.63	$ 11.71	7.86%	$ 12.63	$ 10.91

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


Portfolio Composition

	8/31/12		8/31/11
Corporate Bonds	75	%	79	%
Floating Rate Loan Interests	17		13
Common Stocks	6		3
Preferred Stocks	2		2
Other Interests	—		3


Credit Quality Allocations⁴

	8/31/12		8/31/11
A	1	%	—
BBB/Baa	6		7	%
BB/Ba	35		34
B	43		45
CCC/Caa	13		11
D	—		1
Not Rated	2		2


	⁴	Using the higher of S&P’s or Moody’s ratings.




ANNUAL REPORT	AUGUST 31, 2012	7



Trust Summary as of August 31, 2012	BlackRock Corporate High Yield Fund VI, Inc.

Investment Objective

BlackRock Corporate High Yield Fund VI, Inc.’s (HYT) (the “Trust”) primary investment objective is to provide shareholders with current income. The Trust’s secondary investment objective is to provide shareholders with capital appreciation. The Trust seeks to achieve its objectives by investing, under normal market conditions, at least 80% of its assets in domestic and foreign high yield securities, including high yield bonds (commonly referred to as “junk” bonds), corporate loans, convertible debt securities and preferred securities which are below investment grade quality. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

Portfolio Management Commentary


	How did the Trust perform?

•	For the 12-month period ended August 31, 2012, the Trust returned 26.30% based on market price and 17.14% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 22.72% based on market price and 16.49% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

	What factors influenced performance?

•	Security selection among high yield bonds in the middle and upper credit quality tiers had a positive impact on performance. From a sector perspective, selection within non-captive diversified financials, consumer services and food & beverages contributed positively. The Trust’s exposure to common stock and select equity-correlated instruments also boosted returns.

•	Conversely, security selection among non-rated securities detracted from performance. On a sector basis, selection within independent energy, non-cable media and paper had a negative impact on returns. The Trust’s allocation to bank loans also hindered performance as the asset class underperformed relative to the high yield market in the risk asset rally.

	Describe recent portfolio activity.

•	The 12-month period began with severe market volatility in reaction to head- winds from Europe’s debt crisis and a possible US government shut-down. However, the environment shifted in December when the European Central Bank announced its program of long-term refinancing operations. As financial market conditions improved, the Trust selectively added back some risk in names with appealing risk-reward characteristics. Over the first eight months of 2012, the high yield market surged, prompting the Trust to moderate its risk profile. The Trust’s view on high yield remained positive throughout this period; however, as valuations paced higher, the Trust became increasingly focused on higher-quality, income-oriented credit names with stable fundamentals and an attractive coupon rate, since the potential for price appreciation had largely diminished. Given global growth concerns posing a persistent threat and fueling uncertainty, the Trust continued to favor issuers in mature industries that exhibit consistent cash flows and good earnings visibility and debt instruments that are backed by profitable assets. The Trust generally remained cautious of cyclical credits that tend to be more vulnerable to slower economic growth and/or macroeconomic weakness.

	Describe portfolio positioning at period end.

•	At period end, the Trust held 75% of its total portfolio in corporate bonds and 17% in floating rate loan interests (bank loans), with the remainder in common stocks, preferred stocks and other interests. The Trust’s largest sector exposures included non-cable media, health care and chemicals, while its portfolio holdings reflected less emphasis on the riskier, more cyclical segments of the market such as banking, home construction and restaurants. The Trust ended the period with economic leverage at 29% of its total managed assets.



8	ANNUAL REPORT	AUGUST 31, 2012



	BlackRock Corporate High Yield Fund VI, Inc.


Trust Information

Symbol on NYSE		HYT
Initial Offering Date		May 30, 2003
Yield on Closing Market Price as of August 31, 2012 ($12.96)¹		8.10%
Current Monthly Distribution per Common Share²		$0.0875
Current Annualized Distribution per Common Share²		$1.0500
Economic Leverage as of August 31, 2012³		29%


	¹	Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

	²	The distribution rate is not constant and is subject to change.

	³	Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

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


	8/31/12	8/31/11	Change	High	Low

Market Price	$ 12.96	$ 11.21	15.61%	$ 13.14	$ 9.95
Net Asset Value	$ 12.32	$ 11.49	7.22%	$ 12.32	$ 10.72

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


Portfolio Composition

	8/31/12		8/31/11
Corporate Bonds	75	%	79	%
Floating Rate Loan Interests	17		13
Common Stocks	6		3
Preferred Stocks	2		2
Other Interests	—		3


Credit Quality Allocations⁴

	8/31/12		8/31/11
A	1	%	—
BBB/Baa	6		7	%
BB/Ba	35		35
B	43		45
CCC/Caa	14		11
D	—		1
Not Rated	1		1


	⁴	Using the higher of S&P’s or Moody’s ratings.




ANNUAL REPORT	AUGUST 31, 2012	9



Trust Summary as of August 31, 2012	BlackRock High Income Shares

Investment Objective

BlackRock High Income Shares’ (HIS) (the “Trust”) primary investment objective is to provide the highest current income attainable consistent with reasonable risk as determined by the Trust’s investment adviser, through investment in a professionally managed, diversified portfolio of high yield, high risk fixed income securities (commonly referred to as “junk bonds”). The Trust’s secondary objective is to provide capital appreciation, but only when consistent with its primary objective. The Trust seeks to achieve its objectives by investing primarily in high yield, high risk debt instruments rated in the medium to lower categories by nationally recognized rating services (BBB or lower by S&P or Baa or lower by Moody’s) or non-rated securities, which, in the investment adviser’s opinion, are of comparable quality. Under normal market conditions, the average maturity of the Trust’s portfolio is between eight and twelve years. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

Portfolio Management Commentary


	How did the Trust perform?

•	For the 12-month period ended August 31, 2012, the Trust returned 25.58% based on market price and 13.91% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 22.72% based on market price and 16.49% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

	What factors influenced performance?

•	Security selection among high yield bonds in the higher credit quality tiers had a positive impact on performance. From a sector perspective, selection within the non-captive diversified financials, consumer services and wireless segments contributed positively. The Trust’s exposure to preferred securities also boosted returns.

•	Conversely, security selection among non-rated securities detracted from performance. On a sector basis, selection within independent energy, non-cable media and paper had a negative impact on returns. The Trust’s allocation to bank loans also hindered performance as the asset class underperformed relative to the high yield market in the risk asset rally.

	Describe recent portfolio activity.

•	The 12-month period began with severe market volatility in reaction to head-winds from Europe’s debt crisis and a possible US government shut-down. However, the environment shifted in December when the European Central Bank announced its program of long-term refinancing operations. As financial market conditions improved, the Trust selectively added back some risk in names with appealing risk-reward characteristics. Over the first eight months of 2012, the high yield market surged, prompting the Trust to moderate its risk profile. The Trust’s view on high yield remained positive throughout this period; however, as valuations paced higher, the Trust became increasingly focused on higher-quality, income-oriented credit names with stable fundamentals and an attractive coupon rate. Given global growth concerns posing a persistent threat and fueling uncertainty, the Trust continued to favor issuers in mature industries that exhibit consistent cash flows and good earnings visibility and debt instruments that are backed by profitable assets. The Trust generally remained cautious of cyclical credits that tend to be more vulnerable to slower economic growth and/or macroeconomic weakness.

	Describe portfolio positioning at period end.

•	At period end, the Trust held 78% of its total portfolio in corporate bonds and 18% in floating rate loan interests (bank loans), with the remainder in preferred securities and common stocks. The Trust’s largest sector exposures included non-cable media, health care and chemicals, while its portfolio holdings reflected less emphasis on the riskier, more cyclical segments of the market such as banking, retailers and restaurants. The Trust ended the period with economic leverage at 25% of its total managed assets.



10	ANNUAL REPORT	AUGUST 31, 2012



	BlackRock High Income Shares


Trust Information

Symbol on NYSE		HIS
Initial Offering Date		August 10, 1988
Yield on Closing Market Price as of August 31, 2012 ($2.40)¹		7.60%
Current Monthly Distribution per Common Share²		$0.0152
Current Annualized Distribution per Common Share²		$0.1824
Economic Leverage as of August 31, 2012³		25%


	¹	Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

	²	The distribution rate is not constant and is subject to change.

	³	Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

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


	8/31/12	8/31/11	Change	High	Low
Market Price	$ 2.40	$ 2.10	14.29%	$ 2.44	$ 1.81
Net Asset Value	$ 2.26	$ 2.18	3.67%	$ 2.26	$ 2.04

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


Portfolio Composition

	8/31/12		8/31/11
Corporate Bonds	79	%	83	%
Floating Rate Loan Interests	18		14
Preferred Securities	2		2
Common Stocks	1		1


Credit Quality Allocations⁴

	8/31/12		8/31/11
A	1	%	—
BBB/Baa	7		7	%
BB/Ba	34		34
B	43		45
CCC/Caa	14		12
D	—		1
Not Rated	1		1


	⁴	Using the higher of S&P’s or Moody’s ratings.



ANNUAL REPORT	AUGUST 31, 2012	11



Trust Summary as of August 31, 2012	BlackRock High Yield Trust

Investment Objective

BlackRock High Yield Trust’s (BHY) (the “Trust”) primary investment objective is to provide high current income. The Trust’s secondary investment objective is to provide capital appreciation. The Trust seeks to achieve its objectives by investing, under normal market conditions, at least 80% of its assets in high-risk, high yield bonds and other such securities, such as preferred stocks, which are rated below investment grade. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

Portfolio Management Commentary


	How did the Trust perform?

•	For the 12-month period ended August 31, 2012, the Trust returned 31.27% based on market price and 15.70% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 22.72% based on market price and 16.49% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

	What factors influenced performance?

•	Security selection among high yield bonds in the middle and upper credit quality tiers had a positive impact on performance. From a sector perspective, selection within the non-captive diversified financials, consumer services and wireless segments contributed positively. The Trust’s exposure to common stock and select preferred securities also boosted returns.

•	Conversely, security selection among non-rated securities detracted from performance. On a sector basis, selection within independent energy, non-cable media, automotive and paper had a negative impact on returns. The Trust’s allocation to bank loans also hindered performance as the asset class underperformed relative to the high yield market in the risk asset rally.

	Describe recent portfolio activity.

•	The 12-month period began with severe market volatility in reaction to head-winds from Europe’s debt crisis and a possible US government shut-down. However, the environment shifted in December when the European Central Bank announced its program of long-term refinancing operations. As financial market conditions improved, the Trust selectively added back some risk in names with appealing risk-reward characteristics. Over the first eight months of 2012, the high yield market surged, prompting the Trust to moderate its risk profile. The Trust’s view on high yield remained positive throughout this period; however, as valuations paced higher, the Trust became increasingly focused on higher-quality, income-oriented credit names with stable fundamentals and an attractive coupon rate. The Trust continued to favor issuers in mature industries that exhibit consistent cash flows and good earnings visibility and debt instruments that are backed by profitable assets. The Trust generally remained cautious of cyclical credits that tend to be more vulnerable to slower economic growth and/or macroeconomic weakness.

	Describe portfolio positioning at period end.

•	At period end, the Trust held 78% of its total portfolio in corporate bonds and 17% in floating rate loan interests (bank loans), with the remainder in common stocks and preferred securities. The Trust’s largest sector exposures included non-cable media, health care and chemicals, while its portfolio holdings reflected less emphasis on the riskier, more cyclical segments of the market such as banking, home construction and restaurants. The Trust ended the period with economic leverage at 29% of its total managed assets.



12	ANNUAL REPORT	AUGUST 31, 2012



	BlackRock High Yield Trust


Trust Information

Symbol on NYSE		BHY
Initial Offering Date		December 23, 1998
Yield on Closing Market Price as of August 31, 2012 ($8.04)¹		6.64%
Current Monthly Distribution per Common Share²		$0.0445
Current Annualized Distribution per Common Share²		$0.5340
Economic Leverage as of August 31, 2012³		29%


	¹	Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

	²	The distribution rate is not constant and is subject to change.

	³	Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

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


	8/31/12	8/31/11	Change	High	Low
Market Price	$ 8.04	$ 6.60	21.82%	$ 8.37	$ 5.92
Net Asset Value	$ 7.29	$ 6.79	7.36%	$ 7.29	$ 6.36

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


Portfolio Composition

	8/31/12		8/31/11
Corporate Bonds	78	%	82	%
Floating Rate Loan Interests	17		15
Common Stocks	3		—
Preferred Securities	2		1
Other Interests	—		2


Credit Quality Allocations⁴

	8/31/12		8/31/11
A	1	%	—
BBB/Baa	7		8	%
BB/Ba	35		35
B	44		46
CCC/Caa	12		9
D	—		1
Not Rated	1		1


	⁴	Using the higher of S&P’s or Moody’s ratings.



ANNUAL REPORT	AUGUST 31, 2012	13



Trust Summary as of August 31, 2012	BlackRock Income Opportunity Trust, Inc.

Investment Objective

BlackRock Income Opportunity Trust, Inc.’s (BNA) (the “Trust”) investment objective is to provide current income and capital appreciation. The Trust seeks to achieve its investment objective by investing at least 75% of its assets in bonds that are investment grade quality at the time of investment. The Trust’s investments will include a broad range of bonds, including corporate bonds, US government and agency securities and mortgage-related securities. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

Portfolio Management Commentary


	How did the Trust perform?

•	For the 12-month period ended August 31, 2012, the Trust returned 24.92% based on market price and 16.81% based on NAV. For the same period, the closed-end Lipper Corporate BBB-Rated Debt Funds (Leveraged) category posted an average return of 20.04% based on market price and 14.26% based on NAV. All returns reflect reinvestment of dividends. The Trust’s slight discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

	What factors influenced performance?

•	Concerns over US economic growth potential, political uncertainty and sovereign debt problems abroad drove investors to safe assets during the majority of the reporting period. Therefore, the Trust’s increased use of leverage to purchase a broad, diversified basket of high-quality assets and an overall long duration profile proved beneficial as interest rates touched new lows during the period.

•	Spread sectors outperformed government-related debt for the twelve-month period as persistently low interest rates drove strong investor demand for higher-yielding assets. Spread sectors were also buoyed by supportive US and European monetary policy action as well as continued improvement in US underlying credit fundamentals. As a result, the Trust benefited from its sector allocations to high yield and investment grade corporate credit. The Trust also benefited from exposure to securitized assets such as CMBS and non-agency residential MBS. In particular, the Trust favored higher-quality multi-family CMBS, which performed well due to strong demand for rental housing.

•	The Trust’s duration stance modestly detracted from performance during a brief period of rising interest rates in the first quarter of 2012. However, the Trust’s longer duration at that time did not represent a tactical stance, rather it was a result of the Trust’s leveraged exposure to credit spread sectors to generate an attractive level of income. The net result of the Trust’s duration positioning remains positive for the reporting period as a whole.

	Describe recent portfolio activity.

•	Investor risk aversion began to wane as the European Central Bank’s long-term refinancing operation program alleviated liquidity risk in the euro zone toward the end of 2011. The Trust increased duration to take advantage of low borrowing costs and gain additional exposure to higher-yielding credit spread sectors. Within investment grade credit, the Trust increased exposure to utilities given their attractive valuation relative to industrial names. The Trust also increased its diversified exposure to financial names in banking and insurance both in the United States and Europe. Toward period end, the Trust added exposure to European securitized credit in the form of United Kingdom residential MBS.

	Describe portfolio positioning at period end.

•	At period end, the Trust maintained a diversified exposure to non-government spread sectors, including investment grade credit, high yield corporate credit, CMBS, asset-backed securities and non-agency residential MBS. The Trust also held allocations to government-related sectors such as US Treasuries, agency debt and agency MBS. The Trust ended the reporting period with a long duration profile.



14	ANNUAL REPORT	AUGUST 31, 2012



	BlackRock Income Opportunity Trust, Inc.


Trust Information

Symbol on NYSE		BNA
Initial Offering Date		December 20, 1991
Yield on Closing Market Price as of August 31, 2012 ($11.58)¹		5.91%
Current Monthly Distribution per Common Share²		$0.057
Current Annualized Distribution per Common Share²		$0.684
Economic Leverage as of August 31, 2012³		32%


	¹	Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

	²	The distribution rate is not constant and is subject to change.

	³	Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

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


	8/31/12	8/31/11	Change	High	Low
Market Price	$ 11.58	$ 9.85	17.56%	$ 11.61	$ 9.66
Net Asset Value	$ 11.84	$10.77	9.94%	$ 11.87	$ 10.68

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


Portfolio Composition

	8/31/12		8/31/11
Corporate Bonds	51	%	52	%
US Treasury Obligations	15		16
US Government Sponsored Agency Securities	14		13
Non-Agency Mortgage-Backed Securities	11		12
Asset-Backed Securities	4		4
Taxable Municipal Bonds	2		1
Preferred Securities	2		1
Foreign Agency Obligations	1		1


Credit Quality Allocations⁴

	8/31/12		8/31/11
AAA/Aaa⁵	37	%	40	%
AA/Aa	3		7
A	19		19
BBB/Baa	23		16
BB/Ba	6		7
B	9		9
CCC/Caa	2		2
Not Rated	1		—


	⁴	Using the higher of S&P’s or Moody’s ratings.

	⁵	Includes US Government Sponsored Agency Securities, which were deemed AAA/Aaa by the investment advisor.



ANNUAL REPORT	AUGUST 31, 2012	15



Trust Summary as of August 31, 2012	BlackRock Income Trust, Inc.

Investment Objective

BlackRock Income Trust, Inc.’s (BKT) (the “Trust”) investment objective is to manage a portfolio of high-quality securities to achieve both preservation of capital and high monthly income. The Trust seeks to achieve its investment objective by investing at least 65% of its assets in mortgage-backed securities. The Trust invests at least 80% of its assets in securities that are (i) issued or guaranteed by the US government or one of its agencies or instrumentalities or (ii) rated at the time of investment either AAA by S&P or Aaa by Moody’s. Securities issued or guaranteed by the US government or its agencies or instrumentalities are generally considered to be of the same or higher credit or quality as privately issued securities rated AAA or Aaa. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

Portfolio Management Commentary


	How did the Trust perform?

•	For the 12-month period ended August 31, 2012, the Trust returned 13.19% based on market price and 6.24% based on NAV. For the same period, the closed-end Lipper US Mortgage Funds category posted an average return of 18.47% based on market price and 13.18% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

	What factors influenced performance?

•	The Trust’s exposure to undervalued prepayment-sensitive interest-only agency MBS contributed positively to returns. These securities performed well as interest rates generally moved lower over the reporting period. In particular, the Trust’s holdings in this space were focused on securities that would be less impacted by potential government policy changes and were purchased at attractive levels given concerns about increasing refinance activity.

•	The Trust also benefited from its leveraged exposure to agency pass-through MBS, as the sector was supported by monetary policy operations and increased demand from financial institutions seeking relatively safer investments and an alternative to US Treasuries. Adding to performance was the Trust’s positioning within the agency MBS with heavier weightings in low- and high-coupon issues and limited exposure to coupons in the middle, which are most vulnerable to refinancing risk.

•	Detracting slightly from performance was tactical trading in anticipation of the early 2012 policy changes relating to the government’s Home Affordable Refinance Program (“HARP”). The Trust actively reduced its sensitivity to prepayment risk in advance of the policy changes; however, this defensive stance ultimately proved too early as the increase in refinancing activity resulting from the changes to HARP took longer to materialize than had been expected.

•	Also detracting slightly were the Trust’s interest rate hedges designed to protect the portfolio from market volatility. The Trust uses interest rate derivatives including futures, options, swaps and swaptions, mainly for the purpose of managing duration, convexity and yield curve positioning. During the period, the Trust held short positions in US Treasury futures in order to reduce the overall duration profile of the portfolio. These positions served as a drag on performance as the US Treasury market generally advanced over the period.

	Describe recent portfolio activity.

•	The Trust increased its allocation to agency MBS in the fourth quarter of 2011, after spreads had widened in the space due to increased policy risk. The Trust slightly reduced these holdings after their strong performance in late 2011 and early 2012. The sales were concentrated in the lower-coupon securities, which are more likely to be extended. The Trust maintained a strong level of yield by increasing exposure to prepayment-sensitive securities. The Trust also maintained a limited exposure to CMBS and non-agency residential MBS, which have performed well primarily due to improving underlying fundamentals.

	Describe portfolio positioning at period end.

•	The backdrop for agency MBS appears constructive given the impact of the Federal Reserve’s mortgage reinvestment program in curtailing net supply along with the sector’s attractive yields relative to other high-quality asset classes in a low interest rate environment. However, prepayment risk for higher-coupon agency MBS remains high and, therefore, the Trust maintains a cautious stance. As of period end, the Trust maintained exposure to high-quality agency MBS with varying maturities and coupon rates. The Trust also held small allocations to non-agency MBS and CMBS. The Trust ended the reporting period with a slightly short duration profile.



16	ANNUAL REPORT	AUGUST 31, 2012

BlackRock Income Trust, Inc.

Trust Information


Symbol on NYSE	BKT
Initial Offering Date	July 22, 1988
Yield on Closing Market Price as of August 31, 2012 ($7.63)¹		6.37%
Current Monthly Distribution per Common Share²		$0.0405
Current Annualized Distribution per Common Share²		$0.4860
Economic Leverage as of August 31, 2012³		19%


	¹	Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

	²	The distribution rate is not constant and is subject to change.

	³	Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see the Benefits and Risks of Leveraging on page 20.

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


	8/31/12	8/31/11	Change	High	Low
Market Price	$ 7.63	$ 7.18	6.27%	$7.73	$7.00
Net Asset Value	$ 7.94	$ 7.96	(0.25)%	$8.12	$7.87

The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocations of the Trust’s US Government securities:

Portfolio Composition


	8/31/12			8/31/11
US Government Sponsored Agency Securities		86	%		84	%
US Treasury Obligations		11			12
Non-Agency Mortgage-Backed Securities		2			3
Asset-Backed Securities		1			1

Credit Quality Allocations⁴


	8/31/12			8/31/11
AAA/Aaa⁵		100	%		100	%


	⁴	Using the higher of S&P’s or Moody’s ratings.

	⁵	Includes US Government Sponsored Agency Securities, which were deemed AAA/Aaa by the investment advisor.



ANNUAL REPORT	AUGUST 31, 2012	17



Trust Summary as of August 31, 2012	BlackRock Strategic Bond Trust

Investment Objective

BlackRock Strategic Bond Trust’s (BHD) (the “Trust”) investment objective is to provide total return through high current income and capital appreciation. The Trust seeks to achieve its investment objective by investing primarily in a diversified portfolio of fixed income securities including corporate bonds, US government and agency securities, mortgage-related and asset-backed securities and other types of fixed income securities. The Trust invests, under normal market conditions, a significant portion of its assets in corporate fixed income securities that are below investment grade quality, including high-risk, high yield bonds (commonly referred to as “junk” bonds) and other such securities, such as preferred stocks. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

Portfolio Management Commentary


	How did the Trust perform?

•	For the 12-month period ended August 31, 2012, the Trust returned 21.58% based on market price and 15.66% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 22.72% based on market price and 16.49% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

	What factors influenced performance?

•	Security selection among higher-quality debt instruments (including both bonds and loans) had a positive impact on the Trust’s performance. While the surge in risk assets benefited overall performance, the Trust’s tactical exposure to equity securities was particularly helpful as equities outperformed high yield bonds, bank loans and investment grade credits amid improving investor demand for riskier assets over the 12-month period. Security selection in the consumer services, non-captive diversified financials and wireless sectors boosted returns.

•	The Trust differs from its Lipper category competitors, which invest primarily in high yield bonds, in that the Trust also invests in floating rate loan interests (bank loans) and investment grade credits. While the Trust’s allocations to bank loans and investment grade credit did not detract from performance on an absolute basis, these asset classes underperformed high yield bonds for the period.

	Describe recent portfolio activity.

•	The 12-month period began with severe market volatility in reaction to head- winds from Europe’s debt crisis and a possible US government shut-down. However, the environment shifted in December when the European Central Bank announced its program of long-term refinancing operations. As financial market conditions improved, the Trust selectively added back some risk in names with appealing risk-reward characteristics. Over the first eight months of 2012, the high yield market surged, prompting the Trust to moderate its risk profile. The Trust’s view on high yield remained positive throughout this period; however, as valuations paced higher, the Trust became increasingly focused on higher-quality, income-oriented credit names with stable fundamentals and an attractive coupon rate, since the potential for price appreciation had largely diminished. Given global growth concerns posing a persistent threat and fueling uncertainty, the Trust continued to favor issuers in mature industries that exhibit consistent cash flows and good earnings visibility and debt instruments that are backed by profitable assets. The Trust generally remained cautious of cyclical credits that tend to be more vulnerable to slower economic growth and/or macroeconomic weakness.

	Describe portfolio positioning at period end.

•	At period end, the Trust held 79% of its total portfolio in corporate bonds and 17% in floating rate loan interests (bank loans), with the remainder in preferred securities, common stocks and US Treasury obligations. The Trust’s largest sector exposures included non-cable media, health care and wireless. The Trust ended the period with economic leverage at 23% of its total managed assets.

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



18	ANNUAL REPORT	AUGUST 31, 2012

BlackRock Strategic Bond Trust

Trust Information


Symbol on NYSE		BHD
Initial Offering Date		February 26, 2002
Yield on Closing Market Price as of August 31, 2012 ($14.52)¹		6.98%
Current Monthly Distribution per Common Share²		$0.0845
Current Annualized Distribution per Common Share²		$1.0140
Economic Leverage as of August 31, 2012³		23%


	¹	Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

	²	The distribution rate is not constant and is subject to change.

	³	Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

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


	8/31/12	8/31/11	Change	High	Low
Market Price	$14.52	$12.93	12.30%	$14.91	$11.86
Net Asset Value	$14.40	$13.48	6.82%	$14.40	$12.72

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

Portfolio Composition


	8/31/12			8/31/11
Corporate Bonds		79	%		85	%
Floating Rate Loan Interests		17			12
Preferred Securities		2			1
Common Stocks		1			—
US Treasury Obligations		1			—
Other Interests		—			2

Credit Quality Allocations⁴


	8/31/12			8/31/11
AA/Aa		1	%		3	%
A		12			13
BBB/Baa		21			16
BB/Ba		26			26
B		32			34
CCC/Caa		7			6
D		—			1
Not Rated		1			1

⁴ Using the higher of S&P’s or Moody’s ratings.



ANNUAL REPORT	AUGUST 31, 2012	19

The Benefits and Risks of Leveraging

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

The Trusts may utilize leverage by borrowing through a credit facility, entering into reverse repurchase agreements and/or treasury roll transactions. In general, the concept of leveraging is based on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates, will normally be lower than the income earned by each Trust on its longer-term portfolio investments. To the extent that the total assets of each Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Trust’s shareholders will benefit from the incremental net income.

The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV. However, in order to benefit shareholders, the yield curve must be positively sloped;that is, short-term interest rates must be lower than long-term interest rates. If the yield curve becomes negatively sloped, meaning short-term interest rates exceed long-term interest rates, income to shareholders will be lower than if the Trusts had not used leverage.

To illustrate these concepts, assume a Trust’s capitalization is $100 million and it borrows for an additional $30 million, creating a total value of $130 million available for investment in long-term securities. If prevailing short-term interest rates are 3% and long-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Trust pays borrowing costs and interest expense on the $30 million of borrowings based on the lower short-term interest rates. At the same time, the securities purchased by the Trust with assets received from the borrowings earn income based on long-term interest rates. In this case, the borrowing costs and interest expense of the borrowings is significantly lower than the income earned on the Trust’s long-term investments, and therefore the Trust’s shareholders are the beneficiaries of the incremental net income.

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

Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the redemption value of the Trusts’ debt securities does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively in addition to the impact on Trust performance from leverage from borrowings discussed above.

The use of leverage may enhance opportunities for increased income to the Trusts, but as described above, it also creates risks as short- or long-term interest rates fluctuate. Leverage also will generally cause greater changes in the Trusts’ NAVs, market prices and dividend rates than comparable portfolios without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, the Trusts’ net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, each Trust’s net income will be less than if leverage had not been used, and therefore the amount available for distribution to shareholders will be reduced. Each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause a Trust to incur losses. The use of leverage may limit each Trust’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Trust will incur expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), the Trusts are permitted to issue senior securities representing indebtedness up to 33¹/₃% of their total managed assets (each Trust’s net assets plus the proceeds of any outstanding borrowings). If the Trusts segregate liquid assets having a value not less than the repurchase price (including accrued interest), a reverse repurchase agreement will not be considered a senior security and therefore will not be subject to this limitation. In addition, each Trust voluntarily limits its aggregate economic leverage to 50% of its managed assets. As of August 31, 2012, the Trusts had aggregate economic leverage from reverse repurchase agreements, treasury roll transactions and/or borrowings through a credit facility as a percentage of their total managed assets as follows:


	Percent of Economic Leverage
BHK		31%
HYV		30%
HYT		29%
HIS		25%
BHY		29%
BNA		32%
BKT		19%
BHD		23%

Derivative Financial Instruments

The Trusts may invest in various derivative financial instruments, including financial futures contracts, foreign currency exchange contracts, options and swaps, as specified in Note 2 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market, equity, credit, interest rate, foreign currency exchange rate and/or other risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Trusts’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require a Trust to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation a Trust can realize on an investment, may result in lower dividends paid to shareholders or may cause a Trust to hold an investment that it might otherwise sell. The Trusts’ investments in these instruments are discussed in detail in the Notes to Financial Statements.



20	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments August 31, 2012	BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets)


Asset-Backed Securities	Par (000)		Value
Asset-Backed Securities — 6.6%
321 Henderson Receivables I LLC, Series 2010-3A, Class A, 3.82%, 12/15/48 (a)	USD	761	$	795,261
AH Mortgage Advance Co. Ltd., Series SART-3, Class 1A1, 2.98%, 3/13/43 (a)		630		634,369
AmeriCredit Automobile Receivables Trust, Series 2011-5, Class C, 3.44%, 10/08/17		400		411,338
CarMax Auto Owner Trust, Series 2012-1:
Class B, 1.76%, 8/15/17		210		212,152
Class C, 2.20%, 10/16/17		125		126,840
Class D, 3.09%, 8/15/18		155		156,507
CenterPoint Energy Transition Bond Co. LLC, Series 2012-1, Class A3, 3.03%, 10/15/25		1,105		1,197,989
Countrywide Asset-Backed Certificates, Series 2006-13, Class 3AV2, 0.39%, 1/25/37 (b)		1,082		826,078
Credit Acceptance Auto Loan Trust, Series 2010-1, Class B, 3.63%, 10/15/18 (a)		1,980		2,000,380
DT Auto Owner Trust (a):
Series 2011-2A, Class C, 3.05%, 2/16/16		1,500		1,500,462
Series 2011-3A, Class C, 4.03%, 2/15/17		255		258,822
Ford Credit Floorplan Master Owner Trust:
Series 2012-1, Class B, 1.14%, 1/15/16 (b)		180		180,001
Series 2012-1, Class C, 1.74%, 1/15/16 (b)		475		475,002
Series 2012-1, Class D, 2.34%, 1/15/16 (b)		445		445,001
Series 2012-2, Class B, 2.32%, 1/15/19		245		252,208
Series 2012-2, Class C, 2.86%, 1/15/19		105		107,018
Series 2012-2, Class D, 3.50%, 1/15/19		200		203,357
Home Equity Asset Trust, Series 2007-2, Class 2A1, 0.35%, 7/25/37 (b)		70		69,203
Nelnet Student Loan Trust (b):
Series 2006-1, Class A5, 0.54%, 8/23/27		525		497,842
Series 2008-3, Class A4, 2.08%, 11/25/24		615		644,333
PFS Financing Corp., Series 2012-AA, Class A, 1.44%, 2/15/16 (a)(b)		480		481,654
Santander Consumer Acquired Receivables Trust (a):
Series 2011-S1A, Class B, 1.66%, 8/15/16		521		522,220
Series 2011-S1A, Class C, 2.01%, 8/15/16		367		365,529
Series 2011-S1A, Class D, 3.15%, 8/15/16		382		379,916
Series 2011-WO, Class C, 3.19%, 10/15/15		580		584,309
Santander Drive Auto Receivables Trust:
Series 2010-2, Class B, 2.24%, 12/15/14		860		864,475
Series 2010-2, Class C, 3.89%, 7/17/17		1,010		1,045,327
Series 2010-B, Class B, 2.10%, 9/15/14 (a)		700		702,535
Series 2010-B, Class C, 3.02%, 10/17/16 (a)		740		754,145
Series 2011-1, Class D, 4.01%, 2/15/17		940		960,565
Series 2011-S1A, Class B, 1.48%, 5/15/17 (a)		270		269,363
Series 2011-S1A, Class D, 3.10%, 5/15/17 (a)		293		294,267
Series 2011-S2A, Class C, 2.86%, 6/15/17 (a)		693		700,253
Series 2012-1, Class B, 2.72%, 5/16/16		240		244,548
Series 2012-1, Class C, 3.78%, 11/15/17		325		335,789

Asset-Backed Securities	Par (000)		Value
Asset-Backed Securities (concluded)
SLM Student Loan Trust:
Series 2004-B, Class A2, 0.67%, 6/15/21 (b)	USD	192	$	187,341
Series 2008-5, Class A3, 1.75%, 1/25/18 (b)		515		527,818
Series 2008-5, Class A4, 2.15%, 7/25/23 (b)		615		648,802
Series 2012-A, Class A1, 1.64%, 8/15/25 (a)(b)		330		332,543
Series 2012-A, Class A2, 3.83%, 1/17/45 (a)		345		368,769
Series 2012-D, Class A2, 2.95%, 2/15/46 (a)		2,830		2,930,025
Small Business Administration, Class 1:
Series 2003-P10B, 5.14%, 8/10/13		178		183,913
Series 2004-P10B, 4.75%, 8/10/14		145		152,873
Structured Asset Securities Corp., Series 2002-AL1, Class A2, 3.45%, 2/25/32		1,324		1,211,492
World Financial Network Credit Card Master Trust, Series 2012-C, Class C, 4.55%, 8/15/22		1,180		1,184,931
				27,227,565
Interest Only Asset-Backed Securities — 0.2%
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (a)		3,873		306,221
Sterling Coofs Trust, Series 1, 2.36%, 4/15/29		5,949		453,649
				759,870
Total Asset-Backed Securities — 6.8%				27,987,435


Common Stocks (c)	Shares
Media — 0.0%
Cumulus Media, Inc., Class A		30,272		83,854
Software — 0.0%
Bankruptcy Management Solutions, Inc.		135		1
Total Common Stocks — 0.0%				83,855


Corporate Bonds		Par (000)
Aerospace & Defense — 0.5%
United Technologies Corp. (d):
4.88%, 5/01/15	USD	1,125		1,251,596
6.13%, 7/15/38		700		949,832
				2,201,428
Airlines — 0.6%
Continental Airlines, Inc., Series 2010-1, Class B, 6.00%, 1/12/19		622		626,172
US Airways Pass-Through Trust, Series 2012-1, Class C, 9.13%, 10/01/15		1,673		1,706,460
				2,332,632


Portfolio Abbreviations

To simplify the listings of portfolio holdings in the Schedules of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:

AUD	Australian Dollar
CAD	Canadian Dollar
CBA	Canadian Bankers Acceptances
DIP	Debtor-In-Possession
EBITDA	Earnings Before Interest, Taxes, Depreciation and Amortization
EUR	Euro
EURIBOR	Euro Interbank Offered Rate
FKA	Formerly Known As
FHLMC	Federal Home Loan Mortgage Corp.
GBP	British Pound
GO	General Obligation Bonds
LIBOR	London Interbank Offered Rate
RB	Revenue Bonds
TBA	To Be Announced
USD	US Dollar


See Notes to Financial Statements.


	ANNUAL REPORT	AUGUST 31, 2012	21



Schedule of Investments (continued)	BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Auto Components — 0.8%
Icahn Enterprises LP (b)(e):
4.00%, 8/15/13	USD	785	$	785,000
4.00%, 8/15/13 (a)		2,335		2,335,000
				3,120,000
Beverages — 0.1%
Crown European Holdings SA, 7.13%, 8/15/18 (a)	EUR	355		491,171
Building Products — 0.1%
Momentive Performance Materials, Inc., 11.50%, 12/01/16	USD	400		244,000
Capital Markets — 4.6%
CDP Financial, Inc., 5.60%, 11/25/39 (a)(d)		2,935		3,786,338
E*Trade Financial Corp., 12.50%, 11/30/17 (f)		1,570		1,791,762
The Goldman Sachs Group, Inc.:
5.38%, 3/15/20		1,220		1,314,755
5.25%, 7/27/21		3,165		3,365,367
5.75%, 1/24/22		1,800		1,986,232
Morgan Stanley:
2.94%, 5/14/13 (b)		1,890		1,903,011
4.20%, 11/20/14		490		502,672
4.00%, 7/24/15		410		417,899
6.25%, 8/28/17		1,930		2,091,246
Murray Street Investment Trust I, 4.65%, 3/09/17 (g)		1,650		1,722,267
				18,881,549
Chemicals — 0.5%
The Dow Chemical Co., 4.13%, 11/15/21		350		383,209
INEOS Finance Plc, 8.38%, 2/15/19 (a)		265		278,912
Tronox Finance LLC, 6.38%, 8/15/20 (a)		1,285		1,297,850
				1,959,971
Commercial Banks — 3.8%
CIT Group, Inc.:
7.00%, 5/02/16 (a)		88		88,447
7.00%, 5/02/17 (a)		347		347,787
5.38%, 5/15/20		1,650		1,718,063
5.00%, 8/15/22		440		443,333
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.88%, 2/08/22 (d)		1,390		1,447,629
Depfa ACS Bank, 5.13%, 3/16/37 (a)		3,775		2,633,063
Discover Bank, 8.70%, 11/18/19		250		316,369
Eksportfinans ASA, 5.50%, 6/26/17		950		964,483
HSBC Bank Brasil SA — Banco Multiplo, 4.00%, 5/11/16 (a)		1,400		1,435,000
HSBC Bank Plc, 3.10%, 5/24/16 (a)(d)		700		733,718
HSBC Holdings Plc, 6.10%, 1/14/42 (d)		305		408,114
Wachovia Corp., 5.25%, 8/01/14 (d)		3,425		3,684,598
Wells Fargo & Co., 3.50%, 3/08/22 (d)		1,390		1,481,235
				15,701,839
Commercial Services & Supplies — 0.2%
ARAMARK Corp., 8.50%, 2/01/15		18		18,450
Clean Harbors, Inc., 5.25%, 8/01/20 (a)		391		401,264
Mobile Mini, Inc., 7.88%, 12/01/20		320		343,200
				762,914
Communications Equipment — 1.2%
ADC Telecommunications, Inc., 3.50%, 7/15/15 (e)		4,330		4,421,623
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20		640		680,000
				5,101,623
Construction & Engineering — 0.3%
ABB Finance USA, Inc., 4.38%, 5/08/42		192		216,826
URS Corp., 5.00%, 4/01/22 (a)		975		988,641
				1,205,467

Corporate Bonds	Par (000)		Value
Construction Materials — 0.2%
HD Supply, Inc., 8.13%, 4/15/19 (a)	USD	570	$	618,450
Lafarge SA, 7.13%, 7/15/36		135		137,025
				755,475
Consumer Finance — 0.8%
Ford Motor Credit Co. LLC, 8.13%, 1/15/20		1,265		1,566,267
SLM Corp.:
6.25%, 1/25/16		661		707,270
Series A, 0.75%, 1/27/14 (b)		550		533,218
Toll Brothers Finance Corp., 5.88%, 2/15/22		345		376,071
				3,182,826
Containers & Packaging — 0.6%
Ardagh Packaging Finance Plc (a):
7.38%, 10/15/17	EUR	425		565,303
7.38%, 10/15/17	USD	200		214,250
Smurfit Kappa Acquisitions (a):
7.25%, 11/15/17	EUR	725		975,738
7.75%, 11/15/19		410		564,689
				2,319,980
Diversified Financial Services — 8.5%
Ally Financial, Inc.:
8.30%, 2/12/15	USD	1,500		1,665,000
5.50%, 2/15/17		1,500		1,560,162
6.25%, 12/01/17		160		172,881
8.00%, 3/15/20		560		655,200
8.00%, 11/01/31		320		378,400
Bank of America Corp., 5.63%, 7/01/20		1,100		1,219,567
Capital One Financial Corp., 4.75%, 7/15/21		960		1,076,944
Citigroup, Inc.:
5.00%, 9/15/14		285		298,130
4.59%, 12/15/15		6,390		6,874,892
General Electric Capital Corp. (d):
6.15%, 8/07/37		2,150		2,696,212
6.88%, 1/10/39		135		184,515
JPMorgan Chase & Co.:
7.90% (b)(h)		3,500		3,915,240
3.70%, 1/20/15 (d)		3,425		3,633,497
6.30%, 4/23/19 (d)		2,000		2,440,872
JPMorgan Chase Bank NA, Series BKNT, 6.00%, 10/01/17 (d)		2,050		2,413,529
Moody’s Corp., 4.50%, 9/01/22		900		935,853
Reynolds Group Issuer, Inc.:
7.75%, 10/15/16	EUR	550		714,273
7.88%, 8/15/19	USD	560		623,000
6.88%, 2/15/21		680		736,100
Spirit Issuer Plc, 5.86%, 12/28/21	GBP	1,620		2,115,732
WMG Acquisition Corp.:
9.50%, 6/15/16 (c)	USD	160		174,800
11.50%, 10/01/18		562		616,795
				35,101,594
Diversified Telecommunication Services — 2.6%
Level 3 Financing, Inc.:
8.13%, 7/01/19		698		731,155
8.63%, 7/15/20 (c)		650		695,500
Telecom Italia Capital SA:
4.95%, 9/30/14		1,075		1,091,125
6.00%, 9/30/34		1,550		1,271,000
Verizon Communications, Inc.:
3.50%, 11/01/21		500		550,038
6.40%, 2/15/38		3,483		4,675,635
8.95%, 3/01/39		900		1,569,185
Windstream Corp., 7.88%, 11/01/17		40		43,500
				10,627,138


See Notes to Financial Statements.


22	ANNUAL REPORT	AUGUST 31, 2012




Schedule of Investments (continued)	BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Electric Utilities — 6.2%
The Cleveland Electric Illuminating Co.:
8.88%, 11/15/18	USD	121	$	164,273
5.95%, 12/15/36		217		255,413
CMS Energy Corp., 5.05%, 3/15/22		915		991,672
Duke Energy Carolinas LLC:
6.10%, 6/01/37		315		417,845
6.00%, 1/15/38 (d)		825		1,107,723
4.25%, 12/15/41 (d)		375		410,460
E.ON International Finance BV, 6.65%, 4/30/38 (a)		1,525		2,082,284
EDF SA, 5.60%, 1/27/40 (a)(d)		1,400		1,565,707
Florida Power Corp. (d):
6.35%, 9/15/37		1,325		1,836,235
6.40%, 6/15/38		430		604,018
Hydro-Quebec (d):
8.40%, 1/15/22		730		1,059,806
8.05%, 7/07/24		1,900		2,832,484
Jersey Central Power & Light Co., 7.35%, 2/01/19		245		313,857
Nisource Finance Corp.:
6.40%, 3/15/18		280		335,129
5.25%, 2/15/43		500		552,707
Ohio Power Co., Series D, 6.60%, 3/01/33		1,500		1,974,781
PacifiCorp., 6.25%, 10/15/37 (d)		575		805,489
Public Service Co. of Colorado, 6.25%, 9/01/37 (d)		1,200		1,732,027
Southern California Edison Co. (d):
5.63%, 2/01/36		625		821,994
Series 08-A, 5.95%, 2/01/38		1,075		1,478,330
Tokyo Electric Power Co., Inc., 4.50%, 3/24/14 (d)	EUR	1,000		1,251,888
Virginia Electric and Power Co., Series A, 6.00%, 5/15/37 (d)	USD	2,000		2,769,718
				25,363,840
Energy Equipment & Services — 2.0%
Calfrac Holdings LP, 7.50%, 12/01/20 (a)(d)		565		553,700
Ensco Plc:
3.25%, 3/15/16		160		170,795
4.70%, 3/15/21		1,745		1,958,024
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a)		1,110		1,146,075
Noble Holding International Ltd., 5.25%, 3/15/42		350		375,470
Peabody Energy Corp., 6.25%, 11/15/21 (a)		2,600		2,645,500
Transocean, Inc.:
5.05%, 12/15/16		850		941,480
6.50%, 11/15/20		350		418,359
				8,209,403
Food Products — 1.2%
Darling International, Inc., 8.50%, 12/15/18		335		379,388
Kraft Foods Group, Inc. (a):
5.38%, 2/10/20		1,570		1,876,338
5.00%, 6/04/42		997		1,134,085
Kraft Foods, Inc., 5.38%, 2/10/20		1,430		1,718,691
				5,108,502
Gas Utilities — 0.5%
CenterPoint Energy Resources Corp., 5.85%, 1/15/41		1,600		2,014,216
Health Care Equipment & Supplies — 0.7%
Boston Scientific Corp., 6.25%, 11/15/15		1,251		1,416,920
DJO Finance LLC:
10.88%, 11/15/14		166		173,263
7.75%, 4/15/18		735		672,525
Fresenius Medical Care US Finance, Inc., 6.50%, 9/15/18 (a)		152		170,430
Teleflex, Inc., 6.88%, 6/01/19		385		411,950
				2,845,088


Corporate Bonds	Par (000)		Value
Health Care Providers & Services — 2.5%
Aviv Healthcare Properties LP, 7.75%, 2/15/19	USD	175	$	182,000
CHS/Community Health Systems, Inc., 5.13%, 8/15/18		400		412,500
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (a)	EUR	494		664,848
HCA, Inc.:
6.50%, 2/15/20	USD	2,115		2,323,856
7.88%, 2/15/20		135		150,694
IASIS Healthcare LLC, 8.38%, 5/15/19		1,000		953,750
INC Research LLC, 11.50%, 7/15/19 (a)		545		534,100
inVentiv Health, Inc. (a):
10.00%, 8/15/18		40		33,700
10.25%, 8/15/18		155		130,588
Omnicare, Inc., 7.75%, 6/01/20		805		887,512
Symbion, Inc., 8.00%, 6/15/16		455		459,834
Tenet Healthcare Corp.:
10.00%, 5/01/18		200		230,000
8.88%, 7/01/19		1,150		1,308,125
UnitedHealth Group, Inc., 2.88%, 3/15/22		2,000		2,049,750
				10,321,257
Health Care Technology — 0.6%
Amgen, Inc. (d):
6.40%, 2/01/39		750		931,504
5.15%, 11/15/41		1,500		1,637,571
				2,569,075
Hotels, Restaurants & Leisure — 0.1%
El Dorado Resorts LLC, 8.63%, 6/15/19 (a)		180		175,500
MGM Resorts International, 11.13%, 11/15/17		265		294,812
				470,312
Household Durables — 0.8%
Beazer Homes USA, Inc., 6.63%, 4/15/18 (a)		580		593,050
Standard Pacific Corp., 10.75%, 9/15/16		2,100		2,535,750
				3,128,800
Household Products — 0.1%
Ontex IV SA, 7.50%, 4/15/18 (a)	EUR	190		242,567
Independent Power Producers & Energy Traders — 0.6%
Calpine Corp., 7.50%, 2/15/21 (a)	USD	175		194,250
Energy Future Holdings Corp., 10.00%, 1/15/20		1,100		1,212,750
Energy Future Intermediate Holding Co. LLC, 10.00%, 12/01/20		922		1,034,945
				2,441,945
Industrial Conglomerates — 0.8%
The ADT Corp., 4.88%, 7/15/42 (a)		539		586,299
Sequa Corp. (a):
11.75%, 12/01/15		690		724,500
13.50%, 12/01/15		1,940		2,056,816
				3,367,615
Insurance — 4.2%
Allianz Finance II BV, 5.75%, 7/08/41 (b)	EUR	500		607,993
American International Group, Inc.:
3.80%, 3/22/17 (d)	USD	5,580		5,905,504
5.45%, 5/18/17		800		898,870
AXA SA, 5.25%, 4/16/40 (b)	EUR	250		267,714
CNO Financial Group, Inc., 9.00%, 1/15/18 (a)	USD	478		522,812
Hartford Financial Services Group, Inc.:
6.00%, 1/15/19		345		383,954
5.13%, 4/15/22		930		999,523
Hartford Life Global Funding Trusts, 0.65%, 6/16/14 (b)		425		417,983
Liberty Mutual Group, Inc., 6.50%, 5/01/42 (a)		1,000		1,085,395
Lincoln National Corp., 6.25%, 2/15/20		630		730,900
Manulife Financial Corp., 3.40%, 9/17/15		1,630		1,698,092


See Notes to Financial Statements.


	ANNUAL REPORT	AUGUST 31, 2012	23




Schedule of Investments (continued)	BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Insurance (concluded)
Metropolitan Life Global Funding I, 5.13%, 6/10/14 (a)(d)	USD	775	$	833,093
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)		340		304,300
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b)	EUR	200		264,289
Prudential Financial, Inc. (d):
7.38%, 6/15/19	USD	250		314,632
5.38%, 6/21/20		250		288,865
4.50%, 11/15/20		450		491,098
5.70%, 12/14/36		675		748,348
Series D, 5.90%, 3/17/36		500		564,306
				17,327,671
IT Services — 0.9%
First Data Corp. (a):
7.38%, 6/15/19		775		800,187
8.25%, 1/15/21		75		74,344
SunGard Data Systems, Inc.:
7.38%, 11/15/18		1,080		1,147,500
7.63%, 11/15/20		1,730		1,855,425
				3,877,456
Machinery — 0.3%
UR Merger Sub Corp. (a):
5.75%, 7/15/18		194		205,155
7.38%, 5/15/20		495		524,700
7.63%, 4/15/22		452		488,160
				1,218,015
Marine — 0.3%
Nakilat, Inc., Series A, 6.07%, 12/31/33 (a)(d)		1,050		1,241,625
Media — 8.9%
Affinion Group, Inc., 7.88%, 12/15/18		1,045		747,175
AMC Networks, Inc., 7.75%, 7/15/21		320		362,400
CCH II LLC, 13.50%, 11/30/16		2,300		2,518,912
Clear Channel Communications, Inc., 9.00%, 3/01/21		548		469,910
Clear Channel Worldwide Holdings, Inc., Series B, 9.25%, 12/15/17		2,172		2,359,335
Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22		600		895,988
Comcast Corp., 6.45%, 3/15/37		790		1,019,199
Cox Communications, Inc., 8.38%, 3/01/39 (a)		1,740		2,625,669
Cox Enterprises, Inc.:
Loan Close 2, 12.00%, 8/15/18		983		983,563
Loan Close 3, 4.00%, 8/15/18		1,124		1,124,495
Shares Loan, 12.00%, 8/15/18		1,159		1,159,750
DIRECTV Holdings LLC:
6.38%, 3/01/41		260		306,570
5.15%, 3/15/42		2,100		2,142,745
Intelsat Jackson Holdings SA, 11.25%, 6/15/16		261		274,702
Intelsat Luxembourg SA:
11.25%, 2/04/17		750		787,500
11.50%, 2/04/17 (f)		415		435,750
Interactive Data Corp., 10.25%, 8/01/18		1,330		1,499,575
NBC Universal Media LLC:
5.15%, 4/30/20		1,983		2,340,420
4.38%, 4/01/21		1,015		1,145,763
The New York Times Co., 6.63%, 12/15/16		1,800		1,953,000
News America, Inc., 7.63%, 11/30/28		385		490,562
Omnicom Group, Inc., 3.63%, 5/01/22		2,355		2,469,022
TCI Communications, Inc., 7.88%, 2/15/26		610		856,883
Time Warner Cable, Inc.:
7.30%, 7/01/38		930		1,269,028
5.88%, 11/15/40		465		551,719
5.50%, 9/01/41		920		1,041,084


Corporate Bonds	Par (000)		Value
Media (concluded)
Time Warner, Inc.:
4.70%, 1/15/21	USD	350	$	401,432
6.10%, 7/15/40		215		262,355
Unitymedia Hessen GmbH & Co. KG, 8.13%, 12/01/17 (a)		2,822		3,054,815
Virgin Media Secured Finance Plc, 6.50%, 1/15/18		525		572,250
Ziggo Finance BV, 6.13%, 11/15/17 (a)	EUR	263		353,130
				36,474,701
Metals & Mining — 3.6%
Alcoa, Inc., 5.40%, 4/15/21	USD	1,450		1,497,052
Barrick Gold Corp., 2.90%, 5/30/16		1,690		1,778,590
Corp. Nacional del Cobre de Chile, 3.00%, 7/17/22 (a)(d)		1,565		1,572,689
Falconbridge Ltd., 6.20%, 6/15/35		1,250		1,342,866
Freeport-McMoRan Copper & Gold, Inc., 3.55%, 3/01/22		540		536,471
New Gold, Inc., 7.00%, 4/15/20 (a)		105		110,513
New World Resources NV, 7.88%, 5/01/18	EUR	215		269,075
Newcrest Finance Property Ltd., 4.45%, 11/15/21 (a)	USD	475		492,688
Novelis, Inc., 8.75%, 12/15/20		4,120		4,604,100
Teck Resources Ltd., 5.38%, 10/01/15		2,359		2,593,145
				14,797,189
Oil, Gas & Consumable Fuels — 10.1%
Access Midstream Partners LP, 6.13%, 7/15/22		400		415,000
Anadarko Petroleum Corp., 5.95%, 9/15/16		1,916		2,215,632
BP Capital Markets Plc, 3.13%, 10/01/15 (d)		330		352,977
Burlington Resources Finance Co., 7.40%, 12/01/31 (d)		875		1,268,935
Cenovus Energy, Inc., 6.75%, 11/15/39		750		1,006,300
ConocoPhillips Canada Funding Co., 5.95%,
10/15/36 (d)		535		705,668
Continental Resources, Inc., 5.00%, 9/15/22		580		606,100
Crosstex Energy LP, 8.88%, 2/15/18		130		138,775
Devon Energy Corp., 7.95%, 4/15/32		625		930,858
El Paso Natural Gas Co., LLC, 8.38%, 6/15/32		275		385,590
El Paso Pipeline Partners Operating Co. LLC, 6.50%, 4/01/20		240		282,929
Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17		540		602,100
Enterprise Products Operating LLC:
4.05%, 2/15/22		1,250		1,364,512
6.13%, 10/15/39		700		831,755
5.95%, 2/01/41		500		592,378
Series L, 6.30%, 9/15/17		575		695,825
KeySpan Gas East Corp., 5.82%, 4/01/41 (a)		505		674,554
Kinder Morgan Energy Partners LP:
5.95%, 2/15/18		1,300		1,546,067
6.50%, 9/01/39		3,000		3,598,422
6.55%, 9/15/40		110		133,704
6.38%, 3/01/41		150		180,703
5.00%, 8/15/42		500		514,300
Linn Energy LLC, 6.25%, 11/01/19 (a)		590		582,625
Marathon Petroleum Corp., 6.50%, 3/01/41		997		1,216,325
MarkWest Energy Partners LP, 5.50%, 2/15/23		160		163,600
MidAmerican Energy Co., 5.80%, 10/15/36		700		924,140
MidAmerican Energy Holdings Co.:
5.95%, 5/15/37		800		1,034,760
6.50%, 9/15/37		1,900		2,592,064
Newfield Exploration Co., 5.63%, 7/01/24		850		922,250
Nexen, Inc., 7.50%, 7/30/39		1,000		1,400,190
Offshore Group Investment Ltd., 11.50%, 8/01/15 (a)		360		397,800
Petrobras International Finance Co.:
3.88%, 1/27/16		1,340		1,406,846
5.75%, 1/20/20		1,725		1,943,916


See Notes to Financial Statements.


24	ANNUAL REPORT	AUGUST 31, 2012




Schedule of Investments (continued)	BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Oil, Gas & Consumable Fuels (concluded)
Pioneer Natural Resources Co., 3.95%, 7/15/22	USD	350	$	364,140
Premier Oil Plc, 5.00%, 6/09/18		1,900		1,957,000
Range Resources Corp., 5.75%, 6/01/21		935		994,606
Sabine Pass Liquified Natural Gas LP, 7.50%, 11/30/16		890		952,300
SandRidge Energy, Inc. (a):
7.50%, 3/15/21		275		278,438
7.50%, 2/15/23		230		231,150
Tennessee Gas Pipeline Co. LLC, 7.50%, 4/01/17		1,040		1,276,522
Western Gas Partners LP, 5.38%, 6/01/21		710		788,547
The Williams Cos., Inc., Series A, 7.50%, 1/15/31		2,500		3,134,485
				41,604,788
Paper & Forest Products — 1.1%
Boise Paper Holdings LLC:
9.00%, 11/01/17		180		199,350
8.00%, 4/01/20		155		171,275
Clearwater Paper Corp., 10.63%, 6/15/16		620		692,850
Domtar Corp., 6.25%, 9/01/42		2,000		2,067,086
International Paper Co.:
7.50%, 8/15/21		75		97,579
4.75%, 2/15/22		420		472,491
6.00%, 11/15/41		435		518,358
NewPage Corp., 11.38%, 12/31/14 (c)(i)		430		291,325
				4,510,314
Pharmaceuticals — 0.2%
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a)	EUR	200		281,118
Pharmaceutical Product Development, Inc., 9.50%, 12/01/19 (a)	USD	520		579,800
				860,918
Real Estate Investment Trusts (REITs) — 0.6%
Simon Property Group LP, 4.75%, 3/15/42		835		919,518
Ventas Realty LP/Ventas Capital Corp., 4.75%,
6/01/21		275		301,910
Vornado Realty LP, 5.00%, 1/15/22		1,185		1,294,881
				2,516,309
Real Estate Management & Development — 0.6%
Punch Taverns Finance Plc, Series A2R, 6.82%, 7/15/20	GBP	739		1,091,578
Realogy Corp. (a)(d):
7.88%, 2/15/19	USD	374		385,220
7.63%, 1/15/20		520		566,800
WEA Finance LLC, 4.63%, 5/10/21 (a)		305		331,379
				2,374,977
Road & Rail — 0.5%
Burlington Northern Santa Fe LLC, 5.75%, 5/01/40		950		1,177,384
Florida East Coast Railway Corp., 8.13%, 2/01/17		490		514,500
The Hertz Corp., 7.38%, 1/15/21		545		592,688
				2,284,572
Semiconductors & Semiconductor
Equipment — 0.1%
Spansion LLC, 7.88%, 11/15/17		390		380,250
Software — 0.5%
Nuance Communications, Inc., 5.38%, 8/15/20 (a)		885		904,912
Oracle Corp., 5.38%, 7/15/40 (d)		775		993,561
				1,898,473


Corporate Bonds	Par (000)		Value
Specialty Retail — 0.5%
The Home Depot, Inc., 5.88%, 12/16/36	USD	830	$	1,105,109
QVC, Inc. (a):
7.50%, 10/01/19		85		94,181
7.38%, 10/15/20		35		39,000
5.13%, 7/02/22		965		1,011,458
				2,249,748
Thrifts & Mortgage Finance — 0.2%
Radian Group, Inc., 5.38%, 6/15/15		1,400		1,053,500
Tobacco — 0.9%
Altria Group, Inc.:
9.95%, 11/10/38		800		1,366,269
10.20%, 2/06/39		1,388		2,419,040
				3,785,309
Wireless Telecommunication Services — 2.0%
America Movil SAB de CV, 2.38%, 9/08/16		795		825,533
Crown Castle Towers LLC, 6.11%, 1/15/20 (a)		1,560		1,844,996
Digicel Group Ltd. (a):
9.13%, 1/15/15		560		565,600
8.25%, 9/01/17		150		159,000
MetroPCS Wireless, Inc., 6.63%, 11/15/20		750		776,250
Rogers Communications, Inc., 7.50%, 8/15/38		1,150		1,668,734
SBA Tower Trust, 5.10%, 4/17/17 (a)		360		401,457
Sprint Capital Corp., 6.88%, 11/15/28		595		538,475
Sprint Nextel Corp. (a):
9.00%, 11/15/18		530		625,400
7.00%, 3/01/20		770		843,150
				8,248,595
Total Corporate Bonds — 77.0%				316,776,637


Foreign Agency Obligations
Deutsche Bundesrepublik Inflation Linked Bond, 1.75%, 4/15/20	EUR	3,290		4,910,866
Hydro-Quebec, 9.40%, 2/01/21 (d)	USD	390		587,925
Italy Government International Bond, 5.38%, 6/15/33		455		410,637
Kreditanstalt fuer Wiederaufbau, 1.38%, 7/15/13 (d)		660		665,874
Total Foreign Agency Obligations — 1.6%				6,575,302


Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations — 2.7%
Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 3/25/37		1,048		870,264
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-8, Class 14A1, 5.35%, 11/25/34 (b)		358		323,844
Countrywide Alternative Loan Trust:
Series 2005-64CB, Class 1A15, 5.50%, 12/25/35		1,444		1,234,452
Series 2006-OA21, Class A1, 0.43%, 3/20/47 (b)		788		432,579
Series 2007-HY4, Class 4A1, 5.18%, 6/25/47		771		569,288
Countrywide Home Loan Mortgage Pass-Through Trust:
Series 2006-OA5, Class 2A1, 0.44%, 4/25/46 (b)		321		192,889
Series 2007-10, Class A22, 6.00%, 7/25/37		612		507,650
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-12, Class 6A1, 6.00%, 1/25/36		799		629,417
Credit Suisse Mortgage Capital Certificates, Series 2011-2R, Class 2A1, 2.62%, 7/27/36 (a)(b)		1,254		1,217,173


See Notes to Financial Statements.


	ANNUAL REPORT	AUGUST 31, 2012	25



Schedule of Investments (continued)	BlackRock Core Bond Trust (BHK)
	(Percentages shown are based on Net Assets)


Non-Agency Mortgage-Backed Securities	Par (000)		Value
Collateralized Mortgage Obligations (concluded)
GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 5.08%, 6/19/35 (b)	USD	1,038	$	1,026,395
GSR Mortgage Loan Trust:
Series 2006-4F, Class 1A1, 5.00%, 5/25/36		576		535,706
Series 2007-4F, Class 3A1, 6.00%, 7/25/37		721		657,467
Homebanc Mortgage Trust, Series 2006-2, Class A1, 0.42%, 12/25/36 (b)		599		414,442
IndyMac IMJA Mortgage Loan Trust, Series 2007-A1, Class A4, 6.00%, 8/25/37		874		729,924
JPMorgan Mortgage Trust, Series 2006-S3, Class 1A12, 6.50%, 8/25/36		290		269,881
Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 2.94%, 5/25/36 (b)		672		465,401
Monastery BV, Series 2004-I, Class A2, 1.00%, 3/17/37 (b)	EUR	1,020		986,507
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-10, Class 1A21, 6.00%, 7/25/37	USD	48		45,962
				11,109,241
Commercial Mortgage-Backed Securities — 12.1%
Banc of America Merrill Lynch Commercial Mortgage, Inc., Class A4:
Series 2007-1, 5.45%, 1/15/49		500		572,826
Series 2007-2, 5.80%, 4/10/49 (b)		750		869,145
Bear Stearns Commercial Mortgage Securities, Series 2005-PWR9, Class A4A, 4.87%, 9/11/42		800		885,825
Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.26%, 12/10/49 (b)		1,370		1,622,732
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48		1,093		1,147,290
Commercial Mortgage Pass-Through Certificates, Series 2006-C7, Class AM, 5.96%, 6/10/46 (b)		1,750		1,851,882
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C3, Class AJ, 4.77%, 7/15/37		705		698,888
Credit Suisse Mortgage Capital Certificates:
Series 2006-C3, Class AM, 6.01%, 6/15/38 (b)		1,000		1,080,596
Series 2006-C5, Class AM, 5.34%, 12/15/39		1,750		1,780,426
Series 2010-RR2, Class 2A, 5.96%, 9/15/39 (a)(b)		1,010		1,144,527
DBRR Trust, Series 2011-C32, Class A3A, 5.93%, 6/17/49 (a)(b)		365		419,450
Extended Stay America Trust, Series 2010-ESHA (a):
Class A, 2.95%, 11/05/27		484		487,693
Class B, 4.22%, 11/05/27		2,000		2,027,044
Class D, 5.50%, 11/05/27		210		213,237
GMAC Commercial Mortgage Securities, Inc., Series 2002-C3, Class A2, 4.93%, 7/10/39		662		663,476
Greenwich Capital Commercial Funding Corp., Class A4:
Series 2006-GG7, 6.07%, 7/10/38 (b)		1,165		1,344,863
Series 2007-GG9, 5.44%, 3/10/39		2,190		2,478,890
GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.98%, 8/10/45 (b)		435		492,110
JPMorgan Chase Commercial Mortgage Securities Corp.:
Series 2004-CB8, Class A1A, 4.16%, 1/12/39 (a)		2,276		2,348,267
Series 2004-LN2, Class A2, 5.12%, 7/15/41		820		870,986
Series 2006-CB14, Class AM, 5.64%, 12/12/44 (b)		330		340,388
Series 2006-CB16, Class AJ, 5.62%, 5/12/45		730		622,873

Non-Agency Mortgage-Backed Securities	Par (000)		Value
Commercial Mortgage-Backed Securities (concluded)
LB-UBS Commercial Mortgage Trust (b):
Series 2004-C8, Class C, 4.93%, 12/15/39	USD	1,385	$	1,461,171
Series 2007-C6, Class A4, 5.86%, 7/15/40		5,201		6,077,072
Series 2007-C7, Class A3, 5.87%, 9/15/45		1,460		1,722,822
Merrill Lynch Mortgage Trust (b):
Series 2004-BPC1, Class A3, 4.47%, 10/12/41		15		15,280
Series 2004-KEY2, Class A4, 4.86%, 8/12/39		1,000		1,079,590
Morgan Stanley Capital I:
Series 2004-HQ4, Class A7, 4.97%, 4/14/40		1,000		1,059,938
Series 2007-HQ11, Class A4, 5.45%, 2/12/44 (b)		4,000		4,593,504
Series 2007-XLC1, Class A2, 0.56%, 7/17/17		544		511,457
Morgan Stanley Re-Remic Trust, Series 2011-IO, Class A, 2.50%, 3/23/51 (a)		831		837,156
Wachovia Bank Commercial Mortgage Trust:
Series 2006-C28, Class A2, 5.50%, 10/15/48		4,391		4,402,438
Series 2007-C33, Class A4, 6.10%, 2/15/51 (b)		2,185		2,542,977
WF-RBS Commercial Mortgage Trust, Class 2012-C8, Class B:
4.31%, 8/15/45		695		701,935
5.04%, 8/15/45 (b)		895		872,924
				49,841,678
Interest Only Commercial Mortgage-Backed Securities — 1.0%
Morgan Stanley Bank of America Merrill Lynch Trust, 2.10%, 8/15/45 (a)(b)		15,945		1,808,282
Morgan Stanley Capital I, Series 2012-C4, Class XA, 2.89%, 3/15/45 (a)(b)		9,617		1,418,400
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class XA, 2.42%, 8/15/45 (a)(b)		6,100		833,138
				4,059,820
Total Non-Agency Mortgage-Backed Securities — 15.8%				65,010,739


Preferred Securities
Capital Trusts
Capital Markets — 0.0%
State Street Capital Trust IV, 1.47%, 6/01/77 (b)		70		50,003
Commercial Banks — 0.2%
Fifth Third Capital Trust IV, 6.50%, 4/15/67 (b)		505		505,000
Consumer Finance — 0.2%
Capital One Capital V, 10.25%, 8/15/39		200		206,000
Capital One Capital VI, 8.88%, 5/15/40		690		706,047
				912,047
Insurance — 1.6%
The Allstate Corp., 6.50%, 5/15/67 (b)		1,950		2,045,063
American International Group, Inc., 8.18%, 5/15/68 (b)		195		232,781
Lincoln National Corp., 6.05%, 4/20/67 (b)		675		651,375
MetLife Capital Trust IV, 7.88%, 12/15/67 (a)		640		748,800
MetLife, Inc., 6.40%, 12/15/66		1,000		1,063,398
Swiss Re Capital I LP, 6.85% (a)(b)(h)		1,060		1,049,400
XL Group Plc, Series E, 6.50% (b)(h)		815		742,669
				6,533,486
Total Capital Trusts — 2.0%				8,000,536


See Notes to Financial Statements.


26	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (continued)	BlackRock Core Bond Trust (BHK)
	(Percentages shown are based on Net Assets)


Preferred Stocks — 1.0%	Shares		Value
Commercial Banks — 1.0%
US Bancorp, 6.00% (b)		150,000	$	4,156,500


Trust Preferreds — 0.1%
Commercial Banks — 0.1%
Citigroup Capital XIII, 7.88%, 10/30/40 (b)		14,773		404,773
Total Preferred Securities — 3.1%				12,561,809


Taxable Municipal Bonds	Par (000)
City of Detroit Michigan Capital Improvement, GO, Taxable Capital Improvement, Limited Tax, Series A-2, 8.00%, 4/01/14	USD	1,525		1,454,957
District of Columbia, Refunding RB, Howard University, Series B, 7.63%, 10/01/35		1,000		1,246,860
East Bay Municipal Utility District, RB, Build America Bonds, 5.87%, 6/01/40		950		1,304,264
Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 1/15/40		1,275		1,714,888
Metropolitan Transportation Authority, RB, Build America Bonds, 7.34%, 11/15/39		625		942,344
Municipal Electric Authority of Georgia Plant Vogtle Units 3 & 4, Refunding RB, Build America Bonds, 7.06%, 4/01/57		1,000		1,085,470
New York City Municipal Water Finance Authority, RB, 5.72%, 6/15/42		700		949,711
New York City Municipal Water Finance Authority, Refunding RB:
5.38%, 6/15/43		385		451,028
5.50%, 6/15/43		465		551,983
New York State Dormitory Authority, RB:
5.63%, 3/15/39		550		696,789
5.60%, 3/15/40		950		1,224,958
Port Authority of New York & New Jersey, RB, Consolidated, 159th Series, 6.04%, 12/01/29		385		497,940
State of California, GO, Build America Bonds:
7.63%, 3/01/40		860		1,168,043
Various Purpose, 7.55%, 4/01/39		140		188,601
State of Illinois, GO, Taxable-Pension, 5.10%, 6/01/33		1,000		968,960
University of California, RB, Build America Bonds, 5.95%, 5/15/45		445		560,696
Total Taxable Municipal Bonds — 3.7%				15,007,492



US Government Sponsored Agency Securities
Agency Obligations — 3.3%
Fannie Mae:
1.94%, 10/09/19 (d)(j)		7,055		6,149,336
5.63%, 7/15/37 (k)		775		1,129,897
Federal Home Loan Bank (d):
5.25%, 12/09/22		675		877,298
5.37%, 9/09/24		1,075		1,414,746
Resolution Funding Corp. (j):
1.18%, 7/15/18		525		489,816
1.23%, 10/15/18		525		486,906
Tennessee Valley Authority, 5.25%, 9/15/39 (d)		2,355		3,127,704
				13,675,703

US Government Sponsored Agency Securities	Par (000)		Value
Collateralized Mortgage Obligations — 0.6%
Fannie Mae Mortgage-Backed Securities, Series 2005-5, Class PK, 5.00%, 12/25/34	USD	582	$	627,109
FHLMC Multifamily Structured Pass-Through Certificates, Series K013, Class A2, 3.97%, 1/25/21 (l)		940		1,080,113
Freddie Mac Mortgage-Backed Securities, Series 2825, Class VP, 5.50%, 6/15/15		546		571,944
				2,279,166
Commercial Mortgage-Backed Securities — 0.0%
Freddie Mac Mortgage-Backed Securities, Series K706, Class C, 4.16%, 11/25/44 (a)(b)		165		152,848
Federal Deposit Insurance Corporation Guaranteed — 0.1%
General Electric Capital Corp., 2.13%, 12/21/12 (d)		515		517,962
Interest Only Collateralized Mortgage Obligations — 3.0%
Fannie Mae Mortgage-Backed Securities:
Series 2003-80, Class DI, 5.50%, 10/25/31		4,942		297,781
Series 2010-126, Class UI, 5.50%, 10/25/40		5,923		945,726
Series 2012-47, Class NI, 4.50%, 4/25/42		6,127		1,238,668
Series 2012-96, Class DI, 4.00%, 2/25/27		10,000		1,005,358
Series 2012-M9, Class X1, 4.25%, 12/25/17 (b)		13,340		2,359,326
Series K707, Class X1, 1.70%, 12/25/18 (b)		2,508		205,043
Freddie Mac Mortgage-Backed Securities:
Series 2579, Class HI, 5.00%, 8/15/17		102		1,024
Series 2611, Class QI, 5.50%, 9/15/32		1,546		176,697
Series K710, Class X1, 1.92%, 5/25/19 (b)		8,653		840,188
Ginnie Mae Mortgage-Backed Securities (b):
Series 2009-78, Class SD, 5.96%, 9/20/32		7,783		1,515,737
Series 2011-52, Class NS, 6.43%, 4/16/41		21,186		3,759,998
				12,345,546
Mortgage-Backed Securities — 12.9%
Fannie Mae Mortgage-Backed Securities:
3.00%, 9/15/42 (m)		16,300		16,908,704
3.50%, 3/01/42 (d)		1,443		1,530,581
4.00%, 12/01/41 (d)		5,094		5,468,815
4.50%, 7/01/41 (d)		6,883		7,483,245
5.00%, 8/01/34 (d)		5,001		5,501,982
5.50%, 6/01/38 (d)		3,453		3,806,851
6.00%, 12/01/38 – 9/15/42 (d)(m)		10,404		11,470,775
Freddie Mac Mortgage-Backed Securities, 6.00%, 2/01/13 – 12/01/18 (d)		540		580,677
Ginnie Mae Mortgage-Backed Securities, 5.50%, 8/15/33		85		95,652
				52,847,282
Total US Government Sponsored Agency Securities — 19.9%				81,818,507


US Treasury Obligations
US Treasury Bonds (d):
8.13%, 8/15/21		1,550		2,442,825
6.25%, 8/15/23		5,085		7,439,197
3.50%, 2/15/39		330		388,988
4.25%, 5/15/39		6,045		8,035,129
4.38%, 5/15/40		6,375		8,655,057
4.75%, 2/15/41		1,630		2,344,144
4.38%, 5/15/41		800		1,088,125
3.13%, 11/15/41		20,915		22,921,543
3.13%, 2/15/42		6,268		6,862,482
3.00%, 5/15/42		2,730		2,915,555
2.75%, 8/15/42		10,900		11,046,474


See Notes to Financial Statements.


	ANNUAL REPORT	AUGUST 31, 2012	27



Schedule of Investments (continued)	BlackRock Core Bond Trust (BHK)
	(Percentages shown are based on Net Assets)


US Treasury Obligations	Par (000)		Value
US Treasury Inflation Indexed Bonds, 0.75%, 2/15/42 (d)	USD	4,270	$	4,658,648
US Treasury Notes:
0.63%, 1/31/13 (k)		200		200,398
2.25%, 7/31/18 (d)		2,495		2,705,516
2.63%, 8/15/20 (d)		1,105		1,225,427
2.00%, 2/15/22 (d)		3,831		4,006,989
1.75%, 5/15/22		156		159,169
Total US Treasury Obligations — 21.2%				87,095,666


Warrants (n)	Shares
Software — 0.0%
Bankruptcy Management Solutions, Inc. (Expires 9/28/17)		90		—
Total Long-Term Investments (Cost — $572,224,278) — 149.1%				612,917,442


Short-Term Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.15% (o)(p)		534,025		534,025
Total Short-Term Securities (Cost — $534,025) — 0.1%				534,025


Options Purchased	Notional Amount (000)
Over-the-Counter Interest Rate Call Swaptions — 0.0%
Receive a fixed rate of 1.10% and pay a floating rate based on 3-month LIBOR, Expires 7/31/13, Broker JPMorgan Chase & Co.	USD	13,500		160,273
Over-the-Counter Interest Rate Put Swaptions — 0.1%
Pay a fixed rate of 3.50% and receive a floating rate based on a 6-month EURIBOR, Expires 11/08/12, Broker Citigroup, Inc.	EUR	4,000		296
Pay a fixed rate of 2.08% and receive a floating rate based on a 3-month LIBOR, Expires 3/26/13, Broker JPMorgan Chase & Co.	USD	45,300		31,932
Pay a fixed rate of 3.25% and receive a floating rate based on a 3-month LIBOR, Expires 6/03/13, Broker JPMorgan Chase & Co.		1,200		24,257
Pay a fixed rate of 3.75% and receive a floating rate based on a 3-month LIBOR, Expires 6/03/13, Broker JPMorgan Chase & Co.		2,400		18,246
Pay a fixed rate of 4.25% and receive a floating rate based on a 3-month LIBOR, Expires 6/03/13, Broker JPMorgan Chase & Co.		4,800		13,214
Pay a fixed rate of 1.50% and receive a floating rate based on a 3-month LIBOR, Expires 7/11/13, Broker JPMorgan Chase & Co.		15,500		78,385
Pay a fixed rate of 1.50% and receive a floating rate based on a 3-month LIBOR, Expires 7/19/13, Broker Deutsche Bank AG		9,700		51,259

Options Purchased	Notional Amount (000)		Value
Over-the-Counter Interest Rate Put Swaptions (concluded)
Pay a fixed rate of 1.10% and receive a floating rate based on a 3-month LIBOR, Expires 7/31/13, Broker JPMorgan Chase & Co.	USD	13,500	$	144,667
Pay a fixed rate of 4.50% and receive a floating rate based on a 3-month LIBOR, Expires 3/16/17, Broker Deutsche Bank AG		6,300		164,038
				526,294

	Contracts
Over-the-Counter Put Options — 0.1%
S&P 500 Index, Strike Price USD 1,375.00, Expires 10/19/12, Broker Deutsche Bank AG		12,000		271,612
Total Options Purchased (Cost — $1,881,745) — 0.2%				958,179
Total Investments Before Options Written (Cost — $574,640,048) — 149.4%				614,409,646


Options Written		Notional Amount (000)
Over-the-Counter Interest Rate Call Swaptions — (1.3)%
Pay a fixed rate of 2.00% and receive a floating rate based on 3-month LIBOR, Expires 8/28/13, Broker Royal Bank of Scotland Plc	USD	14,000		(484,456)
Pay a fixed rate of 2.09% and receive a floating rate based on 3-month LIBOR, Expires 1/03/14, Broker Deutsche Bank AG		4,200		(194,058)
Pay a fixed rate of 2.06% and receive a floating rate based on 3-month LIBOR, Expires 4/09/14, Broker JPMorgan Chase & Co.		16,100		(679,236)
Pay a fixed rate of 1.40% and receive a floating rate based on 3-month LIBOR, Expires 5/08/14, Broker Deutsche Bank AG		9,700		(172,502)
Pay a fixed rate of 1.15% and receive a floating rate based on 3-month LIBOR, Expires 6/09/14, Broker Deutsche Bank AG		9,300		(101,092)
Pay a fixed rate of 1.15% and receive a floating rate based on 3-month LIBOR, Expires 6/09/14, Broker BNP Paribas SA		30,300		(329,364)
Pay a fixed rate of 1.20% and receive a floating rate based on 3-month LIBOR, Expires 6/18/14, Broker Deutsche Bank AG		12,500		(150,301)
Pay a fixed rate of 1.00% and receive a floating rate based on 3-month LIBOR, Expires 7/11/14, Broker Bank of America Corp.		9,000		(68,623)
Pay a fixed rate of 1.00% and receive a floating rate based on 3-month LIBOR, Expires 7/11/14, Broker JPMorgan Chase & Co.		15,500		(118,184)
Pay a fixed rate of 1.00% and receive a floating rate based on 3-month LIBOR, Expires 7/21/14, Broker Deutsche Bank AG		9,700		(73,920)
Pay a fixed rate of 1.48% and receive a floating rate based on 3-month LIBOR, Expires 7/31/14, Broker JPMorgan Chase & Co.		10,000		(191,236)
Pay a fixed rate of 1.00% and receive a floating rate based on 3-month LIBOR, Expires 8/01/14, Broker Deutsche Bank AG		9,700		(73,630)


See Notes to Financial Statements.


28	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (continued)	BlackRock Core Bond Trust (BHK)
	(Percentages shown are based on Net Assets)


Options Written	Notional Amount (000)		Value
Over-the-Counter Interest Rate Call Swaptions (concluded)
Pay a fixed rate of 3.65% and receive a floating rate based on 3-month LIBOR, Expires 3/27/17, Broker JPMorgan Chase & Co.	USD	1,100	$	(119,428	)
Pay a fixed rate of 3.53% and receive a floating rate based on 3-month LIBOR, Expires 3/30/17, Broker Deutsche Bank AG		15,000		(1,522,874	)
Pay a fixed rate of 3.60% and receive a floating rate based on 3-month LIBOR, Expires 4/03/17, Broker Goldman Sachs & Co.		8,200		(866,884	)
				(5,145,788	)
Over-the-Counter Interest Rate Put Swaptions — (0.8)%
Receive a fixed rate of 1.59% and pay a floating rate based on 3-month LIBOR, Expires 11/30/12, Broker JPMorgan Chase & Co.		11,200		(4,472	)
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, Expires 8/28/13, Broker Royal Bank of Scotland Plc		14,000		(407,736	)
Receive a fixed rate of 2.09% and pay a floating rate based on 3-month LIBOR, Expires 1/03/14, Broker Deutsche Bank AG		4,200		(21,801	)
Receive a fixed rate of 2.06% and pay a floating rate based on 3-month LIBOR, Expires 4/09/14, Broker JPMorgan Chase & Co.		16,100		(125,195	)
Receive a fixed rate of 2.40% and pay a floating rate based on 3-month LIBOR, Expires 5/08/14, Broker Deutsche Bank AG		9,700		(59,650	)
Receive a fixed rate of 2.15% and pay a floating rate based on 3-month LIBOR, Expires 6/09/14, Broker BNP Paribas SA		30,300		(263,713	)
Receive a fixed rate of 2.15% and pay a floating rate based on 3-month LIBOR, Expires 6/09/14, Broker Deutsche Bank AG		9,300		(80,942	)
Receive a fixed rate of 2.20% and pay a floating rate based on 3-month LIBOR, Expires 6/18/14, Broker Deutsche Bank AG		12,500		(107,030	)
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, Expires 7/11/14, Broker Bank of America Corp.		9,000		(100,247	)
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, Expires 7/11/14, Broker JPMorgan Chase & Co.		15,500		(172,648	)
Receive a fixed rate of 1.95% and pay a floating rate based on 3-month LIBOR, Expires 7/16/14, Broker Deutsche Bank AG		24,800		(292,925	)
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, Expires 7/21/14, Broker Deutsche Bank AG		9,700		(110,702	)
Receive a fixed rate of 1.48% and pay a floating rate based on 3-month LIBOR, Expires 7/31/14, Broker JPMorgan Chase & Co.		10,000		(193,489	)
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, Expires 8/01/14, Broker JPMorgan Chase & Co.		11,200		(132,625	)
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, Expires 8/01/14, Broker Deutsche Bank AG		9,700		(114,863	)
Receive a fixed rate of 6.00% and pay a floating rate based on 3-month LIBOR, Expires 3/16/17, Broker Deutsche Bank AG		12,600		(159,697	)
Receive a fixed rate of 3.65% and pay a floating rate based on 3-month LIBOR, Expires 3/27/17, Broker JPMorgan Chase & Co.		1,100		(46,198	)

Options Written	Notional Amount (000)		Value
Over-the-Counter Interest Rate Put Swaptions (concluded)
Receive a fixed rate of 3.53% and pay a floating rate based on 3-month LIBOR, Expires 3/30/17, Broker Deutsche Bank AG	USD	15,000	$	(673,874	)
Receive a fixed rate of 3.60% and pay a floating rate based on 3-month LIBOR, Expires 4/03/17, Broker Goldman Sachs Group, Inc.		8,200		(354,828	)
				(3,422,635	)

		Contracts
Over-the-Counter Put Options — (0.0)%
S&P 500 Index, Strike Price USD 1,325.00, Expires 10/19/12, Broker Deutsche Bank AG		9,500		(114,598)
Total Options Written (Premiums Received — $8,732,899) — (2.1)%				(8,683,021	)
Total Investments, Net of Options Written — 147.3%				605,726,625
Liabilities in Excess of Other Assets — (47.3)%				(194,590,782	)
Net Assets — 100.0%			$	411,135,843


(a)	Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(b)	Variable rate security. Rate shown is as of report date.

(c)	Non-income producing security.

(d)	All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements.

(e)	Convertible security.

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

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

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

(i)	Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

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

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

(l)	Variable rate security. Rate shown is as of report date and maturity shown is the date the principal owed can be recovered through demand.

(m)	Represents or includes a TBA transaction. Unsettled TBA transactions as of August 31, 2012 were as follows:


Counterparty	Value		Unrealized Appreciation (Depreciation)
Credit Suisse Group AG	$	4,186,680	$	(1,930	)
Deutsche Bank AG	$	3,966,328	$	(422	)
Goldman Sachs Group, Inc.	$	16,908,704	$	2,548


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


See Notes to Financial Statements.


	ANNUAL REPORT	AUGUST 31, 2012	29



Schedule of Investments (continued)	BlackRock Core Bond Trust (BHK)


(o)	Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2012, for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:


Affiliate	Shares Held at August 31, 2011		Net Activity			Shares Held at August 31, 2012		Income
BlackRock Liquidity Funds, TempFund, Institutional Class		4,711,687		(4,177,662	)		534,025	$	3,361


(p)	Represents the current yield as of report date.

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

•	Reverse repurchase agreements outstanding as of August 31, 2012 were as follows:


Counterparty	Interest Rate		Trade Date	Maturity Date	Face Value		Face Value Including Accrued Interest
UBS Securities LLC	(1.25	)%	2/02/12	Open	$	440,700	$	437,471
BNP Paribas	0.18	%	4/18/12	Open		1,192,019		1,192,823
Securities Corp.
Deutsche Bank	0.11	%	4/24/12	Open		2,186,238		2,187,099
Securities
Deutsche Bank	0.12	%	4/24/12	Open		2,672,769		2,673,918
Securities
UBS Securities LLC	(0.25	)%	4/26/12	Open		488,725		488,294
Bank of America	0.22	%	5/07/12	Open		863,156		863,768
Merrill Lynch
Deutsche Bank	0.21	%	5/07/12	Open		5,688,094		5,691,943
Securities
BNP Paribas	0.19	%	5/09/12	Open		367,950		368,171
Securities Corp.
BNP Paribas	0.18	%	5/09/12	Open		1,039,000		1,039,592
Securities Corp.
UBS Securities LLC	0.28	%	5/10/12	Open		3,492,650		3,495,720
Bank of America	0.25	%	6/05/12	Open		1,431,094		1,431,958
Merrill Lynch
BNP Paribas	0.23	%	6/05/12	Open		23,163,363		23,176,237
Securities Corp.
UBS Securities LLC	0.32	%	6/06/12	Open		13,803,750		13,814,302
Credit Suisse	0.30	%	6/20/12	Open		793,406		793,882
Securities (USA) LLC	0.23	%	6/20/12	Open		549,050		549,303
Credit Suisse
Securities (USA) LLC
UBS Securities LLC	0.32	%	6/29/12	Open		2,488,625		2,490,019
Deutsche Bank	(2.00	)%	7/02/12	Open		320,705		319,636
Securities
BNP Paribas	0.17	%	7/18/12	Open		7,051,500		7,052,965
Securities Corp.
Credit Suisse	0.23	%	7/25/12	Open		3,161,588		3,162,335
Securities (USA) LLC
Credit Suisse	0.21	%	7/25/12	Open		2,528,438		2,528,983
Securities (USA) LLC

Reverse repurchase agreements outstanding as of August 31, 2012 were as follows (concluded):


Counterparty	Interest Rate	Trade Date	Maturity Date	Face Value		Face Value Including Accrued Interest
Bank of America	0.18%	7/26/12	Open	$	22,098,513	$	22,102,490
Merrill Lynch
Bank of America	0.17%	7/26/12	Open		7,671,994		7,673,298
Merrill Lynch
UBS Securities LLC	0.33%	7/30/12	Open		2,888,174		2,889,023
UBS Securities LLC	0.34%	7/31/12	Open		1,496,275		1,496,713
UBS Securities LLC	0.35%	7/31/12	Open		883,125		883,391
Credit Suisse	0.35%	8/02/12	Open		5,138,813		5,140,261
Securities (USA) LLC
Morgan Stanley &	0.10%	8/02/12	Open		1,165,443		1,165,537
Co. International
Credit Suisse	0.14%	8/07/12	Open		4,032,128		4,032,504
Securities (USA) LLC
UBS Securities LLC	0.34%	8/07/12	Open		3,425,000		3,425,776
Credit Suisse	0.35%	8/08/12	Open		1,504,356		1,504,693
Securities (USA) LLC
Barclays Capital, Inc.	0.35%	8/09/12	Open		4,342,543		4,343,474
Credit Suisse	0.35%	8/09/12	Open		1,718,681		1,719,049
Securities (USA) LLC
Credit Suisse	0.31%	8/10/12	9/13/12		26,404,388		26,409,162
Securities (USA) LLC
UBS Securities LLC	0.34%	8/13/12	Open		2,869,999		2,870,489
Credit Suisse	0.35%	8/15/12	Open		1,648,500		1,648,756
Securities (USA) LLC
Credit Suisse	0.35%	8/16/12	Open		818,125		818,244
Securities (USA) LLC
Credit Suisse	0.35%	8/17/12	Open		1,509,093		1,509,299
Securities (USA) LLC
Barclays Capital, Inc.	0.35%	8/21/12	Open		5,635,800		5,636,348
BNP Paribas	0.11%	8/21/12	Open		2,791,425		2,791,510
Securities Corp.
BNP Paribas	0.17%	8/30/12	9/04/12		10,913,625		10,913,677
Securities Corp.
Total				$	182,678,820	$	182,732,113


•	Financial futures contracts purchased as of August 31, 2012 were as follows:

Contracts

Issue

Exchange

Expiration

Notional
Value

Unrealized
Appreciation

272

30-Year US
Treasury Bond

Chicago Board
of Trade

December
2012

USD

41,182,500

459,745

5-Year US
Treasury Note

Chicago Board
of Trade

December
2012

USD

9,848,461

46,786

Ultra Long US
Treasury Bond

Chicago Board
of Trade

December
2012

USD

3,718,000

41,724

Total

548,255


See Notes to Financial Statements.

30	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (continued)	BlackRock Core Bond Trust (BHK)


•	Financial futures contracts sold as of August 31, 2012 were as follows:


Contracts	Issue	Exchange	Expiration	Notional Value		Unrealized Depreciation
15	90-Day	Chicago	September	USD	3,735,375	$	(1,126	)
	Euro-Dollar	Mercantile	2012
15	90-Day	Chicago	December	USD	3,736,688		(2,926	)
	Euro-Dollar	Mercantile	2012
348	10-Year US	Chicago Board	December	USD	46,534,125		(390,884	)
	Treasury Note	of Trade	2012
438	2-Year US	Chicago Board	December	USD	96,613,219		(88,427	)
	Treasury Note	of Trade	2012
15	90-Day	Chicago	March 2013	USD	3,736,688		(3,788	)
	Euro-Dollar	Mercantile
12	90-Day	Chicago	June 2013	USD	2,989,050		(2,130	)
	Euro-Dollar	Mercantile
12	90-Day	Chicago	September	USD	2,988,600		(5,559	)
	Euro-Dollar	Mercantile	2013
16	90-Day	Chicago	December	USD	3,983,800		(11,342	)
	Euro-Dollar	Mercantile	2013
12	90-Day	Chicago	March 2014	USD	2,987,100		(7,854	)
	Euro-Dollar	Mercantile
9	90-Day	Chicago	June 2014	USD	2,239,537		(4,335	)
	Euro-Dollar	Mercantile
9	90-Day	Chicago	September	USD	2,238,637		(8,112	)
	Euro-Dollar	Mercantile	2014
9	90-Day	Chicago	December	USD	2,237,287		(9,286	)
	Euro-Dollar	Mercantile	2014
49	90-Day	Chicago	March 2015	USD	12,174,663		(61,708	)
	Euro-Dollar	Mercantile
40	90-Day	Chicago	June 2015	USD	9,931,000		(52,784	)
	Euro-Dollar	Mercantile
40	90-Day	Chicago	September	USD	9,920,500		(61,610	)
	Euro-Dollar	Mercantile	2015
40	90-Day	Chicago	December	USD	9,907,000		(63,110	)
	Euro-Dollar	Mercantile	2015
Total						$	(774,981	)


•	Foreign currency exchange contracts as of August 31, 2012 were as follows:


Currency Purchased		Currency Sold		Counterparty	Settlement Date	Unrealized Appreciation (Depreciation)
GBP	270,581	USD	425,000	Deutsche Bank AG	10/17/12	$	4,578
USD	918,184	GBP	588,000	Credit Suisse Group AG	10/17/12		(15,332	)
USD	2,726,780	GBP	1,756,500	UBS AG	10/17/12		(61,862	)
EUR	428,025	USD	526,000	UBS AG	10/22/12		12,643
USD	10,490,269	EUR	8,556,500	Citigroup, Inc.	10/22/12		(277,561	)
Total						$	(337,534	)


•	Credit default swaps on single-name issues — buy protection outstanding as of August 31, 2012 were as follows:


Issuer	Pay Fixed Rate		Counterparty	Expiration Date	Notional Amount (000)		Unrealized Appreciation (Depreciation)
Radian	5.00%		Citigroup, Inc.	6/20/15	USD	1,400	$	232,792
Group, Inc.
The New York	1.00%		Barclays Plc	12/20/16	USD	1,800		(5,281	)
Times Co.
DE Master	1.00%		JPMorgan	3/20/17	USD	202		(3,942	)
Blenders, Inc.			Chase & Co.
Hillshire	1.00%		JPMorgan	3/20/17	USD	202		7,330
Brands Co.			Chase & Co.
XL Group Plc	1.00%		JPMorgan	6/20/17	USD	1,600		(26,877	)
			Chase & Co.
Australia &	1.00%		Deutsche Bank AG	9/20/17	USD	1,023		(4,797	)
New Zealand
Banking Group Ltd.
Commonwealth	1.00%		Deutsche Bank AG	9/20/17	USD	2,000		(9,400	)
Bank of Australia
National Australia	1.00%		Deutsche Bank AG	9/20/17	USD	2,000		(6,587	)
Bank Ltd.
Westpac	1.00	%	Deutsche Bank AG	9/20/17	USD	1,023		(6,203	)
Banking Corp.
Total							$	177,035


•	Credit default swaps on single-name issues — sold protection outstanding as of August 31, 2012 were as follows:

Issuer

Receive
Fixed
Rate

Counterparty

Expiration
Date

Issuer
Credit
Rating¹

Notional
Amount
(000)²

Unrealized
Appreciation

MetLife, Inc.

1.00%

Credit Suisse

9/20/16

A–

USD

535

19,275

Group AG

MetLife, Inc.

1.00%

Deutsche

9/20/16

A–

USD

730

21,665

Bank AG

MetLife, Inc.

1.00%

Goldman Sachs

9/20/16

A–

USD

500

13,927

Group, Inc.

MetLife, Inc.

1.00%

Morgan Stanley

9/20/16

A–

USD

275

5,819

MetLife, Inc.

1.00%

Morgan Stanley

9/20/16

A–

USD

900

25,526

MetLife, Inc.

1.00%

Citigroup, Inc.

12/20/16

A–

USD

298

5,859

MetLife, Inc.

1.00%

Citigroup, Inc.

12/20/16

A–

USD

285

7,115

Total

99,186


	¹	Using S&P’s rating.

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


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	31



Schedule of Investments (continued)	BlackRock Core Bond Trust (BHK)


•	Credit default swaps on traded indexes — sold protection outstanding as of August 31, 2012 were as follows:

Index

Receive
Fixed
Rate

Counterparty

Expiration
Date

Credit
Rating¹

Notional
Amount
(000)²

Unrealized
Appreciation

Markit CMBX

0.08

Morgan
Stanley

12/13/49

A+

USD 525

27,769

North America

AAA Index Series 3

Markit CMBX

0.35

Morgan
Stanley

2/17/51

A–

USD 525

24,418

North America

AAA Index Series 4

Total

52,187


	¹	Using S&P’s rating of the underlying securities.

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

•	Interest rate swaps outstanding as of August 31, 2012 were as follows:

Fixed
Rate

Floating
Rate

Counterparty

Expiration
Date

Notional
Amount
(000)

Unrealized
Appreciation
(Depreciation)

1.26%³

3-month CBA

JPMorgan
Chase & Co.

6/25/14

CAD

29,600

(54,648

)

1.27%³

3-month CBA

Deutsche Bank AG

7/03/14

CAD

13,600

(24,083

)

1.33%³

3-month CBA

Deutsche Bank AG

7/05/14

CAD

13,600

(15,890

)

1.22%³

3-month CBA

Deutsche Bank AG

7/09/14

CAD

13,600

(30,755

)

1.24%³

3-month CBA

Deutsche Bank AG

7/11/14

CAD

13,600

(28,174

)

1.66%⁴

3-month CBA

JPMorgan
Chase & Co.

6/25/16

CAD

15,000

15,752

1.64%⁴

3-month CBA

Deutsche Bank AG

7/03/16

CAD

13,600

19,878

1.70%⁴

3-month CBA

Deutsche Bank AG

7/05/16

CAD

13,600

4,354

0.87%⁴

3-month LIBOR

Royal Bank of
Scotland Group Plc

7/31/17

USD

4,000

(22,137

)

1.74%³

3-month LIBOR

Deutsche Bank AG

3/30/18

USD

1,000

38,661

1.20%³

3-month LIBOR

JPMorgan
Chase & Co.

8/30/18

USD

7,900

35,996

1.51%³

3-month LIBOR

Deutsche Bank AG

7/13/19

USD

5,900

14,969

3.27%⁴

3-month LIBOR

Deutsche Bank AG

5/16/21

USD

910

(134,713

)

2.08%³

3-month LIBOR

Morgan Stanley

4/26/22

USD

6,400

268,975

2.04%³

3-month LIBOR

Morgan Stanley

5/04/22

USD

11,500

434,771

1.94%³

3-month LIBOR

Citigroup, Inc.

5/16/22

USD

500

13,952

1.89%³

6-month
EURIBOR

Citigroup, Inc.

6/27/22

EUR

1,800

38,016

1.60%³

3-month LIBOR

Credit Suisse
Group AG

8/02/22

USD

2,500

(14,472

)

1.61%³

3-month LIBOR

Deutsche Bank AG

8/06/22

USD

1,700

(8,139

)

1.74%⁴

3-month LIBOR

Credit Suisse
Group AG

8/07/22

USD

6,000

(42,635

)

1.79%⁴

3-month LIBOR

Credit Suisse
Group AG

8/10/22

USD

1,000

(11,721

)

1.91%³

3-month LIBOR

Deutsche Bank AG

8/21/22

USD

3,900

90,759

1.93%⁴

3-month LIBOR

JPMorgan
Chase & Co.

8/21/22

USD

2,000

(48,609

)

2.58%⁴

6-month
EURIBOR

Deutsche Bank AG

11/11/41

EUR

350

(37,911

)

2.68%⁴

6-month
EURIBOR

Deutsche Bank AG

11/18/41

EUR

745

(101,624

)

3.07%⁴

3-month LIBOR

Barclays Plc

3/21/42

USD

8,200

(1,060,280

)

Interest rate swaps outstanding as of August 31, 2012 were as follows (concluded):

Fixed
Rate

Floating
Rate

Counterparty

Expiration
Date

Notional
Amount
(000)

Unrealized
Appreciation
(Depreciation)

2.15%⁴

6-month
EURIBOR

Citigroup, Inc.

6/27/42

EUR

770

8,297

2.41%⁴

3-month LIBOR

JPMorgan
Chase & Co.

7/02/42

USD

3,400

51,292

2.48%⁴

3-month LIBOR

Deutsche Bank AG

7/05/42

USD

4,500

(7,362

)

2.52%⁴

3-month LIBOR

Citigroup, Inc.

9/04/42

USD

5,100

(59,408

)

2.52%⁴

3-month LIBOR

Goldman Sachs
Group, Inc.

9/04/42

USD

5,100

(57,332

)

Total

(724,221

)


	³	Trust pays the floating rate and receives the fixed rate.

	⁴	Trust pays the fixed rate and receives the floating rate.

•	Total return swaps outstanding as of August 31, 2012 were as follows:

Reference Entity

Fixed
Rate

Counterparty

Expiration
Date

Notional
Amount
(000)

Unrealized
Depreciation

Change in Return

2.18%⁵

Bank of
America Corp.

10/06/21

USD 1,880

(43,272

)

of the Consumer

Price Index for All

Urban Consumers


	⁵	Trust pays the total return of the reference entity and receives the fixed rate. Net payment made at termination.


•	Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

	•	Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

	•	Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

	^•	Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

	Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.


See Notes to Financial Statements.


32	ANNUAL REPORT	AUGUST 31, 2012




Schedule of Investments (continued)	BlackRock Core Bond Trust (BHK)

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2012:


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		—	$	26,482,120	$	1,505,315	$	27,987,435
Common Stocks	$	83,854		—		1		83,855
Corporate Bonds		—		311,551,829		5,224,808		316,776,637
Foreign Agency Obligations		—		6,575,302		—		6,575,302
Non-Agency
Mortgage-Backed
Securities		—		64,499,282		511,457		65,010,739
Preferred Securities		4,561,273		8,000,536		—		12,561,809
Taxable Municipal Bonds		—		15,007,492		—		15,007,492
US Government Sponsored Agency Securities		—		81,818,507		—		81,818,507
US Treasury Obligations		—		87,095,666		—		87,095,666
Short-Term Securities		534,025		—		—		534,025
Total	$	5,179,152	$	601,030,734	$	7,241,581	$	613,451,467


	Level 1			Level 2			Level 3		Total
Derivative Financial Instruments¹
Assets:
Credit contracts		—		$	391,495			—	$	391,495
Equity contracts		—			271,612			—		271,612
Foreign currency contracts		—			17,221			—		17,221
Interest rate contracts	$	548,255			1,722,239			—		2,270,494
Liabilities:
Credit contracts		—			(63,087	)		—		(63,087	)
Equity contacts		—			(114,598	)		—		(114,598	)
Foreign currency contracts		—			(354,755	)		—		(354,755	)
Interest rate contracts		(774,981	)		(10,328,316	)		—		(11,103,297	)
Other contracts		—			(43,272	)		—		(43,272	)
Total	$	(226,726	)	$	(8,501,461	)		—	$	(8,728,187	)


¹	Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts, and options. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/ depreciation on the instrument and options are shown at value.

Certain of the Trust’s assets and liabilities are held at carrying or face value amount, which approximates fair value for financial statement purposes. As of August 31, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:


	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	340,000		—			—	$	340,000
Foreign currency at value		1,439,246		—			—		1,439,246
Cash pledged as collateral for financial futures contracts		459,000		—			—		459,000
Cash pledged as collateral for reverse repurchase agreements		1,643,000		—			—		1,643,000
Cash pledged as collateral for swaps		7,390,000		—			—		7,390,000
Liabilities:
Cash received as collateral for swaps		—	$	(1,200,000	)		—		(1,200,000	)
Cash received as collateral for reverse repurchase agreements		—		(590,475	)		—		(590,475	)
Reverse repurchase agreements		—		(182,678,820	)		—		(182,678,820	)
Total	$	11,271,246	$	(184,469,295	)		—	$	(173,198,049	)

There were no transfers between Level 1 and Level 2 during the year ended August 31, 2012.

Certain of the Trust’s investments are categorized as Level 3 and were valued utilizing transaction prices or third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.


See Notes to Financial Statements.


	ANNUAL REPORT	AUGUST 31, 2012	33




Schedule of Investments (concluded)	BlackRock Core Bond Trust (BHK)

A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:


	Asset-Backed Securities			Common Stocks			Corporate Bonds			Non-Agency Mortgage-Backed Securities			Other Interests			Preferred Securities			Warrants			Total
Assets:
Opening balance, as of August 31, 2011	$	6,120,404			—		$	5,241,393		$	1,960,958		$	191		$	102,281		$	77,670		$	13,502,897
Transfers into Level 3¹		—		$	1,587			—			—			—			—			—			1,587
Transfers out of Level 3²		(4,220,428	)		—			—			(352,670	)		—			—			—			(4,573,098	)
Accrued discounts/premiums		(374,117	)		—			190			8,560			—			—			—			(365,367	)
Net realized gain		19			—			17,863			45,558			—			—			—			63,440
Net change in unrealized appreciation/depreciation³		279,257			(1,586	)		(109,425	)		25,814			(191	)		(102,281	)		(77,670	)		13,918
Purchases		—			—			126,787			566,548			—			—			—			693,335
Sales		(299,820	)		—			(52,000	)		(1,743,311	)		—			—			—			(2,095,131	)
Closing Balance, as of August 31, 2012	$	1,505,315		$	1		$	5,224,808		$	511,457			—			—			—		$	7,241,581


	¹	As of August 31, 2011, the Trust used observable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used significant unobservable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $1,587 transferred from Level 2 to Level 3 in the disclosure hierarchy.

	²	As of August 31, 2011, the Trust used significant unobservable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used observable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $4,573,098 transferred from Level 3 to Level 2 in the disclosure hierarchy.

	³	Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $188,535.

The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:


	Credit Contracts
Liabilities:
Opening balance, as of August 31, 2011	$	(941	)
Transfers into Level 3⁴		—
Transfers out of Level 3⁴		—
Accrued discounts/premiums		—
Net realized gain (loss)		—
Net change in unrealized appreciation/depreciation⁵		941
Purchases		—
Issues⁶		—
Sales		—
Settlements⁷		—
Closing Balance, as of August 31, 2012		—


	⁴	Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period.

	⁵	Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $0.

	⁶	Issues represent upfront cash received on certain derivative financial instruments.

	⁷	Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.


See Notes to Financial Statements.


34	ANNUAL REPORT	AUGUST 31, 2012



Consolidated Schedule of Investments August 31, 2012	BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets)


Common Stocks	Shares		Value
Auto Components — 2.1%
Dana Holding Corp.		53,700	$	733,542
Delphi Automotive Plc (a)		263,023		7,966,958
				8,700,500
Biotechnology — 0.0%
Ironwood Pharmaceuticals, Inc. (a)		10,590		132,693
Capital Markets — 0.4%
American Capital Ltd. (a)		73,977		813,007
E*Trade Financial Corp. (a)		109,400		937,558
				1,750,565
Chemicals — 0.2%
ADA-ES, Inc. (a)		2,690		63,081
CF Industries Holdings, Inc.		1,530		316,725
Huntsman Corp.		20,750		298,385
				678,191
Commercial Banks — 0.2%
CIT Group, Inc. (a)		25,420		959,859
Communications Equipment — 0.3%
Loral Space & Communications Ltd.		19,132		1,404,671
Diversified Financial Services — 0.5%
Kcad Holdings I Ltd.		330,305,058		2,190,253
Diversified Telecommunication Services — 0.2%
Level 3 Communications, Inc. (a)		33,620		724,511
Electrical Equipment — 0.0%
Medis Technologies Ltd. (a)		109,685		329
Energy Equipment & Services — 1.1%
Laricina Energy Ltd. (a)		70,588		3,043,358
Osum Oil Sands Corp. (a)		120,000		1,521,684
				4,565,042
Hotels, Restaurants & Leisure — 0.0%
Travelport Worldwide Ltd. (a)(b)(c)		113,632		14,772
Media — 2.3%
Belo Corp., Class A		32,921		240,323
Charter Communications, Inc. (a)		108,248		8,421,694
Clear Channel Outdoor Holdings, Inc., Class A		14,202		74,561
Cumulus Media, Inc., Class A		138,454		383,518
DISH Network Corp., Class A		8,770		280,552
				9,400,648
Metals & Mining — 0.1%
African Minerals Ltd. (a)		65,551		262,341
Oil, Gas & Consumable Fuels — 0.1%
African Petroleum Corp. Ltd. (a)		294,600		377,414
Paper & Forest Products — 0.2%
Ainsworth Lumber Co. Ltd. (a)		181,600		397,926
Ainsworth Lumber Co. Ltd. (a)(d)		208,741		457,398
Western Forest Products, Inc. (a)		74,889		81,290
Western Forest Products, Inc. (a)		74,936		81,341
				1,017,955
Semiconductors & Semiconductor
Equipment — 0.3%
NXP Semiconductors NV (a)		8,000		186,560
Spansion, Inc., Class A (a)		94,583		1,081,084
SunPower Corp. (a)		200		896
				1,268,540
Software — 0.2%
Bankruptcy Management Solutions, Inc. (a)		737		7
HMH Holdings/EduMedia (a)		30,127		738,103
				738,110
Total Common Stocks — 8.2%				34,186,394


Corporate Bonds	Par (000)		Value
Aerospace & Defense — 0.7%
Huntington Ingalls Industries, Inc.:
6.88%, 3/15/18	USD	340	$	363,800
7.13%, 3/15/21		480		519,600
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17		1,244		1,324,860
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (d)		590		533,860
				2,742,120
Air Freight & Logistics — 0.4%
National Air Cargo Group, Inc.:
Series 1, 12.38%, 9/02/15		884		900,201
Series 2, 12.38%, 8/16/15		894		910,655
				1,810,856
Airlines — 1.5%
American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 4/15/23		1,614		1,710,740
Continental Airlines, Inc., Class B:
Series 1997-4, 6.90%, 7/02/18		50		49,590
Series 2010-1, 6.00%, 7/12/20		622		626,172
Delta Air Lines, Inc.:
Series 2002-1, Class G-1, 6.72%, 7/02/24		905		982,366
Series 2009-1 Series B, 9.75%, 6/17/18		267		288,049
Series 2010-1, Class B, 6.38%, 7/02/17		800		800,000
US Airways Pass-Through Trust, Class C:
Series 2011-1, 10.88%, 10/22/14		1,004		1,028,672
Series 2012-1, 9.13%, 10/01/15		670		683,400
				6,168,989
Auto Components — 2.1%
Dana Holding Corp., 6.75%, 2/15/21		660		711,150
Delphi Corp., 6.13%, 5/15/21		260		286,000
Icahn Enterprises LP, 8.00%, 1/15/18		4,815		5,127,975
IDQ Holdings, Inc., 11.50%, 4/01/17 (d)		585		612,056
International Automotive Components Group SL, 9.13%, 6/01/18 (d)		70		67,113
Jaguar Land Rover Plc, 8.25%, 3/15/20	GBP	712		1,192,459
Titan International, Inc., 7.88%, 10/01/17	USD	685		717,537
				8,714,290
Beverages — 0.2%
Crown European Holdings SA:
7.13%, 8/15/18	EUR	242		334,826
7.13%, 8/15/18 (d)		285		394,320
Refresco Group BV, 7.38%, 5/15/18		107		126,510
				855,656
Biotechnology — 0.0%
QHP Royalty Sub LLC, 10.25%, 3/15/15 (d)	USD	80		79,676
Building Products — 0.8%
Building Materials Corp. of America (d):
7.00%, 2/15/20		810		876,825
6.75%, 5/01/21		1,170		1,278,225
Momentive Performance Materials, Inc., 11.50%, 12/01/16		555		338,550
USG Corp., 9.75%, 1/15/18		890		954,525
				3,448,125
Capital Markets — 0.8%
E*Trade Financial Corp.:
12.50%, 11/30/17 (c)		1,575		1,797,469
2.26%, 8/31/19 (d)(e)(f)		356		304,380
KKR Group Finance Co. LLC, 6.38%, 9/29/20 (d)		970		1,097,992
				3,199,841


See Notes to Financial Statements.


	ANNUAL REPORT	AUGUST 31, 2012	35



Consolidated Schedule of Investments (continued)	BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Chemicals — 4.1%
Basell Finance Co. BV, 8.10%, 3/15/27 (d)	USD	610	$	814,350
Celanese US Holdings LLC, 5.88%, 6/15/21		2,640		2,917,200
Chemtura Corp., 7.88%, 9/01/18		455		490,263
Hexion US Finance Corp.:
6.63%, 4/15/20 (a)		355		358,550
9.00%, 11/15/20		460		393,300
Huntsman International LLC, 8.63%, 3/15/21		250		286,250
INEOS Finance Plc (d):
8.38%, 2/15/19		1,265		1,331,412
7.50%, 5/01/20		650		663,000
INEOS Group Holdings Plc, 8.50%, 2/15/16 (d)		220		207,350
Kinove German Bondco GmbH, 10.00%, 6/15/18	EUR	505		692,219
Kraton Polymers LLC, 6.75%, 3/01/19	USD	185		189,625
LyondellBasell Industries NV, 5.75%, 4/15/24 (a)		4,180		4,733,850
Nexeo Solutions LLC, 8.38%, 3/01/18 (d)		275		268,813
PolyOne Corp., 7.38%, 9/15/20		320		349,600
TPC Group LLC, 8.25%, 10/01/17		495		543,262
Tronox Finance LLC, 6.38%, 8/15/20 (d)		2,800		2,828,000
				17,067,044
Commercial Banks — 0.9%
CIT Group, Inc.:
7.00%, 5/02/16 (d)		567		568,472
5.25%, 3/15/18		830		865,275
5.50%, 2/15/19 (d)		790		823,575
5.00%, 8/15/22		860		866,515
6.00%, 4/01/36		810		733,722
Glitnir Banki HF, 6.38%, 9/25/12 (a)(d)(g)		1,005		—
				3,857,559
Commercial Services & Supplies — 2.0%
ARAMARK Corp., 8.50%, 2/01/15		530		543,255
ARAMARK Holdings Corp., 8.63%, 5/01/16 (c)(d)		650		665,444
Aviation Capital Group Corp., 6.75%, 4/06/21 (d)		800		821,400
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (d)		236		249,250
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (d)		38		38,380
Casella Waste Systems, Inc., 7.75%, 2/15/19		689		682,110
Clean Harbors, Inc., 5.25%, 8/01/20 (d)		780		800,475
Covanta Holding Corp., 6.38%, 10/01/22		940		1,027,770
EC Finance Plc, 9.75%, 8/01/17	EUR	440		573,494
Mead Products LLC/ACCO Brands Corp., 6.75%, 4/30/20 (d)	USD	325		343,688
Mobile Mini, Inc., 7.88%, 12/01/20		545		584,513
RSC Equipment Rental, Inc., 8.25%, 2/01/21		1,287		1,409,265
Verisure Holding AB:
8.75%, 9/01/18	EUR	274		344,637
8.75%, 12/01/18		134		149,162
West Corp., 8.63%, 10/01/18	USD	205		208,075
				8,440,918
Communications Equipment — 1.8%
Avaya, Inc., 9.75%, 11/01/15		1,110		962,925
Frontier Communications Corp., 6.25%, 1/15/13		1,330		1,353,275
Hughes Satellite Systems Corp., 6.50%, 6/15/19		590		632,037
Zayo Group LLC/Zayo Capital, Inc.:
8.13%, 1/01/20		2,280		2,422,500
10.13%, 7/01/20		1,880		2,016,300
				7,387,037
Computers & Peripherals — 0.1%
SanDisk Corp., 1.50%, 8/15/17 (e)		330		365,475


Corporate Bonds	Par (000)		Value
Construction & Engineering — 0.2%
Boart Longyear Management Property Ltd., 7.00%, 4/01/21 (d)	USD	275	$	285,313
H&E Equipment Services, Inc., 7.00%, 9/01/22 (d)		490		508,375
URS Corp., 5.00%, 4/01/22 (d)		105		106,469
				900,157
Construction Materials — 1.4%
HD Supply, Inc. (d):
8.13%, 4/15/19		2,280		2,473,800
11.00%, 4/15/20		2,160		2,376,000
Xefin Lux SCA:
8.00%, 6/01/18 (d)	EUR	376		461,109
8.00%, 6/01/18		315		386,302
				5,697,211
Consumer Finance — 0.2%
Credit Acceptance Corp., 9.13%, 2/01/17	USD	660		726,000
Springleaf Finance (FKA AGFS Funding Co.), 6.90%, 12/15/17		155		127,487
				853,487
Containers & Packaging — 1.6%
Ardagh Packaging Finance Plc:
7.38%, 10/15/17 (d)	EUR	600		798,074
7.38%, 10/15/17		100		133,012
7.38%, 10/15/17 (d)	USD	200		214,250
7.38%, 10/15/17	EUR	200		266,025
9.13%, 10/15/20 (d)	USD	590		613,600
9.13%, 10/15/20 (d)		210		219,450
9.13%, 10/15/20 (d)		249		259,582
Berry Plastics Corp.:
4.34%, 9/15/14 (b)		445		438,325
8.25%, 11/15/15		175		184,188
9.75%, 1/15/21		610		675,575
Beverage Packaging Holdings Luxembourg II SA,
8.00%, 12/15/16	EUR	867		1,068,702
GCL Holdings SCA, 9.38%, 4/15/18 (d)		394		480,706
Graphic Packaging International, Inc., 7.88%, 10/01/18	USD	550		613,250
OI European Group BV, 6.88%, 3/31/17	EUR	233		302,592
Sealed Air Corp., 8.38%, 9/15/21 (d)	USD	275		309,375
Tekni-Plex, Inc., 9.75%, 6/01/19 (d)		265		276,925
				6,853,631
Distributors — 0.6%
VWR Funding, Inc., 7.25%, 9/15/17 (d)(h)		2,390		2,419,875
Diversified Consumer Services — 1.5%
Laureate Education, Inc., 9.25%, 9/01/19 (d)		895		895,000
Service Corp. International, 7.00%, 6/15/17		4,425		5,044,500
ServiceMaster Co., 8.00%, 2/15/20		280		298,550
				6,238,050
Diversified Financial Services — 4.4%
Aircastle Ltd., 6.75%, 4/15/17		690		745,200
Ally Financial, Inc.:
7.50%, 12/31/13		460		491,625
8.00%, 11/01/31		4,395		5,197,087
8.00%, 11/01/31		920		1,092,034
CNG Holdings, Inc., 9.38%, 5/15/20 (d)		450		459,000
DPL, Inc., 7.25%, 10/15/21 (d)		1,725		1,966,500
Gala Group Finance Plc, 8.88%, 9/01/18	GBP	300		444,201
General Motors Financial Co., Inc., 6.75%, 6/01/18	USD	460		510,022
Lehman Brothers Holdings, Inc. (a)(g):
5.38%, 10/17/12	EUR	200		64,148
1.00%, 5/17/13	USD	915		225,319
4.75%, 1/16/14	EUR	1,130		362,435
1.00%, 2/05/14		2,350		764,082
1.00%, 9/22/18	USD	255		62,794


See Notes to Financial Statements.


36	ANNUAL REPORT	AUGUST 31, 2012



Consolidated Schedule of Investments (continued)	BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Diversified Financial Services (concluded)
Leucadia National Corp., 8.13%, 9/15/15	USD	1,148	$	1,294,370
Reynolds Group Issuer, Inc.:
7.75%, 10/15/16	EUR	255		331,163
7.13%, 4/15/19	USD	365		393,288
9.75%, 4/15/19 (d)		400		406,500
7.88%, 8/15/19 (d)		585		650,812
9.88%, 8/15/19 (d)		1,600		1,692,000
8.25%, 2/15/21 (d)		195		191,588
WMG Acquisition Corp.:
9.50%, 6/15/16 (d)		180		196,650
11.50%, 10/01/18		618		678,255
				18,219,073
Diversified Telecommunication Services — 2.3%
Broadview Networks Holdings, Inc., 11.38%, 9/01/12 (a)(g)		1,530		1,032,750
Consolidated Communications Finance Co., 10.88%, 6/01/20 (d)		885		949,163
ITC Deltacom, Inc., 10.50%, 4/01/16		420		452,550
Level 3 Communications, Inc., 8.88%, 6/01/19 (d)		475		484,500
Level 3 Financing, Inc.:
8.13%, 7/01/19		1,956		2,048,910
7.00%, 6/01/20 (d)		849		844,755
8.63%, 7/15/20 (a)		1,260		1,348,200
OTE Plc, 5.00%, 8/05/13	EUR	160		174,426
Telefonica Emisiones SAU, 4.69%, 11/11/19		50		58,042
Telenet Finance V Luxembourg SCA:
6.25%, 8/15/22		221		279,364
6.75%, 8/15/24		520		663,867
Windstream Corp.:
8.13%, 8/01/13	USD	510		538,050
7.88%, 11/01/17		630		685,125
				9,559,702
Electric Utilities — 0.7%
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17		433		465,354
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14	EUR	1,800		2,253,399
				2,718,753
Electrical Equipment — 0.1%
Belden, Inc., 5.50%, 9/01/22 (d)	USD	550		551,375
Electronic Equipment, Instruments & Components — 0.5%
CDW LLC/CDW Finance Corp., 8.50%, 4/01/19		559		612,105
Jabil Circuit, Inc., 8.25%, 3/15/18		350		420,000
Micron Technology, Inc., 2.38%, 5/01/32 (d)(e)		651		619,264
NXP BV/NXP Funding LLC, 9.75%, 8/01/18 (d)		300		342,750
				1,994,119
Energy Equipment & Services — 3.4%
Atwood Oceanics, Inc., 6.50%, 2/01/20		205		218,838
Calfrac Holdings LP, 7.50%, 12/01/20 (d)		585		573,300
Compagnie Générale de Géophysique, Veritas:
7.75%, 5/15/17		365		381,425
6.50%, 6/01/21		1,855		1,931,519
Forbes Energy Services Ltd., 9.00%, 6/15/19		540		523,800
FTS International Services Inc, 8.13%, 11/15/18 (d)		2,595		2,679,337
Gulfmark Offshore, Inc., 6.38%, 3/15/22 (d)		230		234,600
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20		465		474,300
Key Energy Services, Inc., 6.75%, 3/01/21		665		676,637
MEG Energy Corp. (d):
6.50%, 3/15/21		1,790		1,883,975
6.38%, 1/30/23		670		698,475
Oil States International, Inc., 6.50%, 6/01/19		470		499,375


Corporate Bonds	Par (000)		Value
Energy Equipment & Services (concluded)
Peabody Energy Corp.:
6.25%, 11/15/21 (d)	USD	2,060	$	2,096,050
7.88%, 11/01/26		555		592,463
Precision Drilling Corp.:
6.63%, 11/15/20		115		120,750
6.50%, 12/15/21		440		462,000
				14,046,844
Food & Staples Retailing — 0.2%
Bakkavor Finance 2 Plc, 8.25%, 2/15/18	GBP	311		434,563
Rite Aid Corp., 9.25%, 3/15/20	USD	555		570,263
				1,004,826
Food Products — 0.4%
Darling International, Inc., 8.50%, 12/15/18		170		192,525
Del Monte Corp., 7.63%, 2/15/19		90		89,888
Post Holdings, Inc., 7.38%, 2/15/22 (d)		640		674,400
Smithfield Foods, Inc., 6.63%, 8/15/22		867		887,591
				1,844,404
Health Care Equipment & Supplies — 1.5%
Biomet, Inc. (d):
10.00%, 10/15/17		285		301,566
6.50%, 8/01/20		1,042		1,081,075
DJO Finance LLC:
10.88%, 11/15/14		766		799,512
8.75%, 3/15/18 (d)		665		706,563
7.75%, 4/15/18		155		141,825
Fresenius Medical Care US Finance II, Inc., 5.88%, 1/31/22 (d)		965		1,025,312
Fresenius Medical Care US Finance, Inc., 6.50%, 9/15/18 (d)		308		345,345
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (d)		800		921,000
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19 (d)		430		390,225
Teleflex, Inc., 6.88%, 6/01/19		435		465,450
				6,177,873
Health Care Providers & Services — 7.4%
Aviv Healthcare Properties LP, 7.75%, 2/15/19		845		878,800
CHS/Community Health Systems, Inc.:
5.13%, 8/15/18		1,180		1,216,875
7.13%, 7/15/20		669		700,777
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (d)	EUR	694		934,017
Crown Newco 3 Plc, 7.00%, 2/15/18 (d)	GBP	547		875,069
DaVita, Inc., 5.75%, 8/15/22	USD	1,369		1,423,760
HCA, Inc.:
8.50%, 4/15/19		200		225,500
6.50%, 2/15/20		3,480		3,823,650
7.88%, 2/15/20		135		150,694
7.25%, 9/15/20		3,840		4,255,200
5.88%, 3/15/22		405		430,819
Hologic, Inc., 6.25%, 8/01/20 (d)		2,366		2,505,002
IASIS Healthcare LLC, 8.38%, 5/15/19		2,299		2,192,671
INC Research LLC, 11.50%, 7/15/19 (d)		605		592,900
inVentiv Health, Inc., 10.00%, 8/15/18 (d)		195		164,288
Omnicare, Inc., 7.75%, 6/01/20		1,460		1,609,650
PSS World Medical, Inc., 6.38%, 3/01/22		494		522,405
Symbion, Inc., 8.00%, 6/15/16		510		515,419
Tenet Healthcare Corp.:
10.00%, 5/01/18		1,042		1,198,300
6.25%, 11/01/18		485		526,528
8.88%, 7/01/19		4,505		5,124,437
United Surgical Partners International, Inc., 9.00%, 4/01/20 (d)		430		461,713
Vanguard Health Holding Co. II LLC, 7.75%, 2/01/19 (d)		685		714,112
				31,042,586


See Notes to Financial Statements.


	ANNUAL REPORT	AUGUST 31, 2012	37



Consolidated Schedule of Investments (continued)	BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Health Care Technology — 1.0%
IMS Health, Inc., 12.50%, 3/01/18 (d)	USD	3,550	$	4,171,250
Hotels, Restaurants & Leisure — 4.5%
Affinity Gaming LLC/Affinity Gaming Finance Corp., 9.00%, 5/15/18 (d)		425		432,438
Caesars Entertainment Operating Co., Inc.:
11.25%, 6/01/17		2,115		2,278,912
10.00%, 12/15/18		3,962		2,496,060
8.50%, 2/15/20 (d)		455		448,744
Caesars Operating Escrow LLC, 9.00%, 2/15/20 (d)		2,472		2,459,640
Carlson Wagonlit BV, 6.88%, 6/15/19 (d)		485		504,400
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18	EUR	305		336,634
Diamond Resorts Corp., 12.00%, 8/15/18	USD	1,770		1,882,838
El Dorado Resorts LLC, 8.63%, 6/15/19 (d)		200		195,000
Enterprise Inns Plc, 6.50%, 12/06/18	GBP	477		655,155
Gategroup Finance Luxembourg SA, 6.75%, 3/01/19	EUR	345		443,705
Little Traverse Bay Bands of Odawa Indians, 9.00%, 8/31/20 (d)	USD	433		394,030
MGM Resorts International:
10.38%, 5/15/14		295		334,825
4.25%, 4/15/15 (e)		1,600		1,616,000
11.13%, 11/15/17		2,085		2,319,562
MTR Gaming Group, Inc., 11.50%, 8/01/19 (c)		221		227,180
Travelport LLC:
5.05%, 9/01/14 (b)		245		173,950
9.88%, 9/01/14		55		43,725
9.00%, 3/01/16		180		127,800
6.46%, 12/01/16 (b)(c)(d)		619		478,188
Tropicana Entertainment LLC, 9.63%, 12/15/14 (a)(g)		475		—
Wynn Las Vegas LLC, 5.38%, 3/15/22 (d)		910		930,475
				18,779,261
Household Durables — 1.8%
Beazer Homes USA, Inc., 6.63%, 4/15/18 (d)		55		56,238
Jarden Corp., 7.50%, 1/15/20	EUR	447		605,810
Libbey Glass, Inc., 6.88%, 5/15/20 (d)	USD	905		964,956
Pulte Group, Inc., 6.38%, 5/15/33		280		243,600
Ryland Group, Inc., 6.63%, 5/01/20		500		527,500
Spie BondCo 3 SCA, 11.00%, 8/15/19	EUR	446		569,393
Standard Pacific Corp.:
10.75%, 9/15/16	USD	2,210		2,668,575
8.38%, 1/15/21		1,575		1,756,125
				7,392,197
Household Products — 0.5%
Ontex IV SA:
7.50%, 4/15/18	EUR	105		134,050
7.50%, 4/15/18 (d)		220		280,867
9.00%, 4/15/19		213		246,478
Spectrum Brands Holdings, Inc.:
9.50%, 6/15/18 (d)	USD	865		987,181
9.50%, 6/15/18		530		604,863
				2,253,439
Independent Power Producers & Energy Traders — 2.9%
The AES Corp., 7.38%, 7/01/21		405		463,725
Calpine Corp. (d):
7.25%, 10/15/17		265		283,550
7.50%, 2/15/21		150		166,500
7.88%, 1/15/23		655		740,150
Energy Future Holdings Corp., 10.00%, 1/15/20		2,790		3,075,975


Corporate Bonds	Par (000)		Value
Independent Power Producers & Energy Traders (concluded)
Energy Future Intermediate Holding Co. LLC:
6.88%, 8/15/17 (d)	USD	450	$	459,563
10.00%, 12/01/20		3,777		4,239,682
11.75%, 3/01/22 (d)		518		551,670
GenOn REMA LLC, 9.24%, 7/02/17		357		383,853
Laredo Petroleum, Inc.:
9.50%, 2/15/19		730		828,550
7.38%, 5/01/22		550		591,250
QEP Resources, Inc., 5.38%, 10/01/22		488		500,200
				12,284,668
Industrial Conglomerates — 2.4%
Sequa Corp. (d):
11.75%, 12/01/15		3,550		3,727,500
13.50%, 12/01/15		5,797		6,144,584
				9,872,084
Insurance — 1.0%
Alliant Holdings I, Inc., 11.00%, 5/01/15 (d)(h)		2,500		2,584,375
CNO Financial Group, Inc., 9.00%, 1/15/18 (d)		543		593,906
Genworth Financial, Inc., 7.63%, 9/24/21		630		643,734
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (d)		375		335,625
				4,157,640
IT Services — 3.1%
Ceridian Corp., 8.88%, 7/15/19 (d)		2,185		2,343,413
Epicor Software Corp., 8.63%, 5/01/19		820		844,600
First Data Corp.:
7.38%, 6/15/19 (d)		2,315		2,390,237
8.88%, 8/15/20 (d)		795		866,550
6.75%, 11/01/20 (d)		1,310		1,300,175
8.25%, 1/15/21 (d)		890		882,213
12.63%, 1/15/21		2,415		2,445,187
SunGard Data Systems, Inc.:
7.38%, 11/15/18		810		860,625
7.63%, 11/15/20		880		943,800
				12,876,800
Machinery — 1.2%
SPX Corp., 6.88%, 9/01/17		260		288,600
UR Financing Escrow Corp., 5.75%, 7/15/18 (d)		379		400,792
UR Merger Sub Corp. (d):
7.38%, 5/15/20		655		694,300
7.63%, 4/15/22		3,206		3,462,480
				4,846,172
Media — 12.9%
Affinion Group, Inc., 7.88%, 12/15/18		1,200		858,000
AMC Networks, Inc., 7.75%, 7/15/21		330		373,725
CCO Holdings LLC:
6.50%, 4/30/21		744		797,940
5.25%, 9/30/22		1,450		1,435,500
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (d)		1,850		1,947,125
Checkout Holding Corp., 16.00%, 11/15/15 (d)(f)		995		606,950
Cinemark USA, Inc., 8.63%, 6/15/19		375		420,000
Clear Channel Communications, Inc., 9.00%, 3/01/21		658		564,235
Clear Channel Worldwide Holdings, Inc.:
Series A, 9.25%, 12/15/17		2,201		2,382,583
Series B, 9.25%, 12/15/17		7,938		8,622,652
Series B, 7.63%, 3/15/20		2,411		2,338,670
Cox Enterprises, Inc.:
Loan Close 2, 4.00%, 8/15/18		1,048		1,049,133
Loan Close 3, 4.00%, 8/15/18		1,198		1,199,461
Shares Loan, 4.00%, 8/15/18		1,236		1,237,066
CSC Holdings LLC, 8.50%, 4/15/14		580		637,275


See Notes to Financial Statements.


38	ANNUAL REPORT	AUGUST 31, 2012



Consolidated Schedule of Investments (continued)	BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Media (concluded)
DISH DBS Corp., 5.88%, 7/15/22 (d)	USD	1,710	$	1,722,825
Harron Communications LP, 9.13%, 4/01/20 (d)		470		508,775
Intelsat Jackson Holdings SA:
11.25%, 6/15/16		1,302		1,370,355
7.25%, 10/15/20 (d)		1,210		1,303,775
Intelsat Luxembourg SA:
11.25%, 2/04/17		910		955,500
11.50%, 2/04/17 (c)		1,765		1,853,250
Interactive Data Corp., 10.25%, 8/01/18		1,990		2,243,725
The Interpublic Group of Cos., Inc., 10.00%, 7/15/17		500		558,750
Kabel Deutschland Vertrieb und Service GmbH & Co. KG, 6.50%, 6/29/18 (d)	EUR	505		684,416
Lamar Media Corp., 5.88%, 2/01/22	USD	210		222,600
Live Nation Entertainment, Inc., 8.13%, 5/15/18 (d)		1,130		1,209,100
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (d)		743		828,445
Nielsen Finance LLC:
11.63%, 2/01/14		91		103,285
7.75%, 10/15/18		3,340		3,757,500
Odeon & UCI Finco Plc, 9.00%, 8/01/18 (d)	GBP	308		485,390
ProQuest LLC, 9.00%, 10/15/18 (d)	USD	745		683,538
Truven Health Analytics, Inc., 10.63%, 6/01/20 (d)		760		811,300
Unitymedia GmbH:
9.63%, 12/01/19	EUR	235		332,161
9.63%, 12/01/19 (d)		845		1,194,368
9.50%, 3/15/21		518		743,570
Unitymedia Hessen GmbH & Co. KG:
8.13%, 12/01/17 (d)	USD	1,382		1,496,015
8.13%, 12/01/17 (d)	EUR	180		244,233
7.50%, 3/15/19		1,249		1,720,236
UPC Holding BV, 9.88%, 4/15/18 (d)	USD	640		718,400
UPCB Finance II Ltd.:
6.38%, 7/01/20	EUR	514		675,602
6.38%, 7/01/20 (d)		1,218		1,600,940
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (d)	USD	445		458,350
Ziggo Bond Co. BV, 8.00%, 5/15/18 (d)	EUR	583		804,794
Ziggo Finance BV, 6.13%, 11/15/17 (d)		102		136,956
				53,898,469
Metals & Mining — 3.7%
Eco-Bat Finance Plc, 7.75%, 2/15/17		585		743,171
FMG Resources August 2006 Property Ltd. (d):
6.88%, 2/01/18	USD	520		495,300
6.88%, 4/01/22		270		248,400
Global Brass and Copper, Inc., 9.50%, 6/01/19 (d)		445		468,363
Goldcorp, Inc., 2.00%, 8/01/14 (e)		1,575		1,815,187
Kaiser Aluminum Corp., 8.25%, 6/01/20 (d)		330		349,800
New Gold, Inc., 7.00%, 4/15/20 (d)		225		236,813
New World Resources NV, 7.88%, 5/01/18	EUR	990		1,238,996
Newmont Mining Corp., Series A, 1.25%, 7/15/14 (e)	USD	2,170		2,758,612
Novelis, Inc., 8.75%, 12/15/20		4,920		5,498,100
Schmolz + Bickenbach Luxembourg SA, 9.88%, 5/15/19	EUR	364		369,705
Steel Dynamics, Inc., 6.38%, 8/15/22 (d)	USD	355		367,425
Taseko Mines Ltd., 7.75%, 4/15/19		605		576,263
Vedanta Resources Plc, 8.25%, 6/07/21 (d)		415		396,325
				15,562,460


Corporate Bonds	Par (000)		Value
Multiline Retail — 0.3%
Dollar General Corp., 4.13%, 7/15/17 (b)	USD	1,169	$	1,215,760
Oil, Gas & Consumable Fuels — 10.8%
Access Midstream Partners LP, 6.13%, 7/15/22		405		420,187
Alpha Appalachia Holdings, Inc., 3.25%, 8/01/15 (e)		1,222		1,096,745
Alpha Natural Resources, Inc.:
6.00%, 6/01/19		470		423,000
6.25%, 6/01/21		385		344,575
Aurora USA Oil & Gas, Inc., 9.88%, 2/15/17 (d)		990		1,034,550
Berry Petroleum Co., 6.38%, 9/15/22		605		644,325
BreitBurn Energy Partners LP, 7.88%, 4/15/22 (d)		375		382,500
CCS, Inc., 11.00%, 11/15/15 (d)		840		869,400
Chaparral Energy, Inc., 7.63%, 11/15/22 (d)		325		343,688
Chesapeake Energy Corp.:
7.25%, 12/15/18		25		26,188
6.63%, 8/15/20		260		267,150
6.88%, 11/15/20		260		269,750
6.13%, 2/15/21		885		878,362
Coffeyville Resources LLC, 9.00%, 4/01/15 (d)		172		183,180
Concho Resources, Inc.:
7.00%, 1/15/21		245		273,175
6.50%, 1/15/22		160		172,800
5.50%, 10/01/22		700		722,750
Consol Energy, Inc., 8.25%, 4/01/20		2,595		2,796,112
Continental Resources, Inc., 7.13%, 4/01/21		545		610,400
Copano Energy LLC, 7.13%, 4/01/21		445		465,025
Crosstex Energy LP:
8.88%, 2/15/18		265		282,888
7.13%, 6/01/22 (d)		225		223,875
Crown Oil Partners IV LP, 15.00%, 3/07/15		886		886,408
Denbury Resources, Inc., 8.25%, 2/15/20		65		73,775
Energy XXI Gulf Coast, Inc.:
9.25%, 12/15/17		825		919,875
7.75%, 6/15/19		1,330		1,413,125
EP Energy LLC/EP Energy Finance, Inc., 6.88%, 5/01/19 (d)		510		546,975
EP Energy LLC/Everest Acquisition Finance, Inc., 7.75%, 9/01/22 (d)		315		315,788
EV Energy Partners LP, 8.00%, 4/15/19		215		221,988
Hilcorp Energy I LP, 7.63%, 4/15/21 (d)		1,115		1,226,500
Holly Energy Partners LP, 6.50%, 3/01/20 (d)		230		240,350
Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (d)		510		541,875
Linn Energy LLC:
6.50%, 5/15/19 (d)		145		144,275
6.25%, 11/01/19 (d)		3,010		2,972,375
8.63%, 4/15/20		330		356,400
7.75%, 2/01/21		305		317,963
MarkWest Energy Partners LP:
6.25%, 6/15/22		120		127,500
5.50%, 2/15/23		350		357,875
Newfield Exploration Co., 6.88%, 2/01/20		1,150		1,256,375
Northern Oil and Gas, Inc., 8.00%, 6/01/20 (d)		460		469,200
Oasis Petroleum, Inc.:
7.25%, 2/01/19		385		406,175
6.50%, 11/01/21		430		438,600
Offshore Group Investments Ltd.:
11.50%, 8/01/15		485		535,925
11.50%, 8/01/15 (d)		1,965		2,171,325
OGX Petroleo e Gas Participações SA (d):
8.50%, 6/01/18		3,442		3,054,775
8.38%, 4/01/22		835		709,750
PBF Holding Co. LLC, 8.25%, 2/15/20 (d)		435		454,575
PetroBakken Energy Ltd., 8.63%, 2/01/20 (d)		1,775		1,814,937
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (d)		650		693,875


See Notes to Financial Statements.


	ANNUAL REPORT	AUGUST 31, 2012	39



Consolidated Schedule of Investments (continued)	BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Oil, Gas & Consumable Fuels (concluded)
Pioneer Natural Resources Co.:
6.88%, 5/01/18	USD	680	$	823,275
7.50%, 1/15/20		215		268,894
Range Resources Corp.:
8.00%, 5/15/19		515		569,075
5.75%, 6/01/21		1,445		1,537,119
5.00%, 8/15/22		644		670,565
Sabine Pass Liquified Natural Gas LP, 7.50%, 11/30/16		905		968,350
Samson Investment Co., 9.75%, 2/15/20 (d)		123		126,690
SandRidge Energy, Inc.:
7.50%, 3/15/21 (d)		1,015		1,027,687
7.50%, 3/15/21		375		379,687
8.13%, 10/15/22 (d)		375		391,875
7.50%, 2/15/23 (d)		810		814,050
SESI LLC:
6.38%, 5/01/19		480		508,800
7.13%, 12/15/21		345		383,812
SM Energy Co.:
6.63%, 2/15/19		195		203,775
6.50%, 11/15/21		390		407,550
6.50%, 1/01/23 (d)		185		192,863
Vanguard Natural Resources, 7.88%, 4/01/20		400		400,000
				45,073,251
Paper & Forest Products — 1.5%
Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (c)(d)		1,861		1,693,524
Boise Paper Holdings LLC:
9.00%, 11/01/17		85		94,138
8.00%, 4/01/20		180		198,900
Clearwater Paper Corp.:
10.63%, 6/15/16		585		653,737
7.13%, 11/01/18		865		945,012
Longview Fibre Paper & Packaging, Inc., 8.00%, 6/01/16 (d)		505		522,675
NewPage Corp., 11.38%, 12/31/14 (a)(g)		3,130		2,120,575
Sappi Papier Holding GmbH, 8.38%, 6/15/19 (d)		200		210,500
				6,439,061
Pharmaceuticals — 1.0%
Capsugel Finance Co. SCA:
9.88%, 8/01/19	EUR	100		140,559
9.88%, 8/01/19 (d)		300		421,678
Pharmaceutical Product Development, Inc., 9.50%, 12/01/19 (d)	USD	520		579,800
Spectrum Brands, Inc., 6.75%, 3/15/20 (d)		385		404,250
Valeant Pharmaceuticals International (d):
6.50%, 7/15/16		1,845		1,946,475
6.75%, 8/15/21		840		852,600
				4,345,362
Professional Services — 0.4%
FTI Consulting, Inc., 6.75%, 10/01/20		1,370		1,462,475
Real Estate Investment Trusts (REITs) — 0.7%
Felcor Lodging LP, 6.75%, 6/01/19		1,790		1,919,775
The Rouse Co. LP, 6.75%, 11/09/15		770		811,387
				2,731,162
Real Estate Management & Development — 2.3%
CBRE Services, Inc., 6.63%, 10/15/20		500		546,250
Crescent Resources LLC/Crescent Ventures, Inc., 10.25%, 8/15/17 (d)		1,050		1,076,250
Forest City Enterprises, Inc., 7.63%, 6/01/15		687		683,136
IVG Immobilien AG, 8.00% (i)	EUR	200		114,208


Corporate Bonds	Par (000)		Value
Real Estate Management & Development (concluded)
Realogy Corp.:
11.50%, 4/15/17	USD	575	$	610,937
12.00%, 4/15/17		145		151,888
7.88%, 2/15/19 (d)		2,995		3,084,850
7.63%, 1/15/20 (d)		750		817,500
9.00%, 1/15/20 (d)		485		523,800
Shea Homes LP, 8.63%, 5/15/19		1,775		1,974,687
				9,583,506
Road & Rail — 1.2%
Florida East Coast Railway Corp., 8.13%, 2/01/17		610		640,500
The Hertz Corp.:
7.50%, 10/15/18		820		884,575
6.75%, 4/15/19 (d)		430		451,500
7.38%, 1/15/21		610		663,375
Hertz Holdings Netherlands BV:
8.50%, 7/31/15	EUR	221		301,602
8.50%, 7/31/15 (d)		1,661		2,266,788
				5,208,340
Semiconductors & Semiconductor Equipment — 0.2%
Spansion LLC, 7.88%, 11/15/17	USD	850		828,750
Software — 1.3%
Audatex North America, Inc., 6.75%, 6/15/18 (d)		770		825,825
Infor US, Inc., 9.38%, 4/01/19 (d)		2,450		2,652,125
Nuance Communications, Inc., 5.38%, 8/15/20 (d)		1,295		1,324,137
Sophia LP, 9.75%, 1/15/19 (d)		645		693,375
				5,495,462
Specialty Retail — 2.8%
Asbury Automotive Group, Inc., 8.38%, 11/15/20		540		596,700
Claire’s Stores, Inc., 9.00%, 3/15/19 (d)		730		757,375
House of Fraser Funding Plc:
8.88%, 8/15/18 (d)	GBP	420		592,705
8.88%, 8/15/18		221		311,876
Limited Brands, Inc.:
8.50%, 6/15/19	USD	1,170		1,404,000
5.63%, 2/15/22		235		247,338
Party City Holdings, Inc., 8.88%, 8/01/20 (d)		1,170		1,237,275
Penske Automotive Group, Inc., 5.75%, 10/01/22 (d)		800		816,000
Phones4u Finance Plc, 9.50%, 4/01/18 (d)	GBP	545		835,091
QVC, Inc. (d):
7.13%, 4/15/17	USD	340		359,625
7.50%, 10/01/19		920		1,019,373
7.38%, 10/15/20		440		490,279
5.13%, 7/02/22		632		662,426
Sally Holdings LLC:
6.88%, 11/15/19		805		899,587
5.75%, 6/01/22		640		688,800
Sonic Automotive, Inc., 9.00%, 3/15/18		550		600,875
				11,519,325
Textiles, Apparel & Luxury Goods — 0.2%
Levi Strauss & Co., 6.88%, 5/01/22		645		669,188
Trading Companies & Distributors — 0.7%
Ashtead Capital, Inc., 6.50%, 7/15/22 (d)		735		764,400
Doric Nimrod Air Finance Alpha Ltd. (d):
Series 2012-1, Class A, 5.13%, 11/30/24		1,130		1,146,950
Series 2012-1, Class B, 6.50%, 5/30/21		855		865,106
				2,776,456
Transportation Infrastructure — 0.2%
Aguila 3 SA, 7.88%, 1/31/18 (d)		632		665,970


See Notes to Financial Statements.


40	ANNUAL REPORT	AUGUST 31, 2012



Consolidated Schedule of Investments (continued)	BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Wireless Telecommunication Services — 4.2%
Cricket Communications, Inc.:
7.75%, 5/15/16	USD	900	$	949,500
7.75%, 10/15/20		325		315,250
Digicel Group Ltd. (d):
9.13%, 1/15/15		2,787		2,814,870
8.25%, 9/01/17		1,650		1,749,000
10.50%, 4/15/18		1,480		1,598,400
Matterhorn Mobile Holdings SA, 8.25%, 2/15/20	EUR	296		403,024
MetroPCS Wireless, Inc., 6.63%, 11/15/20	USD	1,150		1,190,250
NII Capital Corp., 7.63%, 4/01/21		517		399,383
SBA Telecommunications, Inc., 5.75%, 7/15/20 (d)		422		440,990
Sprint Capital Corp., 6.88%, 11/15/28		2,703		2,446,215
Sprint Nextel Corp. (d):
9.00%, 11/15/18		2,640		3,115,200
7.00%, 3/01/20		1,960		2,146,200
				17,568,282
Total Corporate Bonds — 104.6%				435,936,342


Floating Rate Loan Interests (b)
Airlines — 0.2%
Delta Air Lines, Inc., Term Loan B, 5.50%, 4/20/17		651		655,226
Auto Components — 0.6%
Federal-Mogul Corp., Term Loan B, 2.17%, 12/29/14		1,791		1,708,812
Schaeffler AG, Term Loan C2, 6.00%, 1/27/17		735		737,146
				2,445,958
Building Products — 0.2%
Goodman Global, Inc., Term Loan (Second Lien), 9.00%, 10/30/17		748		757,545
Capital Markets — 0.7%
American Capital Holdings, Term Loan, 5.50%, 7/19/16		1,197		1,201,489
Nuveen Investments, Inc.:
Incremental Term Loan, 7.25%, 5/13/17		995		999,477
Second Lien Term Loan, 8.25%, 2/28/19		615		618,844
				2,819,810
Chemicals — 0.7%
Evergreen Acqco 1 LP, Term Loan B, 6.25%, 7/09/19		250		252,345
INEOS US Finance LLC, 6 Year Term Loan, 6.50%, 5/04/18		1,696		1,698,226
PQ Corp. (FKA Niagara Acquisition, Inc.), Term Loan B, 3.98%, 7/30/14		348		341,624
Styron Sarl LLC, Term Loan B, 8.00%, 8/02/17		552		513,695
				2,805,890
Commercial Services & Supplies — 0.7%
AWAS Finance Luxembourg Sarl, Term Loan B, 5.25%, 6/10/16		676		675,572
Delos Aircraft, Inc., Term Loan B2, 4.75%, 4/12/16		875		883,750
Volume Services America, Inc., Term Loan B, 10.50% – 10.75%, 9/16/16		1,474		1,473,750
				3,033,072
Communications Equipment — 0.8%
Avaya, Inc., Term Loan B1, 3.18%, 10/24/14		373		358,107
Zayo Group, LLC, Term Loan B, 7.13%, 7/02/19		3,075		3,120,172
				3,478,279
Construction & Engineering — 0.7%
Safway Services LLC, Mezzanine Loan, 15.63%, 12/16/17		3,000		3,000,000


Floating Rate Loan Interests (b)	Par (000)		Value
Construction Materials — 0.4%
HD Supply, Inc., Senior Debt B, 7.25%, 10/12/17	USD	1,650	$	1,685,755
Consumer Finance — 1.7%
Springleaf Financial Funding Co. (FKA AGFS Funding Co.), Term Loan, 5.50%, 5/10/17		7,480		7,223,810
Diversified Consumer Services — 0.1%
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18		214		208,659
ServiceMaster Co.:
Delayed Draw Term Loan, 2.74%, 7/24/14		12		12,416
Term Loan, 2.75% – 2.97%, 7/24/14		125		124,686
				345,761
Diversified Financial Services — 0.5%
Residential Capital LLC:
DIP Term Loan A1, 5.00%, 11/18/13		1,850		1,854,625
DIP Term Loan A2, 6.75%, 11/18/13		270		273,151
				2,127,776
Diversified Telecommunication Services — 0.5%
Level 3 Financing, Inc.:
2016 Term Loan B, 4.75%, 2/01/16		500		501,000
2019 Term Loan B, 5.25%, 8/01/19		405		405,591
Term Loan B3, 5.75%, 8/31/18		1,200		1,203,168
				2,109,759
Electronic Equipment, Instruments & Components — 0.1%
CDW LLC, Extended Term Loan, 4.00%, 7/14/17		404		398,710
Energy Equipment & Services — 2.2%
Dynegy Midwest Generation LLC, Coal Co. Term Loan, 9.25%, 8/04/16		2,928		3,037,399
Dynegy Power LLC, Gas Co. Term Loan, 9.25%, 8/04/16		5,359		5,609,925
Tervita Corp., Incremental Term Loan, 6.50%, 10/17/14		403		402,640
				9,049,964
Food & Staples Retailing — 0.0%
US Foods, Inc. (FKA US Foodservice, Inc.), Extended Term Loan B, 5.75%, 3/31/17		114		109,973
Food Products — 0.3%
Advance Pierre Foods, Term Loan (Second Lien), 11.25%, 9/29/17		1,300		1,307,800
Health Care Equipment & Supplies — 0.5%
Bausch & Lomb, Inc., Term Loan B, 5.25%, 5/17/19		705		707,348
Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19		1,117		1,121,389
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18		415		418,113
				2,246,850
Health Care Providers & Services — 0.5%
Harden Healthcare LLC:
Add on Term Loan A, 7.75%, 3/02/15		590		572,205
Term Loan A, 8.50%, 3/02/15		514		504,009
inVentiv Health, Inc., Combined Term Loan, 6.50%, 8/04/16		1,069		994,998
				2,071,212
Hotels, Restaurants & Leisure — 1.2%
Caesars Entertainment Operating Co., Inc.:
Extended Term Loan B6, 5.49%, 1/26/18		300		263,718
Incremental Term Loan B4, 9.50%, 10/31/16		716		730,453
Term Loan B1, 3.24%, 1/28/15		602		570,942
Term Loan B2, 3.24%, 1/28/15		655		620,722
Term Loan B3, 3.24% – 3.46%, 1/28/15		1,422		1,348,141


See Notes to Financial Statements.


	ANNUAL REPORT	AUGUST 31, 2012	41



Consolidated Schedule of Investments (continued)	BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets)


Floating Rate Loan Interests (b)	Par (000)		Value
Hotels, Restaurants & Leisure (concluded)
OSI Restaurant Partners LLC:
Revolver, 2.49% – 2.56%, 6/14/13	USD	14	$	13,808
Term Loan B, 2.56%, 6/14/14		140		139,168
Sabre, Inc., Non-Extended Initial Term Loan, 2.23%, 9/30/14		95		94,442
Station Casinos, Inc., Term Loan B1, 3.23%, 6/17/16		1,281		1,217,343
Travelport LLC:
Extended Tranche A Term Loan, 6.44%, 9/28/12		285		85,468
Extended Tranche B Term Loan, 13.94%, 12/01/16		918		73,480
				5,157,685
Industrial Conglomerates — 0.1%
Sequa Corp.:
Incremental Term Loan, 6.25%, 12/03/14		263		263,372
Term Loan, 3.69% – 3.72%, 12/03/14		225		223,454
				486,826
IT Services — 0.3%
Ceridian Corp., Extended Term Loan, 5.99%, 5/09/17		104		103,871
First Data Corp., Extended 2018 Term Loan B, 4.24%, 3/23/18		1,160		1,095,237
				1,199,108
Leisure Equipment & Products — 0.2%
Eastman Kodak Co., DIP Term Loan B, 8.50%, 7/19/13		965		956,033
Machinery — 0.5%
Navistar International Corp., Term Loan B, 7.00%, 8/17/17		1,000		1,004,573
Rexnord Corp., Term Loan B, 5.00%, 4/02/18		876		879,041
				1,883,614
Media — 4.7%
Affinion Group, Inc., Term Loan B, 5.00%, 7/16/15		69		58,863
Cengage Learning Acquisitions, Inc.:
Non-Extended Term Loan, 2.49%, 7/03/14		482		444,174
Tranche 1 Incremental, 7.50%, 7/03/14		2,400		2,310,000
Cequel Communications LLC, Term Loan B, 4.00%, 2/14/19		738		736,615
Clear Channel Communications, Inc.:
Term Loan B, 3.88%, 1/28/16		2,865		2,218,758
Term Loan C, 3.88%, 1/28/16		558		424,284
EMI Music Publishing Ltd., Term Loan B, 5.50%, 6/29/18		635		639,286
Intelsat Jackson Holdings SA, Tranche B Term Loan, 5.25%, 4/02/18		9,390		9,420,457
Interactive Data Corp., Term Loan B, 4.50%, 2/12/18		608		609,352
Newsday LLC, Fixed Rate Term Loan, 10.50%, 8/01/13		2,150		2,161,653
Univision Communications, Inc., Extended Term Loan, 4.48%, 3/31/17		450		434,600
				19,458,042
Metals & Mining — 0.2%
Constellium Holdco BV, Term Loan B, 9.25%, 5/25/18		630		617,400
Multiline Retail — 0.4%
HEMA Holding BV, Mezzanine, 8.64%, 7/05/17	EUR	1,443		1,506,252


Floating Rate Loan Interests (b)	Par (000)		Value
Oil, Gas & Consumable Fuels — 0.8%
Chesapeake Energy Corp., Unsecured Term Loan, 8.50%, 12/01/17	USD	1,760	$	1,763,784
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15		1,487		1,486,883
				3,250,667
Paper & Forest Products — 0.6%
Ainsworth Lumber Co. Ltd., Term Loan, 5.25%, 6/26/14		580		561,150
NewPage Corp., DIP Term Loan, 8.00%, 3/07/13		900		908,442
Verso Paper Finance Holdings LLC, Term Loan, 6.50% – 7.24%, 2/01/13		2,238		1,118,984
				2,588,576
Pharmaceuticals — 0.5%
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17		1,478		1,471,959
Pharmaceutical Product Development, Inc., Term Loan B, 6.25%, 12/05/18		462		467,392
				1,939,351
Professional Services — 0.1%
Truven Health Analytics, Term Loan B, 6.75%, 6/06/19		550		553,894
Real Estate Investment Trusts (REITs) — 0.5%
iStar Financial, Inc., Term Loan A1, 5.00%, 6/28/13		2,230		2,231,707
Real Estate Management & Development — 0.4%
Realogy Corp.:
Extended Letter of Credit Loan, 4.50%, 10/10/16		163		157,596
Extended Term Loan, 4.49%, 10/10/16		1,084		1,046,757
Stockbridge SBE Holdings LLC, Term Loan B, 13.00%, 5/02/17		275		273,625
				1,477,978
Semiconductors & Semiconductor Equipment — 0.0%
NXP BV, Term Loan A-2, 5.50%, 3/03/17		99		100,681
Software — 0.4%
Infor US, Inc. (FKA Lawson Software, Inc.), Term Loan B, 6.25%, 4/05/18		1,815		1,834,113
Specialty Retail — 0.1%
Claire’s Stores, Inc., Term Loan B, 2.98% – 3.20%, 5/29/14		574		563,408
Textiles, Apparel & Luxury Goods — 0.4%
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18		1,636		1,620,899
Wireless Telecommunication Services — 1.3%
Crown Castle International Corp., Term Loan B, 4.00%, 1/31/19		104		103,747
Vodafone Americas Finance 2, Inc. (c):
Term Loan, 6.88%, 8/11/15		3,046		3,167,528
Term Loan B, 6.25%, 7/11/16		1,908		1,945,969
				5,217,244
Total Floating Rate Loan Interests — 24.1%				100,316,628



Other Interests (j)	Beneficial Interest (000)
Auto Components — 0.0%
Lear Corp. Escrow		790	8,394
Chemicals — 0.0%
Wellman Holdings, Inc., Litigation Trust Certificate (a)		4,650	47
Hotels, Restaurants & Leisure — 0.0%
Buffets, Inc. (a)		970	10


See Notes to Financial Statements.

42	ANNUAL REPORT	AUGUST 31, 2012



Consolidated Schedule of Investments (continued)	BlackRock Corporate High Yield Fund V, Inc. (HYV) (Percentages shown are based on Net Assets)


Other Interests (j)	Beneficial Interest (000)		Value
Media — 0.0%
Adelphia Escrow	USD	1,250	$	12
Adelphia Recovery Trust (a)		1,568		157
				169
Total Other Interests — 0.0%				8,620



Preferred Securities	Par (000)
Capital Trusts — 0.2%
Insurance — 0.2%
Genworth Financial, Inc., 6.15%, 11/15/66 (b)		1,270	762,000



Preferred Stocks	Shares
Auto Components — 0.7%
Dana Holding Corp., 4.00% (d)(e)		25,990		3,037,581
Diversified Financial Services — 1.4%
Ally Financial, Inc., 7.00% (d)		6,500		5,918,860
Real Estate Investment Trusts (REITs) — 0.1%
MPG Office Trust, Inc., Series A, 7.63% (a)		13,326		306,231
Thrifts & Mortgage Finance — 0.1%
Fannie Mae, Series O, 7.00% (a)		40,000		48,000
Freddie Mac, Series Z, 8.38% (a)		108,377		100,791
				148,791
Total Preferred Stocks — 2.3%				9,411,463



Trust Preferreds
Diversified Financial Services — 0.8%
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)		114,510		2,829,862
RBS Capital Funding Trust VII, 6.08% (a)(b)(g)(i)		42,900		735,306
Total Trust Preferreds — 0.8%				3,565,168
Total Preferred Securities — 3.3%				13,738,631



Warrants (k)
Containers & Packaging — 0.0%
MDP Acquisitions Plc (Expires 10/10/13)		1,100		46,258
Health Care Providers & Services — 0.0%
HealthSouth Corp. (Expires 1/16/14)		52,465		1
Media — 0.0%
New Vision Holdings LLC (Expires 9/30/14)		26,189		—
Software — 0.0%
Bankruptcy Management Solutions, Inc. (Expires 9/28/17)		491		—
HMH Holdings/EduMedia (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)		1,736		—
Total Warrants — 0.0%				46,259
Total Investments (Cost — $569,171,553) — 140.2%				584,232,874
Liabilities in Excess of Other Assets — (40.2)%				(167,531,857	)
Net Assets — 100.0%			$	416,701,017


(a)	Non-income producing security.

(b)	Variable rate security. Rate shown is as of report date.

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

(d)	Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(e)	Convertible security.

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

(g)	Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

(h)	All or a portion of security has been pledged as collateral in connection with swaps.

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

(j)	Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

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

•	Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2012, for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:


Affiliate	Shares Held at August 31, 2011		Net Activity			Shares Held at August 31, 2012			Income
BlackRock Liquidity Funds, TempFund, Institutional Class		1,171,689		(1,171,689	)		—	$	959


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

•	Financial futures contracts sold as of August 31, 2012 were as follows:

Contracts

Issue

Exchange

Expiration

Notional
Value

Unrealized
Depreciation

174

S&P 500
E-Mini
Index Future

Chicago
Mercantile

September
2012

USD

12,224,370

(840,806

)


•	Foreign currency exchange contracts as of August 31, 2012 were as follows:


Currency Purchased		Currency Sold		Counterparty	Settlement Date	Unrealized Appreciation (Depreciation)
GBP	94,000	USD	149,233	UBS AG	9/05/12	$	25
GBP	130,000	USD	204,343	Citigroup, Inc.	10/17/12		2,048
GBP	239,000	USD	374,431	Citigroup, Inc.	10/17/12		5,009
GBP	127,000	USD	200,904	Royal Bank of	10/17/12		723
				Scotland Group Plc
USD	110,094	AUD	109,000	Citigroup, Inc.	10/17/12		(2,080	)
USD	191,230	AUD	188,000	UBS AG	10/17/12		(2,243	)
USD	4,956,788	CAD	5,034,000	UBS AG	10/17/12		(145,375	)
USD	407,359	GBP	260,000	Citigroup, Inc.	10/17/12		(5,421	)
USD	139,514	GBP	90,000	Deutsche Bank AG	10/17/12		(3,371	)
USD	5,455,889	GBP	3,514,500	UBS AG	10/17/12		(123,791	)
USD	411,031	GBP	265,000	UBS AG	10/17/12		(9,687	)
USD	62,726	GBP	40,000	UBS AG	10/17/12		(779	)
USD	149,213	GBP	94,000	UBS AG	10/17/12		(23	)


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	43



Consolidated Schedule of Investments (continued)	BlackRock Corporate High Yield Fund V, Inc. (HYV)

Foreign currency exchange contracts as of August 31, 2012 were as follows (concluded):


Currency Purchased		Currency Sold		Counterparty	Settlement Date	Unrealized Appreciation (Depreciation)
EUR	800,000	USD	991,377	Citigroup, Inc.	10/22/12	$	15,382
EUR	466,000	USD	571,666	Credit Suisse Group AG	10/22/12		14,772
EUR	165,000	USD	207,448	UBS AG	10/22/12		196
EUR	70,000	USD	86,049	UBS AG	10/22/12		2,042
EUR	225,000	USD	279,212	UBS AG	10/22/12		3,939
USD	124,685	EUR	101,000	BNP Paribas SA	10/22/12		(2,418	)
USD	28,618,518	EUR	23,343,000	Citigroup, Inc.	10/22/12		(757,448	)
USD	826,223	EUR	665,000	Citigroup, Inc.	10/22/12		(10,646	)
USD	255,684	EUR	208,000	Citigroup, Inc.	10/22/12		(6,073	)
USD	18,562	EUR	15,000	Citigroup, Inc.	10/22/12		(315	)
USD	550,587	EUR	446,000	UBS AG	10/22/12		(10,681	)
USD	364,050	EUR	295,000	UBS AG	10/22/12		(7,192	)
USD	130,299	EUR	106,000	UBS AG	10/22/12		(3,096	)
USD	112,801	EUR	90,000	UBS AG	10/22/12		(460	)
Total						$	(1,046,963	)


•	Credit default swaps on single-name issues — buy protection outstanding as of August 31, 2012 were as follows:


Issuer	Pay Fixed Rate	Counterparty	Expiration Date	Notional Amount (000)		Unrealized Appreciation (Depreciation)
MGM Resorts International	5.00%	Deutsche Bank AG	6/20/15	USD	155	$	(11,490	)
MGM Resorts International	5.00%	Deutsche Bank AG	6/20/15	USD	130		(10,677	)
MGM Resorts International	5.00%	Deutsche Bank AG	6/20/15	USD	250		(17,810	)
MGM Resorts International	5.00%	Deutsche Bank AG	6/20/15	USD	130		(6,636	)
MGM Resorts International	5.00%	Deutsche Bank AG	6/20/15	USD	130		(7,450	)
Republic of Hungary	1.00%	Deutsche Bank AG	12/20/15	USD	450		8,185
Israel (State of)	1.00%	Deutsche Bank AG	3/20/17	USD	335		(7,509	)
Israel (State of)	1.00%	Deutsche Bank AG	3/20/17	USD	1,000		(23,041	)
Total						$	(76,428	)


•	Credit default swaps on single-name issues — sold protection outstanding as of August 31, 2012 were as follows:

Issuer

Receive
Fixed
Rate

Counterparty

Expiration
Date

Issuer
Credit
Rating¹

Notional
Amount
(000)²

Unrealized
Appreciation

Air Lease
Corp.

5.00%

Goldman Sachs
Group, Inc.

2/14/13

Not Rated

USD

800

13,264

CIT
Group, Inc.

5.00%

Deutsche
Bank AG

9/20/15

BB–

USD

4,700

611,295

ARAMARK
Corp.

5.00%

Goldman Sachs
Group, Inc.

3/20/16

USD

750

62,823

ARAMARK
Corp.

5.00%

Goldman Sachs
Group, Inc.

6/20/16

USD

500

42,230

ARAMARK
Corp.

5.00%

Goldman Sachs
Group, Inc.

6/20/16

USD

500

45,001

ARAMARK
Corp.

5.00%

Credit Suisse
Group AG

9/20/16

USD

200

23,894

ARAMARK
Corp.

5.00%

Goldman Sachs
Group, Inc.

9/20/16

USD

450

39,429

ARAMARK
Corp.

5.00%

Goldman Sachs
Group, Inc.

9/20/16

USD

200

23,236

ARAMARK
Corp.

5.00%

Deutsche
Bank AG

3/20/17

USD

295

19,473

Crown Castle
International
Corp.

7.25%

Deutsche
Bank AG

3/20/17

B–

USD

690

9,835

Ford
Motor Co.

5.00%

Deutsche
Bank AG

3/20/17

BB+

USD

2,200

96,904

Goodyear
Tire &
Rubber Co.

5.00%

Deutsche
Bank AG

6/20/17

B+

USD

460

21,435

Goodyear
Tire &
Rubber Co.

5.00%

Goldman Sachs
Group, Inc.

6/20/17

B+

USD

500

17,619

CCO
Holdings LLC

8.00%

Deutsche
Bank AG

9/20/17

BB–

USD

2,400

195,516

Level 3
Communica-
tions, Inc.

5.00%

Goldman Sachs
Group, Inc.

6/20/19

CCC

USD

1,500

41,003

Total

1,262,957


	¹	Using S&P’s rating.

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

•	Credit default swaps on traded indexes — buy protection outstanding as of August 31, 2012 were as follows:

Index

Pay
Fixed
Rate

Counterparty

Expiration
Date

Notional
Amount
(000)

Unrealized
Depreciation

Dow Jones CDX
North America
High Yield
Series 18,
Version 2

5.00%

Credit Suisse
Group AG

6/20/17

USD

2,673

(8,668

)


See Notes to Financial Statements.

44	ANNUAL REPORT	AUGUST 31, 2012



Consolidated Schedule of Investments (continued)	BlackRock Corporate High Yield Fund V, Inc. (HYV)


•	Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

	•	Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

	•	Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

	•	Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

	Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2012:


	Level 1		Level 2		Level 3		Total
Assets:
Long-Term Investments:
Common Stocks	$	26,415,876	$	1,015,216	$	6,755,302	$	34,186,394
Corporate Bonds		—		429,359,388		6,576,954		435,936,342
Floating Rate Loan Interests		—		80,904,636		19,411,992		100,316,628
Other Interests		157		—		8,463		8,620
Preferred Securities		4,020,190		9,718,441		—		13,738,631
Warrants		—		46,258		1		46,259
Total	$	30,436,223	$	521,043,939	$	32,752,712	$	584,232,874


	Level 1			Level 2			Level 3		Total
Derivative Financial Instruments¹
Assets:
Credit contracts		—		$	441,232		$	829,910	$	1,271,142
Foreign currency exchange contracts		—			44,136			—		44,136
Liabilities:
Credit contracts		—			(93,281	)		—		(93,281	)
Equity contracts	$	(840,806	)		—			—		(840,806	)
Foreign currency exchange contracts		—			(1,091,099	)		—		(1,091,099	)
Total	$	(840,806	)	$	(699,012	)	$	829,910	$	(709,908	)


	¹	Derivative financial instruments are swaps, financial futures contracts, and foreign currency exchange contracts. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument.

Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of August 31, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:


	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	1,539,537		—			—	$	1,539,537
Foreign currency at value		285,748		—			—		285,748
Cash pledged as collateral for financial futures contracts		731,000		—			—		731,000
Cash pledged as collateral for swaps		400,000		—			—		400,000
Liabilities:
Cash received as collateral for swaps		—	$	(600,000	)		—		(600,000	)
Loan payable		—		(175,000,000	)		—		(175,000,000	)
Total	$	2,956,285	$	(175,600,000	)		—	$	(172,643,715	)

Prior to February 29, 2012, only significant transfers between Level 1 and Level 2 were required to be disclosed. There were no significant transfers from the beginning of the period to February 29, 2012. For the interim period March 1, 2012 through August 31, 2012, all transfers between Level 1 and Level 2 are required to be disclosed. As of February 29, 2012, the Trust used observable inputs in determining the value of certain equity securities. During the year, the Trust began valuing these securities using unadjusted price quotations from an exchange. As a result, investments with a beginning of period value of $11,248,714 transferred from Level 2 to Level 1 in the disclosure hierarchy.

The following table summarizes the valuation techniques used and unobservable inputs developed by the BlackRock Global Valuation Methodologies Committee (“Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 investments as of August 31, 2012:


	Value		Valuation Techniques	Unobservable Inputs²	Range of Unobservable Inputs	Weighted Average of Unobservable Inputs³
Assets:
Common Stocks	$	6,755,295	Market Comparable Companies	EBITDA Multiple	5.9x	5.9x
				Forward EBITDA Multiple	4.6x	4.6x
			Cost	N/A⁴	—	—
Corporate Bonds		6,182,924	Market Comparable Companies	Yield	7.00% – 9.67%	7.50%
				EBITDA Multiple	6.0x	6.0x
			Cost	N/A⁴	—	—
Floating Rate Loan Interests		5,195,198	Market Comparable Companies	Illiquidity Discount	50%	50%
				Yield	9.65%	9.65%
			Cost	N/A⁴	—	—
Total⁵	$	18,133,417


See Notes to Financial Statements.


	ANNUAL REPORT	AUGUST 31, 2012	45



Consolidated Schedule of Investments (concluded)	BlackRock Corporate High Yield Fund V, Inc. (HYV)


	²	A change to the unobservable input may result in a significant change to the value of the investment as follows:


Unobservable Input	Impact to Value if Input Increases	Impact to Value if Input Decreases
EBITDA Multiple	Increase	Decrease
Forward EBITDA Multiple	Increase	Decrease
Yield	Decrease	Increase
Illiquidity Discount	Decrease	Increase


	³	Unobservable inputs are weighted based on the value of the investments included in the range.

	⁴	The Trust fair values certain of its Level 3 investments using prior transaction prices (acquisition cost), although the transaction may not have occurred during the current reporting period. In such cases, these investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Trust.

	⁵	Does not include Level 3 investments with values derived utilizing prices from recent prior transactions or third party pricing information without adjustment for which such inputs are unobservable. See above valuation input table for values of such Level 3 investments. A significant change in third party pricing information could result in a significantly lower or higher value in such Level 3 investments.


	Common Stocks			Corporate Bonds			Floating Rate Loans			Other Interests			Preferred Securities			Warrants			Total
Assets:
Opening balance, as of August 31, 2011	$	3,390,998		$	8,408,570		$	14,224,136		$	3,097,694		$	985,270		$	355,505		$	30,462,173
Transfers into Level 3¹		3,081,872²			—			4,979,715			—			—			—			8,061,587
Transfers out of Level 3³		—			—			(2,219,875	)		(3,081,872	)²		—			—			(5,301,747	)
Accrued discounts/premiums		—			5,852			197,714			—			—			—			203,566
Net realized gain (loss)		(1,466,712	)		(3,496,785	)		46,329			—			(127,834	)		(300,060	)		(5,345,062	)
Net change in unrealized appreciation/depreciation⁴		14,032			3,435,600			(1,014,380	)		(7,359	)		(305,563	)		(55,444	)		2,066,886
Purchases		1,746,246			1,021,647			5,136,930			—			—			—			7,904,823
Sales		(11,134	)		(2,797,930	)		(1,938,577	)		—			(551,873	)		—			(5,299,514	)
Closing Balance, as of August 31, 2012	$	6,755,302		$	6,576,954		$	19,411,992		$	8,463			—		$	1		$	32,752,712


	¹	As of August 31, 2011, the Trust used observable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used significant unobservable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $4,979,715 transferred from Level 2 to Level 3 in the disclosure hierarchy.

	²	Transfers into and out of Level 3 are the result of a reclassification of certain Level 3 investments between Common Stocks and Other Interests and not the result of the investments transferring into or out of Level 3.

	³	As of August 31, 2011, the Trust used significant unobservable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used observable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $2,219,875 transferred from Level 3 to Level 2 in the disclosure hierarchy.

	⁴	Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $(2,333,771).

The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:


	Credit Contracts
Assets:
Opening balance, as of August 31, 2011		—
Transfers into Level 3⁵		—
Transfers out of Level 3⁵		—
Accrued discounts/premiums		—
Net realized gain (loss)		—
Net change in unrealized appreciation/depreciation⁶	$	829,910
Purchases		—
Issues⁷		—
Sales		—
Settlements⁸		—
Closing Balance, as of August 31, 2012	$	829,910


	⁵	Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period.

	⁶	Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still held as of August 31, 2012 was $829,910.

	⁷	Issues represent upfront cash received on certain derivative financial instruments.

	⁸	Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.


See Notes to Financial Statements.

46	ANNUAL REPORT	AUGUST 31, 2012



Consolidated Schedule of Investments August 31, 2012	BlackRock Corporate High Yield Fund VI, Inc. (HYT)
Consolidated Schedule of Investments August 31, 2012	(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value
Auto Components — 2.2%
Dana Holding Corp.		150,550	$	2,056,513
Delphi Automotive Plc (a)		250,665		7,592,646
				9,649,159
Biotechnology — 0.0%
Ironwood Pharmaceuticals, Inc. (a)		11,018		138,055
Capital Markets — 0.4%
American Capital Ltd. (a)		80,782		887,794
E*Trade Financial Corp. (a)		116,200		995,834
				1,883,628
Chemicals — 0.2%
ADA-ES, Inc. (a)		2,810		65,894
CF Industries Holdings, Inc.		1,580		327,076
Huntsman Corp.		21,750		312,765
				705,735
Commercial Banks — 0.2%
CIT Group, Inc. (a)		26,710		1,008,570
Communications Equipment — 0.4%
Loral Space & Communications Ltd.		21,531		1,580,806
Diversified Financial Services — 0.5%
Kcad Holdings I Ltd.		360,332,790		2,389,367
Diversified Telecommunication Services — 0.2%
Level 3 Communications, Inc. (a)		34,800		749,940
Electrical Equipment — 0.0%
Medis Technologies Ltd. (a)		116,910		351
Energy Equipment & Services — 1.1%
Laricina Energy Ltd. (a)		70,588		3,043,358
Osum Oil Sands Corp. (a)		124,000		1,572,407
				4,615,765
Hotels, Restaurants & Leisure — 0.0%
Travelport Worldwide Ltd. (a)(b)(c)		118,935		15,462
Media — 2.2%
Belo Corp., Class A		36,341		265,289
Charter Communications, Inc. (a)		111,076		8,641,713
Clear Channel Outdoor Holdings, Inc., Class A		14,553		76,403
Cumulus Media, Inc., Class A		149,014		412,769
DISH Network Corp., Class A		9,200		294,308
				9,690,482
Metals & Mining — 0.1%
African Minerals Ltd. (a)		72,301		289,355
Oil, Gas & Consumable Fuels — 0.1%
African Petroleum Corp. Ltd. (a)		307,100		393,427
Paper & Forest Products — 0.2%
Ainsworth Lumber Co. Ltd. (a)		192,951		422,799
Ainsworth Lumber Co. Ltd. (a)(d)		221,591		485,556
Western Forest Products, Inc. (a)		78,039		84,709
				993,064
Semiconductors & Semiconductor Equipment — 0.3%
NXP Semiconductors NV (a)		8,400		195,888
Spansion, Inc., Class A (a)		103,218		1,179,782
SunPower Corp. (a)		431		1,931
				1,377,601
Software — 0.2%
Bankruptcy Management Solutions, Inc. (a)		787		8
HMH Holdings/EduMedia (a)		31,742		777,684
				777,692
Total Common Stocks — 8.3%				36,258,459


Corporate Bonds	Par (000)		Value
Aerospace & Defense — 0.6%
Huntington Ingalls Industries, Inc.:
6.88%, 3/15/18	USD	370	$	395,900
7.13%, 3/15/21		520		562,900
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17		1,274		1,356,810
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (d)		590		533,860
				2,849,470
Airlines — 1.6%
American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 4/15/23		1,693		1,794,065
Continental Airlines, Inc.:
Series 1997-4, Class B, 6.90%, 7/02/18		793		793,437
Series 2010-1, Class B, 6.00%, 7/12/20		622		626,172
Delta Air Lines, Inc.:
Series 2002-1, Class G-1, 6.72%, 7/02/24		944		1,024,669
Series 2009-1 Class B, 9.75%, 6/17/18		283		305,332
Series 2010-1, Class B, 6.38%, 7/02/17		900		900,000
US Airways Pass-Through Trust:
Series 2011-1, Class C, 10.88%, 10/22/14		1,053		1,079,098
Series 2012-1, Class C, 9.13%, 10/01/15		700		714,000
				7,236,773
Auto Components — 2.1%
Dana Holding Corp., 6.75%, 2/15/21		700		754,250
Delphi Corp., 6.13%, 5/15/21		260		286,000
Icahn Enterprises LP, 8.00%, 1/15/18		5,060		5,388,900
IDQ Holdings, Inc., 11.50%, 4/01/17 (d)		595		622,519
International Automotive Components Group SL, 9.13%, 6/01/18 (d)		70		67,113
Jaguar Land Rover Plc, 8.25%, 3/15/20	GBP	745		1,247,727
Titan International, Inc., 7.88%, 10/01/17	USD	720		754,200
				9,120,709
Beverages — 0.2%
Crown European Holdings SA:
7.13%, 8/15/18	EUR	255		352,813
7.13%, 8/15/18 (d)		303		419,225
Refresco Group BV, 7.38%, 5/15/18		212		250,654
				1,022,692
Biotechnology — 0.0%
QHP Royalty Sub LLC, 10.25%, 3/15/15 (d)	USD	85		84,988
Building Products — 0.8%
Building Materials Corp. of America (d):
7.00%, 2/15/20		840		909,300
6.75%, 5/01/21		1,220		1,332,850
Momentive Performance Materials, Inc., 11.50%, 12/01/16		580		353,800
USG Corp., 9.75%, 1/15/18		940		1,008,150
				3,604,100
Capital Markets — 0.8%
E*Trade Financial Corp.:
12.50%, 11/30/17 (b)		1,660		1,894,475
2.26%, 8/31/19 (d)(e)(f)		380		324,900
KKR Group Finance Co. LLC, 6.38%, 9/29/20 (d)		1,020		1,154,590
				3,373,965
Chemicals — 4.1%
Basell Finance Co. BV, 8.10%, 3/15/27 (d)		645		861,075
Celanese US Holdings LLC, 5.88%, 6/15/21		2,780		3,071,900
Chemtura Corp., 7.88%, 9/01/18		480		517,200
Hexion US Finance Corp.:
6.63%, 4/15/20 (d)		375		378,750
9.00%, 11/15/20		485		414,675
Huntsman International LLC, 8.63%, 3/15/21		265		303,425


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	47



Consolidated Schedule of Investments (continued)	BlackRock Corporate High Yield Fund VI, Inc. (HYT)
Consolidated Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Chemicals (concluded)
INEOS Finance Plc (d):
8.38%, 2/15/19	USD	1,325	$	1,394,562
7.50%, 5/01/20		680		693,600
INEOS Group Holdings Plc, 8.50%, 2/15/16 (d)		230		216,775
Kinove German Bondco GmbH, 10.00%, 6/15/18	EUR	532		729,236
Kraton Polymers LLC, 6.75%, 3/01/19	USD	195		199,875
LyondellBasell Industries NV, 5.75%, 4/15/24 (d)		4,370		4,949,025
Nexeo Solutions LLC, 8.38%, 3/01/18 (d)		290		283,475
PolyOne Corp., 7.38%, 9/15/20		335		365,988
TPC Group LLC, 8.25%, 10/01/17		520		570,700
Tronox Finance LLC, 6.38%, 8/15/20 (d)		2,935		2,964,350
				17,914,611
Commercial Banks — 0.9%
CIT Group, Inc.:
7.00%, 5/02/16 (d)		594		595,810
5.25%, 3/15/18		860		896,550
5.50%, 2/15/19 (d)		840		875,700
5.00%, 8/15/22		900		906,818
6.00%, 4/01/36		850		769,955
				4,044,833
Commercial Services & Supplies — 2.0%
ARAMARK Corp., 8.50%, 2/01/15		560		574,006
ARAMARK Holdings Corp., 8.63%, 5/01/16 (b)(d)		680		696,157
Aviation Capital Group Corp., 6.75%, 4/06/21 (d)		840		862,470
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (d)		151		158,942
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (d)		43		43,430
Casella Waste Systems, Inc., 7.75%, 2/15/19		721		713,790
Clean Harbors, Inc., 5.25%, 8/01/20 (d)		817		838,446
Covanta Holding Corp., 6.38%, 10/01/22		985		1,076,971
EC Finance Plc, 9.75%, 8/01/17	EUR	449		585,224
Mead Products LLC/ACCO Brands Corp., 6.75%,
4/30/20 (d)	USD	341		360,608
Mobile Mini, Inc., 7.88%, 12/01/20		570		611,325
RSC Equipment Rental, Inc., 8.25%, 2/01/21		1,348		1,476,060
Verisure Holding AB:
8.75%, 9/01/18	EUR	385		484,253
8.75%, 12/01/18		139		154,728
West Corp., 8.63%, 10/01/18	USD	210		213,150
				8,849,560
Communications Equipment — 1.8%
Avaya, Inc., 9.75%, 11/01/15		1,160		1,006,300
Frontier Communications Corp., 6.25%, 1/15/13		1,390		1,414,325
Hughes Satellite Systems Corp., 6.50%, 6/15/19		630		674,887
Zayo Group LLC/Zayo Capital, Inc.:
8.13%, 1/01/20		2,380		2,528,750
10.13%, 7/01/20		1,960		2,102,100
				7,726,362
Computers & Peripherals — 0.1%
SanDisk Corp., 1.50%, 8/15/17 (e)		340		376,550
Construction & Engineering — 0.2%
Boart Longyear Management Property Ltd.,
7.00%, 4/01/21 (d)		300		311,250
H&E Equipment Services, Inc., 7.00%, 9/01/22 (d)		515		534,312
URS Corp., 5.00%, 4/01/22 (d)		115		116,609
				962,171


Corporate Bonds	Par (000)		Value
Construction Materials — 1.4%
HD Supply, Inc. (d):
8.13%, 4/15/19	USD	2,405	$	2,609,425
11.00%, 4/15/20		2,275		2,502,500
Xefin Lux SCA:
8.00%, 6/01/18 (d)	EUR	393		481,958
8.00%, 6/01/18		310		380,170
				5,974,053
Consumer Finance — 0.2%
Credit Acceptance Corp., 9.13%, 2/01/17	USD	710		781,000
Springleaf Finance (FKA AGFS Funding Co.),
6.90%, 12/15/17		160		131,600
				912,600
Containers & Packaging — 1.6%
Ardagh Packaging Finance Plc:
7.38%, 10/15/17	EUR	200		266,025
7.38%, 10/15/17 (d)		574		763,491
7.38%, 10/15/17		100		133,012
7.38%, 10/15/17 (d)	USD	200		214,250
9.13%, 10/15/20 (d)		260		271,050
9.13%, 10/15/20 (d)		615		639,600
9.13%, 10/15/20 (d)		210		219,450
Berry Plastics Corp.:
4.34%, 9/15/14 (c)		465		458,025
8.25%, 11/15/15		185		194,713
9.75%, 1/15/21		640		708,800
Beverage Packaging Holdings Luxembourg II SA,
8.00%, 12/15/16	EUR	882		1,087,192
GCL Holdings SCA, 9.38%, 4/15/18 (d)		414		505,107
Graphic Packaging International, Inc., 7.88%,
10/01/18	USD	580		646,700
OI European Group BV, 6.88%, 3/31/17	EUR	254		329,864
Sealed Air Corp., 8.38%, 9/15/21 (d)	USD	285		320,625
Smurfit Kappa Acquisitions, 7.25%, 11/15/17 (d)	EUR	52		69,984
Tekni-Plex, Inc., 9.75%, 6/01/19 (d)	USD	275		287,375
				7,115,263
Distributors — 0.6%
VWR Funding, Inc., 7.25%, 9/15/17 (d)(g)		2,501		2,532,262
Diversified Consumer Services — 1.5%
Laureate Education, Inc., 9.25%, 9/01/19 (d)		935		935,000
Service Corp. International, 7.00%, 6/15/17		4,775		5,443,500
ServiceMaster Co., 8.00%, 2/15/20		295		314,544
				6,693,044
Diversified Financial Services — 4.1%
Aircastle Ltd., 6.75%, 4/15/17		720		777,600
Ally Financial, Inc.:
7.50%, 12/31/13		700		748,125
8.00%, 11/01/31		4,640		5,486,800
8.00%, 11/01/31		950		1,127,644
CNG Holdings, Inc., 9.38%, 5/15/20 (d)		465		474,300
DPL, Inc., 7.25%, 10/15/21 (d)		1,815		2,069,100
Gala Group Finance Plc, 8.88%, 9/01/18	GBP	400		592,268
General Motors Financial Co., Inc., 6.75%, 6/01/18	USD	460		510,022
Leucadia National Corp., 8.13%, 9/15/15		1,232		1,389,080
Reynolds Group Issuer, Inc.:
7.75%, 10/15/16	EUR	261		338,955
7.13%, 4/15/19	USD	385		414,838
9.75%, 4/15/19 (d)		425		431,906
7.88%, 8/15/19 (d)		610		678,625
9.88%, 8/15/19 (d)		1,675		1,771,312
8.25%, 2/15/21 (d)		205		201,413
WMG Acquisition Corp.:
9.50%, 6/15/16 (d)		190		207,575
11.50%, 10/01/18		656		719,960
				17,939,523

See Notes to Financial Statements.



48	ANNUAL REPORT	AUGUST 31, 2012



Consolidated Schedule of Investments (continued)	BlackRock Corporate High Yield Fund VI, Inc. (HYT)
Consolidated Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Diversified Telecommunication Services — 2.3%
Broadview Networks Holdings, Inc., 11.38%,
9/01/12 (d)(h)	USD	1,680	$	1,134,000
Consolidated Communications Finance Co.,
10.88%, 6/01/20 (d)		930		997,425
ITC Deltacom, Inc., 10.50%, 4/01/16		440		474,100
Level 3 Communications, Inc., 8.88%, 6/01/19 (d)		495		504,900
Level 3 Financing, Inc.:
8.13%, 7/01/19		2,042		2,138,995
7.00%, 6/01/20 (d)		880		875,600
8.63%, 7/15/20 (d)		1,320		1,412,400
OTE Plc, 5.00%, 8/05/13	EUR	168		183,148
Telefonica Emisiones SAU, 4.69%, 11/11/19		50		58,042
Telenet Finance V Luxembourg SCA:
6.25%, 8/15/22		234		295,797
6.75%, 8/15/24		545		695,783
Windstream Corp.:
8.13%, 8/01/13	USD	703		741,665
7.88%, 11/01/17		627		681,863
				10,193,718
Electric Utilities — 0.7%
Mirant Mid Atlantic Pass-Through Trust, Series B,
9.13%, 6/30/17		454		487,944
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14	EUR	1,900		2,378,587
				2,866,531
Electrical Equipment — 0.1%
Belden, Inc., 5.50%, 9/01/22 (d)	USD	570		571,425
Electronic Equipment, Instruments &
Components — 0.5%
CDW LLC/CDW Finance Corp., 8.50%, 4/01/19		585		640,575
Jabil Circuit, Inc., 8.25%, 3/15/18		365		438,000
Micron Technology, Inc., 2.38%, 5/01/32 (d)(e)		682		648,752
NXP BV/NXP Funding LLC, 9.75%, 8/01/18 (d)		310		354,175
				2,081,502
Energy Equipment & Services — 3.4%
Atwood Oceanics, Inc., 6.50%, 2/01/20		215		229,513
Calfrac Holdings LP, 7.50%, 12/01/20 (d)		610		597,800
Compagnie Générale de Géophysique, Veritas:
7.75%, 5/15/17		395		412,775
6.50%, 6/01/21		1,945		2,025,231
Forbes Energy Services Ltd., 9.00%, 6/15/19		555		538,350
FTS International Services Inc, 8.13%, 11/15/18 (d)		2,730		2,818,725
Gulfmark Offshore, Inc., 6.38%, 3/15/22 (d)		245		249,900
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20		490		499,800
Key Energy Services, Inc., 6.75%, 3/01/21		700		712,250
MEG Energy Corp. (d):
6.50%, 3/15/21		1,880		1,978,700
6.38%, 1/30/23		700		729,750
Oil States International, Inc., 6.50%, 6/01/19		495		525,937
Peabody Energy Corp.:
6.25%, 11/15/21 (d)		2,170		2,207,975
7.88%, 11/01/26		580		619,150
Precision Drilling Corp.:
6.63%, 11/15/20		120		126,000
6.50%, 12/15/21		460		483,000
				14,754,856
Food & Staples Retailing — 0.3%
Bakkavor Finance 2 Plc, 8.25%, 2/15/18	GBP	415		579,883
Rite Aid Corp., 9.25%, 3/15/20	USD	580		595,950
				1,175,833


Corporate Bonds	Par (000)		Value
Food Products — 0.4%
Darling International, Inc., 8.50%, 12/15/18	USD	180	$	203,850
Del Monte Corp., 7.63%, 2/15/19		94		93,882
Post Holdings, Inc., 7.38%, 2/15/22 (d)		665		700,744
Smithfield Foods, Inc., 6.63%, 8/15/22		901		922,399
				1,920,875
Health Care Equipment & Supplies — 1.5%
Biomet, Inc. (d):
10.00%, 10/15/17		300		317,438
6.50%, 8/01/20		1,088		1,128,800
DJO Finance LLC:
10.88%, 11/15/14		804		839,175
8.75%, 3/15/18 (d)		695		738,437
7.75%, 4/15/18		160		146,400
Fresenius Medical Care US Finance II, Inc.,
5.88%, 1/31/22 (d)		1,010		1,073,125
Fresenius Medical Care US Finance, Inc., 6.50%,
9/15/18 (d)		324		363,285
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (d)		850		978,562
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%,
11/01/19 (d)		435		394,763
Teleflex, Inc., 6.88%, 6/01/19		455		486,850
				6,466,835
Health Care Providers & Services — 7.3%
Aviv Healthcare Properties LP, 7.75%, 2/15/19		880		915,200
CHS/Community Health Systems, Inc.:
5.13%, 8/15/18		1,180		1,216,875
7.13%, 7/15/20		703		736,392
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (d)	EUR	694		934,017
Crown Newco 3 Plc, 7.00%, 2/15/18 (d)	GBP	575		919,862
DaVita, Inc., 5.75%, 8/15/22	USD	1,431		1,488,240
HCA, Inc.:
8.50%, 4/15/19		205		231,138
6.50%, 2/15/20		3,660		4,021,425
7.88%, 2/15/20		145		161,856
7.25%, 9/15/20		4,020		4,454,662
5.88%, 3/15/22		425		452,094
Hologic, Inc., 6.25%, 8/01/20 (d)		2,475		2,620,406
IASIS Healthcare LLC, 8.38%, 5/15/19		2,274		2,168,827
INC Research LLC, 11.50%, 7/15/19 (d)		640		627,200
inVentiv Health, Inc., 10.00%, 8/15/18 (d)		200		168,500
Omnicare, Inc., 7.75%, 6/01/20		1,520		1,675,800
PSS World Medical, Inc., 6.38%, 3/01/22		521		550,958
Symbion, Inc., 8.00%, 6/15/16		535		540,684
Tenet Healthcare Corp.:
10.00%, 5/01/18		1,330		1,529,500
6.25%, 11/01/18		510		553,669
8.88%, 7/01/19		3,970		4,515,875
United Surgical Partners International, Inc.,
9.00%, 4/01/20 (d)		450		483,188
Vanguard Health Holding Co. II LLC, 7.75%,
2/01/19 (d)		720		750,600
				31,716,968
Health Care Technology — 1.0%
IMS Health, Inc., 12.50%, 3/01/18 (d)		3,760		4,418,000
Hotels, Restaurants & Leisure — 4.5%
Affinity Gaming LLC/Affinity Gaming Finance Corp.,
9.00%, 5/15/18 (d)		445		452,787
Caesars Entertainment Operating Co., Inc.:
11.25%, 6/01/17		2,215		2,386,662
10.00%, 12/15/18		4,150		2,614,500
8.50%, 2/15/20 (d)		475		468,469
Caesars Operating Escrow LLC, 9.00%, 2/15/20 (d)		2,587		2,574,065
Carlson Wagonlit BV, 6.88%, 6/15/19 (d)		510		530,400
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18	EUR	364		401,754
Diamond Resorts Corp., 12.00%, 8/15/18	USD	1,860		1,978,575

See Notes to Financial Statements.



ANNUAL REPORT	AUGUST 31, 2012	49



Consolidated Schedule of Investments (continued)	BlackRock Corporate High Yield Fund VI, Inc. (HYT)
Consolidated Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Hotels, Restaurants & Leisure (concluded)
El Dorado Resorts LLC, 8.63%, 6/15/19 (d)	USD	210	$	204,750
Enterprise Inns Plc, 6.50%, 12/06/18	GBP	501		688,119
Gategroup Finance Luxembourg SA, 6.75%,
3/01/19	EUR	455		585,176
Little Traverse Bay Bands of Odawa Indians, 9.00%,
8/31/20 (d)	USD	441		401,310
MGM Resorts International:
10.38%, 5/15/14		310		351,850
4.25%, 4/15/15 (e)		1,670		1,686,700
11.13%, 11/15/17		2,210		2,458,625
MTR Gaming Group, Inc., 11.50%, 8/01/19 (b)		231		237,507
Travelport LLC:
5.05%, 9/01/14 (c)		235		166,850
9.88%, 9/01/14		50		39,750
9.00%, 3/01/16		190		134,900
6.46%, 12/01/16 (b)(c)(d)		648		500,504
Tropicana Entertainment LLC, 9.63%,
12/15/14 (d)(h)		515		—
Wynn Las Vegas LLC, 5.38%, 3/15/22 (d)		950		971,375
				19,834,628
Household Durables — 1.8%
Beazer Homes USA, Inc., 6.63%, 4/15/18 (d)		55		56,238
Jarden Corp., 7.50%, 1/15/20	EUR	455		616,652
Libbey Glass, Inc., 6.88%, 5/15/20 (d)	USD	945		1,007,606
Pulte Group, Inc., 6.38%, 5/15/33		290		252,300
Ryland Group, Inc., 6.63%, 5/01/20		525		553,875
Spie BondCo 3 SCA, 11.00%, 8/15/19	EUR	471		601,310
Standard Pacific Corp.:
10.75%, 9/15/16	USD	2,355		2,843,663
8.38%, 1/15/21		1,640		1,828,600
				7,760,244
Household Products — 0.6%
Ontex IV SA:
7.50%, 4/15/18	EUR	219		279,590
7.50%, 4/15/18 (d)		220		280,867
9.00%, 4/15/19		316		365,668
Spectrum Brands Holdings, Inc.:
9.50%, 6/15/18	USD	560		639,100
9.50%, 6/15/18 (d)		910		1,038,537
				2,603,762
Independent Power Producers &
Energy Traders — 3.1%
The AES Corp., 7.38%, 7/01/21		425		486,625
Calpine Corp. (d):
7.25%, 10/15/17		275		294,250
7.50%, 2/15/21		160		177,600
7.88%, 1/15/23		680		768,400
Energy Future Holdings Corp., 10.00%, 1/15/20		2,950		3,252,375
Energy Future Intermediate Holding Co. LLC:
6.88%, 8/15/17 (d)		475		485,094
10.00%, 12/01/20		4,156		4,665,110
11.75%, 3/01/22 (d)		909		968,085
GenOn REMA LLC, 9.24%, 7/02/17		375		402,669
Laredo Petroleum, Inc.:
9.50%, 2/15/19		765		868,275
7.38%, 5/01/22		575		618,125
QEP Resources, Inc., 5.38%, 10/01/22		513		525,825
				13,512,433
Industrial Conglomerates — 2.4%
Sequa Corp. (d):
11.75%, 12/01/15		3,810		4,000,500
13.50%, 12/01/15		6,236		6,610,279
				10,610,779


Corporate Bonds	Par (000)		Value
Insurance — 1.0%
Alliant Holdings I, Inc., 11.00%, 5/01/15 (d)(i)	USD	2,600	$	2,687,750
CNO Financial Group, Inc., 9.00%, 1/15/18 (d)		573		626,719
Genworth Financial, Inc., 7.63%, 9/24/21		660		674,388
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (d)		395		353,525
				4,342,382
IT Services — 3.1%
Ceridian Corp., 8.88%, 7/15/19 (d)		2,290		2,456,025
Epicor Software Corp., 8.63%, 5/01/19		860		885,800
First Data Corp.:
7.38%, 6/15/19 (d)		2,430		2,508,975
8.88%, 8/15/20 (d)		830		904,700
6.75%, 11/01/20 (d)		1,375		1,364,687
8.25%, 1/15/21 (d)		935		926,819
12.63%, 1/15/21		2,540		2,571,750
SunGard Data Systems, Inc.:
7.38%, 11/15/18		840		892,500
7.63%, 11/15/20		930		997,425
				13,508,681
Machinery — 1.1%
SPX Corp., 6.88%, 9/01/17		275		305,250
UR Merger Sub Corp. (d):
5.75%, 7/15/18		398		420,885
7.38%, 5/15/20		675		715,500
7.63%, 4/15/22		3,169		3,422,520
				4,864,155
Media — 13.1%
Affinion Group, Inc., 7.88%, 12/15/18		1,260		900,900
AMC Networks, Inc., 7.75%, 7/15/21		350		396,375
CCO Holdings LLC:
6.50%, 4/30/21		785		841,913
5.25%, 9/30/22		1,520		1,504,800
Cengage Learning Acquisitions, Inc., 11.50%,
4/15/20 (d)		2,015		2,120,787
Checkout Holding Corp., 16.00%, 11/15/15 (d)(f)		1,040		634,400
Cinemark USA, Inc., 8.63%, 6/15/19		390		436,800
Clear Channel Communications, Inc., 9.00%,
3/01/21		681		583,958
Clear Channel Worldwide Holdings, Inc.:
Series A, 9.25%, 12/15/17		2,323		2,514,647
Series B, 9.25%, 12/15/17		8,776		9,532,930
Series B, 7.63%, 3/15/20		2,522		2,446,340
Cox Enterprises, Inc.:
Loan Close 2, 12.00%, 8/15/18		1,081		1,081,919
Loan Close 3, 4.00%, 8/15/18		1,236		1,236,945
Shares Loan, 4.00%, 8/15/18		1,275		1,275,724
CSC Holdings LLC, 8.50%, 4/15/14		550		604,313
DISH DBS Corp., 5.88%, 7/15/22 (d)		1,790		1,803,425
Harron Communications LP, 9.13%, 4/01/20 (d)		500		541,250
Intelsat Jackson Holdings SA:
11.25%, 6/15/16		1,377		1,449,292
7.25%, 10/15/20 (d)		1,275		1,373,812
Intelsat Luxembourg SA:
11.25%, 2/04/17		950		997,500
11.50%, 2/04/17 (b)		1,870		1,963,500
Interactive Data Corp., 10.25%, 8/01/18		2,080		2,345,200
The Interpublic Group of Cos., Inc., 10.00%,
7/15/17		525		586,688
Kabel Deutschland Vertrieb und Service GmbH &
Co. KG, 6.50%, 6/29/18 (d)	EUR	530		718,298
Lamar Media Corp., 5.88%, 2/01/22	USD	220		233,200
Live Nation Entertainment, Inc., 8.13%,
5/15/18 (d)		1,170		1,251,900
NAI Entertainment Holdings LLC, 8.25%,
12/15/17 (d)		914		1,019,110

See Notes to Financial Statements.



50	ANNUAL REPORT	AUGUST 31, 2012



Consolidated Schedule of Investments (continued)	BlackRock Corporate High Yield Fund VI, Inc. (HYT)
Consolidated Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Media (concluded)
Nielsen Finance LLC:
11.63%, 2/01/14	USD	147	$	166,845
7.75%, 10/15/18		3,425		3,853,125
Odeon & UCI Finco Plc, 9.00%, 8/01/18 (d)	GBP	324		510,605
ProQuest LLC, 9.00%, 10/15/18 (d)	USD	775		711,063
Truven Health Analytics, Inc., 10.63%, 6/01/20 (d)		790		843,325
Unitymedia GmbH:
9.63%, 12/01/19	EUR	244		344,882
9.63%, 12/01/19 (d)		900		1,272,107
9.50%, 3/15/21		548		786,634
Unitymedia Hessen GmbH & Co. KG:
(FKA UPC Germany GmbH), 8.13%,
12/01/17 (d)	USD	1,353		1,464,622
8.13%, 12/01/17 (d)	EUR	198		268,657
8.13%, 12/01/17 (d)		70		94,980
7.50%, 3/15/19		1,313		1,808,383
UPC Holding BV, 9.88%, 4/15/18 (d)	USD	640		718,400
UPCB Finance II Ltd.:
6.38%, 7/01/20 (d)	EUR	1,273		1,673,232
6.38%, 7/01/20		514		675,602
WaveDivision Escrow LLC/WaveDivision
Escrow Corp., 8.13%, 9/01/20 (d)	USD	465		478,950
Ziggo Bond Co. BV, 8.00%, 5/15/18 (d)	EUR	610		842,066
Ziggo Finance BV, 6.13%, 11/15/17 (d)		104		139,641
				57,049,045
Metals & Mining — 3.7%
Eco-Bat Finance Plc, 7.75%, 2/15/17		610		774,931
FMG Resources August 2006 Property Ltd. (d):
6.88%, 2/01/18	USD	545		519,112
6.88%, 4/01/22		280		257,600
Global Brass and Copper, Inc., 9.50%, 6/01/19 (d)		460		484,150
Goldcorp, Inc., 2.00%, 8/01/14 (e)		1,650		1,901,625
Kaiser Aluminum Corp., 8.25%, 6/01/20 (d)		345		365,700
New Gold, Inc., 7.00%, 4/15/20 (d)		235		247,337
New World Resources NV, 7.88%, 5/01/18	EUR	1,055		1,320,344
Newmont Mining Corp., Series A, 1.25%,
7/15/14 (e)	USD	2,275		2,892,094
Novelis, Inc., 8.75%, 12/15/20		5,140		5,743,950
Schmolz + Bickenbach Luxembourg SA, 9.88%,
5/15/19	EUR	383		389,003
Steel Dynamics, Inc., 6.38%, 8/15/22 (d)	USD	375		388,125
Taseko Mines Ltd., 7.75%, 4/15/19		650		619,125
Vedanta Resources Plc, 8.25%, 6/07/21 (d)	GBP	435		415,425
				16,318,521
Multiline Retail — 0.3%
Dollar General Corp., 4.13%, 7/15/17 (c)	USD	1,225		1,274,000
Oil, Gas & Consumable Fuels — 10.9%
Access Midstream Partners LP, 6.13%, 7/15/22		425		440,937
Alpha Appalachia Holdings, Inc., 3.25%,
8/01/15 (e)		1,263		1,133,542
Alpha Natural Resources, Inc.:
6.00%, 6/01/19		490		441,000
6.25%, 6/01/21		405		362,475
Aurora USA Oil & Gas, Inc., 9.88%, 2/15/17 (d)		1,005		1,050,225
Berry Petroleum Co., 6.38%, 9/15/22		630		670,950
BreitBurn Energy Partners LP, 7.88%, 4/15/22 (d)		400		408,000
CCS, Inc., 11.00%, 11/15/15 (d)		880		910,800
Chaparral Energy, Inc., 7.63%, 11/15/22 (d)		340		359,550
Chesapeake Energy Corp.:
7.25%, 12/15/18		25		26,188
6.63%, 8/15/20		270		277,425
6.88%, 11/15/20		275		285,313
6.13%, 2/15/21		940		932,950


Corporate Bonds	Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
Coffeyville Resources LLC, 9.00%, 4/01/15 (d)	USD	179	$	190,635
Concho Resources, Inc.:
7.00%, 1/15/21		255		284,325
6.50%, 1/15/22		170		183,600
5.50%, 10/01/22		730		753,725
Consol Energy, Inc., 8.25%, 4/01/20		2,750		2,963,125
Continental Resources, Inc., 7.13%, 4/01/21		575		644,000
Copano Energy LLC, 7.13%, 4/01/21		465		485,925
Crosstex Energy LP:
8.88%, 2/15/18		280		298,900
7.13%, 6/01/22 (d)		235		233,825
Crown Oil Partners IV LP, 15.00%, 3/07/15		929		929,023
Denbury Resources, Inc., 8.25%, 2/15/20		70		79,450
Energy XXI Gulf Coast, Inc.:
9.25%, 12/15/17		860		958,900
7.75%, 6/15/19		1,390		1,476,875
EP Energy LLC/EP Energy Finance, Inc., 6.88%,
5/01/19 (d)		535		573,787
EP Energy LLC/Everest Acquisition Finance, Inc.,
7.75%, 9/01/22 (d)		325		325,813
EV Energy Partners LP, 8.00%, 4/15/19		220		227,150
Hilcorp Energy I LP, 7.63%, 4/15/21 (d)		1,165		1,281,500
Holly Energy Partners LP, 6.50%, 3/01/20 (d)		245		256,025
Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (d)		540		573,750
Linn Energy LLC:
6.50%, 5/15/19 (d)		145		144,275
6.25%, 11/01/19 (d)		3,150		3,110,625
8.63%, 4/15/20		345		372,600
7.75%, 2/01/21		320		333,600
MarkWest Energy Partners LP:
6.25%, 6/15/22		125		132,813
5.50%, 2/15/23		350		357,875
Newfield Exploration Co., 6.88%, 2/01/20		1,205		1,316,462
Northern Oil and Gas, Inc., 8.00%, 6/01/20 (d)		480		489,600
Oasis Petroleum, Inc.:
7.25%, 2/01/19		410		432,550
6.50%, 11/01/21		450		459,000
Offshore Group Investments Ltd.:
11.50%, 8/01/15 (d)		2,060		2,276,300
11.50%, 8/01/15		505		558,025
OGX Petroleo e Gas Participações SA (d):
8.50%, 6/01/18		3,760		3,337,000
8.38%, 4/01/22		885		752,250
PBF Holding Co. LLC, 8.25%, 2/15/20 (d)		460		480,700
PetroBakken Energy Ltd., 8.63%, 2/01/20 (d)		1,860		1,901,850
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (d)		690		736,575
Pioneer Natural Resources Co.:
6.88%, 5/01/18		715		865,650
7.50%, 1/15/20		225		281,401
Range Resources Corp.:
8.00%, 5/15/19		600		663,000
5.75%, 6/01/21		1,520		1,616,900
5.00%, 8/15/22		644		670,565
Sabine Pass Liquified Natural Gas LP, 7.50%,
11/30/16		945		1,011,150
Samson Investment Co., 9.75%, 2/15/20 (d)		134		138,020
SandRidge Energy, Inc.:
7.50%, 3/15/21 (d)		1,060		1,073,250
7.50%, 3/15/21		395		399,937
8.13%, 10/15/22 (d)		395		412,775
7.50%, 2/15/23 (d)		860		864,300
SESI LLC:
6.38%, 5/01/19		505		535,300
7.13%, 12/15/21		360		400,500

See Notes to Financial Statements.



ANNUAL REPORT	AUGUST 31, 2012	51



Consolidated Schedule of Investments (continued)	BlackRock Corporate High Yield Fund VI, Inc. (HYT)
Consolidated Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Oil, Gas & Consumable Fuels (concluded)
SM Energy Co.:
6.63%, 2/15/19	USD	205	$	214,225
6.50%, 11/15/21		405		423,225
6.50%, 1/01/23 (d)		190		198,075
Vanguard Natural Resources, 7.88%, 4/01/20		420		420,000
				47,400,061
Paper & Forest Products — 1.6%
Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (b)(d)		1,976		1,797,780
Boise Paper Holdings LLC:
9.00%, 11/01/17		90		99,675
8.00%, 4/01/20		180		198,900
Clearwater Paper Corp.:
10.63%, 6/15/16		625		698,438
7.13%, 11/01/18		885		966,862
Longview Fibre Paper & Packaging, Inc., 8.00%,
6/01/16 (d)		535		553,725
NewPage Corp., 11.38%, 12/31/14 (a)(h)		3,350		2,269,625
Sappi Papier Holding GmbH, 8.38%, 6/15/19 (d)		200		210,500
				6,795,505
Pharmaceuticals — 1.0%
Capsugel Finance Co. SCA:
9.88%, 8/01/19	EUR	105		147,587
9.88%, 8/01/19 (d)		300		421,678
Pharmaceutical Product Development, Inc.,
9.50%, 12/01/19 (d)	USD	545		607,675
Spectrum Brands, Inc., 6.75%, 3/15/20 (d)		400		420,000
Valeant Pharmaceuticals
International (d):
6.50%, 7/15/16		1,915		2,020,325
6.75%, 8/15/21		880		893,200
				4,510,465
Professional Services — 0.4%
FTI Consulting, Inc., 6.75%, 10/01/20		1,450		1,547,875
Real Estate Investment Trusts (REITs) — 0.7%
Felcor Lodging LP, 6.75%, 6/01/19		1,875		2,010,937
The Rouse Co. LP, 6.75%, 11/09/15		805		848,269
				2,859,206
Real Estate Management & Development — 2.3%
CBRE Services, Inc., 6.63%, 10/15/20		520		568,100
Crescent Resources LLC/Crescent Ventures, Inc.,
10.25%, 8/15/17 (d)		1,100		1,127,500
Forest City Enterprises, Inc., 7.63%, 6/01/15		687		683,136
Realogy Corp.:
11.50%, 4/15/17		605		642,812
12.00%, 4/15/17		155		162,363
7.88%, 2/15/19 (d)		3,160		3,254,800
7.63%, 1/15/20 (d)		785		855,650
9.00%, 1/15/20 (d)		510		550,800
Shea Homes LP, 8.63%, 5/15/19		1,885		2,097,062
				9,942,223
Road & Rail — 1.3%
Florida East Coast Railway Corp., 8.13%, 2/01/17		650		682,500
The Hertz Corp.:
7.50%, 10/15/18		855		922,331
6.75%, 4/15/19 (d)		450		472,500
7.38%, 1/15/21		640		696,000
Hertz Holdings Netherlands BV:
8.50%, 7/31/15	EUR	239		326,167
8.50%, 7/31/15 (d)		1,749		2,386,883
				5,486,381


Corporate Bonds	Par (000)		Value
Semiconductors & Semiconductor
Equipment — 0.2%
Spansion LLC, 7.88%, 11/15/17	USD	890	$	867,750
Software — 1.3%
Audatex North America, Inc., 6.75%, 6/15/18 (d)		810		868,725
Infor US, Inc. (FKA Lawson Fortune, Inc.), 9.38%,
4/01/19 (d)		2,560		2,771,200
Nuance Communications, Inc., 5.38%, 8/15/20 (d)		1,360		1,390,600
Sophia LP, 9.75%, 1/15/19 (d)		666		715,950
				5,746,475
Specialty Retail — 2.8%
Asbury Automotive Group, Inc., 8.38%, 11/15/20		565		624,325
Claire’s Stores, Inc., 9.00%, 3/15/19 (d)		765		793,687
House of Fraser Funding Plc:
8.88%, 8/15/18 (d)	GBP	439		619,518
8.88%, 8/15/18		222		313,287
Limited Brands, Inc.:
8.50%, 6/15/19	USD	1,255		1,506,000
5.63%, 2/15/22		250		263,125
Party City Holdings, Inc., 8.88%, 8/01/20 (d)		1,222		1,292,265
Penske Automotive Group, Inc., 5.75%,
10/01/22 (d)		835		851,700
Phones4u Finance Plc, 9.50%, 4/01/18 (d)	GBP	570		873,397
QVC, Inc. (d):
7.13%, 4/15/17	USD	355		375,491
7.50%, 10/01/19		970		1,074,774
7.38%, 10/15/20		455		506,993
5.13%, 7/02/22		662		693,871
Sally Holdings LLC:
6.88%, 11/15/19		840		938,700
5.75%, 6/01/22		670		721,088
Sonic Automotive, Inc., 9.00%, 3/15/18		580		633,650
				12,081,871
Textiles, Apparel & Luxury Goods — 0.2%
Levi Strauss & Co., 6.88%, 5/01/22		675		700,312
Trading Companies & Distributors — 0.7%
Ashtead Capital, Inc., 6.50%, 7/15/22 (d)		765		795,600
Doric Nimrod Air Finance Alpha Ltd.,
Series 2012-1 (d):
Class A, 5.13%, 11/30/24		1,200		1,218,000
Class B, 6.50%, 5/30/21		900		910,638
				2,924,238
Transportation Infrastructure — 0.2%
Aguila 3 SA, 7.88%, 1/31/18 (d)		665		700,744
Wireless Telecommunication Services — 4.2%
Cricket Communications, Inc.:
7.75%, 5/15/16		830		875,650
7.75%, 10/15/20		345		334,650
Digicel Group Ltd. (d):
9.13%, 1/15/15		2,864		2,892,640
8.25%, 9/01/17		1,720		1,823,200
10.50%, 4/15/18		1,490		1,609,200
Matterhorn Mobile Holdings SA, 8.25%, 2/15/20	EUR	296		403,024
MetroPCS Wireless, Inc., 6.63%, 11/15/20	USD	1,210		1,252,350
NII Capital Corp., 7.63%, 4/01/21		539		416,378
SBA Telecommunications, Inc., 5.75%, 7/15/20 (d)		443		462,935
Sprint Capital Corp., 6.88%, 11/15/28		2,821		2,553,005
Sprint Nextel Corp. (d):
9.00%, 11/15/18		2,760		3,256,800
7.00%, 3/01/20		2,060		2,255,700
				18,135,532
Total Corporate Bonds — 104.6%				455,877,340

See Notes to Financial Statements.



52	ANNUAL REPORT	AUGUST 31, 2012



Consolidated Schedule of Investments (continued)	BlackRock Corporate High Yield Fund VI, Inc. (HYT) (Percentages shown are based on Net Assets)


Floating Rate Loan Interests (c)	Par (000)		Value
Airlines — 0.2%
Delta Air Lines, Inc., Term Loan B, 5.50%, 4/20/17	USD	653	$	657,704
Auto Components — 0.6%
Federal-Mogul Corp., Term Loan B, 2.17%, 12/29/14		1,741		1,661,344
Schaeffler AG, Term Loan C2, 6.00%, 1/27/17		765		767,234
				2,428,578
Building Products — 0.2%
Goodman Global, Inc., Term Loan (Second Lien), 9.00%, 10/30/17		764		773,663
Capital Markets — 0.7%
American Capital Holdings, Term Loan, 5.50%, 7/19/16		1,255		1,259,706
Nuveen Investments, Inc.:
Incremental Term Loan, 7.25%, 5/13/17		1,045		1,049,703
Second Lien Term Loan, 8.25%, 2/28/19		640		644,000
				2,953,409
Chemicals — 0.7%
Evergreen Acqco 1 LP, Term Loan B, 6.25%, 7/09/19		265		267,486
INEOS US Finance LLC, 6 Year Term Loan, 6.50%, 5/04/18		1,776		1,778,142
PQ Corp. (FKA Niagara Acquisition, Inc.), Term Loan B, 3.98%, 7/30/14		325		318,975
Styron Sarl LLC, Term Loan B, 8.00%, 8/02/17		534		497,129
				2,861,732
Commercial Services & Supplies — 0.8%
AWAS Finance Luxembourg Sarl, Term Loan B, 5.25%, 6/10/16		742		741,375
Delos Aircraft, Inc., Term Loan B2, 4.75%, 4/12/16		975		984,750
Volume Services America, Inc., Term Loan B, 10.50% – 10.75%, 9/16/16		1,572		1,572,000
				3,298,125
Communications Equipment — 0.8%
Avaya, Inc., Term Loan B1, 3.18%, 10/24/14		393		377,206
Zayo Group, LLC, Term Loan B, 7.13%, 7/02/19		3,210		3,257,155
				3,634,361
Construction & Engineering — 0.7%
Safway Services LLC, Mezzanine Loan, 15.63%, 12/16/17		3,250		3,250,000
Construction Materials — 0.4%
HD Supply, Inc., Senior Debt B, 7.25%, 10/12/17		1,730		1,767,489
Consumer Finance — 1.7%
Springleaf Financial Funding Co. (FKA AGFS Funding Co.), Term Loan, 5.50%, 5/10/17		7,825		7,556,994
Diversified Consumer Services — 0.1%
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18		224		218,364
ServiceMaster Co.:
Delayed Draw Term Loan, 2.74%, 7/24/14		13		12,860
Term Loan, 2.75% – 2.97%, 7/24/14		130		129,139
				360,363
Diversified Financial Services — 0.5%
Residential Capital LLC:
DIP Term Loan A1, 5.00%, 11/18/13		1,935		1,939,837
DIP Term Loan A2, 6.75%, 11/18/13		285		288,326
				2,228,163


Floating Rate Loan Interests (c)	Par (000)		Value
Diversified Telecommunication Services — 0.5%
Level 3 Financing, Inc.:
2016 Term Loan B, 4.75%, 2/01/16	USD	515	$	516,030
2019 Term Loan B, 5.25%, 8/01/19		420		420,613
Term Loan B3, 5.75%, 8/31/18		1,300		1,303,432
				2,240,075
Electronic Equipment, Instruments & Components — 0.1%
CDW LLC, Extended Term Loan, 4.00%, 7/14/17		428		423,022
Energy Equipment & Services — 2.2%
Dynegy Midwest Generation LLC, Coal Co. Term Loan, 9.25%, 8/04/16		3,068		3,182,903
Dynegy Power LLC, Gas Co. Term Loan, 9.25%, 8/04/16		5,616		5,878,663
Tervita Corp., Incremental Term Loan, 6.50%, 10/17/14		423		422,524
				9,484,090
Food & Staples Retailing — 0.0%
US Foods, Inc. (FKA US Foodservice, Inc.), Extended Term Loan B, 5.75%, 3/31/17		119		114,742
Food Products — 0.3%
Advance Pierre Foods, Term Loan (Second Lien), 11.25%, 9/29/17		1,300		1,307,800
Health Care Equipment & Supplies — 0.5%
Bausch & Lomb, Inc., Term Loan B, 5.25%, 5/17/19		740		742,464
Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19		1,177		1,181,464
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18		435		438,263
				2,362,191
Health Care Providers & Services — 0.5%
Harden Healthcare LLC:
Add on Term Loan A, 7.75%, 3/02/15		664		643,731
Term Loan A, 8.50%, 3/02/15		514		504,009
inVentiv Health, Inc., Combined Term Loan, 6.50%, 8/04/16		1,069		994,998
				2,142,738
Hotels, Restaurants & Leisure — 1.2%
Caesars Entertainment Operating Co., Inc.:
Extended Term Loan B6, 5.49%, 1/26/18		315		276,904
Incremental Term Loan B4, 9.50%, 10/31/16		751		765,961
Term Loan B1, 3.24%, 1/28/15		629		596,636
Term Loan B2, 3.24%, 1/28/15		693		657,580
Term Loan B3, 3.24% – 3.46%, 1/28/15		1,507		1,428,755
OSI Restaurant Partners LLC:
Revolver, 2.49% – 2.56%, 6/14/13		15		14,699
Term Loan B, 2.56%, 6/14/14		149		148,147
Sabre, Inc., Non-Extended Initial Term Loan, 2.23%, 9/30/14		99		97,590
Station Casinos, Inc., Term Loan B1, 3.23%, 6/17/16		1,343		1,276,246
Travelport LLC:
Extended Tranche A Term Loan, 6.44%, 9/28/12		298		89,457
Extended Tranche B Term Loan, 13.94%, 12/01/16		961		76,909
				5,428,884
Industrial Conglomerates — 0.1%
Sequa Corp.:
Incremental Term Loan, 6.25%, 12/03/14		278		278,296
Term Loan, 3.69% – 3.72%, 12/03/14		235		233,386
				511,682


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	53



Consolidated Schedule of Investments (continued)	BlackRock Corporate High Yield Fund VI, Inc. (HYT) (Percentages shown are based on Net Assets)


Floating Rate Loan Interests (c)	Par (000)		Value
IT Services — 0.3%
Ceridian Corp., Extended Term Loan, 5.99%, 5/09/17	USD	107	$	106,839
First Data Corp., Extended 2018 Term Loan B, 4.24%, 3/23/18		1,220		1,151,887
				1,258,726
Leisure Equipment & Products — 0.2%
Eastman Kodak Co., DIP Term Loan B, 8.50%, 7/19/13		1,013		1,003,506
Machinery — 0.5%
Navistar International Corp., Term Loan B, 7.00%, 8/17/17		1,046		1,051,108
Rexnord Corp., Term Loan B, 5.00%, 4/02/18		915		918,997
				1,970,105
Media — 4.8%
Affinion Group, Inc., Term Loan B, 5.00%, 7/16/15		69		58,842
Cengage Learning Acquisitions, Inc.:
Non-Extended Term Loan, 2.49%, 7/03/14		497		457,911
Tranche 1 Incremental, 7.50%, 7/03/14		2,640		2,541,000
Cequel Communications LLC, Term Loan B, 4.00%, 2/14/19		738		736,615
Clear Channel Communications, Inc.:
Term Loan B, 3.88%, 1/28/16		2,993		2,317,669
Term Loan C, 3.88%, 1/28/16		598		454,885
EMI Music Publishing Ltd., Term Loan B, 5.50%, 6/29/18		675		679,556
Intelsat Jackson Holdings SA, Tranche B Term Loan, 5.25%, 4/02/18		9,826		9,857,906
Interactive Data Corp., Term Loan B, 4.50%, 2/12/18		635		635,436
Newsday LLC, Fixed Rate Term Loan, 10.50%, 8/01/13		2,450		2,463,279
Univision Communications, Inc., Extended Term Loan, 4.48%, 3/31/17		468		451,984
				20,655,083
Metals & Mining — 0.1%
Constellium Holdco BV, Term Loan B, 9.25%, 5/25/18		660		646,800
Multiline Retail — 0.4%
HEMA Holding BV, Mezzanine, 8.64%, 7/05/17	EUR	1,731		1,807,502
Oil, Gas & Consumable Fuels — 0.8%
Chesapeake Energy Corp., Unsecured Term Loan, 8.50%, 12/01/17	USD	1,845		1,848,967
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15		1,561		1,560,799
				3,409,766
Paper & Forest Products — 0.6%
Ainsworth Lumber Co. Ltd., Term Loan, 5.25%, 6/26/14		605		585,338
NewPage Corp., DIP Term Loan, 8.00%, 3/07/13		950		958,911
Verso Paper Finance Holdings LLC, Term Loan, 6.50% – 7.24%, 2/01/13		2,314		1,157,214
				2,701,463
Pharmaceuticals — 0.5%
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17		1,478		1,471,960
Pharmaceutical Product Development, Inc., Term Loan B, 6.25%, 12/05/18		487		492,529
				1,964,489


Floating Rate Loan Interests (c)	Par (000)		Value
Professional Services — 0.1%
Truven Health Analytics, Term Loan B, 6.75%, 6/06/19	USD	575	$	579,071
Real Estate Investment Trusts (REITs) — 0.5%
iStar Financial, Inc., Term Loan A1, 5.00%, 6/28/13		2,340		2,341,899
Real Estate Management & Development — 0.4%
Realogy Corp.:
Extended Letter of Credit Loan, 4.50%, 10/10/16		166		159,839
Extended Term Loan, 4.49%, 10/10/16		1,173		1,132,330
Stockbridge SBE Holdings LLC, Term Loan B, 13.00%, 5/02/17		285		283,575
				1,575,744
Semiconductors & Semiconductor Equipment — 0.0%
NXP BV, Term Loan A-2, 5.50%, 3/03/17		104		105,715
Software — 0.4%
Infor US, Inc. (FKA Lawson Software, Inc.), Term Loan B, 6.25%, 4/05/18		1,900		1,919,772
Specialty Retail — 0.1%
Claire’s Stores, Inc., Term Loan B, 2.98% – 3.20%, 5/29/14		601		589,495
Textiles, Apparel & Luxury Goods — 0.4%
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18		1,746		1,729,618
Wireless Telecommunication Services — 1.0%
Crown Castle International Corp., Term Loan B, 4.00%, 1/31/19		99		98,815
Vodafone Americas Finance 2, Inc., Term Loan B, 6.25%, 7/11/16 (b)		4,022		4,102,313
				4,201,128
Total Floating Rate Loan Interests — 23.9%				104,245,687



Other Interests (j)	Beneficial Interest (000)
Chemicals — 0.0%
Wellman Holdings, Inc., Litigation Trust Certificate (a)		4,870	49
Hotels, Restaurants & Leisure — 0.0%
Buffets, Inc. (a)		950	9
Media — 0.0%
Adelphia Escrow		1,300	13
Adelphia Recovery Trust (a)		1,630	163
			176
Total Other Interests — 0.0%			234



Preferred Securities	Par (000)
Capital Trusts — 0.2%
Insurance — 0.2%
Genworth Financial, Inc., 6.15%, 11/15/66 (c)		1,335	801,000


See Notes to Financial Statements.

54	ANNUAL REPORT	AUGUST 31, 2012



Consolidated Schedule of Investments (continued)	BlackRock Corporate High Yield Fund VI, Inc. (HYT)
Consolidated Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Preferred Stocks	Shares		Value
Auto Components — 0.4%
Dana Holding Corp., 4.00% (d)(e)		12,760	$	1,491,325
Diversified Financial Services — 1.4%
Ally Financial, Inc., 7.00% (d)		6,825		6,214,802
Thrifts & Mortgage Finance — 0.0%
Fannie Mae, Series O, 7.00% (a)		40,000		48,000
Freddie Mac, Series Z, 8.38% (a)		110,157		102,446
				150,446
Total Preferred Stocks — 1.8%				7,856,573



Trust Preferreds
Diversified Financial Services — 0.8%
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c)	119,490	2,952,932
RBS Capital Funding Trust VII, 6.08% (a)(c)(h)(k)	44,200	757,588
Total Trust Preferreds — 0.8%		3,710,520
Total Preferred Securities — 2.8%		12,368,093




Warrants (l)
Health Care Providers & Services — 0.0%
HealthSouth Corp. (Expires 1/16/14)	54,577		1
Media — 0.0%
New Vision Holdings LLC (Expires 9/30/14)	26,189		—
Software — 0.0%
Bankruptcy Management Solutions, Inc. (Expires 9/28/17)	525		—
HMH Holdings/EduMedia (Issued/Exercisable
3/09/10, 19 Shares for 1 Warrant, Expires
6/22/19, Strike Price $42.27)	1,835		—
Total Warrants — 0.0%			1
Total Investments (Cost — $594,142,867) — 139.6%			608,749,814
Liabilities in Excess of Other Assets — (39.6)%			(172,794,791	)
Net Assets — 100.0%		$	435,955,023


(a)	Non-income producing security.

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

(c)	Variable rate security. Rate shown is as of report date.

(d)	Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(e)	Convertible security.

(f)	Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. (g) When-issued security. Unsettled when-issued transactions were as follows:


Counterparty	Value		Unrealized Appreciation
Goldman Sachs Group, Inc.	$	2,532,262	$	31,263


(h)	Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

(i)	All or a portion of security has been pledged as collateral in connection with swaps.

(j)	Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

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

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

•	Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2012, for purposes of Section 2 (a)(3) of the 1940 Act, as amended, were as follows:


Affiliate	Shares Held at August 31, 2011		Net Activity			Shares Held at August 31, 2012		Income
BlackRock Liquidity Funds, TempFund, Institutional Class		941,235		(941,235	)		—	$	991


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

•	Financial future contracts sold as of August 31, 2012 were as follows:

Contracts

Issue

Exchange

Expiration

Notional
Value

Unrealized
Depreciation

182

S&P 500
E-Mini Index

Chicago
Mercantile

September
2012

USD

12,786,410

(879,524

)


•	Foreign currency exchange contracts as of August 31, 2012 were as follows:


Currency Purchased		Currency Sold		Counterparty		Settlement Date		Unrealized Appreciation (Depreciation)
GBP	140,000	USD	220,061		Citigroup, Inc.		10/17/12	$	2,205
GBP	256,000	USD	401,064		Citigroup, Inc.		10/17/12		5,365
USD	115,144	AUD	114,000		Citigroup, Inc.		10/17/12		(2,175	)
USD	200,385	AUD	197,000		UBS AG		10/17/12		(2,351	)
USD	4,951,372	CAD	5,028,500		UBS AG		10/17/12		(145,216	)
USD	517,032	GBP	330,000		Citigroup, Inc.		10/17/12		(6,881	)
USD	152,004	GBP	97,000		Citigroup, Inc.		10/17/12		(1,995	)
USD	142,615	GBP	92,000		Deutsche Bank AG		10/17/12		(3,446	)
USD	5,660,029	GBP	3,646,000		UBS AG		10/17/12		(128,422	)
USD	426,542	GBP	275,000		UBS AG		10/17/12		(10,053	)
USD	144,270	GBP	93,000		UBS AG		10/17/12		(3,379	)
USD	61,158	GBP	39,000		UBS AG		10/17/12		(759	)
EUR	175,000	USD	213,055		Citigroup, Inc.		10/22/12		7,174
EUR	390,000	USD	483,296		Citigroup, Inc.		10/22/12		7,499
EUR	1,000,000	USD	1,224,283		Citigroup, Inc.		10/22/12		34,166
USD	30,263,810	EUR	24,685,000		Citigroup, Inc.		10/22/12		(800,994	)
USD	869,708	EUR	700,000		Citigroup, Inc.		10/22/12		(11,206	)
USD	256,913	EUR	209,000		Citigroup, Inc.		10/22/12		(6,103	)
USD	24,749	EUR	20,000		Citigroup, Inc.		10/22/12		(420	)
USD	122,847	EUR	99,000	Royal Bank of Scotland Group Plc			10/22/12		(1,740	)
USD	585,153	EUR	474,000		UBS AG		10/22/12		(11,351	)
USD	377,625	EUR	306,000		UBS AG		10/22/12		(7,460	)
USD	192,990	EUR	157,000		UBS AG		10/22/12		(4,586	)
Total								$	(1,092,128	)

See Notes to Financial Statements.



ANNUAL REPORT	AUGUST 31, 2012	55



Consolidated Schedule of Investments (continued)	BlackRock Corporate High Yield Fund VI, Inc. (HYT)


•	Credit default swaps on single-name issues — buy protection outstanding as of August 31, 2012 were as follows:


Issuer	Pay Fixed Rate			Counterparty		Expiration Date		Notional Amount (000)		Unrealized Appreciation (Depreciation)
MGM Resorts International		5.00	%		Deutsche Bank AG		6/20/15	USD	160	$	(11,861	)
MGM Resorts International		5.00	%		Deutsche Bank AG		6/20/15	USD	135		(11,087	)
MGM Resorts International		5.00	%		Deutsche Bank AG		6/20/15	USD	260		(18,522	)
MGM Resorts International		5.00	%		Deutsche Bank AG		6/20/15	USD	140		(7,147	)
MGM Resorts International		5.00	%		Deutsche Bank AG		6/20/15	USD	135		(7,736	)
Republic of Hungary		1.00	%		Deutsche Bank AG		12/20/15	USD	470		8,548
Israel (State of)		1.00	%		Deutsche Bank AG		3/20/17	USD	350		(7,845	)
Israel (State of)		1.00	%		Deutsche Bank AG		3/20/17	USD	1,050		(24,193	)
Total										$	(79,843	)


•	Credit default swaps on single-name issues — sold protection outstanding as of August 31, 2012 were as follows:


Issuer	Receive Fixed Rate			Counterparty		Expiration Date		Issuer Credit Rating¹		Notional Amount (000)²		Unrealized Appreciation
Air Lease Corp.		5.00	%		Goldman Sachs Group, Inc.		2/14/13		Not Rated	USD	800	$	13,264
CIT Group, Inc.		5.00	%		Deutsche Bank AG		9/20/15		BB–	USD	5,000		650,314
ARAMARK Corp.		5.00	%		Goldman Sachs Group, Inc.		3/20/16		B	USD	750		62,823
ARAMARK Corp.		5.00	%		Goldman Sachs Group, Inc.		6/20/16		B	USD	475		40,119
ARAMARK Corp.		5.00	%		Goldman Sachs Group, Inc.		6/20/16		B	USD	475		42,751
ARAMARK Corp.		5.00	%		Credit Suisse Group AG		9/20/16		B	USD	200		23,894
ARAMARK Corp.		5.00	%		Goldman Sachs Group, Inc.		9/20/16		B	USD	450		39,429
ARAMARK Corp.		5.00	%		Goldman Sachs Group, Inc.		9/20/16		B	USD	200		23,236
ARAMARK Corp.		5.00	%		Deutsche Bank AG		3/20/17		B	USD	305		20,133
Crown Castle International Corp.		7.25	%		Deutsche Bank AG		3/20/17		B–	USD	720		10,262
Ford Motor Co.		5.00	%		Deutsche Bank AG		3/20/17		BB+	USD	2,200		96,904
Goodyear Tire & Rubber Co.		5.00	%		Deutsche Bank AG		6/20/17		B+	USD	480		22,367


	Credit default swaps on single-name issues — sold protection outstanding as of August 31, 2012 were as follows (concluded):

Issuer

Receive
Fixed
Rate

Counterparty

Expiration
Date

Issuer
Credit
Rating¹

Notional
Amount
(000)²

Unrealized
Appreciation

Goodyear
Tire &
Rubber Co.

5.00

Goldman Sachs
Group, Inc.

6/20/17

B+

USD

500

17,619

CCO
Holdings LLC

8.00

Deutsche
Bank AG

9/20/17

BB–

USD

2,400

195,516

Level 3
Communica-
tions, Inc.

5.00

Goldman Sachs
Group, Inc.

6/20/19

CCC

USD

1,600

43,737

Total

1,302,368


¹	Using S&P’s rating.

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


•	Credit default swaps on traded indexes — buy protection outstanding as of August 31, 2012 were as follows:

Index

Pay
Fixed
Rate

Counterparty

Expiration
Date

Notional
Amount
(000)

Unrealized
Depreciation

Dow Jones CDX
North America
High Yield
Series 18,
Version 2

5.00%

Credit Suisse
Group AG

6/20/17

USD 2,871

(9,310

)


•	Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

	•	Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

	•	Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

	•	Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

See Notes to Financial Statements.



56	ANNUAL REPORT	AUGUST 31, 2012



Consolidated Schedule of Investments (continued)	BlackRock Corporate High Yield Fund VI, Inc. (HYT)

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2012:


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments: Common Stocks	$	28,170,818	$	1,082,501	$	7,005,140	$	36,258,459
Corporate Bonds		—		450,952,419		4,924,921		455,877,340
Floating Rate Loan Interests		—		84,784,618		19,461,069		104,245,687
Other Interests		163		—		71		234
Preferred Securities		3,860,966		8,507,127		—		12,368,093
Warrants		—		—		1		1
Total	$	32,031,947	$	545,326,665	$	31,391,202	$	608,749,814


	Level 1			Level 2			Level 3		Total
Derivative Financial Instruments¹
Assets:
Credit contracts		—		$	441,560		$	869,356	$	1,310,916
Foreign currency exchange contracts		—			56,409			—		56,409
Liabilities:
Credit contracts		—			(97,701	)		—		(97,701	)
Equity contracts	$	(879,524	)		—			—		(879,524	)
Foreign currency exchange contracts		—			(1,148,537	)		—		(1,148,537	)
Total	$	(879,524	)	$	(748,269	)	$	869,356	$	(758,437	)


¹	Derivative financial instruments are swaps, financial futures contracts, and foreign currency exchange contracts. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument.


	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	1,867,598		—			—	$	1,867,598
Foreign currency at value		550,512		—			—		550,512
Cash pledged as collateral for financial futures contracts		765,000		—			—		765,000
Cash pledged as collateral for swaps		400,000		—			—		400,000
Liabilities:
Cash received as collateral for swaps		—	$	(600,000	)		—		(600,000	)
Loan payable		—		(181,000,000	)		—		(181,000,000	)
Total	$	3,583,110	$	(181,600,000	)		—	$	(178,016,890	)

Prior to February 29, 2012, only significant transfers between Level 1 and Level 2 were required to be disclosed. There were no significant transfers from the beginning of the period to February 29, 2012. For the interim period March 1, 2012 through August 31, 2012, all transfers between Level 1 and Level 2 are required to be disclosed. As of February 29, 2012, the Trust used observable inputs in determining the value of certain equity securities. During the year, the Trust began valuing these securities using unadjusted price quotations from an exchange. As a result, investments with a beginning of period value of $11,090,417 transferred from Level 2 to Level 1 in the disclosure hierarchy.

The following table summarizes the valuation techniques used and unobservable inputs developed by the Global Valuation Committee to determine the value of certain of the Trust’s Level 3 investments as of August 31, 2012:

Value

Valuation Techniques

Unobservable Inputs²

Range of
Unobservable
Inputs

Weighted Average
of Unobservable
Inputs³

Assets:

Common Stocks

7,005,132

Market Comparable Companies

Cost

EBITDA Multiple
Forward EBITDA Multiple
N/A⁴

5.9x
4.6x
—

Corporate Bonds

4,523,611

Market Comparable Companies

Cost

Yield
EBITDA Multiple
N/A⁴

9.67%
6.0x
—

Floating Rate Loan Interests

5,554,954

Market Comparable Companies
Cost

Illiquidity Discount
Yield
N/A⁴

50%
9.65%
—

Total⁵

17,083,697


²	A change to the unobservable input may result in a significant change to the value of the investment as follows:


Unobservable Input	Impact to Value if Input Increases	Impact to Value if Input Decreases
EBITDA Multiple	Increase	Decrease
Forward EBITDA Multiple	Increase	Decrease
Yield	Decrease	Increase
Illiquidity Discount	Decrease	Increase


³	Unobservable inputs are weighted based on the value of the investments included in the range.

See Notes to Financial Statements.



ANNUAL REPORT	AUGUST 31, 2012	57



Consolidated Schedule of Investments (concluded)	BlackRock Corporate High Yield Fund VI, Inc. (HYT)


	⁴	The Trust fair values certain of its Level 3 investments using prior transaction prices (acquisition cost), although the transaction may not have occurred during the current reporting period. In such cases, these investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Trust.

	⁵	Does not include Level 3 investments with values derived utilizing prices from recent prior transactions or third party pricing information without adjustment for which such inputs are unobservable. See above valuation input table for values of such Level 3 investments. A significant change in third party pricing information could result in a significantly lower or higher value in such Level 3 investments.


	Common Stocks			Corporate Bonds			Floating Rate Loan Interests			Other Interests			Preferred Securities			Warrants			Total
Assets:
Opening balance, as of August 31, 2011	$	3,689,799		$	6,541,570		$	14,112,734		$	3,081,895		$	503,497		$	382,599		$	28,312,094
Transfers into Level 3¹		3,081,876	²		—			5,487,806			—			—			—			8,569,682
Transfers out of Level 3³		—			—			(2,529,625	)		(3,081,872	)²		—			—			(5,611,497	)
Accrued discounts/premiums		—			6,060			200,544			—			—			—			206,604
Net realized gain (loss)		(1,658,754	)		(3,660,373	)		48,617			—			592,350			(293,874	)		(4,972,034	)
Net change in unrealized appreciation/depreciation⁴		93,110			3,647,602			(1,178,187	)		48			(503,497	)		(88,724	)		1,970,352
Purchases		1,810,765			1,068,488			5,354,106			—			—			—			8,233,359
Sales		(11,656	)		(2,678,426	)		(2,034,926	)		—			(592,350	)		—			(5,317,358	)
Closing Balance, as of August 31, 2012	$	7,005,140		$	4,924,921		$	19,461,069		$	71			—		$	1		$	31,391,202


	¹	As of August 31, 2011, the Trust used observable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used significant unobservable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $5,487,810 transferred from Level 2 to Level 3 in the disclosure hierarchy.

	²	Transfers into and out of Level 3 are the result of a reclassification of certain Level 3 investments between Common Stocks and Other Interests and not the result of the investments transferring into or out of Level 3.

	³	As of August 31, 2011, the Trust used significant unobservable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used observable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $2,529,625 transferred from Level 3 to Level 2 in the disclosure hierarchy.

	⁴	Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $(2,542,944).

The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:


	Credit Contracts
Assets:
Opening balance, as of August 31, 2011		—
Transfers into Level 3⁵		—
Transfers out of Level 3⁵		—
Accrued discounts/premiums		—
Net realized gain (loss)		—
Net change in unrealized appreciation/depreciation⁶	$	869,356
Purchases		—
Issues⁷		—
Sales		—
Settlements⁸		—
Closing Balance, as of August 31, 2012	$	869,356


	⁵	Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period.

	⁶	Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still held as of August 31, 2012 was $869,356.

	⁷	Issues represent upfront cash received on certain derivative financial instruments.

	⁸	Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.


See Notes to Financial Statements.

58	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments August 31, 2012	BlackRock High Income Shares (HIS)
Schedule of Investments August 31, 2012	(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value
Auto Components — 0.4%
Delphi Automotive Plc		16,057	$	486,354
Diversified Financial Services — 0.5%
Kcad Holdings I Ltd.		100,092,440		663,713
Hotels, Restaurants & Leisure — 0.0%
Travelport Worldwide Ltd.		35,081		4,560
Media — 0.1%
Cumulus Media, Inc., Class A		40,597		112,454
Software — 0.2%
Bankruptcy Management Solutions, Inc.		251		3
HMH Holdings/EduMedia		9,409		230,515
				230,518
Total Common Stocks — 1.2%				1,497,599


Corporate Bonds	Par (000)
Aerospace & Defense — 0.6%
Huntington Ingalls Industries, Inc.:
6.88%, 3/15/18	USD	100	107,000
7.13%, 3/15/21		140	151,550
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17		398	423,870
			682,420
Air Freight & Logistics — 0.5%
National Air Cargo Group, Inc.:
Series 1, 12.38%, 9/02/15		276	281,313
Series 2, 12.38%, 8/16/15		279	284,580
			565,893
Airlines — 1.3%
American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 4/15/23		504	533,899
Continental Airlines, Inc., Series 2010-1, Class B, 6.00%, 7/12/20		178	178,906
Delta Air Lines, Inc.:
Series 2002-1, Class G-1, 6.72%, 7/02/24		273	296,120
Series 2009-1-B, 9.75%, 6/17/18		93	100,817
US Airways Pass-Through Trust, Class C:
Series 2011-1, 10.88%, 10/22/14		305	312,636
Series 2012-1, 9.13%, 10/01/15		200	204,000
			1,626,378
Auto Components — 1.8%
Dana Holding Corp., 6.75%, 2/15/21		200	215,500
Delphi Corp., 6.13%, 5/15/21		80	88,000
Icahn Enterprises LP, 8.00%, 1/15/18		1,510	1,608,150
IDQ Holdings, Inc., 11.50%, 4/01/17 (b)		155	162,169
International Automotive Components Group SL, 9.13%, 6/01/18 (b)		20	19,175
Titan International, Inc., 7.88%, 10/01/17		190	199,025
			2,292,019
Beverages — 0.3%
Crown European Holdings SA:
7.13%, 8/15/18	EUR	100	138,358
7.13%, 8/15/18 (b)		167	231,058
			369,416
Biotechnology — 0.0%
QHP Royalty Sub LLC, 10.25%, 3/15/15 (b)	USD	25	25,041


Corporate Bonds	Par (000)			Value
Building Products — 0.8%
Building Materials Corp. of America (b):
7.00%, 2/15/20	USD	250	$	270,625
6.75%, 5/01/21		350		382,375
Momentive Performance Materials, Inc., 11.50%, 12/01/16		170		103,700
USG Corp., 9.75%, 1/15/18		270		289,575
				1,046,275
Capital Markets — 0.9%
E*Trade Financial Corp.:
12.50%, 11/30/17 (c)		485		553,506
Series A, 11.15%, 8/31/19 (d)(e)		295		252,225
KKR Group Finance Co. LLC, 6.38%, 9/29/20 (b)		300		339,586
				1,145,317
Chemicals — 4.0%
Celanese US Holdings LLC, 5.88%, 6/15/21		810		895,050
Chemtura Corp., 7.88%, 9/01/18		145		156,237
Hexion US Finance Corp.:
6.63%, 4/15/20 (b)		105		106,050
9.00%, 11/15/20		145		123,975
Huntsman International LLC, 8.63%, 3/15/21		80		91,600
INEOS Finance Plc (b):
8.38%, 2/15/19		400		421,000
7.50%, 5/01/20		195		198,900
INEOS Group Holdings Plc, 8.50%, 2/15/16 (b)		75		70,688
Kinove German Bondco GmbH, 10.00%, 6/15/18	EUR	148		202,360
Kraton Polymers LLC, 6.75%, 3/01/19	USD	55		56,375
LyondellBasell Industries NV, 5.75%, 4/15/24 (b)		1,210		1,370,325
Nexeo Solutions LLC, 8.38%, 3/01/18		85		83,088
PolyOne Corp., 7.38%, 9/15/20		100		109,250
TPC Group LLC, 8.25%, 10/01/17		155		170,112
Tronox Finance LLC, 6.38%, 8/15/20 (b)		835		843,350
				4,898,360
Commercial Banks — 1.1%
CIT Group, Inc.:
7.00%, 5/02/16 (b)		632		633,600
5.25%, 3/15/18		240		250,200
5.50%, 2/15/19 (b)		240		250,200
5.00%, 8/15/22		260		261,970
				1,395,970
Commercial Services & Supplies — 1.9%
ARAMARK Corp., 8.50%, 2/01/15		166		170,152
ARAMARK Holdings Corp., 8.63%, 5/01/16 (b)(c)		190		194,514
Aviation Capital Group Corp., 6.75%, 4/06/21 (b)		230		236,152
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b)		171		180,616
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b)		9		9,090
Casella Waste Systems, Inc., 7.75%, 2/15/19		214		211,860
Clean Harbors, Inc., 5.25%, 8/01/20 (b)		233		239,116
Covanta Holding Corp., 6.38%, 10/01/22		280		306,144
Mead Products LLC/ACCO Brands Corp., 6.75%, 4/30/20 (b)		97		102,578
Mobile Mini, Inc., 7.88%, 12/01/20		165		176,963
RSC Equipment Rental, Inc., 8.25%, 2/01/21		392		429,240
West Corp., 8.63%, 10/01/18		65		65,975
				2,322,400
Communications Equipment — 1.8%
Avaya, Inc., 9.75%, 11/01/15		310		268,925
Frontier Communications Corp., 6.25%, 1/15/13		400		407,000
Hughes Satellite Systems Corp., 6.50%, 6/15/19		180		192,825
Zayo Group LLC/Zayo Capital, Inc.:
8.13%, 1/01/20		690		733,125
10.13%, 7/01/20		560		600,600
				2,202,475


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	59



Schedule of Investments (continued)	BlackRock High Income Shares (HIS)
	(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Computers & Peripherals — 0.1%
SanDisk Corp., 1.50%, 8/15/17 (e)	USD	100	$	110,750
Construction & Engineering — 0.2%
Boart Longyear Management Property Ltd., 7.00%, 4/01/21 (b)		90		93,375
H&E Equipment Services, Inc., 7.00%, 9/01/22 (b)		145		150,437
URS Corp., 5.00%, 4/01/22 (b)		30		30,420
				274,232
Construction Materials — 1.3%
HD Supply, Inc. (b):
8.13%, 4/15/19		680		737,800
11.00%, 4/15/20		655		720,500
Xefin Lux SCA, 8.00%, 6/01/18 (b)	EUR	113		138,578
				1,596,878
Consumer Finance — 0.8%
Credit Acceptance Corp., 9.13%, 2/01/17	USD	220		242,000
Ford Motor Credit Co. LLC:
7.00%, 4/15/15		270		300,559
12.00%, 5/15/15		330		410,850
				953,409
Containers & Packaging — 1.5%
Ardagh Packaging Finance Plc (b):
7.38%, 10/15/17	EUR	285		379,085
9.13%, 10/15/20	USD	200		209,000
9.13%, 10/15/20		200		208,000
Berry Plastics Corp.:
4.34%, 9/15/14 (f)		135		132,975
8.25%, 11/15/15		55		57,888
9.75%, 1/15/21		195		215,962
GCL Holdings SCA, 9.38%, 4/15/18 (b)	EUR	120		146,408
Graphic Packaging International, Inc., 7.88%, 10/01/18	USD	175		195,125
OI European Group BV, 6.88%, 3/31/17	EUR	100		129,868
Sealed Air Corp., 8.38%, 9/15/21 (b)	USD	85		95,625
Tekni-Plex, Inc., 9.75%, 6/01/19 (b)		80		83,600
				1,853,536
Distributors — 0.6%
VWR Funding, Inc., 7.25%, 9/15/17 (b)(g)		710		718,875
Diversified Consumer Services — 0.3%
Laureate Education, Inc., 9.25%, 9/01/19 (b)		270		270,000
ServiceMaster Co., 8.00%, 2/15/20		85		90,631
				360,631
Diversified Financial Services — 4.3%
Aircastle, Ltd., 6.75%, 4/15/17		200		216,000
Ally Financial, Inc.:
7.50%, 12/31/13		90		96,188
8.00%, 11/01/31		1,520		1,797,400
Boparan Holdings Ltd. (b):
9.75%, 4/30/18	EUR	100		132,226
9.88%, 4/30/18	GBP	100		166,053
CNG Holdings, Inc., 9.38%, 5/15/20 (b)	USD	135		137,700
DPL, Inc., 7.25%, 10/15/21 (b)		530		604,200
General Motors Financial Co., Inc., 6.75%, 6/01/18		140		155,224
Leucadia National Corp., 8.13%, 9/15/15		378		426,195
Reynolds Group Issuer, Inc.:
7.75%, 10/15/16	EUR	71		92,206
7.13%, 4/15/19	USD	115		123,912
9.75%, 4/15/19		100		101,625
7.88%, 8/15/19		250		278,125
9.88%, 8/15/19		575		608,062
8.25%, 2/15/21		100		98,250


Corporate Bonds	Par (000)		Value
Diversified Financial Services (concluded)
WMG Acquisition Corp.:
9.50%, 6/15/16	USD	55	$	60,088
11.50%, 10/01/18		190		208,525
				5,301,979
Diversified Telecommunication Services — 2.4%
Broadview Networks Holdings, Inc., 11.38%, 9/01/12 (a)(h)		480		324,000
Consolidated Communications Finance Co., 10.88%, 6/01/20 (b)		270		289,575
ITC Deltacom, Inc., 10.50%, 4/01/16		140		150,850
Level 3 Communications, Inc.:
6.50%, 10/01/16		125		172,813
8.88%, 6/01/19 (b)		145		147,900
Level 3 Financing, Inc.:
8.13%, 7/01/19		913		956,367
7.00%, 6/01/20 (b)		252		250,740
8.63%, 7/15/20		385		411,950
Windstream Corp.:
8.13%, 8/01/13		112		118,160
7.88%, 11/01/17		163		177,262
				2,999,617
Electric Utilities — 0.5%
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17		130		140,058
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14	EUR	350		438,161
				578,219
Electrical Equipment — 0.1%
Belden, Inc., 5.50%, 9/01/22 (b)	USD	160		160,400
Electronic Equipment, Instruments & Components — 0.4%
CDW LLC/CDW Finance Corp., 8.50%, 4/01/19		170		186,150
Jabil Circuit, Inc., 8.25%, 3/15/18		105		126,000
Micron Technology, Inc., 2.38%, 5/01/32 (b)(e)		192		182,640
				494,790
Energy Equipment & Services — 3.5%
Atwood Oceanics, Inc., 6.50%, 2/01/20		65		69,388
Calfrac Holdings LP, 7.50%, 12/01/20 (b)		185		181,300
Compagnie Générale de Géophysique, Veritas:
7.75%, 5/15/17		170		177,650
6.50%, 6/01/21		595		619,544
Forbes Energy Services Ltd., 9.00%, 6/15/19		165		160,050
FTS International Services LLC/FTS International Bonds Inc., 8.13%, 11/15/18 (b)		795		820,837
Gulfmark Offshore, Inc., 6.38%, 3/15/22 (b)		70		71,400
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20		140		142,800
Key Energy Services, Inc., 6.75%, 3/01/21		205		208,588
MEG Energy Corp. (b):
6.50%, 3/15/21		545		573,612
6.38%, 1/30/23		200		208,500
Oil States International, Inc., 6.50%, 6/01/19		140		148,750
Peabody Energy Corp.:
6.25%, 11/15/21 (b)		640		651,200
7.88%, 11/01/26		170		181,475
Precision Drilling Corp.:
6.63%, 11/15/20		35		36,750
6.50%, 12/15/21		135		141,750
				4,393,594
Food & Staples Retailing — 0.1%
Rite Aid Corp., 9.25%, 3/15/20		165		169,538


See Notes to Financial Statements.

60	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (continued)	BlackRock High Income Shares (HIS)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Food Products — 0.4%
Del Monte Corp., 7.63%, 2/15/19	USD	27	$	26,966
Post Holdings, Inc., 7.38%, 2/15/22 (b)		195		205,481
Smithfield Foods, Inc., 6.63%, 8/15/22		256		262,080
				494,527
Health Care Equipment & Supplies — 1.5%
Biomet, Inc.:
10.00%, 10/15/17		90		95,231
6.50%, 8/01/20 (b)(c)		313		324,738
DJO Finance LLC:
10.88%, 11/15/14		239		249,456
8.75%, 3/15/18 (b)		200		212,500
7.75%, 4/15/18		50		45,750
Fresenius Medical Care US Finance, Inc., 6.50%, 9/15/18 (b)		48		53,820
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (b)		505		581,381
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19 (b)		125		113,438
Teleflex, Inc., 6.88%, 6/01/19		130		139,100
				1,815,414
Health Care Providers & Services — 7.6%
Aviv Healthcare Properties LP, 7.75%, 2/15/19		255		265,200
CHS/Community Health Systems, Inc.:
5.13%, 8/15/18		395		407,344
7.13%, 7/15/20		202		211,595
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (b)	EUR	200		269,169
Crown Newco 3 Plc, 7.00%, 2/15/18 (b)	GBP	200		319,952
DaVita, Inc., 5.75%, 8/15/22	USD	408		424,320
HCA, Inc.:
8.50%, 4/15/19		60		67,650
6.50%, 2/15/20		1,075		1,181,156
7.88%, 2/15/20		40		44,650
7.25%, 9/15/20		1,400		1,551,375
Hologic, Inc., 6.25%, 8/01/20 (b)		703		744,301
IASIS Healthcare LLC, 8.38%, 5/15/19		683		651,411
INC Research LLC, 11.50%, 7/15/19 (b)		185		181,300
inVentiv Health, Inc., 10.00%, 8/15/18 (b)		55		46,338
Omnicare, Inc., 7.75%, 6/01/20		450		496,125
PSS World Medical, Inc., 6.38%, 3/01/22		65		68,738
Symbion, Inc., 8.00%, 6/15/16		155		156,647
Tenet Healthcare Corp.:
10.00%, 5/01/18		352		404,800
6.25%, 11/01/18		150		162,844
8.88%, 7/01/19		1,260		1,433,250
United Surgical Partners International, Inc., 9.00%, 4/01/20 (b)		125		134,219
Vanguard Health Holding Co. II LLC, 7.75%, 2/01/19 (b)		205		213,712
				9,436,096
Health Care Technology — 1.1%
IMS Health, Inc., 12.50%, 3/01/18 (b)		1,125		1,321,875
Hotels, Restaurants & Leisure — 4.1%
Caesars Entertainment Operating Co., Inc.:
11.25%, 6/01/17		625		673,437
10.00%, 12/15/18		1,819		1,145,970
Caesars Operating Escrow LLC (b):
8.50%, 2/15/20		135		133,144
9.00%, 2/15/20		734		730,330
Carlson Wagonlit BV, 6.88%, 6/15/19 (b)		200		208,000
Diamond Resorts Corp., 12.00%, 8/15/18		550		585,063
El Dorado Resorts LLC, 8.63%, 6/15/19 (b)		60		58,500
MGM Resorts International:
10.38%, 5/15/14		95		107,825
11.13%, 11/15/17		790		878,875


Corporate Bonds	Par (000)		Value
Hotels, Restaurants & Leisure (concluded)
MTR Gaming Group, Inc., 11.50%, 8/01/19 (c)	USD	65	$	67,121
Travelport LLC:
5.09%, 9/01/14 (f)		85		60,350
9.88%, 9/01/14		20		15,900
9.00%, 3/01/16		60		42,600
6.46%, 12/01/16 (b)(c)(f)		191		147,629
Tropicana Entertainment LLC, 9.63%, 12/15/14 (a)(h)		215		—
Wynn Las Vegas LLC, 5.38%, 3/15/22 (b)		270		276,075
				5,130,819
Household Durables — 1.9%
Beazer Homes USA, Inc., 6.63%, 4/15/18 (b)		15		15,338
Jarden Corp., 7.50%, 1/15/20	EUR	140		189,739
Libbey Glass, Inc., 6.88%, 5/15/20 (b)	USD	270		287,887
Pulte Group, Inc., 6.38%, 5/15/33		85		73,950
Ryland Group, Inc., 6.63%, 5/01/20		160		168,800
Standard Pacific Corp.:
10.75%, 9/15/16		890		1,074,675
8.38%, 1/15/21		480		535,200
				2,345,589
Household Products — 0.5%
Ontex IV SA, 7.50%, 4/15/18 (b)	EUR	100		127,667
Spectrum Brands Holdings, Inc.:
9.50%, 6/15/18	USD	160		182,600
9.50%, 6/15/18 (b)		270		308,137
				618,404
Independent Power Producers & Energy Traders — 3.4%
The AES Corp., 7.38%, 7/01/21		125		143,125
Calpine Corp. (b):
7.25%, 10/15/17		80		85,600
7.50%, 2/15/21		45		49,950
7.88%, 1/15/23		200		226,000
Energy Future Holdings Corp., 10.00%, 1/15/20		825		909,562
Energy Future Intermediate Holding Co. LLC:
6.88%, 8/15/17 (b)		135		137,869
10.00%, 12/01/20		1,341		1,505,272
11.75%, 3/01/22 (b)		270		287,550
GenOn REMA LLC, 9.24%, 7/02/17		107		114,780
Laredo Petroleum, Inc.:
9.50%, 2/15/19		340		385,900
7.38%, 5/01/22		165		177,375
QEP Resources, Inc., 5.38%, 10/01/22		148		151,700
				4,174,683
Industrial Conglomerates — 2.4%
Sequa Corp. (b):
11.75%, 12/01/15		1,060		1,113,000
13.50%, 12/01/15		1,770		1,875,713
				2,988,713
Insurance — 1.1%
Alliant Holdings I, Inc., 11.00%, 5/01/15 (b)		800		827,000
CNO Financial Group, Inc., 9.00%, 1/15/18 (b)		168		183,750
Genworth Financial, Inc., 7.63%, 9/24/21		190		194,142
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b)		120		107,400
				1,312,292
IT Services — 3.0%
Ceridian Corp., 8.88%, 7/15/19 (b)		650		697,125
Epicor Software Corp., 8.63%, 5/01/19		230		236,900


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	61



Schedule of Investments (continued)	BlackRock High Income Shares (HIS)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
IT Services (concluded)
First Data Corp.:
7.38%, 6/15/19 (b)	USD	700	$	722,750
6.75%, 11/01/20 (b)		395		392,038
8.25%, 1/15/21 (b)		285		282,506
12.63%, 1/15/21		763		772,537
SunGard Data Systems, Inc.:
7.38%, 11/15/18		250		265,625
7.63%, 11/15/20		280		300,300
				3,669,781
Machinery — 1.2%
SPX Corp., 6.88%, 9/01/17		80		88,800
UR Financing Escrow Corp. (b):
5.75%, 7/15/18		114		120,555
7.38%, 5/15/20		195		206,700
7.63%, 4/15/22		957		1,033,560
				1,449,615
Media — 14.3%
Affinion Group, Inc., 7.88%, 12/15/18		365		260,975
AMC Networks, Inc., 7.75%, 7/15/21		100		113,250
CCH II LLC, 13.50%, 11/30/16		637		697,672
CCO Holdings LLC:
6.50%, 4/30/21		563		603,817
5.25%, 9/30/22		430		425,700
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (b)		575		605,187
Checkout Holding Corp., 16.03%, 11/15/15 (b)(d)		310		189,100
Cinemark USA, Inc., 8.63%, 6/15/19		120		134,400
Clear Channel Communications, Inc., 9.00%, 3/01/21		491		421,033
Clear Channel Worldwide Holdings, Inc.:
Series A, 9.25%, 12/15/17		686		742,595
Series B, 9.25%, 12/15/17		2,436		2,646,105
Series B, 7.63%, 3/15/20		717		695,490
Cox Enterprises, Inc.:
Loan Close 2, 12.00%, 8/15/18		328		327,854
Loan Close 3, 4.00%, 8/15/18		375		374,832
Shares Loan, 12.00%, 8/15/18		386		386,583
CSC Holdings LLC, 8.50%, 4/15/14		180		197,775
DISH DBS Corp., 5.88%, 7/15/22 (b)		510		513,825
Harron Communications LP, 9.13%, 4/01/20 (b)		140		151,550
Intelsat Jackson Holdings SA, 7.25%, 10/15/20 (b)		365		393,288
Intelsat Luxembourg SA:
11.25%, 6/15/16		395		415,738
11.25%, 2/04/17		270		283,500
11.50%, 2/04/17 (c)		545		572,250
Interactive Data Corp., 10.25%, 8/01/18		615		693,412
The Interpublic Group of Cos., Inc., 10.00%, 7/15/17		155		173,213
Kabel Deutschland Vertrieb und Service GmbH & Co. KG, 6.50%, 6/29/18 (b)	EUR	155		210,068
Lamar Media Corp., 5.88%, 2/01/22	USD	65		68,900
Live Nation Entertainment, Inc., 8.13%, 5/15/18 (b)		335		358,450
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (b)		261		291,015
Nielsen Finance LLC:
11.63%, 2/01/14		72		81,720
7.75%, 10/15/18		970		1,091,250
Odeon & UCI Finco Plc, 9.00%, 8/01/18 (b)	GBP	100		157,594
ProQuest LLC, 9.00%, 10/15/18 (b)	USD	230		211,025
ProtoStar I Ltd., 18.00%, 10/15/12 (a)(b)(e)(h)		1,427		714
Truven Health Analytics, Inc., 10.63%, 6/01/20 (b)		220		234,850
Unitymedia GmbH:
9.63%, 12/01/19	EUR	100		141,345
9.63%, 12/01/19 (b)		245		346,296
9.50%, 3/15/21		190		272,738


Corporate Bonds	Par (000)		Value
Media (concluded)
Unitymedia Hessen GmbH & Co. KG:
8.13%, 12/01/17 (b)	USD	557	$	602,953
7.50%, 3/15/19	EUR	304		418,696
UPC Holding BV, 9.88%, 4/15/18 (b)	USD	200		224,500
UPCB Finance II Ltd., 6.38%, 7/01/20 (b)	EUR	371		487,643
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (b)	USD	130		133,900
Ziggo Bond Co. BV, 8.00%, 5/15/18 (b)	EUR	175		241,576
Ziggo Finance BV, 6.13%, 11/15/17 (b)		96		128,899
				17,723,276
Metals & Mining — 3.3%
FMG Resources August 2006 Property Ltd. (b):
6.88%, 2/01/18	USD	160		152,400
6.88%, 4/01/22		85		78,200
Global Brass and Copper, Inc., 9.50%, 6/01/19 (b)(h)		130		136,825
Goldcorp, Inc., 2.00%, 8/01/14 (e)		460		530,150
Kaiser Aluminum Corp., 8.25%, 6/01/20 (b)		100		106,000
New Gold, Inc., 7.00%, 4/15/20 (b)		65		68,413
Newmont Mining Corp., Series A, 1.25%, 7/15/14 (e)		670		851,737
Novelis, Inc., 8.75%, 12/15/20		1,525		1,704,187
Steel Dynamics, Inc., 6.38%, 8/15/22 (b)		105		108,675
Taseko Mines Ltd., 7.75%, 4/15/19		190		180,975
Vedanta Resources Plc, 8.25%, 6/07/21 (b)		200		191,000
				4,108,562
Multiline Retail — 0.3%
Dollar General Corp., 4.13%, 7/15/17 (f)		351		365,040
Oil, Gas & Consumable Fuels — 10.7%
Access Midstream Partners LP, 6.13%, 7/15/22		120		124,500
Alpha Appalachia Holdings, Inc., 3.25%, 8/01/15 (e)		352		315,920
Alpha Natural Resources, Inc.:
6.00%, 6/01/19		140		126,000
6.25%, 6/01/21		115		102,925
Aurora USA Oil & Gas, Inc., 9.88%, 2/15/17 (b)		100		104,500
Berry Petroleum Co., 6.38%, 9/15/22		180		191,700
BreitBurn Energy Partners LP, 7.88%, 4/15/22 (b)		115		117,300
CCS, Inc., 11.00%, 11/15/15 (b)		250		258,750
Chaparral Energy, Inc., 7.63%, 11/15/22 (b)		95		100,463
Chesapeake Energy Corp.:
7.25%, 12/15/18		5		5,238
6.63%, 8/15/20		80		82,200
6.88%, 11/15/20		80		83,000
6.13%, 2/15/21		265		263,012
Coffeyville Resources LLC, 9.00%, 4/01/15 (b)		52		55,380
Concho Resources, Inc.:
7.00%, 1/15/21		75		83,625
6.50%, 1/15/22		50		54,000
5.50%, 10/01/22		210		216,825
CONSOL Energy, Inc., 8.25%, 4/01/20		805		867,387
Continental Resources, Inc., 7.13%, 4/01/21		170		190,400
Copano Energy LLC, 7.13%, 4/01/21		135		141,075
Crosstex Energy LP:
8.88%, 2/15/18		85		90,738
7.13%, 6/01/22 (b)		65		64,675
Denbury Resources, Inc., 8.25%, 2/15/20		23		26,105
Energy XXI Gulf Coast, Inc.:
9.25%, 12/15/17		250		278,750
7.75%, 6/15/19		405		430,312
EP Energy LLC/Everest Acquisition Finance, Inc., 7.75%, 9/01/22 (b)		95		95,238
EP Energy LLC/EP Energy Finance, Inc., 6.88%, 5/01/19 (b)		155		166,237
EV Energy Partners LP, 8.00%, 4/15/19		70		72,275


See Notes to Financial Statements.

62	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (continued)	BlackRock High Income Shares (HIS)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Oil, Gas & Consumable Fuels (concluded)
Hilcorp Energy I LP, 7.63%, 4/15/21 (b)	USD	350	$	385,000
Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (b)		155		164,687
Linn Energy LLC:
6.50%, 5/15/19 (b)		45		44,775
6.25%, 11/01/19 (b)		815		804,812
8.63%, 4/15/20		100		108,000
7.75%, 2/01/21		95		99,038
MarkWest Energy Partners LP:
6.25%, 6/15/22		35		37,188
5.50%, 2/15/23		100		102,250
Newfield Exploration Co., 6.88%, 2/01/20		350		382,375
Northern Oil and Gas, Inc., 8.00%, 6/01/20 (b)		140		142,800
Oasis Petroleum, Inc.:
7.25%, 2/01/19		120		126,600
6.50%, 11/01/21		135		137,700
Offshore Group Investments Ltd.:
11.50%, 8/01/15 (b)		590		651,950
11.50%, 8/01/15		145		160,225
OGX Petroleo e Gas Participações SA (b):
8.50%, 6/01/18		1,310		1,162,625
8.38%, 4/01/22		305		259,250
PBF Holding Co. LLC, 8.25%, 2/15/20 (b)		135		141,075
PetroBakken Energy Ltd., 8.63%, 2/01/20 (b)		535		547,037
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (b)		265		282,887
Pioneer Natural Resources Co.:
6.88%, 5/01/18		210		254,247
7.50%, 1/15/20		65		81,294
Range Resources Corp.:
8.00%, 5/15/19		170		187,850
5.75%, 6/01/21		445		473,369
5.00%, 8/15/22		193		200,962
Sabine Pass Liquified Natural Gas LP, 7.50%, 11/30/16		270		288,900
Samson Investment Co., 9.75%, 2/15/20 (b)		39		40,170
SandRidge Energy, Inc.:
7.50%, 3/15/21		115		116,438
7.50%, 3/15/21 (b)		300		303,750
8.13%, 10/15/22 (b)		110		114,950
7.50%, 2/15/23 (b)		245		246,225
SESI LLC:
6.38%, 5/01/19		145		153,700
7.13%, 12/15/21		105		116,812
SM Energy Co.:
6.63%, 2/15/19		60		62,700
6.50%, 11/15/21		115		120,175
6.50%, 1/01/23 (b)		55		57,338
Vanguard Natural Resources, 7.88%, 4/01/20		120		120,000
				13,387,684
Paper & Forest Products — 1.4%
Boise Paper Holdings LLC:
9.00%, 11/01/17		25		27,688
8.00%, 4/01/20		50		55,250
Clearwater Paper Corp.:
10.63%, 6/15/16		185		206,737
7.13%, 11/01/18		270		294,975
Longview Fibre Paper & Packaging, Inc., 8.00%, 6/01/16 (b)		155		160,425
NewPage Corp., 11.38%, 12/31/14 (a)(h)		995		674,112
Sappi Papier Holding GmbH (b):
8.38%, 6/15/19		200		210,500
6.63%, 4/15/21		65		60,125
				1,689,812

Corporate Bonds	Par (000)		Value
Pharmaceuticals — 1.0%
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (b)	EUR	100	$	140,559
Pharmaceutical Product Development, Inc., 9.50%, 12/01/19 (b)	USD	75		83,625
Spectrum Brands, Inc., 6.75%, 3/15/20 (b)		115		120,750
Valeant Pharmaceuticals International (b):
6.50%, 7/15/16		725		764,875
6.75%, 8/15/21		175		177,625
				1,287,434
Professional Services — 0.6%
FTI Consulting, Inc.:
7.75%, 10/01/16		275		282,906
6.75%, 10/01/20		425		453,688
				736,594
Real Estate Investment Trusts (REITs) — 0.7%
Felcor Lodging LP, 6.75%, 6/01/19		550		589,875
The Rouse Co. LP, 6.75%, 11/09/15		240		252,900
				842,775
Real Estate Management & Development — 2.2%
CBRE Services, Inc., 6.63%, 10/15/20		160		174,800
Crescent Resources LLC/Crescent Ventures, Inc., 10.25%, 8/15/17 (b)		310		317,750
Realogy Corp.:
11.50%, 4/15/17		175		185,937
12.00%, 4/15/17		45		47,138
7.88%, 2/15/19 (b)		905		932,150
7.63%, 1/15/20 (b)		220		239,800
9.00%, 1/15/20 (b)		145		156,600
Shea Homes LP, 8.63%, 5/15/19		565		628,562
				2,682,737
Road & Rail — 1.0%
Florida East Coast Railway Corp., 8.13%, 2/01/17		200		210,000
The Hertz Corp.:
7.50%, 10/15/18		360		388,350
6.75%, 4/15/19 (b)		130		136,500
7.38%, 1/15/21		450		489,375
				1,224,225
Semiconductors & Semiconductor Equipment — 0.2%
Spansion LLC, 7.88%, 11/15/17		260		253,500
Software — 1.3%
Audatex North America, Inc., 6.75%, 6/15/18 (b)		230		246,675
Infor US, Inc. (FKA Lawson Software, Inc.), 9.38%, 4/01/19 (b)		730		790,225
Nuance Communications, Inc., 5.38%, 8/15/20 (b)		390		398,775
Sophia LP, 9.75%, 1/15/19 (b)		198		212,850
				1,648,525
Specialty Retail — 2.5%
Asbury Automotive Group, Inc., 8.38%, 11/15/20		165		182,325
Claire’s Stores, Inc., 9.00%, 3/15/19 (b)		315		326,812
House of Fraser Funding Plc, 8.88%, 8/15/18 (b)	GBP	129		182,045
Limited Brands, Inc.:
8.50%, 6/15/19	USD	70		84,000
5.63%, 2/15/22		70		73,675
Party City Holdings, Inc., 8.88%, 8/01/20 (b)		350		370,125
Penske Automotive Group, Inc., 5.75%, 10/01/22 (b)		240		244,800
Phones4u Finance Plc, 9.50%, 4/01/18 (b)	GBP	130		199,196
QVC, Inc. (b):
7.13%, 4/15/17	USD	105		111,061
7.50%, 10/01/19		285		315,784
7.38%, 10/15/20		130		144,855
5.13%, 7/02/22		189		198,099


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	63



Schedule of Investments (continued)	BlackRock High Income Shares (HIS)
	(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Specialty Retail (concluded)
Sally Holdings LLC:
6.88%, 11/15/19	USD	245	$	273,787
5.75%, 6/01/22		190		204,488
Sonic Automotive, Inc., 9.00%, 3/15/18		175		191,188
				3,102,240
Textiles, Apparel & Luxury Goods — 0.2%
Levi Strauss & Co., 6.88%, 5/01/22		195		202,313
Trading Companies & Distributors — 0.6%
Ashtead Capital, Inc., 6.50%, 7/15/22 (b)		215		223,600
Doric Nimrod Air Finance Alpha Ltd., Series 2012-1 (b):
Class A, 5.13%, 11/30/24		260		263,900
Class B, 6.50%, 5/30/21		250		252,955
				740,455
Transportation Infrastructure — 0.2%
Aguila 3 SA, 7.88%, 1/31/18 (b)		198		208,643
Wireless Telecommunication Services — 4.2%
Cricket Communications, Inc.:
7.75%, 5/15/16		250		263,750
7.75%, 10/15/20		95		92,150
Digicel Group Ltd. (b):
9.13%, 1/15/15 (c)		1,220		1,232,200
8.25%, 9/01/17		565		598,900
10.50%, 4/15/18		520		561,600
MetroPCS Wireless, Inc., 6.63%, 11/15/20		350		362,250
NII Capital Corp., 7.63%, 4/01/21		152		117,420
SBA Telecommunications, Inc., 5.75%, 7/15/20 (b)		127		132,715
Sprint Capital Corp., 6.88%, 11/15/28		853		771,965
Sprint Nextel Corp. (b):
9.00%, 11/15/18		900		1,062,000
7.00%, 3/01/20		20		21,900
				5,216,850
Total Corporate Bonds — 104.0%				128,716,885


Floating Rate Loan Interests (f)
Airlines — 0.2%
Delta Air Lines, Inc., Term Loan B, 5.50%, 4/20/17		213		214,178
Auto Components — 0.6%
Federal-Mogul Corp., Term Loan B, 2.17%, 12/29/14		497		474,670
Schaeffler AG, Term Loan C2, 6.00%, 1/27/17		225		225,657
				700,327
Building Products — 0.2%
Goodman Global, Inc., Term Loan (Second Lien), 9.00%, 10/30/17		191		193,416
Capital Markets — 0.7%
American Capital Holdings, Term Loan, 5.50%, 7/19/16		356		357,335
Nuveen Investments, Inc.:
Incremental Term Loan, 7.25%, 5/13/17		295		296,328
Second Lien Term Loan, 8.25%, 2/28/19		185		186,156
				839,819
Chemicals — 0.6%
Evergreen Acqco 1 LP, Term Loan B, 6.25%, 7/09/19		75		75,703
INEOS US Finance LLC, 6 Year Term Loan, 6.50%, 5/04/18		509		509,468
Styron Sarl LLC, Term Loan B, 8.00%, 8/02/17		168		156,195
				741,366

Floating Rate Loan Interests (f)	Par (000)		Value
Commercial Services & Supplies — 0.8%
AWAS Finance Luxembourg Sarl, Term Loan B, 5.25%, 6/10/16	USD	211	$	210,568
Delos Aircraft, Inc., Term Loan B2, 4.75%, 4/12/16		325		328,250
Volume Services America, Inc., Term Loan B, 10.50% – 10.75%, 9/16/16		442		442,125
				980,943
Communications Equipment — 0.8%
Avaya, Inc., Term Loan B1, 3.18%, 10/24/14		114		109,819
Zayo Group, LLC, Term Loan B, 7.13%, 7/02/19		920		933,515
				1,043,334
Construction Materials — 0.4%
HD Supply, Inc., Senior Debt B, 7.25%, 10/12/17		495		505,727
Consumer Finance — 1.8%
Springleaf Financial Funding Co. (FKA AGFS Funding Co.), Term Loan, 5.50%, 5/10/17		2,245		2,168,109
Diversified Consumer Services — 0.1%
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18		65		63,083
ServiceMaster Co.:
Delayed Draw Term Loan, 2.74%, 7/24/14		4		3,991
Term Loan, 2.75% – 2.97%, 7/24/14		40		40,077
				107,151
Diversified Financial Services — 0.5%
Residential Capital LLC:
DIP Term Loan A1, 5.00%, 11/18/13		555		556,387
DIP Term Loan A2, 6.75%, 11/18/13		80		80,934
				637,321
Diversified Telecommunication Services — 0.9%
Hawaiian Telcom Communications, Inc., Term Loan B, 7.00%, 2/28/17		405		410,063
Level 3 Financing, Inc.:
2016 Term Loan B, 4.75%, 2/01/16		150		150,300
2019 Term Loan B, 5.25%, 8/01/19		120		120,175
Term Loan B3, 5.75%, 8/31/18		400		401,056
				1,081,594
Electronic Equipment, Instruments & Components — 0.1%
CDW LLC, Extended Term Loan, 4.00%, 7/14/17		123		121,558
Energy Equipment & Services — 2.2%
Dynegy Midwest Generation LLC, Coal Co. Term Loan, 9.25%, 8/04/16		894		927,589
Dynegy Power LLC, Gas Co. Term Loan, 9.25%, 8/04/16		1,637		1,713,210
Tervita Corp., Incremental Term Loan, 6.50%, 10/17/14		119		119,301
				2,760,100
Food & Staples Retailing — 0.0%
US Foods, Inc. (FKA US Foodservice, Inc.), Extended Term Loan B, 5.75%, 3/31/17		35		33,474
Food Products — 0.3%
Advance Pierre Foods, Term Loan (Second Lien), 11.25%, 9/29/17		400		402,400
Health Care Equipment & Supplies — 0.6%
Bausch & Lomb, Inc., Term Loan B, 5.25%, 5/17/19		215		215,716
Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19		349		350,434
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18		125		125,938
				692,088


See Notes to Financial Statements.

64	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (continued)	BlackRock High Income Shares (HIS)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Floating Rate Loan Interests (f)	Par (000)		Value
Health Care Providers & Services — 0.5%
Harden Healthcare LLC:
Add on Term Loan A, 7.75%, 3/02/15	USD	221	$	214,577
Term Loan A, 8.50%, 3/02/15		165		162,003
inVentiv Health, Inc., Combined Term Loan, 6.50%, 8/04/16		308		286,274
				662,854
Hotels, Restaurants & Leisure — 1.2%
Caesars Entertainment Operating Co., Inc.:
Extended Term Loan B6, 5.49%, 1/26/18		90		79,115
Incremental Term Loan B4, 9.50%, 10/31/16		219		223,194
Term Loan B1, 3.24%, 1/28/15		194		183,802
Term Loan B2, 3.24%, 1/28/15		119		113,140
Term Loan B3, 3.24% – 3.46%, 1/28/15		450		426,672
OSI Restaurant Partners LLC:
Revolver, 2.49% – 2.56%, 6/14/13		4		4,009
Term Loan B, 2.56%, 6/14/14		41		40,404
Sabre, Inc., Non-Extended Initial Term Loan, 2.23%, 9/30/14		29		28,333
Station Casinos, Inc., Term Loan B1, 3.23%, 6/17/16		372		353,422
Travelport LLC:
Extended Tranche A Term Loan, 6.44%, 9/28/12		88		26,387
Extended Tranche B Term Loan, 13.94%, 12/01/16		284		22,685
				1,501,163
Industrial Conglomerates — 0.1%
Sequa Corp.:
Incremental Term Loan, 6.25%, 12/03/14		84		84,487
Term Loan, 3.69% – 3.72%, 12/03/14		70		69,519
				154,006
IT Services — 0.3%
First Data Corp., Extended 2018 Term Loan B, 4.24%, 3/23/18		355		335,180
Leisure Equipment & Products — 0.2%
Eastman Kodak Co., DIP Term Loan B, 8.50%, 7/19/13		293		290,025
Machinery — 0.5%
Navistar International Corp., Term Loan B, 7.00%, 8/17/17		301		302,642
Rexnord Corp., Term Loan B, 5.00%, 4/02/18		264		264,711
				567,353
Media — 5.1%
Affinion Group, Inc., Term Loan B, 5.00%, 7/16/15		20		16,814
Cengage Learning Acquisitions, Inc.:
Non-Extended Term Loan, 2.49%, 7/03/14		139		128,215
Tranche 1 Incremental, 7.50%, 7/03/14		720		693,001
Cequel Communications LLC, Term Loan B, 4.00%, 2/14/19		200		199,085
Clear Channel Communications, Inc.:
Term Loan B, 3.88%, 1/28/16		865		669,753
Term Loan C, 3.88%, 1/28/16		174		132,466
EMI Music Publishing Ltd., Term Loan B, 5.50%, 6/29/18		195		196,316
Intelsat Jackson Holdings SA, Tranche B Term Loan, 5.25%, 4/02/18		3,149		3,159,262
Interactive Data Corp., Term Loan B, 4.50%, 2/12/18		185		184,804
Newsday LLC, Fixed Rate Term Loan, 10.50%, 8/01/13		750		754,065
Univision Communications, Inc., Extended Term Loan, 4.48%, 3/31/17		135		130,380
				6,264,161

Floating Rate Loan Interests (f)	Par (000)		Value
Metals & Mining — 0.2%
Constellium Holdco BV, Term Loan B, 9.25%, 5/25/18	USD	190	$	186,200
Oil, Gas & Consumable Fuels — 0.8%
Chesapeake Energy Corp., Unsecured Term Loan, 8.50%, 12/01/17		525		526,129
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15		472		472,440
				998,569
Paper & Forest Products — 0.6%
Ainsworth Lumber Co., Ltd., Term Loan, 5.25%, 6/26/14		170		164,475
NewPage Corp., DIP Term Loan, 8.00%, 3/07/13		300		302,814
Verso Paper Finance Holdings LLC, Term Loan, 6.50% – 7.24%, 2/01/13		553		276,437
				743,726
Pharmaceuticals — 0.1%
Pharmaceutical Product Development, Inc., Term Loan B, 6.25%, 12/05/18		139		140,712
Professional Services — 0.1%
Truven Health Analytics, Term Loan B, 6.75%, 6/06/19		165		166,168
Real Estate Investment Trusts (REITs) — 0.4%
iStar Financial, Inc., Term Loan A1, 5.00%, 6/28/13		481		481,091
Real Estate Management & Development — 0.3%
Realogy Corp.:
Extended Letter of Credit Loan, 4.50%, 10/10/16		35		33,430
Extended Term Loan, 4.49%, 10/10/16		245		236,826
Stockbridge SBE Holdings LLC, Term Loan B, 13.00%, 5/02/17		80		79,600
				349,856
Semiconductors & Semiconductor Equipment — 0.0%
NXP BV, Term Loan A-2, 5.50%, 3/03/17		30		30,204
Software — 0.4%
Infor US, Inc. (FKA Lawson Software, Inc.), Term Loan B, 6.25%, 4/05/18		544		549,226
Specialty Retail — 0.1%
Claire’s Stores, Inc., Term Loan B, 2.98% – 3.20%, 5/29/14		170		166,939
Textiles, Apparel & Luxury Goods — 0.4%
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18		509		504,060
Wireless Telecommunication Services — 1.2%
Crown Castle International Corp., Term Loan B, 4.00%, 1/31/19		30		29,638
Vodafone Americas Finance 2, Inc. (c):
Term Loan, 6.88%, 8/11/15		831		863,872
Term Loan B, 6.25%, 7/11/16		619		631,125
				1,524,635
Total Floating Rate Loan Interests — 23.3%				28,839,033


Preferred Securities
Capital Trusts — 0.2%
Insurance — 0.2%
Genworth Financial, Inc., 6.15%, 11/15/66 (f)		390		234,000


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	65



Schedule of Investments (continued)	BlackRock High Income Shares (HIS) (Percentages shown are based on Net Assets)


Preferred Stocks	Shares		Value
Auto Components — 0.6%
Dana Holding Corp., 4.00% (b)(e)		6,200	$	724,625
Diversified Financial Services — 1.4%
Ally Financial, Inc., 7.00% (b)		1,953		1,778,390
Media — 0.2%
Emmis Communications Corp., Series A, 6.25%		10,300		210,635
Real Estate Investment Trusts (REITs) — 0.1%
MPG Office Trust, Inc., Series A, 7.63% (a)		4,171		95,849
Thrifts & Mortgage Finance — 0.0%
Fannie Mae, Series O, 7.00% (a)		10,000		12,000
Freddie Mac, Series Z, 8.38% (a)		31,930		29,695
				41,695
Total Preferred Stocks — 2.3%				2,851,194


Trust Preferreds
Diversified Financial Services — 0.9%
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (f)		34,610		855,309
RBS Capital Funding Trust VII, 6.08% (a)(f)(h)(i)		13,100		224,534
Total Trust Preferreds — 0.9%				1,079,843
Total Preferred Securities — 3.4%				4,165,037

Warrants (j)
Software — 0.0%
Bankruptcy Management Solutions, Inc. (Expires 9/28/17)		167		—
HMH Holdings/EduMedia (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)		513		—
Total Warrants — 0.0%				—
Total Long-Term Investments (Cost — $160,473,519) — 131.9%				163,218,554
Liabilities in Excess of Other Assets — (31.9)%				(39,473,197	)
Net Assets — 100.0%			$	123,745,357


(a)	Non-income producing security.

(b)	Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

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

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

(e)	Convertible security.

(f)	Variable rate security. Rate shown is as of report date.

(g)	When-issued security. Unsettled when-issued transactions were as follows:


Counterparty	Value		Unrealized Appreciation
Goldman Sachs & Co.	$	718,875	$	8,875


(h)	Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

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

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

•	Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2012, for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:


Affiliate	Shares Held at August 31, 2011		Net Activity		Shares Held at August 31, 2012		Income
BlackRock Liquidity Funds, TempFund, Institutional Class		822,452		(822,452)		—		$ 643


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

•	Financial futures contracts sold as of August 31, 2012 were as follows:


Contracts	Issue	Exchange	Expiration	Notional Value		Unrealized Depreciation
54	S&P 500 E-Mini Index	Chicago Mercantile	September 2012	$	3,793,770	$	(260,417	)


•	Foreign currency exchange contracts as of August 31, 2012 were as follows:


Currency Purchased		Currency Sold		Counterparty	Settlement Date	Unrealized Appreciation (Depreciation)
USD	787,148	GBP	505,500	Royal Bank of Scotland Group Plc	10/17/12	$	(15,390	)
EUR	358,000	USD	444,675	Deutsche Bank AG	10/22/12		5,847
USD	5,158,211	EUR	4,202,000	UBS AG	10/22/12		(129,748	)
Total						$	(139,291	)


•	Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

	•	Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

	•	Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

	•	Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

	Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.


See Notes to Financial Statements.

66	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (continued)	BlackRock High Income Shares (HIS)

The following tables summarize the Trust’s investments and derivative financial instrument categorized in the disclosure hierarchy as of August 31, 2012:


	Level 1			Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Common Stocks	$	598,808		$	235,075		$	663,716	$	1,497,599
Corporate Bonds		—			127,061,009			1,655,876		128,716,885
Floating Rate Loan Interests		—			23,961,082			4,877,951		28,839,033
Preferred Securities		1,428,022			2,737,015			—		4,165,037
Total	$	2,026,830		$	153,994,181		$	7,197,543	$	163,218,554

	Level 1			Level 2			Level 3		Total
Derivative Financial Instruments¹
Assets:
Foreign currency exchange contracts		—		$	5,847			—	$	5,847
Liabilities:
Foreign currency exchange contracts		—			(145,138	)		—		(145,138	)
Interest rate contracts	$	(260,417	)		—			—		(260,417	)
Total	$	(260,417	)	$	(139,291	)		—	$	(399,708	)


	¹	Derivative financial instruments are financial futures contracts and foreign currency exchange contracts. Financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument.


	Level 1		Level 2			Level 3		Total
Assets:
Foreign currency at value	$	40,712		—			—	$	40,712
Cash		1,172,455		—			—		1,172,455
Cash pledged as collateral for financial futures contracts		208,000		—			—		208,000
Liabilities:
Loan payable		—	$	(42,000,000	)		—		(42,000,000	)
Total	$	1,421,167	$	(42,000,000	)		—	$	(40,578,833	)

Prior to February 29, 2012, only significant transfers between Level 1 and Level 2 were required to be disclosed. There were no significant transfers from the beginning of the period to February 29, 2012. For the interim period March 1, 2012 through August 31, 2012, all transfers between Level 1 and Level 2 are required to be disclosed. As of February 29, 2012, the Trust used observable inputs in determining the value of certain equity securities. During the year, the Trust began valuing these securities using unadjusted price quotations from an exchange. As a result, investments with a beginning of period value of $554,692 transferred from Level 2 to Level 1 in the disclosure hierarchy.

Value

Valuation Techniques

Unobservable Inputs²

Range of
Unobservable
Inputs

Weighted Average
of Unobservable
Inputs³

Assets:

Common Stocks

663,713

Market Comparable Companies

EBITDA Multiple

5.9x

Forward EBITDA Multiple

4.6x

Corporate Bonds

1,655,162

Market Comparable Companies

Yield

7.00% – 9.67%

8.76%

EBITDA Multiple

6.0x

Floating Rate Loan Interests

653,017

Market Comparable Companies

Illiquidity Discount

50%

Yield

9.65%

Cost

N/A⁴

—

Total⁵

2,971,892


	²	A change to the unobservable input may result in a significant change to the value of the investment as follows:


Unobservable Input	Impact to Value if Input Increases	Impact to Value if Input Decreases
EBITDA Multiple	Increase	Decrease
Forward EBITDA Multiple	Increase	Decrease
Yield	Decrease	Increase
Illiquidity Discount	Decrease	Increase


	³	Unobservable inputs are weighted based on the value of the investments included in the range.


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	67



Schedule of Investments (concluded)	BlackRock High Income Shares (HIS)


	⁴	The Trust fair values certain of its Level 3 investments using prior transaction prices (acquisition cost), although the transaction may not have occurred during the current reporting period. In such cases, these investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Trust.

	⁵	Does not include Level 3 investments with values derived utilizing prices from recent prior transactions or third party pricing information without adjustment for which such inputs are unobservable. See above valuation input table for values of such Level 3 investments. A significant change in third party pricing information could result in a significantly lower or higher value in such Level 3 investments.


	Common Stocks			Corporate Bonds			Floating Rate Loan Interests				Other Interests			Preferred Securities			Warrants			Total
Assets:
Opening balance, as of August 31, 2011	$	1,023,120		$	1,804,070			$	3,539,166		$	476		$	137,173		$	104,162		$	6,608,167
Transfers into Level 3¹		1			—				871,133			—			—			—			871,134
Transfers out of Level 3²		—			—				(774,375	)		—			—			—			(774,375	)
Accrued discounts/premiums		—			—				(10,676	)		—			—			—			(10,676	)
Net realized gain (loss)		(406,391	)		36,517				15,422			—			161,380			—			(193,072	)
Net change in unrealized appreciation/depreciation³		(33,326	)		(80,973	)			(80,018	)		(476	)		(137,173	)		(104,162	)		(436,128	)
Purchases		80,317			42,262				1,915,242			—			—			—			2,037,821
Sales		(5	)		(146,000	)			(597,943	)		—			(161,380	)		—			(905,328	)
Closing Balance, as of August 31, 2012	$	663,716		$	1,655,876			$	4,877,951			—			—			—		$	7,197,543


	¹	As of August 31, 2011, the Trust used observable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used significant unobservable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $871,134 transferred from Level 2 to Level 3 in the disclosure hierarchy.

	²	As of August 31, 2011, the Trust used significant unobservable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used observable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $774,375 transferred from Level 3 to Level 2 in the disclosure hierarchy.

	³	Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $(488,619).


See Notes to Financial Statements.

68	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments August 31, 2012	BlackRock High Yield Trust (BHY)
Schedule of Investments August 31, 2012	(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value
Auto Components — 1.9%
Dana Holding Corp.		6,200	$	84,692
Delphi Automotive Plc (a)		26,378		798,993
				883,685
Biotechnology — 0.0%
Ironwood Pharmaceuticals, Inc. (a)		1,210		15,161
Capital Markets — 0.3%
American Capital Ltd. (a)		8,899		97,800
E*Trade Financial Corp. (a)		4,900		41,993
				139,793
Chemicals — 0.1%
ADA-ES, Inc. (a)		300		7,035
CF Industries Holdings, Inc.		120		24,841
Huntsman Corp.		2,250		32,355
				64,231
Commercial Banks — 0.2%
CIT Group, Inc. (a)		2,780		104,973
Diversified Telecommunication Services — 0.2%
Level 3 Communications, Inc. (a)		4,300		92,665
Hotels, Restaurants & Leisure — 0.0%
Travelport Worldwide Ltd.		12,460		1,620
Media — 1.3%
Charter Communications, Inc. (a)		6,900		536,820
Cumulus Media, Inc., Class A (a)		13,610		37,700
DISH Network Corp., Class A		950		30,390
				604,910
Oil, Gas & Consumable Fuels — 0.1%
African Petroleum Corp. Ltd (a)		17,200		22,035
Paper & Forest Products — 0.0%
Ainsworth Lumber Co. Ltd. (a)(h)		2,507		5,494
Ainsworth Lumber Co. Ltd. (a)		2,234		4,895
				10,389
Semiconductors & Semiconductor Equipment — 0.0%
NXP Semiconductors NV (a)		900		20,988
Software — 0.2%
Bankruptcy Management Solutions, Inc. (a)		91		1
HMH Holdings/EduMedia (a)		3,231		79,163
				79,164
Total Common Stocks — 4.3%				2,039,614




Corporate Bonds	Par (000)
Aerospace & Defense — 0.9%
Huntington Ingalls Industries, Inc., 6.88%, 3/15/18	USD	160	171,200
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17		210	223,650
			394,850
Air Freight & Logistics — 0.4%
National Air Cargo Group, Inc.:
Series 1, 12.38%, 9/02/15		99	100,469
Series 2, 12.38%, 8/16/15		100	101,636
			202,105


Corporate Bonds	Par (000)		Value
Airlines — 1.2%
American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 4/15/23	USD	191	$	202,655
Continental Airlines, Inc., Series 2010-1, Class B, 6.00%, 7/12/20		89		89,453
Delta Air Lines, Inc., Series 2002-1, Class G-1, 6.72%, 7/02/24		104		112,808
US Airways Pass-Through Trust, Class C:
Series 2011-1, 10.88%, 10/22/14		108		110,935
Series 2012-1, 9.13%, 10/01/15		80		81,600
				597,451
Auto Components — 2.5%
Dana Holding Corp., 6.75%, 2/15/21		180		193,950
Delphi Corp., 6.13%, 5/15/21		30		33,000
Icahn Enterprises LP, 8.00%, 1/15/18		650		692,250
IDQ Holdings, Inc., 11.50%, 4/01/17 (b)		85		88,931
Jaguar Land Rover Plc, 8.25%, 3/15/20	GBP	100		167,480
				1,175,611
Beverages — 0.3%
Crown European Holdings SA, 7.13%, 8/15/18	EUR	92		127,289
Biotechnology — 0.0%
QHP Royalty Sub LLC, 10.25%, 3/15/15 (b)	USD	10		9,865
Building Products — 0.7%
Building Materials Corp. of America (b):
7.00%, 2/15/20		20		21,650
6.75%, 5/01/21		160		174,800
Momentive Performance Materials, Inc., 11.50%, 12/01/16		65		39,650
USG Corp., 9.75%, 1/15/18		100		107,250
				343,350
Capital Markets — 0.8%
E*Trade Financial Corp.:
12.50%, 11/30/17		180		205,425
Series A, 2.25%, 8/31/19 (d)		71		60,705
KKR Group Finance Co. LLC, 6.38%, 9/29/20 (b)		110		124,515
				390,645
Chemicals — 4.0%
Basell Finance Co. BV, 8.10%, 3/15/27 (b)		60		80,100
Celanese US Holdings LLC, 5.88%, 6/15/21		300		331,500
Chemtura Corp., 7.88%, 9/01/18		55		59,263
Hexion US Finance Corp.:
6.63%, 4/15/20 (b)		40		40,400
9.00%, 11/15/20		50		42,750
Huntsman International LLC, 8.63%, 3/15/21		25		28,625
INEOS Finance Plc (b):
8.38%, 2/15/19		100		105,250
7.50%, 5/01/20		75		76,500
Kraton Polymers LLC, 6.75%, 3/01/19		20		20,500
LyondellBasell Industries NV, 5.75%, 4/15/24 (b)		485		549,262
Nexeo Solutions LLC, 8.38%, 3/01/18		30		29,325
Orion Engineered Carbons Bondco GmbH, 9.63%, 6/15/18 (b)		200		211,000
PolyOne Corp., 7.38%, 9/15/20		35		38,238
TPC Group LLC, 8.25%, 10/01/17		55		60,362
Tronox Finance LLC, 6.38%, 8/15/20 (b)		205		207,050
				1,880,125


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	69



Schedule of Investments (continued)	BlackRock High Yield Trust (BHY)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Commercial Banks — 1.3%
CIT Group, Inc.:
7.00%, 5/02/16 (b)	USD	237	$	237,198
5.25%, 3/15/18		130		135,525
5.50%, 2/15/19 (b)		80		83,400
5.00%, 8/15/22		90		90,682
6.00%, 4/01/36		90		81,525
				628,330
Commercial Services & Supplies — 2.3%
ARAMARK Corp., 8.50%, 2/01/15		64		65,601
ARAMARK Holdings Corp., 8.63%, 5/01/16 (b)(c)		70		71,663
Aviation Capital Group Corp., 6.75%, 4/06/21 (b)		92		94,461
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b)		171		180,616
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b)		7		7,070
Clean Harbors, Inc., 5.25%, 8/01/20 (b)		88		90,310
Covanta Holding Corp., 6.38%, 10/01/22		135		147,605
Mead Products LLC/ACCO Brands Corp., 6.75%, 4/30/20 (b)		40		42,300
Mobile Mini, Inc., 7.88%, 12/01/20		60		64,350
RSC Equipment Rental, Inc., 8.25%, 2/01/21		148		162,060
Verisure Holding AB, 8.75%, 9/01/18	EUR	100		125,780
West Corp., 8.63%, 10/01/18	USD	25		25,375
				1,077,191
Communications Equipment — 1.5%
Avaya, Inc., 9.75%, 11/01/15		40		34,700
Frontier Communications Corp., 6.25%, 1/15/13		150		152,625
Hughes Satellite Systems Corp., 6.50%, 6/15/19		10		10,713
Zayo Group LLC/Zayo Capital, Inc.:
8.13%, 1/01/20		265		281,562
10.13%, 7/01/20		220		235,950
				715,550
Computers & Peripherals — 0.1%
SanDisk Corp., 1.50%, 8/15/17 (e)		40		44,300
Construction & Engineering — 0.2%
Boart Longyear Management Property Ltd., 7.00%, 4/01/21 (b)		35		36,312
H&E Equipment Services, Inc., 7.00%, 9/01/22 (b)		60		62,250
URS Corp., 5.00%, 4/01/22 (b)		10		10,140
				108,702
Construction Materials — 1.4%
HD Supply, Inc. (b):
8.13%, 4/15/19		265		287,525
11.00%, 4/15/20		240		264,000
Xefin Lux SCA, 8.00%, 6/01/18	EUR	100		122,635
				674,160
Consumer Finance — 1.4%
Credit Acceptance Corp., 9.13%, 2/01/17	USD	80		88,000
Ford Motor Credit Co. LLC:
7.00%, 4/15/15		120		133,581
12.00%, 5/15/15		120		149,400
6.63%, 8/15/17		230		264,404
				635,385
Containers & Packaging — 1.2%
Ardagh Packaging Finance Plc, 9.13%, 10/15/20 (b)		200		208,000
Berry Plastics Corp.:
4.34%, 9/15/14 (f)		50		49,250
8.25%, 11/15/15		20		21,050
9.75%, 1/15/21		70		77,525
Graphic Packaging International, Inc., 7.88%, 10/01/18		60		66,900


Corporate Bonds	Par (000)		Value
Containers & Packaging (concluded)
Sealed Air Corp., 8.38%, 9/15/21 (b)	USD	30	$	33,750
Smurfit Kappa Acquisitions, 7.75%, 11/15/19	EUR	64		88,147
Tekni-Plex, Inc., 9.75%, 6/01/19 (b)	USD	30		31,350
				575,972
Distributors — 0.6%
VWR Funding, Inc., 7.25%, 9/15/17 (b)(g)		269		272,362
Diversified Consumer Services — 0.3%
Laureate Education, Inc., 9.25%, 9/01/19 (b)		100		100,000
ServiceMaster Co., 8.00%, 2/15/20		35		37,319
				137,319
Diversified Financial Services — 4.2%
Aircastle, Ltd., 6.75%, 4/15/17		70		75,600
Ally Financial, Inc., 8.00%, 11/01/31		800		946,000
CNG Holdings, Inc., 9.38%, 5/15/20 (b)		50		51,000
DPL, Inc., 7.25%, 10/15/21 (b)		195		222,300
Leucadia National Corp., 8.13%, 9/15/15		140		157,850
Reynolds Group Issuer, Inc.:
9.88%, 8/15/19		275		290,812
6.88%, 2/15/21		115		124,488
WMG Acquisition Corp.:
9.50%, 6/15/16		20		21,850
11.50%, 10/01/18		72		79,020
				1,968,920
Diversified Telecommunication Services — 2.2%
Broadview Networks Holdings, Inc., 11.38%, 9/01/12 (h)		195		131,625
Consolidated Communications Finance Co., 10.88%, 6/01/20 (b)		95		101,887
Level 3 Communications, Inc., 8.88%, 6/01/19 (b)		55		56,100
Level 3 Financing, Inc.:
8.13%, 7/01/19		380		398,050
7.00%, 6/01/20 (b)		95		94,525
8.63%, 7/15/20		140		149,800
Windstream Corp.:
8.13%, 8/01/13		25		26,375
7.88%, 11/01/17		70		76,125
				1,034,487
Electric Utilities — 0.2%
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17		84		90,360
Electrical Equipment — 0.1%
Belden, Inc., 5.50%, 9/01/22 (b)		60		60,150
Electronic Equipment, Instruments & Components — 0.4%
CDW LLC/CDW Finance Corp., 8.50%, 4/01/19		66		72,270
Jabil Circuit, Inc., 8.25%, 3/15/18		40		48,000
Micron Technology, Inc., 2.38%, 5/01/32 (b)		71		67,539
				187,809
Energy Equipment & Services — 3.4%
Atwood Oceanics, Inc., 6.50%, 2/01/20		25		26,688
Calfrac Holdings LP, 7.50%, 12/01/20 (b)		65		63,700
Compagnie Générale de Géophysique, Veritas:
7.75%, 5/15/17		65		67,925
6.50%, 6/01/21		200		208,250
Forbes Energy Services Ltd., 9.00%, 6/15/19		60		58,200
Frac Tech Services LLC, 8.13%, 11/15/18 (b)		295		304,587
Gulfmark Offshore, Inc., 6.38%, 3/15/22 (b)		25		25,500
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20		50		51,000
Key Energy Services, Inc., 6.75%, 3/01/21		75		76,313


See Notes to Financial Statements.

70	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (continued)	BlackRock High Yield Trust (BHY)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Energy Equipment & Services (concluded)
MEG Energy Corp. (b):
6.50%, 3/15/21	USD	205	$	215,762
6.38%, 1/30/23		75		78,187
Oil States International, Inc., 6.50%, 6/01/19		50		53,125
Peabody Energy Corp.:
6.25%, 11/15/21 (b)		230		234,025
7.88%, 11/01/26		65		69,388
Precision Drilling Corp.:
6.63%, 11/15/20		10		10,500
6.50%, 12/15/21		45		47,250
				1,590,400
Food & Staples Retailing — 0.1%
Rite Aid Corp., 9.25%, 3/15/20		60		61,650
Food Products — 0.5%
Darling International, Inc., 8.50%, 12/15/18		20		22,650
Del Monte Corp., 7.63%, 2/15/19		9		8,989
Post Holdings, Inc., 7.38%, 2/15/22 (b)		85		89,568
Smithfield Foods, Inc., 6.63%, 8/15/22		100		102,375
				223,582
Health Care Equipment & Supplies — 1.5%
Biomet, Inc.:
10.00%, 10/15/17		35		37,034
6.50%, 8/01/20 (b)		119		123,462
DJO Finance LLC:
10.88%, 11/15/14		86		89,762
8.75%, 3/15/18 (b)		75		79,688
7.75%, 4/15/18		20		18,300
Fresenius Medical Care US Finance II, Inc., 5.88%, 1/31/22 (b)		110		116,875
Fresenius Medical Care US Finance, Inc., 6.50%, 9/15/18 (b)		54		60,548
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (b)		80		92,100
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19 (b)		50		45,375
Teleflex, Inc., 6.88%, 6/01/19		50		53,500
				716,644
Health Care Providers & Services — 7.2%
Aviv Healthcare Properties LP, 7.75%, 2/15/19		95		98,800
CHS/Community Health Systems, Inc.:
5.13%, 8/15/18		140		144,375
7.13%, 7/15/20		75		78,562
Crown Newco 3 Plc, 7.00%, 2/15/18	GBP	100		159,976
DaVita, Inc., 5.75%, 8/15/22	USD	153		159,120
HCA, Inc.:
8.50%, 4/15/19		25		28,188
6.50%, 2/15/20		395		434,006
7.88%, 2/15/20		115		128,369
7.25%, 9/15/20		410		454,331
5.88%, 3/15/22		45		47,869
Hologic, Inc., 6.25%, 8/01/20 (b)		118		124,932
IASIS Healthcare LLC, 8.38%, 5/15/19		260		247,975
INC Research LLC, 11.50%, 7/15/19 (b)		70		68,600
inVentiv Health, Inc. (b):
10.00%, 8/15/18		5		4,213
10.00%, 8/15/18		20		16,850
Omnicare, Inc., 7.75%, 6/01/20		160		176,400
PSS World Medical, Inc., 6.38%, 3/01/22		58		61,335
Symbion, Inc., 8.00%, 6/15/16		55		55,584
Tenet Healthcare Corp.:
10.00%, 5/01/18		229		263,350
6.25%, 11/01/18		55		59,709
8.88%, 7/01/19		360		409,500


Corporate Bonds	Par (000)		Value
Health Care Providers & Services (concluded)
United Surgical Partners International, Inc., 9.00%, 4/01/20 (b)	USD	50	$	53,688
Vanguard Health Holding Co. II LLC, 7.75%, 2/01/19 (b)		75		78,188
				3,353,920
Health Care Technology — 1.0%
IMS Health, Inc., 12.50%, 3/01/18 (b)		410		481,750
Hotels, Restaurants & Leisure — 4.5%
Caesars Entertainment Operating Co., Inc.:
11.25%, 6/01/17		210		226,275
10.00%, 12/15/18		520		327,600
8.50%, 2/15/20 (b)		55		54,244
Caesars Operating Escrow LLC, 9.00%, 2/15/20 (b)		280		278,600
Diamond Resorts Corp., 12.00%, 8/15/18		200		212,750
El Dorado Resorts LLC, 8.63%, 6/15/19 (b)		25		24,375
MGM Resorts International:
10.38%, 5/15/14		345		391,575
4.25%, 4/15/15 (e)		183		184,830
11.13%, 11/15/17		185		205,812
MTR Gaming Group, Inc., 11.50%, 8/01/19		25		25,816
Travelport LLC:
5.09%, 9/01/14 (f)		20		14,200
9.88%, 9/01/14		5		3,975
6.46%, 12/01/16 (b)(c)		68		52,433
Tropicana Entertainment LLC, 9.63%, 12/15/14 (a)(h)		25		—
Wynn Las Vegas LLC, 5.38%, 3/15/22 (b)		100		102,250
				2,104,735
Household Durables — 2.0%
Beazer Homes USA, Inc., 6.63%, 4/15/18 (b)		10		10,225
Jarden Corp., 8.00%, 5/01/16		40		42,950
Libbey Glass, Inc., 6.88%, 5/15/20 (b)		100		106,625
Pulte Group, Inc., 6.38%, 5/15/33		30		26,100
Ryland Group, Inc., 6.63%, 5/01/20		60		63,300
Spie BondCo 3 SCA, 11.00%, 8/15/19	EUR	100		127,667
Standard Pacific Corp.:
10.75%, 9/15/16	USD	300		362,250
8.38%, 1/15/21		170		189,550
				928,667
Household Products — 0.7%
Ontex IV SA, 7.50%, 4/15/18 (b)	EUR	100		127,667
Spectrum Brands Holdings, Inc.:
9.50%, 6/15/18 (b)	USD	100		114,125
9.50%, 6/15/18		60		68,475
				310,267
Independent Power Producers & Energy Traders — 3.3%
The AES Corp., 7.38%, 7/01/21		45		51,525
Calpine Corp. (b):
7.25%, 10/15/17		30		32,100
7.50%, 2/15/21		15		16,650
7.88%, 1/15/23		70		79,100
Energy Future Holdings Corp., 10.00%, 1/15/20		330		363,825
Energy Future Intermediate Holding Co. LLC:
6.88%, 8/15/17 (b)		50		51,063
10.00%, 12/01/20		508		570,230
11.75%, 3/01/22 (b)		93		99,045
GenOn REMA LLC, 9.24%, 7/02/17		70		75,265
Laredo Petroleum, Inc.:
9.50%, 2/15/19		90		102,150
7.38%, 5/01/22		60		64,500
QEP Resources, Inc., 5.38%, 10/01/22		56		57,400
				1,562,853


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	71



Schedule of Investments (continued)	BlackRock High Yield Trust (BHY)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Industrial Conglomerates — 2.1%
Sequa Corp. (b):
11.75%, 12/01/15	USD	350	$	367,500
13.50%, 12/01/15		586		620,924
				988,424
Insurance — 0.4%
CNO Financial Group, Inc., 9.00%, 1/15/18 (b)		61		66,719
Genworth Financial, Inc., 7.63%, 9/24/21		70		71,526
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b)		40		35,800
				174,045
IT Services — 3.2%
Ceridian Corp., 8.88%, 7/15/19 (b)		245		262,763
Epicor Software Corp., 8.63%, 5/01/19		87		89,610
First Data Corp.:
7.38%, 6/15/19 (b)		265		273,612
8.88%, 8/15/20 (b)		90		98,100
6.75%, 11/01/20 (b)		150		148,875
8.25%, 1/15/21 (b)		100		99,125
12.63%, 1/15/21		266		269,325
SunGard Data Systems, Inc.:
7.38%, 11/15/18		150		159,375
7.63%, 11/15/20		100		107,250
				1,508,035
Machinery — 1.3%
SPX Corp., 6.88%, 9/01/17		30		33,300
UR Merger Sub Corp. (b):
5.75%, 7/15/18		43		45,472
7.38%, 5/15/20		75		79,500
7.63%, 4/15/22		421		454,680
				612,952
Media — 14.2%
Affinion Group, Inc., 7.88%, 12/15/18		130		92,950
AMC Networks, Inc., 7.75%, 7/15/21		40		45,300
CCO Holdings LLC:
6.50%, 4/30/21		178		190,905
5.25%, 9/30/22		160		158,400
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (b)		195		205,237
Checkout Holding Corp., 16.03%, 11/15/15 (b)(d)		110		67,100
Cinemark USA, Inc., 8.63%, 6/15/19		35		39,200
Clear Channel Communications, Inc., 9.00%, 3/01/21		76		65,170
Clear Channel Worldwide Holdings, Inc.:
Series A, 9.25%, 12/15/17		246		266,295
Series B, 9.25%, 12/15/17		882		958,072
Series B, 7.63%, 3/15/20		271		262,870
Cox Enterprises, Inc.:
Loan Close 2, 12.00%, 8/15/18		131		131,141
Loan Close 3, 4.00%, 8/15/18		150		149,932
Shares Loan, 12.00%, 8/15/18		155		154,633
CSC Holdings LLC, 8.50%, 4/15/14		80		87,900
DISH DBS Corp., 5.88%, 7/15/22 (b)		250		251,875
Harron Communications LP, 9.13%, 4/01/20 (b)		60		64,950
Intelsat Jackson Holdings SA, 7.25%, 10/15/20 (b)		130		140,075
Intelsat Luxembourg SA:
11.25%, 6/15/16		139		146,298
11.25%, 2/04/17		210		220,500
11.50%, 2/04/17 (c)		153		160,650
Interactive Data Corp., 10.25%, 8/01/18		220		248,050
The Interpublic Group of Cos., Inc., 10.00%, 7/15/17		55		61,463


Corporate Bonds	Par (000)		Value
Media (concluded)
Kabel Deutschland Vertrieb und Service GmbH, 6.50%, 6/29/18	EUR	100	$	135,528
Lamar Media Corp., 5.88%, 2/01/22	USD	25		26,500
Live Nation Entertainment, Inc., 8.13%, 5/15/18 (b)		125		133,750
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (b)		94		104,810
The New York Times Co., 6.63%, 12/15/16		225		244,125
Nielsen Finance LLC, 7.75%, 10/15/18		600		675,000
ProQuest LLC, 9.00%, 10/15/18 (b)		85		77,988
ProtoStar I Ltd., 18.00%, 10/15/12 (a)(b)(e)(h)		414		207
Truven Health Analytics, Inc., 10.63%, 6/01/20 (b)(g)		90		96,075
Unitymedia GmbH, 9.50%, 3/15/21	EUR	100		143,546
Unitymedia Hessen GmbH & Co. KG:
(FKA UPC Germany GmbH), 8.13%, 12/01/17 (b)	USD	500		541,250
7.50%, 3/15/19	EUR	112		154,257
WaveDivision Escrow LLC/WaveDivision
Escrow Corp., 8.13%, 9/01/20 (b)	USD	45		46,350
Ziggo Bond Co. BV, 8.00%, 5/15/18	EUR	65		89,728
				6,638,080
Metals & Mining — 2.9%
FMG Resources August 2006 Property Ltd. (b):
6.88%, 2/01/18	USD	60		57,150
6.88%, 4/01/22		30		27,600
Global Brass and Copper, Inc., 9.50%, 6/01/19 (b)		50		52,625
Goldcorp, Inc., 2.00%, 8/01/14 (e)		85		97,963
Kaiser Aluminum Corp., 8.25%, 6/01/20 (b)		35		37,100
New Gold, Inc., 7.00%, 4/15/20 (b)		25		26,313
New World Resources NV, 7.88%, 5/01/18	EUR	110		137,666
Newmont Mining Corp., Series A, 1.25%, 7/15/14 (e)	USD	90		114,413
Novelis, Inc., 8.75%, 12/15/20		545		609,037
Schmolz + Bickenbach Luxembourg SA, 9.88%, 5/15/19	EUR	100		101,567
Steel Dynamics, Inc., 6.38%, 8/15/22 (b)	USD	40		41,400
Taseko Mines Ltd., 7.75%, 4/15/19		70		66,675
				1,369,509
Multiline Retail — 0.3%
Dollar General Corp., 4.13%, 7/15/17		134		139,360
Oil, Gas & Consumable Fuels — 12.0%
Access Midstream Partners LP, 6.13%, 7/15/22		45		46,688
Alpha Appalachia Holdings, Inc., 3.25%, 8/01/15 (e)		129		115,777
Alpha Natural Resources, Inc.:
6.00%, 6/01/19		55		49,500
6.25%, 6/01/21		45		40,275
Aurora USA Oil & Gas, Inc., 9.88%, 2/15/17 (b)		115		120,175
Berry Petroleum Co., 6.38%, 9/15/22		70		74,550
BreitBurn Energy Partners LP, 7.88%, 4/15/22 (b)		40		40,800
CCS, Inc., 11.00%, 11/15/15 (b)		95		98,325
Chaparral Energy, Inc., 7.63%, 11/15/22 (b)		35		37,013
Chesapeake Energy Corp.:
7.25%, 12/15/18		5		5,238
6.63%, 8/15/20		30		30,825
6.88%, 11/15/20		30		31,125
6.13%, 2/15/21		95		94,287
Coffeyville Resources LLC, 9.00%, 4/01/15 (b)		20		21,300
Concho Resources, Inc.:
7.00%, 1/15/21		25		27,875
6.50%, 1/15/22		20		21,600
5.50%, 10/01/22		80		82,600
Consol Energy, Inc., 8.25%, 4/01/20		305		328,637
Continental Resources, Inc., 7.13%, 4/01/21		60		67,200
Copano Energy LLC, 7.13%, 4/01/21		50		52,250


See Notes to Financial Statements.

72	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (continued)	BlackRock High Yield Trust (BHY)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Oil, Gas & Consumable Fuels (concluded)
Crosstex Energy LP:
8.88%, 2/15/18	USD	30	$	32,025
7.13%, 6/01/22 (b)		25		24,875
Denbury Resources, Inc., 8.25%, 2/15/20		9		10,215
Energy XXI Gulf Coast, Inc.:
9.25%, 12/15/17		90		100,350
7.75%, 6/15/19		150		159,375
EP Energy LLC/Everest Acquisition Finance, Inc., 7.75%, 9/01/22 (b)		35		35,088
EP Energy LLC/EP Energy Finance, Inc., 6.88%, 5/01/19 (b)		55		58,988
EV Energy Partners LP, 8.00%, 4/15/19		25		25,813
Hilcorp Energy I LP, 7.63%, 4/15/21 (b)		125		137,500
Holly Energy Partners LP, 6.50%, 3/01/20 (b)		25		26,125
Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (b)		60		63,750
Linn Energy LLC:
6.50%, 5/15/19 (b)		15		14,925
6.25%, 11/01/19 (b)		385		380,187
8.63%, 4/15/20		40		43,200
7.75%, 2/01/21		75		78,187
MarkWest Energy Partners LP:
6.25%, 6/15/22		15		15,938
5.50%, 2/15/23		45		46,013
Newfield Exploration Co., 6.88%, 2/01/20		135		147,487
Northern Oil and Gas, Inc., 8.00%, 6/01/20 (b)		55		56,100
Oasis Petroleum, Inc.:
7.25%, 2/01/19		45		47,475
6.50%, 11/01/21		50		51,000
Offshore Group Investments Ltd.:
11.50%, 8/01/15 (b)		220		243,100
11.50%, 8/01/15		55		60,775
OGX Petroleo e Gas Participações SA (b):
8.50%, 6/01/18		900		798,750
8.38%, 4/01/22		200		170,000
PBF Holding Co. LLC, 8.25%, 2/15/20 (b)		50		52,250
PetroBakken Energy Ltd., 8.63%, 2/01/20 (b)		220		224,950
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (b)		95		101,412
Pioneer Natural Resources Co.:
6.88%, 5/01/18		75		90,802
7.50%, 1/15/20		25		31,267
Range Resources Corp.:
8.00%, 5/15/19		20		22,100
5.75%, 6/01/21		160		170,200
5.00%, 8/15/22		74		77,052
Sabine Pass Liquified Natural Gas LP, 7.50%, 11/30/16		100		107,000
Samson Investment Co., 9.75%, 2/15/20 (b)		16		16,480
SandRidge Energy, Inc.:
7.50%, 3/15/21		45		45,563
7.50%, 3/15/21 (b)		110		111,375
8.13%, 10/15/22 (b)		45		47,025
7.50%, 2/15/23 (b)		95		95,475
SESI LLC:
6.38%, 5/01/19		55		58,300
7.13%, 12/15/21		40		44,500
SM Energy Co.:
6.63%, 2/15/19		20		20,900
6.50%, 11/15/21		45		47,025
6.50%, 1/01/23 (b)		20		20,850
Vanguard Natural Resources, 7.88%, 4/01/20		40		40,000
				5,637,807

Corporate Bonds	Par (000)		Value
Paper & Forest Products — 1.2%
Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (b)(c)	USD	22	$	20,338
Boise Paper Holdings LLC:
9.00%, 11/01/17		15		16,613
8.00%, 4/01/20		5		5,525
Clearwater Paper Corp.:
10.63%, 6/15/16		70		78,225
7.13%, 11/01/18		95		103,787
Longview Fibre Paper & Packaging, Inc., 8.00%, 6/01/16 (b)		55		56,925
NewPage Corp., 11.38%, 12/31/14 (a)(h)		365		247,287
Sappi Papier Holding GmbH, 6.63%, 4/15/21 (b)		25		23,125
				551,825
Pharmaceuticals — 0.8%
Pharmaceutical Product Development, Inc., 9.50%, 12/01/19 (b)		30		33,450
Spectrum Brands, Inc., 6.75%, 3/15/20 (b)		45		47,250
Valeant Pharmaceuticals International, 6.50%, 7/15/16 (b)		290		305,950
				386,650
Professional Services — 0.6%
FTI Consulting, Inc.:
7.75%, 10/01/16		100		102,875
6.75%, 10/01/20		150		160,125
				263,000
Real Estate Investment Trusts (REITs) — 0.7%
Felcor Lodging LP, 6.75%, 6/01/19		215		230,587
The Rouse Co. LP, 6.75%, 11/09/15		85		89,569
				320,156
Real Estate Management & Development — 2.2%
CBRE Services, Inc., 6.63%, 10/15/20		55		60,087
Crescent Resources LLC/Crescent Ventures, Inc., 10.25%, 8/15/17 (b)		120		123,000
Realogy Corp.:
11.50%, 4/15/17		60		63,750
12.00%, 4/15/17		15		15,713
7.88%, 2/15/19 (b)		345		355,350
7.63%, 1/15/20 (b)		120		130,800
9.00%, 1/15/20 (b)		55		59,400
Shea Homes LP, 8.63%, 5/15/19		205		228,062
				1,036,162
Road & Rail — 1.0%
Florida East Coast Railway Corp., 8.13%, 2/01/17		80		84,000
The Hertz Corp.:
7.50%, 10/15/18		130		140,238
6.75%, 4/15/19 (b)		50		52,500
7.38%, 1/15/21		165		179,437
				456,175
Semiconductors & Semiconductor Equipment — 0.1%
Spansion LLC, 7.88%, 11/15/17		50		48,750
Software — 1.4%
Audatex North America, Inc., 6.75%, 6/15/18 (b)		90		96,525
Infor US, Inc. (FKA Lawson Software, Inc.), 9.38%, 4/01/19 (b)		280		303,100
Nuance Communications, Inc., 5.38%, 8/15/20 (b)		145		148,262
Sophia LP, 9.75%, 1/15/19 (b)		78		83,850
				631,737


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	73



Schedule of Investments (continued)	BlackRock High Yield Trust (BHY)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Specialty Retail — 3.2%
Asbury Automotive Group, Inc.:
7.63%, 3/15/17	USD	60	$	62,250
8.38%, 11/15/20		60		66,300
Claire’s Stores, Inc., 9.00%, 3/15/19 (b)		85		88,187
House of Fraser Funding Plc, 8.88%, 8/15/18	GBP	100		141,120
Limited Brands, Inc.:
8.50%, 6/15/19	USD	140		168,000
5.63%, 2/15/22		25		26,313
Party City Holdings, Inc., 8.88%, 8/01/20 (b)		133		140,647
Penske Automotive Group, Inc., 5.75%, 10/01/22 (b)		90		91,800
Phones4u Finance Plc, 9.50%, 4/01/18	GBP	100		153,228
QVC, Inc. (b):
7.13%, 4/15/17	USD	40		42,309
7.50%, 10/01/19		100		110,801
7.38%, 10/15/20		55		61,285
5.13%, 7/02/22		71		74,418
Sally Holdings LLC:
6.88%, 11/15/19		90		100,575
5.75%, 6/01/22		70		75,338
Sonic Automotive, Inc., 9.00%, 3/15/18		65		71,013
				1,473,584
Textiles, Apparel & Luxury Goods — 0.2%
Levi Strauss & Co., 6.88%, 5/01/22		75		77,813
Trading Companies & Distributors — 1.1%
Ashtead Capital, Inc., 6.50%, 7/15/22 (b)		90		93,600
Doric Nimrod Air Finance Alpha Ltd. (b):
Series 2012-1, Class A, 5.13%, 11/30/24		200		203,000
Series 2012-1, Class B, 6.50%, 5/30/21		200		202,364
				498,964
Transportation Infrastructure — 0.3%
Aguila 3 SA, 7.88%, 1/31/18		150		158,063
Wireless Telecommunication Services — 5.1%
Cricket Communications, Inc.:
7.75%, 5/15/16		250		263,750
7.75%, 10/15/20		35		33,950
Digicel Group Ltd. (b):
9.13%, 1/15/15		294		296,940
8.25%, 9/01/17		330		349,800
10.50%, 4/15/18		200		216,000
Matterhorn Mobile Holdings SA, 8.25%, 2/15/20	EUR	100		136,157
MetroPCS Wireless, Inc., 6.63%, 11/15/20	USD	110		113,850
NII Capital Corp., 7.63%, 4/01/21		35		27,037
SBA Telecommunications, Inc., 5.75%, 7/15/20 (b)		48		50,160
Sprint Capital Corp., 6.88%, 11/15/28		283		256,115
Sprint Nextel Corp. (b):
9.00%, 11/15/18		350		413,000
7.00%, 3/01/20		210		229,950
				2,386,709
Total Corporate Bonds — 106.7%				50,024,556



Floating Rate Loan Interests (f)
Airlines — 0.2%
Delta Air Lines, Inc., Term Loan B, 5.50%, 4/20/17		96		97,050
Auto Components — 0.2%
Schaeffler AG, Term Loan C2, 6.00%, 1/27/17		70		70,204
Building Products — 0.0%
Goodman Global, Inc., Term Loan (Second Lien), 9.00%, 10/30/17		16		16,118

Floating Rate Loan Interests (f)	Par (000)		Value
Capital Markets — 0.7%
American Capital Holdings, Term Loan, 5.50%, 7/19/16	USD	136	$	136,510
Nuveen Investments, Inc.:
Incremental Term Loan, 7.25%, 5/13/17		110		110,495
New Second Lien Term Loan, 8.25%, 2/28/19		70		70,438
				317,443
Chemicals — 0.5%
Evergreen Acqco 1 LP, Term Loan B, 6.25%, 7/09/19		30		30,281
INEOS US Finance LLC, 6 Year Term Loan, 6.50%, 5/04/18		195		194,797
				225,078
Commercial Services & Supplies — 0.8%
AWAS Finance Luxembourg Sarl, Term Loan B, 5.25%, 6/10/16		105		105,284
Delos Aircraft, Inc., Term Loan B2, 4.75%, 4/12/16		100		101,000
Volume Services America, Inc., Term Loan B, 10.50% – 10.75%, 9/16/16		162		162,113
				368,397
Communications Equipment — 0.8%
Avaya, Inc., Non-Extended Term Loan B1, 3.18%, 10/24/14		40		38,198
Zayo Group, LLC, Term Loan B, 7.13%, 7/02/19		340		344,995
				383,193
Construction & Engineering — 0.5%
Safway Services LLC, Mezzanine Loan, 15.63%, 12/16/17		250		250,000
Construction Materials — 0.4%
HD Supply, Inc., Senior Debt B, 7.25%, 10/12/17		185		189,009
Consumer Finance — 1.7%
Springleaf Financial Funding Co. (FKA AGFS Funding Co.), Term Loan, 5.50%, 5/10/17		840		811,230
Diversified Consumer Services — 0.1%
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18		25		24,263
ServiceMaster Co.:
Delayed Draw Term Loan, 2.74%, 7/24/14		1		1,330
Term Loan, 2.75% – 2.97%, 7/24/14		13		13,359
				38,952
Diversified Financial Services — 0.5%
Residential Capital LLC:
DIP Term Loan A1, 5.00%, 11/18/13		210		210,525
DIP Term Loan A2, 6.75%, 11/18/13		30		30,350
				240,875
Diversified Telecommunication Services — 0.5%
Level 3 Financing, Inc.:
2016 Term Loan B, 4.75%, 2/01/16		50		50,100
2019 Term Loan B, 5.25%, 8/01/19		40		40,058
Term Loan B3, 5.75%, 8/31/18		150		150,396
				240,554
Electronic Equipment, Instruments & Components — 0.1%
CDW LLC, Extended Term Loan, 4.00%, 7/14/17		49		48,623
Energy Equipment & Services — 2.2%
Dynegy Midwest Generation LLC, Coal Co. Term Loan, 9.25%, 8/04/16		333		345,572
Dynegy Power LLC, Gas Co. Term Loan, 9.25%, 8/04/16		610		638,255
Tervita Corp., Incremental Term Loan, 6.50%, 10/17/14		45		44,738
				1,028,565


See Notes to Financial Statements.

74	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (continued)	BlackRock High Yield Trust (BHY)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Floating Rate Loan Interests (f)	Par (000)		Value
Food & Staples Retailing — 0.0%
US Foods, Inc. (FKA US Foodservice, Inc.), Extended Term Loan B, 5.75%, 3/31/17	USD	15	$	14,359
Food Products — 0.3%
Advance Pierre Foods, Term Loan (Second Lien), 11.25%, 9/29/17		135		135,810
Health Care Equipment & Supplies — 0.5%
Bausch & Lomb, Inc., Term Loan B, 5.25%, 5/17/19		65		65,216
Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19		130		130,161
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18		45		45,338
				240,715
Health Care Providers & Services — 0.6%
Harden Healthcare LLC:
Add on Term Loan A, 7.75%, 3/02/15		74		71,526
Term Loan A, 8.50%, 3/02/15		62		61,201
inVentiv Health, Inc., Combined Term Loan, 6.50%, 8/04/16		146		136,176
				268,903
Hotels, Restaurants & Leisure — 1.3%
Caesars Entertainment Operating Co., Inc.:
Extended Term Loan B6, 5.49%, 1/26/18		35		30,767
Incremental Term Loan B4, 9.50%, 10/31/16		85		86,234
Term Loan B1, 3.24%, 1/28/15		62		58,795
Term Loan B2, 3.24%, 1/28/15		74		70,023
Term Loan B3, 3.24% — 3.46%, 1/28/15		165		156,762
OSI Restaurant Partners LLC:
Revolver, 2.49% — 2.56%, 6/14/13		2		1,782
Term Loan B, 2.56%, 6/14/14		18		17,957
Sabre, Inc., Non-Extended Initial Term Loan, 2.23%, 9/30/14		13		12,592
Station Casinos, Inc., Term Loan B1, 3.23%, 6/17/16		145		137,442
Travelport LLC:
Extended Tranche A Term Loan, 6.44%, 9/28/12		31		9,372
Extended Tranche B Term Loan, 13.94%, 12/01/16		101		8,057
				589,783
Industrial Conglomerates — 0.1%
Sequa Corp.:
Incremental Term Loan, 6.25%, 12/03/14		30		29,812
Term Loan, 3.69% – 3.72%, 12/03/14		25		24,828
				54,640
IT Services — 0.3%
Ceridian Corp., Extended Term Loan, 5.99%, 5/09/17		12		11,871
First Data Corp., Extended 2018 Term Loan B, 4.24%, 3/23/18		130		122,742
				134,613
Leisure Equipment & Products — 0.2%
Eastman Kodak Co., DIP Term Loan B, 8.50%, 7/19/13		110		109,350
Machinery — 0.5%
Navistar International Corp., Term Loan B, 7.00%, 8/17/17		116		116,542
Rexnord Corp., Term Loan B, 5.00%, 4/02/18		100		99,891
				216,433

Floating Rate Loan Interests (f)	Par (000)		Value
Media — 5.2%
Affinion Group, Inc., Term Loan B, 5.00%, 7/16/15	USD	5	$	4,190
Cengage Learning Acquisitions, Inc.:
Non-Extended Term Loan, 2.49%, 7/03/14		60		54,949
Tranche 1 Incremental, 7.50%, 7/03/14		240		230,999
Cequel Communications LLC, Term Loan B, 4.00%, 2/14/19		75		74,657
Clear Channel Communications, Inc.:
Term Loan B, 3.88%, 1/28/16		324		251,119
Term Loan C, 3.88%, 1/28/16		62		46,869
EMI Music Publishing Ltd., Term Loan B, 5.50%, 6/29/18		45		45,304
Intelsat Jackson Holdings SA, Tranche B Term Loan, 5.25%, 4/02/18		1,194		1,198,358
Interactive Data Corp., Term Loan B, 4.50%, 2/12/18		70		69,926
Newsday LLC, Fixed Rate Term Loan, 10.50%, 8/01/13		375		377,033
Univision Communications, Inc., Extended Term Loan, 4.48%, 3/31/17		49		47,806
				2,401,210
Metals & Mining — 0.1%
Constellium Holdco BV, Term Loan B, 9.25%, 5/25/18		70		68,600
Oil, Gas & Consumable Fuels — 0.8%
Chesapeake Energy Corp., Unsecured Term Loan, 8.50%, 12/01/17		200		200,430
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15		166		166,463
				366,893
Paper & Forest Products — 0.6%
Ainsworth Lumber Co., Ltd., Term Loan, 5.25%, 6/26/14		65		62,887
NewPage Corp., DIP Term Loan, 8.00%, 3/07/13		100		100,938
Verso Paper Finance Holdings LLC, Term Loan, 6.50% – 7.24%, 2/01/13		235		117,633
				281,458
Pharmaceuticals — 0.1%
Pharmaceutical Product Development, Inc., Term Loan B, 6.25%, 12/05/18		50		50,261
Professional Services — 0.1%
Truven Health Analytics, Term Loan B, 6.75%, 6/06/19		60		60,425
Real Estate Investment Trusts (REITs) — 0.4%
iStar Financial, Inc., Term Loan A1, 5.00%, 6/28/13		179		179,581
Real Estate Management & Development — 0.4%
Realogy Corp.:
Extended Letter of Credit Loan, 4.50%, 10/10/16		17		16,715
Extended Term Loan, 4.49%, 10/10/16		123		118,413
Stockbridge SBE Holdings LLC, Term Loan B, 13.00%, 5/02/17		30		29,850
				164,978
Semiconductors & Semiconductor Equipment — 0.0%
NXP BV, Term Loan A-2, 5.50%, 3/03/17		10		10,068
Software — 0.4%
Infor US, Inc. (FKA Lawson Software, Inc.), Term Loan B, 6.25%, 4/05/18		204		206,590
Specialty Retail — 0.1%
Claire’s Stores, Inc., Term Loan B, 2.98% – 3.20%, 5/29/14		63		61,706


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	75



Schedule of Investments (continued)	BlackRock High Yield Trust (BHY)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Floating Rate Loan Interests (f)	Par (000)		Value
Textiles, Apparel & Luxury Goods — 0.4%
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18	USD	185	$	182,845
Wireless Telecommunication Services — 1.2%
Crown Castle International Corp., Term Loan B, 4.00%, 1/31/19		10		9,863
Vodafone Americas Finance 2, Inc. (c):
Term Loan, 6.88%, 8/11/15		277		287,957
Term Loan B, 6.25%, 7/11/16		258		262,969
				560,789
Total Floating Rate Loan Interests — 22.8%				10,685,301


Preferred Securities
Capital Trusts — 0.2%
Insurance — 0.2%
Genworth Financial, Inc., 6.15%, 11/15/66 (f)		145		87,000



Preferred Stocks	Shares
Auto Components — 0.4%
Dana Holding Corp., 4.00% (b)(e)		1,800		210,375
Diversified Financial Services — 1.3%
Ally Financial, Inc., 7.00% (b)		660		600,992
Total Preferred Stocks — 1.7%				811,367



Trust Preferreds
Diversified Financial Services — 0.9%
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (f)		12,320		304,462
RBS Capital Funding Trust VII, 6.08% (a)(f)(h)(i)		5,100		87,414
Total Trust Preferreds — 0.9%				391,876
Total Preferred Securities — 2.8%				1,290,243



Warrants (j)
Diversified Telecommunication Services — 0.0%
NEON Communications, Inc. (Expires 12/02/12)		53,622		1
Software — 0.0%
Bankruptcy Management Solutions, Inc. (Expires 9/28/17)		61		—
HMH Holdings/EduMedia (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)		176		—
Total Warrants — 0.0%				1
Total Long-Term Investments (Cost — $61,521,901) — 136.6%				64,039,715

Short-Term Securities	Shares		Value
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.15% (k)(l)		1,204,968	$	1,204,968
Total Short-Term Securities (Cost — $1,204,968) — 2.6%				1,204,968



Options Purchased	Contracts
Over-the-Counter Call Options — 0.0%
Marsico Parent Superholdco LLC, Strike Price USD 942.86, Expires 12/14/19, Broker Goldman Sachs Group, Inc.		3		—
Total Options Purchased (Cost — $2,933) — 0.0%				—
Total Investments (Cost — $62,729,802) — 139.2%				65,244,683
Liabilities in Excess of Other Assets — (39.2)%				(18,368,290	)
Net Assets — 100.0%			$	46,876,393



(a)	Non-income producing security.

(b)	Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

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

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

(e)	Convertible security.

(f)	Variable rate security. Rate shown is as of report date.

(g)	When-issued security. Unsettled when-issued transactions were as follows:


Counterparty	Value		Unrealized Appreciation
JPMorgan Securities	$	96,075	$	6,665
Goldman Sachs & Co.	$	272,362	$	3,363


(h)	Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

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

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

(k)	Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2012, for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:


Affiliate	Shares Held at August 31, 2011		Net Activity		Shares Held at August 31, 2012		Income
BlackRock Liquidity Funds, TempFund, Institutional Class		421,345		783,623		1,204,968		$ 521


(l)	Represents the current yield as of report date.


See Notes to Financial Statements.

76	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (continued)	BlackRock High Yield Trust (BHY)


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

•	Financial futures contracts sold as of August 31, 2012 were as follows:

Contracts

Issue

Exchange

Expiration

Notional
Value

Unrealized
Depreciation

S&P 500
E-Mini
Index Future

Chicago
Mercantile

September
2012

USD 1,264,590

(87,001

)


•	Foreign currency exchange contracts as of August 31, 2012 were as follows:


Currency Purchased		Currency Sold		Counterparty	Settlement Date	Unrealized Appreciation (Depreciation)
USD	581,602	GBP	373,500	Royal Bank of Scotland Group Plc	10/17/12	$	(11,373	)
EUR	83,000	USD	102,645	Citigroup, Inc.	10/22/12		1,806
USD	1,643,704	EUR	1,339,000	UBS AG	10/22/12		(41,358	)
Total						$	(50,925	)


•	Credit default swaps on single-name issues — buy protection outstanding as of August 31, 2012 were as follows:


Issuer	Pay Fixed Rate	Counterparty	Expiration Date	Notional Amount (000)		Unrealized Appreciation (Depreciation)
MGM Resorts International	5.00%	Deutsche Bank AG	6/20/15	USD	20	$	(1,482	)
MGM Resorts International	5.00%	Deutsche Bank AG	6/20/15	USD	15		(1,232	)
MGM Resorts International	5.00%	Deutsche Bank AG	6/20/15	USD	30		(2,137	)
MGM Resorts International	5.00%	Deutsche Bank AG	6/20/15	USD	15		(766	)
MGM Resorts International	5.00%	Deutsche Bank AG	6/20/15	USD	15		(860	)
Republic of Hungary	1.00%	Deutsche Bank AG	12/20/15	USD	50		909
The New York Times Co.	1.00%	Barclays Plc	12/20/16	USD	225		(660	)
Israel (State of)	1.00%	Deutsche Bank AG	3/20/17	USD	35		(785	)
Israel (State of)	1.00%	Deutsche Bank AG	3/20/17	USD	100		(2,304	)
Total						$	(9,317	)


•	Credit default swaps on single-name issues — sold protection outstanding as of August 31, 2012 were as follows:

Issuer

Receive
Fixed
Rate

Counterparty

Expiration
Date

Credit
Rating¹

Notional
Amount
(000)²

Unrealized
Appreciation

Air Lease Corp.

5.00%

Goldman Sachs Group, Inc.

2/14/13

Not Rated

USD

100

1,658

CIT Group, Inc.

5.00%

Deutsche Bank AG

9/20/15

BB–

USD

500

65,031

ARAMARK Corp.

5.00%

Credit Suisse Group AG

9/20/16

USD

5,974

ARAMARK Corp.

5.00%

Goldman Sachs Group, Inc.

9/20/16

USD

5,809

ARAMARK Corp.

5.00%

Deutsche Bank AG

3/20/17

USD

2,310

Crown Castle International Corp.

7.25%

Deutsche Bank AG

3/20/17

B–

USD

1,140

Goodyear Tire & Rubber Co.

5.00%

Deutsche Bank AG

6/20/17

B+

USD

2,330

Goodyear Tire & Rubber Co.

5.00%

Goldman Sachs Group, Inc.

6/20/17

B+

USD

1,762

CCO Holdings LLC

8.00%

Deutsche Bank AG

9/20/17

BB–

USD

280

22,810

Total

108,824


	¹	Using S&P’s rating.

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


•	Credit default swaps on traded indexes — buy protection outstanding as of August 31, 2012 were as follows:

Index

Pay
Fixed
Rate

Counterparty

Expiration
Date

Notional
Amount
(000)

Unrealized
Depreciation

Dow Jones CDX North America High Yield Series 18, Version 2

5.00%

Credit Suisse Group AG

6/20/17

USD

297

(963

)


•	Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

	•	Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

	•	Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

	•	Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	77



Schedule of Investments (continued)
Schedule of Investments (continued)	BlackRock High Yield Trust (BHY)

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2012:


	Level 1			Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Common Stocks	$	1,958,830		$	80,783		$	1	$	2,039,614
Corporate Bonds		—			49,386,538			638,018		50,024,556
Floating Rate Loan Interests		—			8,786,761			1,898,540		10,685,301
Preferred Securities		391,876			898,367			—		1,290,243
Warrants		—			—			1		1
Short-Term Securities		1,204,968			—			—		1,204,968
Total	$	3,555,674		$	59,152,449		$	2,536,560	$	65,244,683

	Level 1			Level 2			Level 3		Total
Derivative Financial Instruments¹
Assets:
Credit contracts		—		$	19,094		$	90,639	$	109,733
Foreign currency exchange contracts		—			1,806			—		1,806
Liabilities:
Credit contracts		—			(11,189	)		—		(11,189	)
Equity contracts	$	(87,001	)		—			—		(87,001	)
Foreign currency exchange contracts		—			(52,731	)		—		(52,731	)
Total	$	(87,001	)	$	(43,020	)	$	90,639	$	(39,382	)


	¹	Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts, and foreign currency exchange contracts are valued at the unrealized appreciation/ depreciation on the instrument and options are shown at value.


	Level 1		Level 2			Level 3		Total
Assets:
Foreign currency at value	$	24,065		—			—	$	24,065
Cash pledged as collateral for financial futures contracts		71,000		—			—		71,000
Liabilities:
Loan payable		—	$	(19,000,000	)		—		(19,000,000	)
Total	$	95,065	$	(19,000,000	)		—	$	(18,904,935	)

Prior to February 29, 2012, only significant transfers between Level 1 and Level 2 were required to be disclosed. There were no significant transfers from the beginning of the period to February 29, 2012. For the interim period March 1, 2012 through August 31, 2012, all transfers between Level 1 and Level 2 are required to be disclosed. As of February 29, 2012, the Trust used observable inputs in determining the value of certain equity securities. During the year, the Trust began valuing these securities using unadjusted price quotations from an exchange. As a result, investments with a beginning of period value of $1,095,341 transferred from Level 2 to Level 1 in the disclosure hierarchy.

Value

Valuation Techniques

Unobservable Inputs²

Range of
of Unobservable
Inputs

Weighted Average
Inputs³

Assets:

Corporate Bonds

637,811

Market Comparable Companies

Yield

7.00% – 9.67%

8.82%

EBITDA Multiple

6.0x

Floating Rate Loan Interests

500,360

Market Comparable Companies

Illiquidity Discount

50%

Yield

9.65%

Cost

N/A⁴

—

Total⁵

1,138,171


	²	A change to the unobservable input may result in a significant change to the value of the investment as follows:


Unobservable Input	Impact to Value if Input Increases		Impact to Value if Input Decreases
EBITDA Multiple		Increase		Decrease
Yield		Decrease		Increase
Illiquidity Discount		Decrease		Increase


	³	Unobservable inputs are weighted based on the value of the investments included in the range.


See Notes to Financial Statements.

78	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (concluded)
Schedule of Investments (concluded)	BlackRock High Yield Trust (BHY)


	⁴	The Trust fair values certain of its Level 3 investments using prior transaction prices (acquisition cost), although the transaction may not have occurred during the current reporting period. In such cases, these investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Trust.

	⁵	Does not include Level 3 investments with values derived utilizing prices from recent prior transactions or third party pricing information without adjustment for which such inputs are unobservable. See above valuation input table for values of such Level 3 investments. A significant change in third party pricing information could result in a significantly lower or higher value in such Level 3 investments.


	Common Stocks			Corporate Bonds			Floating Rate Loan Interests			Other Interests			Preferred Securities			Warrants			Total
Assets:
Opening balance, as of August 31, 2011	$	27,152		$	688,980		$	1,642,711		$	477		$	45,985		$	34,922		$	2,440,227
Transfers into Level 3¹		1			—			345,543			—			—			—			345,544
Transfers out of Level 3²		—			—			(387,187	)		—			—			—			(387,187	)
Accrued discounts/premiums		—			—			10,123			—			—			—			10,123
Net realized gain (loss)		(139,718	)		9,120			5,303			910			54,100			—			(70,285	)
Net change in unrealized appreciation/depreciation³		112,568			(26,239	)		(59,066	)		(477	)		(45,985	)		(34,921	)		(54,120	)
Purchases		—			16,904			562,752			—			—			—			579,656
Sales		(2	)		(50,747	)		(221,639	)		(910	)		(54,100	)		—			(327,398	)
Closing Balance as of August 31, 2012	$	1		$	638,018		$	1,898,540			—			—		$	1		$	2,536,560


	¹	As of August 31, 2011, the Trust used observable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used significant unobservable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $345,544 transferred from Level 2 to Level 3 in the disclosure hierarchy.

	²	As of August 31, 2011, the Trust used significant unobservable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used observable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $387,187 transferred from Level 3 to Level 2 in the disclosure hierarchy.

	³	Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $(77,581).

The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used in determining fair value:


	Credit Contracts
Assets:
Opening balance, as of August 31, 2011		—
Transfers into Level 3⁴		—
Transfers out of Level 3⁴		—
Accrued discounts/premiums		—
Net realized gain (loss)		—
Net change in unrealized appreciation/depreciation⁵	$	90,639
Purchases		—
Issues⁶		—
Sales		—
Settlements⁷		—
Closing Balance, as of August 31, 2012	$	90,639


	⁴	Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period.

	⁵	Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $90,639.

	⁶	Issues represent upfront cash received on certain derivative financial instruments.

	⁷	Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	79



Schedule of Investments August 31, 2012	BlackRock Income Opportunity Trust, Inc. (BNA)
Schedule of Investments August 31, 2012	(Percentages shown are based on Net Assets)


Asset-Backed Securities	Par (000)		Value
Asset-Backed Securities — 6.1%
321 Henderson Receivables I LLC, Series 2010-3A, Class A, 3.82%, 12/15/48 (a)	USD	757	$	790,793
AH Mortgage Advance Trust, Series SART-3, Class 1A1, 2.98%, 3/13/43 (a)		630		634,369
AmeriCredit Automobile Receivables Trust, Series 2011-5, Class C, 3.44%, 10/08/17		400		411,338
CarMax Auto Owner Trust, Series 2012-1:
Class B, 1.76%, 8/15/17		210		212,152
Class C, 2.20%, 10/16/17		125		126,840
Class D, 3.09%, 8/15/18		160		161,556
CenterPoint Energy Transition Bond Co. LLC, Series 2012-1, Class A3, 3.03%, 10/15/25		1,105		1,197,989
Credit Acceptance Auto Loan Trust, Series 2010-1, Class B, 3.63%, 10/15/18 (a)		1,970		1,990,277
DT Auto Owner Trust, Class C (a):
Series 2011-2A, 3.05%, 2/16/16		1,500		1,500,462
Series 2011-3A, 4.03%, 2/15/17		260		263,897
Ford Credit Floorplan Master Owner Trust:
Series 2012-1, Class B, 1.14%, 1/15/16 (b)		180		180,001
Series 2012-1, Class C, 1.74%, 1/15/16 (b)		480		480,002
Series 2012-1, Class D, 2.34%, 1/15/16 (b)		450		450,001
Series 2012-2, Class B, 2.32%, 1/15/19		245		252,208
Series 2012-2, Class C, 2.86%, 1/15/19		105		107,018
Series 2012-2, Class D, 3.50%, 1/15/19		200		203,357
Home Equity Asset Trust, Series 2007-2, Class 2A1, 0.35%, 7/25/37 (b)		76		74,949
Nelnet Student Loan Trust (b):
Series 2006-1, Class A5, 0.54%, 8/23/27		525		497,842
Series 2008-3, Class A4, 2.08%, 11/25/24		620		649,571
PFS Financing Corp., Series 2012-AA, Class A, 1.44%, 2/15/16 (a)(b)		480		481,654
Santander Consumer Acquired Receivables Trust (a):
Series 2011-S1A, Class B, 1.66%, 8/15/16		521		522,220
Series 2011-S1A, Class C, 2.01%, 8/15/16		373		371,621
Series 2011-S1A, Class D, 3.15%, 8/15/16		382		379,916
Series 2011-WO, Class C, 3.19%, 10/15/15		575		579,272
Santander Drive Auto Receivables Trust:
Series 2010-2, Class B, 2.24%, 12/15/14		870		874,527
Series 2010-2, Class C, 3.89%, 7/17/17		1,020		1,055,676
Series 2010-B, Class B, 2.10%, 9/15/14 (a)		700		702,535
Series 2010-B, Class C, 3.02%, 10/17/16 (a)		735		749,049
Series 2011-1, Class D, 4.01%, 2/15/17		940		960,565
Series 2011-S1A, Class B, 1.48%, 5/15/17 (a)		270		269,363
Series 2011-S1A, Class D, 3.10%, 5/15/17 (a)		293		294,267
Series 2011-S2A, Class C, 2.86%, 6/15/17 (a)		693		700,253
Series 2012-1, Class B, 2.72%, 5/16/16		240		244,548
Series 2012-1, Class C, 3.78%, 11/15/17		325		335,789
SLM Student Loan Trust:
Series 2004-B, Class A2, 0.67%, 6/15/21 (b)		196		190,944
Series 2008-5, Class A3, 1.75%, 1/25/18 (b)		525		538,067
Series 2008-5, Class A4, 2.15%, 7/25/23 (b)		630		664,627
Series 2012-A, Class A1, 1.64%, 8/15/25 (a)(b)		330		332,543
Series 2012-A, Class A2, 3.83%, 1/17/45 (a)		345		368,769
Series 2012-D, Class A2, 2.95%, 2/15/46 (a)		2,840		2,940,378
Small Business Administration Participation Certificates, Series 1996-20K, Class 1, 6.95%, 11/01/16		162		173,337
World Financial Network Credit Card Master Trust, 4.55%, 8/15/22		1,180		1,184,931
				25,099,473

Asset-Backed Securities	Par (000)		Value
Interest Only Asset-Backed Securities — 0.2%
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (a)	USD	4,204	$	332,404
Sterling Coofs Trust, Series 1, 2.36%, 4/15/29		5,949		453,649
				786,053
Total Asset-Backed Securities — 6.3%				25,885,526


Common Stocks (c)	Shares
Media — 0.0%
Cumulus Media, Inc., Class A		32,384		89,704
Software — 0.0%
Bankruptcy Management Solutions, Inc.		152		1
Total Common Stocks — 0.0%				89,705


Corporate Bonds	Par (000)
Aerospace & Defense — 0.6%
United Technologies Corp. (d):
4.88%, 5/01/15	USD	1,250		1,390,662
6.13%, 7/15/38		750		1,017,677
				2,408,339
Airlines — 0.6%
Continental Airlines, Inc., Series 2010-1, Class B, 6.00%, 1/12/19		622		626,172
US Airways Pass-Through Trust, Series 2012-1, Class C, 9.13%, 10/01/15		1,673		1,706,460
				2,332,632
Auto Components — 0.8%
Icahn Enterprises LP:
4.00%, 8/15/13 (a)(b)		2,335		2,335,000
8.00%, 1/15/18		1,000		1,065,000
				3,400,000
Capital Markets — 4.6%
CDP Financial, Inc., 5.60%, 11/25/39 (a)(d)		2,955		3,812,139
E*Trade Financial Corp., 12.50%, 11/30/17 (e)		1,440		1,643,400
The Goldman Sachs Group, Inc.:
5.38%, 3/15/20		1,215		1,309,367
5.25%, 7/27/21		3,175		3,376,000
5.75%, 1/24/22		1,815		2,002,783
Lehman Brothers Holdings, Inc., 6.50%, 7/19/17 (c)(f)		225		—
Morgan Stanley:
2.94%, 5/14/13 (b)		1,880		1,892,942
4.20%, 11/20/14		680		697,586
4.00%, 7/24/15		400		407,707
6.25%, 8/28/17		1,925		2,085,828
Murray Street Investment Trust I, 4.65%, 3/09/17		1,640		1,711,829
				18,939,581
Chemicals — 0.2%
The Dow Chemical Co., 4.13%, 11/15/21		350		383,209
INEOS Finance Plc, 8.38%, 2/15/19 (a)		265		278,912
				662,121


See Notes to Financial Statements.

80	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (continued)	BlackRock Income Opportunity Trust, Inc. (BNA)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Commercial Banks — 3.9%
CIT Group, Inc.:
7.00%, 5/02/16 (a)	USD	88	$	88,447
7.00%, 5/02/17 (a)		347		347,787
5.38%, 5/15/20		1,650		1,718,063
5.00%, 8/15/22		440		443,333
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.88%, 2/08/22 (d)		1,390		1,447,629
DEPFA ACS Bank, 5.13%, 3/16/37 (a)		4,150		2,894,625
Discover Bank, 8.70%, 11/18/19		250		316,369
Eksportfinans ASA, 5.50%, 6/26/17		1,000		1,015,245
HSBC Bank Brasil SA — Banco Multiplo, 4.00%, 5/11/16 (a)		1,400		1,435,000
HSBC Bank Plc, 3.10%, 5/24/16 (a)(d)		695		728,478
HSBC Holdings Plc, 6.10%, 1/14/42 (d)		305		408,114
Wachovia Corp., 5.25%, 8/01/14 (d)		3,420		3,679,219
Wells Fargo & Co., 3.50%, 3/08/22 (d)		1,390		1,481,235
				16,003,544
Commercial Services & Supplies — 0.5%
ARAMARK Corp., 8.50%, 2/01/15		18		18,450
Clean Harbors, Inc., 5.25%, 8/01/20 (a)		390		400,238
Mobile Mini, Inc., 7.88%, 12/01/20		1,320		1,415,700
West Corp., 8.63%, 10/01/18		135		137,025
				1,971,413
Communications Equipment — 1.3%
ADC Telecommunications, Inc., 3.50%, 7/15/15		4,340		4,431,834
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20		640		680,000
				5,111,834
Construction & Engineering — 0.3%
ABB Finance USA, Inc., 4.38%, 5/08/42		194		219,085
URS Corp., 5.00%, 4/01/22 (a)		975		988,641
				1,207,726
Construction Materials — 0.2%
HD Supply, Inc., 8.13%, 4/15/19 (a)		570		618,450
Lafarge SA, 7.13%, 7/15/36		135		137,025
				755,475
Consumer Finance — 0.9%
Ford Motor Credit Co. LLC:
6.63%, 8/15/17		280		321,883
8.13%, 1/15/20		1,265		1,566,267
SLM Corp.:
6.25%, 1/25/16		651		696,570
Series A, 0.75%, 1/27/14 (b)		600		581,692
Toll Brothers Finance Corp., 5.88%, 2/15/22		345		376,071
				3,542,483
Containers & Packaging — 0.2%
Ardagh Packaging Finance Plc (a):
7.38%, 10/15/17	EUR	425		565,302
Series 144, 7.38%, 10/15/17	USD	200		214,250
				779,552
Diversified Financial Services — 7.8%
Ally Financial, Inc.:
8.30%, 2/12/15		860		954,600
5.50%, 2/15/17		1,500		1,560,162
6.25%, 12/01/17		160		172,881
8.00%, 3/15/20		560		655,200
8.00%, 11/01/31		320		378,400
Bank of America Corp., 5.63%, 7/01/20		1,100		1,219,567
Capital One Financial Corp., 4.75%, 7/15/21		975		1,093,772
Citigroup, Inc.:
5.00%, 9/15/14		285		298,130
4.59%, 12/15/15		7,245		7,794,772

Corporate Bonds	Par (000)		Value
Diversified Financial Services (concluded)
General Electric Capital Corp., 6.75%, 3/15/32 (d)	USD	2,500	$	3,246,107
JPMorgan Chase & Co.:
7.90% (b)(g)		3,500		3,915,240
6.30%, 4/23/19 (d)		1,375		1,678,099
JPMorgan Chase Bank NA, Series BKNT, 6.00%, 10/01/17 (d)		2,045		2,407,642
Moody’s Corp., 4.50%, 9/01/22		900		935,853
Reynolds Group Issuer, Inc.:
7.75%, 10/15/16	EUR	550		714,273
7.88%, 8/15/19	USD	560		623,000
6.88%, 2/15/21		1,255		1,358,538
Spirit Issuer Plc, 5.86%, 12/28/21	GBP	1,620		2,115,732
WMG Acquisition Corp.:
9.50%, 6/15/16	USD	160		174,800
11.50%, 10/01/18		562		616,795
				31,913,563
Diversified Telecommunication Services — 3.2%
Level 3 Financing, Inc.:
8.13%, 7/01/19		671		702,872
8.63%, 7/15/20		580		620,600
Telecom Italia Capital SA, 4.95%, 9/30/14		4,375		4,440,625
Verizon Communications, Inc.:
3.50%, 11/01/21		500		550,038
6.40%, 2/15/38		3,396		4,558,845
8.95%, 3/01/39		1,125		1,961,481
Windstream Corp., 7.88%, 11/01/17		200		217,500
				13,051,961
Electric Utilities — 6.5%
The Cleveland Electric Illuminating Co.:
8.88%, 11/15/18		121		164,273
5.95%, 12/15/36		217		255,413
CMS Energy Corp., 5.05%, 3/15/22		917		993,839
Duke Energy Carolinas LLC:
6.10%, 6/01/37		325		431,110
6.00%, 1/15/38 (d)		850		1,141,290
4.25%, 12/15/41 (d)		375		410,460
E.ON International Finance BV, 6.65%, 4/30/38 (a)		1,575		2,150,555
EDF SA, 5.60%, 1/27/40 (a)(d)		1,400		1,565,707
Florida Power Corp. (d):
6.35%, 9/15/37		1,450		2,009,465
6.40%, 6/15/38		340		477,596
Georgia Power Co., 3.00%, 4/15/16 (d)		800		859,924
Hydro-Quebec (d):
8.40%, 1/15/22		730		1,059,806
8.05%, 7/07/24		1,900		2,832,484
Jersey Central Power & Light Co., 7.35%, 2/01/19		245		313,858
Nisource Finance Corp.:
6.40%, 3/15/18		280		335,129
5.25%, 2/15/43		500		552,707
Ohio Power Co., Series D, 6.60%, 3/01/33		1,500		1,974,781
PacifiCorp., 6.25%, 10/15/37		650		910,552
Public Service Co. of Colorado, 6.25%, 9/01/37 (d)		1,350		1,948,531
Southern California Edison Co.:
5.63%, 2/01/36		675		887,753
Series 08-A, 5.95%, 2/01/38 (d)		1,100		1,512,710
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14 (d)	EUR	1,000		1,251,888
Virginia Electric and Power Co., Series A, 6.00%, 5/15/37	USD	1,920		2,658,929
				26,698,760


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	81



Schedule of Investments (continued)	BlackRock Income Opportunity Trust, Inc. (BNA)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Energy Equipment & Services — 2.2%
Calfrac Holdings LP, 7.50%, 12/01/20 (a)	USD	565	$	553,700
Ensco Plc:
3.25%, 3/15/16		160		170,795
4.70%, 3/15/21		1,745		1,958,024
Frac Tech Services LLC, 8.13%, 11/15/18 (a)		1,110		1,146,075
MEG Energy Corp., 6.50%, 3/15/21 (a)		560		589,400
Noble Holding International Ltd., 5.25%, 3/15/42		350		375,470
Peabody Energy Corp., 6.25%, 11/15/21 (a)		2,610		2,655,675
Transocean, Inc.:
5.05%, 12/15/16		850		941,480
6.50%, 11/15/20		350		418,359
				8,808,978
Food Products — 1.2%
Darling International, Inc., 8.50%, 12/15/18		335		379,388
Kraft Foods Group, Inc. (a):
5.38%, 2/10/20		1,570		1,876,338
5.00%, 6/04/42		997		1,134,085
Kraft Foods, Inc., 5.38%, 2/10/20		1,430		1,718,691
				5,108,502
Gas Utilities — 0.2%
CenterPoint Energy Resources Corp., 5.85%, 1/15/41		700		881,220
Health Care Equipment & Supplies — 0.5%
Boston Scientific Corp., 6.25%, 11/15/15		1,260		1,427,114
DJO Finance LLC:
10.88%, 11/15/14		190		198,312
7.75%, 4/15/18		40		36,600
Teleflex, Inc., 6.88%, 6/01/19		385		411,950
				2,073,976
Health Care Providers & Services — 2.7%
Aviv Healthcare Properties LP, 7.75%, 2/15/19		535		556,400
CHS/Community Health Systems, Inc., 5.13%, 8/15/18		400		412,500
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (a)	EUR	494		664,848
HCA, Inc.:
8.50%, 4/15/19	USD	17		19,168
6.50%, 2/15/20		2,015		2,213,981
7.88%, 2/15/20		135		150,694
7.25%, 9/15/20		50		55,406
IASIS Healthcare LLC, 8.38%, 5/15/19		1,000		953,750
INC Research LLC, 11.50%, 7/15/19 (a)		545		534,100
inVentiv Health, Inc. (a):
10.00%, 8/15/18		40		33,700
10.25%, 8/15/18		155		130,588
Omnicare, Inc., 7.75%, 6/01/20		805		887,512
Symbion, Inc., 8.00%, 6/15/16		455		459,834
Tenet Healthcare Corp.:
10.00%, 5/01/18		370		425,500
8.88%, 7/01/19		1,150		1,308,125
UnitedHealth Group, Inc., 2.88%, 3/15/22		2,000		2,049,750
				10,855,856
Health Care Technology — 0.6%
Amgen, Inc. (d):
6.40%, 2/01/39		750		931,504
5.15%, 11/15/41		1,500		1,637,571
				2,569,075
Hotels, Restaurants & Leisure — 0.1%
El Dorado Resorts LLC, 8.63%, 6/15/19 (a)		180		175,500
MGM Resorts International, 11.13%, 11/15/17		265		294,813
				470,313

Corporate Bonds	Par (000)		Value
Household Durables — 0.3%
Standard Pacific Corp., 10.75%, 9/15/16	USD	1,000	$	1,207,500
Household Products — 0.1%
Ontex IV SA, 7.50%, 4/15/18 (a)	EUR	190		242,567
Independent Power Producers & Energy Traders — 0.5%
Energy Future Intermediate Holding Co. LLC, 10.00%, 12/01/20	USD	1,955		2,194,487
Industrial Conglomerates — 0.6%
The ADT Corp., 4.88%, 7/15/42 (a)		539		586,299
Sequa Corp. (a):
11.75%, 12/01/15		760		798,000
13.50%, 12/01/15		927		983,130
				2,367,429
Insurance — 4.4%
Allianz Finance II BV, 5.75%, 7/08/41	EUR	500		607,993
American International Group, Inc.:
3.80%, 3/22/17 (d)	USD	5,580		5,905,504
5.45%, 5/18/17		800		898,869
AXA SA, 5.25%, 4/16/40	EUR	250		267,714
CNO Financial Group, Inc., 9.00%, 1/15/18 (a)	USD	408		446,250
Hartford Financial Services Group, Inc.:
6.00%, 1/15/19		345		383,954
5.13%, 4/15/22		930		999,523
Liberty Mutual Group, Inc., 6.50%, 5/01/42 (a)		1,000		1,085,395
Lincoln National Corp., 6.25%, 2/15/20		630		730,900
Manulife Financial Corp., 3.40%, 9/17/15		1,625		1,692,883
Metropolitan Life Global Funding I, 5.13%, 6/10/14 (a)(d)		775		833,093
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)		340		304,300
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41	EUR	200		264,289
Prudential Financial, Inc. (d):
4.75%, 9/17/15	USD	1,220		1,339,589
7.38%, 6/15/19		300		377,559
5.38%, 6/21/20		250		288,865
4.50%, 11/15/20		400		436,532
5.70%, 12/14/36		950		1,053,230
				17,916,442
IT Services — 0.8%
First Data Corp. (a):
7.38%, 6/15/19		205		211,662
8.88%, 8/15/20		1,000		1,090,000
8.25%, 1/15/21		75		74,344
SunGard Data Systems, Inc.:
7.38%, 11/15/18		490		520,625
7.63%, 11/15/20		1,100		1,179,750
				3,076,381
Machinery — 0.3%
UR Financing Escrow Corp. (a):
5.75%, 7/15/18		194		205,155
7.38%, 5/15/20		495		524,700
7.63%, 4/15/22		455		491,400
				1,221,255
Marine — 0.3%
Nakilat, Inc., Series A, 6.07%, 12/31/33 (a)		1,100		1,300,750
Media — 8.1%
Affinion Group, Inc., 7.88%, 12/15/18		1,505		1,076,075
AMC Networks, Inc., 7.75%, 7/15/21		320		362,400
CCH II LLC, 13.50%, 11/30/16		2,265		2,479,738
Clear Channel Communications, Inc., 9.00%, 3/01/21		553		474,197
Clear Channel Worldwide Holdings, Inc.:
Series A, 9.25%, 12/15/17		278		300,935
Series B, 9.25%, 12/15/17		2,492		2,706,935


See Notes to Financial Statements.

82	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (continued)	BlackRock Income Opportunity Trust, Inc. (BNA)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)			Value
Media (concluded)
Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22	USD	2,000	$	2,986,628
Cox Communications, Inc. (a):
6.95%, 6/01/38		1,000		1,303,728
8.38%, 3/01/39		1,735		2,618,124
DIRECTV Holdings LLC:
6.38%, 3/01/41		260		306,570
5.15%, 3/15/42		2,100		2,142,745
Intelsat Luxembourg SA:
11.25%, 6/15/16		238		250,495
11.25%, 2/04/17		750		787,500
11.50%, 2/04/17 (e)		420		441,000
NBC Universal Media LLC:
5.15%, 4/30/20		1,974		2,329,798
4.38%, 4/01/21		1,015		1,145,763
The New York Times Co., 6.63%, 12/15/16		1,800		1,953,000
Omnicom Group, Inc., 3.63%, 5/01/22		2,355		2,469,022
Time Warner Cable, Inc.:
7.30%, 7/01/38		970		1,323,610
5.88%, 11/15/40		460		545,786
5.50%, 9/01/41		920		1,041,084
Time Warner, Inc.:
4.70%, 1/15/21		1,000		1,146,948
6.10%, 7/15/40		615		750,459
Unitymedia Hessen GmbH & Co. KG, 8.13%, 12/01/17 (a)		454		491,455
Virgin Media Secured Finance Plc:
6.50%, 1/15/18		330		359,700
7.00%, 1/15/18	GBP	792		1,364,472
				33,158,167
Metals & Mining — 3.6%
Alcoa, Inc., 5.40%, 4/15/21	USD	1,450		1,497,052
Barrick Gold Corp., 2.90%, 5/30/16		1,685		1,773,328
Corp. Nacional del Cobre de Chile, 3.00%, 7/17/22 (a)(d)		1,566		1,573,694
Falconbridge Ltd., 6.20%, 6/15/35		1,550		1,665,154
Freeport-McMoRan Copper & Gold, Inc., 3.55%, 3/01/22		540		536,471
New Gold, Inc., 7.00%, 4/15/20 (a)		105		110,513
Newcrest Finance Property Ltd., 4.45%, 11/15/21 (a)		475		492,688
Novelis, Inc., 8.75%, 12/15/20		4,105		4,587,337
Teck Resources Ltd., 5.38%, 10/01/15		2,350		2,583,252
				14,819,489
Oil, Gas & Consumable Fuels — 10.1%
Access Midstream Partners LP, 6.13%, 7/15/22		400		415,000
Anadarko Petroleum Corp., 5.95%, 9/15/16		1,916		2,215,632
BP Capital Markets Plc, 3.13%, 10/01/15		330		352,977
Burlington Resources Finance Co., 7.40%, 12/01/31 (d)		950		1,377,700
Cenovus Energy, Inc., 6.75%, 11/15/39		750		1,006,300
ConocoPhillips Canada Funding Co., 5.95%, 10/15/36		150		197,851
CONSOL Energy, Inc.,:
8.00%, 4/01/17		514		553,835
8.25%, 4/01/20		191		205,803
Denbury Resources, Inc., 8.25%, 2/15/20		65		73,775
Devon Energy Corp., 7.95%, 4/15/32		650		968,092
El Paso Natural Gas Co., 8.38%, 6/15/32		275		385,590
El Paso Pipeline Partners Operating Co. LLC, 6.50%, 4/01/20		240		282,929
Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17		540		602,100

Corporate Bonds	Par (000)		Value
Oil, Gas & Consumable Fuels (concluded)
Enterprise Products Operating LLC:
4.05%, 2/15/22	USD	1,250	$	1,364,512
6.13%, 10/15/39		700		831,755
5.95%, 2/01/41		500		592,379
Series L, 6.30%, 9/15/17		600		726,079
KeySpan Gas East Corp., 5.82%, 4/01/41 (a)		505		674,554
Kinder Morgan Energy Partners LP:
5.95%, 2/15/18		1,300		1,546,067
6.50%, 9/01/39		3,000		3,598,422
6.55%, 9/15/40		110		133,704
6.38%, 3/01/41		160		192,750
5.00%, 8/15/42		500		514,300
Linn Energy LLC, 6.25%, 11/01/19 (a)		590		582,625
Marathon Petroleum Corp., 6.50%, 3/01/41		1,052		1,283,424
MidAmerican Energy Co., 5.80%, 10/15/36		800		1,056,160
MidAmerican Energy Holdings Co.:
5.95%, 5/15/37		950		1,228,777
6.50%, 9/15/37		2,115		2,885,376
Newfield Exploration Co., 5.63%, 7/01/24		850		922,250
Nexen, Inc.:
6.40%, 5/15/37		400		498,720
7.50%, 7/30/39		670		938,127
Offshore Group Investments Ltd., 11.50%, 8/01/15 (a)		360		397,800
Petrobras International Finance Co.:
3.88%, 1/27/16		1,335		1,401,596
5.75%, 1/20/20		1,760		1,983,358
Pioneer Natural Resources Co., 3.95%, 7/15/22		350		364,140
Premier Oil Plc, 5.00%, 6/09/18		1,900		1,957,000
Range Resources Corp., 5.75%, 6/01/21		941		1,000,989
Sabine Pass Liquified Natural Gas LP, 7.50%, 11/30/16		540		577,800
Tennessee Gas Pipeline Co. LLC, 7.50%, 4/01/17		1,030		1,264,248
Western Gas Partners LP, 5.38%, 6/01/21		715		794,100
The Williams Cos., Inc., Series A, 7.50%, 1/15/31		2,500		3,134,485
				41,083,081
Paper & Forest Products — 1.2%
Clearwater Paper Corp., 7.13%, 11/01/18		1,000		1,092,500
Domtar Corp., 6.25%, 9/01/42		2,000		2,067,086
International Paper Co.:
7.50%, 8/15/21		75		97,579
4.75%, 2/15/22		420		472,491
6.00%, 11/15/41		435		518,358
NewPage Corp., 11.38%, 12/31/14 (c)(f)		1,240		840,100
				5,088,114
Pharmaceuticals — 0.2%
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a)	EUR	200		281,118
Pharmaceutical Product Development, Inc., 9.50%, 12/01/19 (a)	USD	520		579,800
				860,918
Professional Services — 0.0%
FTI Consulting, Inc., 7.75%, 10/01/16		125		128,594
Real Estate Investment Trusts (REITs) — 0.6%
Simon Property Group LP, 4.75%, 3/15/42		835		919,518
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21		275		301,910
Vornado Realty LP, 5.00%, 1/15/22		1,190		1,300,345
				2,521,773
Real Estate Management & Development — 0.6%
Punch Taverns Finance Plc, Series A2R, 6.82%, 7/15/20	GBP	739		1,091,578


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	83



Schedule of Investments (continued)	BlackRock Income Opportunity Trust, Inc. (BNA)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)			Value
Real Estate Management & Development (concluded)
Realogy Corp. (a)(d):
7.88%, 2/15/19	USD	369		$	380,070
7.63%, 1/15/20		520			566,800
WEA Finance LLC, 4.63%, 5/10/21 (a)		305			331,379
					2,369,827
Road & Rail — 0.7%
Burlington Northern Santa Fe LLC, 5.75%, 5/01/40		940			1,164,991
The Hertz Corp., 7.38%, 1/15/21		1,375			1,495,312
					2,660,303
Semiconductors & Semiconductor Equipment — 0.1%
Spansion LLC, 7.88%, 11/15/17		390			380,250
Software — 0.5%
Nuance Communications, Inc., 5.38%, 8/15/20 (a)		895			915,138
Oracle Corp., 5.38%, 7/15/40 (d)		800			1,025,611
					1,940,749
Specialty Retail — 0.5%
Home Depot, Inc., 5.88%, 12/16/36		830			1,105,109
QVC, Inc. (a):
7.50%, 10/01/19		85			94,181
7.38%, 10/15/20		35			39,000
5.13%, 7/02/22		965			1,011,458
					2,249,748
Thrifts & Mortgage Finance — 0.3%
Radian Group, Inc., 5.38%, 6/15/15		1,400			1,053,500
Tobacco — 0.9%
Altria Group, Inc.:
9.95%, 11/10/38		800			1,366,270
10.20%, 2/06/39		1,389			2,420,782
					3,787,052
Wireless Telecommunication Services — 2.3%
America Movil SAB de CV, 2.38%, 9/08/16		800			830,725
Cricket Communications, Inc., 7.75%, 5/15/16		850			896,750
Crown Castle Towers LLC, 6.11%, 1/15/20 (a)		1,595			1,886,391
Digicel Group Ltd. (a):
8.25%, 9/01/17		150			159,000
10.50%, 4/15/18		540			583,200
MetroPCS Wireless, Inc., 6.63%, 11/15/20		750			776,250
Rogers Communications, Inc., 7.50%, 8/15/38		1,175			1,705,011
SBA Tower Trust, 5.10%, 4/15/17 (a)		360			401,456
Sprint Capital Corp.:
6.88%, 11/15/28		510			461,550
8.75%, 3/15/32		350			353,500
Sprint Nextel Corp. (a):
9.00%, 11/15/18		530			625,400
7.00%, 3/01/20		770			843,150
					9,522,383
Total Corporate Bonds — 76.1%					310,697,663


Foreign Agency Obligations
Deutsche Bundesrepublik Inflation Linked Bond, 1.75%, 4/15/20	EUR	3,290			4,910,866
Hydro-Quebec, 9.40%, 2/01/21 (d)	USD	390			587,925
Italy Government International Bond, 5.38%, 6/15/33		470			424,175
Kreditanstalt fuer Wiederaufbau, 1.38%, 7/15/13 (d)		655			660,829
Total Foreign Agency Obligations — 1.6%					6,583,795

Non-Agency Mortgage-Backed Securities	Par (000)			Value
Collateralized Mortgage Obligations — 2.5%
Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 3/25/37	USD	1,048		$	870,264
Collateralized Mortgage Obligation Trust, Series 40, Class R, 580.50%, 4/01/18		—	(h)		42
Countrywide Alternative Loan Trust:
Series 2005-64CB, Class 1A15, 5.50%, 12/25/35		1,534			1,311,605
Series 2006-OA21, Class A1, 0.43%, 3/20/47 (b)		849			465,854
Countrywide Home Loan Mortgage Pass-Through Trust:
Series 2006-OA5, Class 2A1, 0.44%, 4/25/46 (b)		335			201,275
Series 2007-10, Class A22, 6.00%, 7/25/37		612			507,650
Credit Suisse Mortgage Capital Certificates, Series 2011-2R, Class 2A1, 2.61%, 7/27/36 (a)(b)		1,265			1,227,913
GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 5.08%, 6/19/35 (b)		1,034			1,021,978
Homebanc Mortgage Trust, Series 2006-2, Class A1, 0.42%, 12/25/36 (b)		611			422,412
IndyMac IMJA Mortgage Loan Trust, Series 2007-A1, Class A4, 6.00%, 8/25/37		874			729,923
Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 2.94%, 5/25/36 (b)		692			479,089
Monastery BV, Series 2004-I, Class A2, 1.00%, 3/17/37 (b)	EUR	1,020			986,507
Residential Funding Securities LLC, Series 2003-RM2, Class AI5, 8.50%, 5/25/33	USD	1,524			1,620,799
WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, 0.92%, 5/25/47 (b)		366			255,114
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-10, Class 1A21, 6.00%, 7/25/37		52			49,245
					10,149,670
Commercial Mortgage-Backed Securities — 12.6%
Banc of America Merrill Lynch Commercial Mortgage, Inc.:
Series 2006-6, Class A2, 5.31%, 10/10/45		1,419			1,448,874
Series 2007-1, Class A4, 5.45%, 1/15/49		500			572,826
Series 2007-2, Class A4, 5.80%, 4/10/49 (b)		750			869,145
Bear Stearns Commercial Mortgage Securities, Series 2005-PWR9, Class A4A, 4.87%, 9/11/42		800			885,825
Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.26%, 12/10/49 (b)		1,200			1,421,371
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48		1,100			1,154,638
Commercial Mortgage Loan Trust, Series 2008-LS1, Class A4B, 6.20%, 12/10/49 (b)		1,515			1,769,102
Commercial Mortgage Pass-Through Certificates, Series 2006-C7, Class AM, 5.97%, 6/10/46 (b)		1,750			1,851,881
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C3, Class AJ, 4.77%, 7/15/37		705			698,888
Credit Suisse Mortgage Capital Certificates:
Series 2006-C3, Class AM, 6.00%, 6/15/38 (b)		1,000			1,080,596
Series 2006-C5, Class AM, 5.34%, 12/15/39		1,750			1,780,425
Series 2010-RR2, Class 2A, 5.95%, 9/15/39 (a)(b)		1,010			1,144,527
DBRR Trust, Series 2011-C32, Class A3A, 5.93%, 6/17/49 (a)(b)		365			419,450
Extended Stay America Trust, Series 2010-ESHA (a):
Class A, 2.95%, 11/05/27		484			487,693
Class D, 5.50%, 11/05/27		210			213,237
First Union-Lehman Brothers-Bank of America, Series 1998-C2, Class D, 6.78%, 11/18/35		1,658			1,665,708
GMAC Commercial Mortgage Securities, Inc.:
Series 2002-C3, Class A2, 4.93%, 7/10/39		726			728,412
Series 2004-C3, Class A4, 4.55%, 12/10/41		510			511,148


See Notes to Financial Statements.

84	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (continued)	BlackRock Income Opportunity Trust, Inc. (BNA)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Non-Agency Mortgage-Backed Securities	Par (000)		Value
Commercial Mortgage-Backed Securities (concluded)
Greenwich Capital Commercial Funding Corp., Class A4:
Series 2006-GG7, 6.06%, 7/10/38 (b)	USD	1,169	$	1,349,481
Series 2007-GG9, 5.44%, 3/10/39		2,165		2,450,592
GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.98%, 8/10/45 (b)		430		486,453
JPMorgan Chase Commercial Mortgage Securities Corp.:
Series 2004-LN2, Class A2, 5.12%, 7/15/41		820		870,986
Series 2006-CB14, Class AM, 5.64%, 12/12/44 (b)		330		340,388
Series 2006-CB16, Class AJ, 5.62%, 5/12/45		720		614,341
LB-UBS Commercial Mortgage Trust (b):
Series 2004-C4, Class A3, 5.30%, 6/15/29		1,493		1,502,568
Series 2004-C8, Class C, 4.93%, 12/15/39		1,385		1,461,171
Series 2007-C6, Class A4, 5.86%, 7/15/40		5,225		6,105,115
Series 2007-C7, Class A3, 5.87%, 9/15/45		1,460		1,722,822
Merrill Lynch Mortgage Trust (b):
Series 2004-BPC1, Class A3, 4.47%, 10/12/41		16		15,571
Series 2004-KEY2, Class A4, 4.86%, 8/12/39		1,000		1,079,590
Morgan Stanley Capital I:
Series 2007-HQ11, Class A4, 5.45%, 2/12/44 (b)		4,000		4,593,504
Series 2007-XLC1, Class A2, 0.56%, 7/17/17		557		523,351
Morgan Stanley Reremic Trust, Series 2011-IO, Class A, 2.50%, 3/23/51 (a)		831		837,156
Wachovia Bank Commercial Mortgage Trust:
Series 2006-C28, Class A2, 5.50%, 10/15/48		4,391		4,402,438
Series 2007-C33, Class A4, 6.10%, 2/15/51 (b)		2,285		2,659,361
WF-RBS Commercial Mortgage Trust, Series 2012-C8:
Class B, 4.31%, 8/15/45		700		706,985
Class C, 5.04%, 8/15/45 (b)		900		877,801
				51,303,420
Interest Only Collateralized Mortgage Obligations — 0.0%
GSMPS Mortgage Loan Trust, Series 1998-5, Class IO, 0.10%, 6/19/27 (a)(b)		2,040		43,564
Interest Only Commercial Mortgage-Backed Securities — 1.0%
Morgan Stanley Bank of America Merrill Lynch Trust, 2.10%, 8/15/45 (a)(b)		15,980		1,812,247
Morgan Stanley Capital I, Series 2012-C4, Class XA, 2.89%, 3/15/45 (a)(b)		9,617		1,418,400
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class XA, 2.42%, 8/15/45 (a)(b)		6,115		835,187
				4,065,834
Total Non-Agency Mortgage-Backed Securities — 16.1%				65,562,488


Preferred Securities
Capital Trusts
Capital Markets — 0.0%
State Street Capital Trust IV, 1.47%, 6/01/67 (b)		70		50,003
Commercial Banks — 0.1%
Fifth Third Capital Trust IV, 6.50%, 4/15/67 (b)		505		505,000
Consumer Finance — 0.2%
Capital One Capital V, 10.25%, 8/15/39		200		206,000
Capital One Capital VI, 8.88%, 5/15/40		690		706,048
				912,048

Capital Trusts	Par (000)		Value
Insurance — 1.7%
The Allstate Corp., 6.50%, 5/15/67 (b)	USD	2,150	$	2,254,812
American International Group, Inc., 8.18%, 5/15/68 (b)		195		232,781
Lincoln National Corp., 6.05%, 4/20/67 (b)		750		723,750
MetLife Capital Trust IV, 7.88%, 12/15/67 (a)		645		754,650
MetLife, Inc., 6.40%, 12/15/66		1,000		1,063,398
Swiss Re Capital I LP, 6.85% (a)(b)(g)		1,060		1,049,400
XL Group Plc, Series E, 6.50% (b)(g)		810		738,113
				6,816,904
Total Capital Trusts — 2.0%				8,283,955


Preferred Stocks	Shares
Commercial Banks — 1.0%
US Bancorp, Series G, 6.00% (b)		150,000		4,156,500
Thrifts & Mortgage Finance — 0.1%
Fannie Mae, Series O, 7.00% (c)		40,000		48,000
Fannie Mae, Series S, 8.25% (c)		10,000		9,000
Freddie Mac, Series Z, 8.38% (c)		94,539		87,921
				144,921
Total Preferred Stocks — 1.1%				4,301,421


Trust Preferreds — 0.1%
Commercial Banks — 0.1%
Citigroup Capital XIII, 7.88%, 10/30/40 (b)		14,810		405,787
Total Preferred Securities — 3.2%				12,991,163


Taxable Municipal Bonds	Par (000)
City of Detroit Michigan Capital Improvement, GO, Taxable Capital Improvement, Limited Tax, Series A-2, 8.00%, 4/01/14	USD	1,525		1,454,957
District of Columbia, Refunding RB, The Howard University Issue, Series B, 7.63%, 10/01/35		1,000		1,246,860
East Bay Municipal Utility District, RB, Build America Bonds, 5.87%, 6/01/40		950		1,304,264
Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 1/15/40		1,260		1,694,713
Metropolitan Transportation Authority, RB, Build America Bonds, 7.34%, 11/15/39		670		1,010,192
Municipal Electric Authority of Georgia Plant Vogtle Units 3 & 4, Refunding RB, Build America Bonds, 7.06%, 4/01/57		1,000		1,085,470
New York City Municipal Water Finance Authority, Refunding RB, Build America Bonds:
5.72%, 6/15/42		690		936,144
Second General Resolution, Series EE, 5.38%, 6/15/43		385		451,028
Second General Resolution, Series EE, 5.50%, 6/15/43		465		551,983
New York State Dormitory Authority, RB, Build America Bonds:
5.63%, 3/15/39		550		696,790
5.60%, 3/15/40		950		1,224,958
Port Authority of New York & New Jersey, RB, Consolidated, 159th Series, 6.04%, 12/01/29		395		510,873


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	85



Schedule of Investments (continued)	BlackRock Income Opportunity Trust, Inc. (BNA)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Taxable Municipal Bonds	Par (000)			Value
State of California, GO, Build America Bonds:
7.63%, 3/01/40	USD	860		$	1,168,043
Various Purpose, 7.55%, 4/01/39		140			188,601
State of Illinois, GO, Pension Funding, 5.10%, 6/01/33		1,000			968,960
University of California, RB, Build America Bonds, 5.95%, 5/15/45		440			554,396
Total Taxable Municipal Bonds — 3.7%					15,048,232


US Government Sponsored Agency Securities
Agency Obligations — 4.2%
Fannie Mae (d):
1.94%, 10/09/19 (i)		7,305			6,367,243
5.63%, 7/15/37		825			1,202,794
Federal Home Loan Bank (d):
5.25%, 12/09/22		700			909,790
5.37%, 9/09/24		1,100			1,447,647
Federal Housing Administration, Merrill Projects, Series 42, 7.43%, 9/01/22		36			35,727
Resolution Funding Corp., 2.76%, 4/15/30 (i)		6,055			3,736,825
Tennessee Valley Authority, 5.25%, 9/15/39 (d)		2,405			3,194,109
					16,894,135
Collateralized Mortgage Obligations — 0.4%
Fannie Mae Mortgage-Backed Securities:
Series 1991-46, Class S, 2,461.75%, 5/25/21 (b)		—	(h)		2,886
Series 1991-87, Class S, 26.02%, 8/25/21 (b)		19			33,325
Series 2005-5, Class PK, 5.00%, 12/25/34		618			665,899
Series G-7, Class S, 1,116.37%, 3/25/21 (b)		—	(h)		1,887
Series G-17, Class S, 1,055.17%, 6/25/21 (b)		—	(h)		2,193
Series G-33, Class PV, 1,078.42%, 10/25/21		—	(h)		2,071
Series G-49, Class S, 1,008.80%, 12/25/21 (b)		—	(h)		911
Freddie Mac Mortgage-Backed Securities:
Series 19, Class R, 16,196.49%, 3/15/20 (b)		—	(h)		473
Series 75, Class R, 9.50%, 1/15/21		—	(h)		1
Series 75, Class RS, 28.65%, 1/15/21 (b)		—	(h)		1
Series 173, Class R, 9.00%, 11/15/21		—	(h)		5
Series 173, Class RS, 9.27%, 11/15/21 (b)		—	(h)		5
Series 1057, Class J, 1.01%, 3/15/21		—	(h)		789
Series K013, Class A2, 3.97%, 1/25/21 (b)		930			1,068,623
					1,779,069
Commercial Mortgage-Backed Securities — 0.0%
Freddie Mac Mortgage-Backed Securities, Series K706, Class C, 4.16%, 11/25/44 (a)(b)		170			157,480
Federal Deposit Insurance Corporation Guaranteed — 0.1%
General Electric Capital Corp., 2.13%, 12/21/12 (d)		525			528,020
Interest Only Collateralized Mortgage Obligations — 3.1%
Fannie Mae Mortgage-Backed Securities:
Series 7, Class 2, 8.50%, 4/01/17		2			245
Series 89, Class 2, 8.00%, 10/01/18		3			365
Series 94, Class 2, 9.50%, 8/01/21		1			228
Series 1990-123, Class M, 1,009.50%, 10/25/20		—	(h)		211
Series 1990-136, Class S, 19.83%, 11/25/20 (b)		5			7,419
Series 1991-99, Class L, 930.00%, 8/25/21		—	(h)		917
Series 1991-139, Class PT, 648.35%, 10/25/21		—	(h)		1,560
Series 1997-50, Class SI, 1.20%, 4/25/23 (b)		143			5,162
Series 2003-80, Class DI, 5.50%, 10/25/31		4,942			297,781
Series 2010-126, Class UI, 5.50%, 10/25/40		5,884			939,459

US Government Sponsored Agency Securities	Par (000)			Value
Interest Only Collateralized Mortgage Obligations (concluded)
Fannie Mae Mortgage-Backed Securities (concluded):
Series 2012-47, Class NI, 4.50%, 4/25/42	USD	6,111		$	1,235,526
Series 2012-96, Class DI, 4.00%, 2/25/27		10,000			1,005,358
Series 2012-M9, Class X1, 4.25%, 12/25/17 (b)		13,450			2,378,780
Series G-10, Class S, 1,080.00%, 5/25/21 (b)		—	(h)		6,776
Series G-12, Class S, 1,146.44%, 5/25/21 (b)		—	(h)		4,265
Series G92-5, Class H, 9.00%, 1/25/22		25			3,366
Series K707, Class X1, 1.70%, 12/25/18 (b)		2,522			206,186
Freddie Mac Mortgage-Backed Securities:
Series 176, Class M, 1,010.00%, 7/15/21		—	(h)		270
Series 200, Class R, 195,955.91%, 12/15/22 (b)		—	(h)		6
Series 1043, Class H, 43.87%, 2/15/21 (b)		3			7,525
Series 1054, Class I, 859.64%, 3/15/21 (b)		—	(h)		681
Series 1056, Class KD, 1,084.50%, 3/15/21		—	(h)		580
Series 1148, Class E, 1,167.37%, 10/15/21 (b)		—	(h)		1,684
Series 1254, Class Z, 8.50%, 4/15/22		51			11,210
Series 2611, Class QI, 5.50%, 9/15/32		1,546			176,697
Series K710, Class X1, 1.92%, 5/25/19 (b)		8,673			842,130
Ginnie Mae Mortgage-Backed Securities (b):
Series 2009-78, Class SD, 5.96%, 9/20/32		7,736			1,506,590
Series 2011-52, Class NS, 6.43%, 4/16/41		21,186			3,759,998
					12,400,975
Mortgage-Backed Securities — 12.9%
Fannie Mae Mortgage-Backed Securities:
3.00%, 9/15/42 (j)		16,300			16,908,704
3.50%, 3/01/42 (d)		1,443			1,530,581
4.00%, 12/01/41 (d)		5,094			5,468,815
4.50%, 7/01/41 (d)		6,883			7,483,245
5.00%, 8/01/34 (d)		4,998			5,498,719
5.50%, 12/01/13 – 6/01/38 (d)		3,590			3,955,387
6.00%, 3/01/16 – 9/15/42 (d)(j)		10,611			11,692,692
Ginnie Mae Mortgage-Backed Securities, 8.00%, 7/15/24		—	(h)		355
					52,538,498
Principal Only Collateralized Mortgage Obligations — 0.0%
Fannie Mae Mortgage-Backed Securities:
Series 203, Class 1, 2/01/23		8			6,851
Series 228, Class 1, 6/01/23		6			5,030
Series 1993-51, Class E, 2/25/23		25			22,633
Series 1993-70, Class A, 5/25/23		4			3,493
Freddie Mac Mortgage-Backed Securities, Series 1739, Class B, 2/15/24		2			2,112
					40,119
Total US Government Sponsored Agency Securities — 20.7%					84,338,296


US Treasury Obligations
US Treasury Bonds (d):
8.13%, 8/15/21		1,550			2,442,825
8.00%, 11/15/21		7,065			11,133,444
6.25%, 8/15/23		4,355			6,371,230
5.38%, 2/15/31		375			552,422
3.50%, 2/15/39		2,865			3,377,119
4.25%, 5/15/39		2,770			3,681,937
4.38%, 5/15/40		8,225			11,166,721
4.75%, 2/15/41		1,621			2,331,201
4.38%, 5/15/41		805			1,094,925
3.13%, 11/15/41		20,940			22,948,942
3.13%, 2/15/42		2,368			2,592,590
3.00%, 5/15/42		2,730			2,915,555
2.75%, 8/15/42		10,900			11,046,474


See Notes to Financial Statements.

86	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (continued)	BlackRock Income Opportunity Trust, Inc. (BNA)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


US Treasury Obligations	Par (000)		Value
US Treasury Inflation Indexed Bonds, 0.75%, 2/15/42 (d)	USD	4,260	$	4,647,570
US Treasury Notes:
2.25%, 7/31/18 (d)		2,495		2,705,516
2.63%, 8/15/20 (d)		1,105		1,225,427
2.00%, 2/15/22 (d)		3,932		4,112,628
1.75%, 5/15/22		152		155,088
Total US Treasury Obligations — 23.2%				94,501,614


Warrants — 0.0% (k)	Shares
Software — 0.0%
Bankruptcy Management Solutions, Inc. (Expires 9/28/17)		101		—
Total Long-Term Investments (Cost — $573,268,297) — 150.9%				615,698,482


Short-Term Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.15% (l)(m)		1,343,014		1,343,014
Total Short-Term Securities (Cost — $1,343,014) — 0.3%				1,343,014


Options Purchased	Notional Amount (000)
Over-the-Counter Interest Rate Call Swaptions — 0.0%
Receive a fixed rate of 1.10% and pay a floating rate based on 3-month LIBOR, Expires 7/31/13, Broker JPMorgan Chase & Co.	USD	13,500		160,273
Over-the-Counter Interest Rate Put Swaptions — 0.1%
Pay a fixed rate of 3.50% and receive a floating rate based on a 6-month EURIBOR, Expires 11/08/12, Broker Citigroup, Inc.	EUR	4,000		296
Pay a fixed rate of 2.08% and receive a floating rate based on a 3-month LIBOR, Expires 3/26/13, Broker JPMorgan Chase & Co.	USD	45,300		31,932
Pay a fixed rate of 3.25% and receive a floating rate based on a 3-month LIBOR, Expires 6/03/13, Broker JPMorgan Chase & Co.		1,200		24,257
Pay a fixed rate of 3.75% and receive a floating rate based on a 3-month LIBOR, Expires 6/03/13, Broker JPMorgan Chase & Co.		2,400		18,246
Pay a fixed rate of 4.25% and receive a floating rate based on a 3-month LIBOR, Expires 6/03/13, Broker JPMorgan Chase & Co.		4,800		13,214
Pay a fixed rate of 1.50% and receive a floating rate based on a 3-month LIBOR, Expires 7/11/13, Broker JPMorgan Chase & Co.		15,600		78,891
Pay a fixed rate of 1.50% and receive a floating rate based on a 3-month LIBOR, Expires 7/19/13, Broker Deutsche Bank AG		9,700		51,259
Pay a fixed rate of 1.10% and receive a floating rate based on a 3-month LIBOR, Expires 7/31/13, Broker JPMorgan Chase & Co.		13,500		144,667

Options Purchased	Notional Amount (000)		Value
Over-the-Counter Interest Rate Put Swaptions (concluded)
Pay a fixed rate of 4.50% and receive a floating rate based on a 3-month LIBOR, Expires 3/16/17, Broker Deutsche Bank AG	USD	6,300	$	164,038
				526,800

	Contracts
Over-the-Counter Put Options — 0.1%
S&P 500 Index, Strike Price USD 1,375.00, Expires 10/19/12, Broker Deutsche Bank AG		12,000		271,612
Total Options Purchased (Cost — $1,882,435) — 0.2%				958,685
Total Investments Before Options Written (Cost — $576,493,746) — 151.4%				618,000,181


Options Written	Notional Amount (000)
Over-the-Counter Interest Rate Call Swaptions — (1.3)%
Pay a fixed rate of 2.00% and receive a floating rate based on 3-month LIBOR, Expires 8/28/13, Broker Royal Bank of Scotland Group Plc	USD	14,000		(484,456	)
Pay a fixed rate of 2.09% and receive a floating rate based on 3-month LIBOR, Expires 1/03/14, Broker Deutsche Bank AG		4,200		(194,058	)
Pay a fixed rate of 2.06% and receive a floating rate based on 3-month LIBOR, Expires 4/09/14, Broker JPMorgan Chase & Co.		16,100		(679,236	)
Pay a fixed rate of 1.40% and receive a floating rate based on 3-month LIBOR, Expires 5/08/14, Broker Deutsche Bank AG		9,600		(170,723	)
Pay a fixed rate of 1.15% and receive a floating rate based on 3-month LIBOR, Expires 6/09/14, Broker Deutsche Bank AG		9,300		(101,092	)
Pay a fixed rate of 1.15% and receive a floating rate based on 3-month LIBOR, Expires 6/09/14, Broker BNP Paribas SA		30,300		(329,364	)
Pay a fixed rate of 1.20% and receive a floating rate based on 3-month LIBOR, Expires 6/18/14, Broker Deutsche Bank AG		12,100		(145,492	)
Pay a fixed rate of 1.00% and receive a floating rate based on 3-month LIBOR, Expires 7/11/14, Broker Bank of America Corp.		9,000		(68,623	)
Pay a fixed rate of 1.00% and receive a floating rate based on 3-month LIBOR, Expires 7/11/14, Broker JPMorgan Chase & Co.		15,600		(118,947	)
Pay a fixed rate of 1.00% and receive a floating rate based on 3-month LIBOR, Expires 7/21/14, Broker Deutsche Bank AG		9,700		(73,920	)
Pay a fixed rate of 1.48% and receive a floating rate based on 3-month LIBOR, Expires 7/31/14, Broker JPMorgan Chase & Co.		10,000		(191,236	)
Pay a fixed rate of 1.00% and receive a floating rate based on 3-month LIBOR, Expires 8/01/14, Broker Deutsche Bank AG		9,700		(73,630	)
Pay a fixed rate of 3.65% and receive a floating rate based on 3-month LIBOR, Expires 3/27/17, Broker JPMorgan Chase & Co.		1,100		(119,428	)
Pay a fixed rate of 3.53% and receive a floating rate based on 3-month LIBOR, Expires 3/30/17, Broker Deutsche Bank AG		15,000		(1,522,873	)


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	87



Schedule of Investments (continued)	BlackRock Income Opportunity Trust, Inc. (BNA)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Options Written	Notional Amount (000)		Value
Over-the-Counter Interest Rate Call Swaptions (concluded)
Pay a fixed rate of 3.60% and receive a floating rate based on 3-month LIBOR, Expires 4/03/17, Broker Goldman Sachs Group, Inc.	USD	8,200	$	(866,884	)
				(5,139,962	)
Over-the-Counter Interest Rate Put Swaptions — (0.8)%
Receive a fixed rate of 1.59% and pay a floating rate based on 3-month LIBOR, Expires 11/30/12, Broker JPMorgan Chase & Co.		11,200		(4,472	)
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, Expires 8/28/13, Broker Royal Bank of Scotland Group Plc		14,000		(407,736	)
Receive a fixed rate of 2.09% and pay a floating rate based on 3-month LIBOR, Expires 1/03/14, Broker Deutsche Bank AG		4,200		(21,801	)
Receive a fixed rate of 2.06% and pay a floating rate based on 3-month LIBOR, Expires 4/09/14, Broker JPMorgan Chase & Co.		16,100		(125,195	)
Receive a fixed rate of 2.40% and pay a floating rate based on 3-month LIBOR, Expires 5/08/14, Broker Deutsche Bank AG		9,600		(59,035	)
Receive a fixed rate of 2.15% and pay a floating rate based on 3-month LIBOR, Expires 6/09/14, Broker BNP Paribas SA		30,300		(263,713	)
Receive a fixed rate of 2.15% and pay a floating rate based on 3-month LIBOR, Expires 6/09/14, Broker Deutsche Bank AG		9,300		(80,942	)
Receive a fixed rate of 2.20% and pay a floating rate based on 3-month LIBOR, Expires 6/18/14, Broker Deutsche Bank AG		12,100		(103,605	)
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, Expires 7/11/14, Broker Bank of America Corp.		9,000		(100,247	)
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, Expires 7/11/14, Broker JPMorgan Chase & Co.		15,600		(173,762	)
Receive a fixed rate of 1.95% and pay a floating rate based on 3-month LIBOR, Expires 7/16/14, Broker Deutsche Bank AG		24,800		(292,925	)
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, Expires 7/21/14, Broker Deutsche Bank AG		9,700		(110,702	)
Receive a fixed rate of 1.48% and pay a floating rate based on 3-month LIBOR, Expires 7/31/14, Broker JPMorgan Chase & Co.		10,000		(193,489	)
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, Expires 8/01/14, Broker JPMorgan Chase & Co.		11,200		(132,625	)
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, Expires 8/01/14, Broker Deutsche Bank AG		9,700		(114,863	)
Receive a fixed rate of 6.00% and pay a floating rate based on 3-month LIBOR, Expires 3/16/17, Broker Deutsche Bank AG		12,600		(159,697	)
Receive a fixed rate of 3.65% and pay a floating rate based on 3-month LIBOR, Expires 3/27/17, Broker JPMorgan Chase & Co.		1,100		(46,198	)
Receive a fixed rate of 3.53% and pay a floating rate based on 3-month LIBOR, Expires 3/30/17, Broker Deutsche Bank AG		15,000		(673,874	)
Receive a fixed rate of 3.60% and pay a floating rate based on 3-month LIBOR, Expires 4/03/17, Broker Goldman Sachs Group, Inc.		8,200		(354,828	)
				(3,419,709	)

Options Written	Contracts		Value
Over-the-Counter Put Options — (0.0)%
S&P 500 Index, Strike Price USD 1,325.00, Expires 10/19/12, Broker Deutsche Bank AG		9,500	$	(114,598	)
Total Options Written (Premiums Received — $8,723,514) — (2.1)%				(8,674,269	)
Total Investments, Net of Options Written — 149.3%				609,325,912
Liabilities in Excess of Other Assets — (49.3)%				(201,257,538	)
Net Assets — 100.0%			$	408,068,374



(a)	Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(b)	Variable rate security. Rate shown is as of report date.

(c)	Non-income producing security.

(d)	All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements.

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

(f)	Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

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

(h)	Amount is less than $500.

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

(j)	Represents or includes a TBA transaction. Unsettled TBA transactions as of August 31, 2012 were as follows:


Counterparty	Value		Unrealized Appreciation (Depreciation)
Credit Suisse Group AG	$	4,186,680	$	(1,930	)
Deutsche Bank AG	$	3,966,328	$	(422	)
Goldman Sachs Group, Inc.	$	16,908,704	$	2,548


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

(l)	Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2012, for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:


Affiliate	Shares Held at August 31, 2011		Net Activity			Shares Held at August 31, 2012		Income
BlackRock Liquidity Funds, TempFund, Institutional Class		3,706,293		(2,363,279	)		1,343,014	$	4,026


(m)	Represents the current yield as of report date.

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


See Notes to Financial Statements.

88	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (continued)	BlackRock Income Opportunity Trust, Inc. (BNA)


•	Reverse repurchase agreements outstanding as of August 31, 2012 were as follows:


Counterparty	Interest Rate		Trade Date	Maturity Date	Face Value		Face Value Including Accrued Interest
UBS Securities LLC	(1.25	)%	2/02/12	Open	$	440,700	$	437,456
Bank of America Merrill Lynch	0.17	%	4/18/12	Open		3,115,688		3,117,688
BNP Paribas Securities Corp.	0.14	%	4/18/12	Open		1,192,019		1,192,649
Deutsche Bank AG	0.13	%	4/24/12	Open		1,381,875		1,382,524
Bank of America Merrill Lynch	0.12	%	5/07/12	Open		2,439,313		2,440,264
Bank of America Merrill Lynch	0.22	%	5/07/12	Open		895,125		895,710
BNP Paribas Securities Corp.	0.17	%	5/09/12	Open		2,212,665		2,213,867
BNP Paribas Securities Corp.	0.18	%	5/09/12	Open		1,045,494		1,046,095
BNP Paribas Securities Corp.	0.19	%	5/09/12	Open		2,694,600		2,696,235
UBS Securities LLC	0.28	%	5/10/12	Open		3,516,450		3,519,568
BNP Paribas Securities Corp.	0.32	%	5/14/12	Open		510,100		510,599
Bank of America Merrill Lynch	0.25	%	6/05/12	Open		6,017,494		6,021,171
BNP Paribas Securities Corp.	0.23	%	6/05/12	Open		23,191,050		23,204,089
UBS Securities LLC	0.32	%	6/06/12	Open		5,158,900		5,162,890
Credit Suisse Securities (USA) LLC	0.23	%	6/20/12	Open		646,812		647,114
BNP Paribas Securities Corp.	0.20	%	6/26/12	Open		1,214,812		1,215,265
UBS Securities LLC	0.32	%	6/29/12	Open		1,806,337		1,807,365
BNP Paribas Securities Corp.	0.32	%	7/02/12	Open		2,979,000		2,980,615
Deutsche Bank AG	(2.00	)%	7/02/12	Open		316,417		315,345
UBS Securities LLC	0.32	%	7/02/12	Open		1,477,212		1,478,014
BNP Paribas Securities Corp.	0.27	%	7/24/12	Open		573,750		573,918
Credit Suisse Securities (USA) LLC	0.23	%	7/25/12	Open		3,228,713		3,229,496
Bank of America Merrill Lynch	0.15	%	7/26/12	Open		11,356,988		11,358,738
Bank of America Merrill Lynch	0.17	%	7/26/12	Open		6,570,606		6,571,754
Bank of America Merrill Lynch	0.18	%	7/26/12	Open		22,898,159		22,902,395
UBS Securities LLC	0.33	%	7/27/12	Open		2,604,925		2,605,785
UBS Securities LLC	0.34	%	7/27/12	Open		1,006,000		1,006,342
Barclays Capital, Inc.	0.35	%	7/31/12	Open		1,603,125		1,603,624
Morgan Stanley & Co. International	0.10	%	8/02/12	Open		1,164,152		1,164,634
Credit Suisse Securities (USA) LLC	0.14	%	8/07/12	Open		4,138,430		4,138,832
UBS Securities LLC	0.34	%	8/07/12	Open		3,420,000		3,420,808
Credit Suisse Securities (USA) LLC	0.35	%	8/08/12	Open		11,183,623		11,186,234
Barclays Capital, Inc.	0.35	%	8/09/12	Open		3,435,469		3,436,236


	Reverse repurchase agreements outstanding as of August 31, 2012 were as follows (concluded):


Counterparty	Interest Rate		Trade Date	Maturity Date	Face Value		Face Value Including Accrued Interest
Credit Suisse Securities (USA) LLC	0.31	%	8/10/12	9/13/12	$	26,398,356	$	26,406,312
UBS Securities LLC	0.34	%	8/13/12	Open		553,800		553,899
UBS Securities LLC	0.35	%	8/13/12	Open		1,855,000		1,855,343
Credit Suisse Securities (USA) LLC	0.35	%	8/15/12	Open		812,000		812,134
Credit Suisse Securities (USA) LLC	0.35	%	8/16/12	Open		8,004,324		8,005,570
Barclays Capital, Inc.	0.35	%	8/21/12	Open		1,290,812		1,290,951
BNP Paribas Securities Corp.	0.11	%	8/21/12	Open		2,791,425		2,791,519
BNP Paribas Securities Corp.	0.17	%	8/30/12	9/04/12		10,913,625		10,913,934
Total					$	188,055,345	$	188,112,981


•	Financial futures contracts purchased as of August 31, 2012 were as follows:

Contracts

Issue

Exchange

Expiration

Notional
Value

Unrealized
Appreciation

5-Year US Treasury Note

Chicago Board of Trade

December 2012

USD

2,243,953

9,810

246

30-Year US Treasury Bond

Chicago Board of Trade

December 2012

USD

37,245,938

416,919

Ultra Long US Treasury Bond

Chicago Board of Trade

December 2012

USD

9,633,000

108,103

Total

534,832


•	Financial futures contracts sold as of August 31, 2012 were as follows:


Contracts	Issue	Exchange	Expiration	Notional Value		Unrealized Depreciation
15	90-Day Euro-Dollar	Chicago Mercantile	September 2012	USD	3,735,375	$	(1,126	)
440	2-Year US Treasury Note	Chicago Board of Trade	December 2012	USD	97,054,375		(88,686	)
446	10-Year US Treasury Note	Chicago Board of Trade	December 2012	USD	59,638,563		(503,783	)
15	90-Day Euro-Dollar	Chicago Mercantile	December 2012	USD	3,736,688		(2,926	)
15	90-Day Euro-Dollar	Chicago Mercantile	March 2013	USD	3,736,688		(3,788	)
12	90-Day Euro-Dollar	Chicago Mercantile	June 2013	USD	2,989,050		(2,130	)
12	90-Day Euro-Dollar	Chicago Mercantile	September 2013	USD	2,988,600		(5,559	)
16	90-Day Euro-Dollar	Chicago Mercantile	December 2013	USD	3,983,800		(11,342	)
12	90-Day Euro-Dollar	Chicago Mercantile	March 2014	USD	2,987,100		(7,854	)
9	90-Day Euro-Dollar	Chicago Mercantile	June 2014	USD	2,239,537		(4,335	)
9	90-Day Euro-Dollar	Chicago Mercantile	September 2014	USD	2,238,637		(8,113	)


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	89



Schedule of Investments (continued)	BlackRock Income Opportunity Trust, Inc. (BNA)


	Financial futures contracts sold as of August 31, 2012 were as follows (concluded):


Contracts	Issue	Exchange	Expiration	Notional Value		Unrealized Depreciation
9	90-Day Euro-Dollar	Chicago Mercantile	December 2014	USD	2,237,287	$	(9,286	)
53	90-Day Euro-Dollar	Chicago Mercantile	March 2015	USD	13,168,513		(66,819	)
44	90-Day Euro-Dollar	Chicago Mercantile	June 2015	USD	10,924,100		(58,595	)
44	90-Day Euro-Dollar	Chicago Mercantile	September 2015	USD	10,912,550		(67,771	)
44	90-Day Euro-Dollar	Chicago Mercantile	December 2015	USD	10,897,700		(69,421	)
Total						$	(911,534	)


•	Foreign currency exchange contracts as of August 31, 2012 were as follows:


Currency Purchased		Currency Sold		Counterparty	Settlement Date	Unrealized Appreciation (Depreciation)
GBP	1,036,977	USD	1,627,000	UBS AG	10/17/12	$	19,323
USD	918,184	GBP	588,000	Credit Suisse Group AG	10/17/12		(15,335	)
USD	3,765,332	GBP	2,425,500	UBS AG	10/17/12		(85,433	)
USD	938,006	GBP	594,000	UBS AG	10/17/12		(5,038	)
EUR	168,000	USD	211,043	Citigroup, Inc.	10/22/12		376
EUR	91,952	USD	113,000	UBS AG	10/22/12		2,717
USD	7,433,238	EUR	6,063,000	Citigroup, Inc.	10/22/12		(196,736	)
USD	56,776	EUR	46,000	Citigroup, Inc.	10/22/12		(1,112	)
Total						$	(281,238	)


•	Credit default swaps on single-name issues — buy protection outstanding as of August 31, 2012 were as follows:


Issuer	Pay Fixed Rate		Counterparty	Expiration Date	Notional Amount (000)		Unrealized Appreciation (Depreciation)
Radian Group, Inc.		5.00%	Citigroup, Inc.	6/20/15	USD	1,400	$	232,792
The New York Times Co.		1.00%	Barclays Plc	12/20/16	USD	1,800		(5,281	)
DE Master Blenders, Inc.		1.00%	JPMorgan Chase & Co.	3/20/17	USD	208		(4,055	)
Hillshire Brands Co.		1.00%	JPMorgan Chase & Co.	3/20/17	USD	208		7,539
XL Group Plc		1.00%	JPMorgan Chase & Co.	6/20/17	USD	1,600		(26,877	)
Australia & New Zealand Banking Group Ltd.		1.00%	Deutsche Bank AG	9/20/17	USD	1,020		(4,785	)
Commonwealth Bank of Australia		1.00%	Deutsche Bank AG	9/20/17	USD	2,000		(9,400	)
National Australia Bank Ltd.		1.00%	Deutsche Bank AG	9/20/17	USD	2,000		(6,587	)
Westpac Banking Corp.		1.00%	Deutsche Bank AG	9/20/17	USD	1,020		(6,188	)
Total							$	177,158


•	Credit default swaps on single-name issues — sold protection outstanding as of August 31, 2012 were as follows:

Issuer

Receive
Fixed
Rate

Counterparty

Expiration
Date

Credit
Rating¹

Notional
Amount
(000)²

Unrealized
Appreciation

MetLife, Inc.

1.00%

Credit Suisse Group AG

9/20/16

A–

USD

545

19,635

MetLife, Inc.

1.00%

Deutsche Bank AG

9/20/16

A–

USD

730

21,665

MetLife, Inc.

1.00%

Goldman Sachs Group, Inc.

9/20/16

A–

USD

500

13,927

MetLife, Inc.

1.00%

Morgan Stanley

9/20/16

A–

USD

910

25,810

MetLife, Inc.

1.00%

Morgan Stanley

9/20/16

A–

USD

275

5,819

MetLife, Inc.

1.00%

Citigroup, Inc.

12/20/16

A–

USD

298

5,859

MetLife, Inc.

1.00%

Citigroup, Inc.

12/20/16

A–

USD

290

7,292

Total

100,007


	¹	Using S&P’s rating.

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


•	Credit default swaps on traded indexes — sold protection outstanding as of August 31, 2012 were as follows:

Index

Receive
Fixed
Rate

Counterparty

Expiration
Date

Credit
Rating³

Notional
Amount
(000)⁴

Unrealized
Appreciation

Markit CMBX North America AAA Index Series 3

0.08%

Morgan Stanley

12/13/49

A+

USD

530

28,033

Markit CMBX North America AAA Index Series 4

0.35%

Morgan Stanley

2/17/51

A–

USD

530

24,651

Total

52,684


	³	Using S&P’s rating of the underlying securities.

	⁴	The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.


See Notes to Financial Statements.

90	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (continued)	BlackRock Income Opportunity Trust, Inc. (BNA)


•	Interest rate swaps outstanding as of August 31, 2012 were as follows:

Fixed
Rate

Floating
Rate

Counterparty

Expiration
Date

Notional
Amount
(000)

Unrealized
Appreciation
(Depreciation)

1.26%¹

3-month CBA

JPMorgan Chase & Co.

6/25/14

CAD

29,600

(54,648

)

1.27%¹

3-month CBA

Deutsche Bank AG

7/03/14

CAD

13,600

(24,083

)

1.33%¹

3-month CBA

Deutsche Bank AG

7/05/14

CAD

13,600

(15,890

)

1.22%¹

3-month CBA

Deutsche Bank AG

7/09/14

CAD

13,600

(30,755

)

1.24%¹

3-month CBA

Deutsche Bank AG

7/11/14

CAD

13,600

(28,174

)

1.66%²

3-month CBA

JPMorgan Chase & Co.

6/25/16

CAD

15,000

15,753

1.64%²

3-month CBA

Deutsche Bank AG

7/03/16

CAD

13,600

19,878

1.70%²

3-month CBA

Deutsche Bank AG

7/05/16

CAD

13,600

4,354

0.87%²

3-month LIBOR

Royal Bank of Scotland Group Plc

7/31/17

USD

7,000

(38,740

)

1.74%¹

3-month LIBOR

Deutsche Bank AG

3/30/18

USD

1,000

38,661

1.20%¹

3-month LIBOR

JPMorgan Chase & Co.

8/30/18

USD

7,900

35,996

1.51%¹

3-month LIBOR

Deutsche Bank AG

7/13/19

USD

5,900

14,969

3.27%²

3-month LIBOR

Deutsche Bank AG

5/16/21

USD

910

(134,713

)

2.08%¹

3-month LIBOR

Morgan Stanley

4/26/22

USD

6,400

268,975

2.04%¹

3-month LIBOR

Morgan Stanley

5/04/22

USD

11,500

434,771

1.94%¹

3-month LIBOR

Citigroup, Inc.

5/16/22

USD

2,100

58,597

1.89%¹

6-month EURIBOR

Citigroup, Inc.

6/27/22

EUR

1,800

38,016

1.60%¹

3-month LIBOR

Credit Suisse Group AG

8/02/22

USD

2,100

(12,156

)

1.61%¹

3-month LIBOR

Deutsche Bank AG

8/06/22

USD

1,700

(8,139

)

1.74%²

3-month LIBOR

Credit Suisse Group AG

8/07/22

USD

6,000

(42,635

)

1.79%²

3-month LIBOR

Credit Suisse Group AG

8/10/22

USD

1,000

(11,721

)

1.91%¹

3-month LIBOR

Deutsche Bank AG

8/21/22

USD

3,800

88,431

1.93%²

3-month LIBOR

JPMorgan Chase & Co.

8/21/22

USD

2,000

(48,609

)

2.58%²

6-month EURIBOR

Deutsche Bank AG

11/11/41

EUR

350

(37,911

)

2.68%²

6-month EURIBOR

Deutsche Bank AG

11/18/41

EUR

750

(102,306

)

3.07%²

3-month LIBOR

Barclays Plc

3/21/42

USD

8,200

(1,060,280

)

2.15%²

6-month EURIBOR

Citigroup, Inc.

6/27/42

EUR

770

8,297

2.41%²

3-month LIBOR

JPMorgan Chase & Co.

7/02/42

USD

3,400

51,292

2.48%²

3-month LIBOR

Deutsche Bank AG

7/05/42

USD

4,500

(7,362

)

2.52%²

3-month LIBOR

Citigroup, Inc.

9/04/42

USD

5,100

(59,408

)

2.52%²

3-month LIBOR

Goldman Sachs Group, Inc.

9/04/42

USD

5,100

(57,332

)

Total

(696,872

)


	¹	Trust pays the floating rate and receives the fixed rate.

	²	Trust pays the fixed rate and receives the floating rate.


•	Total return swaps outstanding as of August 31, 2012 were as follows:

Reference Entity

Fixed
Rate

Counterparty

Expiration
Date

Notional
Amount
(000)

Unrealized
Depreciation

Change in Return of the Consumer Price Index for All Urban Consumers

2.18%³

Bank of America Corp.

10/06/21

USD

1,885

(43,387

)


	³	Trust pays the total return of the reference entity and receives the fixed rate. Net payment made at termination.


•	Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

	•	Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

	•	Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

	•	Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

	Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2012:


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		—	$	24,347,936	$	1,537,590	$	25,885,526
Common Stocks	$	89,704		—		1		89,705
Corporate Bonds		—		308,740,663		1,957,000		310,697,663
Foreign Agency Obligations		—		6,583,795		—		6,583,795
Non-Agency Mortgage-Backed Securities		—		65,039,095		523,393		65,562,488
Preferred Securities		4,707,208		8,283,955		—		12,991,163
Taxable Municipal Bonds		—		15,048,232		—		15,048,232
US Government Sponsored Agency Securities		—		84,302,078		36,218		84,338,296
US Treasury Obligations		—		94,501,614		—		94,501,614
Short-Term Securities		1,343,014		—		—		1,343,014
Total	$	6,139,926	$	606,847,368	$	4,054,202	$	617,041,496


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	91



Schedule of Investments (continued)	BlackRock Income Opportunity Trust, Inc. (BNA)


	Level 1			Level 2			Level 3		Total
Derivative Financial Instruments¹
Assets:
Credit contracts		—		$	393,022			—	$	393,022
Equity contracts		—			271,612			—		271,612
Foreign currency exchange contracts		—			22,416			—		22,416
Interest rate contracts	$	534,832			1,765,063			—		2,299,895
Liabilities:
Credit contracts		—			(63,173	)		—		(63,173	)
Equity contracts		—			(114,598	)		—		(114,598	)
Foreign currency exchange contracts		—			(303,654	)		—		(303,654	)
Interest rate contracts		(911,534	)		(10,334,533	)		—		(11,246,067	)
Other contracts		—			(43,387	)		—		(43,387	)
Total	$	(376,702	)	$	(8,407,232	)		—	$	(8,783,934	)


	¹	Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/ depreciation on the instrument and options are shown at value.


	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	325,000		—			—	$	325,000
Foreign currency at value		548,136		—			—		548,136
Cash pledged as collateral for financial futures contracts		1,344,000		—			—		1,344,000
Cash pledged as collateral for reverse repurchase agreements		752,000		—			—		752,000
Cash pledged as collateral for swaps		7,320,000		—			—		7,320,000
Liabilities:
Cash received as collateral for swaps		—	$	(1,200,000	)		—		(1,200,000	)
Cash received as collateral for reverse repurchase agreements		—		(127,000	)		—		(127,000	)
Reverse repurchase agreements		—		(188,055,345	)		—		(188,055,345	)
Total	$	10,289,136	$	(189,382,345	)		—	$	(179,093,209	)

There were no transfers between Level 1 and Level 2 during the year ended August 31, 2012.


	Asset-Backed Securities			Common Stocks			Corporate Bonds			Non-Agency Mortgage-Backed Securities				Other Interests			Preferred Securities			US Government Sponsored Agency Securities				Warrants			Total
Assets:
Opening balance, as of August 31, 2011	$	6,157,600			—		$	2,004,500			$	1,957,342		$	190		$	109,421			$	80,827		$	83,088		$	10,392,968
Transfers into Level 3²		—		$	1			—				—			—			—				—			—			1
Transfers out of Level 3³		(4,220,557	)		—			—				(352,670	)		—			—				—			—			(4,573,227	)
Accrued discounts/ premiums		(408,000	)		—			199				4,535			—			—				(133	)		—			(403,399	)
Net realized gain (loss)		21			(1	)		18,672				67,431			364			128,730				(1,523	)		—			213,694
Net change in unrealized appreciation/ depreciation⁴		310,836			1			(11,371	)			8,053			(190	)		(109,421	)			748			(83,088	)		115,568
Purchases		—			—			—				579,724			—			—				—			—			579,724
Sales		(302,310	)		—			(55,000	)			(1,741,022	)		(364	)		(128,730	)			(43,701	)		—			(2,271,127	)
Closing Balance, as of August 31, 2012	$	1,537,590		$	1		$	1,957,000			$	523,393			—			—			$	36,218			—		$	4,054,202


	²	As of August 31, 2011, the Trust used observable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used significant unobservable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $1 transferred from Level 2 to Level 3 in the disclosure hierarchy.

	³	As of August 31, 2011, the Trust used significant unobservable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used observable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $4,573,227 transferred from Level 3 to Level 2 in the disclosure hierarchy.

	⁴	Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $2,271,976.


See Notes to Financial Statements.

92	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (concluded)	BlackRock Income Opportunity Trust, Inc. (BNA)

The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:


	Credit Contracts
Liabilities:
Opening balance, as of August 31, 2011	$	(941	)
Transfers into Level 3¹		—
Transfers out of Level 3¹		—
Accrued discounts/premiums		—
Net realized gain (loss)		—
Net change in unrealized appreciation/depreciation²		941
Purchases		—
Issues³		—
Sales		—
Settlements⁴		—
Closing Balance, as of August 31, 2012		—


	¹	Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period.

	²	Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $0.

	³	Issues represent upfront cash received on certain derivative financial instruments.

	⁴	Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	93



Schedule of Investments August 31, 2012	BlackRock Income Trust, Inc. (BKT)
Schedule of Investments August 31, 2012	(Percentages shown are based on Net Assets)


Asset-Backed Securities	Par (000)			Value
Asset-Backed Securities — 1.4%
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2005-FF2, Class M2, 0.68%, 3/25/35 (a)	$	5,214		$	4,946,311
Securitized Asset-Backed Receivables LLC Trust, Series 2005-OP2, Class M1, 0.67%, 10/25/35 (a)		1,875			1,204,526
Small Business Administration Participation Certificates, Class 1:
Series 1996-20E, 1, 7.60%, 5/01/16		112			118,718
Series 1996-20G, 7.70%, 7/01/16		120			128,910
Series 1996-20H, 7.25%, 8/01/16		177			188,875
Series 1996-20K, 6.95%, 11/01/16		307			328,201
Series 1997-20C, 7.15%, 3/01/17		133			143,533
					7,059,074
Interest Only Asset-Backed Securities — 0.2%
Small Business Administration, Series 1, 2.00%, 4/01/15		1,438			12,582
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (b)		4,301			340,073
Sterling Coofs Trust, Series 1, 2.36%, 4/15/29		7,404			564,541
					917,196
Total Asset-Backed Securities — 1.6%					7,976,270


Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations — 1.4%
Collateralized Mortgage Obligation Trust, Series 40, Class R, 580.50%, 4/01/18		—	(c)		90
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AR5, Class 22A, 5.50%, 10/25/21		814			830,451
Homebanc Mortgage Trust, Series 2005-4, Class A1, 0.51%, 10/25/35 (a)		2,912			2,190,760
JPMorgan Mortgage Trust, Series 2006-A7, Class 2A2, 2.71%, 1/25/37 (a)		333			251,518
Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, 16.18%, 8/25/23 (a)		50			57,187
Residential Funding Securities LLC, Series 2003-RM2, Class AI5, 8.50%, 5/25/33		2,134			2,269,118
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-11, Class A, 2.88%, 8/25/34 (a)		1,385			1,319,463
					6,918,587
Commercial Mortgage-Backed Securities — 0.5%
Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.54%, 1/15/49 (a)		2,420			2,700,856
Interest Only Collateralized Mortgage Obligations — 1.0%
Bank of America Mortgage Securities, Inc., Series 2003-3, Class 1A, 0.28%, 5/25/33 (a)		55,752			357,984
CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 5/25/37		894			222,099
Collateralized Mortgage Obligation Trust, Series 42, Class R, 6.000%, 10/01/14		—	(c)		1
First Boston Mortgage Securities Corp., Series C, 10.97%, 4/25/17		16			2,087
GSMPS Mortgage Loan Trust, Series 1998-5, Class IO, 0.10%, 6/19/27 (a)(b)		4,056			86,601
IndyMac INDX Mortgage Loan Trust, Series 2006-AR33, Class 4AX, 0.17%, 1/25/37		90,589			452,944
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3AX, 0.98%, 4/25/34		11,266			124,984
MASTR Alternative Loans Trust, Series 2003-9, Class 15X2, 6.00%, 1/25/19		429			53,343


Non-Agency Mortgage-Backed Securities	Par (000)			Value
Interest Only Collateralized Mortgage Obligations (concluded)
Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 1AX, 5.00%, 5/25/19	$	476		$	43,288
Sequoia Mortgage Trust, Series 2005-2, Class XA, 1.09%, 3/20/35 (a)		37,750			607,538
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 3AS, 5.17%, 8/25/36 (a)		24,498			2,882,341
Vendee Mortgage Trust, Series 1999-2, Class 1, 0.04%, 5/15/29 (a)		50,603			86,957
					4,920,167
Interest Only Commercial Mortgage-Backed Securities — 0.0%
Credit Suisse First Boston Mortgage Securities Corp., Series 1997-C1, Class AX, 1.31%, 6/20/29 (a)(b)		2,401			45,646
Principal Only Collateralized Mortgage Obligations — 0.5%
Countrywide Home Loan Mortgage Pass-Through Trust:
Series 2003-26, 8/25/33		1,190			1,147,015
Series 2003-J4, 6/25/33		245			233,340
Series 2003-J5, 7/25/33		374			356,681
Series 2003-J8, 9/25/23		281			276,632
Drexel Burnham Lambert CMO Trust, Class 1:
Series K, 9/23/17		7			7,206
Series V, 9/01/18		17			17,001
MASTR Asset Securitization Trust, Series 2004-3, Class 4A15, 3/25/34		53			46,358
Residential Asset Securitization Trust, Series 2005-A15, Class 1A8, 2/25/36		756			443,892
Structured Mortgage Asset Residential Trust, Series 1993-3C, Class CX, 4/25/24		7			5,426
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-9, Class CP, 11/25/35		484			303,068
					2,836,619
Total Non-Agency Mortgage-Backed Securities — 3.4%					17,421,875


US Government Sponsored Agency Securities
Agency Obligations — 2.5%
Federal Housing Administration:
General Motors Acceptance Corp. Projects, Series 56, 7.43%, 11/01/22		200			196,383
Merrill Projects, Series 54, 7.43%, 5/15/23		2			1,822
Reilly Projects, Series 41, 8.28%, 3/01/20		199			198,368
USGI Projects, Series 87, 7.43%, 12/01/22		63			61,392
USGI Projects, Series 99, 7.43%, 6/01/21		4,097			4,014,908
USGI Projects, Series 99, 7.43%, 10/01/23		38			37,687
USGI Projects, Series 99, 7.43%, 10/01/23		114			111,349
Resolution Funding Corp., 2.76%, 4/15/30 (d)		13,000			8,022,911
					12,644,820
Collateralized Mortgage Obligations — 11.1%
Fannie Mae Mortgage-Backed Securities:
Series 1991-46, Class S, 2,461.75%, 5/25/21 (a)		—	(c)		6,195
Series 1991-87, Class S, 26.02%, 8/25/21 (a)		42			72,815
Series 1993-247, Class SN, 10.00%, 12/25/23 (a)		327			425,650
Series 2003-135, Class PB, 6.00%, 1/25/34		12,264			14,358,274
Series 2004-31, Class ZG, 7.50%, 5/25/34		3,418			4,435,092
Series 2005-73, Class DS, 16.94%, 8/25/35 (a)		2,511			3,491,851
Series G-7, Class S, 1,116.37%, 3/25/21 (a)		—	(c)		4,051
Series G-17, Class S, 1,055.17%, 6/25/21 (a)		—	(c)		4,709
Series G-33, Class PV, 1,078.42%, 10/25/21		—	(c)		4,446
Series G-49, Class S, 1,008.80%, 12/25/21 (a)		—	(c)		1,954


See Notes to Financial Statements.

94	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (continued)	BlackRock Income Trust, Inc. (BKT)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


US Government Sponsored Agency Securities	Par (000)			Value
Collateralized Mortgage Obligations (concluded)
Freddie Mac Mortgage-Backed Securities:
Series 19, Class F, 8.50%, 3/15/20	$	64		$	69,958
Series 19, Class R, 16,196.49%, 3/15/20 (a)		—	(c)		1,017
Series 40, Class K, 6.50%, 8/17/24		295			339,336
Series 75, Class R, 9.50%, 1/15/21		—	(c)		2
Series 75, Class RS, 28.70%, 1/15/21 (a)		—	(c)		2
Series 173, Class R, 9.00%, 11/15/21		—	(c)		11
Series 173, Class RS, 9.27%, 11/15/21 (a)		—	(c)		11
Series 192, Class U, 1,009.03%, 2/15/22 (a)		—	(c)		51
Series 1057, Class J, 1,008.00%, 3/15/21		—	(c)		1,694
Series 1160, Class F, 39.10%, 10/15/21 (a)		16			35,429
Series 2218, Class Z, 8.50%, 3/15/30		4,622			5,381,068
Series 2542, Class UC, 6.00%, 12/15/22		6,120			6,856,413
Series 2758, Class KV, 5.50%, 5/15/23		8,870			9,993,286
Series 2861, Class AX, 10.44%, 9/15/34 (a)		152			170,056
Series 2927, Class BZ, 5.50%, 2/15/35		3,132			3,926,475
Series T-11, Class A9, 2.68%, 1/25/28 (a)		1,975			1,874,505
Ginnie Mae Mortgage-Backed Securities:
Series 1996-5, Class Z, 7.00%, 5/16/26		458			492,933
Series 2001-33, Class PB, 6.50%, 7/20/31		792			915,620
Series 2004-89, Class PE, 6.00%, 10/20/34		3,392			3,622,628
					56,485,532
Federal Deposit Insurance Corporation Guaranteed — 0.8%
Citigroup Funding, Inc., 1.88%, 10/22/12		3,800			3,809,291
Interest Only Collateralized Mortgage Obligations — 5.7%
Fannie Mae Mortgage-Backed Securities:
Series 7, Class 2, 8.50%, 4/01/17		4			526
Series 89, Class 2, 8.00%, 10/01/18		6			783
Series 94, Class 2, 9.50%, 8/01/21		2			490
Series 1990-123, Class M, 1,009.50%, 10/25/20		—	(c)		454
Series 1990-136, Class S, 19.83%, 11/25/20 (a)		10			15,928
Series 1991-99, Class L, 930.00%, 8/25/21		—	(c)		1,970
Series 1991-139, Class PT, 648.35%, 10/25/21		—	(c)		3,348
Series 1993-199, Class SB, 7.25%, 10/25/23 (a)		512			57,739
Series 1996-68, Class SC, 7.85%, 1/25/24 (a)		153			3,210
Series 1997-50, Class SI, 1.20%, 4/25/23 (a)		285			10,325
Series 1997-90, Class M, 6.00%, 1/25/28		4,666			821,845
Series 1999-W4, 6.50%, 12/25/28		290			64,695
Series 2003-80, Class DI, 5.50%, 10/25/31		6,401			385,742
Series 2010-74, Class DI, 5.00%, 12/25/39		39,429			3,667,405
Series 2010-75, Class PI, 4.50%, 12/25/36		10,632			289,362
Series 2010-126, Class UI, 5.50%, 10/25/40		18,255			2,914,501
Series 2012-96, Class DI, 4.00%, 2/25/27		12,695			1,276,264
Series G-10, Class S, 1,080.00%, 5/25/21 (a)		—	(c)		14,548
Series G-12, Class S, 1,146.44%, 5/25/21 (a)		—	(c)		9,156
Series G92-5, Class H, 9.00%, 1/25/22		64			8,656
Series G92-12, Class C, 1,016.90%, 2/25/22		—	(c)		3,744
Series G92-60, Class SB, 1.60%, 10/25/22		200			8,395
Freddie Mac Mortgage-Backed Securities:
Series 176, Class M, 1,010.00%, 7/15/21		—	(c)		581
Series 200, Class R, 195,955.91%, 12/15/22 (a)		—	(c)		12
Series 1043, Class H, 43.87%, 2/15/21 (a)		7			16,155
Series 1054, Class I, 859.64%, 3/15/21 (a)		—	(c)		1,462
Series 1056, Class KD, 1,084.50%, 3/15/21		—	(c)		1,245
Series 1148, Class E, 1,167.37%, 10/15/21 (a)		—	(c)		3,615
Series 2559, 0.50%, 8/15/30 (a)		158			1,679
Series 2611, Class QI, 5.50%, 9/15/32		2,823			322,495
Series 2949, 5.50%, 3/15/35		464			33,357
Series 3744, Class PI, 4.00%, 6/15/39		19,412			2,863,283
Series 3745, Class IN, 4.00%, 1/15/35		42,529			4,316,801
Series 4026, 4.50%, 4/15/32		6,967			1,115,231


US Government Sponsored Agency Securities	Par (000)			Value
Interest Only Collateralized Mortgage Obligations (concluded)
Ginnie Mae Mortgage-Backed Securities:
Series 2010-101, Class YT, 2.00%, 8/16/13	$	48,814		$	757,144
Series 2011-52, Class MJ, 6.41%, 4/20/41 (a)		26,384			5,125,269
Series 2011-52, Class NS, 6.43%, 4/16/41 (a)		27,941			4,959,035
					29,076,450
Mortgage-Backed Securities — 125.5%
Fannie Mae Mortgage-Backed Securities:
3.00%, 9/15/42 (e)		24,300			25,207,454
3.50%, 9/15/44 (e)		7,000			7,421,093
4.00%, 1/01/41 – 9/15/42 (e)		54,532			58,543,009
4.50%, 9/15/42 (e)(f)		189,700			208,930,119
5.00%, 1/01/23 – 9/15/42 (e)(g)		176,536			194,122,033
5.50%, 9/15/27 – 10/01/39 (e)(f)		69,319			76,431,230
5.97%, 8/01/16		3,016			3,458,688
6.00%, 9/15/42 (e)		21,800			24,018,320
6.50%, 12/01/37 – 10/01/39		33,154			37,794,277
7.50%, 2/01/22		—	(c)		107
9.50%, 1/01/19 – 9/01/19		3			2,572
Freddie Mac Mortgage-Backed Securities:
2.48%, 1/01/35 (a)		197			201,526
2.55%, 10/01/34 (a)		297			307,009
2.73%, 11/01/17 (a)		13			13,481
5.00%, 2/01/22 – 4/01/22		742			805,650
9.00%, 9/01/20		40			44,849
Ginnie Mae Mortgage-Backed Securities:
7.50%, 8/15/21 – 12/15/23		169			180,423
8.00%, 10/15/22 – 8/15/27		66			74,402
9.00%, 6/15/18 – 9/15/21		7			7,731
					637,563,973
Principal Only Collateralized Mortgage Obligations — 0.4%
Fannie Mae Mortgage-Backed Securities:
Series 203, Class 1, 2/01/23		16			14,709
Series 228, Class 1, 6/01/23		13			10,799
Series 1991-7, Class J, 2/25/21		17			15,589
Series 1993-51, Class E, 2/25/23		54			48,592
Series 1993-70, Class A, 5/25/23		8			7,500
Series 1999-W4, Class PO, 2/25/29		146			139,937
Series 2002-13, Class PR, 3/25/32		310			267,855
Series G93-2, Class KB, 1/25/23		142			131,518
Freddie Mac Mortgage-Backed Securities:
Series 1418, Class M, 11/15/22		58			52,373
Series 1571, Class G, 8/15/23		366			354,008
Series 1691, Class B, 3/15/24		735			629,492
Series 1739, Class B, 2/15/24		5			4,734
Series T-8, Class A10, 11/15/28		122			110,689
					1,787,795
Total US Government Sponsored Agency Securities — 146.0%					741,367,861


US Treasury Obligations
US Treasury Bonds, 2.75%, 8/15/42 (g)		72,295			73,266,500
US Treasury Notes:
0.50%, 7/31/17		1,090			1,085,487
0.63%, 8/31/17 (g)		18,690			18,716,278
0.88%, 7/31/19 (g)		1,715			1,701,736
1.00%, 8/31/19		1,365			1,364,466
1.63%, 8/15/22 (g)		2,525			2,539,597
Total US Treasury Obligations — 19.4%					98,674,064
Total Long-Term Investments (Cost — $840,915,743) — 170.4%					865,440,070


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	95



Schedule of Investments (continued)	BlackRock Income Trust, Inc. (BKT)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Short-Term Securities	Par (000)		Value
Borrowed Bond Agreements — 3.8%
BNP Paribas SA:
0.13%, Open	$	7,264	$	7,264,256
0.14%, Open		938		938,400
Credit Suisse Securities (USA) LLC:
0.00%, Open		101		100,750
0.11%, Open		438		437,800
0.15%, Open		6,508		6,508,450
0.18%, Open		3,859		3,859,125
				19,108,781


	Shares
Money Market Funds — 0.4%
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.15% (h)(i)		2,187,808	2,187,808
Total Short-Term Securities (Cost — $21,296,589) — 4.2%			21,296,589
Total Investments Before Borrowed Bonds and TBA Sale Commitments (Cost — $862,212,332) — 174.6%			886,736,659




Borrowed Bonds	Par (000)
US Treasury Notes:
1.25%, 2/15/14	$	920		(933,728	)
2.13%, 2/29/16		6,845		(7,264,790	)
1.00%, 10/31/16		3,765		(3,848,538	)
0.88%, 12/31/16		6,460		(6,565,479	)
0.88%, 2/28/17		440		(447,116	)
1.00%, 3/31/17		100		(102,101	)
Total Borrowed Bonds (Proceeds — $18,489,219) — (3.8)%				(19,161,752	)


TBA Sale Commitments (e)
Fannie Mae Mortgage-Backed Securities:
4.00%, 1/01/41 – 9/15/42		3,000		(3,216,094	)
4.50%, 9/15/27 – 9/15/42		43,200		(46,711,998	)
5.00%, 9/15/27 – 9/15/42		71,800		(78,401,965	)
Total TBA Sale Commitments (Proceeds — $128,007,914) — (25.2)%				(128,330,057	)
Total Investments, Net of Borrowed Bonds and TBA Sale Commitments — 145.6%				739,244,850
Liabilities in Excess of Other Assets — (45.6)%				(231,393,030	)
Net Assets — 100.0%			$	507,851,820



(a)	Variable rate security. Rate shown is as of report date.

(b)	Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(c)	Amount is less than $500.

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

(e)	Represents or includes a TBA transaction. Unsettled TBA transactions as of August 31, 2012 were as follows:


Counterparty		Value		Unrealized Appreciation (Depreciation)
Bank of America Corp.	$	(4,112,890	)		$	(33,859	)
Credit Suisse Group AG	$	56,971,711			$	205,875
Deutsche Bank AG	$	2,983,937			$	(187,742	)
Goldman Sachs Group, Inc.	$	21,058,079			$	79,298
JPMorgan Chase & Co.	$	8,251,312			$	12,882
Morgan Stanley	$	(13,710,046	)		$	26,790


(f)	All or a portion of security has been pledged as collateral in connection with swaps.

(g)	All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements.

(h)	Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2012, for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:


Affiliate	Shares Held at August 31, 2011	Net Activity	Shares Held at August 31, 2012	Income
BlackRock Liquidity Funds, TempFund, Institutional Class	3,958,025	(1,770,217)	2,187,808	$9,117


(i)	Represents the current yield as of report date.

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

•	Reverse repurchase agreements outstanding as of August 31, 2012 were as follows:


Counterparty	Interest Rate		Trade Date	Maturity Date	Face Value		Face Value Including Accrued Interest
Credit Suisse	0.31	%	8/10/12	9/13/12	$	39,738,879	$	39,750,856
Securities (USA) LLC
Bank of America	0.23	%	8/30/12	9/04/12		2,996,250		2,996,365
Merrill Lynch
BNP Paribas	0.17	%	8/30/12	9/04/12		72,385,369		72,387,420
Securities Corp.
BNP Paribas	0.19	%	8/30/12	9/04/12		2,057,425		2,057,490
Securities Corp.
Credit Suisse	(0.02	)%	8/30/12	9/04/12		2,528,156		2,528,148
Securities (USA) LLC
Total					$	119,706,079	$	119,720,279


See Notes to Financial Statements.

96	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (continued)	BlackRock Income Trust, Inc. (BKT)


•	Financial futures contracts purchased as of August 31, 2012 were as follows:


Contracts	Issue	Exchange	Expiration	Notional Value		Unrealized Appreciation
123	90-Day	Chicago	September	$	30,630,075		$	38,666
	Euro-Dollar	Mercantile	2012
52	90-Day	Chicago	December	$	12,953,850			20,141
	Euro-Dollar	Mercantile	2012
43	Ultra Long US	Chicago	December	$	7,267,000			81,551
	Treasury Bond	Board of Trade	2012
24	90-Day	Chicago	March 2013	$	5,978,700			5,717
	Euro-Dollar	Mercantile
63	90-Day	Chicago	June 2013	$	15,692,513			31,349
	Euro-Dollar	Mercantile
57	90-Day	Chicago	September	$	14,195,850			28,871
	Euro-Dollar	Mercantile	2013
18	90-Day	Chicago	December	$	4,481,775			6,018
	Euro-Dollar	Mercantile	2013
Total							$	212,313


•	Financial futures contracts sold as of August 31, 2012 were as follows:


Contracts	Issue	Exchange	Expiration	Notional Value		Unrealized Depreciation
125	2-Year US	Chicago	December	$	27,572,266	$	(21,104)
	Treasury Note	Board of Trade	2012
743	5-Year US	Chicago	December	$	92,625,398		(340,959)
	Treasury Note	Board of Trade	2012
1,519	10-Year US	Chicago	December	$	203,118,781		(1,553,324)
	Treasury Note	Board of Trade	2012
36	30-Year US	Chicago	December	$	5,450,625		(59,778)
	Treasury Bond	Board of Trade	2012
7	90-Day	Chicago	March 2014	$	1,742,475		(2,118)
	Euro-Dollar	Mercantile
25	90-Day	Chicago	June 2014	$	6,220,938		(15,678)
	Euro-Dollar	Mercantile
25	90-Day	Chicago	September	$	6,218,438		(18,509)
	Euro-Dollar	Mercantile	2014
25	90-Day	Chicago	December	$	6,214,687		(20,590)
	Euro-Dollar	Mercantile	2014
25	90-Day	Chicago	March 2015	$	6,211,562		(20,578)
	Euro-Dollar	Mercantile
Total						$	(2,052,638)


•	Interest rate swaps outstanding as of August 31, 2012 were as follows:

Fixed
Rate

Floating
Rate

Counterparty

Expiration
Date

Notional
Amount
(000)

Unrealized
Appreciation
(Depreciation)

4.88%¹

3-month LIBOR

UBS AG

3/21/15

25,000

2,813,523

4.87%¹

3-month LIBOR

Goldman Sachs

1/25/16

5,500

806,208

Group, Inc.

2.81%¹

3-month LIBOR

Citigroup, Inc.

2/06/16

20,000

1,562,956

5.72%¹

3-month LIBOR

JPMorgan

7/14/16

5,400

1,062,683

Chase & Co.

4.31%²

3-month LIBOR

Deutsche

10/01/18

60,000

(11,773,298

)

Bank AG

3.43%¹

3-month LIBOR

JPMorgan

3/28/21

6,000

1,202,883

Chase & Co.

5.41%¹

3-month LIBOR

JPMorgan

8/15/22

9,565

3,359,900

Chase & Co.

Total

(965,145

)


	¹	Trust pays the floating rate and receives the fixed rate.

	²	Trust pays the fixed interest rate and receives the floating rate.


•	Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

	•	Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

	•	Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

	•	Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

	Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	97



Schedule of Investments (concluded)	BlackRock Income Trust, Inc. (BKT)

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2012:


	Level 1			Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		—		$	7,059,074		$	917,196	$	7,976,270
Non-Agency Mortgage-Backed Securities		—			13,353,977			4,067,898		17,421,875
US Government Sponsored Agency Securities		—			736,744,897			4,622,964		741,367,861
US Treasury Obligations		—			98,674,064			—		98,674,064
Short-Term Securities:
Borrowed Bond Agreements		—			19,108,781			—		19,108,781
Money Market Funds	$	2,187,808			—			—		2,187,808
Liabilities:
Investments:
Long-Term Investments:
Borrowed Bonds		—			(19,161,752	)		—		(19,161,752	)
TBA Sale Commitments		—			(128,330,057	)		—		(128,330,057	)
Total	$	2,187,808		$	727,448,984		$	9,608,058	$	739,244,850

		Level 1			Level 2			Level 3		Total
Derivative Financial Instruments¹
Assets:
Interest rate contracts	$	212,313		$	10,808,153			—	$	11,020,466
Liabilities:
Interest rate contracts		(2,052,638	)		(11,773,298	)		—		(13,825,936	)
Total	$	(1,840,325	)	$	(965,145	)		—	$	(2,805,470	)


	¹	Derivative financial instruments are swaps and financial futures contracts. Swaps and financial futures contracts are valued at the unrealized appreciation/depreciation on the instrument.


	Level 1		Level 2			Level 3		Total
Assets:
Cash pledged as collateral for financial futures contracts	$	2,464,000		—			—	$	2,464,000
Cash pledged as collateral for swaps		3,300,000		—			—		3,300,000
Cash pledged as collateral for reverse repurchase agreements		50,000		—			—		50,000
Liabilities:
Cash received as collateral for swaps		—	$	(4,100,000	)		—		(4,100,000	)
Reverse repurchase agreements		—		(119,706,079	)		—		(119,706,079	)
Total	$	5,814,000	$	(123,806,079	)		—	$	(117,992,079	)

There were no transfers between Level 1 and Level 2 during the year ended August 31, 2012.


	Asset-Backed Securities			Non-Agency Mortgage-Backed Securities			US Government Sponsored Agency Securities			Total
Assets:
Opening balance, as of August 31, 2011	$	1,038,628		$	4,432,527		$	5,096,285		$	10,567,440
Transfers into Level 3²		—			—			—			—
Transfers out of Level 3²		—			—			—			—
Accrued discounts/premiums		(429,565	)		44,402			(13,872	)		(399,035	)
Net realized loss		—			—			(14,027	)		(14,027	)
Net change in unrealized appreciation/depreciation³		331,765			(282,172	)		(63,757	)		(14,164	)
Purchases		—			—			—			—
Sales		(23,632	)		(126,859	)		(381,665	)		(532,156	)
Closing Balance, as of August 31, 2012	$	917,196		$	4,067,898		$	4,622,964		$	9,608,058


	²	Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period.

	³	Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $19,455.


See Notes to Financial Statements.

98	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments August 31, 2012	BlackRock Strategic Bond Trust (BHD)
Schedule of Investments August 31, 2012	(Percentages shown are based on Net Assets)


Common Stocks	Shares		Value
Auto Components — 1.6%
Delphi Automotive Plc (a)		53,804	$	1,629,723
Media — 0.1%
Adelphia Recovery Trust		396,568		793
Cumulus Media, Inc., Class A (a)		23,466		65,001
				65,794
Software — 0.0%
Bankruptcy Management Solutions, Inc. (a)		84		1
Total Common Stocks — 1.7%				1,695,518



Corporate Bonds	Par (000)
Aerospace & Defense — 0.2%
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (b)	USD	200		180,969
Airlines — 0.4%
Delta Air Lines, Inc.:
Series 2002-1, Class G-1, 6.72%, 7/02/24		143		155,110
Series 2009-1-B, 9.75%, 6/17/18		37		40,327
US Airways Pass-Through Trust, Series 2011-1, Class C, 10.88%, 10/22/14		246		252,126
				447,563
Auto Components — 1.2%
Dana Holding Corp., 6.75%, 2/15/21		180		193,950
Icahn Enterprises LP, 8.00%, 1/15/18		670		713,550
Jaguar Land Rover Plc, 8.25%, 3/15/20	GBP	177		296,440
				1,203,940
Beverages — 0.3%
Crown European Holdings SA:
7.13%, 8/15/18	EUR	50		69,179
7.13%, 8/15/18 (b)		142		196,468
				265,647
Biotechnology — 0.0%
QHP Royalty Sub LLC, 10.25%, 3/15/15 (b)	USD	20		20,488
Building Products — 0.3%
Building Materials Corp. of America, 7.00%, 2/15/20 (b)		210		227,325
Momentive Performance Materials, Inc., 11.50%, 12/01/16		135		82,350
				309,675
Capital Markets — 2.4%
E*Trade Financial Corp.:
12.50%, 11/30/17 (c)		390		445,087
Series A, 2.25%, 8/31/19 (d)(e)		100		85,500
The Goldman Sachs Group, Inc.:
5.38%, 3/15/20		225		242,475
6.00%, 6/15/20		250		279,709
5.75%, 1/24/22		525		579,318
KKR Group Finance Co. LLC, 6.38%, 9/29/20 (b)		170		192,432
Merrill Lynch & Co., Inc., 6.05%, 5/16/16		325		350,241
Morgan Stanley, 5.50%, 7/28/21		265		271,689
				2,446,451
Chemicals — 3.1%
Celanese US Holdings LLC, 5.88%, 6/15/21		650		718,250
Chemtura Corp., 7.88%, 9/01/18		115		123,913
Hexion US Finance Corp.:
6.63%, 4/15/20		95		95,950
9.00%, 11/15/20		115		98,325
Huntsman International LLC, 8.63%, 3/15/21		65		74,425

Corporate Bonds	Par (000)		Value
Chemicals (concluded)
INEOS Finance Plc (b):
8.38%, 2/15/19	USD	300	$	315,750
7.50%, 5/01/20		155		158,100
Kinove German Bondco GmbH, 10.00%, 6/15/18	EUR	98		134,495
Kraton Polymers LLC, 6.75%, 3/01/19	USD	45		46,125
LyondellBasell Industries NV, 5.75%, 4/15/24		664		751,980
Nexeo Solutions LLC, 8.38%, 3/01/18		65		63,538
PolyOne Corp., 7.38%, 9/15/20		80		87,400
TPC Group LLC, 8.25%, 10/01/17		125		137,187
Tronox Finance LLC, 6.38%, 8/15/20 (b)		325		328,250
				3,133,688
Commercial Banks — 2.5%
Amsouth Bank, Series AI, 4.85%, 4/01/13		650		654,875
Barclays Bank Plc, 5.14%, 10/14/20		100		100,839
CIT Group, Inc.:
7.00%, 5/02/16 (b)		480		481,633
7.00%, 5/02/17 (b)		520		520,719
5.25%, 3/15/18		110		114,675
5.50%, 2/15/19 (b)		120		125,100
5.00%, 8/15/22		110		110,833
HSBC Bank Plc, 7.65%, 5/01/25		350		395,260
				2,503,934
Commercial Services & Supplies — 1.2%
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b)		193		204,096
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b)		11		11,110
Clean Harbors, Inc., 5.25%, 8/01/20 (b)		96		98,520
Covanta Holding Corp., 6.38%, 10/01/22		85		92,937
Mobile Mini, Inc., 7.88%, 12/01/20		135		144,788
RSC Equipment Rental, Inc., 8.25%, 2/01/21		310		339,450
Verisure Holding AB:
8.75%, 9/01/18	EUR	100		125,780
8.75%, 12/01/18		100		111,315
West Corp., 8.63%, 10/01/18	USD	50		50,750
				1,178,746
Communications Equipment — 1.1%
Brocade Communications Systems, Inc., 6.88%, 1/15/20		175		189,000
Zayo Group LLC/Zayo Capital, Inc.:
8.13%, 1/01/20		708		752,250
10.13%, 7/01/20		186		199,485
				1,140,735
Construction & Engineering — 0.1%
Boart Longyear Management Property Ltd., 7.00%, 4/01/21 (b)		75		77,813
Construction Materials — 0.6%
HD Supply, Inc., 8.13%, 4/15/19 (b)		452		490,420
Xefin Lux SCA, 8.00%, 6/01/18 (b)	EUR	100		122,635
				613,055
Consumer Finance — 1.5%
Credit Acceptance Corp., 9.13%, 2/01/17	USD	185		203,500
Ford Motor Credit Co. LLC, 2.75%, 5/15/15		500		506,477
SLM Corp., 5.38%, 5/15/14		675		706,033
Toll Brothers Finance Corp., 5.88%, 2/15/22		85		92,655
				1,508,665


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	99



Schedule of Investments (continued)	BlackRock Strategic Bond Trust (BHD)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Containers & Packaging — 0.8%
Ardagh Packaging Finance Plc, 7.38%, 10/15/17 (b)	EUR	260	$	345,832
Berry Plastics Corp., 8.25%, 11/15/15	USD	45		47,362
Beverage Packaging Holdings Luxembourg II SA, 8.00%, 12/15/16	EUR	54		66,563
GCL Holdings SCA, 9.38%, 4/15/18 (b)		100		122,007
Graphic Packaging International, Inc., 7.88%, 10/01/18	USD	135		150,525
Sealed Air Corp., 8.38%, 9/15/21 (b)		65		73,125
				805,414
Diversified Financial Services — 6.1%
Ally Financial, Inc.:
8.30%, 2/12/15		400		444,000
6.25%, 12/01/17		30		32,415
8.00%, 3/15/20		60		70,200
7.50%, 9/15/20		550		629,750
8.00%, 11/01/31		740		875,050
8.00%, 11/01/31		400		474,798
Bank of America Corp.:
4.50%, 4/01/15		375		398,915
6.50%, 8/01/16		410		467,559
5.63%, 10/14/16		100		111,144
5.75%, 12/01/17		240		268,343
Citigroup, Inc., 8.13%, 7/15/39		55		80,601
DPL, Inc., 7.25%, 10/15/21 (b)		425		484,500
Gala Group Finance Plc, 8.88%, 9/01/18	GBP	100		148,067
Itau Unibanco Holding SA, 5.75%, 1/22/21 (b)	USD	225		236,250
JPMorgan Chase & Co.:
5.50%, 10/15/40		175		209,801
5.60%, 7/15/41		175		214,497
Macquarie Bank Ltd., 5.00%, 2/22/17 (b)		200		208,920
Reynolds Group Issuer, Inc.:
7.75%, 10/15/16	EUR	100		129,868
7.88%, 8/15/19	USD	180		200,250
9.88%, 8/15/19		200		211,500
6.88%, 2/15/21		125		135,313
WMG Acquisition Corp.:
9.50%, 6/15/16		45		49,163
11.50%, 10/01/18		151		165,722
				6,246,626
Diversified Telecommunication Services — 2.6%
Broadview Networks Holdings, Inc., 11.38%, 9/01/12 (a)(f)		155		104,625
Level 3 Communications, Inc., 8.88%, 6/01/19 (b)		150		153,000
Level 3 Financing, Inc.:
8.13%, 7/01/19		1,310		1,372,225
8.63%, 7/15/20		188		201,160
OTE Plc, 5.00%, 8/05/13	EUR	40		43,607
Qwest Corp., 7.25%, 10/15/35	USD	200		205,010
Telefonica Emisiones SAU, 5.46%, 2/16/21		250		230,000
Telenet Finance V Luxembourg SCA:
6.25%, 8/15/22	EUR	100		126,409
6.75%, 8/15/24		100		127,667
Windstream Corp.:
8.13%, 8/01/13	USD	45		47,475
7.88%, 11/01/17		65		70,687
				2,681,865
Electric Utilities — 2.6%
Nisource Finance Corp., 3.85%, 2/15/23		400		414,592
Oncor Electric Delivery Co. LLC, 4.10%, 6/01/22		325		339,261
Progress Energy, Inc., 7.75%, 3/01/31		1,000		1,418,099
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14	EUR	400		500,755
				2,672,707

Corporate Bonds	Par (000)		Value
Electronic Equipment, Instruments & Components — 0.1%
Jabil Circuit, Inc., 8.25%, 3/15/18	USD	45	$	54,000
Energy Equipment & Services — 4.4%
Calfrac Holdings LP, 7.50%, 12/01/20 (b)		145		142,100
Compagnie Générale de Géophysique, Veritas:
7.75%, 5/15/17		55		57,475
6.50%, 6/01/21		200		208,250
Energy Transfer Partners LP, 5.20%, 2/01/22		600		660,434
Ensco Plc, 4.70%, 3/15/21		425		476,883
Forbes Energy Services Ltd., 9.00%, 6/15/19		130		126,100
Frac Tech Services LLC, 8.13%, 11/15/18 (b)		640		660,800
Key Energy Services, Inc., 6.75%, 3/01/21		160		162,800
MEG Energy Corp. (b):
6.50%, 3/15/21		330		347,325
6.38%, 1/30/23		45		46,913
Oil States International, Inc., 6.50%, 6/01/19		115		122,188
Peabody Energy Corp., 6.25%, 11/15/21 (b)		655		666,462
Precision Drilling Corp., 6.50%, 12/15/21		105		110,250
Transocean, Inc., 6.50%, 11/15/20		550		657,421
				4,445,401
Food Products — 1.1%
Darling International, Inc., 8.50%, 12/15/18		90		101,925
Kraft Foods, Inc.:
6.50%, 8/11/17		600		737,694
6.13%, 8/23/18		250		309,192
				1,148,811
Gas Utilities — 0.2%
El Paso Natural Gas Co., 8.63%, 1/15/22		145		191,410
Health Care Equipment & Supplies — 0.8%
DJO Finance LLC:
10.88%, 11/15/14		201		209,794
7.75%, 4/15/18		40		36,600
Fresenius Medical Care US Finance, Inc., 6.50%, 9/15/18 (b)		38		42,608
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (b)		410		472,012
Teleflex, Inc., 6.88%, 6/01/19		105		112,350
				873,364
Health Care Providers & Services — 6.1%
Aviv Healthcare Properties LP, 7.75%, 2/15/19		150		156,000
CHS/Community Health Systems, Inc., 5.13%, 8/15/18		100		103,125
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (b)	EUR	200		269,169
Crown Newco 3 Plc, 7.00%, 2/15/18 (b)	GBP	200		319,952
HCA, Inc.:
8.50%, 4/15/19	USD	40		45,100
6.50%, 2/15/20		730		802,087
7.88%, 2/15/20		35		39,069
7.25%, 9/15/20		805		892,041
5.88%, 3/15/22		183		194,666
Hologic, Inc., 6.25%, 8/01/20 (b)		190		201,163
IASIS Healthcare LLC, 8.38%, 5/15/19		270		257,512
INC Research LLC, 11.50%, 7/15/19 (b)		145		142,100
inVentiv Health, Inc. (b):
10.00%, 8/15/18		50		42,125
10.25%, 8/15/18		10		8,425
Omnicare, Inc., 7.75%, 6/01/20		260		286,650
Symbion, Inc., 8.00%, 6/15/16		125		126,328
Tenet Healthcare Corp.:
10.00%, 5/01/18		665		764,750
6.25%, 11/01/18		120		130,275
8.88%, 7/01/19		195		221,813
WellPoint, Inc., 5.95%, 12/15/34		1,000		1,191,989
				6,194,339


See Notes to Financial Statements.

100	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (continued)	BlackRock Strategic Bond Trust (BHD)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Health Care Technology — 0.8%
IMS Health, Inc., 12.50%, 3/01/18 (b)	USD	660	$	775,500
Hotels, Restaurants & Leisure — 2.5%
Caesars Entertainment Operating Co., Inc.:
11.25%, 6/01/17		140		150,850
10.00%, 12/15/18		996		627,480
Caesars Operating Escrow LLC, 9.00%, 2/15/20 (b)		303		301,485
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18	EUR	51		56,290
Diamond Resorts Corp., 12.00%, 8/15/18	USD	310		329,762
El Dorado Resorts LLC, 8.63%, 6/15/19 (b)		50		48,750
Gategroup Finance Luxembourg SA, 6.75%, 3/01/19	EUR	100		128,610
MGM Resorts International:
10.38%, 5/15/14	USD	750		851,250
11.13%, 11/15/17		65		72,313
Tropicana Entertainment LLC, 9.63%, 12/15/14 (a)(f)		50		—
				2,566,790
Household Durables — 1.3%
Beazer Homes USA, Inc., 6.63%, 4/15/18 (b)		145		148,263
Ryland Group, Inc., 6.63%, 5/01/20		130		137,150
Spie BondCo 3 SCA, 11.00%, 8/15/19	EUR	109		139,157
Standard Pacific Corp.:
10.75%, 9/15/16	USD	565		682,237
8.38%, 1/15/21		200		223,000
				1,329,807
Household Products — 0.1%
Ontex IV SA, 7.50%, 4/15/18 (b)	EUR	100		127,667
Independent Power Producers & Energy Traders — 2.5%
The AES Corp., 7.38%, 7/01/21	USD	95		108,775
Calpine Corp. (b):
7.25%, 10/15/17		80		85,600
7.50%, 2/15/21		80		88,800
7.88%, 1/15/23		70		79,100
Energy Future Holdings Corp., 10.00%, 1/15/20		945		1,041,862
Energy Future Intermediate Holding Co. LLC, 10.00%, 12/01/20		450		505,125
Exelon Generation Co. LLC, 4.25%, 6/15/22 (b)		357		371,124
Laredo Petroleum, Inc.:
9.50%, 2/15/19		115		130,525
7.38%, 5/01/22		50		53,750
QEP Resources, Inc., 5.38%, 10/01/22		75		76,875
				2,541,536
Industrial Conglomerates — 1.9%
The ADT Corp. (b):
3.50%, 7/15/22		300		311,616
4.88%, 7/15/42		200		217,551
Sequa Corp. (b):
11.75%, 12/01/15		460		483,000
13.50%, 12/01/15		854		905,514
				1,917,681
Insurance — 3.3%
American International Group, Inc., 6.40%, 12/15/20		1,130		1,342,859
CNO Financial Group, Inc., 9.00%, 1/15/18 (b)		130		142,187
Genworth Financial, Inc., 7.63%, 9/24/21		150		153,270
Lincoln National Corp., 8.75%, 7/01/19		575		744,045
MetLife Capital Trust X, 9.25%, 4/08/68 (b)		150		191,250
Metropolitan Life Global Funding I, 5.13%, 6/10/14 (b)		250		268,740
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b)		90		80,550
Prudential Financial, Inc., 5.38%, 6/21/20		400		462,184
				3,385,085

Corporate Bonds	Par (000)		Value
IT Services — 2.3%
Ceridian Corp., 8.88%, 7/15/19 (b)	USD	370	$	396,825
First Data Corp.:
7.38%, 6/15/19 (b)		481		496,633
8.88%, 8/15/20 (b)		195		212,550
8.25%, 1/15/21 (b)		145		143,731
12.63%, 1/15/21		525		531,562
SunGard Data Systems, Inc.:
7.38%, 11/15/18		280		297,500
7.63%, 11/15/20		220		235,950
				2,314,751
Machinery — 0.8%
SPX Corp., 6.88%, 9/01/17		65		72,150
UR Financing Escrow Corp. (b):
5.75%, 7/15/18		50		52,875
7.38%, 5/15/20		125		132,500
7.63%, 4/15/22		550		594,000
				851,525
Media — 14.6%
Affinion Group, Inc., 7.88%, 12/15/18		290		207,350
AMC Networks, Inc., 7.75%, 7/15/21		80		90,600
CCH II LLC, 13.50%, 11/30/16		289		316,925
CCO Holdings LLC:
6.50%, 4/30/21		520		557,700
5.25%, 9/30/22		203		200,970
Checkout Holding Corp., 16.03%, 11/15/15 (b)(d)		245		149,450
Cinemark USA, Inc., 8.63%, 6/15/19		60		67,200
Clear Channel Communications, Inc., 9.00%, 3/01/21		276		236,670
Clear Channel Worldwide Holdings, Inc.:
Series A, 9.25%, 12/15/17		374		404,855
Series B, 9.25%, 12/15/17		1,899		2,062,789
DIRECTV Holdings LLC:
3.80%, 3/15/22		250		258,241
6.00%, 8/15/40		175		197,832
DISH DBS Corp., 7.00%, 10/01/13		201		212,306
Intelsat Jackson Holdings SA, 7.25%, 10/15/20 (b)		184		198,260
Intelsat Luxembourg SA:
11.25%, 2/04/17		440		462,000
11.50%, 2/04/17 (c)		480		504,000
Interactive Data Corp., 10.25%, 8/01/18		340		383,350
The Interpublic Group of Cos., Inc., 10.00%, 7/15/17		45		50,287
Kabel Deutschland Vertrieb und Service GmbH & Co. KG, 6.50%, 6/29/18 (b)	EUR	125		169,410
Live Nation Entertainment, Inc., 8.13%, 5/15/18 (b)	USD	150		160,500
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (b)		243		270,945
NBC Universal Media LLC, 6.40%, 4/30/40		530		686,647
The New York Times Co., 6.63%, 12/15/16		500		542,500
News America, Inc., 6.20%, 12/15/34		825		993,774
Nielsen Finance LLC, 7.75%, 10/15/18		765		860,625
Odeon & UCI Finco Plc, 9.00%, 8/01/18 (b)	GBP	100		157,594
ProQuest LLC, 9.00%, 10/15/18 (b)	USD	130		119,275
TCI Communications, Inc., 7.88%, 2/15/26		1,000		1,404,726
Time Warner Cable, Inc., 5.88%, 11/15/40		410		486,462
Unitymedia GmbH:
9.63%, 12/01/19	EUR	50		70,673
9.63%, 12/01/19 (b)		190		268,556
9.50%, 3/15/21		150		215,320


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	101



Schedule of Investments (continued)	BlackRock Strategic Bond Trust (BHD)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Media (concluded)
Unitymedia Hessen GmbH & Co. KG:
8.13%, 12/01/17 (b)	USD	309	$	334,492
7.50%, 3/15/19	EUR	337		464,147
UPC Holding BV, 9.88%, 4/15/18 (b)	USD	100		112,250
UPCB Finance II Ltd., 6.38%, 7/01/20 (b)	EUR	292		383,805
Virgin Media Secured Finance Plc, 6.50%, 1/15/18	USD	200		218,000
Ziggo Bond Co. BV, 8.00%, 5/15/18 (b)	EUR	165		227,772
Ziggo Finance BV, 6.13%, 11/15/17 (b)		88		118,158
				14,826,416
Metals & Mining — 3.4%
Barrick Gold Corp., 2.90%, 5/30/16	USD	225		236,794
Barrick North America Finance LLC, 5.70%, 5/30/41		250		287,564
Eco-Bat Finance Plc, 7.75%, 2/15/17	EUR	100		127,038
FMG Resources August 2006 Property Ltd. (b):
6.88%, 2/01/18	USD	15		14,288
6.88%, 4/01/22		20		18,400
Goldcorp, Inc., 2.00%, 8/01/14 (e)		220		253,550
New Gold, Inc., 7.00%, 4/15/20 (b)		30		31,575
New World Resources NV:
7.88%, 5/01/18	EUR	65		81,348
7.88%, 5/01/18 (b)		76		95,115
Newmont Mining Corp.:
5.13%, 10/01/19	USD	225		257,375
Series A, 1.25%, 7/15/14 (e)		200		254,250
Novelis, Inc., 8.75%, 12/15/20		1,195		1,335,412
Schmolz + Bickenbach Luxembourg SA, 9.88%, 5/15/19	EUR	115		116,802
Taseko Mines Ltd., 7.75%, 4/15/19	USD	150		142,875
Vedanta Resources Plc, 8.25%, 6/07/21 (b)		200		191,000
				3,443,386
Oil, Gas & Consumable Fuels — 10.7%
Access Midstream Partners LP, 6.13%, 7/15/22		100		103,750
Alpha Natural Resources, Inc.:
6.00%, 6/01/19		20		18,000
6.25%, 6/01/21		30		26,850
Anadarko Petroleum Corp.:
5.95%, 9/15/16		365		422,080
6.38%, 9/15/17		75		89,676
6.95%, 6/15/19		150		186,780
Berry Petroleum Co., 6.38%, 9/15/22		90		95,850
Chesapeake Energy Corp.:
7.25%, 12/15/18		10		10,475
6.63%, 8/15/20		90		92,475
6.13%, 2/15/21		95		94,288
Coffeyville Resources LLC, 9.00%, 4/01/15 (b)		44		46,860
Concho Resources, Inc.:
7.00%, 1/15/21		80		89,200
6.50%, 1/15/22		50		54,000
CONSOL Energy, Inc., 8.25%, 4/01/20		710		765,025
Continental Resources, Inc.:
7.13%, 4/01/21		135		151,200
5.00%, 9/15/22		145		151,525
Copano Energy LLC, 7.13%, 4/01/21		105		109,725
Crosstex Energy LP, 8.88%, 2/15/18		65		69,388
Denbury Resources, Inc., 8.25%, 2/15/20		19		21,565
El Paso Pipeline Partners Operating Co. LLC, 5.00%, 10/01/21		500		546,102
Energy XXI Gulf Coast, Inc.:
9.25%, 12/15/17		145		161,675
7.75%, 6/15/19		320		340,000
Enterprise Products Operating LLC, 3.70%, 6/01/15		500		533,777
EP Energy LLC/EP Energy Finance, Inc., 6.88%, 5/01/19 (b)		60		64,350
EV Energy Partners LP, 8.00%, 4/15/19		55		56,788
Hilcorp Energy I LP, 7.63%, 4/15/21 (b)		195		214,500

Corporate Bonds	Par (000)		Value
Oil, Gas & Consumable Fuels (concluded)
Kinder Morgan Energy Partners LP, 3.95%, 9/01/22	USD	475	$	504,122
Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (b)		100		106,250
Linn Energy LLC:
6.50%, 5/15/19 (b)		35		34,825
6.25%, 11/01/19 (b)		497		490,787
7.75%, 2/01/21		170		177,225
MarkWest Energy Partners LP:
6.25%, 6/15/22		30		31,875
5.50%, 2/15/23		40		40,900
Newfield Exploration Co., 5.63%, 7/01/24		85		92,225
Nexen, Inc., 6.40%, 5/15/37		150		187,020
Oasis Petroleum, Inc.:
7.25%, 2/01/19		90		94,950
6.50%, 11/01/21		110		112,200
Offshore Group Investments Ltd., 11.50%, 8/01/15 (b)		90		99,450
OGX Petroleo e Gas Participações SA, 8.50%, 6/01/18 (b)		1,105		980,687
Petrobras International Finance Co.:
3.88%, 1/27/16		1,100		1,154,873
5.88%, 3/01/18		200		226,336
7.88%, 3/15/19		100		123,992
6.88%, 1/20/40		25		31,174
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (b)		210		224,175
Pioneer Natural Resources Co.:
6.88%, 5/01/18		35		42,374
7.50%, 1/15/20		55		68,787
Range Resources Corp.:
8.00%, 5/15/19		45		49,725
5.75%, 6/01/21		350		372,313
Sabine Pass Liquified Natural Gas LP, 7.50%, 11/30/16		235		251,450
Samson Investment Co., 9.75%, 2/15/20 (b)		7		7,210
SandRidge Energy, Inc.:
7.50%, 3/15/21 (b)		65		65,813
7.50%, 3/15/21		90		91,125
8.13%, 10/15/22 (b)		45		47,025
7.50%, 2/15/23 (b)		55		55,275
SM Energy Co., 6.63%, 2/15/19		45		47,025
Western Gas Partners LP, 5.38%, 6/01/21		325		360,955
The Williams Cos., Inc., 8.75%, 3/15/32		124		170,627
				10,858,674
Paper & Forest Products — 1.5%
Boise Paper Holdings LLC:
9.00%, 11/01/17		45		49,838
8.00%, 4/01/20		50		55,250
Clearwater Paper Corp.:
10.63%, 6/15/16		160		178,800
7.13%, 11/01/18		215		234,888
International Paper Co.:
7.95%, 6/15/18		220		283,871
7.30%, 11/15/39		5		6,638
Longview Fibre Paper & Packaging, Inc., 8.00%, 6/01/16 (b)		120		124,200
NewPage Corp., 11.38%, 12/31/14 (a)(f)		845		572,487
Sappi Papier Holding GmbH, 6.63%, 4/15/21 (b)		50		46,250
				1,552,222


See Notes to Financial Statements.

102	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (continued)	BlackRock Strategic Bond Trust (BHD)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Corporate Bonds	Par (000)		Value
Pharmaceuticals — 1.5%
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (b)	EUR	100	$	140,559
Pharmaceutical Product Development, Inc., 9.50%, 12/01/19 (b)	USD	125		139,375
Valeant Pharmaceuticals International, 6.50%, 7/15/16 (b)		470		495,850
Wyeth LLC, 6.50%, 2/01/34		500		713,472
				1,489,256
Professional Services — 0.3%
FTI Consulting, Inc., 6.75%, 10/01/20		265		282,888
Real Estate Investment Trusts (REITs) — 0.8%
Felcor Lodging LP, 6.75%, 6/01/19		345		370,012
HCP, Inc., 5.38%, 2/01/21		225		257,554
The Rouse Co. LP, 6.75%, 11/09/15		145		152,794
				780,360
Real Estate Management & Development — 1.8%
CBRE Services, Inc., 6.63%, 10/15/20		90		98,325
Realogy Corp.:
11.50%, 4/15/17		110		116,875
12.00%, 4/15/17		35		36,663
7.88%, 2/15/19 (b)		951		979,530
7.63%, 1/15/20 (b)		130		141,700
Shea Homes LP, 8.63%, 5/15/19		445		495,062
				1,868,155
Road & Rail — 1.4%
Canadian National Railway Co., 6.90%, 7/15/28		500		701,980
The Hertz Corp.:
7.50%, 10/15/18		285		307,444
7.38%, 1/15/21		360		391,500
				1,400,924
Software — 1.1%
Infor US, Inc., 9.38%, 4/01/19 (b)		630		681,975
Nuance Communications, Inc., 5.38%, 8/15/20 (b)		210		214,725
Oracle Corp., 5.38%, 7/15/40		210		269,223
				1,165,923
Specialty Retail — 1.5%
Asbury Automotive Group, Inc., 8.38%, 11/15/20		130		143,650
Claire’s Stores, Inc., 9.00%, 3/15/19 (b)		85		88,188
House of Fraser Funding Plc:
8.88%, 8/15/18	GBP	125		176,400
8.88%, 8/15/18 (b)		100		141,120
Limited Brands, Inc., 8.50%, 6/15/19	USD	320		384,000
Phones4u Finance Plc, 9.50%, 4/01/18 (b)	GBP	100		153,228
QVC, Inc. (b):
7.13%, 4/15/17	USD	80		84,618
7.50%, 10/01/19		135		149,582
7.38%, 10/15/20		95		105,856
Sonic Automotive, Inc., 9.00%, 3/15/18		115		125,637
				1,552,279
Tobacco — 0.1%
Altria Group, Inc., 9.95%, 11/10/38		50		85,392
Wireless Telecommunication Services — 6.0%
America Movil SAB de CV:
2.38%, 9/08/16		200		207,681
5.00%, 3/30/20		400		464,893
American Tower Corp.:
4.50%, 1/15/18		375		410,295
4.70%, 3/15/22		380		411,156
Cricket Communications, Inc., 7.75%, 5/15/16		480		506,400
Crown Castle Towers LLC, 6.11%, 1/15/20 (b)		375		443,509

Corporate Bonds	Par (000)		Value
Wireless Telecommunication Services (concluded)
Digicel Group Ltd. (b):
9.13%, 1/15/15	USD	439	$	443,390
8.25%, 9/01/17		365		386,900
10.50%, 4/15/18		90		97,200
SBA Tower Trust, 4.25%, 4/15/40 (b)		325		342,614
Sprint Capital Corp., 6.88%, 11/15/28		830		751,150
Sprint Nextel Corp. (b):
9.00%, 11/15/18		880		1,038,400
7.00%, 3/01/20		560		613,200
				6,116,788
Total Corporate Bonds — 99.9%				101,578,311



Floating Rate Loan Interests (g)
Airlines — 0.2%
Delta Air Lines, Inc., Term Loan B, 5.50%, 4/20/17		163		163,947
Auto Components — 0.1%
Schaeffler AG, Term Loan C2, 6.00%, 1/27/17		145		145,423
Building Products — 0.2%
Goodman Global, Inc., Term Loan (Second Lien), 9.00%, 10/30/17		191		193,416
Capital Markets — 0.3%
American Capital Holdings, Term Loan, 5.50%, 7/19/16		298		299,118
Chemicals — 0.5%
Evergreen Acqco 1 LP, Term Loan B, 6.25%, 7/09/19		60		60,563
INEOS US Finance LLC, 6 Year Term Loan, 6.50%, 5/04/18		419		419,561
				480,124
Commercial Services & Supplies — 0.7%
AWAS Finance Luxembourg Sarl, Term Loan B, 5.25%, 6/10/16		145		144,766
Delos Aircraft, Inc., Term Loan B2, 4.75%, 4/12/16		225		227,250
Volume Services America, Inc., Term Loan B, 10.50% – 10.75%, 9/16/16		354		353,700
				725,716
Communications Equipment — 0.8%
Zayo Group, LLC, Term Loan B, 7.13%, 7/02/19		755		766,091
Construction & Engineering — 0.7%
Safway Services LLC, Mezzanine Loan, 15.63%, 12/16/17		750		750,000
Construction Materials — 0.4%
HD Supply, Inc., Senior Debt B, 7.25%, 10/12/17		410		418,885
Consumer Finance — 1.7%
Springleaf Financial Funding Co. (FKA AGFS Funding Co.), Term Loan, 5.50%, 5/10/17		1,750		1,690,063
Diversified Consumer Services — 0.5%
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18		488		475,578
ServiceMaster Co.:
Delayed Draw Term Loan, 2.74%, 7/24/14		3		3,104
Term Loan, 2.75% – 2.97%, 7/24/14		31		31,172
				509,854
Diversified Financial Services — 0.5%
Residential Capital LLC:
DIP Term Loan A1, 5.00%, 11/18/13		455		456,137
DIP Term Loan A2, 6.75%, 11/18/13		65		65,759
				521,896


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	103



Schedule of Investments (continued)	BlackRock Strategic Bond Trust (BHD)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Floating Rate Loan Interests (g)	Par (000)		Value
Diversified Telecommunication Services — 0.6%
Level 3 Financing, Inc.:
2016 Term Loan B, 4.75%, 2/01/16	USD	135	$	135,270
2019 Term Loan B, 5.25%, 8/01/19		110		110,161
Term Loan B3, 5.75%, 8/31/18		350		350,924
				596,355
Energy Equipment & Services — 2.0%
Dynegy Midwest Generation LLC, Coal Co. Term Loan, 9.25%, 8/04/16		701		727,521
Dynegy Power LLC, Gas Co. Term Loan, 9.25%, 8/04/16		1,284		1,343,694
				2,071,215
Food Products — 0.3%
Advance Pierre Foods, Inc., Term Loan (Second Lien), 11.25%, 9/29/17		300		301,800
Health Care Equipment & Supplies — 0.5%
Bausch & Lomb, Inc., Term Loan B, 5.25%, 5/17/19		135		135,450
Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19		279		280,347
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18		105		105,787
				521,584
Health Care Providers & Services — 0.5%
Harden Healthcare LLC:
Add on Term Loan A, 7.75%, 3/02/15		148		143,051
Term Loan A, 8.50%, 3/02/15		147		144,003
inVentiv Health, Inc., Combined Term Loan, 6.50%, 8/04/16		200		185,701
				472,755
Hotels, Restaurants & Leisure — 1.1%
Caesars Entertainment Operating Co., Inc.:
Extended Term Loan B6, 5.49%, 1/26/18		75		65,930
Incremental Term Loan B4, 9.50%, 10/31/16		80		81,161
Term Loan B1, 3.24%, 1/28/15		144		136,477
Term Loan B2, 3.24%, 1/28/15		159		151,101
Term Loan B3, 3.24% – 3.46%, 1/28/15		349		330,496
OSI Restaurant Partners LLC:
Revolver, 2.49% – 2.56%, 6/14/13		4		3,563
Term Loan B, 2.56%, 6/14/14		36		35,914
Station Casinos, Inc., Term Loan B1, 3.23%, 6/17/16		310		294,518
				1,099,160
Industrial Conglomerates — 0.1%
Sequa Corp., Incremental Term Loan, 6.25%, 12/03/14		64		64,599
IT Services — 0.3%
First Data Corp., Extended 2018 Term Loan B, 4.24%, 3/23/18		285		269,088
Leisure Equipment & Products — 0.2%
Eastman Kodak Co., DIP Term Loan B, 8.50%, 7/19/13		240		237,827
Machinery — 0.5%
Navistar International Corp., Term Loan B, 7.00%, 8/17/17		240		241,582
Rexnord Corp., Term Loan B, 5.00%, 4/02/18		214		214,766
				456,348

Floating Rate Loan Interests (g)	Par (000)		Value
Media — 4.1%
Affinion Group, Inc., Term Loan B, 5.00%, 7/15/15	USD	20	$	16,835
Cengage Learning Acquisitions, Inc.:
Non-Extended Term Loan, 2.49%, 7/03/14		40		36,633
Tranche 1 Incremental, 7.50%, 7/03/14		480		462,000
Clear Channel Communications, Inc.:
Term Loan B, 3.88%, 1/28/16		541		419,253
Term Loan C, 3.88%, 1/28/16		54		41,178
EMI Music Publishing Ltd., Term Loan B, 5.50%, 6/29/18		105		105,709
Intelsat Jackson Holdings SA, Tranche B Term Loan, 5.25%, 4/02/18		2,379		2,386,709
Interactive Data Corp., Term Loan B, 4.50%, 2/12/18		150		149,840
Newsday LLC, Fixed Rate Term Loan, 10.50%, 8/01/13		550		552,981
				4,171,138
Metals & Mining — 0.1%
Constellium Holdco BV, Term Loan B, 9.25%, 5/25/18		150		147,000
Oil, Gas & Consumable Fuels — 0.5%
Chesapeake Energy Corp., Unsecured Term Loan, 8.50%, 12/01/17		120		120,258
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15		374		373,794
				494,052
Paper & Forest Products — 0.2%
NewPage Corp., DIP Term Loan, 8.00%, 3/07/13		250		252,345
Pharmaceuticals — 0.1%
Pharmaceutical Product Development, Inc., Term Loan B, 6.25%, 12/05/18		109		110,570
Professional Services — 0.1%
Truven Health Analytics, Term Loan B, 6.75%, 6/06/19		135		135,956
Real Estate Investment Trusts (REITs) — 0.3%
iStar Financial, Inc., Term Loan A1, 5.00%, 6/28/13		289		289,679
Real Estate Management & Development — 0.5%
Realogy Corp.:
Extended Letter of Credit Loan, 4.50%, 10/10/16		60		58,017
Extended Term Loan, 4.49%, 10/10/16		426		411,008
Stockbridge SBE Holdings LLC, Term Loan B, 13.00%, 5/02/17		65		64,675
				533,700
Software — 0.4%
Infor US, Inc. (FKA Lawson Software, Inc.), Term Loan B, 6.25%, 4/05/18		444		448,451
Specialty Retail — 0.1%
Claire’s Stores, Inc., Term Loan B, 2.98% – 3.20%, 5/29/14		142		139,792
Textiles, Apparel & Luxury Goods — 0.4%
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18		404		400,283
Wireless Telecommunication Services — 1.3%
Crown Castle International Corp., Term Loan B, 4.00%, 1/31/19		20		19,738
Vodafone Americas Finance 2, Inc. (c):
Term Loan, 6.88%, 8/11/15		831		863,872
Term Loan B, 6.25%, 7/11/16		413		420,750
				1,304,360
Total Floating Rate Loan Interests — 20.8%				21,182,590


See Notes to Financial Statements.

104	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (continued)	BlackRock Strategic Bond Trust (BHD)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Foreign Agency Obligations — 0.2%	Par (000)		Value
Qatar Government International Bond, 4.00%, 1/20/15 (b)	USD	200	$	211,500


Other Interests — 0.0% (h)	Beneficial Interest (000)
Adelphia Communications Corp., Class A		400		3,200


Preferred Securities

Capital Trusts	Par (000)
Capital Markets — 0.1%
State Street Capital Trust IV, 1.39%, 6/01/67 (g)		200		142,865
Insurance — 0.5%
Genworth Financial, Inc., 6.15%, 11/15/66 (g)		305		183,000
XL Group Plc, Series E, 6.50% (g)(i)		338		308,003
				491,003
Total Capital Trusts — 0.6%				633,868


Preferred Stocks
Diversified Financial Services — 0.9%
Ally Financial, Inc., 7.00% (b)		1,030		937,912
Real Estate Investment Trusts (REITs) — 0.1%
MPG Office Trust, Inc., Series A, 7.63% (a)		3,277		75,305
Total Preferred Stocks — 1.0%				1,013,217


Trust Preferreds — 0.2%
Diversified Financial Services — 0.2%
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (g)		6,840		169,036
Total Preferred Securities — 1.8%				1,816,121


Taxable Municipal Bonds — 0.4%
Metropolitan Transportation Authority, RB, Build America Bonds, Series TR, 6.81%, 11/15/40		300		408,474


US Government Sponsored Agency Securities — 0.2%
Collateralized Mortgage Obligations — 0.2%
Ginnie Mae Mortgage-Backed Securities, Series 2006-68, Class B, 5.16%, 6/16/31 (g)		236		240,216

US Treasury Obligations	Par (000)		Value
US Treasury Bonds, 3.00%, 5/15/42	USD	700	$	747,578
US Treasury Notes:
2.00%, 2/15/22		70		73,216
1.75%, 5/15/22		200		204,062
Total US Treasury Obligations — 1.0%				1,024,856


Warrants (j)	Shares
Software — 0.0%
Bankruptcy Management Solutions, Inc. (Expires 9/28/17)		56		—
Total Warrants — 0.0%				—
Total Long-Term Investments (Cost — $120,547,836) — 126.0%				128,160,786


Options Purchased	Contracts
Over-the-Counter Call Options — 0.0%
Marsico Parent Superholdco LLC, Strike Price USD 942.86, Expires 12/14/19, Broker Goldman Sachs Group, Inc.		6		—

	Notional Amount (000)
Over-the-Counter Interest Rate Call Swaptions — 0.1%
Receive a fixed rate of 2.36% and pay a floating rate based on 3-month LIBOR, Expires 10/17/12, Broker Barclays Plc	USD	100		1,503
Receive a fixed rate of 2.40% and pay a floating rate based on 3-month LIBOR, Expires 11/20/12, Broker Citigroup, Inc.		1,100		28,202
Receive a fixed rate of 0.71% and pay a floating rate based on 3-month LIBOR, Expires 7/01/13, Broker Credit Suisse Group AG		4,525		26,998
Receive a fixed rate of 1.16% and pay a floating rate based on 3-month LIBOR, Expires 7/11/13, Broker Citigroup, Inc.		1,700		23,806
				80,509
Over-the-Counter Interest Rate Put Swaptions — 0.0%
Pay a fixed rate of 2.80% and receive a floating rate based on 3-month LIBOR, Expires 10/17/12, Broker Barclays Plc		100		620
Pay a fixed rate of 0.71% and receive a floating rate based on 3-month LIBOR, Expires 7/01/13, Broker Credit Suisse Group AG		4,525		6,144
Pay a fixed rate of 1.16% and receive a floating rate based on 3-month LIBOR, Expires 7/11/13, Broker Citigroup, Inc.		1,700		15,158
Pay a fixed rate of 4.50% and receive a floating rate based on 6-month EURIBOR, Expires 9/16/13, Broker Credit Suisse Group AG	EUR	600		1,625
Pay a fixed rate of 4.50% and receive a floating rate based on 3-month LIBOR, Expires 2/02/17, Broker Deutsche Bank AG	USD	1,000		25,174
				48,721
Total Options Purchased (Cost — $150,733) — 0.1%				129,230
Total Investments Before Options Written (Cost — $120,698,569) — 126.1%				128,290,016


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	105



Schedule of Investments (continued)	BlackRock Strategic Bond Trust (BHD)
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)


Options Written	Notional Amount (000)		Value
Over-the-Counter Interest Rate Call Swaptions — (0.0)%
Pay a fixed rate of 1.40% and receive a floating rate based on 3-month LIBOR, Expires 5/08/14, Broker Citigroup, Inc.	USD	600	$	(10,670	)
Pay a fixed rate of 1.00% and receive a floating rate based on 3-month LIBOR, Expires 7/11/14, Broker Credit Suisse Group AG		1,700		(12,962	)
				(23,632	)
Over-the-Counter Interest Rate Put Swaptions — (0.1)%
Receive a fixed rate of 2.40% and pay a floating rate based on 3-month LIBOR, Expires 5/08/14, Broker Citigroup, Inc.		600		(3,690	)
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, Expires 7/11/14, Broker Credit Suisse Group AG		1,700		(18,936	)
Receive a fixed rate of 6.00% and pay a floating rate based on 3-month LIBOR, Expires 2/02/17, Broker Deutsche Bank AG		2,000		(24,372	)
				(46,998	)
Total Options Written (Premiums Received — $87,070) — (0.1)%				(70,630	)
Total Investments, Net of Options Written — 126.0%				128,219,386
Liabilities in Excess of Other Assets — (26.0)%				(26,494,899	)
Net Assets — 100.0%			$	101,724,487



(a)	Non-income producing security.

(b)	Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

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

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

(e)	Convertible security.

(f)	Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

(g)	Variable rate security. Rate shown is as of report date.

(h)	Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

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

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

•	Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2012, for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:


Affiliate	Shares Held at August 31, 2011		Net Activity		Shares Held at August 31, 2012		Income
BlackRock Liquidity Funds, TempFund, Institutional Class		891,719		(891,719)		—		$ 612


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

•	Financial futures contracts purchased as of August 31, 2012 were as follows:

Contracts

Issue

Exchange

Expiration

Notional
Value

Unrealized
Appreciation

2-Year US
Treasury Note

Chicago
Board of Trade

December
2012

USD

14,558,156

13,633

5-Year US
Treasury Note

Chicago
Board of Trade

December
2012

USD

3,615,258

18,563

Ultra Long US
Treasury Bond

Chicago
Board of Trade

December
2012

USD

1,352,000

15,172

Total

47,368


•	Financial futures contracts sold as of August 31, 2012 were as follows:


Contracts	Issue	Exchange	Expiration	Notional Value		Unrealized Depreciation
29	10-Year US Treasury Note	Chicago Board of Trade	December 2012	USD	3,877,844	$	(30,343	)
30	30-Year US Treasury Bond	Chicago Board of Trade	December 2012	USD	4,542,187		(49,788	)
Total						$	(80,131	)


•	Foreign currency exchange contracts as of August 31, 2012 were as follows:


Currency Purchased		Currency Sold		Counterparty	Settlement Date	Unrealized Appreciation (Depreciation)
USD	1,294,697	GBP	834,000	UBS AG	10/17/12	$	(29,376	)
USD	117,809	GBP	75,000	UBS AG	10/17/12		(1,262	)
EUR	165,000	USD	204,471	Citigroup, Inc.	10/22/12		3,173
EUR	169,000	USD	206,923	Citigroup, Inc.	10/22/12		5,755
EUR	123,000	USD	151,958	UBS AG	10/22/12		2,831
USD	155,305	EUR	125,000	Citigroup, Inc.	10/22/12		(2,001	)
USD	5,303,064	EUR	4,320,000	UBS AG	10/22/12		(133,434	)
USD	246,900	EUR	200,000	UBS AG	10/22/12		(4,790	)
USD	154,428	EUR	125,000	UBS AG	10/22/12		(2,878	)
USD	31,960	EUR	26,000	UBS AG	10/22/12		(760	)
Total						$	(162,742	)


•	Credit default swaps on single-name issues — buy protection outstanding as of August 31, 2012 were as follows:

Issuer

Pay
Fixed
Rate

Counterparty

Expiration
Date

Notional
Amount
(000)

Unrealized
Appreciation
(Depreciation)

Republic of
Hungary

1.00%

Deutsche
Bank AG

12/20/15

USD 110

2,001

The New York
Times Co.

1.00%

Barclays Plc

12/20/16

USD 500

(1,467

)

Total

534


See Notes to Financial Statements.

106	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (continued)	BlackRock Strategic Bond Trust (BHD)


•	Credit default swaps on single-name issues — sold protection outstanding as of August 31, 2012 were as follows:

Issuer

Receive
Fixed
Rate

Counterparty

Expiration
Date

Issuer
Credit
Rating¹

Notional
Amount
(000)²

Unrealized
Appreciation

MetLife, Inc.

5.00%

Deutsche
Bank AG

6/20/15

A–

USD 150

7,535

MetLife, Inc.

1.00%

UBS AG

9/20/15

A–

USD 175

3,686

ARAMARK Corp.

5.00%

Goldman
Sachs & Co.

6/20/16

USD 150

12,669

ARAMARK Corp.

5.00%

Goldman
Sachs & Co.

6/20/16

USD 150

13,500

ARAMARK Corp.

5.00%

JPMorgan
Chase & Co.

6/20/16

USD 50

4,391

ARAMARK Corp.

5.00%

JPMorgan
Chase & Co.

6/20/16

USD 100

8,782

ARAMARK Corp.

5.00%

Goldman
Sachs & Co.

9/20/16

USD 150

13,143

Total

63,706


	¹	Using S&P’s rating.

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


•	Interest rate swaps outstanding as of August 31, 2012 were as follows:

Fixed
Rate

Floating
Rate

Counterparty/
Exchange

Expiration
Date

Notional
Amount
(000)

Unrealized
Appreciation
(Depreciation)

0.44%³

3-month
LIBOR

Chicago
Mercantile

8/29/14

USD

2,900

(2,261

)

0.44%³

3-month
LIBOR

Chicago
Mercantile

8/30/14

USD

2,900

(2,187

)

2.48%³

3-month
LIBOR

Credit Suisse
Group AG

7/05/42

USD

500

(469

)

2.26%³

3-month
LIBOR

Goldman Sachs
Group, Inc.

7/26/42

USD

200

9,689

2.46%³

3-month
LIBOR

Deutsche
Bank AG

8/07/42

USD

500

1,532

2.51%³

3-month
LIBOR

Credit Suisse
Group AG

8/10/42

USD

300

(1,760

)

2.71%³

3-month
LIBOR

Credit Suisse
Group AG

8/21/42

USD

100

(4,952

)

2.69%³

3-month
LIBOR

Citigroup, Inc.

8/22/42

USD

100

(4,623

)

Total

(5,031

)


	³	Trust pays the fixed rate and receives the floating rate.


•	Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

	•	Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

	•	Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

	•	Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

	Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements. The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2012:


	Level 1			Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Common Stocks	$	1,695,517			—		$	1	$	1,695,518
Corporate Bonds		—		$	101,578,311			—		101,578,311
Floating Rate Loan Interests		—			16,969,977			4,212,613		21,182,590
Foreign Agency Obligations		—			211,500			—		211,500
Other Interest		—			3,200			—		3,200
Preferred Securities		244,341			1,571,780			—		1,816,121
Taxable Municipal Bonds		—			408,474			—		408,474
US Government Sponsored Agency Securities		—			240,216			—		240,216
US Treasury Obligations		—			1,024,856			—		1,024,856
Total	$	1,939,858		$	122,008,314		$	4,212,614	$	128,160,786

	Level 1			Level 2			Level 3		Total
Derivative Financial Instruments⁴
Assets:
Credit contracts		—		$	65,707			—	$	65,707
Foreign currency exchange contracts.		—			11,759			—		11,759
Interest rate contracts	$	47,368			140,451			—		187,819
Liabilities:
Credit contracts		—			(1,467	)		—		(1,467	)
Foreign currency exchange contracts		—			(174,501	)		—		(174,501	)
Interest rate contracts		(80,131	)		(86,882	)		—		(167,013	)
Total	$	(32,763	)	$	(44,933	)		—	$	(77,696	)

⁴

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


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	107



Schedule of Investments (continued)	BlackRock Strategic Bond Trust (BHD)


	Level 1		Level 2			Level 3		Total
Assets:
Foreign currency at value	$	323,966		—			—	$	323,966
Cash		1,569,975		—			—		1,569,975
Cash pledged as collateral for financial futures contracts		98,660		—			—		98,660
Cash pledged as collateral for swaps		30,000		—			—		30,000
Liabilities:
Loan payable		—	$	(30,000,000	)		—		(30,000,000	)
Total	$	2,022,601	$	(30,000,000	)		—	$	(27,977,399	)

Prior to February 29, 2012, only significant transfers between Level 1 and Level 2 were required to be disclosed. There were no significant transfers from the beginning of the period to February 29, 2012. For the interim period March 1, 2012 through August 31, 2012, all transfers between Level 1 and Level 2 are required to be disclosed. As of February 29, 2012, the Trust used observable inputs in determining the value of certain equity securities. During the year, the Trust began valuing these securities using unadjusted price quotations from an exchange. As a result, investments with a beginning of period value of $1,892,938 transferred from Level 2 to Level 1 in the disclosure hierarchy.


	Value		Valuation Techniques	Unobservable Inputs¹	Range of of Unobservable Inputs	Weighted Average Inputs²
Assets:
Floating Rate Loan Interests	$	1,037,054	Market Comparable Companies	Yield	9.65%	9.65%
			Cost	N/A³	—	—
Total⁴	$	1,037,054


¹	A change to the unobservable input may result in a significant change to the value of the investment as follows:


Unobservable Input	Impact to Value if Input Increases	Impact to Value if Input Decreases
Yield	Decrease	Increase

	²	Unobservable inputs are weighted based on the value of the investments included in the range.

	³	The Trust fair values certain of its Level 3 investments using prior transaction prices (acquisition cost), although the transaction may not have occurred during the current reporting period. In such cases, these investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Trust.

	⁴	Does not include Level 3 investments with values derived utilizing prices from recent prior transactions or third party pricing information without adjustment for which such inputs are unobservable. See above valuation input table for values of such Level 3 investments. A significant change in third party pricing information could result in a significantly lower or higher value in such Level 3 investments.


See Notes to Financial Statements.

108	ANNUAL REPORT	AUGUST 31, 2012



Schedule of Investments (concluded)	BlackRock Strategic Bond Trust (BHD)


	Common Stocks		Corporate Bonds			Floating Rate Loans			Other Interests			Preferred Securities			Warrants			Total
Assets:
Opening balance, as of August 31, 2011		—	$	38,005		$	3,592,743		$	95		$	79,288		$	60,209		$	3,770,340
Transfers into Level 3¹	$	1		—			341,818			—			—			—			341,819
Transfers out of Level 3²		—		—			(567,875	)		—			—			—			(567,875	)
Accrued discounts/premiums		—		156			10,379			—			—			—			10,535
Net realized gain		—		13,618			11,300			182			93,280			—			118,380
Net change in unrealized appreciation/depreciation³		—		(11,779	)		79,045			(95	)		(79,288	)		(60,209	)		(72,326	)
Purchases		—		—			1,226,866			—			—			—			1,226,866
Sales		—		(40,000	)		(481,663	)		(182	)		(93,280	)		—			(615,125	)
Closing Balance, as of August 31, 2012	$	1		—		$	4,212,613			—			—			—		$	4,212,614


	¹	As of August 31, 2011, the Trust used observable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used significant unobservable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $341,819 transferred from Level 2 to Level 3 in the disclosure hierarchy.

	²	As of August 31, 2011, the Trust used significant unobservable inputs in determining the value of certain investments. As of August 31, 2012, the Trust used observable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $567,875 transferred from Level 3 to Level 2 in the disclosure hierarchy.

	³	Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $79,039.

The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:


	Credit Contracts
Liabilities:
Opening balance, as of August 31, 2011	$	(307	)
Transfers into Level 3⁴		—
Transfers out of Level 3⁴		—
Accrued discounts/premiums		—
Net realized gain (loss)		—
Net change in unrealized appreciation/depreciation⁵		307
Purchases		—
Issues⁶		—
Sales		—
Settlements⁷		—
Closing Balance, as of August 31, 2012		—

	⁴	Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period.

	⁵	Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $0.

	⁶	Issues represent upfront cash received on certain derivative financial instruments.

	⁷	Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	109

Statements of Assets and Liabilities


August 31, 2012	BlackRock Core Bond Trust (BHK)		BlackRock Corporate High Yield Fund V, Inc. (HYV)*		BlackRock Corporate High Yield Fund VI, Inc. (HYT)*		BlackRock High Income Shares (HIS)
Assets
Investments at value — unaffiliated¹	$	613,875,621	$	584,232,874	$	608,749,814	$	163,218,554
Investments at value — affiliated²		534,025		—		—		—
Foreign currency at value³		1,439,246		285,748		550,512		40,712
Cash		340,000		1,539,537		1,867,598		1,172,455
Cash pledged as collateral for financial futures contracts		459,000		731,000		765,000		208,000
Cash pledged as collateral for reverse repurchase agreements		1,643,000		—		—		—
Cash pledged as collateral for swaps		7,390,000		400,000		400,000		—
Investments sold receivable		314,519		1,558,106		1,481,013		172,293
Interest receivable		6,028,570		8,832,788		9,283,824		2,553,640
Unrealized appreciation on swaps		1,427,167		1,271,142		1,310,916		—
Swaps receivable		181,272		188,897		193,367		—
Swap premiums paid		372,072		380,380		389,874		—
Unrealized appreciation on foreign currency exchange contracts		17,221		44,136		56,409		5,847
Options written receivable		44,800		—		—		—
Dividends receivable		—		8,034		2,907		—
Variation margin receivable		10,830		—		—		—
Prepaid expenses		2,203		6,691		7,376		3,314
Total assets		634,079,546		599,479,333		625,058,610		167,374,815

Liabilities

Reverse repurchase agreements		182,678,820		—		—		—
Loan payable		—		175,000,000		181,000,000		42,000,000
Cash received as collateral for swaps		1,200,000		600,000		600,000		—
Cash received as collateral for reverse repurchase agreements		590,475		—		—		—
Investments purchased payable		26,166,838		4,563,945		4,763,688		1,230,320
Options written at value⁴		8,683,021		—		—		—
Unrealized depreciation on swaps		1,866,252		93,281		97,701		—
Unrealized depreciation on foreign currency exchange contracts		354,755		1,091,099		1,148,537		145,138
Swap premiums received		359,367		531,355		561,438		—
Swaps payable		257,298		81,834		87,264		—
Investment advisory fees payable		260,263		295,294		358,885		103,299
Variation margin payable		—		69,600		72,800		21,600
Interest expense payable		55,630		55,861		59,740		8,087
Officer’s and Trustees’ fees payable		45,304		90,922		93,042		10,956
Other liabilities		240,760		—		—		—
Other accrued expenses payable		184,920		305,125		260,492		110,058
Total liabilities		222,943,703		182,778,316		189,103,587		43,629,458
Net Assets	$	411,135,843	$	416,701,017	$	435,955,023	$	123,745,357
¹Investments at cost — unaffiliated	$	574,106,023	$	569,171,553	$	594,142,867	$	160,473,519
²Investments at cost — affiliated	$	534,025		—		—		—
³Foreign currency at cost	$	1,416,037	$	285,309	$	549,656	$	40,113
⁴Premiums received	$	8,732,899		—		—		—


*	Consolidated Statement of Assets and Liabilities.


See Notes to Financial Statements.

110	ANNUAL REPORT	AUGUST 31, 2012

Statements of Assets and Liabilities (concluded)


August 31, 2012	BlackRock Core Bond Trust (BHK)			BlackRock Corporate High Yield Fund V, Inc. (HYV)*			BlackRock Corporate High Yield Fund VI, Inc. (HYT)*			BlackRock High Income Shares (HIS)
Net Assets Consist of
Paid-in capital^5,6,7	$	378,738,969		$	470,538,334		$	506,124,330		$	158,451,460
Undistributed net investment income		7,384,327			7,780,357			8,725,988			2,289,115
Accumulated net realized loss		(13,829,793	)		(75,970,806	)		(92,746,584	)		(39,341,657	)
Net unrealized appreciation/depreciation		38,842,340			14,353,132			13,851,289			2,346,439
Net Assets	$	411,135,843		$	416,701,017		$	435,955,023		$	123,745,357
Net asset value per share	$	15.21		$	12.63		$	12.32		$	2.26
⁵Par value per share	$	0.001		$	0.100		$	0.100			—
⁶Shares outstanding		27,027,431			33,003,376			35,379,189			54,745,077
⁷Shares authorized		unlimited			200 million			200 million			unlimited


*	Consolidated Statement of Assets and Liabilities.


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	111

Statements of Assets and Liabilities


August 31, 2012	BlackRock High Yield Trust (BHY)		BlackRock Income Opportunity Trust, Inc. (BNA)		BlackRock Income Trust, Inc. (BKT)		BlackRock Strategic Bond Trust (BHD)
Assets
Investments at value — unaffiliated¹	$	64,039,715	$	616,657,167	$	884,548,851	$	128,290,016
Investments at value — affiliated²		1,204,968		1,343,014		2,187,808		—
Foreign currency at value³		24,065		548,136		—		323,966
Cash		—		325,000		—		1,569,975
Cash pledged as collateral for financial futures contracts		71,000		1,344,000		2,464,000		98,660
Cash pledged as collateral for reverse repurchase agreements		—		752,000		50,000		—
Cash pledged as collateral for swaps		—		7,320,000		3,300,000		30,000
TBA sale commitments receivable		—		—		128,007,914		—
Investments sold receivable		128,885		6,175		37,890,812		318,804
Interest receivable		1,004,480		6,218,544		2,931,497		1,859,414
Unrealized appreciation on swaps		109,733		1,471,012		10,808,153		76,928
Swaps receivable		14,767		191,535		854,256		9,446
Swap premiums paid		36,862		371,913		—		62,233
Unrealized appreciation on foreign currency exchange contracts		1,806		22,416		—		11,759
Options written receivable		—		44,800		—		—
Variation margin receivable		—		—		—		1,092
Prepaid expenses		983		17,047		18,646		883
Total assets		66,637,264		636,632,759		1,073,061,937		132,653,176

Liabilities
Reverse repurchase agreements		—		188,055,345		119,706,079		—
Loan payable		19,000,000		—		—		30,000,000
Cash received as collateral for swaps		—		1,200,000		4,100,000		—
Cash received as collateral for reverse repurchase agreements		—		127,000		—		—
Investments purchased payable		467,845		26,166,838		278,873,448		449,909
TBA sale commitments at value⁴		—		—		128,330,057		—
Borrowed bonds⁵		—		—		19,161,752		—
Options written at value⁶		—		8,674,269		—		70,630
Unrealized depreciation on swaps		11,189		1,881,422		11,773,298		17,719
Unrealized depreciation on foreign currency exchange contracts		52,731		303,654		—		174,501
Swap premiums received		40,060		362,366		239,519		7,731
Swaps payable		20,916		260,171		1,158,670		5,961
Investment advisory fees payable		48,532		205,038		279,712		80,266
Variation margin payable		7,200		36,766		1,087,279		14,398
Interest expense payable		4,984		55,196		32,728		1,090
Officer’s and Trustees’ fees payable		11,753		89,626		100,045		10,227
Income dividends payable		—		54,222		123,245		—
Administration fees payable		5,394		34,185		64,589		—
Other liabilities		—		879,346		—		—
Other accrued expenses payable		90,267		178,941		179,696		96,257
Total liabilities		19,760,871		228,564,385		565,210,117		30,928,689
Net Assets	$	46,876,393	$	408,068,374	$	507,851,820	$	101,724,487
¹Investments at cost — unaffiliated	$	61,524,834	$	575,150,732	$	860,024,524	$	120,698,569
²Investments at cost — affiliated	$	1,204,968	$	1,343,014	$	2,187,808		—
³Foreign currency at cost	$	23,652	$	541,509		—	$	323,690
⁴Proceeds from TBA sale commitments		—		—	$	128,007,914		—
⁵Proceeds from borrowed bonds — cost		—		—	$	18,489,219		—
⁶Premiums received		—	$	8,723,514		—	$	87,070


See Notes to Financial Statements.

112	ANNUAL REPORT	AUGUST 31, 2012

Statements of Assets and Liabilities (concluded)


August 31, 2012	BlackRock High Yield Trust (BHY)			BlackRock Income Opportunity Trust, Inc. (BNA)			BlackRock Income Trust, Inc. (BKT)		BlackRock Strategic Bond Trust (BHD)
Net Assets Consist of
Paid-in capital^7,8,9	$	58,171,175		$	402,924,496		$	478,542,248	$	98,500,895
Cost of shares held in treasury¹⁰		—			(17,377,850	)		—		—
Undistributed net investment income		177,267			5,436,734			8,050,320		810,526
Undistributed net realized gain (accumulated net realized loss)		(13,948,050	)		(23,410,788	)		535,070		(5,057,691	)
Net unrealized appreciation/depreciation		2,476,001			40,495,782			20,724,182		7,470,757
Net Assets	$	46,876,393		$	408,068,374		$	507,851,820	$	101,724,487
Net asset value per share	$	7.29		$	11.84		$	7.94	$	14.40
⁷Par value per share	$	0.001		$	0.01		$	0.01	$	0.001
⁸Shares outstanding		6,429,525			34,456,370			63,942,535		7,061,947
⁹Shares authorized		unlimited			200 million			200 million		unlimited
¹⁰Shares held in treasury		—			1,757,400			—		—


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	113

Statements of Operations


Year Ended August 31, 2012	BlackRock Core Bond Trust (BHK)			BlackRock Corporate High Yield Fund V, Inc. (HYV)¹			BlackRock Corporate High Yield Fund VI, Inc. (HYT)¹			BlackRock High Income Shares (HIS)
Investment Income
Interest	$	27,485,309		$	39,987,875		$	41,868,358		$	12,659,707
Dividends — unaffiliated		32,376			1,049,825			1,070,266			179,155
Dividends — affiliated		6,723			4,747			4,892			994
Foreign taxes withheld		—			—			—			(1,463	)
Total income		27,524,408			41,042,447			42,943,516			12,838,393

Expenses
Investment advisory		2,925,460			3,211,029			3,897,072			1,127,906
Professional		135,343			265,967			184,598			92,659
Borrowing costs²		—			370,048			397,967			118,126
Accounting services		101,734			129,713			130,214			61,370
Custodian		66,257			90,349			80,023			35,593
Transfer agent		48,629			63,229			68,455			48,261
Officer and Trustees		42,604			44,348			46,621			11,950
Printing		21,960			48,913			49,695			14,233
Registration		9,215			11,499			12,124			18,609
Miscellaneous		54,200			36,929			64,012			18,983
Total expenses excluding interest expense		3,405,402			4,272,024			4,930,781			1,547,690
Interest expense		301,470			1,326,244			1,347,964			291,095
Total expenses		3,706,872			5,598,268			6,278,745			1,838,785
Less fees waived by Manager		(45,192	)		(560	)		(605	)		(358	)
Total expenses after fees waived		3,661,680			5,597,708			6,278,140			1,838,427
Net investment income		23,862,728			35,444,739			36,665,376			10,999,966

Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments		5,920,218			(5,270,906	)		(6,310,905	)		(2,351,206	)
Financial futures contracts		2,615,703			(4,013,355	)		(4,139,883	)		(351,168	)
Foreign currency transactions		2,216,632			5,558,443			5,140,695			992,071
Option written		1,817,806			1,382,809			1,474,047			161,669
Swaps		39,402			174,098			153,327			—
Borrowed bonds		115,785			—			—			—
		12,725,546			(2,168,911	)		(3,682,719	)		(1,548,634	)
Net change in unrealized appreciation/depreciation on:
Investments		25,476,224			29,923,258			30,681,531			6,560,115
Financial futures contracts		230,875			1,527,880			1,445,117			(74,201	)
Foreign currency translations		(302,092	)		(862,166	)		(943,832	)		(104,185	)
Option written		2,569,518			429,812			434,133			—
Swaps		(3,576,515	)		1,209,400			1,243,028			—
		24,398,010			32,228,184			32,859,977			6,381,729
Total realized and unrealized gain		37,123,556			30,059,273			29,177,258			4,833,095
Net Increase in Net Assets Resulting from Operations	$	60,986,284		$	65,504,012		$	65,842,634		$	15,833,061


	¹	Consolidated Statement of Operations.

	²	See Note 6 of the Notes to Financial Statements for details of short-term borrowings.


See Notes to Financial Statements.

114	ANNUAL REPORT	AUGUST 31, 2012

Statements of Operations


Year Ended August 31, 2012	BlackRock High Yield Trust (BHY)			BlackRock Income Opportunity Trust, Inc. (BNA)			BlackRock Income Trust, Inc. (BKT)			BlackRock Strategic Bond Trust (BHD)
Investment Income
Interest	$	4,238,856		$	26,557,003		$	29,693,193		$	8,316,370
Dividends — unaffiliated		57,375			34,997			—			85,876
Dividends — affiliated		946			7,184			13,271			985
Total income		4,297,177			26,599,184			29,706,464			8,403,231

Expenses
Investment advisory		498,163			2,321,863			3,310,770			897,234
Administration		55,351			386,977			764,024			—
Professional		79,508			122,304			124,247			59,988
Borrowing costs¹		42,678			—			—			93,212
Accounting services		44,620			121,076			97,824			69,736
Custodian		25,815			58,940			44,478			24,314
Transfer agent		21,126			51,941			109,741			20,964
Officer and Trustees		5,842			53,483			61,662			10,465
Printing		13,745			16,229			27,088			12,797
Registration		9,152			11,746			21,789			9,162
Miscellaneous		4,086			39,496			46,469			13,380
Total expenses excluding interest expense		800,086			3,184,055			4,608,092			1,211,252
Interest expense		100,150			304,952			329,238			209,087
Total expenses		900,236			3,489,007			4,937,330			1,420,339
Less fees waived by Manager		(274	)		(2,194	)		(5,174	)		(317	)
Total expenses after fees waived		899,962			3,486,813			4,932,156			1,420,022
Net investment income		3,397,215			23,112,371			24,774,308			6,983,209

Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments		208,240			4,559,265			21,609,950			607,584
Financial futures contracts		8,944			2,458,482			(9,831,831	)		(279,204	)
Foreign currency transactions		137,430			1,695,796			—			900,102
Option written		2,850			2,489,977			(726,486	)		10,049
Swaps		435,717			(414,174	)		1,830,628			90,966
Borrowed bonds		—			106,583			297,676			—
Interest rate floors		—			—			440,833			—
		793,181			10,895,929			13,620,770			1,329,497
Net change in unrealized appreciation/depreciation on:
Investments		2,582,364			26,629,370			(1,310,586	)		6,044,986
Financial futures contracts		(87,001	)		(138,050	)		(4,582,177	)		(39,016	)
Foreign currency translations		(50,424	)		(251,022	)		—			(137,403	)
Option written		—			2,390,038			825,854			16,440
Swaps		(42,673	)		(3,486,766	)		(3,606,318	)		1,971
Borrowed bonds		—			—			(193,669	)		—
Interest rate floors		—			—			(132,104	)		—
		2,402,266			25,143,570			(8,999,000	)		5,886,978
Total realized and unrealized gain		3,195,447			36,039,499			4,621,770			7,216,475
Net Increase in Net Assets Resulting from Operations	$	6,592,662		$	59,151,870		$	29,396,078		$	14,199,684


	¹	See Note 6 of the Notes to Financial Statements for details of short-term borrowings.


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	115

Statements of Changes in Net Assets


	BlackRock Core Bond Trust (BHK)						BlackRock Corporate High Yield Fund V, Inc. (HYV)
	Year Ended August 31,						Year Ended August 31,
Increase (Decrease) in Net Assets:	2012			2011			2012¹			2011
Operations
Net investment income	$	23,862,728		$	22,314,162		$	35,444,739		$	35,857,110
Net realized gain (loss)		12,725,546			(647,293	)		(2,168,911	)		14,918,241
Net change in unrealized appreciation/depreciation		24,398,010			(9,184,462	)		32,228,184			(12,682,377	)
Net increase in net assets resulting from operations		60,986,284			12,482,407			65,504,012			38,092,974

Dividends to Shareholders From
Net investment income		(22,212,928	)		(23,726,515	)		(35,208,709	)		(35,008,792	)

Capital Share Transactions
Reinvestment of dividends		67,030			—			718,285			—

Net Assets
Total increase (decrease) in net assets		38,840,386			(11,244,108	)		31,013,588			3,084,182
Beginning of year		372,295,457			383,539,565			385,687,429			382,603,247
End of year	$	411,135,843		$	372,295,457		$	416,701,017		$	385,687,429
Undistributed net investment income	$	7,384,327		$	3,484,685		$	7,780,357		$	2,797,479

	BlackRock Corporate High Yield Fund VI, Inc. (HYT)						BlackRock High Income Shares (HIS)
	Year Ended August 31,						Year Ended August 31,
Increase (Decrease) in Net Assets:	2012¹			2011			2012			2011
Operations
Net investment income	$	36,665,376		$	37,473,827		$	10,999,966		$	10,833,774
Net realized gain (loss)		(3,682,719	)		14,913,681			(1,548,634	)		2,844,466
Net change in unrealized appreciation/depreciation		32,859,977			(13,209,144	)		6,381,729			(3,103,981	)
Net increase in net assets resulting from operations		65,842,634			39,178,364			15,833,061			10,574,259

Dividends to Shareholders From
Net investment income		(36,599,844	)		(35,241,068	)		(11,172,280	)		(11,407,404	)

Capital Share Transactions
Refund of offering costs previously charged to paid-in capital		8,495			—			2,126			—
Reinvestment of dividends		1,006,632			—			273,904			—
Net increase in net assets resulting from capital share transactions		1,015,127			—			276,030			—

Net Assets
Total increase (decrease) in net assets		30,257,917			3,937,296			4,936,811			(833,145	)
Beginning of year		405,697,106			401,759,810			118,808,546			119,641,691
End of year	$	435,955,023		$	405,697,106		$	123,745,357		$	118,808,546
Undistributed net investment income	$	8,725,988		$	4,335,509		$	2,289,115		$	2,031,075


	¹	Consolidated Statement of Changes in Net Assets.


See Notes to Financial Statements.

116	ANNUAL REPORT	AUGUST 31, 2012

Statements of Changes in Net Assets


	BlackRock High Yield Trust (BHY)						BlackRock Income Opportunity Trust, Inc. (BNA)
	Year Ended August 31,						Year Ended August 31,
Increase (Decrease) in Net Assets:	2012			2011			2012			2011
Operations
Net investment income	$	3,397,215		$	3,268,780		$	23,112,371		$	21,766,357
Net realized gain (loss)		793,181			(862,713	)		10,895,929			2,874,735
Net change in unrealized appreciation/depreciation		2,402,266			1,613,207			25,143,570			(12,557,938	)
Net increase in net assets resulting from operations		6,592,662			4,019,274			59,151,870			12,083,154

Dividends and Distributions to Shareholders From
Net investment income		(3,374,830	)		(3,278,764	)		(22,258,816	)		(22,287,310	)
Tax return of capital		—			(76,404	)		—			—
Decrease in net assets resulting from dividends and distributions to shareholders		(3,374,830	)		(3,355,168	)		(22,258,816	)		(22,287,310	)

Capital Share Transactions
Reinvestment of dividends		14,323			—			—			—

Net Assets
Total increase (decrease) in net assets		3,232,155			664,106			36,893,054			(10,204,156	)
Beginning of year		43,644,238			42,980,132			371,175,320			381,379,476
End of year	$	46,876,393		$	43,644,238		$	408,068,374		$	371,175,320
Undistributed (distribution in excess of) net investment income	$	177,267		$	(107,518	)	$	5,436,734		$	4,312,166

	BlackRock Income Trust, Inc. (BKT)						BlackRock Strategic Bond Trust (BHD)
	Year Ended August 31,						Year Ended August 31,
Increase (Decrease) in Net Assets:		2012			2011			2012			2011
Operations
Net investment income	$	24,774,308		$	22,089,670		$	6,983,209		$	7,484,893
Net realized gain (loss)		13,620,770			(866,088	)		1,329,497			1,355,512
Net change in unrealized appreciation/depreciation		(8,999,000	)		13,053,505			5,886,978			(1,662,468	)
Net increase in net assets resulting from operations		29,396,078			34,277,087			14,199,684			7,177,937

Dividends and Distributions to Shareholders From
Net investment income		(17,586,939	)		(21,772,433	)		(7,652,086	)		(7,845,469	)
Net realized gain		(12,721,826	)		—			—			—
Decrease in net assets resulting from dividends and distributions to shareholders		(30,308,765	)		(21,772,433	)		(7,652,086	)		(7,845,469	)

Capital Share Transactions
Reinvestment of dividends		—			—			50,250			—

Net Assets
Total increase (decrease) in net assets		(912,687	)		12,504,654			6,597,848			(667,532	)
Beginning of year		508,764,507			496,259,853			95,126,639			95,794,171
End of year	$	507,851,820		$	508,764,507		$	101,724,487		$	95,126,639
Undistributed (distribution in excess of) net investment income	$	8,050,320		$	(33,473	)	$	810,526		$	774,363


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	117

Statements of Cash Flows


Year Ended August 31, 2012	BlackRock Core Bond Trust (BHK)			BlackRock Corporate High Yield Fund V, Inc. (HYV)¹			BlackRock Corporate High Yield Fund VI, Inc. (HYT)¹			BlackRock High Income Shares (HIS)
Cash Used for Operating Activities
Net increase in net assets resulting from operations	$	60,986,284		$	65,504,012		$	65,842,634		$	15,833,061
Adjustments to reconcile net increase in net assets resulting from operations to net cash used for operating activities:
Increase in interest receivable		(414,454	)		(571,838	)		(547,544	)		(46,031	)
(Increase) decrease in swaps receivable		349,048			(11,335	)		(16,169	)		—
Decrease in other assets		43,747			75,109			78,540			8,396
Decrease in prepaid expenses		19,865			56,143			57,792			22,060
Decrease in dividends receivable — affiliated		266			392			382			72
Decrease in commitment fees receivable		3,731			—			—			—
Decrease in dividends receivable — unaffiliated		10,384			28,061			14,361			8,706
Increase in variation margin receivable		(10,830	)		—			—			—
Decrease in cash pledged as collateral for financial futures contracts		306,000			2,294,000			2,245,000			378,000
Decrease in cash pledged as collateral for options written		—			906,360			952,770			—
Increase in cash pledged as collateral for swaps		(5,390,000	)		(400,000	)		(400,000	)		—
Increase in cash pledged as collateral for reverse repurchase agreements		(1,643,000	)		—			—			—
Increase in cash received as collateral for swaps		500,000			600,000			600,000			—
Decrease in cash received as collateral for reverse repurchase agreements		(1,204,525	)		—			—			—
Decrease in deferred income		—			(21,938	)		(23,019	)		(6,731	)
Increase in investment advisory fees payable		13,981			31,395			38,301			9,317
Decrease in interest expense payable		(53,208	)		(69,841	)		(66,811	)		(36,856	)
Increase in other liabilities		148,988			—			—			—
Increase (decrease) in other accrued expenses payable		(72,839	)		3,750			(32,729	)		(35,775	)
Decrease in variation margin payable		(205,363	)		(278,768	)		(283,578	)		(28,768	)
Increase (decrease) in swaps payable		144,013			(422,415	)		(410,627	)		—
Increase (decrease) in Officer’s and Trustees’ fees payable		(1,279	)		(136	)		22,182			73
Net periodic and termination payments of swaps		312,785			985,954			1,013,858			—
Net realized and unrealized gain on investments		(32,510,405	)		(26,537,265	)		(26,703,560	)		(4,158,378	)
Amortization of premium and accretion of discount on investments		369,974			(146,033	)		(305,966	)		(927,038	)
Premiums received from options written		21,979,476			1,463,221			1,583,542			263,208
Proceeds from sales of long-term investments		1,646,560,835			330,804,178			343,603,187			95,596,182
Purchases of long-term investments		(1,684,133,269	)		(384,264,156	)		(400,174,317	)		(108,486,310	)
Proceeds from borrowed bond transactions		35,657,057			—			—			—
Payments for borrowed bond transactions		(35,543,921	)		—			—			—
Net proceeds from sales (purchases) of short-term securities		4,177,662			1,171,689			941,235			822,452
Premiums paid on closing options written		(15,845,814	)		(1,042,046	)		(1,158,201	)		(101,538	)
Cash used for operating activities		(5,444,811	)		(9,841,507	)		(13,128,737	)		(885,898	)

Cash Provided by Financing Activities
Refund of offering costs		—			—			8,495			2,126
Cash receipts from borrowings		548,354,808			162,000,000			174,000,000			46,000,000
Cash payments on borrowings		(519,285,954	)		(116,000,000	)		(123,000,000	)		(33,000,000	)
Cash dividends paid to shareholders		(22,196,984	)		(34,564,809	)		(35,688,224	)		(10,924,322	)
Cash provided by financing activities		6,871,870			11,435,191			15,320,271			2,077,804

Cash Impact from Foreign Exchange Fluctuations
Cash impact from foreign exchange fluctuations		22,404			1,129			2,228			787

Cash and Foreign Currency
Net increase in cash and foreign currency		1,449,463			1,594,813			2,193,762			1,192,693
Cash and foreign currency at beginning of year		329,783			230,472			224,348			20,474
Cash and foreign currency at end of year	$	1,779,246		$	1,825,285		$	2,418,110		$	1,213,167

Cash Flow Information
Cash paid during the year for interest	$	354,678		$	1,396,085		$	1,414,775		$	327,951

Non-cash Financing Activities
Capital shares issued in reinvestment of dividends	$	67,030		$	718,285		$	1,006,632		$	273,904


	¹	Consolidated Statement of Cash Flows.

		A Statement of Cash Flows is presented when a Trust had a significant amount of borrowing during the year, based on the average borrowings outstanding in relation to average total assets.


See Notes to Financial Statements.

118	ANNUAL REPORT	AUGUST 31, 2012

Statements of Cash Flows


Year Ended August 31, 2012	BlackRock High Yield Trust (BHY)			BlackRock Income Opportunity Trust, Inc. (BNA)			BlackRock Income Trust, Inc. (BKT)			BlackRock Strategic Bond Trust (BHD)
Cash Provided by (Used for) Operating Activities
Net increase in net assets resulting from operations	$	6,592,662		$	59,151,870		$	29,396,078		$	14,199,684
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities:
(Increase) decrease in interest receivable		(187,251	)		(359,327	)		1,084,854			(43,333	)
(Increase) decrease in swaps receivable		244,192			389,714			1,429,363			(727	)
Decrease in other assets		9,290			66,856			81,876			7,448
Decrease in prepaid expenses		7,887			5,390			7,276			18,922
Decrease in dividends receivable — affiliated		73			564			690			58
Decrease in dividends receivable — unaffiliated		2,478			—			—			—
(Increase) decrease in variation margin receivable		—			—			658,258			(1,092	)
(Increase) decrease in cash pledged as collateral for financial futures contracts		(71,000	)		(999,000	)		881,000			(75,000	)
Increase in cash pledged as collateral for reverse repurchase agreements		—			(752,000	)		(50,000	)		—
(Increase) decrease in cash pledged as collateral for swaps		—			(4,220,000	)		3,545,000			(30,000	)
Increase in cash received as collateral for reverse repurchase agreements		—			127,000			—			—
Increase in cash received as collateral for swaps		—			1,200,000			4,100,000			—
Increase in investment advisory fees payable		29,645			76,374			125,803			4,879
Decrease in interest expense payable		(716	)		(58,721	)		(139,320	)		(14,902	)
Decrease in other affiliates payable		—			—			—			(2,056	)
Increase in other liabilities		—			879,346			—			—
Decrease in administration fees payable		(16,003	)		(58,628	)		(126,410	)		—
Decrease in other accrued expenses payable		(9,041	)		(351,251	)		(184,029	)		(60,081	)
Increase (decrease) in variation margin payable		7,200			(164,395	)		1,087,279			8,210
Increase (decrease) in swaps payable		18,888			116,676			(2,095,682	)		(5,829	)
Increase in Officer’s and Trustees’ fees payable		1,284			17,379			15,904			1,985
Net periodic and termination payments of swaps		241,433			(312,279	)		835,969			127,964
Net realized and unrealized gain on investments		(3,136,074	)		(33,285,480	)		(17,086,909	)		(6,574,406	)
Amortization of premium and accretion of discount on investments		11,888			1,140,718			8,334,140			40,296
Premiums received from options written		2,850			21,989,997			626,784			98,230
Proceeds from sales of long-term investments		32,860,351			1,637,113,266			3,862,317,810			56,325,369
Purchases of long-term investments		(45,440,411	)		(1,679,555,230	)		(3,750,248,299	)		(61,425,243	)
Proceeds from borrowed bond transactions		—			50,346,459			34,419,626			—
Payments for borrowed bond transactions		—			(50,242,735	)		(23,352,669	)		—
Net proceeds from sales (purchases) of short-term securities		(783,623	)		2,363,279			(9,338,958	)		891,719
Premiums paid on closing options written		—			(14,775,630	)		(2,155,182	)		(1,110	)
Cash provided by (used for) operating activities		(9,613,998	)		(10,149,788	)		144,170,252			3,490,985

Cash Provided by (Used for) Financing Activities
Cash receipts from borrowings		21,000,000			549,257,071			1,111,266,559			30,494,188
Cash payments on borrowings		(8,000,000	)		(516,082,969	)		(1,225,222,835	)		(24,493,169	)
Cash dividends paid to shareholders		(3,362,350	)		(22,256,005	)		(30,273,756	)		(7,612,303	)
Decrease in bank overdraft		—			(3,771	)		—			—
Cash provided by (used for) financing activities		9,637,650			10,914,326			(144,230,032	)		(1,611,284	)

Cash Impact from Foreign Exchange Fluctuations
Cash impact from foreign exchange fluctuations		413			4,159			—			299

Cash and Foreign Currency

Net increase (decrease) in cash and foreign currency		24,065			768,697			(59,780	)		1,880,000
Cash and foreign currency at beginning of year		—			104,439			59,780			13,941
Cash and foreign currency at end of year	$	24,065		$	873,136			—		$	1,893,941

Cash Flow Information
Cash paid during the year for interest	$	100,866		$	363,673		$	468,558		$	223,989

Non-cash Financing Activities
Capital shares issued in reinvestment of dividends	$	14,323			—			—		$	50,250


	A Statement of Cash Flows is presented when a Trust had a significant amount of borrowing during the year, based on the average borrowings outstanding in relation to average total assets.


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	119



Financial Highlights	BlackRock Core Bond Trust (BHK)


													Period November 1, 2007 to August 31,
																	Year Ended October 31,

	Year Ended August 31,
	2012			2011			2010			2009			2008				2007
Per Share Operating Performance
Net asset value, beginning of period	$	13.78		$	14.19		$	12.56		$	12.81			$	13.63			$	13.82
Net investment income		0.88	¹		0.83	¹		0.87	¹		0.80	¹			0.50	¹			0.74
Net realized and unrealized gain (loss)		1.37			(0.36	)		1.76			(0.28	)			(0.69	)			(0.13	)
Net increase (decrease) from investment operations		2.25			0.47			2.63			0.52				(0.19	)			0.61
Dividends and distributions from:
Net investment income		(0.82	)		(0.88	)		(1.00	)		(0.77	)			(0.61	)			(0.61	)
Tax return of capital		—			—			—			—				(0.02	)			(0.19	)
Total dividends and distributions		(0.82	)		(0.88	)		(1.00	)		(0.77	)			(0.63	)			(0.80	)
Net asset value, end of period	$	15.21		$	13.78		$	14.19		$	12.56			$	12.81			$	13.63
Market price, end of period	$	15.41		$	12.69		$	13.92		$	11.98			$	11.51			$	12.23

Total Investment Return²

Based on net asset value		17.06	%		4.02	%		22.44	%		5.28	%			(1.00	)%³			5.04	%
Based on market price		28.78	%		(2.35	)%		25.93	%		11.76	%			(0.87	)%³			1.29	%

Ratios to Average Net Assets
Total expenses		0.95	%		1.02	%		1.18	%		1.06	%			2.29	%⁴			1.60	%
Total expenses after fees waived and paid indirectly		0.94	%		1.02	%		1.18	%		1.06	%			2.29	%⁴			1.60	%
Total expenses after fees waived and paid indirectly and excluding interest expense		0.86	%		0.93	%		0.95	%		0.83	%			0.89	%⁴			0.78	%
Net investment income		6.13	%		6.05	%		6.62	%		7.09	%			4.55	%⁴			5.36	%

Supplemental Data
Net assets, end of period (000)	$	411,136		$	372,295		$	383,540		$	339,524			$	346,177			$	368,335
Borrowings outstanding, end of period (000)	$	182,679		$	152,301		$	168,938		$	74,572			$	107,690			$	103,354
Average borrowings outstanding, during the period (000)	$	143,234		$	151,080		$	162,760		$	73,467			$	134,784			$	44,786
Portfolio turnover		290	%⁵		824	%⁶		641	%⁷		315	%⁸			598	%⁹			122	%
Asset coverage, end of period per $1,000	$	3,251		$	3,444		$	3,270		$	5,553			$	4,215			$	4,564


	¹	Based on average shares outstanding.

	²	Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

	³	Aggregate total investment return.

	⁴	Annualized.

	⁵	Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 237%.

	⁶	Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 544%.

	⁷	Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 534%.

	⁸	Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 184%.

	⁹	Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 337%.


See Notes to Financial Statements.

120	ANNUAL REPORT	AUGUST 31, 2012



Financial Highlights


	BlackRock Corporate High Yield Fund V, Inc. (HYV)															BlackRock Corporate High Yield Fund VI, Inc. (HYT)
	Year Ended August 31,															Year Ended August 31,
	2012¹			2011			2010			2009			2008			2012¹			2011			2010			2009			2008
Per Share Operating Performance
Net asset value, beginning of year	$	11.71		$	11.61		$	9.71		$	11.94		$	13.83		$	11.49		$	11.38		$	9.68		$	11.89		$	13.81
Net investment income²		1.08			1.09			1.06			1.07			1.18			1.04			1.06			1.05			1.05			1.16
Net realized and unrealized gain (loss)		0.91			0.07			1.86			(2.10	)		(1.85	)		0.83			0.05			1.67			(2.07	)		(1.87	)
Net increase (decrease) from investment operations		1.99			1.16			2.92			(1.03	)		(0.67	)		1.87			1.11			2.72			(1.02	)		(0.71	)
Dividends and distributions from:
Net investment income		(1.07	)		(1.06	)		(1.02	)		(1.20	)		(1.17	)		(1.04	)		(1.00	)		(1.02	)		(1.19	)		(1.21	)
Net realized gain		—			—			—			—			(0.05	)		—			—			—			—			—
Total dividends and distributions		(1.07	)		(1.06	)		(1.02	)		(1.20	)		(1.22	)		(1.04	)		(1.00	)		(1.02	)		(1.19	)		(1.21	)
Net asset value, end of year	$	12.63		$	11.71		$	11.61		$	9.71		$	11.94		$	12.32		$	11.49		$	11.38		$	9.68		$	11.89
Market price, end of year	$	13.51		$	11.55		$	11.40		$	9.32		$	10.15		$	12.96		$	11.21		$	11.19		$	9.47		$	10.14

Total Investment Return³
Based on net asset value		17.92	%		10.29	%		31.40	%		(3.83	)%		(3.99	)%		17.14	%		9.95	%		29.26	%		(4.03	)%		(4.30	)%
Based on market price		27.88	%		10.79	%		34.42	%		8.59	%		(7.78	)%		26.30	%		9.09	%		29.92	%		10.09	%		(7.24	)%

Ratios to Average Net Assets
Total expenses		1.42	%		1.34	%		1.26	%		1.84	%		2.11	%		1.51	%		1.41	%		1.34	%		2.01	%		2.24	%
Total expenses after fees waived and paid indirectly		1.42	%		1.34	%		1.26	%		1.84	%		2.11	%		1.51	%		1.41	%		1.34	%		2.01	%		2.24	%
Total expenses after fees waived and paid indirectly and excluding interest expense		1.08	%⁴		1.02	%		0.99	%		1.16	%		0.97	%		1.19	%⁵		1.12	%		1.09	%		1.28	%		1.10	%
Net investment income		8.96	%		8.82	%		9.52	%		13.00	%		9.16	%		8.84	%		8.80	%		9.52	%		12.82	%		9.02	%

Supplemental Data
Net assets, end of year (000)	$	416,701		$	385,687		$	382,603		$	320,045		$	393,389		$	435,955		$	405,697		$	401,760		$	341,415		$	419,502
Borrowings outstanding, end of year (000)	$	175,000		$	129,000		$	92,000		$	54,000		$	94,700		$	181,000		$	130,000		$	89,000		$	58,000		$	110,900
Average borrowings outstanding, during the year (000)	$	140,036		$	119,652		$	79,427		$	65,403		$	106,140		$	142,342		$	115,512		$	76,356		$	73,784		$	113,996
Portfolio turnover		61	%		87	%		90	%		65	%		46	%		61	%		87	%		85	%		60	%		45	%
Asset coverage, end of year per $1,000	$	3,381		$	3,990		$	5,159		$	6,927		$	5,154		$	3,409		$	4,121		$	5,514		$	6,886		$	4,783


	¹	Consolidated Financial Highlights.

	²	Based on average shares outstanding.

	³	Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

	⁴	For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs was 0.99%.

	⁵	For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs was 1.09%.


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	121



Financial Highlights	BlackRock High Income Shares (HIS)


													Period January 1, 2008 to August 31,				Year Ended December 31,


	Year Ended August 31,
	2012			2011			2010			2009			2008				2007
Per Share Operating Performance
Net asset value, beginning of period	$	2.18		$	2.19		$	1.85		$	2.23			$	2.47			$	2.68
Net investment income		0.20	¹		0.20	¹		0.20	¹		0.19	¹			0.15	¹			0.24
Net realized and unrealized gain (loss)		0.08			—			0.31			(0.36	)			(0.26	)			(0.21	)
Net increase (decrease) from investment operations		0.28			0.20			0.51			(0.17	)			(0.11	)			0.03
Dividends from net investment income		(0.20	)		(0.21	)		(0.17	)		(0.21	)			(0.13	)			(0.24	)
Net asset value, end of period	$	2.26		$	2.18		$	2.19		$	1.85			$	2.23			$	2.47
Market price, end of period	$	2.40		$	2.10		$	2.09		$	1.68			$	1.88			$	2.14

Total Investment Return²
Based on net asset value		13.91	%		9.56	%		28.95	%		(3.01	)%			(4.00	)%³			1.58	%
Based on market price		25.58	%		10.59	%		35.52	%		4.47	%			(6.59	)%³			(7.51	)%

Ratios to Average Net Assets
Total expenses		1.54	%		1.49	%		1.49	%		2.01	%			1.98	%⁴			3.56	%
Total expenses after fees waived and paid indirectly		1.54	%		1.49	%		1.49	%		2.01	%			1.98	%⁴			3.55	%
Total expenses after fees waived and paid indirectly and excluding interest expense⁵		1.29	%		1.25	%		1.27	%		1.41	%			1.05	%⁴			1.27	%
Net investment income		9.19	%		8.66	%		9.34	%		12.06	%			9.52	%⁴			8.89	%

Supplemental Data
Net assets, end of period (000)	$	123,745		$	118,809		$	119,642		$	100,921			$	121,808			$	135,098
Borrowings outstanding, end of period (000)	$	42,000		$	29,000		$	25,000		$	18,000			$	27,000			$	46,000
Average borrowings outstanding, during the period (000)	$	30,746		$	26,729		$	21,027		$	21,220			$	27,069			$	55,868
Portfolio turnover		63	%		90	%		85	%		55	%			25	%			69	%
Asset coverage, end of period per $1,000	$	3,946		$	5,097		$	5,786		$	6,607			$	5,512			$	3,937


	¹	Based on average shares outstanding.

	²	Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

	³	Aggregate total investment return.

	⁴	Annualized.

	⁵	For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs was 1.19%.


See Notes to Financial Statements.

122	ANNUAL REPORT	AUGUST 31, 2012



Financial Highlights	BlackRock High Yield Trust (BHY)


	Year Ended August 31,												Period November 1, 2007 to August 31,			Year Ended October 31,
	2012			2011			2010			2009			2008			2007
Per Share Operating Performance

Net asset value, beginning of period	$	6.79		$	6.69		$	5.78		$	6.84		$	7.91		$	7.85
Net investment income		0.53	¹		0.51	¹		0.51	¹		0.51	¹		0.50	¹		0.63
Net realized and unrealized gain (loss)		0.50			0.11			0.92			(1.00	)		(1.06	)		0.04
Net increase (decrease) from investment operations		1.03			0.62			1.43			(0.49	)		(0.56	)		0.67
Dividends and distributions from:
Net investment income		(0.53	)		(0.51	)		(0.50	)		(0.55	)		(0.51	)		(0.61	)
Tax return of capital		—			(0.01	)		(0.02	)		(0.02	)		—			—
Total dividends and distributions		(0.53	)		(0.52	)		(0.52	)		(0.57	)		(0.51	)		(0.61	)
Net asset value, end of period	$	7.29		$	6.79		$	6.69		$	5.78		$	6.84		$	7.91
Market price, end of period	$	8.04		$	6.60		$	6.44		$	5.84		$	5.96		$	6.92

Total Investment Return²

Based on net asset value		15.70	%		9.66	%		25.70	%		(5.30	)%		(6.47	)%³		9.03	%
Based on market price		31.27	%		10.73	%		19.76	%		9.81	%		(6.85	)%³		(3.63	)%


Ratios to Average Net Assets

Total expenses		2.01	%		2.04	%		2.10	%		2.61	%		2.61	%⁴		4.16	%
Total expenses after fees waived and paid indirectly		2.01	%		2.04	%		2.10	%		2.61	%		2.61	%⁴		4.14	%
Total expenses after fees waived and paid indirectly and excluding interest expense⁵		1.79	%		1.85	%		1.91	%		2.16	%		1.77	%⁴		2.10	%
Net investment income		7.59	%		7.18	%		7.89	%		10.22	%		8.34	%⁴		7.84	%


Supplemental Data

Net assets, end of period (000)	$	46,876		$	43,644		$	42,980		$	37,137		$	43,897		$	50,782
Borrowings outstanding, end of period (000)	$	19,000		$	6,000		$	8,000		$	4,000		$	6,250		$	9,250
Average borrowings outstanding, during the period (000)	$	10,615		$	7,427		$	6,427		$	5,223		$	7,443		$	17,710
Portfolio turnover		59	%		81	%		80	%		54	%		34	%		69	%
Asset coverage, end of period per $1,000	$	3,467		$	8,274		$	6,373		$	10,284		$	8,023		$	6,490


	¹	Based on average shares outstanding.

	²	Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

	³	Aggregate total investment return.

	⁴	Annualized.

	⁵	For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs was 1.69%.

See Notes to Financial Statements.



ANNUAL REPORT	AUGUST 31, 2012	123



Financial Highlights	BlackRock Income Opportunity Trust, Inc. (BNA)


	Year Ended August 31,												Period November 1, 2007 to August 31,			Year Ended October 31,
	2012			2011			2010			2009			2008			2007
Per Share Operating Performance
Net asset value, beginning of period	$	10.77		$	11.07		$	10.02		$	10.35		$	11.02		$	11.17
Net investment income		0.67	¹		0.63	¹		0.59	¹		0.59	¹		0.53	¹		0.62
Net realized and unrealized gain (loss)		1.05			(0.28	)		1.25			(0.31	)		(0.69	)		(0.11	)
Net increase (decrease) from investment operations		1.72			0.35			1.84			0.28			(0.16	)		0.51
Dividends and distributions from:
Net investment income		(0.65	)		(0.65	)		(0.79	)		(0.61	)		(0.51	)		(0.61	)
Tax return of capital		—			—			—			—			—			(0.05	)
Total dividends and distributions		(0.65	)		(0.65	)		(0.79	)		(0.61	)		(0.51	)		(0.66	)
Net asset value, end of period	$	11.84		$	10.77		$	11.07		$	10.02		$	10.35		$	11.02
Market price, end of period	$	11.58		$	9.85		$	10.56		$	9.65		$	9.82		$	10.19

Total Investment Return²

Based on net asset value		16.81	%		3.91	%		19.83	%		3.90	%		(1.07	)%³		5.11	%
Based on market price		24.92	%		(0.37	)%		18.69	%		5.46	%		1.51	%³		2.62	%

Ratios to Average Net Assets
Total expenses		0.90	%		0.95	%		1.09	%		0.95	%		2.25	%⁴		2.01	%
Total expenses after fees waived and paid indirectly		0.90	%		0.95	%		1.09	%		0.95	%		2.25	%⁴		2.00	%
Total expenses after fees waived and paid indirectly and excluding interest expense		0.82	%		0.85	%		0.86	%		0.85	%		0.83	%⁴		0.87	%
Net investment income		5.97	%		5.94	%		5.81	%		6.45	%		5.89	%⁴		5.68	%

Supplemental Data

Net assets, end of period (000)	$	408,068		$	371,175		$	381,379		$	345,101		$	356,456		$	379,605
Borrowings outstanding, end of period (000)	$	188,055		$	154,883		$	157,776		$	77,474		$	100,740		$	105,262
Average borrowings outstanding, during the period (000)	$	151,411		$	148,617		$	151,700		$	49,573		$	131,462		$	68,241
Portfolio turnover		285	%⁵		774	%⁶		720	%⁷		270	%⁸		441	%⁹		196	%
Asset coverage, end of period per $1,000	$	3,170		$	3,396		$	3,417		$	5,454		$	4,538		$	4,606


	¹	Based on average shares outstanding.

	²	Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

	³	Aggregate total investment return.

	⁴	Annualized.

	⁵	Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 231%.

	⁶	Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 492%.

	⁷	Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 608%.

	⁸	Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 165%.

	⁹	Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 168%.

See Notes to Financial Statements.



124	ANNUAL REPORT	AUGUST 31, 2012



Financial Highlights	BlackRock Income Trust, Inc. (BKT)


													Period November 1, 2007 to August 31, 2008

																Year Ended October 31, 2007
	Year Ended August 31,
	2012			2011			2010			2009
Per Share Operating Performance
Net asset value, beginning of period	$	7.96		$	7.76		$	7.12		$	6.94		$	6.53		$	6.48
Net investment income		0.39	¹		0.35	¹		0.20	¹		0.28	¹		0.26	¹		0.30
Net realized and unrealized gain		0.06			0.19			0.73			0.19			0.40			0.12
Net increase (decrease) from investment operations		0.45			0.54			0.93			0.47			0.66			0.42
Dividends and distributions from:
Net investment income		(0.27	)		(0.34	)		(0.26	)		(0.29	)		(0.25	)		(0.29	)
Net realized gain		(0.20	)		—			(0.03	)		—			—			—
Tax return of capital		—			—			—			—			—			(0.08	)
Total dividends and distributions		(0.47	)		(0.34	)		(0.29	)		(0.29	)		(0.25	)		(0.37	)
Net asset value, end of period	$	7.94		$	7.96		$	7.76		$	7.12		$	6.94		$	6.53
Market price, end of period	$	7.63		$	7.18		$	6.95		$	6.53		$	6.07		$	5.81

Total Investment Return²
Based on net asset value		6.24	%		7.70	%		13.86	%		7.64	%		10.82	%³		7.06	%
Based on market price		13.19	%		8.47	%		11.19	%		12.87	%		8.94	%³		1.69	%

Ratios to Average Net Assets
Total expenses		0.97	%		1.06	%		1.05	%		1.09	%		1.63	%⁴		2.77	%
Total expenses after fees waived and before fees paid indirectly		0.97	%		1.05	%		1.02	%		1.08	%		1.63	%⁴		2.77	%
Total expenses after fees waived and paid indirectly		0.97	%		1.05	%		1.02	%		1.08	%		1.63	%⁴		2.76	%
Total expenses after fees waived and paid indirectly and excluding interest expense		0.90	%		0.94	%		0.92	%		0.93	%		0.91	%⁴		0.98	%
Net investment income		4.86	%		4.43	%		2.72	%		4.09	%		4.67	%⁴		4.60	%

Supplemental Data
Net assets, end of period (000)	$	507,852		$	508,765		$	496,260		$	455,529		$	444,054		$	417,651
Borrowings outstanding, end of period (000)	$	119,706		$	233,676		$	106,985		$	11,815			—		$	33,895
Average borrowings outstanding, during the period (000)	$	183,890		$	116,771		$	23,316		$	537		$	61,777		$	93,325
Portfolio turnover		487	%⁵		899	%⁶		883	%⁷		700	%⁸		263	%⁹		250	%
Asset coverage, end of period per $1,000	$	5,242		$	3,177		$	5,639		$	39,555			—		$	13,322


	¹	Based on average shares outstanding.

	²	Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

	³	Aggregate total investment return.

	⁴	Annualized.

	⁵	Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 230%.

	⁶	Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 387%.

	⁷	Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 207%.

	⁸	Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 184%.

	⁹	Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 0%.


See Notes to Financial Statements.

	ANNUAL REPORT	AUGUST 31, 2012	125



Financial Highlights	BlackRock Strategic Bond Trust (BHD)


													Period November 1, 2007 to August 31, 2008

																Year Ended October 31, 2007
	Year Ended August 31,
	2012			2011			2010			2009
Per Share Operating Performance
Net asset value, beginning of period	$	13.48		$	13.57		$	12.12		$	12.76		$	13.80		$	13.83
Net investment income		0.99	¹		1.06	¹		1.01	¹		0.93	¹		0.76	¹		0.95
Net realized and unrealized gain (loss)		1.01			(0.04	)		1.35			(0.69	)		(1.03	)		(0.06	)
Net increase (decrease) from investment operations		2.00			1.02			2.36			0.24			(0.27	)		0.89
Dividends and distributions from net investment income		(1.08	)		(1.11	)		(0.91	)		(0.88	)		(0.77	)		(0.92	)
Net asset value, end of period	$	14.40		$	13.48		$	13.57		$	12.12		$	12.76		$	13.80
Market price, end of period	$	14.52		$	12.93		$	13.17		$	11.43		$	10.85		$	11.88

Total Investment Return²
Based on net asset value		15.66	%		8.09	%		20.38	%		3.99	%		(1.19	)%³		7.26	%
Based on market price		21.58	%		6.83	%		23.88	%		15.34	%		(2.40	)%³		(0.62	)%

Ratios to Average Net Assets
Total expenses		1.45	%		1.52	%		1.13	%		1.00	%		0.93	%⁴		1.45	%
Total expenses after fees waived and before fees paid indirectly		1.45	%		1.51	%		1.11	%		0.92	%		0.82	%⁴		1.27	%
Total expenses after fees waived and paid indirectly		1.45	%		1.51	%		1.11	%		0.92	%		0.82	%⁴		1.27	%
Total expenses after fees waived and paid indirectly and excluding interest expense⁵		1.24	%		1.26	%		1.04	%		0.92	%		0.81	%⁴		0.87	%
Net investment income		7.15	%		7.59	%		7.77	%		8.67	%		6.85	%⁴		6.86	%

Supplemental Data
Net assets, end of period (000)	$	101,724		$	95,127		$	95,794		$	85,581		$	90,092		$	97,410
Borrowings outstanding, end of period (000)	$	30,000		$	24,000		$	12,000			—		$	1,571		$	413
Average borrowings outstanding during the period (000)	$	22,089		$	22,696		$	5,701		$	303		$	391		$	7,240
Portfolio turnover		47	%		72	%		83	%		61	%		27	%		34	%
Asset coverage, end of period per $1,000	$	4,391		$	4,964		$	8,983			—		$	58,347		$	236,789


	¹	Based on average shares outstanding.

	²	Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

	³	Aggregate total investment return.

	⁴	Annualized.

	⁵	For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs was 1.14%.


See Notes to Financial Statements.

126	ANNUAL REPORT	AUGUST 31, 2012

Notes to Financial Statements

1. Organization and Significant Accounting Policies:

BlackRock Core Bond Trust (“BHK”), BlackRock Corporate High Yield Fund V, Inc. (“HYV”), BlackRock Corporate High Yield Fund VI, Inc. (“HYT”), BlackRock High Income Shares (“HIS”), BlackRock High Yield Trust (“BHY”), BlackRock Income Opportunity Trust, Inc. (“BNA”), BlackRock Income Trust, Inc. (“BKT”) and BlackRock Strategic Bond Trust (“BHD”) (collectively, the “Trusts”) are registered under the 1940 Act, as diversified, closed-end management investment companies. HYV, HYT, BNA and BKT are organized as Maryland corporations. BHK, BHY and BHD are organized as Delaware statutory trusts. HIS is organized as a Massachusetts business trust. The Trusts’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Boards of Directors and Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board,” and the directors/trustees thereof are collectively referred to throughout this report as “Trustees.” The Trusts determine and make available for publication the NAVs of their Common Shares on a daily basis.

The following is a summary of significant accounting policies followed by the Trusts:

Basis of Consolidation: The accompanying consolidated financial statements of HYV and HYT include the accounts of BLK HYV (Luxembourg) Investments, S.a.r.l. and BLK HYT (Luxembourg) Investments, S.a.r.l. (the “Taxable Subsidiaries”), a wholly owned taxable subsidiary of each Trust which holds shares of private Canadian companies. Such shares are held in the Taxable Subsidiaries in order to realize benefits under the Double Tax Avoidance Convention between Canada and Luxembourg, the result of which is gains on the sale of such shares will not be subject to capital gains taxes in Canada. Income earned on the investments held by the Taxable Subsidiary may be taxable to such subsidiaries in Luxembourg. An income tax provision for all income, including realized and unrealized gains, if any, is reflected as either a reduction in investment income or as a component of realized and unrealized gain (loss) on the Consolidated Statements of Operations. Intercom-pany accounts and transactions have been eliminated. The Taxable Subsidiaries are subject to the same investment policies and restrictions that apply to the Trusts.

Valuation: US GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts fair value their financial instruments at market value using independent dealers or pricing services under policies approved by the Board. The Global Valuation Committee is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Trusts for all financial instruments.

The Trusts value their bond investments on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. Financial futures contracts traded on exchanges are valued at their last sale price. To-be-announced (“TBA”) commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services. Swap agreements are valued utilizing quotes received daily by the Trusts’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. Investments in open-end registered investment companies are valued at NAV each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.

Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.

Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that such prior day’s price no longer reflects the fair value of the security.

Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the New York Stock Exchange (“NYSE”). Foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.



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Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and swaptions are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

In the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant consistent with the principles of fair value measurement which include the market approach, income approach and/or cost approach, as appropriate. A market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and adjusted for liquidity as appropriate. These factors include but are not limited to (i) attributes specific to the investment or asset; (ii) the principal market for the investment or asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an active market existed. The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of the Trusts’ pricing vendors, a regular review of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof on a quarterly basis.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Trusts’ net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to affect the value of such instruments materially, those instruments may be Fair Value Assets and be valued at their fair value, as determined in good faith by the Global Valuation Committee using a pricing service and/or policies approved by the Board.

Foreign Currency: The Trusts’ books and records are maintained in US dollars. Purchases and sales of investment securities are recorded at the rates of exchange prevailing on the respective date of such transactions. Generally, when the US dollar rises in value against a foreign currency, the Trusts’ investments denominated in that currency will lose value because that currency is worth fewer US dollars; the opposite effect occurs if the US dollar falls in relative value.

The Trusts do not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency exchange rates on investments are not segregated on the Statements of Operations from the effects of changes in market prices of those investments but are included as a component of net realized and unrealized gain (loss) from investments. The Trusts report realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.

Asset-Backed and Mortgage-Backed Securities: Certain Trusts may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security subject to such a prepayment feature will have the effect of shortening the maturity of the security. If the Trust has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

Certain Trusts may purchase certain mortgage pass-through securities (the “Mortgage Assets”). There are a number of important differences among the agencies and instrumentalities of the US government that issue mortgage-related securities and among the securities that they issue. For example,



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mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed Mortgage Pass-Through Certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States but are supported by the right of the issuer to borrow from the Treasury.

Collateralized Debt Obligations: Certain Trusts may invest in collateralized debt obligations (“CDOs”), which include collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”). CBOs and CLOs are types of asset-backed securities. A CDO is a bankruptcy remote entity which is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Multiple Class Pass-Through Securities: Certain Trusts may invest in multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities. These multiple class securities may be issued by Ginnie Mae, US government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by, and multiple class pass-through securities represent direct ownership interests in, a pool of residential or commercial mortgage loans or Mortgage Assets, the payments on which are used to make payments on the CMOs or multiple pass-through securities. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated pre-payments of principal, the Trusts may not fully recoup their initial investment in IOs.

Stripped Mortgage-Backed Securities: Certain Trusts may invest in stripped mortgage-backed securities issued by the US government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. The Trusts also may invest in stripped mortgage-backed securities that are privately issued.

Zero-Coupon Bonds: Certain Trusts may invest in zero-coupon bonds, which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may experience greater volatility in market value than similar maturity debt obligations which provide for regular interest payments.

Capital Trusts: Certain Trusts may invest in capital trusts. These securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities generally are rated below that of the issuing company’s senior debt securities.

Preferred Stock: Certain Trusts may invest in preferred stocks. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Floating Rate Loan Interests: Certain Trusts may invest in floating rate loan interests. The floating rate loan interests the Trusts hold are typically issued to companies (the “borrower”) by banks, other financial institutions, and privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged. The Trusts may invest in obligations of borrowers who are in bankruptcy proceedings. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined



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by reference to a base lending rate plus a premium. The base lending rates are generally the lending rate offered by one or more European banks, such as LIBOR, the prime rate offered by one or more US banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. The Trusts consider these investments to be investments in debt securities for purposes of their investment policies.

When a Trust purchases a floating rate loan interest it may receive a facility fee and when it sells a floating rate loan interest it may pay a facility fee. On an ongoing basis, the Trusts may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by the Trusts upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. The Trusts may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. The Trusts may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in the Trusts having a contractual relationship only with the lender, not with the borrower. The Trusts will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, the Trusts generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower, and the Trusts may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, the Trusts will assume the credit risk of both the borrower and the lender that is selling the Participation. The Trusts’ investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, the Trusts may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in the Trusts having a direct contractual relationship with the borrower, and the Trusts may enforce compliance by the borrower with the terms of the loan agreement.

Borrowed Bond Agreements: Certain Trusts may enter into borrowed bond agreements. In a borrowed bond agreement, the Trusts borrow a bond from a counterparty in exchange for cash collateral with the commitment that the security and the cash will be returned to the counterparty and the Trusts, respectively, at a mutually agreed upon rate and date. Certain agreements have no stated maturity and can be terminated by either party at any time. Borrowed bond agreements are entered into primarily in connection with short sales of bonds. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon rates between the Trust and the counterparty. The value of the underlying cash collateral approximates the market value and accrued interest of the borrowed bond. To the extent that a borrowed bond transaction exceeds one business day, the value of the cash collateral in the possession of the counterparty is monitored on a daily basis to ensure the adequacy of the collateral. As the market value of the borrowed bond changes, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. Full realization of the collateral by the Trusts may be limited if the value of an investment purchased with the cash collateral by the lender decreases. The Trusts may also experience delays in gaining access to the collateral.

Short Sales: Certain Trusts may enter into short sale transactions in which the Trusts sell a security it does not hold in anticipation of a decline in the market price of that security. When the Trusts make a short sale, it will borrow the security sold short (borrowed bond) and deliver it to the counterparty to which it sold the security short. An amount equal to the proceeds received by the Trusts is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Trusts are required to repay the counterparty any interest received on the security sold short, which is shown as interest expense in the Statements of Operations. The Trusts may pay a fee on the assets borrowed from the counterparty, which is shown as stock loan fees in the Statements of Operations. The Trusts maintain a segregated account of securities or deposits cash with the broker-dealer as collateral for the short sales. The Trusts may receive interest on their cash collateral deposited with the broker-dealer. The Trusts are exposed to market risk based on the amount, if any, that the market value of the security increases beyond the market value at which the position was sold. Thus, a short sale of a security involves the risk that instead of declining, the price of the security sold short will rise. The short sale of securities involves the possibility of a theoretically unlimited loss since there is a theoretically unlimited potential for the market price of the security sold short to increase. A gain, limited to the price at which the Trusts sold the security short, or a loss, unlimited as to the dollar amount, will be recognized upon the termination of a short sale if the market price is greater or less than the proceeds originally received. There is no assurance the Trusts will be able to close out a short position at a particular time or at an acceptable price.

Forward Commitments and When-Issued Delayed Delivery Securities: Certain Trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Trusts may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Trusts may be required to pay more at settlement than the security is worth. In addition, the Trusts are not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Trusts assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Trusts’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions, which is shown in the Schedules of Investments.



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TBA Commitments: Certain Trusts may enter into TBA commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. The Trusts generally enter into TBA commitments with the intent to take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.

Mortgage Dollar Roll Transactions: Certain Trusts may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, the Trusts will not be entitled to receive interest and principal payments on the securities sold. The Trusts account for mortgage dollar roll transactions as purchases and sales and realize gains and losses on these transactions. These transactions may increase the Trusts’ portfolio turnover rate. Mortgage dollar rolls involve the risk that the market value of the securities that the Trusts are required to purchase may decline below the agreed upon repurchase price of those securities.

Treasury Roll Transactions: Certain Trusts may enter into treasury roll transactions. In a treasury roll transaction, the Trusts sell a Treasury security to a counterparty with a simultaneous agreement to repurchase the same security at an agreed upon price and future settlement date. The Trusts receive cash from the sale of the Treasury security to use for other investment purposes. The difference between the sale price and repurchase price represents net interest income or net interest expense reflective of an agreed upon rate between the Trusts and the counterparty over the term of the borrowing. For US GAAP purposes, a treasury roll transaction is accounted for as a secured borrowing and not as a purchase or sale. During the term of the borrowing, interest income from the Treasury security and the related interest expense on the secured borrowing is recorded by the Trusts on an accrual basis. The Trusts will benefit from the transaction if the income earned on the investment purchased with the cash received in the treasury roll transaction exceeds the interest expense incurred by the Trusts. If the interest expense exceeds the income earned, the Trusts’ net investment income and dividends to shareholders may be adversely impacted. Treasury roll transactions involve the risk that the market value of the securities that the Trusts are required to repurchase may decline below the agreed upon repurchase price of those securities.

Reverse Repurchase Agreements: Certain Trusts may enter into reverse repurchase agreements with qualified third party broker-dealers. In a reverse repurchase agreement, the Trusts sell securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. Securities sold under reverse repurchase agreements are recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short term nature of the reverse repurchase agreements, face value approximates fair value. During the term of the reverse repurchase agreement, the Trusts continue to receive the principal and interest payments on these securities. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. The Trusts may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities that the Trusts are obligated to repurchase under the agreement may decline below the repurchase price. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Trusts’ use of the proceeds of the agreement may be restricted while the other party, or its trustee or receiver, determines whether or not to enforce the Trusts’ obligation to repurchase the securities.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that the Trusts either deliver collateral or segregate assets in connection with certain investments (e.g., dollar rolls, TBA sale commitments, financial futures contracts, foreign currency exchange contracts, swaps, short sales and options written), or certain borrowings (e.g., reverse repurchase agreements, treasury roll transactions and loan payable), the Trusts will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on its books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party to such transactions has requirements to deliver/deposit securities as collateral for certain investments.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Trusts are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis. Consent fees are compensation for agreeing to changes in the terms of debt instruments and are included in interest income in the Statements of Operations.



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Dividends and Distributions: Dividends from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates. Distributions in excess of a Trust’s taxable income and net capital gains, but not in excess of a Trust’s earnings and profits, will be taxable to shareholders as ordinary income and will not constitute a nontaxable return of capital. Capital losses carried forward from years beginning before 2011 do not reduce earnings and profits, even if such carried forward losses offset current year realized gains. The portion of dividends and distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, may be treated as a tax return of capital. The character and timing of dividends and distributions are determined in accordance with federal income tax regulations, which may differ from US GAAP.

Income Taxes: It is each Trust’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.

Each Trust files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Trusts’ US federal tax returns remain open for each of the four years ended August 31, 2012. The statutes of limitations on the Trusts’ state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.

Recent Accounting Standard: In December 2011, the Financial Accounting Standards Board issued guidance that will expand current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financial instruments subject to master netting or similar agreements which are eligible for offset in the Statements of Assets and Liabilities and will require an entity to disclose both gross and net information about such investments and transactions in the financial statements. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Trusts’ financial statement disclosures.

Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by each Trust’s Board, independent Trustees (“Independent Trustees”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees. This has approximately the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The deferred compensation plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust. Prior to March 31, 2012, each Trust elected to invest in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees in order to match its deferred compensation obligations, and dividends and distributions received from the BlackRock Closed-End Fund investments through March 31, 2012 are included in income — affiliated in the Statements of Operations.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.

The Trusts have an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

2. Derivative Financial Instruments:

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to economically hedge, or protect, their exposure to certain risks such as credit risk, equity risk, interest rate risk, or foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.

Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. The Trusts’ maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized gain netted against any collateral pledged by/posted to the counterparty. For OTC options purchased, the Trusts bear the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral received on the options should the counterparty fail to perform under the contracts. Options written by the Trusts do not give rise to counterparty credit risk, as options written obligate the Trusts to perform and not the counterparty. Counterparty risk related to exchange-traded financial futures contracts, options and centrally cleared swaps is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.

The Trusts may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. master agreement (“ISDA Master Agreement”) implemented between a Trust and each of its respective counterparties. An ISDA Master Agreement allows each Trust to offset with each separate counterparty certain derivative financial instrument’s payables and/or receivables with collateral held. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $500,000. To the extent amounts due to the Trusts from their counterparties are not fully collateralized, contractually or otherwise, the Trusts bear the risk of loss from coun-terparty non-performance. See Note 1 “Segregation and Collateralization” for information with respect to collateral practices. In addition, the Trusts manage counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Trusts’ net assets decline by a stated percentage or the Trusts fail to meet the terms of their ISDA Master Agreements, which would cause the Trusts to accelerate payment of any net liability owed to the counterparty.



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Financial Futures Contracts: The Trusts purchase or sell financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk). Financial futures contracts are agreements between the Trusts and counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Trusts as unrealized appreciation or depreciation. When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign currency exchange rates and the underlying assets.

Foreign Currency Exchange Contracts: The Trusts enter into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by the Trusts, help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Trusts as an unrealized gain or loss. When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that the counter-party to the contract does not perform its obligations under the agreement.

Options: The Trusts purchase and write call and put options to increase or decrease their exposure to underlying instruments (including equity risk, foreign currency exchange rate risk and/or interest rate risk) and/or, in the case of options written, to generate gains from options premiums. A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised), the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. When the Trusts purchase (write) an option, an amount equal to the premium paid (received) by the Trusts is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or the Trusts enter into a closing transaction), the Trusts realize a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premiums received or paid). When the Trusts write a call option, such option is “covered,” meaning that the Trusts hold the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, such option is covered by cash in an amount sufficient to cover the obligation.

Options on swaps (swaptions) are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swap option is granting or buying the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

The Trusts also purchase or sell listed or OTC foreign currency options, foreign currency futures and related options on foreign currency futures as a short or long hedge against possible variations in foreign exchange rates or to gain exposure to foreign currencies (foreign currency exchange rate risk). When foreign currency is purchased or sold through an exercise of a foreign currency option, the related premium paid (or received) is added to (or deducted from) the basis of the foreign currency acquired or deducted from (or added to) the proceeds of the foreign currency sold. Such transactions may be effected with respect to hedges on non-US dollar denominated instruments owned by the Trusts but not yet delivered, or committed or anticipated to be purchased by the Trusts.

In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that the Trusts may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security at a price different from the current market value.

Swaps: The Trusts enter into swap agreements, in which the Trust and a counterparty agree to either make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be executed on a registered financial and commodities exchange (“centrally cleared swaps”). In a centrally cleared swap, the Trusts typically enter into an agreement with a counterparty; however, performance is guaranteed by the central clearing-house reducing or eliminating the Trusts’ exposure to the credit risk of the counterparty. These payments received or made by the Trusts are recorded in the Statements of Operations as realized gains or losses, respectively. Any upfront fees paid are recorded as assets and any upfront fees received are recorded as liabilities and amortized over the term of the swap. Swaps



ANNUAL REPORT	AUGUST 31, 2012	133

Notes to Financial Statements (continued)

are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of centrally cleared swaps, if any, is recorded as a receivable or payable for variation margin in the Statements of Assets and Liabilities. When the swap is terminated, the Trusts will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trusts’ basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid. Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.


•	Credit default swaps — The Trusts enter into credit default swaps to man-age their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). The Trusts enter into credit default swap agreements to provide a measure of protection against the default of an issuer (as buyer of protection) and/or gain credit exposure to an issuer to which it is not otherwise exposed (as seller of protection). The Trusts may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occurs. As a buyer, if an underlying credit event occurs, the Trusts will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index or receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Trusts will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

•	Total return swaps — The Trusts enter into total return swaps to obtain exposure to a security or market without owning such security or investing directly in that market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Trusts will receive a payment from or make a payment to the counterparty.

•	Interest rate swaps — The Trusts enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. Interest rate floors, which are a type of interest rate swap, are agreements in which one party agrees to make payments to the other party to the extent that interest rates fall below a specified rate or floor in return for a premium. In more complex swaps, the notional principal amount may decline (or amortize) over time.



134	ANNUAL REPORT	AUGUST 31, 2012

Notes to Financial Statements (continued)

Derivative Financial Instruments Categorized by Risk Exposure:


Fair Values of Derivative Financial Instruments as of August 31, 2012
	Asset Derivatives
		BHK		HYV		HYT		HIS		BHY		BNA		BKT		BHD
	Statements of Assets and Liabilities Location	Value
Interest rate contracts	Net unrealized appreciation/ depreciation¹; Unrealized appreciation on swaps; Investments at value — unaffiliated²	$	2,270,494		—		—		—		—	$	2,299,895	$	11,020,466	$	187,819
Foreign currency exchange contracts	Unrealized appreciation on foreign currency exchange contracts		17,221	$	44,136	$	56,409	$	5,847	$	1,806		22,416		—		11,759
Credit contracts	Unrealized appreciation on swaps		391,495		1,271,142		1,310,916		—		109,733		393,022		—		65,707
Equity contracts	Investments at value — unaffiliated²		271,612		—		—		—		—		271,612		—		—
Total		$	2,950,822	$	1,315,278	$	1,367,325	$	5,847	$	111,539	$	2,986,945	$	11,020,466	$	265,285


	Liability Derivatives
		BHK		HYV		HYT		HIS		BHY		BNA		BKT		BHD
	Statements of Assets and Liabilities Location	Value
Interest rate contracts	Net unrealized appreciation/ depreciation¹; Unrealized depreciation on swaps¹; Options written at value	$	11,103,297		—		—		—		—	$	11,246,067	$	13,825,936	$	167,013
Foreign currency exchange contracts	Unrealized depreciation on foreign currency exchange contracts		354,755	$	1,091,099	$	1,148,537	$	145,138	$	52,731		303,654		—		174,501
Credit contracts	Unrealized depreciation on swaps		63,087		93,281		97,701		—		11,189		63,173		—		1,467
Equity contracts	Net unrealized appreciation/ depreciation¹; Options written at value		114,598		840,806		879,524		260,417		87,001		114,598		—		—
Other contracts	Unrealized depreciation on swaps		43,272		—		—		—		—		43,387		—		—
Total		$	11,679,009	$	2,025,186	$	2,125,762	$	405,555	$	150,921	$	11,770,879	$	13,825,936	$	342,981


	¹	Includes cumulative appreciation/depreciation of financial futures contracts and centrally cleared swaps as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

	²	Includes options purchased at value as reported in the Schedules of Investments.



ANNUAL REPORT	AUGUST 31, 2012	135

Notes to Financial Statements (continued)


	The Effect of Derivative Financial Instruments in the Statements of Operations Year Ended August 31, 2012
	Net Realized Gain (Loss) From
	BHK			HYV			HYT			HIS			BHY		BNA			BKT			BHD
Interest rate contracts:
Financial futures contracts	$	2,535,026			—			—			—			—	$	2,514,467		$	(9,830,042	)	$	(279,204	)
Swaps		(1,008,999	)		—			—			—			—		(1,462,817	)		1,830,628			(9,438	)
Options¹		406,239		$	567,960		$	635,830			—		$	2,850		1,022,589			(42,580	)		(7,437	)
Floors		—			—			—			—			—		—			440,833			—
Foreign currency exchange contracts:
Foreign currency transactions		1,654,821			4,312,322			3,943,730		$	776,629			127,931		1,319,141			—			651,449
Financial futures contracts		80,677			—			—			—			—		(55,985	)		(1,789	)		—
Options¹		(284,070	)		—			—			—			—		(286,514	)		—			—
Credit contracts:
Swaps		1,069,344			26,485			(1,690	)		—			418,010		1,069,799			—			100,404
Equity contracts:
Financial futures contracts		—			(4,013,355	)		(4,139,883	)		(351,168	)		8,944		—			—			—
Options¹		—			(299,690	)		(305,960	)		(63,085	)		—		—			—			—
Other contracts:
Swaps		(20,943	)		147,613			155,017			—			17,707		(21,156	)		—			—
Total	$	4,432,095		$	741,335		$	287,044		$	362,376		$	575,442	$	4,099,524		$	(7,602,950	)	$	455,774


	Net Change in Unrealized Appreciation/Depreciation on
	BHK			HYV			HYT			HIS			BHY			BNA			BKT			BHD
Interest rate contracts:
Financial futures contracts	$	230,875			—			—			—			—		$	(138,050	)	$	(4,582,177	)	$	(39,016	)
Swaps		(2,067,599	)		—			—			—			—			(1,981,571	)		(3,606,318	)		(5,031	)
Options¹		1,186,691			—			—			—			—			996,263			(45,921	)		804
Floors		—			—			—			—			—			—			(132,104	)		—
Foreign currency exchange contracts:
Foreign currency translations		(323,912	)	$	(907,433	)	$	(945,166	)	$	(106,696	)	$	(50,925	)		(256,118	)		—			(136,448	)
Options¹		135,731			—			—			—			—			135,962			—			—
Credit contracts:
Swaps		(1,465,644	)		1,285,245			1,322,677			—			(33,661	)		(1,461,808	)		—			7,002
Options¹		—			442,786			441,347			—			—			—
Equity contracts:
Financial futures contracts		—			1,527,880			1,445,117			(74,201	)		(87,001	)		—			—			—
Options¹		1,964			138,691			145,791			—			—			1,964			—			—
Other contracts:
Swaps		(43,272	)		(75,845	)		(79,649	)		—			(9,012	)		(43,387	)		—			—
Total	$	(2,345,166	)	$	2,411,324		$	2,330,117		$	(180,897	)	$	(180,599	)	$	(2,746,745	)	$	(8,366,520	)	$	(172,689	)


	¹	Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.



136	ANNUAL REPORT	AUGUST 31, 2012

Notes to Financial Statements (continued)

For the year ended August 31, 2012, the average quarterly balances of outstanding derivative financial instruments were as follows:


	BHK		HYV		HYT		HIS		BHY		BNA		BKT		BHD
Financial futures contracts:
Average number of contracts purchased		473		—		—		—		—		417		701		104
Average number of contracts sold		985		251		268		47		105		1,098		2,456		71
Average notional value of contracts purchased	$	82,301,499		—		—		—		—	$	75,561,028	$	167,816,530	$	17,324,354
Average notional value of contracts sold	$	173,289,403	$	16,326,923	$	17,458,743	$	3,117,803	$	447,068	$	190,259,132	$	345,297,583	$	11,084,828
Foreign currency exchange contracts:
Average number of contracts — US dollars purchased		17		12		12		3		2		17		—		5
Average number of contracts — US dollars sold		13		5		5		2		1		13		—		2
Average US dollar amounts purchased	$	26,325,319	$	42,189,090	$	44,556,322	$	7,453,583	$	1,654,551	$	23,975,916		—	$	7,374,380
Average US dollar amounts sold	$	11,264,688	$	2,508,355	$	2,424,661	$	438,070	$	97,708	$	9,844,045		—	$	42,529
Options:
Average number of option contracts purchased		11,327,182		873		903		256		3		11,344,048		184		10
Average number of option contracts written		7,377,659		723		748		214		—		7,383,241		—		—
Average notional value of option contracts purchased	$	18,577,180	$	11,372,000	$	11,764,500	$	3,424,500	$	2,829	$	18,596,841	$	460,625	$	9,157
Average notional value of option contracts written	$	12,602,655	$	8,943,875	$	9,253,750	$	2,645,250		—	$	12,608,246		—		—
Average number of swaption contracts purchased		7		1		1		—		—		7		1		4
Average number of swaption contracts written		20		1		1		—		1		21		1		3
Average notional value of swaption contracts purchased	$	78,870,299	$	3,750,000	$	3,750,000		—		—	$	78,995,299	$	6,200,000	$	5,413,045
Average notional value of swaption contracts written	$	322,850,000	$	7,668,750	$	8,188,750		—	$	47,500	$	324,525,000	$	11,100,000	$	3,550,000
Credit default swaps:
Average number of contracts — buy protection		8		10		10		—		8		8		—		4
Average number of contracts — sell protection		12		14		14		—		10		12		—		8
Average notional value — buy protection	$	9,598,710	$	8,895,674	$	9,287,633		—	$	609,250	$	9,608,791		—	$	1,053,750
Average notional value — sell protection	$	5,768,332	$	14,707,500	$	15,087,500		—	$	1,876,250	$	5,803,333		—	$	1,170,680
Interest rate swaps:
Average number of contracts — pays fixed rate		11		—		—		—		—		10		7		3
Average number of contracts — receives fixed rate		9		—		—		—		—		9		9		1
Average notional value — pays fixed rate	$	49,032,507		—		—		—		—	$	50,088,970	$	169,215,000	$	3,825,000
Average notional value — receives fixed rate	$	73,008,156		—		—		—		—	$	74,953,401	$	160,538,300	$	4,700,000
Total return swaps:
Average number of contracts		1		—		—		—		—		1		—		—
Average notional value	$	1,880,000		—		—		—		—	$	1,885,000		—		—

3. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”) is the largest stockholder and an affiliate, for 1940 Act purposes, of BlackRock, Inc. (“BlackRock”).

Each Trust entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Trusts’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory services for each Trust and administration services for BHK, HYV, HYT, HIS and BHD.

The following Trusts’ investment advisory fee paid to the Manager is computed weekly and payable monthly based on an annual rate of each Trust’s average total assets (including any assets attributable to borrowings) minus the sum of total liabilities (other than debt representing financial leverage):


BHK	0.55	%
HIS	0.75% of the first $200 million and 0.50% thereafter
BHY	0.90	%
BHD	0.75	%

The following Trusts’ investment advisory fee paid to the Manager is computed daily and payable monthly on an annual rate of each Trust’s average total assets (including any assets attributable to borrowings) minus the sum of total liabilities (other than debt representing financial leverage):


HYV	0.60	%
HYT	0.70	%

The following Trusts’ investment advisory fee paid to the Manager is computed weekly and payable monthly based on an annual rate of each Trust’s average net assets:


BNA	0.60	%
BKT	0.65	%

BHY, BNA and BKT each have an Administration Agreement with the Manager. The administration fee paid to the Manager is computed weekly and payable monthly based on an annual rate, 0.10% for BNA, and 0.15% for BKT, of each Trust’s average net assets and 0.10% for BHY of the Trust’s average weekly total assets.



ANNUAL REPORT	AUGUST 31, 2012	137

Notes to Financial Statements (continued)

Effective June 1, 2012, the Manager voluntarily agreed to waive a portion of investment advisory fee with respect to BHK at an annual rate of 0.03%, as a percentage of average weekly net assets. This voluntary waiver may be reduced or discontinued at any time without notice. For the year ended August 31, 2012, the Manager waived the following amount, which is included in fees waived by Manager in the Statements of Operations:


BHK		$	43,292

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Trust’s investment in other affiliated investment companies, if any. These amounts are included in fees waived by Manager in the Statements of Operations. For the year ended August 31, 2012, the amounts waived were as follows:


BHK	$	1,900
HYV	$	560
HYT	$	605
HIS	$	358
BHY	$	274
BNA	$	2,194
BKT	$	5,174
BHD	$	317

The Manager provides investment management and other services to the Taxable Subsidiaries. The Manager does not receive separate compensation from the Taxable Subsidiaries for providing investment management or administrative services. However, each Trust pays the Manager based on the Trust’s net assets which includes the assets of the Taxable Subsidiaries.

The Manager entered into a separate sub-advisory agreement with BlackRock Financial Management, Inc. (“BFM”), an affiliate of the Manager with respect to BHK, HYV, HYT, HIS, and BHD. The Manager pays BFM, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by each Trust to the Manager.

Certain officers and/or Trustees of the Trusts are officers and/or directors of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer.

4. Investments:

Purchases and sales of investments including paydowns, mortgage dollar roll and TBA transactions and excluding short-term securities and US government securities for the year ended August 31, 2012 were as follows:


	Purchases		Sales
BHK	$	800,256,616	$	728,545,394
HYV	$	380,608,670	$	326,326,484
HYT	$	396,858,097	$	338,721,092
HIS	$	106,749,661	$	93,979,209
BHY	$	45,550,402	$	32,712,501
BNA	$	812,428,173	$	765,326,104
BKT	$	2,796,139,329	$	2,896,610,840
BHD	$	57,116,026	$	53,543,361

Purchases and sales of US government securities, for the year ended August 31, 2012 were as follows:


	Purchases		Sales
BHK	$	821,284,505	$	853,663,620
BNA	$	803,189,252	$	806,472,859
BKT	$	1,083,252,576	$	1,103,958,530
BHD	$	3,455,391	$	2,438,248

For the year ended August 31, 2012, purchases and sales of mortgage dollar rolls were as follows:


	Purchases		Sales
BHK	$	289,098,633	$	289,445,908
BNA	$	295,719,125	$	296,083,283
BKT	$	2,045,020,139	$	2,047,518,910



138	ANNUAL REPORT	AUGUST 31, 2012

Notes to Financial Statements (continued)

Transactions in options written for the year ended August 31, 2012, were as follows:


	Calls									Puts
	Contracts			Notional (000)			Premiums Received			Contracts			Notional (000)			Premiums Received
BHK
Outstanding options, beginning of year		—		$	63,300		$	2,441,442			538		$	86,985		$	2,818,041
Options written		732			324,957			8,484,362			10,063			1,141,177			13,495,114
Options expired		(256	)		(35,376	)		(519,405	)		(751	)		(89,966	)		(1,286,801	)
Options exercised		(210	)		(19,981	)		(340,414	)		—			(26,566	)		(1,075,649	)
Options closed		(266	)		(158,600	)		(6,307,501	)		(350	)		(877,530	)		(8,976,290	)
Outstanding options, end of year		—		$	174,300		$	3,758,484			9,500		$	234,100		$	4,974,415

HYV
Outstanding options, beginning of year		—		$	24,175		$	296,835			664		$	26,475		$	688,420
Options written		1,350			7,000			422,017			10,665			8,675			1,041,204
Options expired		—			(17,175	)		(72,135	)		(2,625	)		(21,150	)		(546,704	)
Options exercised		—			—			—			(664	)		—			(23,620	)
Options closed		(1,350	)		(14,000	)		(646,717	)		(8,040	)		(14,000	)		(1,159,300	)
Outstanding options, end of year		—			—			—			—			—			—

HYT
Outstanding options, beginning of year		—		$	26,025		$	332,505			698		$	27,700		$	741,030
Options written		1,433			8,000			469,894			11,056			9,755			1,113,648
Options expired		—			(18,025	)		(75,705	)		(2,733	)		(21,455	)		(559,824	)
Options exercised		—			—			—			(698	)		—			(24,830	)
Options closed		(1,433	)		(16,000	)		(726,694	)		(8,323	)		(16,000	)		(1,270,024	)
Outstanding options, end of year		—			—			—			—			—			—

HIS
Outstanding options, beginning of year		—			—			—			—			—			—
Options written		417			—		$	47,111			3,144			—		$	216,097
Options expired		—			—			—			(772	)		—			(60,723	)
Options closed		(417	)		—			(47,111	)		(2,372	)		—			(155,374	)
Outstanding options, end of year		—			—			—			—			—			—

BNA
Outstanding options, beginning of year		—		$	61,300		$	2,208,194			539		$	85,015		$	2,585,615
Options written		732			324,839			8,489,189			10,062			1,141,787			13,500,808
Options expired		(257	)		(35,457	)		(521,077	)		(752	)		(93,376	)		(1,417,561	)
Options exercised		(209	)		(23,282	)		(469,163	)		—			(26,586	)		(1,076,634	)
Options closed		(266	)		(153,500	)		(5,952,916	)		(349	)		(873,140	)		(8,622,941	)
Outstanding options, end of year		—		$	173,900		$	3,754,227			9,500		$	233,700		$	4,969,287

BKT
Outstanding options, beginning of year		—		$	11,100		$	353,258			247		$	11,100		$	448,653
Options written		817			—			310,819			995			—			315,965
Options expired		(545	)		—			(165,290	)		(333	)		—			(128,259	)
Options exercised		(20	)		—			(3,050	)		—			—			—
Options closed		(252	)		(11,100	)		(495,737	)		(909	)		(11,100	)		(636,359	)
Outstanding options, end of year		—			—			—			—			—			—

BHD
Outstanding options, beginning of year		—			—			—			—			—			—
Options written		—		$	2,300		$	17,900			—		$	6,700		$	80,330
Options expired		—			—			—			—			—			—
Options exercised		—			—			—			—			—			—
Options closed		—			—			—			—			(2,400	)		(11,160	)
Outstanding options, end of year		—		$	2,300		$	17,900			—		$	4,300		$	69,170



ANNUAL REPORT	AUGUST 31, 2012	139

Notes to Financial Statements (continued)

5. Income Tax Information:

US GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. The following permanent differences as of August 31, 2012 attributable to the accounting for swap agreements, amortization methods on fixed income securities, foreign currency transactions, the expiration of capital loss carryforwards, the classification of settlement proceeds and income recognized from pass-through entities were reclassified to the following accounts:


	BHK			HYV			HYT			HIS			BHY			BNA			BKT			BHD
Paid-in capital		—			—		$	21		$	(2,339,285	)	$	(359,355	)		—			—		$	(7	)
Undistributed net investment income	$	2,249,842		$	4,746,848		$	4,324,947		$	430,354		$	262,400		$	271,013		$	896,424		$	705,040
Undistributed net realized gain (accumulated net realized loss)	$	(2,249,842	)	$	(4,746,848	)	$	(4,324,968	)	$	1,908,931		$	96,955		$	(271,013	)	$	(896,424	)	$	(705,033	)

The tax character of distributions paid during the fiscal years ended August 31, 2012 and August 31, 2011 was as follows:


		BHK		HYV		HYT		HIS		BHY		BNA		BKT		BHD
Ordinary income	8/31/12	$	22,212,928	$	35,208,709	$	36,599,844	$	11,172,280	$	3,374,830	$	22,258,816	$	30,308,765	$	7,652,086
	8/31/11		23,726,515		35,008,792		35,241,068		11,407,404		3,278,764		22,287,310		21,772,433		7,845,469
Tax return of capital	8/31/12		—		—		—		—		—		—		—		—
	8/31/11		—		—		—		—		76,404		—		—		—
Total	8/31/12	$	22,212,928	$	35,208,709	$	36,599,844	$	11,172,280	$	3,374,830	$	22,258,816	$	30,308,765	$	7,652,086
	8/31/11	$	23,726,515	$	35,008,792	$	35,241,068	$	11,407,404	$	3,355,168	$	22,287,310	$	21,772,433	$	7,845,469

As of August 31, 2012, the tax components of accumulated earnings (losses) were as follows:


	BHK			HYV			HYT			HIS			BHY			BNA			BKT			BHD
Undistributed ordinary income	$	7,179,584		$	8,278,405		$	8,986,591		$	2,167,616		$	276,258		$	5,282,247		$	8,501,259		$	915,305
Capital loss carryforwards		(13,142,723	)		(77,179,413	)		(92,270,895	)		(38,740,870	)		(14,071,529	)		(22,808,791	)		—			(4,815,182	)
Net unrealized gains¹		38,360,013			15,063,691			14,813,038			2,604,619			2,500,489			40,048,272			22,408,942			7,270,283
Qualified late-year losses²		—			—			(1,698,041	)		(737,468	)		—			—			(1,600,629	)		(146,814	)
Total	$	32,396,874		$	(53,837,317	)	$	(70,169,307	)	$	(34,706,103	)	$	(11,294,782	)	$	22,521,728		$	29,309,572		$	3,223,592


	¹	The differences between book-basis and tax-basis net unrealized gains was attributable primarily to the tax deferral of losses on wash sales, amortization methods for premiums and discounts on fixed income securities, the accrual of income on securities in default, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency contracts, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies, the timing and recognition of partnership income, the deferral of compensation to trustees, the classification of settlement proceeds and the accounting for swap agreements.

	²	The Trusts have elected to defer certain qualified late-year losses and recognize such losses in the year ending August 31, 2013.

As of August 31, 2012, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:


Expires August 31,	BHK		HYV		HYT		HIS		BHY		BNA		BHD
2014		—		—		—	$	7,043,976	$	2,060,533		—		—
2015		—		—		—		—		2,467,772		—		—
2016	$	5,726,723		—		—		10,829,322		2,039,760	$	4,475,065	$	49,487
2017		7,416,000	$	25,473,528	$	31,939,528		3,140,056		916,541		7,369,088		930,008
2018		—		45,786,653		54,927,764		15,169,557		5,191,260		10,964,638		3,835,687
2019		—		—		—		—		737,843		—		—
No expiration date³		—		5,919,232		5,403,603		2,557,959		657,820		—		—
Total	$	13,142,723	$	77,179,413	$	92,270,895	$	38,740,870	$	14,071,529	$	22,808,791	$	4,815,182


	³	Must be utilized prior to losses subject to expiration.

During the year ended August 31, 2012, the Trusts listed below utilized the following amounts of their respective capital loss carryforward:


BHK	$	11,081,061
BNA	$	8,754,212
BHD	$	579,124



140	ANNUAL REPORT	AUGUST 31, 2012

Notes to Financial Statements (continued)

As of August 31, 2012 gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:


	BHK			HYV			HYT			HIS			BHY			BNA			BKT			BHD
Tax cost	$	575,452,071		$	570,814,818		$	595,622,184		$	160,555,430		$	62,860,208		$	577,303,603		$	862,264,138		$	120,940,890
Gross unrealized appreciation	$	46,321,109		$	33,725,351		$	34,004,904		$	7,408,411		$	3,510,792		$	48,090,293		$	45,427,525		$	9,062,332
Gross unrealized depreciation		(7,363,534	)		(20,307,295	)		(20,877,274	)		(4,745,287	)		(1,126,317	)		(7,393,715	)		(20,955,004	)		(1,713,206	)
Net unrealized appreciation	$	38,957,575		$	13,418,056		$	13,127,630		$	2,663,124		$	2,384,475		$	40,696,578		$	24,472,521		$	7,349,126

6. Borrowings:

HYV, HYT, HIS, BHY and BHD entered into a senior committed secured, 364-day revolving line of credit and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). The Trusts have granted a security interest in substantially all of their assets to SSB. The SSB Agreement allowed for the following maximum commitment amounts:


	Commitment Amounts
HYV	$	204,500,000
HYT	$	213,800,000
HIS	$	63,600,000
BHY	$	23,000,000
BHD	$	50,200,000

Prior to March 2, 2012, advances were made by SSB to the Trusts, at the Trusts’ option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above the Overnight LIBOR or (b) 0.80% above the 7-day, 30-day, 60-day or 90-day LIBOR.

Effective March 2, 2012, advances were made by SSB to the Trusts, at the Trusts’ option of (a) the higher of (i) 0.75% above the Fed Funds rate and (ii) 0.75% above the Overnight LIBOR or (b) 0.75% above the 7-day, 30-day, 60-day or 90-day LIBOR.

In addition, the Trusts pay a facility fee and a commitment fee based upon SSB’s total commitment to the Trusts. The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs. Advances to the Trusts as of August 31, 2012 are shown in the Statements of Assets and Liabilities as loan payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.

The Trusts may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.

For the year ended August 31, 2012, the daily weighted average interest rates for Trusts with loans under the revolving credit agreements were as follows:


	Daily Weighted Average Interest Rate
HYV		0.94	%
HYT		0.94	%
HIS		0.94	%
BHY		0.94	%
BHD¹		0.94	%


	¹	Includes treasury roll transactions.

For the year ended August 31, 2012, the daily weighted average interest rates for Trusts with borrowings from reverse repurchase agreements and treasury roll transactions were as follows:


	Daily Weighted Average Interest Rate
BHK		0.21	%
BNA		0.20	%
BKT		0.18	%

7. Commitments:

Certain Trusts may invest in floating rate loan interests. In connection with these investments, the Trusts may also enter into bridge loan commitments (“commitments”). Bridge loan commitments may obligate the Trusts to furnish temporary financing to a borrower until permanent financing can be arranged. As of August 31, 2012, the Trusts had outstanding bridge loan commitments as follows:


	Commitment Amounts
HYV	$	970,000
HYT	$	1,015,000
HIS	$	285,000
BHY	$	110,000
BHD	$	235,000

In connection with these commitments, the Trusts earn a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Commitment fees received in advance and unrecognized are recorded on the Statements of Assets and Liabilities as deferred income.



ANNUAL REPORT	AUGUST 31, 2012	141

Notes to Financial Statements (concluded)

8. Concentration, Market and Credit Risk:

In the normal course of business, the Trusts invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Trusts; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Trusts may be exposed to counterparty credit risk, or the risk that an entity with which the Trusts have unsettled or open transactions may fail to or be unable to perform on its commitments. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.

Certain Trusts invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Please see the Schedules of Investments for these securities. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.

9. Capital Share Transactions:

BHK, BHY and BHD are authorized to issue an unlimited number of shares, par value $0.001, all of which were initially classified as Common Shares. BNA and BKT are authorized to issue 200 million shares, par value $0.01, all of which were initially classified as Common Shares. HYV and HYT are authorized to issue 200 million shares, par value $0.10, all of which were initially classified as Common Shares. HIS is authorized to issue an unlimited number of shares, no par value, all of which were initially classified as Common Shares. The Board is authorized, however, to reclassify any unissued shares without approve of Common Shareholders.

For the years shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:


	Year Ended August 31, 2012		Year Ended August 31, 2011
BHK		4,404		—
HYV		59,289		—
HYT		85,180		—
HIS		124,205		—
BHY		2,000		—
BHD		3,546		—

Shares issued and outstanding remained constant during the year ended August 31, 2012 and the year ended August 31, 2011 for BNA and BKT.

10. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following item was noted:

The Trusts paid a net investment income dividend in the following amounts per share on September 28, 2012 to shareholders of record on September 14, 2012:


	Common Dividend Per Share
BHK	$	0.0730
HYV	$	0.0900
HYT	$	0.0875
HIS	$	0.0152
BHY	$	0.0445
BNA	$	0.0570
BKT	$	0.0405
BHD	$	0.0845

Additionally, the Trusts declared a net investment income dividend on October 1, 2012 payable to shareholders of record on October 15, 2012 for the same amounts noted above.



142	ANNUAL REPORT	AUGUST 31, 2012

Report of Independent Registered Public Accounting Firm

To the Shareholders and Board of Trustees/Directors of

BlackRock Core Bond Trust,

BlackRock Corporate High Yield Fund V, Inc.,

BlackRock Corporate High Yield Fund VI, Inc.,

BlackRock High Income Shares,

BlackRock High Yield Trust,

BlackRock Income Opportunity Trust, Inc.,

BlackRock Income Trust, Inc., and

BlackRock Strategic Bond Trust:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of BlackRock Core Bond Trust, BlackRock High Income Shares, BlackRock High Yield Trust, BlackRock Income Opportunity Trust, Inc., BlackRock Income Trust, Inc., and BlackRock Strategic Bond Trust (collectively, the “Trusts”) as of August 31, 2012, 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. We have also audited the consolidated statements of assets and liabilities, including the consolidated schedules of investments of BlackRock Corporate High Yield Fund V, Inc. and BlackRock Corporate High Yield Fund VI, Inc., (collectively, the “Trusts”) as of August 31, 2012, and the related consolidated statements of operations and consolidated cash flows for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, and the consolidated 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 audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trusts are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting.

Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trusts’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of August 31, 2012, by correspondence with the custodian, brokers, and agent banks; where replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial positions of BlackRock Core Bond Trust, BlackRock High Income Shares, BlackRock High Yield Trust, BlackRock Income Opportunity Trust, Inc., BlackRock Income Trust, Inc., and BlackRock Strategic Bond Trust, 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 their financial highlights for each of the periods presented, and the consolidated financial positions of BlackRock Corporate High Yield Fund V, Inc. and BlackRock Corporate High Yield Fund VI, Inc., as of August 31, 2012, the consolidated results of their operations and their consolidated cash flows for the year then ended, the consolidated changes in their net assets for each of the two years in the period then ended, and their consolidated financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP
Boston, Massachusetts
October 26, 2012

Important Tax Information (Unaudited)

The following information is provided with respect to the ordinary income distributions paid during the fiscal year ended August 31, 2012.


	Payable Dates	BHK			HYV			HYT			HIS			BHY			BNA			BKT			BHD
Interest-Related Dividends and Qualified Short-Term Capital Gains for Non-US Residents¹	September 2011 – January 2012		92.27	%		98.58	%		100.00	%		94.41	%		92.40	%		94.79	%		100.00	%		69.80	%
	February 2012 – August 2012		66.03	%		61.01	%		66.09	%		70.48	%		73.65	%		73.86	%		91.88	%		77.85	%
Federal Obligation Interest²	September 2011 – August 2012		9.59	%		—			—			—			—			9.91	%		8.95	%		—


	¹	Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.

	²	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.



ANNUAL REPORT	AUGUST 31, 2012	143

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

The Board of Directors or Trustees and as applicable (each, a “Board,” collectively, the “Boards,” and the members of which are referred to as “Board Members”) of BlackRock Core Bond Trust (“BHK”), BlackRock Corporate High Yield Fund V, Inc. (“HYV”), BlackRock Corporate High Yield Fund VI, Inc. (“HYT”), BlackRock High Income Shares (“HIS”), BlackRock High Yield Trust (“BHY”), BlackRock Income Opportunity Trust, Inc. (“BNA”), BlackRock Income Trust, Inc. (“BKT”) and BlackRock Strategic Bond Trust (“BHD” and together with BHK, HYV, HYT, HIS, BHY, BNA and BKT, each a “Fund,” and, collectively, the “Funds”) met on April 26, 2012 and May 22–23, 2012 to consider the approval of each Fund’s investment advisory agreement (each, an “Advisory Agreement”) with BlackRock Advisors, LLC (the “Manager”), each Fund’s investment advisor. The Board of each of HYV, HYT, HIS and BHD also considered the approval of the sub-advisory agreement (each, a “Sub-Advisory Agreement”) among the Manager, BlackRock Financial Management, Inc. (the “Sub-Advisor”), and its Fund. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreements and the Sub-Advisory Agreements are referred to herein as the “Agreements.”

Activities and Composition of the Board

Each Board consists of eleven individuals, nine of whom are not “interested persons” of such Fund as defined in the Investment Company Act of 1940 (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Funds and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chairman of the Board is an Independent Board Member. Each Board has established six standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee, an Executive Committee, and a Leverage Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee and the Leverage Committee, each of which also has one interested Board Member).

The Agreements

Pursuant to the 1940 Act, the Boards are required to consider the continuation of the Agreements on an annual basis. The Boards have four quarterly meetings per year, each extending over two days, and a fifth meeting to consider specific information surrounding the consideration of renewing the Agreements. In connection with this process, the Boards assessed, among other things, the nature, scope and quality of the services provided to the Funds by BlackRock, its personnel and its affiliates, including investment management, administrative and shareholder services, oversight of fund accounting and custody, marketing services, risk oversight, compliance and assistance in meeting applicable legal and regulatory requirements.

The Boards, acting directly and through their respective committees, considered at each of their meetings, and from time to time as appropriate, factors that are relevant to their annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Funds and their shareholders. Among the matters the Boards considered were: (a) investment performance for one-, three- and five-year periods, as applicable, against peer funds, and applicable benchmarks, if any, as well as senior management’s and portfolio managers’ analysis of the reasons for any over performance or underperformance against their peers and/or benchmark, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Funds for services such as call center and fund accounting; (c) Fund operating expenses and how BlackRock allocates expenses to the Funds; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Funds’ investment objectives, policies and restrictions; (e) the Funds’ compliance with their Code of Ethics and other compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Boards; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of the Funds’ valuation and liquidity procedures; (k) an analysis of management fees ratios for products with similar investment objectives across the open-end fund, closed-end fund and institutional account product channels, as applicable; (l) BlackRock’s compensation methodology for its investment professionals and the incentives it creates; and (m) periodic updates on BlackRock’s business.

The Boards have engaged in an ongoing strategic review with BlackRock of opportunities to consolidate funds and of BlackRock’s commitment to investment performance. In addition, the Boards requested, to the extent reasonably possible, an analysis of the risk and return relative to selected funds in peer groups. BlackRock provides information to the Boards in response to specific questions. These questions covered issues such as profitability, including the impact of BlackRock’s upfront costs in sponsoring closed-end funds and the relative profitability of closed-end and open end funds, investment performance and management fee levels. The Boards considered the importance of: (i) managing fixed income assets with a view toward preservation of capital; (ii) portfolio managers’ investments in the funds they manage; (iii) BlackRock’s controls surrounding the coding of quantitative investment models; and (iv) BlackRock’s oversight of relationships with third party service providers.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April 26, 2012 meeting, the Boards requested and received materials specifically relating to the Agreements. The Boards are engaged in a process with its independent legal counsel and BlackRock to review periodically the nature and scope of the information provided to better assist their deliberations. The materials provided in connection with the April meeting included (a) information independently compiled and prepared by Lipper, Inc. (“Lipper”) on Fund fees and expenses and the investment performance of the Funds as compared with a peer group of funds as determined by Lipper (collectively, “Peers”), as well as the gross investment performance of each of BHK, BNA, BKT and BHD as compared with its respective custom benchmark; (b) information on the profitability of the Agreements to BlackRock and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees (a combination of the advisory fee and the administration fee, if any) charged to other clients, such as institutional clients and open-end funds, under similar investment mandates, as applicable; (d) the existence, impact and sharing of potential economies of scale; (e) a summary of aggregate amounts paid by each Fund to BlackRock



144	ANNUAL REPORT	AUGUST 31, 2012

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

and (f) if applicable, a comparison of management fees to similar BlackRock closed-end funds, as classified by Lipper.

At an in-person meeting held on April 26, 2012, the Boards reviewed materials relating to their consideration of the Agreements. As a result of the discussions that occurred during the April 26, 2012 meeting, and as a culmination of the Boards’ year-long deliberative process, the Boards presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the May 22–23, 2012 Board meeting.

At an in-person meeting held on May 22–23, 2012, each Board, including all the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Fund, and the Board of each of HYV, HYT, HIS and BHD, including all the Independent Board Members, unanimously approved the continuation of the Sub-Advisory Agreement among the Manager, the Sub-Advisor, and its Fund, each for a one-year term ending June 30, 2013. In approving the continuation of the Agreements, the Boards considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Funds and BlackRock; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Funds; (d) economies of scale; (e) fall-out benefits to BlackRock as a result of its relationship with the Funds; and (f) other factors deemed relevant by the Board Members.

The Boards also considered other matters they deemed important to the approval process, such as payments made to BlackRock or its affiliates relating to securities lending, services related to the valuation and pricing of Fund portfolio holdings, direct and indirect benefits to BlackRock and its affiliates from their relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Boards’ review. The Boards noted the willingness of BlackRock personnel to engage in open, candid discussions with the Boards. The Boards did not identify any particular information as controlling, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Boards, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Funds. Throughout the year, the Boards compared Fund performance to the performance of a comparable group of closed-end funds and/or the performance of a relevant benchmark, if any. The Boards met with BlackRock’s senior management personnel responsible for investment operations, including the senior investment officers. Each Board also reviewed the materials provided by its Fund’s portfolio management team discussing Fund performance and the Fund’s investment objective, strategies and outlook.

The Boards considered, among other factors, the number, education and experience of BlackRock’s investment personnel generally and their Funds’ portfolio management teams, investments by portfolio managers in the funds they manage, BlackRock’s portfolio trading capabilities, BlackRock’s use of technology, BlackRock’s commitment to compliance, BlackRock’s credit analysis capabilities, BlackRock’s risk analysis and oversight capabilities and BlackRock’s approach to training and retaining portfolio managers and other research, advisory and management personnel. The Boards engaged in a review of BlackRock’s compensation structure with respect to their Funds’ portfolio management teams and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to advisory services, the Boards considered the quality of the administrative and non-investment advisory services provided to the Funds. BlackRock and its affiliates provide the Funds with certain services (in addition to any such services provided to the Funds by third parties) and officers and other personnel as are necessary for the operations of the Funds. In particular, BlackRock and its affiliates provide the Funds with the following administrative services including, among others: (i) preparing disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of the Funds; (iii) assisting with daily accounting and pricing; (iv) preparing periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of other service providers; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; and (viii) performing other administrative functions necessary for the operation of the Funds, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Boards reviewed the structure and duties of BlackRock’s fund administration, accounting, legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Funds and BlackRock: The Boards, including the Independent Board Members, also reviewed and considered the performance history of their Funds. In preparation for the April 26, 2012 meeting, the Boards worked with its independent legal counsel, BlackRock and Lipper to develop a template for, and was provided with reports independently prepared by Lipper, which included a comprehensive analysis of each Fund’s performance. The Boards also reviewed a narrative and statistical analysis of the Lipper data that was prepared by BlackRock, which analyzed various factors that affect Lipper’s rankings. In connection with their review, each Board received and reviewed information regarding the investment performance, based on net asset value (NAV), of its Fund as compared to funds in that Fund’s applicable Lipper category, and with respect to BHK, BNA, BKT and BHD, the gross investment performance of each such Fund as compared with its respective custom benchmark. The Boards were provided with a description of the methodology used by Lipper to select peer funds and periodically meets with Lipper representatives to review their methodology. Each Board and its Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of its Fund throughout the year.

The Board of BHK noted that BHK’s gross performance exceeded its customized benchmark during the three- and five-year periods reported, although performance for the one-year period reported underperformed the customized benchmark. The Board of BHK and BlackRock reviewed and discussed the reasons for BHK’s underperformance during the one-year period and will monitor closely BHK’s performance in the coming year. Based on its



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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

discussions with BlackRock and the Board’s review of BHK’s investment performance compared to its Lipper Peer Group, the methodology used by Lipper to select peer funds, and other relevant information provided by BlackRock, BHK’s Board noted that BHK’s gross investment performance as compared to its customized benchmark provided a more meaningful comparison of BHK’s relative performance.

The Board of each of HYV and HIS noted that, in general, its respective Fund performed better than its Peers in that the Fund’s performance was at or above the median of its Lipper Performance Universe in the three- and five-year periods reported, although performance for the one-year period reported was below the median. The Boards of HYV and HIS and BlackRock reviewed and discussed the reasons for the Funds’ underperformance during the one-year period and will monitor closely the Funds’ performance in the coming year.

The Board of BHY noted that, in general, BHY performed better than its Peers in that BHY’s performance was at or above the median of its Lipper Performance Universe in each of the one-, three- and five-year periods reported.

The Board of each of BKT and BHD noted that its respective Fund’s gross performance exceeded its customized benchmark during each of the one-, three- and five-year periods reported. Based on its discussions with BlackRock and the Board’s review of the Fund’s investment performance compared to its Lipper Peer Group, the methodology used by Lipper to select peer funds, and other relevant information provided by BlackRock, the Board of each of BKT and BHD noted that its respective Fund’s gross investment performance as compared to its customized benchmark provided a more meaningful comparison of the Fund’s relative performance.

The Board of HYT noted that HYT performed below the median of its Lipper Performance Universe in the one- and five-year periods reported, but that HYT performed at or above the median of its Lipper Performance Universe in the three-year period reported. The Board of HYT and BlackRock reviewed and discussed the reasons for HYT’s underperformance during the one- and five-year periods compared with its Peers. HYT’s Board was informed that, among other things, over the one-year period, most of the underperformance came in the fourth quarter as risk markets rebounded from deeply oversold conditions reached in August and September. HYT’s five-year period performance was largely led by holding a significant cash position as the market had a significant bounce in December of 2008.

The Board of BNA noted that BNA’s gross performance underperformed its customized benchmark in the one- and five-year periods reported, but that BNA’s gross performance exceeded its customized benchmark in the three-year period reported. Based on its discussions with BlackRock and the Board’s review of BNA’s investment performance compared to its Lipper Peer Group, the methodology used by Lipper to select peer funds, and other relevant information provided by BlackRock, the Board of BNA noted that BNA’s gross investment performance as compared to its customized benchmark provided a more meaningful comparison of BNA’s relative performance. The Board of BNA and BlackRock reviewed and discussed the reasons for BNA’s underperformance during the one- and five-year periods compared with its customized benchmark. BNA’s Board was informed that, among other things, BNA’s performance continues to be impacted by the significant negative performance experienced in 2008 when BNA’s overweight in spread assets, including asset-backed securities (ABS), mortgage-backed securities (MBS) and commercial mortgage-backed securities (CMBS) proved to be detrimental. Detracting from performance in the one-year period was an underweight to U.S. Treasuries as they continued to be well bid, even in the face of strong returns in non-government debt securities.

The Boards of HYT and BNA and BlackRock discussed BlackRock’s strategy for improving the Funds’ performance and BlackRock’s commitment to providing the resources necessary to assist the Funds’ portfolio managers and to improve the Funds’ performance.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Funds: Each Board, including the Independent Board Members, reviewed its Fund’s contractual management fee rate compared with the other funds in its Lipper category. It also compared the Fund’s total expense ratio, as well as actual management fee rate, to those of other funds in its Lipper category. The Boards considered the services provided and the fees charged by BlackRock to other types of clients with similar investment mandates, including separately managed institutional accounts.

The Boards received and reviewed statements relating to BlackRock’s financial condition and profitability with respect to the services it provided the Funds. The Boards were also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Funds. The Boards reviewed BlackRock’s profitability with respect to the Funds and other funds the Boards currently oversee for the year ended December 31, 2011 compared to available aggregate profitability data provided for the years ended December 31, 2010, and Decem-ber 31, 2009. The Boards reviewed BlackRock’s profitability with respect to other fund complexes managed by the Manager and/or its affiliates. The Boards reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Boards recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, expense allocations and business mix, and the difficulty of comparing profitability as a result of those factors.

The Boards noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Boards considered BlackRock’s overall operating margin, in general, compared to the operating margin for leading investment management firms whose operations include advising closed-end funds, among other product types. In addition, the Boards considered, among other things, certain third party data comparing BlackRock’s operating margin with that of other publicly-traded asset management firms. The Boards considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

In addition, the Boards considered the cost of the services provided to the Funds by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management of the Funds and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Boards reviewed BlackRock’s



146	ANNUAL REPORT	AUGUST 31, 2012

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (concluded)

methodology in allocating its costs to the management of the Funds. The Boards also considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Boards.

The Board of each of BHK, HYV, HYT, BKT and BHD noted that its respective Fund’s contractual management fee ratio (a combination of the advisory fee and the administration fee, if any) was lower than or equal to the median contractual management fee ratio paid by the Fund’s Peers, in each case before taking into account any expense reimbursements or fee waivers.

The Board of BHK noted that after discussions between the Board, including the Independent Board Members, and BlackRock, BHK’s Board and BlackRock agreed to a voluntary advisory fee reduction effective June 1, 2012.

The Board of HIS noted that the Fund’s contractual management fee ratio (a combination of the advisory fee and the administration fee, if any) was lower than or equal to the median contractual management fee ratio paid by the Fund’s Peers, in each case before taking into account any expense reimbursements or fee waivers. The Board of HIS also noted that HIS has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the size of HIS increases above certain contractually specified levels.

The Board of BHY noted that BHY’s contractual management fee ratio (a combination of the advisory fee and the administration fee, if any) was above the median contractual management fee ratio paid by BHY’s Peers, in each case before taking into account any expense reimbursements or fee waivers. BHY’s Board also noted, however, that although BHY’s contractual management fee ratio, after giving effect to any expense reimbursement or fee waivers by BlackRock, was above the median contractual management fee ratio of its Peers, the contractual management fee ratio was in the third quartile.

The Board of BNA noted that BNA’s contractual management fee ratio (a combination of the advisory fee and the administration fee, if any) was above the median contractual management fee ratio paid by BNA’s Peers, in each case before taking into account any expense reimbursements or fee waivers. BNA’s Board also noted, however, that BNA’s actual total expense ratio, after giving effect to any expense reimbursement or fee waivers by BlackRock, was reasonable relative to the median actual total expense ratio paid by BNA’s Peers, after giving effect to any expense reimbursement or fee waivers.

D. Economies of Scale: Each Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of its Fund increase. Each Board also considered the extent to which its Fund benefits from such economies and whether there should be changes in the advisory fee rate or structure in order to enable the Fund to participate in these economies of scale, for example through the use of breakpoints, and in the case of HIS, revised breakpoints, in the advisory fee based upon the asset level of the Fund.

Based on the Boards’ review and consideration of the issue, the Boards concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. They are typically priced at scale at a fund’s inception. The Boards noted that only one closed-end fund in the Fund Complex, HIS, has breakpoints in its advisory fee structure.

E. Other Factors Deemed Relevant by the Board Members: The Boards, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with the Funds, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Funds, including securities lending and cash management services. The Boards also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Boards also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Boards further noted that they had considered the investment by BlackRock’s funds in exchange traded funds (i.e., ETFs) without any offset against the management fees payable by the funds to BlackRock.

In connection with its consideration of the Agreements, the Boards also received information regarding BlackRock’s brokerage and soft dollar practices. The Boards received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

The Boards noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Fund shares in the secondary market if they believe that the Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.

Conclusion

Each Board, including all the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Fund for a one-year term ending June 30, 2013. The Board of each of HYV, HYT, HIS and BHD, including all the Independent Board Members, unanimously approved the continuation of the Sub-Advisory Agreement among the Manager, the Sub-Advisor, and its Fund for a one-year term ending June 30, 2013. Based upon its evaluation of all of the aforementioned factors in their totality, the Boards, including the Independent Board Members, were satisfied that the terms of the Agreements were fair and reasonable and in the best interest of the Funds and their shareholders. In arriving at their decision to approve the Agreements, the Boards did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making these determinations. The contractual fee arrangements for the Funds reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.



ANNUAL REPORT	AUGUST 31, 2012	147

Automatic Dividend Reinvestment Plans

Pursuant to each Trust’s Dividend Reinvestment Plan (the “Reinvestment Plan”), Common Shareholders are automatically enrolled to have all distributions of dividends and capital gains reinvested by Computershare Trust Company, N.A. (the “Reinvestment Plan Agent”) in the respective Trust’s shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street or other nominee name, then to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.

After the Trusts declare a dividend or determine to make a capital gain distribution, the Reinvestment Plan Agent will acquire shares for the participants’ accounts, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Trusts (“newly issued shares”) or (ii) by purchase of outstanding shares on the open market or on the Trust’s primary exchange (“open-market purchases”). If, on the dividend payment date, the net asset value per share (“NAV”) is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market premium”), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares acquired on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the dividend payment date, the dollar amount of the dividend will be divided by 95% of the market price on the dividend payment date. If, on the dividend payment date, the NAV is greater than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market discount”), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment Plan Agent is unable to invest the full dividend amount in open-market purchases, or if the market discount shifts to a market premium during the purchase period, the Reinvestment Plan Agent will invest any un-invested portion in newly issued shares. Investments in newly issued shares made in this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.

Participation in the Reinvestment Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend record date. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.

The Reinvestment Plan Agent’s fees for the handling of the reinvestment of dividends and distributions will be paid by each Trust. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Reinvestment Plan 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 Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan. However, each Trust reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants that request a sale of shares are subject to a $2.50 sales fee and a $0.15 per share fee. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N.A. through the internet at www.computershare.com/investor, or in writing to Computershare, P.O. Box 43078, Providence, RI 02940-3078, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at 250 Royall Street, Canton, MA 02021.



148	ANNUAL REPORT	AUGUST 31, 2012

Officers and Trustees


Name, Address and Year of Birth	Position(s) Held with Trusts	Length of Time Served as a Trustee²	Principal Occupation(s) During Past Five Years	Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Directorships
Independent Trustees¹
Richard E. Cavanagh 55 East 52nd Street New York, NY 10055 1946	Chairman of the Board and Trustee	Since 1994	Trustee, Aircraft Finance Trust from 1999 to 2009; Director, The Guardian Life Insurance Company of America since 1998; Director, Arch Chemical (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Adjunct Lecturer, Harvard University since 2007; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.	98 RICs consisting of 94 Portfolios	None
Karen P. Robards 55 East 52nd Street New York, NY 10055 1950	Vice Chairperson of the Board, Chairperson of the Audit Committee and Trustee	Since 2007	Partner of Robards & Company, LLC (financial advisory firm) since 1987; Co-founder and Director of the Cooke Center for Learning and Develop- ment (a not-for-profit organization) since 1987; Director of Care Investment Trust, Inc. (health care real estate investment trust) from 2007 to 2010; Investment Banker at Morgan Stanley from 1976 to 1987.	98 RICs consisting of 94 Portfolios	AtriCure, Inc. (medical devices)
Michael J. Castellano 55 East 52nd Street New York, NY 10055 1946	Trustee and Member of the Audit Committee	Since 2011	Managing Director and Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non-profit) since 2009; Director, National Advisory Board of Church Management at Villanova University since 2010.	98 RICs consisting of 94 Portfolios	None
Frank J. Fabozzi 55 East 52nd Street New York, NY 10055 1948	Trustee and Member of the Audit Committee	Since 1988	Editor of and Consultant for The Journal of Portfolio Management since 1986; Professor of Finance, EDHEC Business School since 2011; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011; Adjunct Professor of Finance and Becton Fellow, Yale University from 1994 to 2006.	98 RICs consisting of 94 Portfolios	None
Kathleen F. Feldstein 55 East 52nd Street New York, NY 10055 1941	Trustee	Since 2005	President of Economics Studies, Inc. (private economic consulting firm) since 1987; Chair, Board of Trustees, McLean Hospital from 2000 to 2008 and Trustee Emeritus thereof since 2008; Member of the Board of Partners Community Healthcare, Inc. from 2005 to 2009; Member of the Corporation of Partners HealthCare since 1995; Trustee, Museum of Fine Arts, Boston since 1992; Member of the Visiting Committee to the Harvard University Art Museum since 2003; Director, Catholic Charities of Boston since 2009.	98 RICs consisting of 94 Portfolios	The McClatchy Company (publishing); BellSouth (telecommunications); Knight Ridder (publishing)
James T. Flynn 55 East 52nd Street New York, NY 10055 1939	Trustee and Member of the Audit Committee	Since 2007	Chief Financial Officer of JPMorgan & Co., Inc. from 1990 to 1995.	98 RICs consisting of 94 Portfolios	None
Jerrold B. Harris 55 East 52nd Street New York, NY 10055 1942	Trustee	Since 2007	Trustee, Ursinus College since 2000; Director, Troemner LLC (scientific equipment) since 2000; Director of Delta Waterfowl Foundation since 2001; President and Chief Executive Officer, VWR Scientific Products Corporation from 1990 to 1999.	98 RICs consisting of 94 Portfolios	BlackRock Kelso Capital Corp. (business development company)



ANNUAL REPORT	AUGUST 31, 2012	149

Officers and Trustees (continued)

Name, Address
and Year of Birth

Position(s)
Held with
Trusts

Length
of Time
Served as
a Trustee²

Principal Occupation(s) During Past Five Years

Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen

Public
Directorships

Independent Trustees¹(concluded)

R. Glenn Hubbard
55 East 52nd Street
New York, NY 10055
1958

Trustee

Since
2004

Dean, Columbia Business School since 2004; Columbia faculty member since 1988; Co-Director, Columbia Business School’s Entrepreneurship Program from 1997 to 2004; Chairman, U.S. Council of Economic Advisers under the President of the United States from 2001 to 2003; Chairman, Economic Policy Committee of the OECD from 2001 to 2003.

98 RICs consisting of 94 Portfolios

ADP (data and information services); KKR Financial Corporation (finance); Metropolitan Life Insurance Company (insurance)

W. Carl Kester
55 East 52nd Street
New York, NY 10055
1951

Trustee and Member of the Audit Committee

Since
2007

George Fisher Baker Jr. Professor of Business Administration, Harvard Business School; Deputy Dean for Academic Affairs from 2006 to 2010; Chairman of the Finance Department, Harvard Business School from 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program of Harvard Business School from 1999 to 2005; Member of the faculty of Harvard Business School since 1981.

98 RICs consisting of 94 Portfolios

None

Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon finding good cause thereof. In 2011, the Board of Trustees unanimously approved extending the mandatory retirement age for James T. Flynn by one additional year, which the Board believes would be in the best interest of shareholders.

Date shown is the earliest date a person has served for the Trusts covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. As a result, although the chart shows certain Trustees as joining the Trusts’ board in 2007, each Trustee first became a member of the board of other legacy MLIM or legacy BlackRock Funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; Kathleen F. Feldstein, 2005; James T. Flynn, 1996; Jerrold B. Harris, 1999; R. Glenn Hubbard, 2004; W. Carl Kester, 1995; and Karen P. Robards, 1998.

Interested Trustees³

Paul L. Audet
55 East 52nd Street
New York, NY 10055
1953

Trustee

Since
2011

Senior Managing Director of BlackRock and Head of U.S. Mutual Funds since 2011; Chair of the U.S. Mutual Funds Committee reporting to the Global Executive Committee since 2011; Head of BlackRock’s Real Estate business from 2008 to 2011; Member of BlackRock’s Global Operating and Corporate Risk Management Committees and of the BlackRock Alternative Investors Executive Committee and Investment Committee for the Private Equity Fund of Funds business since 2008; Head of BlackRock’s Global Cash Management business from 2005 to 2010; Acting Chief Financial Officer of BlackRock from 2007 to 2008; Chief Financial Officer of BlackRock from 1998 to 2005.

160 RICs consisting of 278 Portfolios

None

Henry Gabbay
55 East 52nd Street
New York, NY 10055
1947

Trustee

Since
2007

Consultant, BlackRock from 2007 to 2008; Managing Director, BlackRock from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Bond Allocation Target Shares from 2005 to 2007; Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006.

160 RICs consisting of 278 Portfolios

None

Mr. Audet is an “interested person,” as defined in the 1940 Act, of the Trusts based on his position with BlackRock and its affiliates. Mr. Gabbay is an “interested person” of the Trusts based on his former positions with BlackRock and its affiliates as well as his ownership of BlackRock and The PNC Financial Services Group, Inc. securities. Mr. Audet and Mr. Gabbay are also Trustees of the BlackRock registered open-end funds. Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon finding good cause thereof.



150	ANNUAL REPORT	AUGUST 31, 2012

Officers and Trustees (concluded)


Name, Address and Year of Birth	Position(s) Held with Trusts		Length of Time Served	Principal Occupation(s) During Past Five Years
Trusts Officers¹
John M. Perlowski 55 East 52nd Street New York, NY 10055 1964	President and Chief Executive Officer		Since 2011	Managing Director of BlackRock since 2009; Global Head of BlackRock Fund Administration since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.
Anne Ackerley 55 East 52nd Street New York, NY 10055 1962	Vice President		Since 2007²	Managing Director of BlackRock since 2000; Chief Marketing Officer of BlackRock since 2012; President and Chief Executive Officer of the BlackRock-advised funds from 2009 to 2011; Vice President of the BlackRock-advised funds from 2007 to 2009; Chief Operating Officer of BlackRock’s Global Client Group from 2009 to 2012; Chief Operating Officer of BlackRock’s U.S. Retail Group from 2006 to 2009; Head of BlackRock’s Mutual Fund Group from 2000 to 2006.
Brendan Kyne 55 East 52nd Street New York, NY 10055 1977	Vice President		Since 2009	Managing Director of BlackRock since 2010; Director of BlackRock from 2008 to 2009; Head of Product Development and Management for BlackRock’s U.S. Retail Group since 2009; and Co-head thereof from 2007 to 2009; Vice President of BlackRock from 2005 to 2008.
Robert W. Crothers 55 East 52nd Street New York, NY 10055 1981	Vice President		Since 2012	Director of BlackRock since 2011; Vice President of BlackRock from 2008 to 2010; Associate of BlackRock from 2006 to 2007.
Neal Andrews 55 East 52nd Street New York, NY 10055 1966	Chief Financial Officer		Since 2007	Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
Jay Fife 55 East 52nd Street New York, NY 10055 1970	Treasurer		Since 2007	Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.
Brian Kindelan 55 East 52nd Street New York, NY 10055 1959	Chief Compliance Officer and Anti-Money Laundering Officer		Since 2007	Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of BlackRock since 2005.
Janey Ahn 55 East 52nd Street New York, NY 10055 1963	Secretary		Since 2012	Director of BlackRock since 2009; Vice President of BlackRock from 2008 to 2009; Assistant Secretary of the Funds from 2008 to 2012; Associate at Willkie Farr & Gallagher LLP from 2006 to 2008.

	¹	Officers of the Trusts serve at the pleasure of the Board.

	²	Ms. Ackerley was President and Chief Executive Officer from 2009 to 2011.

Investment Advisor

BlackRock Advisors, LLC

Wilmington, DE 19809

Sub-Advisor³

BlackRock Financial

Management, Inc.

New York, NY 10055

Custodian and Accounting Agent

State Street Bank and Trust Company

Boston, MA 02110

Transfer Agent

Computershare Trust Company, N.A.

Canton, MA 02021

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Legal Counsel

Skadden, Arps, Slate, Meagher & Flom LLP

New York, NY 10036

Address of the Trusts

100 Bellevue Parkway

Wilmington, DE 19809

³ For BHK, HYV, HYT, HIS and BHD.

Effective May 22, 2012, Robert W. Crothers became Vice President of the Trusts.

Effective May 22, 2012, Ira P. Shapiro resigned as Secretary of the Trusts and Janey Ahn became Secretary of the Trusts.

The Funds are managed by a team of investment professionals. Effective March 16, 2012, Tom Musmanno became a co-portfolio manager of BHK, BNA and BKT. Mr. Musmanno joins James Keenan as responsible for the day-to-day management of BHK and BNA, and joins Eric Pellicciaro and Akiva Dickstein as responsible for the day-to-day management of BKT.



ANNUAL REPORT	AUGUST 31, 2012	151

Additional Information

Proxy Results

The Annual Meeting of Shareholders was held on July 27, 2012 for shareholders of record on May 31, 2012 to elect trustee nominees for each Trust. There were no broker non-votes with regard to any of the Trusts.

Approved the Class II Trustees as follows:


	Frank J. Fabozzi						James T. Flynn						Karen P. Robards
	Votes For		Votes Withheld		Abstain		Votes For		Votes Withheld		Abstain		Votes For		Votes Withheld		Abstain
BHK		24,116,290		512,963		0		24,093,367		535,886		0		24,101,393		527,860		0
HIS		47,743,714		1,652,839		0		47,751,621		1,644,932		0		47,713,447		1,683,106		0
BHY		5,660,217		155,795		0		5,658,360		157,652		0		5,663,108		152,904		0
BNA		31,143,773		656,807		0		31,111,055		689,526		0		31,151,127		649,453		0
BKT		55,197,410		3,647,320		0		55,176,579		3,668,151		0		55,196,529		3,648,201		0
BHD		6,167,499		135,726		0		6,149,846		153,379		0		6,163,447		139,778		0

For the Trusts listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Paul L. Audet, Michael J. Castellano, Richard E. Cavanagh, Kathleen F. Feldstein, Henry Gabbay, Jerrold B. Harris, R. Glenn Hubbard and W. Carl Kester.

Approved the Trustees as follows:


	Paul L. Audet						Michael J. Castellano						Richard E. Cavanagh
	Votes For		Votes Withheld		Abstain		Votes For		Votes Withheld		Abstain		Votes For		Votes Withheld		Abstain
HYV		30,742,612		614,381		0		30,733,249		623,744		0		30,737,746		619,247		0
HYT		32,683,476		419,623		0		32,684,032		419,067		0		32,669,195		433,904		0

	Frank J. Fabozzi						Kathleen F. Feldstein						James T. Flynn
	Votes For		Votes Withheld		Abstain		Votes For		Votes Withheld		Abstain		Votes For		Votes Withheld		Abstain
HYV		30,730,439		626,554		0		30,732,082		624,911		0		30,718,336		638,657		0
HYT		32,656,438		446,661		0		32,689,502		413,597		0		32,669,306		433,793		0

	Henry Gabbay						Jerrold B. Harris						R. Glenn Hubbard
	Votes For		Votes Withheld		Abstain		Votes For		Votes Withheld		Abstain		Votes For		Votes Withheld		Abstain
HYV		30,739,016		617,977		0		30,733,534		623,459		0		30,727,308		629,685		0
HYT		32,684,165		418,934		0		32,674,069		429,030		0		32,652,552		450,547		0

	W. Carl Kester						Karen P. Robards
	Votes For		Votes Withheld		Abstain		Votes For		Votes Withheld		Abstain
HYV		30,742,222		614,771		0		30,743,584		613,409		0
HYT		32,651,612		451,487		0		32,685,823		417,276		0



152	ANNUAL REPORT	AUGUST 31, 2012

Additional Information (continued)

Trust Certification

Certain Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts filed with the SEC the certification of their chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

Dividend Policy

Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the Trusts may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any particular month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the dividends paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.



ANNUAL REPORT	AUGUST 31, 2012	153

Additional Information (continued)

General Information

The Trusts do not make available copies of their Statements of Additional Information because the Trusts’ shares are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.

During the period, there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charter or by-laws that would delay or prevent a change of control of the Trusts that were not approved by shareholders or in the principal risk factors associated with investment in the Trusts. Other than as disclosed on page 151, 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://www.blackrock.com. This reference to BlackRock’s web-site is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Electronic copies of most financial reports are available on the Trusts’ web-site or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the Trusts’ electronic delivery program.

Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:

Please contact your financial advisor to enroll. Please note that not all investment advisors, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 441-7762.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Trusts’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com. Investors and others are advised to periodically check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.



154	ANNUAL REPORT	AUGUST 31, 2012

Additional Information (concluded)

Section 19(a) Notices

These reported amounts and sources of distributions are estimates and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Trust’s investment experience during the year and may be subject to changes based on the tax regulations. Each Trust will provide a Form 1099-DIV each calendar year that will explain the character of these dividends and distributions for federal income tax purposes.


August 31, 2012
	Total Fiscal Year-to-Date Cumulative Distributions by Character								Percent of Fiscal Year-to-Date Cumulative Distributions by Character
	Net Investment Income		Net Realized Capital Gains		Return of Capital		Total Per Common Share		Net Investment Income			Net Realized Capital Gains			Return of Capital			Total Per Common Share
BHY	$	0.525000		—		—	$	0.525000		100	%		0	%		0	%		100	%

BlackRock Privacy Principles

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

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

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

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

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



ANNUAL REPORT	AUGUST 31, 2012	155

This report is transmitted to shareholders only. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Trusts have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.



#CEF -1-8-8/12-AR

Item 2 –	Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, there have been no amendments to or waivers granted under the code of ethics. A copy of the code of ethics is available without charge at www.blackrock.com.

Item 3 –	Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

	Frank J. Fabozzi
	James T. Flynn
	W. Carl Kester
	Karen P. Robards

	The registrant’s board of directors has determined that W. Carl Kester and Karen P. Robards qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.

	Prof. Kester has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Prof. Kester has been involved in providing valuation and other financial consulting services to corporate clients since 1978. Prof. Kester’s financial consulting services present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements.

	Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.

	Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

Item 4 –	Principal Accountant Fees and Services

	The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:

	(a) Audit Fees		(b) Audit-Related Fees¹		(c) Tax Fees²		(d) All Other Fees³
Entity Name	Current Fiscal Year End	Previous Fiscal Year End	Current Fiscal Year End	Previous Fiscal Year End	Current Fiscal Year End	Previous Fiscal Year End	Current Fiscal Year End	Previous Fiscal Year End
BlackRock Income Trust, Inc.	$61,600	$59,900	$0	$0	$6,600	$6,100	$0	$0

The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (“Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Fund Service Providers”):

	Current Fiscal Year End	Previous Fiscal Year End
(b) Audit-Related Fees¹	$0	$0
(c) Tax Fees²	$0	$0
(d) All Other Fees³	$2,970,000	$3,030,000

¹ The nature of the services includes assurance and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees.

² The nature of the services includes tax compliance, tax advice and tax planning.

³ Aggregate fees borne by BlackRock in connection with the review of compliance procedures and attestation thereto performed by D&T with respect to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.

	(e)(1) Audit Committee Pre-Approval Policies and Procedures:

	The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Fund Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are a) consistent with the SEC’s auditor independence rules and b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

	Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

	(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

	(f) Not Applicable

	(g) The aggregate non-audit fees paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Fund Service Providers were:

Entity Name	Current Fiscal Year End	Previous Fiscal Year End
BlackRock Income Trust, Inc.	$6,600	$6,100

	Additionally, SSAE 16 Review (Formerly, SAS No. 70) fees for the current and previous fiscal years of $2,970,000 and $3,030,000, respectively, were billed by D&T to the Investment Adviser.

	(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Fund Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Item 5 –	Audit Committee of Listed Registrants

	(a)	The following individuals are members of the registrant’s separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):

		Michael Castellano
		Frank J. Fabozzi
		James T. Flynn
		W. Carl Kester
		Karen P. Robards

	(b)	Not Applicable

Item 6 –	Investments
	(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.
	(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

Item 7 –	Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – The board of directors has delegated the voting of proxies for the Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.

Item 8 –	Portfolio Managers of Closed-End Management Investment Companies – as of August 31, 2012.

(a)(1)

The registrant is managed by a team of investment professionals comprised of Akiva Dickstein, Managing Director at BlackRock, Eric Pellicciaro, Managing Director at BlackRock, and Tom Musmanno, Managing Director of BlackRock. Messrs. Dickstein, Pellicciaro and Musmanno are the Fund’s co-portfolio managers and are responsible for the day-to-day management of the Fund’s portfolio and the selection of its investments. Messrs. Dickstein, Pellicciaro and Musmanno have been members of the Fund’s portfolio management team since 2009, 2008 and 2012, respectively.

Portfolio Manager	Biography
Akiva Dickstein	Managing Director of BlackRock since 2009; Managing Director of Merrill Lynch Investment Managers, L.P. from 2003 to 2009 and Head of the U.S. Rates & Structured Credit Research Group.
Tom Musmanno	Managing Director of BlackRock since 2010; Director of BlackRock from 2006 to 2009.
Eric Pellicciaro	Managing Director of BlackRock since 2005; Head of the Global Rates Investment Team within BlackRock’s Fundamental Fixed Income Portfolio Management Group.

(a)(2)

As of August 31, 2012:

	(ii) Number of Other Accounts Managed and Assets by Account Type			(iii) Number of Other Accounts and Assets for Which Advisory Fee is Performance-Based
(i) Name of Portfolio Manager	Other Registered Investment Companies	Other Pooled Investment Vehicles	Other Accounts	Other Registered Investment Companies	Other Pooled Investment Vehicles	Other Accounts
Akiva Dickstein	5	21	20	0	3	0
	$2.85 Billion	$5.99 Billion	$7.83 Billion	$0	$1.62 Billion	$0
Tom Musmanno	8	4	60	0	1	0
	$4.07 Billion	$1.8 Billion	$17.5 Billion	$0	$417.8 Million	$0
Eric Pellicciaro	16	3	3	0	1	0
	$13.24 Billion	$1.18 Billion	$6.89 Billion	$0	$417.8 Million	$0

(iv)

Potential Material Conflicts of Interest

	BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund. It should also be noted that Messrs. Dickstein, Musmanno and Pellicciaro may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Messrs. Dickstein, Musmanno and Pellicciaro may therefore be entitled to receive a portion of any incentive fees earned on such accounts.

	As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.

(a)(3)

As of August 31, 2012:

	Portfolio Manager Compensation Overview

	BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.

	Base compensation. Generally, portfolio managers receive base compensation based on their position with the firm.

	Discretionary Incentive Compensation.

	Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s performance and contribution to the overall performance of these portfolios and BlackRock. In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Fund or other accounts managed by the portfolio managers are measured. Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the Fund and other accounts managed by each portfolio manager relative to the various benchmarks. Performance of fixed income funds is measured on a pre-tax and/or after-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable. With respect to these portfolio managers, such benchmarks for the Fund and other accounts are:

Portfolio Manager	Benchmark
Akiva Dickstein	A combination of market-based indices (e.g. Citigroup Mortgage Index, Barclays Capital GNMA MBS Index), certain customized indices and certain fund industry peer groups.
Tom Musmanno	A combination of market-based indices (e.g., Bank of America Merrill Lynch U.S. Corporate & Government Index, 1-3 Years), certain customized indices and certain fund industry peer groups.
Eric Pellicciaro	A combination of market-based indices (e.g., Barclays Capital U.S. Aggregate Bond Index), certain customized indices and certain fund industry peer groups.

	Distribution of Discretionary Incentive Compensation

	Discretionary incentive compensation is distributed to portfolio managers in a combination of cash and BlackRock, Inc. restricted stock units which vest ratably over a number of years. For some portfolio managers, discretionary incentive compensation is also distributed in deferred cash awards that notionally track the returns of select BlackRock investment products they manage and that vest ratably over a number of years. The BlackRock, Inc. restricted stock units, upon vesting, will be settled in BlackRock, Inc. common stock. Typically, the cash portion of the discretionary incentive compensation, when combined with base salary, represents more than 60% of total compensation for the portfolio managers. Paying a portion of discretionary incentive compensation in BlackRock stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods. Providing a portion of discretionary incentive compensation in deferred cash awards that notionally track the BlackRock investment products they manage provides direct alignment with investment product results.

	Long-Term Incentive Plan Awards — From time to time long-term incentive equity awards are granted to certain key employees to aid in retention, align their interests with long-term shareholder interests and motivate performance. Equity awards are generally granted in the form of BlackRock, Inc. restricted stock units that, once vested, settle in BlackRock, Inc. common stock. Messrs. Dickstein, Musmanno and Pellicciaro have each received long-term incentive awards.

	Deferred Compensation Program — A portion of the compensation paid to eligible BlackRock employees may be voluntarily deferred at their election for defined periods of time into an account that tracks the performance of certain of the firm’s investment products. All of the eligible portfolio managers have participated in the deferred compensation program.

	Other compensation benefits.

	In addition to base compensation and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following incentive savings plans. BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation up to the IRS limit ($250,000 for 2012). The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into an index target date fund that corresponds to, or is closest to, the year in which the participant attains age 65. The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date. Messrs. Dickstein, Musmanno and Pellicciaro are each eligible to participate in these plans.

(a)(4)

Beneficial Ownership of Securities – As of August 31, 2012.

Portfolio Manager	Dollar Range of Equity Securities of the Fund Beneficially Owned
Akiva Dickstein	None
Tom Musmanno	None
Eric Pellicciaro	None

(b) Not Applicable

Item 9 –	Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report.

Item 10 –	Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

Item 11 –	Controls and Procedures

	(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

	(b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12 –	Exhibits attached hereto

	(a)(1) – Code of Ethics – See Item 2

	(a)(2) – Certifications – Attached hereto

	(a)(3) – Not Applicable

	(b) – Certifications – Attached hereto

	Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

	BlackRock Income Trust, Inc.

	By:	/s/ John M. Perlowski
		John M. Perlowski
		Chief Executive Officer (principal executive officer) of
		BlackRock Income Trust, Inc.

	Date: November 5, 2012

	Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

	By:	/s/ John M. Perlowski
		John M. Perlowski
		Chief Executive Officer (principal executive officer) of
		BlackRock Income Trust, Inc.

	Date: November 5, 2012

	By:	/s/ Neal J. Andrews
		Neal J. Andrews
		Chief Financial Officer (principal financial officer) of
		BlackRock Income Trust, Inc.

	Date: November 5, 2012