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 52nd Street, New York, NY 10055

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

Date of fiscal year end: 08/31/2018

Date of reporting period: 02/28/2018

Item  1  – Report to Stockholders

FEBRUARY 28, 2018

 

SEMI-ANNUAL REPORT (UNAUDITED)

   LOGO

 

BlackRock Core Bond Trust (BHK)

BlackRock Corporate High Yield Fund, Inc. (HYT)

BlackRock Income Trust, Inc. (BKT)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee

The Markets in Review

Dear Shareholder,

In the 12 months ended February 28, 2018, assets with higher risk and return potential, such as stocks and high-yield bonds, continued to deliver strong performance. Faster global growth drove the equity market, while rising interest rates constrained bond returns.

Emerging market stocks posted the strongest performance, as accelerating growth in China, the second-largest economy in the world, improved the outlook for corporate profits and economic growth across most developing nations. Chinese demand for commodities and other raw materials allayed concerns about the country’s banking system, leading to rising equity prices and foreign investment. Higher prices for industrial metals also bolstered the outlook for emerging-market countries.

Rising interest rates worked against high-quality assets with more interest rate sensitivity. Consequently, the 10-year U.S. Treasury — a bellwether of the bond market — posted a negative return, as rising energy prices, higher wages, and steady job growth drove expectations of higher inflation and interest rate increases by the U.S. Federal Reserve (the “Fed”).

The market’s performance reflected reflationary expectations early in the reporting period, as investors began to sense that a global recovery was afoot. Thereafter, many countries experienced sustained and synchronized growth for the first time since the financial crisis. Growth rates and inflation are still relatively low, but they are finally rising together.

The Fed responded to these positive developments by increasing short-term interest rates three times during the year. In October 2017, the Fed also began to reduce its balance sheet, while setting expectations for additional rate hikes in 2018.

By contrast, the European Central Bank (“ECB”) and the Bank of Japan (“BoJ”) continued to expand their balance sheets despite nascent signs of sustained economic growth. Rising global growth and inflation, as well as limited bond supply, put steady pressure on other central banks to follow in the Fed’s footsteps. In October 2017, the ECB announced plans to cut its bond purchases in half for 2018, while the BoJ reiterated its commitment to economic stimulus, as the country’s inflation rate remained below 2.0%.

Rising consumer confidence and improving business sentiment are driving momentum for the U.S. economy. If the Fed maintains a measured pace of stimulus reduction, to the extent that inflation rises, it’s likely to be accompanied by rising real growth and higher wages. That could lead to a favorable combination of moderately higher inflation, steadily rising interest rates, and improving growth in 2018. We continue to believe the primary risks to the economic expansion are trade protectionism, rapidly rising interest rates, and geopolitical tension. In particular, we are closely monitoring trade protectionism and the rise of populism in Western nations.

In December 2017, Congress passed a sweeping tax reform bill. The U.S. tax overhaul is likely to accentuate the existing reflationary themes, including faster growth and rising interest rates. Changing the corporate tax rate to a flat 21% will create many winners and losers among high-and-low tax companies, while the windfall from lower taxes could boost business and consumer spending.

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

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of February 28, 2018
     6-month   12-month

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

   10.84%   17.10%

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

   8.30   10.51

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

   7.12   20.13

Emerging market equities
(MSCI Emerging Markets Index)

   10.58   30.51

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

   0.58   0.99

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

   (5.47)   (2.54)

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

   (2.18)   0.51

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

   (1.15)   2.32

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

   1.11   4.18
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.
 

 

 

2    THIS PAGE IS NOT PART OF YOUR FUND REPORT

Table of Contents

 

      Page  

The Markets in Review

      2  

Semi-Annual Report:

   

Trust Summaries

      4  

The Benefits and Risks of Leveraging

      13  

Derivative Financial Instruments

      13  

Financial Statements:

   

Schedules of Investments

      14  

Statements of Assets and Liabilities

      79  

Statements of Operations

      81  

Statements of Changes in Net Assets

      82  

Statements of Cash Flows

      85  

Financial Highlights

      86  

Notes to Financial Statements

      89  

Trustee and Officer Information

      102  

Additional Information

      103  

Glossary of Terms Used in this Report

     105  

 

 

     3  

Trust Summary  as of February 28, 2018    BlackRock Core Bond Trust

 

Trust Overview

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

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

Trust Information

 

Symbol on New York Stock Exchange (“NYSE”)

   BHK

Initial Offering Date

   November 27, 2001

Current Distribution Rate on Closing Market Price as of February 28, 2018 ($13.21)(a)

   5.90%

Current Monthly Distribution per Common Share(b)

   $0.0650

Current Annualized Distribution per Common Share(b)

   $0.7800

Economic Leverage as of February 28, 2018(c)

   32%

 

  (a)  Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results.  
  (b)  The distribution rate is not constant and is subject to change.  
  (c)  Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 13.  

Market Price and Net Asset Value Per Share Summary

 

     02/28/18      08/31/17      Change      High      Low  

Market Price

   $ 13.21      $ 14.10        (6.31 )%     $ 14.26      $ 12.93  

Net Asset Value

     14.32        14.96        (4.28 )       15.01        14.21  

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

 

LOGO

 

 

4    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Trust Summary  as of February 28, 2018 (continued)    BlackRock Core Bond Trust

 

Performance and Portfolio Management Commentary

Returns for the period ended February 28, 2018 were as follows:

 

          Average Annual Total Returns  
     6 Months     1 Year      3 Years      5 Years  

Trust at NAV(a)(b)

     (1.55 )%      4.46 %       4.19 %       5.53 % 

Trust at Market Price(a)(b)

     (3.64 )      4.75        4.80        4.14  

Reference Benchmark(c)

     (1.93 )      2.15        2.27        3.23  

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

     (3.40 )      2.80        1.76        3.69  

Bloomberg Barclays Intermediate Credit Index(e)

     (1.62 )      1.02        1.78        2.07  

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

     1.11       4.18        5.20        5.34  

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

     (2.29 )      0.75        1.58        2.02  

Bloomberg Barclays MBS Index(h)

     (1.89 )      0.16        1.03        1.70  

Bloomberg Barclays ABS Index(i)

     (0.80 )      0.63        1.26        1.16  

 

  (a) All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage.  
  (b)  The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.  
  (c)  The Reference Benchmark is comprised of the Bloomberg Barclays U.S. Long Government/Credit Index (40%); Bloomberg Barclays Intermediate Credit Index (24%); Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (16%); Bloomberg Barclays CMBS, Eligible for U.S. Aggregate Index (8%); Bloomberg Barclays MBS Index (8%); and Bloomberg Barclays ABS Index (4%). The Reference Benchmark’s index content and weightings may have varied over past periods.  
  (d)  This unmanaged index is the long component of the Bloomberg Barclays U.S. Government/Credit Index. This unmanaged index includes publicly issued U.S. Treasury debt, U.S. government agency debt, taxable debt issued by U.S. states and territories and their political subdivisions, debt issued by U.S. and non-U.S. corporations, non-U.S. government debt and supranational debt.  
  (e)  This unmanaged index is the intermediate component of the Bloomberg Barclays U.S. Credit Index. The Bloomberg Barclays U.S. Credit Index includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements.  
  (f)  An unmanaged index comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index.  
  (g)  This unmanaged index is the CMBS component of the Bloomberg Barclays U.S. Aggregate Index.  
  (h)  This unmanaged index is a market value-weighted index, which covers the mortgage-backed securities component of the Bloomberg Barclays U.S. Aggregate Bond Index. The unmanaged index is comprised of agency mortgage-backed pass-through securities of the Government National Mortgage Association (Ginnie Mae), the Federal National Mortgage Association (Fannie Mae), and the Federal Home Loan Mortgage Corporation (Freddie Mac) with a minimum $150 million par amount outstanding and a weighted-average maturity of at least 1 year. The index includes reinvestment of income.  
  (i)  This unmanaged index is the asset-backed securities component of the Bloomberg Barclays U.S. Aggregate Index.  

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

Past performance is not indicative of future results.

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

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

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

What factors influenced performance?

 

•   The principal detractors from the Trust’s performance were its allocations to investment grade corporates, U.S. Treasuries, mortgages, commercial mortgage-backed securities (“CMBS”), cash, and sovereign, supranational and agency issues (“SSAs”).

 

•   The largest positive contributions to the Trust’s performance came from its allocations to high yield bonds, asset-backed securities (“ABS”), capital securities and derivatives.

 

•   Derivatives are used by the investment adviser to manage risk and/or take outright views on interest rates, credit risk and/or foreign exchange positions in the portfolio. As noted, during the period, derivatives contributed positively to the Trust’s performance, in particular through the use of financial futures contracts.

Describe recent portfolio activity.

 

•   Over the reporting period, the Trust’s spread duration (sensitivity to changes in credit spreads) was slightly increased, as the portfolio was shifted toward higher yielding spread sectors. In addition, the Trust’s allocation to CMBS was reduced and rotated into collateralized loan obligations within ABS, SSAs, emerging market debt and high yield corporate bonds.

 

 

TRUST SUMMARY      5  

Trust Summary  as of February 28, 2018 (continued)    BlackRock Core Bond Trust

 

Describe portfolio positioning at period end.

 

•   At period end, the Trust maintained diversified exposure within non-government spread sectors, including investment grade corporates, high yield corporates, CMBS and ABS, as well as smaller allocations to non-agency mortgage-backed securities (“MBS”). The Trust also held exposure to government-related sectors such as U.S. Treasury securities, agency debt and agency MBS.

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.

Overview of the Trust’s Total Investments

 

PORTFOLIO COMPOSITION

 

     02/28/18     08/31/17  

Corporate Bonds

     49 %      50 % 

U.S. Treasury Obligations

     11       11  

U.S. Government Sponsored Agency Securities

     10       8  

Preferred Securities

     9       9  

Asset-Backed Securities

     9       8  

Non-Agency Mortgage-Backed Securities

     7       8  

Foreign Agency Obligations

     3       2  

Municipal Bonds

     2       2  

Floating Rate Loan Interests

     1       1  

Options Purchased

     — (a)      1  

Short-Term Securities

     — (a)      1  

Options Written

     (1 )(a)      (1 ) 

 

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

CREDIT QUALITY ALLOCATION (b)(c)

 

     02/28/18    

08/31/17

  

AAA/Aaa(d)

     23 %      23 % 

AA/Aa

     6       6  

A

     16       16  

BBB/Baa

     30       28  

BB/Ba

     11       12  

B

     10       8  

CCC/Caa

     2       2  

N/R

     2       5  

 

  (b)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.  
  (c)  Excludes Short-Term Securities, Options Purchased and Options Written.  
  (d)  The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.  
 

 

 

6    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Trust Summary  as of February 28, 2018    BlackRock Corporate High Yield Fund, Inc.

 

Trust Overview

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

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

Trust Information

 

Symbol on NYSE

   HYT

Initial Offering Date

   May 30, 2003

Current Distribution Rate on Closing Market Price as of February 28, 2018 ($10.56)(a)

   7.95%

Current Monthly Distribution per Common Share(b)

   $0.0700

Current Annualized Distribution per Common Share(b)

   $0.8400

Economic Leverage as of February 28, 2018(c)

   30%

 

  (a)  Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results.  
  (b) The distribution rate is not constant and is subject to change.  
  (c) Represents bank borrowings as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 13.  

Market Price and Net Asset Value Per Share Summary

 

     02/28/18      08/31/17      Change      High      Low  

Market Price

   $ 10.56      $ 11.13        (5.12 )%     $ 11.47      $ 10.47  

Net Asset Value

     12.04        12.22        (1.47 )       12.37        11.91  

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

 

LOGO

 

 

TRUST SUMMARY      7  

Trust Summary  as of February 28, 2018 (continued)    BlackRock Corporate High Yield Fund, Inc.

 

Performance and Portfolio Management Commentary

Returns for the period ended February 28, 2018 were as follows:

 

          Average Annual Total Returns  
     6 Months     1 Year      3 Years      5 Years  

Trust at NAV(a)(b)

     2.33 %      6.51 %       6.61 %       7.55 % 

Trust at Market Price(a)(b)

    
 (1.45
 ) 
     2.04        5.76        4.98  

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

    
 1.11
  
     4.18        5.20        5.34  

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage.  
  (b)  The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.  
  (c)  An unmanaged index (the “Reference Benchmark”) comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index.  

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

Past performance is not indicative of future results.

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

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

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

What factors influenced performance?

 

•   The Trust’s core exposure to high yield corporate bonds provided positive contributions to return over the six-month period. Smaller positions in bank loans and preferred equities also benefitted performance. Within high yield corporates, the most significant contributions to performance came from within the gaming, independent energy, and technology sectors. B-rated names were the best credit quality performers, followed closely by positions in the CCC and BB rating categories.

 

•   The most significant detractors from performance came from within the wireless, cable & satellite, and wirelines sectors. The only other detractors over the period were small allocations to equity positions used to manage risk as the market rallied. There were no absolute detractors from a credit rating perspective during the period.

Describe recent portfolio activity.

 

•   As the high yield market rallied early in the period, the Trust maintained a slightly overweight market sensitivity, while remaining focused on quality and consistent cash-flow stories where balance sheets and asset coverage were strong. While lower-quality and stressed/distressed portions of the high yield market outperformed over the six months, the Trust remained underweight to the riskier, higher yielding portion of the market in order to manage risk. In that vein, the Trust maintained an underweight across the consumer cyclical space, most notably the retail and automotive segments. This positioning reflected the view that the outlook for consumer cyclical continues to deteriorate under pressure from declining sales and secular changes. By contrast, the Trust increased its exposure to energy and chemicals.

Describe portfolio positioning at period end.

 

•   At period end, the Trust held the majority of its portfolio in corporate bonds, with a modest allocation to floating rate bank loans. Within high yield corporates, the Trust was underweight in lower-coupon, more interest rate-sensitive bonds while being slightly overweight in single B-rated bonds. The Trust was overweight in high conviction CCC-rated issues while remaining underweight in the highest yielding segment of the lower-related universe where downside risks are greater if volatility picks up or credit sentiment weakens. The Trust continued to favor select equity/equity-like assets with more upside as a substitute to higher-beta (more market sensitive) CCC-rated notes. The Trust also maintained exposure to equity futures positions to help reduce portfolio risk. At period-end, top issuer overweight positions included Ligado Networks (wireless), Freeport McMoran Inc. (metals & mining), and the Stars Group (gaming). Broadly, the Trust’s positioning within credit remained centered on cash-flow views, identification of a specific catalyst and/or issuer-specific characteristics.

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

 

 

8    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Trust Summary  as of February 28, 2018 (continued)    BlackRock Corporate High Yield Fund, Inc.

 

Overview of the Trust’s Total Investments

 

PORTFOLIO COMPOSITION

 

     02/28/18     08/31/17  

Corporate Bonds

     80 %      82 % 

Floating Rate Loan Interests

     9       8  

Preferred Securities

     5       5  

Asset-Backed Securities

     3       3  

Investment Companies

     2       1  

Common Stocks

     1       1  

Other(a)

     —       —  

 

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

CREDIT QUALITY ALLOCATION (b)(c)

 

     02/28/18    

08/31/17

  

A

     1 %      1 % 

BBB/Baa

     8       7  

BB/Ba

     36       37  

B

     39       41  

CCC/Caa

     9       9  

N/R

     7       5  

 

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

 

 

TRUST SUMMARY      9  

Trust Summary  as of February 28, 2018    BlackRock Income Trust, Inc.

 

Trust Overview

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 U.S. 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. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

Trust Information

 

Symbol on NYSE

   BKT

Initial Offering Date

   July 22, 1988

Current Distribution Rate on Closing Market Price as of February 28, 2018 ($5.91)(a)

   5.38%

Current Monthly Distribution per Common Share(b)

  $0.0265

Current Annualized Distribution per Common Share(b)

  $0.3180

Economic Leverage as of February 28, 2018(c)

  29%

 

  (a)  Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results.  
  (b) The distribution rate is not constant and is subject to change.  
  (c)  Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see the Benefits and Risks of Leveraging on page 13.  

Market Price and Net Asset Value Per Share Summary

 

     02/28/18      08/31/17      Change      High      Low  

Market Price

   $ 5.91      $ 6.31        (6.34 )%     $ 6.40      $ 5.76  

Net Asset Value

     6.45        6.74        (4.30 )       6.76        6.41  

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

 

LOGO

 

 

10    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Trust Summary  as of February 28, 2018 (continued)    BlackRock Income Trust, Inc.

 

Performance and Portfolio Management Commentary

Returns for the period ended February 28, 2018 were as follows:

 

           Average Annual Total Returns  
     6 Months      1 Year      3 Years      5 Years  

Trust at NAV(a)(b)

     (1.80 )%       0.55 %       1.75 %       2.45 % 

Trust at Market Price(a)(b)

     (3.89 )       (0.66 )       2.53        2.07  

FTSE Mortgage Index(c)

     (1.96 )       0.11        1.01        1.66  

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage.  
  (b)  The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.  
  (c)  This unmanaged index (formerly known as Citigroup Mortgage Index) (the “Reference Benchmark”) includes all outstanding government sponsored fixed rate mortgage-backed securities, weighted in proportion to their current market capitalization.  

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

Past performance is not indicative of future results.

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

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

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

What factors influenced performance?

 

•   The only material detractor from performance during the period was the Trust’s underweight within 30-year agency mortgage-backed securities (“MBS”).

 

•   The largest contributors to performance included the Trust’s allocation to agency collateralized mortgage obligations (“CMOs”), as well as interest rate-based strategies such as duration (sensitivity to interest rate changes) and yield curve positioning. Strategies utilizing U.S. Treasury futures held as short positions against long positions in agency MBS aided performance as interest rates moved higher. Selection within 30-year agency MBS contributed positively driven by the outperformance of specified pool holdings, allocations to agency interest-only tranches, and positioning in legacy (i.e., issued prior to 2008) non-agency residential MBS. Other contributors included allocations to 15-year agency MBS, swap- and swaption-based strategies, and allocations to agency securities as well as to commercial mortgage-backed securities (“CMBS”).

 

•   The Trust held interest rate derivatives including futures, options, swaps and swaptions, mainly for the purpose of managing duration, convexity (the rate at which duration changes in response to interest rate movements) and yield curve positioning. The Trust’s use of derivatives had a positive effect on performance during the period.

Describe recent portfolio activity.

 

•   The Trust kept overall exposure to agency MBS relatively unchanged during the period, while decreasing exposure to pass-throughs in favor of CMOs within this allocation. The Trust also added exposure to agency mortgage derivatives and CMBS, while paring its holdings in U.S. government securities. The Trust’s allocation to asset-backed securities remained minimal.

Describe portfolio positioning at period end.

 

•   The Trust was positioned with a marginally constructive stance regarding the mortgage sector, on the view that MBS valuations appeared relatively attractive and that the unwinding of the Fed’s balance sheet was not likely to have a material impact on the overall MBS market. The Trust maintained an overweight to high quality and well-structured agency CMOs and specified mortgage pools where the attributes of the underlying borrower help to improve the overall risk profile. With spreads in most risk assets at their tightest levels since mid-2014, the Trust’s exposures to non-benchmark positions such as legacy non-agency residential MBS and CMBS were minimal at period end.

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

 

 

TRUST SUMMARY      11  

Trust Summary  as of February 28, 2018 (continued)    BlackRock Income Trust, Inc.

 

Overview of the Trust’s Total Investments

 

PORTFOLIO COMPOSITION

 

     02/28/18     08/31/17  

U.S. Government Sponsored Agency Securities

     116 %      113 % 

U.S. Treasury Obligations

     —       2  

Short-Term Securities

     1       2  

Non-Agency Mortgage-Backed Securities

     1       1  

Asset-Backed Securities(a)

     —       —  

Borrowed Bonds(a)

     —       —  

TBA Sale Commitments

     (18 )      (18 ) 

 

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

CREDIT QUALITY ALLOCATION (b)(c)

 

     02/28/18     08/31/17  

AAA/Aaa(d)

     100 %      99 % 

BBB

     — (a)      1  

 

  (b)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.  
  (c)  Excludes Money Market Funds.  
  (d)  The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.  
 

 

 

12    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

The Benefits and Risks of Leveraging

 

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

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

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

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

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

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

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

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

Derivative Financial Instruments

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

 

 

THE BENEFITS AND RISKS OF LEVERAGING      13  

Schedule of Investments  (unaudited)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  

Asset-Backed Securities — 12.6%

 

Asset-Backed Securities — 12.5%                  

AIMCO CLO, Series 2014-AA, Class DR, (3 mo. LIBOR US + 3.25%), 4.99%, 07/20/26(a)(b)

     USD       795     $ 800,519  

ALM VI Ltd., Series 2012-6A, Class B2RR, (3 mo. LIBOR US + 2.05%), 3.77%, 07/15/26(a)(b)

       1,000       1,007,693  

ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class C2R, (3 mo. LIBOR US + 3.20%), 4.92%, 07/15/27(a)(b)

       2,080       2,110,925  

Anchorage Capital CLO 2013-1 Ltd., Series 2013-1A, Class CR, 4.92%, 10/13/30(b)(c)

       1,000       1,020,520  

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

      

Series 2016-8A, Class D, (3 mo. LIBOR US + 4.20%), 5.96%, 07/28/28

       1,000       1,008,816  

Series 2016-9A, Class D, (3 mo. LIBOR US + 4.00%), 5.72%, 01/15/29

       650       663,557  

Ares XXVIII CLO Ltd., Series 2013-3A, Class DR, (3 mo. LIBOR US + 3.25%), 4.98%, 10/17/24(a)(b)

       1,000       1,004,590  

Ares XXXII CLO Ltd., Series 2014-32A, Class CR, (3 mo. LIBOR US + 3.45%), 5.29%, 11/15/25(a)(b)

       1,250       1,251,507  

Atlas Senior Loan Fund Ltd.(3 mo. LIBOR US + 3.90%), 5.38%, 11/30/28(a)(b)

       1,250       1,265,162  

Ballyrock CLO LLC, Series 2014-1A, Class CR, (3 mo. LIBOR US + 3.65%), 5.39%, 10/20/26(a)(b)

       1,970       1,970,589  

Battalion CLO VII Ltd., Series 2014-7A, Class C, (3 mo. LIBOR US + 3.90%), 5.63%, 10/17/26(a)(b)

       1,000       1,001,801  

Battalion CLO X Ltd., Series 2016-10A, Class C, (3 mo. LIBOR US + 4.25%), 5.99%, 01/24/29(a)(b)

       1,000       1,022,460  

BlueMountain CLO Ltd., Series 2014-3A, Class CR, (3 mo. LIBOR US + 3.20%), 4.92%, 10/15/26(a)(b)

       1,000       1,005,948  

Bowman Park CLO Ltd., Series 2014-1A, Class D2R, (3 mo. LIBOR US + 3.35%), 5.27%, 11/23/25(a)(b)

       3,000       3,005,155  

CenterPoint Energy Transition Bond Co. IV LLC, Series 2012-1, Class A3, 3.03%, 10/15/25

       2,210       2,206,513  

CIFC Funding Ltd., Series 2014-4A, Class D, (3 mo. LIBOR US + 3.40%), 5.13%, 10/17/26(a)(b)

       2,000       2,006,855  

Countrywide Asset-Backed Certificates, Series 2006-13, Class 3AV2, (1 mo. LIBOR US + 0.15%), 1.77%, 01/25/37(a)

       203       202,096  

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

       3,819       3,898,041  

Dryden 41 Senior Loan Fund, Series 2015-41A, Class AR, 1.00%, 04/15/31(b)(c)(d)

       2,550       2,550,000  

Dryden Senior Loan Fund(a)(b):

      

Series 2014-31A, Class DR, (3 mo. LIBOR US + 3.35%), 5.08%, 04/18/26

       1,250       1,254,190  

Series 2014-34A, Class CR, (3 mo. LIBOR US + 2.15%), 3.87%, 10/15/26

       1,000       1,000,408  

Series 2015-41A, Class A, (3 mo. LIBOR US + 1.50%), 3.22%, 01/15/28

       2,550       2,550,896  

Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class B1LR, (3 mo. LIBOR US + 3.15%), 4.99%, 08/15/30(a)(b)

       1,000       1,014,435  

Galaxy XIV CLO Ltd., Series 2012-14A, Class DR, (3 mo. LIBOR US + 4.30%), 6.14%, 11/15/26(a)(b)

       1,000       1,004,476  

GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class D, 5.26%, 10/29/26(c)

       1,000       1,005,735  

Highbridge Loan Management 3-2014, Series 3A-2014, Class CR, (3 mo. LIBOR US + 3.60%), 5.33%, 07/18/29(a)(b)

       1,000       1,023,821  

Highbridge Loan Management Ltd., Series 5A-2015(a)(b):

      

Class C1R, (3 mo. LIBOR US + 2.10%), 3.86%, 01/29/26

       4,000       4,023,175  

Class D1R, (3 mo. LIBOR US + 3.30%), 5.06%, 01/29/26

       500       501,169  
Security   Par
(000)		     Value  

Asset-Backed Securities (continued)

 

Lendmark Funding Trust, Series 2017-2A, Class A, 2.80%, 05/20/26(b)

     USD       2,880     $ 2,864,715  

Limerock CLO III LLC, Series 2014-3A, Class C, (3 mo. LIBOR US + 3.60%), 5.34%, 10/20/26(a)(b)

       3,750       3,764,897  

Madison Park Funding XV Ltd., Series 2014-15A, Class B1R, (3 mo. LIBOR US + 2.20%), 3.96%, 01/27/26(a)(b)

       1,800       1,805,275  

Nelnet Student Loan Trust, Series 2006-1, Class A5, (3 mo. LIBOR US + 0.11%), 2.03%, 08/23/27(a)

       554       553,294  

Neuberger Berman CLO XV, Series 2013-15A, Class DR, 4.77%, 10/15/29(b)(c)

       1,000       1,006,817  

Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class CR, (3 mo. LIBOR US + 4.25%), 6.08%, 11/14/27(a)(b)

       2,250       2,284,967  

OCP CLO Ltd., Series 2012-2A, Class DR, (3 mo. LIBOR US + 4.47%), 6.37%, 11/22/25(a)(b)

       1,000       1,016,582  

Octagon Investment Partners XXI Ltd., Series 2014-1A, Class C, (3 mo. LIBOR US + 3.65%), 5.48%, 11/14/26(a)(b)

       2,000       2,001,944  

OHA Credit Partners XIII Ltd., Series 2016-13A, Class E, (3 mo. LIBOR US + 7.15%), 8.89%, 01/21/30(a)(b)

       595       613,457  

OHA Loan Funding 2016-1 Ltd., Series 2016-1A, Class D, (3 mo. LIBOR US + 3.75%), 5.49%, 01/20/28(a)(b)

       2,500       2,548,851  

OneMain Financial Issuance Trust, Series 2015-2A, Class C, 4.32%, 07/18/25(b)

       5,000       4,996,520  

OZLM Funding III Ltd., Series 2013-3A, Class BR, (3 mo. LIBOR US + 3.00%), 4.74%, 01/22/29(a)(b)

       1,500       1,529,118  

OZLM VII Ltd., Series 2014-7A, Class CR, (3 mo. LIBOR US + 3.50%), 5.23%, 07/17/26(a)(b)

       950       956,055  

OZLM VIII Ltd., Series 2014-8A, Class CR, (3 mo. LIBOR US + 3.40%), 5.13%, 10/17/26(a)(b)

       1,750       1,755,982  

OZLM XXI, Series 2017-21A, Class C, 4.42%, 01/20/31(b)(c)

       1,000       1,005,207  

Regatta V Funding Ltd., Series 2014-1A, Class C, (3 mo. LIBOR US + 3.45%), 5.20%, 10/25/26(a)(b)

       2,000       2,007,823  

Rockford Tower CLO Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 3.25%), 4.97%, 04/15/29(a)(b)

       1,750       1,773,955  

Shackleton CLO Ltd., Series 2013-3A, Class DR, 4.74%, 07/15/30(b)(c)

       500       503,358  

SLM Private Education Loan Trust(b):

      

Series 2012-A, Class A2, 3.83%, 01/17/45

       397       400,217  

Series 2014-A, Class B, 3.50%, 11/15/44

       500       498,838  

SMB Private Education Loan Trust, Series 2015-C, Class C, 4.50%, 09/17/46(b)

       5,900       5,932,134  

Sound Point CLO IV Ltd., Series 2013-3A, Class DR, (3 mo. LIBOR US + 3.40%), 5.14%, 01/21/26(a)(b)

       700       701,446  

Sound Point CLO VII Ltd., Series 2014-3A, Class D, (3 mo. LIBOR US + 3.60%), 5.34%, 01/23/27(a)(b)

       1,250       1,255,940  

Sound Point CLO XIV Ltd., Series 2016-3A, Class D, (3 mo. LIBOR US + 3.85%), 5.59%, 01/23/29(a)(b)

       1,550       1,582,451  

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

       576       570,798  

THL Credit Wind River CLO Ltd., Series 2014-3A, Class DR, (3 mo. LIBOR US + 3.35%), 5.09%, 01/22/27(a)(b)

       1,000       1,002,483  

Voya CLO 2017-3 Ltd., Series 2017-3A, Class C, (3 mo. LIBOR US + 3.55%), 5.29%, 07/20/30(a)(b)

       1,000       1,020,665  

Voya CLO Ltd., Series 2016-3A, Class D, (3 mo. LIBOR US + 6.85%), 8.58%, 10/18/27(a)(b)

       615       630,075  

Wellfleet CLO 2015-1 Ltd., Series 2015-1A, Class DR, 4.54%, 10/20/27(b)(c)

       2,000       2,004,410  
 

 

 

14    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  

Asset-Backed Securities (continued)

 

World Financial Network Credit Card Master Trust, Series 2012-C, Class C, 4.55%, 08/15/22

     USD       2,360     $ 2,382,991  

York CLO Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.60%), 5.34%, 10/20/29(a)(b)

       1,750       1,789,700  

York CLO-4 Ltd., Series 2016-2A, Class D, (3 mo. LIBOR US + 4.10%), 5.84%, 01/20/30(a)(b)

       1,500       1,545,280  
     

 

 

  
        96,687,297  
Interest Only Asset-Backed Securities — 0.1%  

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

       2,637       155,331  

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

       3,146       165,127  
     

 

 

  
        320,458  
     

 

 

  

Total Asset-Backed Securities — 12.6%
(Cost — $95,460,142)

 

     97,007,755  
   

 

 

  

Corporate Bonds — 71.4%

 

Aerospace & Defense — 1.3%  

Arconic, Inc.:

      

5.40%, 04/15/21

       340       353,600  

5.13%, 10/01/24

       923       956,459  

5.90%, 02/01/27

       70       75,250  

6.75%, 01/15/28

       38       43,320  

5.95%, 02/01/37

       30       32,028  

Bombardier, Inc.(b):

      

7.75%, 03/15/20

       122       130,235  

8.75%, 12/01/21

       459       503,179  

6.00%, 10/15/22

       13       12,968  

6.13%, 01/15/23

       198       198,495  

7.50%, 12/01/24

       414       430,042  

7.50%, 03/15/25

       602       617,802  

7.45%, 05/01/34

       100       102,000  

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

       500       492,383  

EnPro Industries, Inc., 5.88%, 09/15/22

       74       76,705  

KLX, Inc., 5.88%, 12/01/22(b)

       800       824,000  

Koppers, Inc., 6.00%, 02/15/25(b)

       151       156,285  

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

       114       118,845  

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

       1,410       1,371,345  

Moog, Inc., 5.25%, 12/01/22(b)

       180       185,400  

Pioneer Holdings LLC/Pioneer Finance Corp., 9.00%, 11/01/22(b)

       116       122,090  

TransDigm, Inc.:

      

6.00%, 07/15/22

       758       776,002  

6.50%, 07/15/24

       191       196,969  

6.50%, 05/15/25

       132       135,300  

6.38%, 06/15/26

       70       71,575  

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

       1,450       1,793,464  
   

 

 

  
        9,775,741  
Air Freight & Logistics — 0.2%  

Air Medical Merger Sub Corp., 6.38%, 05/15/23(b)

       60       57,000  

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

       1,250       1,299,008  

XPO Logistics, Inc., 6.50%, 06/15/22(b)

       495       514,181  
   

 

 

  
        1,870,189  
Airlines — 2.2%  

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

       1,710       1,705,240  

American Airlines Pass-Through Trust:

      

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

       3,288       3,445,360  

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

       1,393       1,405,668  
Security   Par
(000)		     Value  
Airlines (continued)  

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

     USD       1,393     $ 1,383,296  

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

       1,797       1,857,324  

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

       302       308,040  

Continental Airlines Pass-Through Trust:

      

Series 2010-1, Class B, 6.00%, 07/12/20

       227       232,007  

Series 2012-3, Class C, 6.13%, 04/29/18

       150       150,938  

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

       257       269,850  

Mexico City Airport Trust, 5.50%, 07/31/47(b)

       260       242,775  

United Airlines Pass-Through Trust:

      

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

       3,310       3,413,047  

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

       2,231       2,275,992  
     

 

 

  
        16,689,537  
Auto Components — 0.3%  

Adient Global Holdings Ltd., 3.50%, 08/15/24

     EUR       100       125,050  

Allison Transmission, Inc., 5.00%, 10/01/24(b)

     USD       19       19,261  

Aptiv PLC, 4.40%, 10/01/46

       465       451,300  

Gestamp Funding Luxembourg SA, 3.50%, 05/15/23

     EUR       100       127,033  

HP Pelzer Holding GmbH, 4.13%, 04/01/24

       100       124,257  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

      

6.00%, 08/01/20

     USD       20       20,390  

6.25%, 02/01/22

       347       352,205  

6.75%, 02/01/24

       237       241,740  

6.38%, 12/15/25

       106       106,397  

IHO Verwaltungs GmbH(g):

      

(2.75% Cash or 3.50% PIK), 2.75%, 09/15/21

     EUR       100       124,269  

(3.25% Cash or 4.00% PIK), 3.25%, 09/15/23

       100       126,026  

(4.13% Cash or 4.88% PIK), 4.13%, 09/15/21(b)

     USD       200       199,500  

(4.50% Cash or 5.25% PIK), 4.50%, 09/15/23(b)

       205       200,900  

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

       360       341,658  
     

 

 

  
        2,559,986  
Automobiles — 0.9%  

Ford Motor Co., 4.75%, 01/15/43(f)

       4,255       3,927,517  

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

       2,506       2,799,247  
     

 

 

  
        6,726,764  
Banks — 1.8%  

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

     EUR       100       131,707  

Banco Inbursa SA Institucion de Banca Multiple, 4.13%, 06/06/24(b)

     USD       255       252,705  

Banco Popolare, 2.75%, 07/27/20

     EUR       100       127,316  

Bank of Ireland Group PLC, 3.13%, 09/19/27(c)

     GBP       100       135,988  

Bankia SA(5 year EUR Swap + 3.17%), 4.00%, 05/22/24(h)

     EUR       100       126,673  

Barclays PLC, 3.65%, 03/16/25(f)

     USD       4,320       4,154,700  

CaixaBank SA(5 year EUR Swap + 3.35%), 3.50%, 02/15/27(h)

     EUR       100       130,169  

CIT Group, Inc., 5.00%, 08/01/23

     USD       375       385,313  

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

       1,500       1,522,380  

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

       610       786,606  

Inversiones Atlantida SA, 8.25%, 07/28/22(b)

       200       204,750  

National Bank of Greece SA, 2.75%, 10/19/20

     EUR       100       124,783  

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

     USD       2,000       2,028,495  

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

       1,250       1,223,963  

Wells Fargo & Co., 3.90%, 05/01/45(f)

       2,250       2,163,463  
   

 

 

  
        13,499,011  
Beverages — 0.7%  

Anheuser-Busch InBev Finance, Inc., 4.90%, 02/01/46

       4,600       4,905,614  
 

 

 

SCHEDULES OF INVESTMENTS      15  

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Beverages (continued)  

BWAY Holding Co., 7.25%, 04/15/25(b)

     USD       78     $ 80,535  

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

       222       228,660  

OI European Group BV, 4.00%, 03/15/23(b)

       158       152,865  

Silgan Holdings, Inc., 3.25%, 03/15/25

     EUR       100       124,416  
   

 

 

  
        5,492,090  
Biotechnology — 0.5%  

Amgen, Inc., 4.40%, 05/01/45(f)

     USD       2,250       2,232,291  

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

       500       538,807  

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

       1,000       1,060,719  

Illumina, Inc., 0.50%, 06/15/21

       215       257,677  

Senvion Holding GmbH, 3.88%, 10/25/22

     EUR       100       112,850  
   

 

 

  
        4,202,344  
Building Materials — 0.0%  

American Woodmark Corp., Co. GUAR 144A 03/26 4.875, 4.88%, 03/15/26(b)

     USD       69       68,483  

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

       66       64,515  

Titan Global Finance PLC, 3.50%, 06/17/21

     EUR       100       129,015  
   

 

 

  
        262,013  
Building Products — 0.2%  

Beacon Escrow Corp., 4.88%, 11/01/25(b)

     USD       288       280,886  

Building Materials Corp. of America,
6.00%, 10/15/25(b)

       200       211,250  

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

       218       224,540  

Masonite International Corp., 5.63%, 03/15/23(b)

       354       365,948  

Ply Gem Industries, Inc., 6.50%, 02/01/22

       147       152,377  

Standard Industries, Inc.(b):

      

5.50%, 02/15/23

       100       102,750  

5.38%, 11/15/24

       29       29,653  

USG Corp., 4.88%, 06/01/27(b)

       273       268,905  
   

 

 

  
        1,636,309  
Building: Roofing, Wallboard & Plumbing — 0.0%  

Quintiles IMS, Inc., 4.88%, 05/15/23(b)

       74       76,035  
   

 

 

  
Cable Television Services — 0.0%  

CB Escrow Corp., 8.00%, 10/15/25(b)

       127       124,143  
   

 

 

  
Capital Markets — 2.8%  

Blackstone CQP Holdco LP(b):

      

6.50%, 03/20/21

       1,375       1,387,031  

6.00%, 08/18/21

       224       225,064  

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

       5,890       7,480,621  

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

       8,965       8,930,014  

Morgan Stanley:

      

4.00%, 07/23/25

       905       916,639  

3.13%, 07/27/26(f)

       2,000       1,899,370  

NFP Corp., 6.88%, 07/15/25(b)

       62       62,155  

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

       400       433,761  

SURA Asset Management SA, 4.38%, 04/11/27(b)

       259       255,763  
   

 

 

  
        21,590,418  
Chemicals — 1.2%  

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

       360       327,455  

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

       600       603,000  

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

       161       161,805  

Blue Cube Spinco, Inc.:

      

9.75%, 10/15/23

       319       370,040  

10.00%, 10/15/25

       183       218,227  

CF Industries, Inc.:

      

7.13%, 05/01/20

       38       40,518  

5.15%, 03/15/34

       60       58,800  

4.95%, 06/01/43

       116       105,560  

Chemours Co.:

      

6.63%, 05/15/23

       182       191,328  
Security   Par
(000)		     Value  
Chemicals (continued)  

7.00%, 05/15/25

     USD       44     $ 47,410  

5.38%, 05/15/27

       390       390,975  

Cydsa SAB de C.V., 6.25%, 10/04/27(b)

       319       318,601  

Hexion, Inc., 10.38%, 02/01/22(b)

       122       118,950  

Ineos Finance PLC, 4.00%, 05/01/23

     EUR       100       125,045  

Methanex Corp., 3.25%, 12/15/19

     USD       1,650       1,647,357  

Mexichem SAB de CV(b):

      

4.00%, 10/04/27

       200       191,500  

5.50%, 01/15/48

       200       190,300  

Momentive Performance Materials, Inc., 3.88%, 10/24/21

       735       764,400  

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

       183       180,713  

Olin Corp., 5.00%, 02/01/30

       82       79,130  

Platform Specialty Products Corp.(b):

      

6.50%, 02/01/22

       1,265       1,298,206  

5.88%, 12/01/25

       446       443,770  

PQ Corp.(b):

      

6.75%, 11/15/22

       251       264,805  

5.75%, 12/15/25

       289       293,335  

PSPC Escrow Corp., 6.00%, 02/01/23

     EUR       100       127,185  

Tronox Finance PLC, 5.75%, 10/01/25(b)

     USD       123       122,078  

Venator Finance Sarl/Venator Materials LLC, 5.75%, 07/15/25(b)

       100       101,750  

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

       81       84,645  

WR Grace & Co-Conn(b):

      

5.13%, 10/01/21

       333       344,655  

5.63%, 10/01/24

       80       84,000  
     

 

 

  
        9,295,543  
Commercial Services & Supplies — 0.8%  

ADT Corp.:

      

6.25%, 10/15/21

       86       91,321  

3.50%, 07/15/22

       143       136,565  

4.13%, 06/15/23

       264       256,740  

4.88%, 07/15/32(b)

       337       306,670  

Advanced Disposal Services, Inc.,
5.63%, 11/15/24(b)

       151       154,020  

Aviation Capital Group Corp., 7.13%, 10/15/20(b)

       1,800       1,975,735  

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

       388       385,090  

CD&R Waterworks Merger Sub LLC,
6.13%, 08/15/25(b)

       291       288,090  

Fortress Transportation & Infrastructure Investors LLC, 6.75%, 03/15/22(b)

       28       28,840  

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

       284       293,940  

Iron Mountain, Inc., 6.00%, 08/15/23

       80       82,800  

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

       200       201,500  

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

       343       356,720  

Paprec Holding SA, 5.25%, 04/01/22

     EUR       100       125,077  

Park Aerospace Holdings Ltd.(b):

      

3.63%, 03/15/21

     USD       166       159,775  

5.25%, 08/15/22

       267       267,334  

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

       226       228,554  

United Rentals North America, Inc.:

      

5.75%, 11/15/24

       46       47,495  

4.63%, 10/15/25

       342       333,450  

5.88%, 09/15/26

       77       80,657  

5.50%, 05/15/27

       111       113,608  

Wrangler Buyer Corp., 6.00%, 10/01/25(b)

       79       79,988  
     

 

 

  
        5,993,969  
Commercial Services & Supplies — 0.0%                  

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

       134       134,670  
   

 

 

  
Communications Equipment — 0.3%                  

CommScope Technologies LLC, 5.00%, 03/15/27(b)

       114       111,221  
 

 

 

16    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Communications Equipment (continued)                  

CommScope, Inc.(b):

      

5.00%, 06/15/21

     USD       250     $ 253,437  

5.50%, 06/15/24

       154       156,888  

Nokia OYJ:

      

3.38%, 06/12/22

       72       70,013  

4.38%, 06/12/27

       101       96,960  

6.63%, 05/15/39

       135       145,800  

Zayo Group LLC/Zayo Capital, Inc.:

      

6.00%, 04/01/23

       776       806,070  

6.38%, 05/15/25

       108       112,873  

5.75%, 01/15/27(b)

       421       423,105  
     

 

 

  
        2,176,367  
Construction & Engineering — 0.8%  

Aeropuertos Argentina 2000 SA, 6.88%, 02/01/27(b)

       370       385,858  

Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(b)

       370       404,225  

BlueLine Rental Finance Corp., 9.25%, 03/15/24(b)

       798       862,837  

Brand Energy & Infrastructure Services, Inc., 8.50%, 07/15/25(b)

       244       251,930  

Engility Corp., 8.88%, 09/01/24

       176       186,560  

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

       4,000       3,695,387  

SPIE SA, 3.13%, 03/22/24

     EUR       100       125,975  

Tutor Perini Corp., 6.88%, 05/01/25(b)

     USD       154       161,700  

Weekley Homes LLC/Weekley Finance Corp., 6.63%, 08/15/25(b)

       51       50,985  
     

 

 

  
        6,125,457  
Construction Materials — 0.3%  

American Tire Distributors, Inc., 10.25%, 03/01/22(b)

       262       272,839  

HD Supply, Inc., 5.75%, 04/15/24(b)

       1,364       1,430,495  

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

       192       197,760  

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

       108       117,045  

PulteGroup, Inc.:

      

5.50%, 03/01/26

       17       17,276  

6.00%, 02/15/35

       27       27,675  

Rexel SA, 3.50%, 06/15/23

     EUR       100       127,850  

Williams Scotsman International, Inc., 7.88%, 12/15/22(b)

     USD       78       81,705  
     

 

 

  
        2,272,645  
Consumer Discretionary — 0.1%  

Arch Merger Sub, Inc., 8.50%, 09/15/25(b)

       130       124,800  

Elis SA, 1.88%, 02/15/23

     EUR       100       123,068  

Nielsen Co. Luxembourg SARL, 5.00%, 02/01/25(b)

     USD       30       29,953  

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

       168       165,480  

Viking Cruises Ltd.(b):

      

6.25%, 05/15/25

       95       96,425  

5.88%, 09/15/27

       382       372,450  
     

 

 

  
        912,176  
Consumer Finance — 1.9%  

Ally Financial, Inc., 8.00%, 11/01/31

       946       1,173,040  

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

       1,935       2,027,651  

CDK Global, Inc., 4.88%, 06/01/27(b)

       209       207,370  

Corivas Campus Living USG LLC,
5.30%, 07/01/50(e)

       5,700       5,700,980  

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

       200       205,000  

Ford Motor Credit Co. LLC(f):

      

8.13%, 01/15/20

       1,530       1,663,605  

4.25%, 09/20/22

       1,600       1,629,978  

IHS Markit Ltd. (b):

      

4.75%, 02/15/25

       156       159,510  

4.00%, 03/01/26

       86       83,420  
Security   Par
(000)		     Value  
Consumer Finance (continued)  

Navient Corp.:

      

5.00%, 10/26/20

     USD       180     $ 181,125  

6.63%, 07/26/21

       99       103,455  

6.50%, 06/15/22

       159       165,757  

5.50%, 01/25/23

       280       277,200  

7.25%, 09/25/23

       173       183,812  

6.13%, 03/25/24

       21       21,210  

5.88%, 10/25/24

       56       55,440  

6.75%, 06/25/25

       112       114,974  

5.63%, 08/01/33

       101       89,890  

OneMain Financial Holdings LLC,
7.25%, 12/15/21(b)

       152       157,909  

Springleaf Finance Corp.:

      

6.13%, 05/15/22

       50       51,250  

5.63%, 03/15/23

       78       77,220  
     

 

 

  
        14,329,796  
Containers & Packaging — 0.9%  

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

      

4.25%, 09/15/22(b)

       200       199,250  

4.63%, 05/15/23(b)

       271       270,661  

6.75%, 05/15/24

     EUR       100       133,133  

7.25%, 05/15/24(b)

     USD       1,475       1,580,094  

6.00%, 02/15/25(b)

       2       2,050  

4.75%, 07/15/27

     GBP       100       133,870  

Ball Corp.:

      

5.00%, 03/15/22

     USD       141       146,287  

4.00%, 11/15/23

       256       253,440  

BWAY Holding Co., 5.50%, 04/15/24(b)

       529       540,902  

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

       75       71,062  

JH-Holding Finance SA, (8.25% PIK), 8.25%, 12/01/22(g)

     EUR       100       128,787  

Mercer International, Inc.:

      

7.75%, 12/01/22

     USD       29       30,668  

6.50%, 02/01/24

       76       79,610  

5.50%, 01/15/26(b)

       83       82,585  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu:

      

5.75%, 10/15/20

       188       190,827  

6.88%, 02/15/21

       163       164,908  

(3 mo. LIBOR US + 3.50%),
5.22%, 07/15/21(a)(b)

       352       355,960  

5.13%, 07/15/23(b)

       161       164,019  

7.00%, 07/15/24(b)

       851       896,209  

Sappi Papier Holding GmbH, 4.00%, 04/01/23

     EUR       100       127,045  

Sealed Air Corp., 4.88%, 12/01/22(b)

     USD       533       548,990  

Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., 6.38%, 05/01/22(b)

       389       402,615  

Verallia Packaging SASU, 5.13%, 08/01/22

     EUR       100       126,280  
     

 

 

  
        6,629,252  
Diversified Consumer Services — 0.3%  

APX Group, Inc.:

      

6.38%, 12/01/19

     USD       21       21,315  

8.75%, 12/01/20

       184       185,380  

7.88%, 12/01/22

       121       127,504  

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

       212       218,360  

GW Honos Security Corp., 8.75%, 05/15/25(b)

       58       62,422  

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

       210       223,650  

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

       44       44,110  

Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 05/15/23(b)

       1,127       1,227,021  
 

 

 

SCHEDULES OF INVESTMENTS      17  

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Diversified Consumer Services (continued)  

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

     USD       153     $ 150,705  
     

 

 

  
        2,260,467  
Diversified Financial Services — 3.9%  

Aircastle Ltd.:

      

6.25%, 12/01/19

       353       367,561  

5.50%, 02/15/22

       48       49,920  

Banca IFIS SpA, 4.50%, 10/17/27(c)

     EUR       100       123,983  

Bank of America Corp.:

      

5.63%, 07/01/20

     USD       2,200       2,333,766  

3.25%, 10/21/27(f)

       5,500       5,227,559  

Docuformas SAPI de C.V., 9.25%, 10/11/22(b)

       200       191,500  

DPL, Inc., 7.25%, 10/15/21

       21       22,890  

FBM Finance, Inc., 8.25%, 08/15/21(b)

       185       195,175  

FMR LLC, 4.95%, 02/01/33(b)(f)

       2,300       2,522,118  

General Electric Co., 6.15%, 08/07/37(f)

       2,150       2,583,594  

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

       807       822,796  

IntercontinentalExchange Group, Inc., 4.00%, 10/15/23

       470       485,983  

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

       3,151       3,144,125  

Intrum Justitia AB, 2.75%, 07/15/22

     EUR       100       119,867  

Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 04/01/20(b)

     USD       595       602,146  

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

     EUR       100       123,854  

Mercury Bondco PLC, (8.25% Cash or 9.00% PIK), 8.25%, 05/30/21(g)

       100       127,710  

Moody’s Corp., 4.50%, 09/01/22(f)

     USD       1,800       1,881,458  

Northern Trust Corp., 3.95%, 10/30/25(f)

       8,000       8,221,541  

SPARC EM SPC Panama Metro Line 2 SP, 0.00%, 12/05/22(b)

       280       255,150  

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

       345       347,587  

UniCredit SpA(5 year EUR Swap + 4.10%), 5.75%, 10/28/25(h)

     EUR       107       144,768  

Vantiv LLC/Vanity Issuer Corp.(b):

      

3.88%, 11/15/25

     GBP       100       136,314  

4.38%, 11/15/25

     USD       200       193,750  

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

       84       84,000  
     

 

 

  
        30,309,115  
Diversified Telecommunication Services — 3.6%  

AT&T, Inc.(f):

      

6.38%, 03/01/41

       520       606,846  

5.15%, 03/15/42

       2,400       2,426,054  

4.75%, 05/15/46

       2,710       2,567,613  

CenturyLink, Inc.:

      

Series P, 7.60%, 09/15/39

       7       6,108  

Series S, 6.45%, 06/15/21

       383       391,618  

Series T, 5.80%, 03/15/22

       172       169,635  

Series U, 7.65%, 03/15/42

       138       120,060  

Series W, 6.75%, 12/01/23(f)

       163       160,555  

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

       271       257,450  

Frontier Communications Corp.:

      

7.13%, 03/15/19

       220       223,850  

7.13%, 01/15/23

       113       75,286  

7.63%, 04/15/24

       89       56,515  

6.88%, 01/15/25

       802       489,220  

11.00%, 09/15/25

       71       55,646  

Level 3 Financing, Inc.:

      

5.38%, 08/15/22

       127       128,270  

5.63%, 02/01/23

       254       256,540  

5.13%, 05/01/23

       95       95,000  

5.38%, 01/15/24

       114       113,430  
Security   Par
(000)		     Value  
Diversified Telecommunication Services (continued)  

5.38%, 05/01/25

     USD       123     $ 122,078  

5.25%, 03/15/26

       835       803,679  

OTE PLC, 3.50%, 07/09/20

     EUR       100       129,015  

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

     USD       90       96,110  

SoftBank Group Corp.:

      

(5 year USD ICE Swap + 4.85%), 6.88%(h)(i)

       215       212,173  

4.75%, 09/19/24

       200       194,053  

Telecom Italia Capital SA:

      

6.38%, 11/15/33

       229       250,755  

6.00%, 09/30/34

       252       263,970  

7.20%, 07/18/36

       202       236,340  

7.72%, 06/04/38

       48       58,800  

Telecom Italia SpA:

      

1.13%, 03/26/22(j)

     EUR       100       120,170  

3.63%, 01/19/24

       200       268,504  

Verizon Communications, Inc.(f):

      

6.40%, 02/15/38

     USD       6,879       8,220,510  

6.55%, 09/15/43

       6,751       8,399,383  
     

 

 

  
        27,575,236  
Electric Utilities — 6.2%  

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

       5,515       7,292,793  

Black Hills Corp., 3.15%, 01/15/27

       405       383,415  

Celeo Redes Operacion Chile SA,
5.20%, 06/22/47(b)

       299       299,000  

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

       434       520,350  

CMS Energy Corp., 5.05%, 03/15/22(f)

       1,832       1,941,684  

Duke Energy Carolinas LLC:

      

6.10%, 06/01/37

       640       798,231  

6.00%, 01/15/38

       1,675       2,146,856  

4.25%, 12/15/41

       750       785,095  

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

       770       1,020,966  

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

       3,100       3,901,288  

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

       2,800       3,253,785  

Enel Finance International NV, 3.63%, 05/25/27(b)

       1,250       1,200,943  

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

       201       204,015  

Florida Power Corp., 6.35%, 09/15/37(f)

       2,775       3,666,779  

Jersey Central Power & Light Co., 7.35%, 02/01/19

       490       509,279  

NextEra Energy Operating Partners LP,
4.25%, 09/15/24(b)

       128       126,240  

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

       3,000       3,929,029  

PacifiCorp, 6.25%, 10/15/37(f)

       1,225       1,589,732  

Pampa Energia SA, 7.50%, 01/24/27(b)

       367       384,432  

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

       2,550       3,304,623  

Southern California Edison Co.:

      

5.63%, 02/01/36(f)

       1,300       1,557,568  

Series A, 5.95%, 02/01/38

       2,175       2,741,108  

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

       1,000       1,003,618  

Talen Energy Supply LLC, 6.50%, 06/01/25

       125       96,562  

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

       3,920       4,901,913  
     

 

 

  
        47,559,304  
Electrical Equipment — 0.0%  

Anixter, Inc., 5.63%, 05/01/19

       35       35,744  

Areva SA, 4.88%, 09/23/24

     EUR       50       67,530  
     

 

 

  
        103,274  
Electronic Equipment, Instruments & Components — 0.4%  

CDW LLC/CDW Finance Corp.:

      

5.00%, 09/01/23

     USD       134       136,010  

5.50%, 12/01/24

       458       478,610  

5.00%, 09/01/25

       72       72,540  

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

       2,000       1,872,291  
 

 

 

18    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Electronic Equipment, Instruments & Components (continued)  

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

     USD       18     $ 17,910  

SESI LLC, 7.75%, 09/15/24(b)

       140       145,600  
     

 

 

  
        2,722,961  
Energy Equipment & Services — 0.6%  

Ensco PLC, 5.20%, 03/15/25

       25       20,750  

Enterprise Products Operating LLC,
6.13%, 10/15/39(f)

       1,400       1,689,339  

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

       238       242,165  

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

       500       540,545  

Noble Holding International Ltd., 7.70%, 04/01/25

       155       138,725  

Oceaneering International, Inc., 6.00%, 02/01/28

       151       148,825  

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

       148       152,410  

Pioneer Energy Services Corp., 6.13%, 03/15/22

       133       120,199  

Precision Drilling Corp.:

      

6.50%, 12/15/21

       48       48,840  

5.25%, 11/15/24

       90       85,725  

Transocean, Inc.:

      

5.80%, 10/15/22

       256       248,359  

9.00%, 07/15/23(b)

       501       541,080  

6.80%, 03/15/38

       17       13,685  

Trinidad Drilling Ltd., 6.63%, 02/15/25(b)

       243       234,799  

Weatherford International Ltd.:

      

7.75%, 06/15/21

       185       184,306  

8.25%, 06/15/23

       55       53,350  

9.88%, 02/15/24

       307       303,930  
     

 

 

  
        4,767,032  
Environmental, Maintenance, & Security Service — 0.0%  

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

       276       277,380  
     

 

 

  
Food & Staples Retailing — 0.5%  

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

      

6.63%, 06/15/24

       124       114,235  

5.75%, 03/15/25

       68       59,500  

Casino Guichard Perrachon SA, 4.56%, 01/25/23

     EUR       100       135,196  

CVS Health Corp., 5.13%, 07/20/45

     USD       2,000       2,089,603  

Rite Aid Corp., 6.13%, 04/01/23(b)

       164       164,820  

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

       1,000       999,452  
     

 

 

  
        3,562,806  
Food Products — 0.4%  

Acosta, Inc., 7.75%, 10/01/22(b)

       144       102,960  

Aramark Services, Inc., 4.75%, 06/01/26

       151       149,113  

Arcor SAIC, 6.00%, 07/06/23(b)

       228       236,026  

B&G Foods, Inc., 5.25%, 04/01/25

       96       92,400  

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

       267       278,347  

JBS USA LLC/JBS USA Finance, Inc.(b):

 

5.88%, 07/15/24

       66       64,363  

5.75%, 06/15/25

       485       463,175  

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

       200       196,702  

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

       222       229,104  

Minerva Luxembourg SA, 6.50%, 09/20/26(b)

       222       220,335  

Pilgrim’s Pride Corp.(b):

 

5.75%, 03/15/25

       167       166,165  

5.88%, 09/30/27

       144       140,011  

Post Holdings, Inc.(b):

 

5.50%, 03/01/25

       71       71,444  

5.00%, 08/15/26

       126       119,700  

5.75%, 03/01/27

       416       410,800  

5.63%, 01/15/28

       51       49,661  
     

 

 

  
        2,990,306  
Security   Par
(000)		     Value  
Forest Products — 0.0%  

JBS USA LUX SA/JBS USA Finance, Inc.,
6.75%, 02/15/28(b)

     USD       205     $ 202,991  
     

 

 

  
Health Care Equipment & Supplies — 0.5%  

Avantor, Inc.(b):

      

6.00%, 10/01/24

       1,115       1,115,000  

9.00%, 10/01/25

       289       289,723  

Crimson Merger Sub, Inc., 6.63%, 05/15/22(b)

       801       794,992  

DJO Finco, Inc./DJO Finance LLC/DJO Finance Corp., 8.13%, 06/15/21(b)

       580       562,600  

Mallinckrodt International Finance SA/Mallinckrodt CB LLC(b):

      

5.75%, 08/01/22

       12       10,620  

5.63%, 10/15/23

       142       117,505  

5.50%, 04/15/25

       308       243,320  

Medtronic, Inc., 4.50%, 03/15/42

       750       786,207  

Teleflex, Inc., 5.25%, 06/15/24

       170       174,250  
     

 

 

  
        4,094,217  
Health Care Providers & Services — 1.5%  

Acadia Healthcare Co., Inc.:

      

5.63%, 02/15/23

       95       97,465  

6.50%, 03/01/24

       258       266,385  

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

       575       564,821  

Amsurg Corp., 5.63%, 07/15/22

       245       248,981  

Centene Corp.:

      

5.63%, 02/15/21

       227       232,391  

6.13%, 02/15/24

       359       376,950  

CHS/Community Health Systems, Inc.:

      

8.00%, 11/15/19

       118       110,980  

5.13%, 08/01/21

       39       35,978  

6.25%, 03/31/23

       123       111,930  

DaVita, Inc., 5.13%, 07/15/24

       187       185,714  

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

       177       177,002  

Envision Healthcare Corp.(b):

      

5.13%, 07/01/22

       163       164,223  

6.25%, 12/01/24

       68       71,570  

HCA, Inc.:

      

6.50%, 02/15/20

       824       869,320  

5.88%, 03/15/22

       63       66,780  

4.75%, 05/01/23

       562       571,835  

5.00%, 03/15/24

       469       477,794  

5.38%, 02/01/25

       516       524,550  

5.25%, 04/15/25

       364       374,010  

5.88%, 02/15/26

       335       346,725  

5.25%, 06/15/26

       323       331,075  

4.50%, 02/15/27

       157       153,271  

5.50%, 06/15/47

       585       577,687  

HealthSouth Corp., 5.75%, 11/01/24

       26       26,260  

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

       90       92,138  

Molina Healthcare, Inc., 4.88%, 06/15/25(b)

       71       67,983  

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

       353       371,533  

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

       725       706,944  

Polaris Intermediate Corp., (8.50% Cash), 8.50%, 12/01/22(b)(g)

       510       520,200  

RegionalCare Hospital Partners Holdings, Inc., 8.25%, 05/01/23(b)

       97       101,850  

Sterigenics-Nordion Holdings LLC,
6.50%, 05/15/23(b)

       95       96,425  

Surgery Center Holdings, Inc.(b):

      

8.88%, 04/15/21

       98       101,675  

6.75%, 07/01/25(f)

       183       172,020  

Tenet Healthcare Corp.:

      

6.00%, 10/01/20

       261       271,437  
 

 

 

SCHEDULES OF INVESTMENTS      19  

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Health Care Providers & Services (continued)  

7.50%, 01/01/22(b)

     USD       118     $ 124,490  

8.13%, 04/01/22

       947       999,085  

6.75%, 06/15/23(f)

       302       302,000  

4.63%, 07/15/24(b)

       126       120,960  

THC Escrow Corp. III(b):

      

5.13%, 05/01/25

       424       411,280  

7.00%, 08/01/25

       56       55,860  

Vizient, Inc., 10.38%, 03/01/24(b)

       228       255,360  

WellCare Health Plans, Inc., 5.25%, 04/01/25

       58       58,703  
   

 

 

  
        11,793,640  
Health Care Technology — 0.0%  

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

       147       147,000  

Quintiles IMS, Inc., 3.25%, 03/15/25(b)

     EUR       100       123,075  
   

 

 

  
        270,075  
Hotels, Restaurants & Leisure — 2.8%  

Arcos Dorados Holdings, Inc., 5.88%, 04/04/27(b)

     USD       257       263,592  

Burger King France SAS(3 mo. Euribor + 5.25%), 5.25%, 05/01/23(a)

     EUR       100       124,299  

Codere Finance 2 Luxembourg SA, 6.75%, 11/01/21

       100       127,130  

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

     GBP       100       139,059  

CRC Escrow Issuer LLC/CRC Finco, Inc., 5.25%, 10/15/25(b)

     USD       249       243,398  

Eldorado Resorts, Inc., 6.00%, 04/01/25

       77       79,310  

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

       88       87,780  

GLP Capital LP/GLP Financing II, Inc.:

      

5.38%, 11/01/23

       90       93,825  

5.38%, 04/15/26

       42       43,365  

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

       282       289,050  

International Game Technology PLC, 4.75%, 02/15/23

     EUR       100       135,279  

Jacobs Entertainment, Inc., 7.88%, 02/01/24(b)

     USD       60       64,125  

KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, 06/01/26(b)

       158       159,975  

McDonald’s Corp., 3.70%, 01/30/26

       510       511,568  

Melco Resorts Finance Ltd., 4.88%, 06/06/25(b)

       250       244,567  

MGM Resorts International:

      

5.25%, 03/31/20

       97       100,031  

6.75%, 10/01/20

       122       130,235  

6.63%, 12/15/21

       835       902,259  

7.75%, 03/15/22

       76       84,740  

New Red Finance, Inc.(b):

      

4.25%, 05/15/24

       171       163,305  

5.00%, 10/15/25

       1,062       1,034,786  

Sabre GLBL, Inc.(b):

      

5.38%, 04/15/23

       62       62,465  

5.25%, 11/15/23

       133       133,998  

Scientific Games International, Inc.:

      

7.00%, 01/01/22(b)

       363       382,057  

10.00%, 12/01/22

       819       888,615  

5.00%, 10/15/25(b)

       320       316,400  

Six Flags Entertainment Corp., 4.88%, 07/31/24(b)

       615       613,518  

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

       222       216,450  

Unique Pub Finance Co. PLC:

      

Series A3, 6.54%, 03/30/21

     GBP       1,871       2,725,075  

Series A4, 5.66%, 06/30/27

       1,027       1,582,912  

Series M, 7.40%, 03/28/24

       3,000       4,621,914  

Series N, 6.46%, 03/30/32

       2,390       3,215,421  

Vue International Bidco PLC, 7.88%, 07/15/20

       100       139,735  

Wyndham Worldwide Corp., 4.15%, 04/01/24

     USD       1,076       1,078,074  

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

       200       196,940  
Security   Par
(000)		     Value  
Hotels, Restaurants & Leisure (continued)  

Yum! Brands, Inc., 3.88%, 11/01/23

     USD       27     $ 26,190  
   

 

 

  
        21,221,442  
Household Durables — 0.6%  

Algeco Scotsman Global Finance 2 PLC, 10.00%, 08/15/23(b)

       200       199,000  

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

       200       201,450  

Brookfield Residential Properties, Inc., 6.38%, 05/15/25(b)

       47       48,704  

Century Communities, Inc., 6.88%, 05/15/22

       460       476,726  

K Hovnanian Enterprises, Inc., 10.00%, 07/15/22(b)

       143       156,049  

Lennar Corp.:

      

8.38%, 01/15/21(b)

       53       59,121  

6.25%, 12/15/21(b)

       276       294,575  

4.13%, 01/15/22

       77       76,230  

5.38%, 10/01/22(b)

       2       2,085  

4.75%, 11/15/22

       136       136,680  

4.88%, 12/15/23

       85       86,169  

4.75%, 05/30/25

       180       179,100  

5.25%, 06/01/26(b)

       18       18,360  

4.75%, 11/29/27(b)

       255       246,712  

Mattamy Group Corp.(b):

      

6.88%, 12/15/23

       94       98,582  

6.50%, 10/01/25

       129       134,805  

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

       130       123,500  

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

       52       51,350  

Newell Brands, Inc., 4.20%, 04/01/26

       1,000       989,606  

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

       256       273,280  

Tempur Sealy International, Inc.:

      

5.63%, 10/15/23

       2       2,020  

5.50%, 06/15/26

       132       129,690  

TRI Pointe Group, Inc.:

      

4.88%, 07/01/21

       73       73,365  

5.25%, 06/01/27

       34       33,617  

TRI Pointe Group, Inc./TRI Pointe Homes, Inc.:

      

4.38%, 06/15/19

       10       10,025  

5.88%, 06/15/24

       177       182,310  

William Lyon Homes, Inc., 5.88%, 01/31/25

       66       65,835  
   

 

 

  
        4,348,946  
Household Products — 0.0%  

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

       59       59,295  

Prestige Brands, Inc., 6.38%, 03/01/24(b)

       42       43,050  

Spectrum Brands, Inc., 6.63%, 11/15/22

       170       175,738  
   

 

 

  
        278,083  
Independent Power and Renewable Electricity Producers — 0.5%  

AES Corp.:

      

4.88%, 05/15/23

       202       203,768  

5.50%, 03/15/24

       8       8,170  

5.50%, 04/15/25

       64       65,600  

6.00%, 05/15/26

       217       227,850  

5.13%, 09/01/27

       244       247,050  

Calpine Corp.(b):

      

5.88%, 01/15/24

       258       263,482  

5.25%, 06/01/26

       512       496,640  

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

       200       194,000  

Dynegy, Inc.:

      

7.38%, 11/01/22

       155       163,331  

5.88%, 06/01/23

       26       26,650  

8.00%, 01/15/25(b)

       198       215,077  

8.13%, 01/30/26(b)

       115       125,925  

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

       370       399,382  
 

 

 

20    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Independent Power and Renewable Electricity Producers (continued)  

NRG Energy, Inc.:

      

6.63%, 01/15/27

     USD       728     $ 751,660  

5.75%, 01/15/28(b)

       42       41,467  

NRG Yield Operating LLC, 5.38%, 08/15/24

       155       156,646  

QEP Resources, Inc., 5.38%, 10/01/22

       51       51,765  

TerraForm Power Operating LLC(b):

      

4.25%, 01/31/23

       128       125,440  

6.63%, 06/15/25(k)

       15       16,238  

5.00%, 01/31/28

       128       123,878  
   

 

 

  
        3,904,019  
Industrial Conglomerates — 0.5%                  

General Electric Co.:

      

6.75%, 03/15/32(f)

       2,500       3,107,773  

6.88%, 01/10/39

       135       175,562  

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

       360       355,534  

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

       381       401,955  
   

 

 

  
        4,040,824  
Insurance — 3.1%                  

Acrisure LLC/Acrisure Finance, Inc.,
7.00%, 11/15/25(b)

       126       123,165  

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

       1,495       1,465,514  

American International Group, Inc.,
3.75%, 07/10/25(f)

       3,380       3,363,672  

Aon PLC:

      

3.88%, 12/15/25

       1,445       1,459,506  

4.60%, 06/14/44

       500       516,818  

Ardonagh Midco 3 PLC:

      

8.38%, 07/15/23

     GBP       100       140,833  

8.63%, 07/15/23(b)

     USD       200       206,500  

Assicurazioni Generali SpA (3 mo. Euribor + 7.11%), 7.75%, 12/12/42(h)

     EUR       100       155,042  

AssuredPartners, Inc., 7.00%, 08/15/25(b)

     USD       33       33,743  

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

     EUR       500       671,916  

Fidelity National Financial, Inc., 4.25%, 08/15/18

     USD       73       224,570  

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

       2,050       2,150,613  

Groupama SA, 6.00%, 01/23/27

     EUR       100       150,164  

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

     USD       1,860       1,986,842  

HUB International Ltd., 7.88%, 10/01/21(b)

       802       827,062  

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

       2,000       2,522,662  

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

       2,554       2,879,635  

Muenchener Rueckversicherungs AG(3 mo. Euribor + 3.50%), 6.00%, 05/26/41(h)

     EUR       400       570,376  

Nationwide Building Society, 4.13%, 10/18/32(b)(c)

     USD       720       693,666  

Prudential Financial, Inc.:

      

5.90%, 03/17/36

       500       601,003  

5.70%, 12/14/36(f)

       1,625       1,955,543  

Radian Group, Inc.:

      

5.25%, 06/15/20

       28       28,980  

4.50%, 10/01/24

       177       176,611  

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

       700       696,369  

USIS Merger Sub, Inc., 6.88%, 05/01/25(b)

       41       41,513  

Wayne Merger Sub LLC, 8.25%, 08/01/23(b)

       625       650,000  
   

 

 

  
        24,292,318  
Internet Software & Services — 0.2%  

Equinix, Inc.:

      

2.88%, 03/15/24(d)

     EUR       100       122,000  

2.88%, 10/01/25

       100       120,856  

5.88%, 01/15/26

     USD       435       455,662  
Security   Par
(000)		     Value  
Internet Software & Services (continued)  

Netflix, Inc.:

      

4.38%, 11/15/26

     USD       115     $ 110,400  

3.63%, 05/15/27

     EUR       100       122,569  

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

     USD       124       125,807  

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

     EUR       126       155,995  

ZPG PLC, 3.75%, 07/15/23

     GBP       100       136,228  
   

 

 

  
        1,349,517  
IT Services — 0.5%  

Ceridian HCM Holding, Inc., 11.00%, 03/15/21(b)

     USD       270       278,999  

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

       1,000       982,495  

First Data Corp.(b):

      

7.00%, 12/01/23

       756       794,745  

5.00%, 01/15/24

       220       221,375  

5.75%, 01/15/24

       1,261       1,283,068  

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

       141       144,525  

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

       382       384,626  
   

 

 

  
        4,089,833  
Leisure Products — 0.0%  

Mattel, Inc.:

      

6.75%, 12/31/25(b)

       218       221,815  

6.20%, 10/01/40

       48       44,640  

5.45%, 11/01/41

       28       24,640  
   

 

 

  
        291,095  
Life Sciences Tools & Services — 0.1%  

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

       1,000       1,128,250  
   

 

 

  
Machinery — 0.2%  

Cleaver-Brooks, Inc., 7.88%, 03/01/23(b)

       64       67,520  

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

     EUR       100       121,238  

SPX FLOW, Inc.(b):

      

5.63%, 08/15/24

     USD       115       117,013  

5.88%, 08/15/26

       213       218,857  

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

       455       459,550  

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

       176       174,240  
   

 

 

  
        1,158,418  
Marine — 0.3%  

Nakilat, Inc., Series A, 6.07%, 12/31/33(b)

       2,150       2,397,680  
   

 

 

  
Media — 5.1%  

21st Century Fox America, Inc., 7.63%, 11/30/28

       385       495,056  

Altice Financing SA(b):

      

6.63%, 02/15/23

       200       199,750  

7.50%, 05/15/26

       607       611,552  

Altice Luxembourg SA:

      

7.75%, 05/15/22(b)

       642       598,665  

6.25%, 02/15/25

     EUR       100       113,802  

Altice US Finance I Corp., 5.38%, 07/15/23(b)

     USD       970       985,762  

AMC Networks, Inc.:

      

5.00%, 04/01/24

       114       114,285  

4.75%, 08/01/25

       206       199,563  

Cablevision SA, 6.50%, 06/15/21(b)

       222       232,117  

Cablevision Systems Corp., 8.00%, 04/15/20

       325       345,377  

CBS Radio, Inc., 7.25%, 11/01/24(b)

       53       54,579  

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

      

4.00%, 03/01/23

       252       245,385  

5.13%, 05/01/23

       73       74,369  

5.13%, 05/01/27

       1,628       1,567,634  

5.00%, 02/01/28

       221       208,635  

Cequel Communications Holdings I LLC/Cequel Capital Corp.(b):

      

5.13%, 12/15/21

       562       558,966  

7.75%, 07/15/25

       960       1,022,400  
 

 

 

SCHEDULES OF INVESTMENTS      21  

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Media (continued)  

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

     USD       4,700     $ 4,831,602  

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

       317       331,265  

Clear Channel Worldwide Holdings, Inc.:

      

6.50%, 11/15/22

       1,921       1,969,676  

Series B, 7.63%, 03/15/20

       443       442,446  

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

       2,600       3,303,006  

Comcast Corp.:

      

6.45%, 03/15/37

       790       1,011,471  

4.60%, 08/15/45

       2,000       2,085,777  

CSC Holdings LLC:

      

10.13%, 01/15/23(b)

       1,190       1,329,825  

5.25%, 06/01/24

       398       383,075  

10.88%, 10/15/25(b)

       764       901,520  

Discovery Communications LLC:

      

3.25%, 04/01/23

       1,850       1,798,282  

3.45%, 03/15/25

       210       200,880  

DISH DBS Corp.:

      

6.75%, 06/01/21

       350       359,625  

5.88%, 07/15/22

       470       458,250  

5.00%, 03/15/23

       264       242,550  

5.88%, 11/15/24

       36       33,750  

7.75%, 07/01/26

       534       525,990  

DISH Network Corp., 3.38%, 08/15/26(j)

       155       155,940  

eircom Finance DAC, 4.50%, 05/31/22

     EUR       100       124,989  

GTT Communications, Inc., 7.88%, 12/31/24(b)

     USD       159       165,261  

Hughes Satellite Systems Corp.:

      

7.63%, 06/15/21

       64       68,880  

5.25%, 08/01/26

       324       315,900  

Intelsat Jackson Holdings SA:

      

7.25%, 10/15/20

       185       172,281  

5.50%, 08/01/23

       325       268,531  

9.75%, 07/15/25(b)

       377       357,679  

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

       2,000       2,009,947  

LG Finance Co. Corp., 5.88%, 11/01/24(b)

       57       59,542  

LGE HoldCo VI BV, 7.13%, 05/15/24

     EUR       100       131,760  

McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance, 7.88%, 05/15/24(b)

     USD       61       59,018  

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

       228       227,430  

Meredith Corp., 6.88%, 02/01/26(b)

       110       113,438  

Midcontinent Communications/Midcontinent Finance Corp., 6.88%, 08/15/23(b)

       148       156,325  

Numericable Group SA, 5.38%, 05/15/22

     EUR       106       132,027  

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

     USD       104       101,140  

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

       43       42,893  

SFR Group SA(b):

      

6.00%, 05/15/22

       345       335,081  

7.38%, 05/01/26

       1,101       1,062,795  

Sirius XM Radio, Inc., 5.00%, 08/01/27(b)

       41       39,873  

TCI Communications, Inc., 7.88%, 02/15/26(f)

       610       782,810  

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

       45       46,238  

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

       200       193,000  

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

       167       183,283  

Time Warner, Inc., 6.10%, 07/15/40

       830       960,445  

Tribune Media Co., 5.88%, 07/15/22

       16       16,320  

Univision Communications, Inc.(b):

      

5.13%, 05/15/23

       272       257,720  

5.13%, 02/15/25

       28       25,865  
Security   Par
(000)		     Value  
Media (continued)  

UPCB Finance IV Ltd., 4.00%, 01/15/27

     EUR       100     $ 126,841  

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

     USD       645       704,432  

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

       222       223,971  

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

       515       505,987  

Virgin Media Receivables Financing Notes I DAC, 5.50%, 09/15/24

     GBP       100       139,771  

Virgin Media Secured Finance PLC:

      

5.25%, 01/15/26(b)

     USD       303       296,940  

4.88%, 01/15/27

     GBP       100       137,326  

6.25%, 03/28/29

       100       146,607  

Ziggo Bond Finance BV, 5.88%, 01/15/25(b)

     USD       260       250,250  

Ziggo Secured Finance BV, 5.50%, 01/15/27(b)

       150       143,813  
     

 

 

  
        39,079,236  
Metals & Mining — 1.5%  

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

       121       127,958  

Cleveland-Cliffs, Inc., 4.88%, 01/15/24(b)

       131       127,889  

CONSOL Mining Corp., 11.00%, 11/15/25(b)

       266       284,620  

Constellium NV(b):

      

5.75%, 05/15/24

       582       586,365  

5.88%, 02/15/26

       269       271,690  

First Quantum Minerals Ltd., 7.00%, 02/15/21(b)

       435       448,594  

Freeport-McMoRan, Inc.:

      

3.10%, 03/15/20

       759       751,410  

4.00%, 11/14/21

       121       120,395  

3.55%, 03/01/22

       530       515,584  

3.88%, 03/15/23

       774       750,780  

5.40%, 11/14/34

       278       271,050  

5.45%, 03/15/43

       647       624,355  

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

       399       421,942  

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

       115       128,035  

Kaiser Aluminum Corp., 5.88%, 05/15/24

       74       77,537  

Kinross Gold Corp.:

      

4.50%, 07/15/27(b)

       82       79,540  

6.88%, 09/01/41

       53       61,083  

Novelis Corp.(b):

      

6.25%, 08/15/24

       823       841,517  

5.88%, 09/30/26

       602       606,515  

Nyrstar Netherlands Holdings BV, 6.88%, 03/15/24

     EUR       100       125,033  

Ovako AB, 5.00%, 10/05/22

       100       124,206  

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

     USD       400       443,521  

Steel Dynamics, Inc.:

      

5.25%, 04/15/23

       345       352,331  

5.50%, 10/01/24

       48       49,680  

4.13%, 09/15/25

       142       137,385  

SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.50%, 06/15/25(b)

       193       201,202  

Teck Resources Ltd.:

      

4.50%, 01/15/21

       96       97,248  

3.75%, 02/01/23

       502       490,705  

8.50%, 06/01/24(b)

       1,096       1,219,300  

5.20%, 03/01/42

       312       301,860  

5.40%, 02/01/43

       188       186,120  

thyssenKrupp AG, 1.38%, 03/03/22

     EUR       75       92,324  

United States Steel Corp.:

      

8.38%, 07/01/21(b)

     USD       171       183,398  

6.88%, 08/15/25

       185       194,250  

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

       237       267,265  

VM Holdings SA, 5.38%, 05/04/27(b)

       299       308,568  
     

 

 

  
        11,871,255  
 

 

 

22    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Multi-Utilities — 0.1%  

NGL Energy Partners LP/NGL Energy Finance Corp.:

      

5.13%, 07/15/19

     USD       28     $ 28,070  

6.88%, 10/15/21

       459       462,442  
   

 

 

  
        490,512  
Multiline Retail — 0.0%  

Neiman Marcus Group Ltd., 8.00%, 10/15/21(b)

       145       87,725  
   

 

 

  
Offshore Drilling & Other Services — 0.0%  

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

       135       132,638  
   

 

 

  
Oil, Gas & Consumable Fuels — 7.5%  

Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., 7.88%, 12/15/24

       79       84,135  

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

       1,500       1,635,203  

Andeavor Logistics LP, Series A, 6.88%(c)(i)

       232       236,495  

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

       250       244,363  

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

       35       35,788  

Antero Resources Corp.:

      

5.13%, 12/01/22

       52       52,455  

5.63%, 06/01/23

       51       52,275  

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

       139       148,035  

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

       195       198,412  

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

       195       154,537  

Callon Petroleum Co., 6.13%, 10/01/24

       261       266,220  

Calumet Specialty Products Partners LP/Calumet Finance Corp.:

      

6.50%, 04/15/21

       18       17,550  

7.63%, 01/15/22

       92       91,540  

Canadian Natural Resources Ltd., 3.90%, 02/01/25

       500       497,341  

Carrizo Oil & Gas, Inc.:

      

6.25%, 04/15/23

       138       138,345  

8.25%, 07/15/25

       65       69,388  

Cenovus Energy, Inc., 4.25%, 04/15/27(f)

       400       390,873  

Cheniere Corpus Christi Holdings LLC:

      

7.00%, 06/30/24

       178       199,182  

5.88%, 03/31/25

       384       406,080  

5.13%, 06/30/27

       473       478,321  

Cheniere Energy Partners LP, 5.25%, 10/01/25(b)

       124       125,240  

Chesapeake Energy Corp.(b):

      

8.00%, 01/15/25

       68       67,150  

8.00%, 06/15/27(f)

       523       501,426  

Cia Latinoamericana de Infraestructura & Servicios SA, 9.50%, 07/20/23(b)

       370       382,950  

Citgo Holding, Inc., 10.75%, 02/15/20(b)

       95       101,888  

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

       685       847,477  

ConocoPhillips Co., 6.50%, 02/01/39

       600       784,677  

CONSOL Energy, Inc.:

      

5.88%, 04/15/22

       1,321       1,328,431  

8.00%, 04/01/23

       48       50,820  

Continental Resources, Inc.:

      

3.80%, 06/01/24

       207       201,049  

4.38%, 01/15/28(b)

       250       243,750  

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

       295       299,425  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.25%, 04/01/23

       20       20,600  

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

       625       612,500  

DCP Midstream LLC(b):

      

4.75%, 09/30/21

       55       55,963  
Security   Par
(000)		     Value  
Oil, Gas & Consumable Fuels (continued)  

6.45%, 11/03/36

     USD       128     $ 140,800  

6.75%, 09/15/37

       159       177,285  

Denbury Resources, Inc., 9.25%, 03/31/22(b)

       332       340,300  

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

       1,000       1,135,727  

Diamond Offshore Drilling, Inc., 7.88%, 08/15/25

       62       62,930  

Diamondback Energy, Inc., 5.38%, 05/31/25

       177       177,000  

Eclipse Resources Corp., 8.88%, 07/15/23

       45       45,225  

Enbridge, Inc., 6.25%, 03/01/78(c)(d)

       1,935       1,950,934  

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

      

5.50%, 01/30/26

       87       86,348  

5.75%, 01/30/28

       160       160,000  

Energy Transfer Equity LP:

      

4.25%, 03/15/23

       128       125,560  

5.88%, 01/15/24

       264       279,840  

5.50%, 06/01/27

       165       170,775  

Energy Transfer LP:

      

4.75%, 01/15/26

       1,250       1,269,523  

5.30%, 04/15/47

       540       519,687  

Energy Transfer Partners LP, 4.05%, 03/15/25

       500       491,332  

Ensco Jersey Finance Ltd., 3.00%, 01/31/24

       165       135,713  

Ensco PLC, 7.75%, 02/01/26

       223       210,735  

Enterprise Products Operating LLC, 3.70%, 02/15/26

       500       499,073  

EOG Resources, Inc.:

      

4.15%, 01/15/26

       1,000       1,033,573  

5.10%, 01/15/36

       200       219,896  

EP Energy LLC/Everest Acquisition Finance, Inc.:

      

9.38%, 05/01/20

       6       5,580  

9.38%, 05/01/24(b)

       288       212,400  

8.00%, 11/29/24(b)(f)

       275       283,250  

Extraction Oil & Gas, Inc.(b):

      

7.38%, 05/15/24

       281       296,455  

5.63%, 02/01/26

       272       266,560  

Genesis Energy LP/Genesis Energy Finance Corp.:

      

6.50%, 10/01/25

       97       96,758  

6.25%, 05/15/26

       112       108,360  

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

       200       203,000  

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

       350       364,875  

Gulfport Energy Corp.:

      

6.63%, 05/01/23

       115       118,163  

6.00%, 10/15/24

       68       66,810  

6.38%, 05/15/25

       63       62,134  

6.38%, 01/15/26(b)

       76       74,909  

Halcon Resources Corp.:

      

6.75%, 02/15/25(b)

       108       108,810  

Series WI, 6.75%, 02/15/25

       334       337,340  

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

       1,100       1,076,775  

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

       243       243,000  

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

       131       128,081  

Jones Energy Holdings LLC/Jones Energy Finance Corp., 9.25%, 03/15/23(b)

       70       68,775  

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

       1,010       1,254,969  

Kinder Morgan, Inc.:

      

4.30%, 06/01/25

       1,750       1,765,917  

5.05%, 02/15/46

       1,750       1,715,869  

Marathon Petroleum Corp., 6.50%, 03/01/41(f)

       2,049       2,465,673  

Matador Resources Co., 6.88%, 04/15/23

       570       595,650  

MEG Energy Corp.(b):

      

6.38%, 01/30/23

       1       858  

7.00%, 03/31/24

       320       272,800  

6.50%, 01/15/25

       364       357,175  
 

 

 

SCHEDULES OF INVESTMENTS      23  

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

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

MidAmerican Energy Co., 5.80%, 10/15/36(f)

     USD       1,500     $ 1,852,357  

MidAmerican Energy Holdings Co., 5.95%, 05/15/37

       1,750       2,183,675  

Murphy Oil Corp.:

      

6.88%, 08/15/24

       177       186,094  

5.75%, 08/15/25

       14       13,951  

5.88%, 12/01/42

       31       28,985  

Nabors Industries, Inc.(b):

      

0.75%, 01/15/24

       262       199,245  

5.75%, 02/01/25

       110       104,981  

Newfield Exploration Co., 5.63%, 07/01/24

       75       78,938  

NGPL PipeCo LLC(b):

      

4.38%, 08/15/22

       127       126,683  

7.77%, 12/15/37

       354       433,650  

Noble Holding International Ltd.:

      

7.75%, 01/15/24(f)

       187       170,871  

7.88%, 02/01/26(b)

       539       541,695  

Oasis Petroleum, Inc.:

      

6.50%, 11/01/21

       35       35,700  

6.88%, 03/15/22

       72       73,755  

6.88%, 01/15/23

       53       54,060  

2.63%, 09/15/23

       495       510,021  

Paramount Resources Ltd., 6.88%, 06/30/23(b)

       325       338,000  

Parker Drilling Co., 7.50%, 08/01/20

       43       39,668  

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

      

6.25%, 06/01/24

       48       49,680  

5.38%, 01/15/25

       209       206,910  

5.25%, 08/15/25

       52       51,220  

5.63%, 10/15/27

       61       60,504  

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

       143       148,005  

PDC Energy, Inc.:

      

6.13%, 09/15/24

       24       24,540  

5.75%, 05/15/26(b)

       125       123,400  

Petrobras Global Finance BV:

      

8.75%, 05/23/26

       222       260,572  

6.00%, 01/27/28(b)

       239       235,415  

Petroleos Mexicanos(b):

      

5.38%, 03/13/22

       27       28,215  

6.50%, 03/13/27

       148       158,193  

5.35%, 02/12/28

       123       120,909  

Plains All American Pipeline LP/PAA Finance Corp., 3.65%, 06/01/22

       1,000       987,088  

Precision Drilling Corp.:

      

7.75%, 12/15/23

       50       52,750  

7.13%, 01/15/26(b)

       159       160,391  

Range Resources Corp.:

      

5.88%, 07/01/22

       244       247,660  

5.00%, 08/15/22

       53       52,205  

5.00%, 03/15/23

       88       86,020  

4.88%, 05/15/25

       24       22,980  

Resolute Energy Corp., 8.50%, 05/01/20

       279       278,651  

Rockies Express Pipeline LLC(b):

      

5.63%, 04/15/20

       565       586,894  

6.88%, 04/15/40

       229       268,502  

Rowan Cos., Inc.:

      

4.88%, 06/01/22

       50       47,000  

4.75%, 01/15/24

       64       55,680  

7.38%, 06/15/25

       326       321,925  

RSP Permian, Inc.:

      

6.63%, 10/01/22

       179       186,607  

5.25%, 01/15/25

       102       102,765  

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

       1,750       1,910,837  

Sanchez Energy Corp.:

      

7.75%, 06/15/21

       548       523,340  
Security   Par
(000)		     Value  
Oil, Gas & Consumable Fuels (continued)  

6.13%, 01/15/23

     USD       128     $ 96,000  

7.25%, 02/15/23(b)

       110       111,375  

SESI LLC, 7.13%, 12/15/21

       60       61,200  

Seven Generations Energy Ltd., 5.38%, 09/30/25(b)

       197       192,567  

SM Energy Co.:

      

6.50%, 11/15/21

       50       50,750  

6.50%, 01/01/23(f)

       194       194,000  

5.00%, 01/15/24

       30       28,200  

5.63%, 06/01/25

       191       182,524  

6.75%, 09/15/26

       92       92,460  

Southwestern Energy Co.:

      

6.70%, 01/23/25

       70       68,600  

7.50%, 04/01/26

       124       125,240  

7.75%, 10/01/27

       162       165,240  

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

       1,000       1,282,664  

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

       310       296,470  

Sunoco LP/Sunoco Finance Corp.(b):

      

4.88%, 01/15/23

       298       296,480  

5.88%, 03/15/28

       4       4,015  

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

      

5.50%, 09/15/24

       284       292,514  

5.50%, 01/15/28

       212       212,530  

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

      

5.25%, 05/01/23

       10       10,144  

5.13%, 02/01/25

       77       76,807  

5.38%, 02/01/27

       52       52,000  

5.00%, 01/15/28(b)

       278       270,007  

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

       500       529,086  

Transocean, Inc., 7.50%, 01/15/26(b)

       310       312,325  

Weatherford International Ltd.:

      

6.50%, 08/01/36

       75       57,000  

7.00%, 03/15/38

       124       98,580  

5.95%, 04/15/42

       128       92,160  

Western Gas Partners LP, 5.38%, 06/01/21

       1,425       1,491,341  

Whiting Petroleum Corp., 6.63%, 01/15/26(b)

       305       311,100  

WildHorse Resource Development Corp., 6.88%, 02/01/25

       100       102,500  

Williams Cos., Inc., 5.75%, 06/24/44

       647       687,437  

Williams Partners LP:

      

3.90%, 01/15/25

       1,150       1,141,410  

4.00%, 09/15/25

       750       747,657  

WPX Energy, Inc.:

      

7.50%, 08/01/20

       34       36,380  

6.00%, 01/15/22

       139       144,213  

8.25%, 08/01/23

       45       50,963  

5.25%, 09/15/24

       192       192,000  

YPF SA, 8.50%, 07/28/25

       370       410,811  
     

 

 

  
        57,701,023  
Oil: Crude Producers — 0.0%  

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.50%, 01/15/28

       235       222,075  
   

 

 

  
Paper & Forest Products — 0.2%  

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

       870       1,038,488  

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

       120       128,286  
     

 

 

  
        1,166,774  
Pharmaceuticals — 2.0%  

AbbVie, Inc.:

      

3.60%, 05/14/25

       870       860,413  

3.20%, 05/14/26

       500       477,405  
 

 

 

24    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Pharmaceuticals (continued)  

4.45%, 05/14/46

     USD       2,095     $ 2,090,666  

Actavis Funding SCS:

      

3.80%, 03/15/25

       3,250       3,206,808  

4.55%, 03/15/35

       2,140       2,135,322  

Endo Finance LLC/Endo Finco, Inc.(b):

      

5.38%, 01/15/23

       62       46,345  

6.00%, 07/15/23

       315       236,250  

Forest Laboratories LLC, 5.00%, 12/15/21(b)

       758       797,929  

inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc., 7.50%, 10/01/24(b)

       108       115,560  

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

       795       798,975  

Mylan NV, 3.95%, 06/15/26

       750       725,377  

Nidda Healthcare Holding AG, 3.50%, 09/30/24

     EUR       100       122,238  

Synlab Bondco PLC, 6.25%, 07/01/22

       100       127,222  

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

     USD       267       244,305  

Teva Pharmaceutical Finance Netherlands II BV, 1.25%, 03/31/23

     EUR       100       108,579  

Teva Pharmaceutical Finance Netherlands III BV, 1.70%, 07/19/19

     USD       225       219,532  

Valeant Pharmaceuticals International, Inc.(b):

      

7.50%, 07/15/21

       60       60,300  

6.75%, 08/15/21

       301       293,475  

5.63%, 12/01/21

       261       246,645  

6.50%, 03/15/22

       276       287,040  

5.50%, 03/01/23

       297       262,845  

5.88%, 05/15/23

       1,318       1,171,372  

7.00%, 03/15/24

       320       336,800  

6.13%, 04/15/25

       318       279,045  

5.50%, 11/01/25

       143       141,481  
     

 

 

  
        15,391,929  
Real Estate Investment Trusts (REITs) — 1.2%  

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

       1,155       1,204,617  

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

       102       103,530  

HCP, Inc., 4.00%, 06/01/25(f)

       2,000       2,007,150  

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

       67       65,828  

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

       48       48,180  

iStar, Inc.:

      

4.63%, 09/15/20

       25       25,125  

6.00%, 04/01/22

       96       96,480  

5.25%, 09/15/22

       112       110,040  

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

      

5.63%, 05/01/24

       1,182       1,222,779  

4.50%, 09/01/26

       364       346,710  

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

     EUR       128       163,382  

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

     USD       1,670       1,781,989  

Starwood Property Trust, Inc.:

      

5.00%, 12/15/21

       345       352,763  

4.75%, 03/15/25(b)

       68       65,960  

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

       476       499,205  

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

       870       878,281  

Ventas Realty LP/Ventas Capital Corp., 4.75%, 06/01/21

       550       574,215  
     

 

 

  
        9,546,234  
Real Estate Management & Development — 0.7%  

ADLER Real Estate AG, 2.13%, 02/06/24

     EUR       100       121,292  

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

     USD       124       125,550  
Security   Par
(000)		     Value  
Real Estate Management & Development (continued)  

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

     USD       148     $ 145,965  

Northwest Florida Timber Finance LLC, 4.75%, 03/04/29(b)(f)

       4,600       4,342,113  

Realogy Group LLC/Realogy Co-Issuer Corp.(b):

      

5.25%, 12/01/21

       133       134,662  

4.88%, 06/01/23

       109       105,458  

RESIDOMO Sro, 3.38%, 10/15/24

     EUR       100       122,610  
     

 

 

  
        5,097,650  
Restaurants — 0.0%  

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

     USD       136       135,789  
     

 

 

  
Road & Rail — 1.2%  

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.13%, 06/01/22(b)(f)

       261       260,348  

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

       1,890       2,322,397  

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

       350       369,410  

EC Finance PLC, 2.38%, 11/15/22

     EUR       100       123,660  

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

     USD       146       145,270  

Herc Rentals, Inc.(b):

      

7.50%, 06/01/22

       254       271,780  

7.75%, 06/01/24

       82       89,355  

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

       288       295,920  

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

       5,000       5,279,500  

Loxam SAS, 3.50%, 05/03/23

     EUR       100       125,667  

United Rentals North America, Inc.:

      

4.63%, 07/15/23

     USD       72       73,620  

5.50%, 07/15/25

       93       95,790  
     

 

 

  
        9,452,717  
Semiconductors & Semiconductor Equipment — 0.9%  

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

       51       55,972  

Analog Devices, Inc.:

      

3.90%, 12/15/25

       470       475,938  

3.50%, 12/05/26

       345       336,876  

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

       2,850       2,732,635  

Microchip Technology, Inc., 1.63%, 02/15/25

       351       610,872  

Micron Technology, Inc.:

      

5.25%, 01/15/24(b)

       27       27,675  

5.50%, 02/01/25

       7       7,263  

Series G, 3.00%, 11/15/43(j)

       128       216,223  

Microsemi Corp., 9.13%, 04/15/23(b)

       14       15,505  

NXP BV/NXP Funding LLC(b):

      

4.13%, 06/15/20

       420       427,350  

4.13%, 06/01/21

       278       282,921  

3.88%, 09/01/22

       200       200,440  

5.75%, 03/15/23

       260       267,644  

ON Semiconductor Corp., 1.00%, 12/01/20

       383       535,754  

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

       250       255,189  

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

       312       314,340  
     

 

 

  
        6,762,597  
Software — 2.0%  

ACI Worldwide, Inc., 6.38%, 08/15/20(b)

       320       323,200  

BMC Software Finance, Inc.,
8.13%, 07/15/21(b)

       323       324,211  

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

       705       704,937  

Citrix Systems, Inc., 0.50%, 04/15/19

       99       131,612  

Genesys Telecommunications Laboratories Inc/Greeneden Lux 3 Sarl/Greeneden US Holdings LLC, 10.00%, 11/30/24(b)

       434       480,112  

Infinity Acquisition LLC/Infinity Acquisition Finance Corp., 7.25%, 08/01/22(b)

       31       31,078  
 

 

 

SCHEDULES OF INVESTMENTS      25  

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Software (continued)  

Infor Software Parent LLC/Infor Software Parent, Inc., (7.13% Cash or 7.88% PIK), 7.13%, 05/01/21(b)(g)

     USD       305     $ 310,337  

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

       1,096       1,120,660  

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

       492       501,594  

Microsoft Corp., 3.50%, 11/15/42(f)

       4,000       3,812,871  

Nuance Communications, Inc.:

      

5.38%, 08/15/20(b)

       39       39,341  

6.00%, 07/01/24

       182       190,472  

5.63%, 12/15/26

       81       82,013  

Oracle Corp., 5.38%, 07/15/40(f)

       3,025       3,649,659  

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

       125       131,406  

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

       135       140,590  

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

       210       218,925  

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

       1,122       1,259,782  

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

       210       221,288  

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

       553       602,870  

Veritas US, Inc./Veritas Bermuda Ltd.(b):

      

7.50%, 02/01/23

       400       406,000  

10.50%, 02/01/24

       400       382,000  
     

 

 

  
        15,064,958  
Specialty Retail — 0.6%  

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

       244       253,150  

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

       231       228,690  

Group 1 Automotive, Inc.:

      

5.00%, 06/01/22

       110       112,200  

5.25%, 12/15/23(b)

       13       13,325  

Hexion US Finance Corp., 6.63%, 04/15/20

       78       72,540  

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

       1,660       2,112,103  

JC Penney Corp., Inc.:

      

8.13%, 10/01/19

       28       29,365  

6.38%, 10/15/36

       14       9,450  

7.40%, 04/01/37

       39       28,080  

L Brands, Inc.:

      

6.88%, 11/01/35

       285       282,863  

6.75%, 07/01/36

       49       48,020  

Lowe’s Cos, Inc., 4.38%, 09/15/45

       1,000       1,027,804  

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

       22       21,945  

PetSmart, Inc., 5.88%, 06/01/25(b)

       93       72,540  

PVH Corp., 3.13%, 12/15/27

     EUR       100       121,339  

Shop Direct Funding PLC, 7.75%, 11/15/22

     GBP       100       128,071  
     

 

 

  
        4,561,485  
Technology Hardware, Storage & Peripherals — 0.8%  

Apple, Inc., 4.65%, 02/23/46(f)

     USD       2,400       2,617,802  

Dell International LLC/EMC Corp.(b):

      

4.42%, 06/15/21

       20       20,420  

7.13%, 06/15/24

       438       471,398  

6.02%, 06/15/26

       110       117,442  

8.35%, 07/15/46

       45       57,010  

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

       1,500       1,554,863  

Riverbed Technology, Inc., 8.88%, 03/01/23(b)

       133       124,688  

Western Digital Corp.:

      

7.38%, 04/01/23(b)

       638       693,506  

4.75%, 02/15/26

       617       621,627  
     

 

 

  
        6,278,756  
Textiles, Apparel & Luxury Goods — 0.0%  

BiSoho SAS, 5.88%, 05/01/23

     EUR       54       70,419  

Springs Industries, Inc., 6.25%, 06/01/21

     USD       36       36,630  
     

 

 

  
        107,049  
Thrifts & Mortgage Finance — 0.1%  

Jerrold Finco PLC, 6.25%, 09/15/21

     GBP       100       140,492  
Security   Par
(000)		     Value  
Thrifts & Mortgage Finance (continued)  

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

      

5.25%, 03/15/22

     USD       23     $ 23,173  

5.25%, 10/01/25

       209       203,252  
     

 

 

  
        366,917  
Tobacco — 1.5%  

Altria Group, Inc.:

      

9.95%, 11/10/38

       516       849,341  

10.20%, 02/06/39

       894       1,504,403  

5.38%, 01/31/44(f)

       4,030       4,616,522  

3.88%, 09/16/46

       1,250       1,162,539  

Reynolds American, Inc.:

      

4.45%, 06/12/25

       635       653,693  

7.00%, 08/04/41

       1,000       1,289,860  

5.85%, 08/15/45

       1,500       1,746,499  
     

 

 

  
        11,822,857  
Transportation Infrastructure — 0.3%  

CEVA Group PLC, 7.00%, 03/01/21(b)

       310       305,350  

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

       889       837,770  

Penske Truck Leasing Co. LP/PTL Finance Corp., 3.40%, 11/15/26(b)

       490       469,374  

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

       370       396,603  

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

       580       585,026  
     

 

 

  
        2,594,123  
Utilities — 0.2%  

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

       370       391,334  

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

       228       236,550  

ContourGlobal Power Holdings SA, 5.13%, 06/15/21

     EUR       100       124,245  

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

     USD       370       405,150  

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

       530       584,988  
     

 

 

  
        1,742,267  
Wireless Telecommunication Services — 1.6%  

CoreCivic, Inc., 4.75%, 10/15/27

       120       114,600  

CyrusOne LP/CyrusOne Finance Corp.:

      

5.00%, 03/15/24

       356       358,670  

5.38%, 03/15/27

       35       35,088  

Digicel Group Ltd., 8.25%, 09/30/20(b)

       223       209,062  

Digicel Ltd., 6.00%, 04/15/21(b)

       1,550       1,489,937  

GEO Group, Inc.:

      

5.13%, 04/01/23

       278       276,610  

6.00%, 04/15/26

       40       39,862  

Matterhorn Telecom SA(3 mo. Euribor + 3.25%), 3.25%, 02/01/23(a)

     EUR       15       17,433  

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

     USD       152       145,540  

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

       2,325       3,173,745  

SBA Communications Corp., 4.88%, 09/01/24

       112       110,600  

Sprint Capital Corp.:

      

6.90%, 05/01/19

       140       144,948  

8.75%, 03/15/32

       621       673,785  

Sprint Communications, Inc., 7.00%, 03/01/20(b)

       776       819,650  

Sprint Corp.:

      

7.88%, 09/15/23

       711       735,885  

7.13%, 06/15/24

       1,000       993,100  

7.63%, 02/15/25(f)

       707       707,000  

7.63%, 03/01/26

       216       215,212  

T-Mobile USA, Inc.:

      

4.00%, 04/15/22

       132       132,000  
 

 

 

26    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Wireless Telecommunication Services (continued)  

6.00%, 03/01/23

     USD       205     $ 213,200  

6.50%, 01/15/24

       240       251,400  

6.00%, 04/15/24

       306       318,240  

6.38%, 03/01/25

       37       39,035  

4.50%, 02/01/26

       249       244,331  

4.75%, 02/01/28

       312       304,319  

Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 8.25%, 10/15/23

       287       267,627  

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

       100       110,861  

Xplornet Communications, Inc., (9.63% Cash or 10.63% PIK), 9.63%,
06/01/22(b)(g)

       83       86,549  
     

 

 

  
        12,228,289  
     

 

 

  

Total Corporate Bonds — 71.4%
(Cost — $530,888,870)

         551,268,539  
     

 

 

  

Floating Rate Loan Interests(l) — 2.0%

 

Aerospace & Defense — 0.1%  

Accudyne Industries LLC, 2017 Term Loan, (1 mo. LIBOR + 3.75% 1.00% Floor), 5.40%, 08/18/24

       330       331,870  

Sequa Mezzanine Holdings LLC, 2nd Lien Term Loan, (3 mo. LIBOR + 9.00% 1.00% Floor), 10.75%, 04/28/22

       40       40,533  
     

 

 

  
        372,403  
Air Freight & Logistics — 0.0%  

CEVA Group PLC, Letter of Credit, (3 mo. LIBOR + 5.50%), 6.50%, 03/19/21(e)

       18       17,811  

CEVA Intercompany BV, Dutch Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor), 7.27%, 03/19/21

       18       18,163  

CEVA Logistics Canada ULC, Canadian Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor), 7.27%, 03/19/21

       3       2,710  

CEVA Logistics US Holdings, Inc., Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor), 7.27%, 03/19/21

       26       25,815  

XPO Logistics, Inc., 2018 Term Loan B, 02/23/25(m)

       95       94,919  
     

 

 

  
        159,418  
Auto Components — 0.0%  

USI, Inc., 2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 4.69%, 05/16/24

       56       55,760  
     

 

 

  
Banks — 0.0%  

Capri Finance LLC, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 5.02%, 11/01/24

       71       70,956  
     

 

 

  
Chemicals — 0.1%  

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.69%, 01/31/24

       81       81,119  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.19%, 06/28/24

       35       35,372  

H.B. Fuller Co., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.84%, 10/20/24

       188       189,353  

Invictus:

      

1st Lien Term Loan, 01/24/25(m)

       76       76,862  

2nd Lien Term Loan, 01/23/26(m)

       42       42,289  

PQ Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%), 8.94%, 02/08/25

       56       56,008  

WR Grace & Co. (m):

      

Term Loan B1, 02/12/25

       64       64,144  

Term Loan B2, 02/12/25

       110       110,203  
     

 

 

  
        655,350  
Security   Par
(000)		     Value  
Commercial Services & Supplies — 0.0%  

Asurion LLC, 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%), 7.65%, 08/04/25

     USD       43     $ 44,043  

Convergint Technologies LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 4.66%, 02/03/25

       38       38,453  

West Corp., 2017 Term Loan, (1 mo. LIBOR + 4.00% 1.00% Floor), 5.65%, 10/10/24

       144       144,909  
     

 

 

  
        227,405  
Construction & Engineering — 0.1%  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25% 1.00% Floor), 6.01%, 06/21/24

       1,074       1,081,918  
     

 

 

  
Diversified Consumer Services — 0.0%  

Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 07/12/24

       41       41,034  

Laureate Education, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.50% 1.00% Floor), 5.15%, 04/26/24

       147       147,620  
     

 

 

  
        188,654  
Diversified Financial Services — 0.1%  

Endo Luxembourg Finance Company I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%), 5.94%, 04/29/24

       486       484,736  
     

 

 

  
Diversified Telecommunication Services — 0.1%  

CenturyLink, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.40%, 01/31/25

       516       506,841  

MTN Infrastructure TopCo, Inc., MTN Topco Term Loan, 11/17/24(m)

       41       41,185  
     

 

 

  
        548,026  
Electrical Equipment — 0.0%  

Gates Global LLC, 2017 Repriced Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.44%, 04/01/24

       162       162,655  

Generac Power Systems, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 2.00%), 3.69%, 05/31/23

       111       111,231  
     

 

 

  
        273,886  
Energy Equipment & Services — 0.1%  

Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.00% 1.00% Floor), 7.59%, 03/01/24

       194       194,646  

GrafTech Finance, Inc., 2018 Term Loan B, (OR + 3.50% 1.00% Floor), 5.08%, 02/12/25(e)

       121       120,849  

Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75% 1.00% Floor), 9.33%, 11/08/22

       420       436,275  

Weatherford International Ltd., Term Loan, (1 mo. LIBOR + 2.30%), 3.95%, 07/13/20

       176       173,619  
     

 

 

  
        925,389  
Food Products — 0.0%  

Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50% 1.00% Floor), 5.15%, 10/10/23

       41       40,960  

JBS USA LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.50%), 4.10%, 10/30/22

       190       189,050  
     

 

 

  
        230,010  
Health Care Equipment & Supplies — 0.1%  

DJO Finance LLC, 2015 Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 06/08/20

       498       493,715  

Immucor, Inc., Extended Term Loan B, (2 mo. LIBOR + 5.00% 1.00% Floor), 6.65%, 06/15/21

       512       520,963  

Ortho-Clinical Diagnostics SA, Term Loan B, (3 mo. LIBOR + 3.75% 1.00% Floor), 5.44%, 06/30/21

       20       19,944  
     

 

 

  
        1,034,622  
 

 

 

SCHEDULES OF INVESTMENTS      27  

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Health Care Providers & Services — 0.1%  

Quorum Health Corporation, Term Loan B,
04/29/22(m)

     USD       97     $ 99,138  

Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.40%, 02/06/24

       227       220,429  
     

 

 

  
        319,567  
Health Care Technology — 0.0%  

Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75% 1.00% Floor), 4.40%, 03/01/24

       189       189,331  

Quintiles IMS, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 3.69%, 03/07/24

       22       22,148  
     

 

 

  
        211,479  
Hotels, Restaurants & Leisure — 0.1%  

Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 4.40%, 12/22/24

       302       303,851  

Cineworld Ltd., 2018 Term Loan, 02/18/25(m)

       180       179,730  

IRB Holding Corp., 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.83%, 02/05/25

       61       61,567  
     

 

 

  
        545,148  
Industrial Conglomerates — 0.1%  

Cortes NP Acquisition Corp., 2017 Term Loan B, (1 mo. LIBOR + 4.00% 1.00% Floor), 5.58%, 11/30/23

       217       217,715  

Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00% 1.00% Floor), 6.55%, 11/28/21

       114       115,760  
     

 

 

  
        333,475  
Insurance — 0.1%  

Genworth Financial, Inc., Term Loan, 02/25/23(m)

       88       89,100  

Sedgwick Claims Management Services, Inc.:

      

1st Lien Term Loan, (1 mo. LIBOR + 2.75% 1.00% Floor), 5.44%, 03/01/21

       230       230,000  

2nd Lien Term Loan, (1 mo. LIBOR + 5.75% 1.00% Floor), 5.44%, 02/28/22

       96       96,420  
     

 

 

  
        415,520  
IT Services — 0.0%  

Access CIG LLC(m):

      

2018 2nd Lien Delayed Draw Term Loan, 02/13/26

       3       2,619  

2018 2nd Lien Term Loan, 02/02/26

       14       14,360  

2018 Delayed Draw Term Loan, 02/14/25

       9       8,693  

2018 1st Lien Term Loan, 02/02/25(m)

       41       41,652  

Peak 10 Holding Corp. :

      

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.19%, 08/01/24

       102       101,948  

2nd Lien Term Loan, (3 mo. LIBOR + 7.25% 1.00% Floor), 9.02%, 08/01/25

       43       43,150  

WEX, Inc., 2017 Term Loan B2, (3 mo. LIBOR + 2.25%), 3.90%, 06/30/23

       71       71,444  
     

 

 

  
        283,866  
Life Sciences Tools & Services — 0.0%  

Albany Molecular Research, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 08/30/24

       62       61,977  
     

 

 

  
Machinery — 0.0%  

Hayward Industries, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.15%, 08/05/24

       38       38,047  
     

 

 

  
Security   Par
(000)		     Value  
Media — 0.4%  

Charter Communications Operating LLC, 2017 Term Loan A2, 7.27%, 03/31/23

     USD       962     $ 960,797  

CSC Holdings LLC, 2018 Term Loan B, (3 mo. LIBOR + 2.50%), 4.14%, 01/25/26

       102       102,085  

Intelsat Jackson Holdings SA:

      

2017 Term Loan B3, (3 mo. LIBOR + 3.75% 1.00% Floor), 5.71%, 11/27/23

       64       63,905  

2017 Term Loan B4, (3 mo. LIBOR + 4.50% 1.00% Floor), 6.46%, 01/14/24

       161       163,932  

2017 Term Loan B5, (Fixed + 6.63%), 6.63%, 01/14/24

       1,138       1,140,979  

Lamar Media Corp., 2018 Term Loan B, 02/16/25(m)

       69       69,345  

PSAV Holdings LLC(m):

      

2018 1st Lien Term Loan, 02/21/25

       91       91,228  

2018 2nd Lien Term Loan, 08/22/25(e)

       74       74,185  

Virgin Media Bristol LLC, 2017 Term Loan, (1 mo. LIBOR + 2.50%), 4.09%, 01/15/26

       224       224,653  
     

 

 

  
        2,891,109  
Multiline Retail — 0.0%  

Neiman Marcus Group, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.83%, 10/25/20

       187       158,034  
     

 

 

  
Oil, Gas & Consumable Fuels — 0.3%  

BCP Renaissance Parent LLC, 2017 Term Loan B, (3 mo. LIBOR + 4.00% 1.00% Floor), 5.77%, 10/31/24

       141       142,150  

California Resources Corp., 2017 1st Lien Term Loan, (1 mo. LIBOR + 4.75%), 6.34%, 12/31/22

       496       501,580  

Chesapeake Energy Corp., Term Loan, (3 mo. LIBOR + 7.50% 1.00% Floor), 9.44%, 08/23/21

       1,005       1,069,969  

CONSOL Energy, Inc., 1st Lien Term Loan B, (3 mo. LIBOR + 6.00% 1.00% Floor), 7.99%, 10/26/22

       19       19,412  

Lucid Energy Group II LLC, 2018 1st Lien Term Loan, 4.44%, 02/17/25

       116       116,073  

Medallion Midland Acquisition LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 10/30/24(e)

       78       78,195  

Vine Oil & Gas LP, Term Loan B, (1 mo. LIBOR + 6.87% 1.00% Floor), 8.52%, 12/12/21(e)

       189       189,000  
     

 

 

  
        2,116,379  
Professional Services — 0.0%  

Information Resources, Inc., 1st Lien Term Loan, (OR + 4.25% 1.00% Floor), 6.19%, 01/18/24

       49       48,921  
     

 

 

  
Software — 0.2%  

Applied Systems, Inc.:

      

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.94%, 09/19/24

       22       21,886  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00% 1.00% Floor), 8.69%, 09/19/25

       21       21,656  

BMC Software Finance, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.90%, 09/10/22

       91       91,266  

Cypress Intermediate Holdings III, Inc.:

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 04/27/24

       75       75,305  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75% 1.00% Floor), 8.40%, 04/27/25

       23       23,357  

Digicel International Finance Ltd., 2017 Term Loan B, (3 mo. LIBOR + 3.75%), 5.02%, 05/28/24

       305       305,812  

Kronos, Inc., 2nd Lien Term Loan, (3 mo. LIBOR + 8.25% 1.00% Floor), 10.02%, 11/01/24

       353       361,605  

Mitchell International, Inc.:

      

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.94%, 11/29/24

       96       95,901  
 

 

 

28    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Software (continued)  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 8.94%, 11/20/25

     USD       101     $ 101,606  

Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 3.00%), 4.65%, 05/01/24

       92       92,382  
     

 

 

  
        1,190,776  
Specialty Retail — 0.0%  

Belron Finance US LLC, Term Loan B, (3 mo. LIBOR + 2.50%), 4.29%, 11/07/24

       85       85,425  
     

 

 

  
Textiles, Apparel & Luxury Goods — 0.0%  

Ascend Performance Materials Operations LLC, Term Loan B, (3 mo. LIBOR + 5.25% 1.00% Floor), 6.94%, 08/12/22(e)

       185       185,629  
     

 

 

  
Trading Companies & Distributors — 0.0%  

Beacon Roofing Supply, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.25%), 3.83%, 01/02/25

       92       92,384  
     

 

 

  
Transportation — 0.0%  

Direct ChassisLink, Inc., 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%), 7.67%, 06/15/23(e)

       33       33,495  
     

 

 

  
Utilities — 0.0%  

ExGen Renewables IV LLC, Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 4.47%, 11/28/24(e)

       55       55,343  
     

 

 

  
Wireless Telecommunication Services — 0.0%  

Syniverse Holdings, Inc., 2018 Term Loan,
02/08/23(m)

       74       74,578  

VICI Properties 1 LLC, Replacement Term Loan B, (1 mo. LIBOR + 2.25%), 3.60%, 12/20/24

       170       170,615  
   

 

 

  
        245,193  
   

 

 

  

Total Floating Rate Loan Interests — 2.0%
(Cost — $15,479,691)

 

     15,620,300  
   

 

 

  

Foreign Agency Obligations — 4.5%

 

Argentine Republic Government International Bond:

      

5.63%, 01/26/22

       414       421,659  

7.50%, 04/22/26

       3,875       4,138,500  

6.88%, 01/26/27

       969       984,514  

5.88%, 01/11/28

       158       147,651  

7.63%, 04/22/46

       3,121       3,096,032  

Bahrain Government International Bond, 6.75%, 09/20/29(b)

       230       218,787  

Brazil Letras do Tesouro Nacional,
0.00%, 07/01/18(n)

     BRL       1,000       301,542  

Brazilian Government International Bond, 6.00%, 04/07/26

     USD       786       860,277  

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

     EUR       1,210       1,603,847  

Egypt Government International Bond:

      

5.75%, 04/29/20

     USD       941       970,284  

8.50%, 01/31/47(b)

       291       325,786  

Iceland Government International Bond, 5.88%, 05/11/22(f)

       3,555       3,961,825  

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

       580       604,683  

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

       2,925       3,320,866  

Lebanon Government International Bond, 6.85%, 03/23/27

       577       543,822  

Mexican Bonos:

      

8.00%, 06/11/20

     MXN       3,100       165,913  

7.50%, 06/03/27

       5,100       267,831  
Security   Par
(000)		     Value  

Foreign Agency Obligations (continued)

 

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

     USD       3,970     $ 4,212,091  

Republic of South Africa Government International Bond:

      

5.50%, 03/09/20

       188       195,144  

5.88%, 05/30/22

       672       724,087  

4.88%, 04/14/26

       288       288,685  

5.65%, 09/27/47

       200       197,020  

Russian Federal Bond — OFZ:

      

6.40%, 05/27/20

     RUB       24,900       442,608  

7.05%, 01/19/28

       51,400       921,110  

Russian Foreign Bond — Eurobond:

      

4.75%, 05/27/26(b)

     USD       400       419,488  

4.25%, 06/23/27

       1,200       1,211,342  

Saudi Government International Bond, 3.63%, 03/04/28

       691       657,486  

Slovenia Government International Bond, 5.85%, 05/10/23(b)

       864       968,039  

Turkey Government International Bond:

      

7.00%, 06/05/20

       674       716,826  

5.63%, 03/30/21

       567       589,364  

5.13%, 03/25/22

       739       756,736  

6.25%, 09/26/22

       200       213,350  

7.38%, 02/05/25

       211       236,531  

6.00%, 03/25/27

       282       288,881  
   

 

 

  

Total Foreign Agency Obligations — 4.5%
(Cost — $34,449,289)

 

     34,972,607  
   

 

 

  

Municipal Bonds — 3.1%

 

California — 0.9%  

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

       1,900       2,415,033  

State of California, GO, Build America Bonds, Various Purpose:

      

7.55%, 04/01/39

       280       421,582  

7.63%, 03/01/40

       1,720       2,584,024  

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

       885       1,106,551  
   

 

 

  
        6,527,190  
Georgia — 0.3%  

Municipal Electric Authority of Georgia Plant Vogtle Units 3 & 4, Refunding RB, Build America Bonds, Series A, 7.06%, 04/01/57

       2,000       2,362,800  
   

 

 

  
Illinois — 0.2%  

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

       2,000       1,885,660  
   

 

 

  
Indiana — 0.4%  

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

       2,535       3,169,460  
   

 

 

  
New York — 1.3%  

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

      

Series EE, 5.50%, 06/15/43

       930       1,018,015  

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

       1,390       1,796,088  

Water & Sewer System, Series EE, 5.38%, 06/15/43

       770       840,055  

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

       1,295       1,920,252  

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

      

5.63%, 03/15/39

       1,100       1,327,590  
 

 

 

SCHEDULES OF INVESTMENTS      29  

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
New York (continued)  

5.60%, 03/15/40

     USD       1,900     $ 2,331,490  

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

       780       961,366  
   

 

 

  
        10,194,856  
   

 

 

  

Total Municipal Bonds — 3.1%
(Cost — $20,472,799)

 

     24,139,966  
   

 

 

  

Non-Agency Mortgage-Backed Securities — 9.1%

 

Collateralized Mortgage Obligations — 0.5%  

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

       587       526,031  

Countrywide Alternative Loan Trust:

      

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

       1,147       1,141,853  

Series 2006-OA21, Class A1, (1 mo. LIBOR US + 0.19%), 1.78%, 03/20/47(a)

       860       730,014  

GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 3.76%,
06/19/35(c)

       311       303,526  

GSR Mortgage Loan Trust:

      

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

       55       92,893  

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

       191       175,098  

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

       75       62,710  

Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 3.72%, 05/25/36(c)

       571       533,523  

WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, (12 mo. MTA + 0.77%), 1.97%, 05/25/47(a)

       206       196,108  
   

 

 

  
        3,761,756  
Commercial Mortgage-Backed Securities — 8.5%  

Banc of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.60%, 04/14/33(b)(c)

       4,170       4,129,359  

Citigroup Commercial Mortgage Trust, Series 2013-GC15, Class B, 5.10%, 09/10/46(c)

       7,183       7,665,554  

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

       1,618       1,677,362  

Commercial Mortgage Trust:

      

Series 2013-300P, Class A1, 4.35%, 08/10/30(b)

       1,330       1,394,615  

Series 2013-CR11, Class B, 5.16%, 08/10/50(c)

       7,000       7,415,316  

Series 2013-LC6, Class B, 3.74%, 01/10/46

       1,390       1,376,537  

Series 2015-3BP, Class A, 3.18%, 02/10/35(b)

       7,570       7,444,313  

Series 2015-CR22, Class C, 4.12%, 03/10/48(c)

       5,000       4,876,834  

Series 2015-LC19, Class C, 4.26%, 02/10/48(c)

       3,500       3,474,809  

Core Industrial Trust, Series 2015-TEXW, Class D, 3.85%, 02/10/34(b)(c)

       4,585       4,601,954  

CSAIL Commercial Mortgage Trust, Series 2015-C1(c):

      

Class B, 4.04%, 04/15/50

       1,110       1,116,230  

Class C, 4.30%, 04/15/50

       1,000       989,353  

GAHR Commercial Mortgage Trust, Series 2015-NRF, Class DFX, 3.38%, 12/15/34(b)(c)

       6,170       6,149,535  

GS Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%,
02/10/46(b)

       2,505       2,495,112  

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-NINE, Class A, 2.85%, 10/06/38(b)(c)

       4,800       4,550,707  

Morgan Stanley Capital I Trust, Series 2014-CPT, Class G, 3.45%,
07/13/29(b)(c)

       3,200       3,090,951  

WF-RBS Commercial Mortgage Trust, Series 2012-C8:

      

Class B, 4.31%, 08/15/45

       1,395       1,430,863  

Class C, 4.89%, 08/15/45(c)

       1,795       1,825,692  
   

 

 

  
        65,705,096  
Security   Par
(000)		     Value  
Interest Only Commercial Mortgage-Backed Securities — 0.1%  

Commercial Mortgage Loan Trust, Series 2015-LC21, Class XA, 0.84%,
07/10/48(c)

     USD       19,166     $ 748,558  
   

 

 

  

Total Non-Agency Mortgage-Backed Securities — 9.1%
(Cost — $70,193,478)

 

     70,215,410  
   

 

 

  

Preferred Securities – 12.8%

 

Capital Trusts — 11.6%  
Auto Components — 0.0%  

General Motors Financial Co., Inc.,
Series A, 5.75%(c)(i)

       264       267,670  
   

 

 

  
Banks — 3.4%  

ABN AMRO Bank NV, 5.75%(h)(i)

       200       267,790  

Banco Bilbao Vizcaya Argentaria SA, 6.13%(c)(f)(i)

       2,000       2,035,000  

Banco Santander SA, 6.25%(h)(i)

       100       127,795  

BNP Paribas SA, 7.20%(b)(h)(i)

       2,000       2,265,000  

Capital One Financial Corp., Series E, 5.55%(h)(i)

       3,500       3,606,050  

CIT Group, Inc., Series A, 5.80%(h)(i)

       163       164,630  

Citigroup, Inc.(h)(i):

      

Series M, 6.30%

       4,000       4,210,800  

Series P, 5.95%

       2,200       2,286,900  

Series Q, 5.95%

       100       103,580  

Series R, 6.13%

       605       639,412  

Cooperatieve Rabobank UA, 6.63%(h)(i)

       200       281,286  

Credit Agricole SA(b)(h)(i):

      

6.63%

       1,400       1,452,500  

7.88%

       1,000       1,116,250  

Intesa Sanpaolo SpA, 7.00%(h)(i)

       200       271,094  

Nordea Bank AB, 6.13%(b)(h)(i)

       2,960       3,109,480  

Wells Fargo & Co.(h)(i):

      

Series S, 5.90%

       3,450       3,600,938  

Series U, 5.88%

       525       558,143  
   

 

 

  
        26,096,648  
Capital Markets — 0.7%  

Goldman Sachs Group, Inc., Series P, 5.00%(c)(i)

       545       530,078  

Morgan Stanley, Series H, 5.45%(h)(i)

       2,627       2,686,107  

State Street Corp., Series F, 5.25%(h)(i)

       2,000       2,075,000  
   

 

 

  
        5,291,185  
Chemicals — 0.0%  

Solvay Finance SA, 5.12%(h)(i)

       100       136,335  
   

 

 

  
Diversified Financial Services — 5.0%  

ATF Netherlands BV, 3.75%(h)(i)

       100       128,389  

Bank of America Corp.(h)(i):

      

Series AA, 6.10%

       300       318,000  

Series V, 5.13%

       385       389,331  

Series X, 6.25%

       4,620       4,967,424  

Bank of New York Mellon Corp.(h)(i):

      

Series D, 4.50%(f)

       8,400       8,190,000  

Series E, 4.95%

       2,000       2,047,500  

Barclays PLC, 7.25%(h)(i)

       200       300,464  

Credit Suisse Group AG, 6.25%(h)(i)

       200       210,440  

HBOS Capital Funding LP, 6.85%(i)

       100       102,016  

HSBC Holdings PLC, 6.00%(h)(i)

       435       444,352  

JPMorgan Chase & Co.(h)(i):

      

Series 1, 7.90%

       7,000       7,061,250  

Series Q, 5.15%

       3,000       3,020,100  

Series U, 6.13%

       500       528,500  

Series V, 5.00%

       6,710       6,743,550  

Series X, 6.10%

       160       169,840  

Royal Bank of Scotland Group PLC, 8.63%(h)(i)

       200       221,000  
 

 

 

30    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Diversified Financial Services (continued)  

Societe Generale SA(b)(f)(h)(i):

      

6.00%

     USD       3,000     $ 3,065,700  

7.88%

       1,000       1,112,500  
   

 

 

  
        39,020,356  
Diversified Telecommunication Services — 0.1%  

SoftBank Group Corp., 6.00%(h)(i)

       215       207,475  

Telefonica Europe BV, 4.20%(h)(i)

       200       257,405  
   

 

 

  
        464,880  
Electric Utilities — 0.6%  

ComEd Financing III, 6.35%(h)(i)

       300       320,250  

Electricite de France SA, 5.25%(b)(h)(i)

       4,200       4,212,600  

Gas Natural Fenosa Finance BV, 4.13%(h)(i)

       100       130,693  
   

 

 

  
        4,663,543  
Industrial Conglomerates — 0.3%  

General Electric Co., Series D, 5.00%(h)(i)

       2,131       2,104,363  
   

 

 

  
Insurance — 1.5%  

Allstate Corp.(h):

      

5.75%

       2,000       2,135,000  

6.50%

       4,100       4,879,000  

Voya Financial, Inc., 5.65%(h)

       4,500       4,635,000  
   

 

 

  
        11,649,000  
   

 

 

  

Total Capital Trusts — 11.6%
(Cost — $86,744,047)

 

     89,693,980  
   

 

 

  
            Shares         
Preferred Stocks — 1.1%  
Banks — 0.4%  

Wells Fargo & Co.(i):

      

Series Q, 5.85%(h)

       75,000       1,991,250  

Series Y, 5.63%

       50,000       1,248,500  
   

 

 

  
        3,239,750  
Capital Markets — 0.6%  

Goldman Sachs Group, Inc., Series J, 5.50%(h)(i)

       92,000       2,435,240  

Morgan Stanley, Series K, 5.85%(h)(i)

       66,567       1,770,016  

SCE Trust III, Series H, 5.75%(h)(i)

       25,314       670,568  
     

 

 

  
        4,875,824  
Machinery — 0.1%  

Stanley Black & Decker, Inc., 5.38%(h)(i)

       2,500       294,625  
     

 

 

  
Thrifts & Mortgage Finance — 0.0%  

Fannie Mae, Series S, 8.25%(c)(i)

       10,000       70,500  
     

 

 

  

Total Preferred Stocks — 1.1%
(Cost — $8,114,477)

 

     8,480,699  
     

 

 

  

Trust Preferred – 0.1%

 

Diversified Financial Services — 0.1%  

Citigroup Capital XIII, 7.88, 10/30/40(h)

       29,583       805,545  
     

 

 

  

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

 

     805,545  
     

 

 

  

Total Preferred Securities — 12.8%

 

     98,980,224  
     

 

 

  
            Par
(000)		     Value  

U.S. Government Sponsored Agency Securities — 14.6%

 

Agency Obligations — 1.5%  

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

     USD       1,600     $ 2,128,176  

Federal Home Loan Bank(f):

      

5.25%, 12/09/22

       1,375       1,527,989  

5.37%, 09/09/24

       2,175       2,505,661  

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

       6,055       4,049,329  

Resolution Funding Corp., 0.00%, 07/15/18 — 10/15/18(m)

       1,050       1,039,287  
     

 

 

  
        11,250,442  
Collateralized Mortgage Obligations — 4.1%  

Fannie Mae Mortgage-Backed Securities:

      

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

       1,636       1,580,542  

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

       85       85,956  

Series 1991-87, Class S, (1 mo. LIBOR + 26.68%), 22.39%, 08/25/21(a)

       2       2,552  

Series G-49, Class S, (1 mo. LIBOR + 1034.80%), 866.25%, 12/25/21(a)

       — (o)      6  

Series G-17, Class S, 914.37%, 06/25/21(c)

       — (o)      —  

Series G-07, Class S, (1 mo. LIBOR + 1144.57%), 961.77%, 03/25/21(a)

       — (o)      68  

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

       — (o)      —  

Series 1991-46, Class S, (1 mo. LIBOR + 2519.00%), 2,147.86%, 05/25/21(a)

       — (o)      —  

Freddie Mac Mortgage-Backed Securities:

      

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

       2,830       2,901,922  

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

       6,118       6,107,169  

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

       2,681       2,760,943  

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

       8,796       9,047,727  

Series 0173, Class R, 9.00%, 11/15/21(e)

       — (o)      —  

Series 0173, Class RS, 11.10%,
11/15/21(c)(e)

       — (o)      2  

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

       — (o)      —  

Series 0192, Class U, 1,009.03%,
02/15/22(c)

       — (o)      —  

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

       8,858       8,939,211  
     

 

 

  
        31,426,098  
Commercial Mortgage-Backed Securities — 0.2%  

Freddie Mac, Series K013, Class A2, 3.97%, 01/25/21(c)

       1,870       1,930,079  
   

 

 

  
Interest Only Collateralized Mortgage Obligations — 0.6%  

Fannie Mae Mortgage-Backed Securities:

      

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

       31       703  

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

       4,563       360,464  

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

       4,380       1,019,857  

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

       — (o)      8  

Series 094, Class 2, 9.50%, 08/25/21

       — (o)      17  

Series 1990-136, Class S, 18.46%, 11/25/20(a)

       1       1  

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

       — (o)      —  

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

       — (o)      —  

Series G-10, Class S, 930.47%, 05/25/21(a)

       — (o)      —  

Series G-12, Class S, (1 mo. LIBOR + 1175.53%), 986.90%, 05/25/21(a)

       — (o)      —  

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

       — (o)      —  

Freddie Mac Mortgage-Backed Securities:

      

Series K707, Class X1, 1.51%, 12/25/18(c)

       4,619       35,500  

Series 2611, Class QI, 5.50%, 09/15/32

       224       5,553  

Series 1254, Class Z, 8.50%, 04/15/22

       13       1,775  

Series 1043, Class H, (1 mo. LIBOR + 45.00%), 37.86%, 02/15/21(a)

       1       1  

Series 1054, Class I, (1 mo. LIBOR + 881.40%), 743.22%, 03/15/21(a)

       — (o)      —  
 

 

 

SCHEDULES OF INVESTMENTS      31  

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

            Par
(000)		     Value  
Interest Only Collateralized Mortgage Obligations (continued)  

Series 1148, Class E, (1 mo. LIBOR + 1196.85%), 1,009.67%, 10/15/21(a)

     USD       — (o)    $ —  

Series 0176, Class M, 1,010.00%, 07/15/21

       — (o)      —  

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

       — (o)      —  

Series 0019, Class R, 6,696.22%, 03/15/20(c)(e)

       — (o)      —  

Ginnie Mae Mortgage-Backed Securities(a):

      

Series 2009-78, Class SD, (1 mo. LIBOR + 6.20%), 4.61%, 09/20/32

       4,908       475,159  

Series 2009-116, Class KS, (1 mo. LIBOR + 6.47%), 4.88%, 12/16/39

       1,762       225,063  

Series 2011-52, Class NS, (1 mo. LIBOR + 6.67%), 5.08%, 04/16/41

       14,036       2,203,058  
   

 

 

  
        4,327,159  
Mortgage-Backed Securities — 8.2%  

Fannie Mae Mortgage-Backed Securities(f):

      

3.00%, 8/01/43

       9,576       9,345,490  

4.00%, 12/01/41 — 04/01/56

       31,006       32,024,864  

4.50%, 07/01/41 — 07/01/55

       17,600       18,593,492  

5.00%, 8/01/34

       1,748       1,887,144  

5.50%, 6/01/38

       839       920,460  

6.00%, 12/01/38

       707       788,372  

Freddie Mac Mortgage-Backed Securities, 6.00%, 09/01/18 — 12/01/18

       7       6,576  

Ginnie Mae Mortgage-Backed Securities:

      

5.50%, 8/15/33

       56       60,324  

8.00%, 7/15/24

       — (o)      89  
   

 

 

  
        63,626,811  
Principal Only Collateralized Mortgage Obligations — 0.0%  

Fannie Mae Mortgage-Backed Securities (m):

      

Series 1993-51, Class E, 0.00%, 02/25/23

       6       5,414  

Series 203, Class 1, 0.00%, 02/25/23

       2       1,638  

Series 1993-70, Class A, 0.00%, 05/25/23

       1       907  

Series 0228, Class 1, 0.00%, 06/25/23

       1       1,312  
   

 

 

  
        9,271  
   

 

 

  

Total U.S. Government Sponsored Agency Securities — 14.6%
(Cost — $113,229,425)

 

     112,569,860  
   

 

 

  

U.S. Treasury Obligations — 15.6%

 

U.S. Treasury Bonds(f):

      

3.00%, 11/15/44

       61,400       60,006,508  

2.50%, 02/15/46

       66,500       58,668,066  

U.S. Treasury Notes, 2.75%, 11/15/47(f)

       2,000       1,852,969  
   

 

 

  

Total U.S. Treasury Obligations — 15.6%
(Cost — $132,027,630)

 

     120,527,543  
   

 

 

  

Total Long-Term Investments — 145.7%
(Cost — $1,107,839,377)

 

     1,125,302,204  
   

 

 

  
                
Shares		     Value  

Short-Term Securities — 0.4%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.29%(p)(q)

     USD       2,711,662     $ 2,711,662  

Total Short-Term Securities — 0.4%
(Cost — $2,711,662)

 

     2,711,662  
   

 

 

  

Options Purchased — 0.5%
(Cost — $4,020,844)

 

     3,494,413  
   

 

 

  

Total Investments Before Options Written — 146.6%
(Cost — $1,114,571,883)

 

     1,131,508,279  
   

 

 

  

Options Written — (0.7)%
(Premiums Received — $3,581,260)

 

     (5,205,701 ) 
   

 

 

  

Total Investments, Net of Options Written — 145.9%
(Cost — $1,110,990,623)

 

     1,126,302,578  

Liabilities in Excess of Other Assets — (45.9)%

 

     (354,127,931 ) 
   

 

 

  

Net Assets — 100.0%

 

   $ 772,174,647  
     

 

 

  

 

(a)  Floating rate security. Rate shown is the rate in effect as of period end.
(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) Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.
(d)  When-issued security.
(e) Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.
(f)  All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.
(g) Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.
(h)  Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.
(i)  Perpetual security with no stated maturity date.
(j)  Convertible security.
(k)  Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.
(l)  Variable rate security. Rate shown is the rate in effect as of period end.
(m)  Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.
(n)  Zero-coupon bond.
(o) Amount is less than $500.
(p)  Annualized 7-day yield as of period end.
 
(q)  During the six months ended February 28, 2018, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated    Shares
Held at
08/31/17		      Net
Activity		     

Shares

Held at
02/28/18

      Value at
02/28/18		      Income      Net
Realized
Gain (Loss) (a)		      Change in
Unrealized
Appreciation
(Depreciation)		  

BlackRock Liquidity Funds, T-Fund, Institutional Class

      4,374,729        (1,663,067 )       2,711,662      $ 2,711,662      $ 43,782      $ 36      $ —  
           

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a)  Includes net capital gain distributions, if applicable.  

 

 

32    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

 

Reverse Repurchase Agreements

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty    Interest
Rate		     Trade
Date		      Maturity
Date (a)		      Face Value      Face Value
Including
Accrued Interest		      Type of Non-Cash
Underlying Collateral		    Remaining Contractual
Maturity of the Agreements  (a)

BNP Paribas Securities Corp.

      1.44 %      12/29/16        Open      $ 60,555,750      $ 61,315,153      U.S. Treasury Obligations    Open/Demand

Deutsche Bank AG

      1.43       02/27/17        Open        22,562,500        22,822,677      U.S. Treasury Obligations    Open/Demand

BNP Paribas Securities Corp.

      1.86       06/15/17        Open        802,000        811,491      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

      1.75       06/19/17        Open        3,648,000        3,688,179      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

      1.75       06/19/17        Open        3,665,000        3,705,366      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

      1.75       06/19/17        Open        8,069,000        8,157,871      Capital Trusts    Open/Demand

HSBC Securities (USA), Inc.

      1.75       06/19/17        Open        3,945,000        3,988,450      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

      2.00       06/19/17        Open        3,823,000        3,871,849      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       06/19/17        Open        3,329,300        3,368,083      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       06/19/17        Open        2,586,000        2,616,124      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       06/19/17        Open        3,558,938        3,600,395      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       06/19/17        Open        2,472,500        2,501,302      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       06/19/17        Open        3,251,250        3,289,123      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       06/19/17        Open        3,080,000        3,115,879      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       06/19/17        Open        7,128,138        7,211,172      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       06/19/17        Open        3,660,000        3,702,635      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       06/19/17        Open        3,315,000        3,353,616      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       06/19/17        Open        4,634,500        4,688,487      Corporate Bonds    Open/Demand

Nomura Securities International, Inc.

      1.46       06/20/17        Open        28,687,500        28,945,767      U.S. Treasury Obligations    Open/Demand

RBC Capital Markets LLC

      1.84       06/21/17        Open        1,930,000        1,952,312      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       06/21/17        Open        1,807,500        1,828,396      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       06/21/17        Open        1,555,750        1,573,735      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       06/21/17        Open        2,091,000        2,115,173      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       06/21/17        Open        1,641,500        1,660,477      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       06/21/17        Open        4,850,000        4,906,069      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       06/21/17        Open        2,480,000        2,508,670      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       06/21/17        Open        2,300,003        2,326,592      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       06/21/17        Open        2,286,900        2,313,338      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       06/21/17        Open        1,867,500        1,886,697      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       06/21/17        Open        3,306,250        3,344,472      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       06/21/17        Open        1,928,180        1,950,471      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       06/21/17        Open        2,002,725        2,025,878      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

      1.75       06/27/17        Open        1,220,838        1,233,748      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

      1.75       06/27/17        Open        590,200        596,442      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

      1.75       06/27/17        Open        2,544,013        2,570,916      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

      1.75       06/27/17        Open        1,564,875        1,581,424      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

      1.75       06/27/17        Open        2,370,000        2,395,064      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       08/30/17        Open        3,509,000        3,538,717      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       08/30/17        Open        1,901,250        1,917,351      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       08/30/17        Open        2,154,375        2,172,620      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       08/30/17        Open        2,227,500        2,246,364      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      2.20       09/12/17        Open        6,960,000        7,027,087      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       09/29/17        Open        1,584,000        1,595,386      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       09/29/17        Open        1,644,750        1,656,573      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       09/29/17        Open        1,850,000        1,863,298      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       09/29/17        Open        3,885,700        3,913,631      Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

      1.92       10/05/17        Open        4,135,000        4,164,978      Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

      1.92       10/05/17        Open        5,225,000        5,262,880      Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

      2.00       10/05/17        Open        4,604,000        4,638,882      Corporate Bonds    Open/Demand

Citigroup Global Market, Inc.

      0.00       11/01/17        Open        225,000        224,911      Corporate Bonds    Open/Demand

Citigroup Global Market, Inc.

      0.50       11/01/17        Open        195,435        195,035      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

      0.50       11/03/17        Open        134,048        134,215      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

      0.50       11/16/17        Open        118,294        118,123      Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

      1.52       12/14/17        Open        1,311,750        1,316,359      U.S. Government Sponsored Agency Securities    Open/Demand

BNP Paribas Securities Corp.

      1.52       12/14/17        Open        797,125        799,926      U.S. Government Sponsored Agency Securities    Open/Demand

BNP Paribas Securities Corp.

      1.52       12/14/17        Open        1,409,169        1,414,120      U.S. Government Sponsored Agency Securities    Open/Demand

UBS Securities LLC

      1.80       12/14/17        Open        3,804,917        3,819,375      Foreign Agency Obligations    Open/Demand

UBS Securities LLC

      1.85       12/14/17        Open        3,875,514        3,890,650      Foreign Agency Obligations    Open/Demand

UBS Securities LLC

      2.00       12/14/17        Open        341,325        342,766      Corporate Bonds    Open/Demand

 

 

SCHEDULES OF INVESTMENTS      33  

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate		     Trade
Date		      Maturity
Date (a)		      Face Value      Face Value
Including
Accrued Interest		      Type of Non-Cash
Underlying Collateral		    Remaining Contractual
Maturity of the Agreements  (a)

UBS Securities LLC

      2.00 %      12/14/17        Open      $ 2,654,718      $ 2,665,926      Corporate Bonds    Open/Demand

J.P. Morgan Securities LLC

      (0.15 )      01/08/18        Open        219,313        219,266      Corporate Bonds    Open/Demand

J.P. Morgan Securities LLC

      (0.30 )      01/08/18        Open        157,620        157,553      Corporate Bonds    Open/Demand

J.P. Morgan Securities LLC

      (0.50 )      01/08/18        Open        2,358,750        2,357,079      Capital Trusts    Open/Demand

J.P. Morgan Securities LLC

      0.60       01/08/18        Open        149,623        149,750      Corporate Bonds    Open/Demand

J.P. Morgan Securities LLC

      1.00       01/09/18        Open        165,241        165,471      Corporate Bonds    Open/Demand

Merrill Lynch, Pierce, Fenner & Smith, Inc.

      1.46       01/22/18        Open        761,063        762,218      U.S. Government Sponsored Agency Securities    Open/Demand

Merrill Lynch, Pierce, Fenner & Smith, Inc.

      1.46       01/22/18        Open        1,263,125        1,265,043      U.S. Government Sponsored Agency Securities    Open/Demand

Deutsche Bank AG

      (0.75 )      01/25/18        Open        71,000        70,950      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       01/30/18        Open        2,590,750        2,594,590      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       01/30/18        Open        8,151,615        8,163,698      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       01/30/18        Open        8,404,995        8,417,453      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

      1.84       01/30/18        Open        7,171,075        7,181,704      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

      (1.50 )      02/01/18        Open        138,679        138,604      Corporate Bonds    Open/Demand

BNP Paribas Securities Corp.

      1.52       02/01/18        Open        856,832        856,832      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

      1.54       02/12/18        3/13/18        2,637,000        2,638,805      U.S. Government Sponsored Agency Securities    Up to 30 days

HSBC Securities (USA), Inc.

      1.54       02/12/18        3/13/18        2,379,000        2,380,628      U.S. Government Sponsored Agency Securities    Up to 30 days

HSBC Securities (USA), Inc.

      1.54       02/12/18        3/13/18        9,079,000        9,085,214      U.S. Government Sponsored Agency Securities    Up to 30 days

HSBC Securities (USA), Inc.

      1.54       02/12/18        3/13/18        7,581,993        7,592,905      U.S. Government Sponsored Agency Securities    Up to 30 days

HSBC Securities (USA), Inc.

      1.54       02/12/18        3/13/18        1,844,000        1,845,262      U.S. Government Sponsored Agency Securities    Up to 30 days

HSBC Securities (USA), Inc.

      1.54       02/12/18        3/13/18        890,000        890,609      U.S. Government Sponsored Agency Securities    Up to 30 days

HSBC Securities (USA), Inc.

      1.54       02/12/18        3/13/18        2,064,000        2,065,413      U.S. Government Sponsored Agency Securities    Up to 30 days

HSBC Securities (USA), Inc.

      1.54       02/12/18        3/13/18        5,008,000        5,011,428      U.S. Government Sponsored Agency Securities    Up to 30 days

HSBC Securities (USA), Inc.

      1.54       02/12/18        3/13/18            18,940,000        18,952,963      U.S. Government Sponsored Agency Securities    Up to 30 days

HSBC Securities (USA), Inc.

      1.54       02/12/18        3/13/18        7,890,000        7,895,400      U.S. Government Sponsored Agency Securities    Up to 30 days

HSBC Securities (USA), Inc.

      1.54       02/12/18        3/13/18        760,000        760,520      U.S. Government Sponsored Agency Securities    Up to 30 days

HSBC Securities (USA), Inc.

      1.54       02/12/18        3/13/18        2,785,000        2,786,906      U.S. Government Sponsored Agency Securities    Up to 30 days

J.P. Morgan Securities LLC

      0.00       02/13/18        Open        211,410        211,410      Corporate Bonds    Open/Demand

J.P. Morgan Securities LLC

      0.30       02/13/18        Open        398,788        398,837      Corporate Bonds    Open/Demand

J.P. Morgan Securities LLC

      (0.75 )      02/13/18        Open        897,500        897,220      Capital Trusts    Open/Demand

J.P. Morgan Securities LLC

      0.90       02/13/18        Open        1,645,000        1,645,617      Capital Trusts    Open/Demand

Citigroup Global Market, Inc.

      1.10       02/21/18        Open        586,376        586,502      Corporate Bonds    Open/Demand

J.P. Morgan Securities LLC

      1.00       02/21/18        Open        358,500        358,570      Corporate Bonds    Open/Demand

J.P. Morgan Securities LLC

      1.39       02/28/18        3/01/18        1,862,500        1,862,572      U.S. Treasury Obligations    Up to 30 days
          

 

 

     

 

 

        
   $ 365,936,228      $ 368,809,658        
          

 

 

     

 

 

        

 

  (a)  Certain agreements have no stated maturity and can be terminated by either party at any time.  

 

 

34    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description      Number of
Contracts		        Expiration
Date		        Notional
Amount (000)		        Value /
Unrealized
Appreciation
(Depreciation)		  

Long Contracts:

                    

Euro Stoxx 600 Index

        1          03/16/18        $ 9        $ 242  

Ultra Long U.S. Treasury Bond

        12          06/20/18          1,871          8,276  

90-Day Euro Future

        449          03/18/19          109,315          (357,749 ) 
                           

 

 

  
                      (349,231 ) 
                           

 

 

  

Short Contracts:

                    

10-Year U.S. Treasury Note

        363          06/20/18          43,577          75,622  

10-Year U.S. Ultra Long Treasury Note

        94          06/20/18          12,038          (8,071 ) 

Long U.S. Treasury Bond

        20          06/20/18          2,869          (9,519 ) 

Long Gilt Future

        1          06/27/18          121          (15 ) 

2-Year U.S. Treasury Note

        464          06/29/18          98,586          67,341  

5-Year U.S. Treasury Note

        196          06/29/18          22,330          37,840  

90-Day Euro Future

        449          03/16/20          109,028          471,211  
                           

 

 

  
                      634,409  
                   

 

 

  
                    $ 285,178  
                           

 

 

  

Forward Foreign Currency Exchange Contracts

 

Currency Purchased        Currency Sold        Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)		  
USD      5,001,349        EUR      4,029,500        BNP Paribas S.A.        03/05/18        $ 84,443  
USD      5,031,508        EUR      4,029,500        Barclays Bank PLC        03/05/18          114,602  
USD      1,380,726        EUR      1,112,000        HSBC Bank USA N.A.        03/05/18          23,833  
USD      1,388,571        EUR      1,112,000        HSBC Bank USA N.A.        03/05/18          31,678  
USD      2,025,097        GBP      1,427,000        Barclays Bank PLC        03/05/18          60,370  
USD      12,086,116        GBP      8,516,573        Barclays Bank PLC        03/05/18          360,297  
USD      146,667        NZD      198,000        Australia and New Zealand Bank Group        03/05/18          3,875  
USD      185,501        EUR      148,929        Citibank N.A.        03/19/18          3,579  
USD      36,909        EUR      29,900        HSBC Bank USA N.A.        03/19/18          385  
USD      2,495,328        EUR      2,036,000        Bank of America N.A.        04/04/18          5,017  
USD      9,467,783        EUR      7,725,000        Bank of America N.A.        04/04/18          19,034  
USD      1,947,484        GBP      1,408,000        Standard Chartered Bank        04/04/18          6,023  
USD      11,783,031        GBP      8,517,000        Toronto-Dominion Bank        04/04/18          39,128  
USD      142,855        NZD      198,000        Westpac Banking Corp.        04/04/18          98  
USD      227,000        ARS      4,653,500        Deutsche Bank AG        05/02/18          3,113  
                         

 

 

  
                            755,475  
                         

 

 

  
EUR      178,829        USD      224,301        Barclays Bank PLC        03/19/18          (5,856 ) 
ARS      4,671,660        USD      227,000        Citibank N.A.        05/02/18          (2,239 ) 
                         

 

 

  
                            (8,095 ) 
                         

 

 

  
        $ 747,380  
                         

 

 

  

Interest Rate Caps Purchased

 

Description    Exercise
Rate		      Counterparty      Expiration
Date		        Notional
Amount (000)		        Value        Premiums
Paid		        Unrealized
Depreciation		  

2Y – 10Y CMS Index Cap

      0.24 %     Barclays Bank PLC        01/24/19          USD  18,000        $ 19,022        $ 25,560        $ (6,538 ) 

2Y – 10Y CMS Index Cap

      0.33      Barclays Bank PLC        01/30/19          USD  19,180          14,049          21,098          (7,049 ) 
                    

 

 

       

 

 

       

 

 

  
                     $   33,071        $ 46,658        $ (13,587 ) 
                    

 

 

       

 

 

       

 

 

  

 

 

SCHEDULES OF INVESTMENTS      35  

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

 

OTC Interest Rate Swaptions Purchased

 

Description

   Paid by the Trust   Received by the Trust   Counterparty   Expiration
Date		     Exercise
Rate		     Notional
Amount (000)		     Value  
  Rate     Frequency   Rate     Frequency          

Call

                    

2-Year Interest Rate Swap, 10/19/20

     3-Month LIBOR     Quarterly     1.25 %    Semi-annual   Deutsche Bank AG     10/17/18       1.25 %      USD       10,000     $ 168  

10-Year Interest Rate Swap, 03/15/29

     3-Month LIBOR     Quarterly     2.75     Semi-annual   Barclays Bank PLC     03/13/19       2.75       USD       2,290       36,624  

2-Year Interest Rate Swap, 03/29/21

     3-Month LIBOR     Quarterly     2.25     Semi-annual   Deutsche Bank AG     03/27/19       2.25       USD       20,000       25,201  

2-Year Interest Rate Swap, 04/27/21

     3-Month LIBOR     Quarterly     2.35     Semi-annual   Barclays Bank PLC     04/25/19       2.35       USD       20,000       34,795  

10-Year Interest Rate Swap, 02/16/30

     3-Month LIBOR     Quarterly     3.09     Semi-annual   Deutsche Bank AG     02/14/20       3.09       USD       1,870       70,313  

15-Year Interest Rate Swap, 06/10/35

     6-Month LIBOR     Semi-annual     0.65     Semi-annual   Barclays Bank PLC     06/08/20       0.65       JPY       125,000       25,026  

Call

                    

15-Year Interest Rate Swap, 09/16/35

     6-Month LIBOR     Semi-annual     0.66     Semi-annual   Morgan Stanley & Co. International PLC     09/14/20       0.66       JPY       50,000       10,243  

15-Year Interest Rate Swap, 09/16/35

     6-Month LIBOR     Semi-annual     0.66     Semi-annual   Barclays Bank PLC     09/14/20       0.66       JPY       50,000       10,243  

10-Year Interest Rate Swap, 01/27/37(a)

     3-Month LIBOR     Quarterly     2.60     Semi-annual   Deutsche Bank AG     01/25/27       2.60       USD       1,900       (57,941 ) 

10-Year Interest Rate Swap, 02/10/37

     3-Month LIBOR     Quarterly     2.40     Semi-annual   Deutsche Bank AG     02/08/27       2.40       USD       1,875       63,404  
                   

 

 

  
                      218,076  
                   

 

 

  

Put

                    

5-Year Interest Rate Swap, 10/07/23

     3.00 %    Semi-annual     3-Month LIBOR     Quarterly   Bank of America N.A.     10/05/18       3.00       USD       6,120       40,481  

5-Year Interest Rate Swap, 01/31/24

     3.05     Semi-annual     3-Month LIBOR     Quarterly   Deutsche Bank AG     01/29/19       3.05       USD       23,110       200,525  

5-Year Interest Rate Swap, 02/15/24

     2.95     Semi-annual     3-Month LIBOR     Quarterly   Deutsche Bank AG     02/13/19       2.95       USD       25,700       281,397  

30-Year Interest Rate Swap, 02/05/50

     4.00     Semi-annual     3-Month LIBOR     Quarterly   Goldman Sachs Bank USA     02/03/20       4.00       USD       1,600       25,057  

10-Year Interest Rate Swap, 02/16/30

     3.09     Semi-annual     3-Month LIBOR     Quarterly   Deutsche Bank AG     02/14/20       3.09       USD       1,870       56,776  

10-Year Interest Rate Swap, 02/20/30

     3.35     Semi-annual     3-Month LIBOR     Quarterly   Deutsche Bank AG     02/18/20       3.35       USD       3,710       81,293  

15-Year Interest Rate Swap, 05/17/35

     1.10     Semi-annual     6-Month LIBOR     Semi-annual   Barclays Bank PLC     05/15/20       1.10       JPY       250,000       15,416  

15-Year Interest Rate Swap, 06/10/35

     0.65     Semi-annual     6-Month LIBOR     Semi-annual   Barclays Bank PLC     06/08/20       0.65       JPY       125,000       21,758  

Put

                    

15-Year Interest Rate Swap, 09/16/35

     0.66     Semi-annual     6-Month LIBOR     Semi-annual   Barclays Bank PLC     09/14/20       0.66       JPY       50,000       9,559  

15-Year Interest Rate Swap, 09/16/35

     0.66     Semi-annual     6-Month LIBOR     Semi-annual   Morgan Stanley & Co. International PLC     09/14/20       0.66       JPY       50,000       9,559  

10-Year Interest Rate Swap, 02/03/21

     3.50     Semi-annual     3-Month LIBOR     Quarterly   Bank of America N.A.     02/01/21       3.50       USD       4,000       98,834  

10-Year Interest Rate Swap, 02/03/21

     3.50     Semi-annual     3-Month LIBOR     Quarterly   Citibank N.A.     02/01/21       3.50       USD       4,380       108,223  

10-Year Interest Rate Swap, 01/13/32

     1.25     Semi-annual     6-Month LIBOR     Semi-annual   Credit Suisse International     01/11/22       1.25       JPY       250,000       14,447  

10-Year Interest Rate Swap, 02/24/32

     1.55     Semi-annual     6-Month LIBOR     Semi-annual   Credit Suisse International     02/22/22       1.55       JPY       250,000       11,113  

10-Year Interest Rate Swap, 03/18/32

     1.60     Semi-annual     6-Month LIBOR     Semi-annual   JPMorgan Chase Bank N.A.     03/16/22       1.60       JPY       250,000       10,893  

10-Year Interest Rate Swap, 04/06/32

     1.45     Semi-annual     6-Month LIBOR     Semi-annual   JPMorgan Chase Bank N.A.     04/04/22       1.45       JPY       250,000       12,836  

15-Year Interest Rate Swap, 05/05/37

     3.25     Semi-annual     3-Month LIBOR     Quarterly   Goldman Sachs Bank USA     05/03/22       3.25       USD       4,050       211,222  

10-Year Interest Rate Swap, 08/18/32

     3.00     Semi-annual     3-Month LIBOR     Quarterly   JPMorgan Chase Bank N.A.     08/16/22       3.00       USD       22,000       1,090,361  

 

 

36    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

 

OTC Interest Rate Swaptions Purchased (continued)

 

Description

   Paid by the Trust   Received by the Trust   Counterparty   Expiration
Date		     Exercise
Rate		     Notional
Amount (000)		     Value  
  Rate     Frequency   Rate     Frequency          

30-Year Interest Rate Swap, 02/15/53

     3.35 %     Semi-annual     3-Month LIBOR     Quarterly   Barclays Bank PLC     02/13/23       3.35 %       USD       9,557     $ 704,416  

10-Year Interest Rate Swap, 04/14/37

     3.00     Semi-annual     3-Month LIBOR     Quarterly   JPMorgan Chase Bank N.A.     04/12/27       3.00       USD       2,590       150,073  

Put

                  

20-Year Interest Rate Swap, 08/11/53

     4.00     Annual     6-Month EURIBOR     Semi-annual   Barclays Bank PLC     08/09/33       4.00       EUR       2,410       89,027  
                   

 

 

  
                      3,243,266  
                   

 

 

  
  $ 3,461,342  
                   

 

 

  

 

  (a)  Forward settling swaption.  

OTC Interest Rate Swaptions Written

 

Description   Paid by the Trust   Received by the Trust   Counterparty   Expiration
Date		     Exercise
Rate		     Notional
Amount (000)		     Value  
  Rate     Frequency   Rate     Frequency          

Call

                                                                

2-Year Interest Rate Swap, 03/03/20

     1.60 %    Semi-annual     3-Month LIBOR     Quarterly   Goldman Sachs Bank USA     03/01/18       1.60 %    USD     24,400     $ (2 ) 

5-Year Interest Rate Swap, 03/15/23

     0.10     Annual     6-Month EURIBOR     Semi-annual   Barclays Bank PLC     03/13/18       0.10     EUR     11,520       (1 ) 

10-Year Interest Rate Swap, 07/15/28

     2.45     Semi-annual     3-Month LIBOR     Quarterly   Deutsche Bank AG     07/13/18       2.45     USD     2,000       (5,079 ) 

10-Year Interest Rate Swap, 08/18/28

     2.97     Semi-annual     3-Month LIBOR     Quarterly   Barclays Bank PLC     08/16/18       2.97     USD     3,710       (66,158 ) 

10-Year Interest Rate Swap, 08/23/28

     2.99     Semi-annual     3-Month LIBOR     Quarterly   JPMorgan Chase Bank N.A.     08/21/18       2.99     USD     1,855       (35,249 ) 

2-Year Interest Rate Swap, 10/19/20

     0.90     Semi-annual     3-Month LIBOR     Quarterly   Deutsche Bank AG     10/17/18       0.90     USD     10,000       (53 ) 

10-Year Interest Rate Swap, 01/05/29

     0.65     Annual     6-Month EURIBOR     Semi-annual   Morgan Stanley & Co. International PLC     01/03/19       0.65     EUR     1,380       (1,722 ) 

10-Year Interest Rate Swap,

     3.02     Semi-annual     3-Month LIBOR     Quarterly   Bank of America N.A.     02/28/19       3.02     USD     2,670       (70,267 ) 

10-Year Interest Rate Swap, 03/15/29

     2.00     Semi-annual     3-Month LIBOR     Quarterly   Barclays Bank PLC     03/13/19       2.00     USD     4,580       (12,292 ) 

2-Year Interest Rate Swap, 03/23/21

     1.60     Semi-annual     3-Month LIBOR     Quarterly   Goldman Sachs Bank USA     03/21/19       1.60     USD     15,400       (3,212 ) 

2-Year Interest Rate Swap, 03/29/21

     1.75     Semi-annual     3-Month LIBOR     Quarterly   Deutsche Bank AG     03/27/19       1.75     USD     30,000       (9,846 ) 

2-Year Interest Rate Swap, 03/30/21

     1.75     Semi-annual     3-Month LIBOR     Quarterly   JPMorgan Chase Bank N.A.     03/28/19       1.75     USD     8,470       (2,789 ) 

2-Year Interest Rate Swap, 04/14/21

     1.60     Semi-annual     3-Month LIBOR     Quarterly   JPMorgan Chase Bank N.A.     04/12/19       1.60     USD     6,700       (1,597 ) 

2-Year Interest Rate Swap, 04/27/21

     1.85     Semi-annual     3-Month LIBOR     Quarterly   Barclays Bank PLC     04/25/19       1.85     USD     40,000       (19,754 ) 

2-Year Interest Rate Swap, 11/06/21

     1.70     Semi-annual     3-Month LIBOR     Quarterly   Barclays Bank PLC     11/04/19       1.70     USD     11,900       (8,622 ) 

2-Year Interest Rate Swap, 02/09/22

     2.20     Semi-annual     3-Month LIBOR     Quarterly   Deutsche Bank AG     02/07/20       2.20     USD     10,790       (25,708 ) 

2-Year Interest Rate Swap, 02/16/22

     2.35     Semi-annual     3-Month LIBOR     Quarterly   Deutsche Bank AG     02/14/20       2.35     USD     10,690       (33,377 ) 

2-Year Interest Rate Swap, 02/23/22

     2.35     Semi-annual     3-Month LIBOR     Quarterly   UBS AG     02/21/20       2.35     USD     10,600       (33,361 ) 

5-Year Interest Rate Swap, 01/07/27

     1.70     Semi-annual     3-Month LIBOR     Quarterly   Goldman Sachs Bank USA     01/05/22       1.70     USD     5,000       (32,790 ) 

5-Year Interest Rate Swap, 02/10/27

     1.75     Semi-annual     3-Month LIBOR     Quarterly   Deutsche Bank AG     02/08/22       1.75     USD     5,000       (35,565 ) 
                   

 

 

  
                      (397,444 ) 
                   

 

 

  

 

 

SCHEDULES OF INVESTMENTS      37  

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

 

OTC Interest Rate Swaptions Written (continued)

 

Description

   Paid by the Trust   Received by the Trust   Counterparty   Expiration
Date		     Exercise
Rate		     Notional
Amount (000)		     Value  
  Rate     Frequency   Rate     Frequency          

Put

                                                                

2-Year Interest Rate Swap, 04/08/20

     3-Month LIBOR     Quarterly     2.15 %    Semi-annual   JPMorgan Chase Bank N.A.     04/06/18       2.15 %     USD     8,320     $ (72,837 ) 

2-Year Interest Rate Swap, 04/14/20

     3-Month LIBOR     Quarterly     1.75     Semi-annual   Goldman Sachs Bank USA     04/12/18       1.75     USD     38,200       (633,097 ) 

2-Year Interest Rate Swap, 06/29/20

     3-Month LIBOR     Quarterly     1.45     Semi-annual   Goldman Sachs Bank USA     06/27/18       1.45     USD     10,000       (235,761 ) 

10-Year Interest Rate Swap, 07/15/28

     3-Month LIBOR     Quarterly     2.45     Semi-annual   Deutsche Bank AG     07/13/18       2.45     USD     2,000       (86,477 ) 

10-Year Interest Rate Swap, 01/18/28

     3-Month LIBOR     Quarterly     2.75     Semi-annual   JPMorgan Chase Bank N.A.     07/16/18       2.75     USD     2,000       (46,126 ) 

10-Year Interest Rate Swap, 01/21/28

     3-Month LIBOR     Quarterly     2.70     Semi-annual   Deutsche Bank AG     07/19/18       2.70     USD     3,240       (85,150 ) 

10-Year Interest Rate Swap, 08/18/28

     3-Month LIBOR     Quarterly     2.70     Semi-annual   JPMorgan Chase Bank N.A.     08/16/18       2.70     USD     31,000       (864,602 ) 

10-Year Interest Rate Swap, 08/18/28

     3-Month LIBOR     Quarterly     2.97     Semi-annual   Barclays Bank PLC     08/16/18       2.97     USD     3,710       (54,194 ) 

10-Year Interest Rate Swap, 08/23/28

     3-Month LIBOR     Quarterly     2.99     Semi-annual   JPMorgan Chase Bank N.A.     08/21/18       2.99     USD     1,855       (26,160 ) 

10-Year Interest Rate Swap, 09/08/28

     3-Month LIBOR     Quarterly     2.45     Semi-annual   Barclays Bank PLC     09/06/18       2.45     USD     2,400       (110,114 ) 

2-Year Interest Rate Swap, 09/08/20

     3-Month LIBOR     Quarterly     1.50     Semi-annual   Goldman Sachs Bank USA     09/06/18       1.50     USD     26,000       (615,416 ) 

2-Year Interest Rate Swap, 10/19/20

     3-Month LIBOR     Quarterly     2.50     Semi-annual   Barclays Bank PLC     10/17/18       2.50     USD     5,000       (32,149 ) 

10-Year Interest Rate Swap, 01/05/29

     6-Month EURIIBOR     Semi-annual     1.65     Annual   Morgan Stanley & Co. International PLC     01/03/19       1.65     EUR     1,380       (10,298 ) 

2-Year Interest Rate Swap, 01/27/21

     3-Month LIBOR     Quarterly     2.75     Semi-annual   Deutsche Bank AG     01/25/19       2.75     USD     13,400       (65,610 ) 

Put

                    

2-Year Interest Rate Swap, 01/31/21

     3-Month LIBOR     Quarterly     2.95     Semi-annual   Deutsche Bank AG     01/29/19       2.95     USD     58,330       (182,397 ) 

2-Year Interest Rate Swap, 02/17/21

     3-Month LIBOR     Quarterly     3.05     Semi-annual   Deutsche Bank AG     02/15/19       3.05     USD     24,800       (66,425 ) 

10-Year Interest Rate Swap, 02/20/29

     6-Month EURIBOR     Semi-annual     1.65     Annual   Barclays Bank PLC     02/18/19       1.65     EUR     8,490       (81,212 ) 

10-Year Interest Rate Swap, 02/22/29

     6-Month EURIBOR     Semi-annual     1.70     Annual   Barclays Bank PLC     02/20/19       1.70     EUR     8,490       (71,734 ) 

10-Year Interest Rate Swap,

     3-Month LIBOR     Quarterly     3.02     Semi-annual   Bank of America N.A.     02/28/19       3.02     USD     2,670       (58,668 ) 

2-Year Interest Rate Swap, 03/23/21

     3-Month LIBOR     Quarterly     2.60     Semi-annual   Goldman Sachs Bank USA     03/21/19       2.60     USD     15,400       (112,538 ) 

2-Year Interest Rate Swap, 03/30/21

     3-Month LIBOR     Quarterly     2.75     Semi-annual   JPMorgan Chase Bank N.A.     03/28/19       2.75     USD     8,470       (48,087 ) 

2-Year Interest Rate Swap, 04/10/21

     3-Month LIBOR     Quarterly     2.35     Semi-annual   JPMorgan Chase Bank N.A.     04/08/19       2.35     USD     7,530       (82,492 ) 

2-Year Interest Rate Swap, 04/14/21

     3-Month LIBOR     Quarterly     2.60     Semi-annual   JPMorgan Chase Bank N.A.     04/12/19       2.60     USD     13,400       (101,383 ) 

2-Year Interest Rate Swap, 11/06/21

     3-Month LIBOR     Quarterly     2.70     Semi-annual   Barclays Bank PLC     11/04/19       2.70     USD     11,900       (100,580 ) 

2-Year Interest Rate Swap,

     3-Month LIBOR     Quarterly     2.70     Semi-annual   JPMorgan Chase Bank N.A.     11/06/19       2.70     USD     20,000       (168,894 ) 

2-Year Interest Rate Swap, 12/18/21

     3-Month LIBOR     Quarterly     2.70     Semi-annual   JPMorgan Chase Bank N.A.     12/16/19       2.70     USD     7,950       (69,837 ) 

2-Year Interest Rate Swap, 01/23/22

     3-Month LIBOR     Quarterly     2.85     Semi-annual   JPMorgan Chase Bank N.A.     01/21/20       2.85     USD     18,900       (141,670 ) 

Put

                    

2-Year Interest Rate Swap, 02/05/22

     3-Month LIBOR     Quarterly     3.15     Semi-annual   Barclays Bank PLC     02/03/20       3.15     USD     35,510       (181,708 ) 

2-Year Interest Rate Swap, 02/09/22

     3-Month LIBOR     Quarterly     3.20     Semi-annual   Deutsche Bank AG     02/07/20       3.20     USD     10,790       (51,683 ) 

2-Year Interest Rate Swap, 02/16/22

     3-Month LIBOR     Quarterly     3.35     Semi-annual   Deutsche Bank AG     02/14/20       3.35     USD     10,690       (42,094 ) 

 

 

38    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

 

OTC Interest Rate Swaptions Written (continued)

 

Description  

Paid by the Trust

   Received by the Trust   Counterparty   Expiration
Date		     Exercise
Rate		     Notional
Amount (000)		     Value  
  Rate   Frequency   Rate     Frequency          

2-Year Interest Rate Swap, 02/23/22

   3-Month LIBOR   Quarterly     3.35 %    Semi-annual   UBS AG     02/21/20       3.35 %     USD     10,600     $ (42,067 ) 

15-Year Interest Rate Swap, 05/17/35

   6-Month LIBOR   Semi-annual     2.10     Semi-annual   Barclays Bank PLC     05/15/20       2.10     JPY     250,000       (3,922 ) 

10-Year Interest Rate Swap, 02/03/21

   3-Month LIBOR   Quarterly     5.50     Semi-annual   Bank of America N.A.     02/01/21       5.50     USD     10,000       (26,811 ) 

10-Year Interest Rate Swap, 02/03/21

   3-Month LIBOR   Quarterly     5.50     Semi-annual   Citibank N.A.     02/01/21       5.50     USD     10,950       (29,358 ) 

5-Year Interest Rate Swap, 05/05/27

   3-Month LIBOR   Quarterly     3.25     Semi-annual   Goldman Sachs Bank USA     05/03/22       3.25     USD     10,130       (206,706 ) 
                   

 

 

  
                      (4,808,257 ) 
                   

 

 

  
  $ (5,205,701 ) 
 

 

 

  

Centrally Cleared Credit Default Swaps — Sell Protection

 

Reference Obligation/Index    Financing
Rate Received
by the Trust		     Payment
Frequency		     Termination
Date		   Credit
Rating(a)		     Notional
Amount
(000) (b) 		    Value     Upfront
Premium
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		  

Chesapeake Energy Corp.

      5.00 %      Quarterly     12/20/21     CCC       USD       270     $ (1,723 )    $ (8,601 )    $ 6,878  

Markit iTraxx XO, Series 28, Version 1

      5.00       Quarterly     12/20/22     N/A       EUR       130       17,929       16,435       1,494  
              

 

 

    

 

 

    

 

 

  
               $ 16,206     $ 7,834     $ 8,372  
              

 

 

    

 

 

    

 

 

  

 

  (a)  Using Standard & Poor’s (“S&P’s”) rating of the issuer or the underlying securities of the index, as applicable.  
  (b)  The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.  

Centrally Cleared Interest Rate Swaps

 

Paid by the Trust      Received by the Trust     

Effective
Date

    

Termination
Date

     

Notional
Amount (000)

     

Value

     Upfront
Premium
Paid
(Received)		    

Unrealized
Appreciation
(Depreciation)

  
Rate     Frequency      Rate      Frequency                 
  3-Month LIBOR     Quarterly        1.59 %     Semi-annual        06/13/18 (a)      08/01/18        USD        357,000      $ (128,798 )    $ 3,632     $ (132,430 ) 
  1.61 %    Semi-annual        3-Month LIBOR      Quarterly        08/01/18 (a)      09/26/18        USD        312,000        145,433       3,174       142,259  
  1.75     Semi-annual        3-Month LIBOR      Quarterly        05/21/18 (a)      05/21/20        USD        10,950        186,202       —       186,202  
  1.87     Semi-annual        3-Month LIBOR      Quarterly        07/03/18 (a)      07/03/20        USD        2,810        42,729       —       42,729  
  1.94     Semi-annual        3-Month LIBOR      Quarterly        07/09/18 (a)      07/07/20        USD        6,000        83,211       —       83,211  
  2.20     Semi-annual        3-Month LIBOR      Quarterly        12/03/18 (a)      12/01/20        USD        4,000        43,336       47       43,289  
  2.20     Semi-annual        3-Month LIBOR      Quarterly        12/03/18 (a)      12/03/20        USD        22,400        244,391       263       244,128  
  2.27     Semi-annual        3-Month LIBOR      Quarterly        12/14/18 (a)      12/14/20        USD        4,000        38,494       47       38,447  
  3-Month LIBOR     Quarterly        2.32      Semi-annual        12/17/19 (a)      12/17/20        USD        39,000        (203,238 )      417       (203,655 ) 
  2.31     Semi-annual        3-Month LIBOR      Quarterly        12/21/18 (a)      12/21/20        USD        5,460        49,595       64       49,531  
  2.33     Semi-annual        3-Month LIBOR      Quarterly        12/24/18 (a)      12/24/20        USD        3,760        32,882       44       32,838  
  2.40     Semi-annual        3-Month LIBOR      Quarterly        01/11/19 (a)      01/11/21        USD        2,750        20,901       32       20,869  
  2.44     Semi-annual        3-Month LIBOR      Quarterly        01/11/19 (a)      01/11/21        USD        5,010        34,348       59       34,289  
  2.44     Semi-annual        3-Month LIBOR      Quarterly        01/14/19 (a)      01/12/21        USD        5,120        34,695       60       34,635  
  2.47     Semi-annual        3-Month LIBOR      Quarterly        01/15/19 (a)      01/15/21        USD        2,485        15,582       29       15,553  
  2.48     Semi-annual        3-Month LIBOR      Quarterly        01/15/19 (a)      01/15/21        USD        2,485        15,155       29       15,126  
  2.50     Semi-annual        3-Month LIBOR      Quarterly        01/22/19 (a)      01/22/21        USD        2,500        14,151       29       14,122  
  2.52     Semi-annual        3-Month LIBOR      Quarterly        01/22/19 (a)      01/22/21        USD        3,870        20,725       46       20,679  
  2.60     Semi-annual        3-Month LIBOR      Quarterly        01/24/19 (a)      01/24/21        USD        3,800        15,034       45       14,989  
  2.66     Semi-annual        3-Month LIBOR      Quarterly        01/31/19 (a)      01/31/21        USD        17,170        47,939       202       47,737  
  2.68     Semi-annual        3-Month LIBOR      Quarterly        02/04/19 (a)      02/04/21        USD        2,825        6,774       33       6,741  
  2.68     Semi-annual        3-Month LIBOR      Quarterly        02/04/19 (a)      02/04/21        USD        2,825        6,962       33       6,929  
  2.81     Semi-annual        3-Month LIBOR      Quarterly        02/20/19 (a)      02/20/21        USD        8,260        1,243       97       1,146  
  2.20     Semi-annual        3-Month LIBOR      Quarterly        11/08/19 (a)      11/08/21        USD        5,900        76,195       69       76,126  
  2.36     Semi-annual        3-Month LIBOR      Quarterly        12/17/20 (a)      12/17/21        USD        39,000        201,959       417       201,542  
  2.62     Semi-annual        3-Month LIBOR      Quarterly        01/22/20 (a)      01/22/22        USD        7,200        38,350       85       38,265  
  2.85     Semi-annual        3-Month LIBOR      Quarterly        02/07/20 (a)      02/07/22        USD        13,020        14,278       153       14,125  
  2.92     Semi-annual        3-Month LIBOR      Quarterly        02/18/20 (a)      02/18/22        USD        2,595        (563 )      31       (594 ) 
  2.93     Semi-annual        3-Month LIBOR      Quarterly        02/18/20 (a)      02/18/22        USD        2,595        (853 )      31       (884 ) 
  2.96     Semi-annual        3-Month LIBOR      Quarterly        02/18/20 (a)      02/18/22        USD        3,700        (3,655 )      44       (3,699 ) 
  2.96     Semi-annual        3-Month LIBOR      Quarterly        02/24/20 (a)      02/24/22        USD        3,930        (3,667 )      46       (3,713 ) 
  2.99     Semi-annual        3-Month LIBOR      Quarterly        02/25/20 (a)      02/25/22        USD        2,530        (3,527 )      30       (3,557 ) 
  3.02     Semi-annual        3-Month LIBOR      Quarterly        02/25/20 (a)      02/25/22        USD        5,620        (11,017 )      66       (11,083 ) 

 

 

SCHEDULES OF INVESTMENTS      39  

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

 

Centrally Cleared Interest Rate Swaps (continued)

 

Paid by the Trust      Received by the Trust     

Effective
Date

    

Termination
Date

     

Notional
Amount (000)

     

Value

     Upfront
Premium
Paid
(Received)		    

Unrealized
Appreciation
(Depreciation)

  
Rate     Frequency      Rate      Frequency                 
  2.97 %     Semi-annual        3-Month LIBOR      Quarterly        03/02/20 (a)      03/02/22        USD        6,180      $ (7,405 )    $ 73     $ (7,478 ) 
  2.97     Semi-annual        3-Month LIBOR      Quarterly        03/02/20 (a)      03/02/22        USD        3,090        (3,359 )      36       (3,395 ) 
  3-Month LIBOR     Quarterly        2.41 %     Semi-annual        07/05/18 (a)      08/31/22        USD        18,420        (4,704 )      243       (4,947 ) 
  2.45     Semi-annual        3-Month LIBOR      Quarterly        07/05/18 (a)      08/31/22        USD        7,730        (1,836 )      102       (1,938 ) 
  3-Month LIBOR     Quarterly        2.16      Semi-annual        N/A       10/27/22        USD        6,540        (126,407 )      80       (126,487 ) 
  2.66     Semi-annual        3-Month LIBOR      Quarterly        N/A       02/13/23        USD        700        2,619       (661 )      3,280  
  3-Month LIBOR     Quarterly        2.66      Semi-annual        N/A       02/15/23        USD        5,490        (21,448 )      72       (21,520 ) 
  3-Month LIBOR     Quarterly        2.78      Semi-annual        03/02/18 (a)      03/02/23        USD        3,140        3,957       41       3,916  
  6-Month EURIBOR     Semi-annual        0.27      Annual        03/07/18 (a)      03/07/23        EUR        1,000        (11,874 )      16       (11,890 ) 
  3-Month LIBOR     Quarterly        2.65      Semi-annual        01/25/19 (a)      01/25/24        USD        4,670        (48,853 )      62       (48,915 ) 
  3-Month LIBOR     Quarterly        2.75      Semi-annual        01/31/19 (a)      01/31/24        USD        7,480        (43,995 )      99       (44,094 ) 
  3-Month LIBOR     Quarterly        2.93      Semi-annual        02/25/19 (a)      02/25/24        USD        3,660        6,679       48       6,631  
  3-Month LIBOR     Quarterly        2.97      Semi-annual        02/26/19 (a)      02/26/24        USD        2,260        9,132       30       9,102  
  2.90     Semi-annual        3-Month LIBOR      Quarterly        02/26/19 (a)      02/26/24        USD        1,560        (1,083 )      21       (1,104 ) 
  3-Month LIBOR     Quarterly        2.92      Semi-annual        03/04/19 (a)      03/04/24        USD        1,810        2,984       24       2,960  
  2.90     Semi-annual        3-Month LIBOR      Quarterly        06/29/18 (a)      01/31/25        USD        2,550        (6,804 )      36       (6,840 ) 
  3-Month LIBOR     Quarterly        2.75      Semi-annual        01/05/22 (a)      01/05/27        USD        1,430        (14,365 )      18       (14,383 ) 
  3-Month LIBOR     Quarterly        2.32      Semi-annual        N/A       05/03/27        USD        1,020        (38,663 )      —       (38,663 ) 
  6-Month EURIBOR     Semi-annual        1.40      Annual        06/08/22 (a)      06/08/27        EUR        200        (2,666 )      —       (2,666 ) 
  2.34     Semi-annual        3-Month LIBOR      Quarterly        N/A       10/12/27        USD        4,100        158,445       61       158,384  
  2.38     Semi-annual        3-Month LIBOR      Quarterly        N/A       10/25/27        USD        2,050        72,660       31       72,629  
  2.47     Semi-annual        3-Month LIBOR      Quarterly        N/A       10/27/27        USD        2,640        71,758       40       71,718  
  2.46     Semi-annual        3-Month LIBOR      Quarterly        N/A       10/27/27        USD        1,660        47,267       25       47,242  
  2.96     Semi-annual        3-Month LIBOR      Quarterly        06/29/18 (a)      11/15/27        USD        9,940        (44,555 )      156       (44,711 ) 
  2.96     Semi-annual        3-Month LIBOR      Quarterly        06/29/18 (a)      11/15/27        USD        2,135        (9,468 )      33       (9,501 ) 
  2.95     Semi-annual        3-Month LIBOR      Quarterly        06/29/18 (a)      11/15/27        USD        2,135        (1,345 )      33       (1,378 ) 
  2.47     Semi-annual        3-Month LIBOR      Quarterly        N/A       12/28/27        USD        2,000        68,605       31       68,574  
  2.50     Semi-annual        3-Month LIBOR      Quarterly        N/A       01/08/28        USD        1,400        44,469       22       44,447  
  2.56     Semi-annual        3-Month LIBOR      Quarterly        N/A       01/16/28        USD        1,365        35,730       21       35,709  
  2.60     Semi-annual        3-Month LIBOR      Quarterly        N/A       01/19/28        USD        800        18,557       12       18,545  
  2.64     Semi-annual        3-Month LIBOR      Quarterly        N/A       01/22/28        USD        1,055        20,259       16       20,243  
  2.66     Semi-annual        3-Month LIBOR      Quarterly        N/A       01/22/28        USD        1,055        18,950       16       18,934  
  2.69     Semi-annual        3-Month LIBOR      Quarterly        N/A       01/23/28        USD        1,000        14,939       16       14,923  
  2.74     Semi-annual        3-Month LIBOR      Quarterly        N/A       01/23/28        USD        600        6,437       9       6,428  
  2.72     Semi-annual        3-Month LIBOR      Quarterly        N/A       01/29/28        USD        600        7,756       9       7,747  
  6-Month LIBOR     Semi-annual        0.37      Annual        N/A       01/29/28        JPY        181,730        6,869       28       6,841  
  2.78     Semi-annual        3-Month LIBOR      Quarterly        N/A       02/02/28        USD        500        4,009       8       4,001  
  2.84     Semi-annual        3-Month LIBOR      Quarterly        N/A       02/05/28        USD        500        1,387       8       1,379  
  2.90     Semi-annual        3-Month LIBOR      Quarterly        N/A       02/06/28        USD        700        (2,308 )      11       (2,319 ) 
  2.89     Semi-annual        3-Month LIBOR      Quarterly        N/A       02/06/28        USD        500        (1,228 )      8       (1,236 ) 
  2.89     Semi-annual        3-Month LIBOR      Quarterly        N/A       02/09/28        USD        500        (837 )      8       (845 ) 
  2.91     Semi-annual        3-Month LIBOR      Quarterly        N/A       02/12/28        USD        200        (726 )      3       (729 ) 
  2.88     Semi-annual        3-Month LIBOR      Quarterly        N/A       02/15/28        USD        2,860        (1,830 )      45       (1,875 ) 
  2.98     Semi-annual        3-Month LIBOR      Quarterly        N/A       02/20/28        USD        550        (4,991 )      9       (5,000 ) 
  2.98     Semi-annual        3-Month LIBOR      Quarterly        N/A       02/23/28        USD        420        (3,861 )      7       (3,868 ) 
  2.93     Semi-annual        3-Month LIBOR      Quarterly        03/02/18 (a)      03/02/28        USD        1,630        (6,751 )      26       (6,777 ) 
  3-Month LIBOR     Quarterly        2.88      Semi-annual        11/30/18 (a)      11/30/28        USD        1,120        (6,710 )      18       (6,728 ) 
  2.47     Semi-annual        3-Month LIBOR      Quarterly        12/11/18 (a)      12/11/28        USD        1,510        62,516       23       62,493  
  2.46     Semi-annual        3-Month LIBOR      Quarterly        12/18/18 (a)      12/18/28        USD        2,090        88,521       32       88,489  
  1.37     Annual        6-Month EURIBOR      Semi-annual        02/20/19 (a)      02/20/29        EUR        1,970        (12,891 )      44       (12,935 ) 
  1.38     Annual        6-Month EURIBOR      Semi-annual        02/22/19 (a)      02/22/29        EUR        2,280        (17,238 )      51       (17,289 ) 
  3-Month LIBOR     Quarterly        2.65      Semi-annual        12/09/22 (a)      12/09/32        USD        1,820        (57,873 )      28       (57,901 ) 
  3-Month LIBOR     Quarterly        2.63      Semi-annual        12/19/22 (a)      12/18/32        USD        2,290        (76,322 )      35       (76,357 ) 
  2.90     Semi-annual        3-Month LIBOR      Quarterly        01/27/27 (a)      01/27/37        USD        730        9,504       10       9,494  
  3.07     Semi-annual        3-Month LIBOR      Quarterly        03/22/27 (a)      03/20/37        USD        1,000        888       14       874  
  2.68     Semi-annual        3-Month LIBOR      Quarterly        06/28/27 (a)      06/28/37        USD        1,130        31,579       —       31,579  
  2.80     Semi-annual        3-Month LIBOR      Quarterly        09/29/27 (a)      09/29/37        USD        760        14,651       12       14,639  
  3-Month LIBOR     Quarterly        3.06      Semi-annual        02/15/23 (a)      02/15/53        USD        3,210        51,389       72       51,317  
                         

 

 

    

 

 

    

 

 

  
                          $ 1,375,366     $ 10,725     $ 1,364,641  
                         

 

 

    

 

 

    

 

 

  

 

  (a)  Forward swap.  

 

 

40    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

 

OTC Credit Default Swaps — Sell Protection

 

Reference Obligation/Index     Financing
Rate Received
by the Trust		     Payment
Frequency		   Counterparty     Termination
Date		     Credit
Rating(a)		     Notional
Amount
(000)(b)		     Value     Upfront
Premium
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		  

Jaguar Land Rover Automotive PLC

 

     5.00 %    Quarterly     Credit Suisse International       06/20/22       BB+       EUR       20     $ 3,847     $ 3,408     $ 439  

Jaguar Land Rover Automotive PLC

 

     5.00     Quarterly     Barclays Bank PLC       12/20/22       BB+       EUR       20       4,025       3,882       143  

Telecom Italia SpA/Milano

 

     1.00     Quarterly     Citibank N.A.       12/20/22       N/R       EUR       20       (280 )      (398 )      118  

Markit CMBX North America, Series 8

 

     3.00     Monthly     Barclays Bank PLC       10/17/57       N/R       USD       5,000       (767,581 )      (517,900 )      (249,681 ) 

Markit CMBX North America, Series 8

    3.00     Monthly     Credit Suisse International       10/17/57       N/R       USD       2,500       (383,790 )      (255,900 )      (127,890 ) 

Markit CMBX North America, Series 8

 

     3.00     Monthly    
 Morgan Stanley & Co.
International PLC		  
 		     10/17/57       N/R       USD       5,550       (852,940 )      (756,605 )      (96,335 ) 

Markit CMBX North America, Series 9

 

     3.00     Monthly    
 Morgan Stanley & Co.
International PLC		  
 		     09/17/58       N/R       USD       9,450       (1,121,961 )      (1,190,710 )      68,749  

Markit CMBX North America, Series 9

 

     3.00     Monthly     Credit Suisse International       09/17/58       N/R       USD       5,000       (593,630 )      (553,247 )      (40,383 ) 

Markit CMBX North America, Series 9

 

     3.00     Monthly     Credit Suisse International       09/17/58       N/R       USD       5,000       (593,630 )      (553,247 )      (40,383 ) 

Markit CMBX North America, Series 9

 

     3.00     Monthly     Credit Suisse International       09/17/58       N/R       USD       5,000       (593,629 )      (547,204 )      (46,425 ) 

Markit CMBX North America, Series 9

 

     3.00     Monthly     Credit Suisse International       09/17/58       N/R       USD       5,000       (593,630 )      (553,195 )      (40,435 ) 
               

 

 

    

 

 

    

 

 

  
                   $ (5,493,199 )    $ (4,921,116 )    $ (572,083 ) 
                  

 

 

    

 

 

    

 

 

  

 

  (a) Using S&P’s rating of the issuer or the underlying securities of the index, as applicable.  
  (b) The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.  

Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps, OTC Derivatives and Options Written

 

      Swap Premiums Paid        Swap Premiums
Received		        Unrealized
Appreciation		        Unrealized
Depreciation		        Value  

Centrally Cleared Swaps(a)

    $ 27,821        $ (9,262 )       $ 2,316,397        $ (943,384 )       $ —  

OTC Derivatives

      7,290          (4,928,406 )         69,449          (641,532 )         —  

Options Written

      —          —          —          —          (5,205,701 ) 

 

  (a)  Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.  

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

     Commodity
Contracts		     Credit
Contracts		     Equity
Contracts		     Foreign
Currency
Exchange
Contracts		    

Interest

Rate

Contracts

     Other
Contracts		     Total  

Assets — Derivative Financial Instruments

              

Futures contracts

              

Net unrealized appreciation(a)

   $ —     $ —     $ 242     $ —     $ 660,290     $ —     $ 660,532  

Forward foreign currency exchange contracts

              

Unrealized appreciation on forward foreign currency exchange contracts

     —       —       —       755,475       —       —       755,475  

Options purchased(b)

              

Investments at value — unaffiliated(c)

     —       —       —       —       3,494,413       —       3,494,413  

Swaps — centrally cleared

              

Net unrealized appreciation(a)

     —       8,372       —       —       2,308,025       —       2,316,397  

Swaps — OTC

              

Unrealized appreciation on OTC swaps; Swap premiums paid

     —       76,739       —       —       —       —       76,739  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ —     $ 85,111     $ 242     $ 755,475     $ 6,462,728     $ —     $ 7,303,556  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

 

SCHEDULES OF INVESTMENTS      41  

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

 

Derivative Financial Instruments Categorized by Risk Exposure (continued)

 

     Commodity
Contracts		     Credit
Contracts		     Equity
Contracts		     Foreign
Currency
Exchange
Contracts		    

Interest

Rate

Contracts

     Other
Contracts		     Total  
Liabilities — Derivative Financial Instruments                                          

Futures contracts

              

Net unrealized depreciation(a)

   $ —     $ —     $ —     $ —     $ 375,354     $ —     $ 375,354  

Forward foreign currency exchange contracts

              

Unrealized depreciation on forward foreign currency exchange contracts

     —       —       —       8,095       —       —       8,095  

Options written

              

Options written at value

     —       —       —       —       5,205,701       —       5,205,701  

Swaps — centrally cleared

              

Net unrealized depreciation(a)

     —       —       —       —       943,384       —       943,384  

Swaps — OTC

              

Unrealized depreciation on OTC swaps; Swap premiums received

     —       5,569,938       —       —       —       —       5,569,938  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ —     $ 5,569,938     $ —     $ 8,095     $ 6,524,439     $ —     $ 12,102,472  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

  (a)  Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.  
  (b) Includes forward settling swaptions.  
  (c)  Includes options purchased at value as reported in the Schedule of Investments.  

For the period ended February 28, 2018, the effect of derivative financial instruments in the Statements of Operations were as follows:

 

 

 

 

 

 

 

 

      Commodity
Contracts		      Credit
Contracts		      Equity
Contracts		      Foreign
Currency
Exchange
Contracts		      Interest
Rate
Contracts		      Other
Contracts		      Total  

Net Realized Gain (Loss) from:

                     

Futures contracts

    $ —      $ —      $ —      $ —      $ 4,448,403      $ —      $ 4,448,403  

Forward foreign currency exchange contracts

      —        —        —        (1,264,152 )       —        —        (1,264,152 ) 

Options purchased(a)

      —        —        —        (2,721,451 )       (355,733 )       —        (3,077,184 ) 

Options written

      —        —        —        2,503,278        529,579        —        3,032,857  

Swaps

      —        693,874        —        —        (285,827 )       —        408,047  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 693,874      $ —      $ (1,482,325 )     $ 4,336,422      $ —      $ 3,547,971  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

    $ —      $ —      $ 242      $ —      $ 728,717      $ —      $ 728,959  

Forward foreign currency exchange contracts

      —        —        —        454,620        —        —        454,620  

Options purchased(b)

      —        —        —        (1,139,453 )       408,586        —        (730,867 ) 

Options written

      —        —        —        949,329        (2,390,132 )       —        (1,440,803 ) 

Swaps

      —        49,064        —        —        1,056,266        —        1,105,330  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 49,064      $ 242      $ 264,496      $ (196,563 )     $ —      $ 117,239  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a)  Options purchased are included in net realized gain (loss) from investments.  
  (b)  Options purchased are included in net change in unrealized appreciation (depreciation) on investments.  

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

         

Average notional value of contracts — long

    $ 121,430,595  

Average notional value of contracts — short

    $ 296,338,221  

Forward foreign currency exchange contracts:

   

Average amounts purchased — in USD

    $ 124,987,756  

Average amounts sold — in USD

    $ 71,706,817  

Options:

   

Average value of option contracts purchased

    $ 295,995  

Average value of option contracts written

    $ 277,040  

Average notional value of swaption contracts purchased

    $ 252,427,470  

Average notional value of swaption contracts written

    $ 595,880,641  

Credit default swaps:

   

Average notional amount — buy protection

    $ 1,000 (a) 

Average notional amount — sell protection

    $ 42,903,754  

Interest rate swaps:

   

Average notional amount — pays fixed rate

    $ 571,635,000  

Average notional amount — receives fixed rate

    $ 446,990,030  

 

  (a)  Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter.  

 

 

42    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

 

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

 

      Assets      Liabilities  

Futures contracts

    $ 7,258      $ 197,562  

Swaps — Centrally cleared

      —        117,964  

Forward foreign currency exchange contracts

      755,475        8,095  

Options(a)

      3,494,413 (b)       5,205,701  

Swaps — OTC(c)

      76,739        5,569,938  
  

 

 

     

 

 

  

Total derivative assets and liabilities in the Statements of Assets and Liabilities

    $ 4,333,885      $ 11,099,260  

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

      (7,258 )       (315,526 ) 
  

 

 

     

 

 

  

Total derivative assets and liabilities subject to an MNA

    $ 4,326,627      $ 10,783,734  
  

 

 

     

 

 

  

 

  (a)  Includes forward settling swaptions.  
  (b)  Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments.  
  (c)  Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities.  

The following table presents the Trust’s derivative assets (and liabilities) by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Trust:

 

Counterparty

    Derivative
Assets
Subject to
an MNA by
Counterparty		        Derivatives
Available
for Offset (a)		        Non-cash
Collateral
Received		        Cash
Collateral
Received (b)		        Net Amount
of Derivative
Asset  (c)(f)		  

Australia and New Zealand Bank Group

    $ 3,875        $ —        $ —        $ —        $ 3,875  

Bank of America N.A.

      163,366          (155,746 )         —          —          7,620  

Barclays Bank PLC

      1,519,229          (1,515,877 )         —          —          3,352  

BNP Paribas S.A.

      84,443          —          —          —          84,443  

Citibank N.A.

      111,920          (31,995 )         —          (79,925 )         —  

Credit Suisse International

      29,407          (29,407 )         —          —          —  

Deutsche Bank AG

      724,249          (689,464 )         —          —          34,785  

Goldman Sachs Bank USA

      236,279          (236,279 )         —          —          —  

HSBC Bank USA N.A.

      55,896          —          —          —          55,896  

JPMorgan Chase Bank N.A.

      1,264,163          (1,264,163 )         —          —          —  

Morgan Stanley & Co. International PLC

      88,551          (88,551 )         —          —          —  

Standard Chartered Bank

      6,023          —          —          —          6,023  

Toronto-Dominion Bank

      39,128          —          —          —          39,128  

Westpac Banking Corp.

      98          —          —          —          98  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  
   $ 4,326,627        $ (4,011,482 )       $ —        $ (79,925 )       $ 235,220  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Counterparty

   

Derivative
Liabilities

Subject to
an MNA by
Counterparty

        Derivatives
Available
for Offset (a)		        Non-cash
Collateral
Pledged		        Cash
Collateral
Pledged (d)		        Net Amount
of Derivative
Liabilities (e)(f)		  

Bank of America N.A.

    $ 155,746        $ (155,746 )       $ —        $ —        $ —  

Barclays Bank PLC

      1,515,877          (1,515,877 )         —          —          —  

Citibank N.A.

      31,995          (31,995 )         —          —          —  

Credit Suisse International

      2,758,309          (29,407 )         —          (1,800,000 )         928,902  

Deutsche Bank AG

      689,464          (689,464 )         —          —          —  

Goldman Sachs Bank USA

      1,839,522          (236,279 )         —          (1,350,000 )         253,243  

JPMorgan Chase Bank N.A.

      1,661,723          (1,264,163 )         —          (380,000 )         17,560  

Morgan Stanley & Co. International PLC

      2,055,670          (88,551 )         —          (1,730,000 )         237,119  

UBS AG

      75,428          —          —          —          75,428  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  
   $ 10,783,734        $ (4,011,482 )       $ —        $ (5,260,000 )       $ 1,512,252  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a)  The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA.  
  (b)  Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.  
  (c)  Net amount represents the net amount receivable from the counterparty in the event of default.  

 

 

SCHEDULES OF INVESTMENTS      43  

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

 

  (d)  Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.  
  (e)  Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.  
  (f)  Net amount may also include forward foreign currency exchange contracts and currency options that are not required to be collateralized.  

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Long-Term Investments:

 

Asset-Backed Securities

   $ —        $ 96,687,297        $ 320,458        $ 97,007,755  

Corporate Bonds

     630,191          544,099,598          6,538,750          551,268,539  

Floating Rate Loan Interests

     —          14,921,136          699,164          15,620,300  

Foreign Agency Obligations

     —          34,972,607          —          34,972,607  

Municipal Bonds

     —          24,139,966          —          24,139,966  

Non-Agency Mortgage-Backed Securities

     —          70,215,410          —          70,215,410  

Preferred Securities

     9,286,244          89,693,980          —          98,980,224  

U.S. Government Sponsored Agency Securities

     —          112,569,858          2          112,569,860  

U.S. Treasury Obligations

     —          120,527,543          —          120,527,543  

Short-Term Securities

      2,711,662          —          —          2,711,662  

Options Purchased:

 

Interest Rate Contracts

      —          3,494,413          —          3,494,413  

Unfunded Floating Rate Loan Interests(a)

      —          61          —          61  
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 12,628,097        $ 1,111,321,869        $ 7,558,374        $ 1,131,508,340  
  

 

 

       

 

 

       

 

 

       

 

 

  

Derivative Financial Instruments(b)

 

Assets:

 

Credit contracts

   $ —        $ 77,821        $ —        $ 77,821  

Forward foreign currency contracts

     —          755,475          —          755,475  

Equity contracts

     242          —          —          242  

Interest rate contracts

     660,290          2,308,025          —          2,968,315  

Liabilities:

 

Credit contracts

     —          (641,532 )         —          (641,532 ) 

Forward foreign currency contracts

     —          (8,095 )         —          (8,095 ) 

Interest rate contracts

      (375,354 )         (6,149,085 )         —          (6,524,439 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 285,178        $ (3,657,391 )       $ —        $ (3,372,213 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a)  Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.  
  (b)  Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.  

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $368,809,658 are categorized as level 2 within the disclosure hierarchy.

During the six months ended February 28, 2018, there were no transfers between Level 1 and Level 2.

 

 

44    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Core Bond Trust (BHK)

 

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

 

      Asset-Backed
Securities		      Corporate
Bonds		      Floating Rate Loan
Interests		     

U.S. Government

Sponsored
Agency

Securities

      Total  

Assets:

               

Opening Balance, as of August 31, 2017

    $ 2,069,938      $ 7,166,469      $ 707,182      $ 2      $ 9,943,591  

Transfers into Level 3

      —        —        16,993        —        16,993  

Transfers out of Level 3

      (1,750,000 )       —        (218,961 )       —        (1,968,961 ) 

Accrued discounts (premiums)

      (54,627 )       —        1,699        —        (52,928 ) 

Net realized gain (loss)

      —        —        15,889        —        15,889  

Net change in unrealized appreciation (depreciation)(a)(b)

      55,147        (185,246 )       3,229        —        (126,870 ) 

Purchases

      —        —        589,908        —        589,908  

Sales

      —        (442,473 )       (416,775 )       —        (859,248 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Closing Balance, as of February 28, 2018

    $ 320,458      $ 6,538,750      $ 699,164      $ 2      $ 7,558,374  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net change in unrealized appreciation (depreciation) on investments still held at February 28, 2018(b)

    $ 55,147      $ (185,246 )     $ 3,841      $ —      $ (126,258 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a)  Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.  
  (b)  Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at February 28, 2018 is generally due to derivative financial investments no longer held or categorized as Level 3 at period end.  

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

 

 

SCHEDULES OF INVESTMENTS      45  

Consolidated Schedule of Investments  (unaudited)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security         

Shares

     Value  

Common Stocks — 2.2%

 

Chemicals — 0.3%  

Advanced Emissions Solutions, Inc.

       168,580     $ 1,625,111  

Platform Specialty Products
Corp.(a)

       291,753       3,045,902  
     

 

 

  
        4,671,013  
Consumer Finance — 0.0%  

Ally Financial, Inc.

       2       56  
     

 

 

  
Diversified Financial Services — 0.4%  

Concrete Investments II S.C.A.(b)

       4,997       —  

Kcad Holdings I Ltd.(a)(b)

       2,223,465,984       5,914,420  
     

 

 

  
        5,914,420  
Energy Equipment & Services — 0.1%  

Larcina Energy Ltd.(a)(b)(q)

       211,764       2  

Osum Oil Sands Corp.(a)(b)(q)

       400,000       1,050,499  
     

 

 

  
        1,050,501  
Health Care Providers & Services — 0.2%  

Tenet Healthcare Corp.(a)

       49,760       1,025,056  

Universal Health Services, Inc., Class B

       13,160       1,502,872  
     

 

 

  
        2,527,928  
IT Services — 0.1%  

First Data Corp., Class A(a)

       135,954       2,123,601  
     

 

 

  
Machinery — 0.0%  

Gates Industrial Corp. PLC(a)

       18,410       319,598  
     

 

 

  
Media — 0.1%  

Altice USA, Inc., Class A(a)

       87,736       1,596,795  

Emmis Communications Corp., Class A(a)

       7,210       30,066  
     

 

 

  
        1,626,861  
Metals & Mining — 0.2%  

Constellium NV, Class A(a)

       259,089       3,005,432  

Peninsula Energy Ltd.(a)

       1,361,116       301,296  
     

 

 

  
        3,306,728  
Oil, Gas & Consumable Fuels — 0.5%  

Gener8 Maritime Corp.

       965,338       5,357,626  

Halcon Resources Corp.(a)

       112,050       677,902  

SPDR S&P Biotech ETF

       11,280       1,019,261  
     

 

 

  
        7,054,789  
Real Estate Investment Trusts (REITs) — 0.1%  

Gaming and Leisure Properties, Inc.

       57,580       1,915,111  
     

 

 

  
Semiconductors & Semiconductor Equipment — 0.0%  

SunPower Corp.(a)

       1,025       7,267  
     

 

 

  
Specialty Retail — 0.0%  

Asbury Automotive Group, Inc.(a)

       806       53,075  
     

 

 

  
Wireless Telecommunication Services — 0.2%  

T-Mobile U.S., Inc.(a)

       59,550       3,609,325  
     

 

 

  

Total Common Stocks — 2.2%
(Cost — $80,626,722)

 

     34,180,273  
     

 

 

  
            Par
(000)		         

Asset-Backed Securities — 4.0%

 

Accunia European CLO I BV, Series 1X, Class E, (3 mo. Euribor + 7.00%), 7.00%, 07/15/29(c)

     EUR       1,400       1,742,394  

Allegro CLO II Ltd., Series 2014-1A, Class CR, (3 mo. LIBOR US + 3.85%), 5.59%, 01/21/27(c)(d)

     USD       1,000       1,002,030  

Allegro CLO VI Ltd., Series 2017-2A, Class D, 4.48%, 01/17/31(d)(e)

       450       450,579  
Security          Par
(000)		     Value  

Asset-Backed Securities (continued)

 

ALM Loan Funding(c)(d):

      

Series 2013-7R2A, Class BR, (3 mo. LIBOR US + 2.75%), 4.47%, 10/15/27

     USD       500     $ 505,102  

Series 2013-8A, Class CR, (3 mo. LIBOR US + 3.95%), 5.67%, 10/15/28

       1,400       1,418,864  

ALM VII R Ltd., Series 2013-7RA, Class BR, (3 mo. LIBOR US + 2.70%), 4.42%,
10/15/28(c)(d)

       500       510,942  

ALM XII Ltd., Series
2015-12A(c)(d):

      

Class BR, (3 mo. LIBOR US + 2.05%), 3.77%, 04/16/27

       500       503,570  

Class C1R, (3 mo. LIBOR US + 3.20%), 4.92%, 04/16/27

       1,500       1,508,803  

ALM XVI Ltd/ALM XVI LLC,
Series 2015-16A(c)(d):

      

Class BR, (3 mo. LIBOR US + 2.05%), 3.77%, 07/15/27

       590       594,469  

Class C1R, (3 mo. LIBOR US + 3.20%), 4.92%, 07/15/27

       742       753,539  

AMMC CLO 18 Ltd., Series 2016-18A, Class D, (3 mo. LIBOR US + 5.00%), 6.94%,
05/26/28(c)(d)

       500       503,513  

AMMC CLO 19 Ltd., Series 2016-19A, Class C, (3 mo. LIBOR US + 2.80%), 4.52%,
10/15/28(c)(d)

       413       418,987  

Anchorage Capital CLO Ltd.(d):

      

Series 2014-3RA, Class D,
4.36%, 01/28/31(e)

       500       500,174  

Series 2014-4RA, Class D,
4.36%, 01/28/31(e)

       1,000       1,000,348  

Series 2016-8A, Class D, (3 mo. LIBOR US + 4.20%), 5.96%, 07/28/28(c)

       1,000       1,008,816  

Apidos CLO XVIII, Series 2014-18A, Class CR, (3 mo. LIBOR US + 3.25%),
4.99%, 07/22/26(c)(d)

       550       557,047  

Apidos CLO XX, Series 2015-20A, Class BR, (3 mo. LIBOR US + 2.60%),
4.32%, 01/16/27(c)(d)

       250       250,654  

Apidos CLO XXIII, Series 2015-23A, Class D2, (3 mo. LIBOR US + 5.95%),
7.67%, 01/15/27(c)(d)

       750       750,558  

Ares XXVII CLO Ltd., Series 2013-2A, Class DR, (3 mo. LIBOR US + 3.75%),
5.51%, 07/28/29(c)(d)

       500       513,065  

Ares XXVIII CLO Ltd., Series 2013-3A, Class DR, (3 mo. LIBOR US + 3.25%),
4.98%, 10/17/24(c)(d)

       350       351,607  

Ares XXXII CLO Ltd., Series 2014-32A, Class CR, (3 mo. LIBOR US + 3.45%),
5.29%, 11/15/25(c)(d)

       750       750,904  

Ares XXXIII CLO Ltd., Series 2015-1A, Class CR, (3 mo. LIBOR US + 4.20%),
5.69%, 12/05/25(c)(d)

       1,000       1,024,654  

Ares XXXVII CLO Ltd., Series 2015-4A(d)(e):

      

Class CR, 4.37%, 10/15/30

       1,000       1,006,541  

Class DR, 7.87%, 10/15/30

       500       509,222  

Atlas Senior Loan Fund X Ltd., Series 2018-10A(d)(e):

      

Class B, 3.21%, 01/15/31

       400       400,764  

Class C, 3.56%, 01/15/31

       625       626,725  

Class D, 4.46%, 01/15/31

       500       500,162  

Aurium CLO II DAC, Series 2X, Class E, (3 mo. Euribor + 5.95%), 5.95%, 07/13/29(c)

     EUR       2,024       2,495,895  
 

 

 

46    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Asset-Backed Securities (continued)  

Ballyrock CLO Ltd., Series 2016-1A, Class C, (3 mo. LIBOR US + 2.70%), 4.42%, 10/15/28(c)(d)

     USD       1,000     $ 1,011,680  

Betony CLO Ltd., Series 2015-1A, Class CR, (3 mo. LIBOR US + 2.85%), 4.57%, 04/15/27(c)(d)

       250       250,840  

Cairn CLO VII BV, Series 2016-7X, Class E, (3 mo. Euribor + 6.35%), 6.35%, 01/31/30(c)

     EUR       900       1,120,694  

Carlyle Global Market Strategies CLO Ltd.(d):

      

Series 2012-4A, Class DR, (3 mo. LIBOR US + 4.10%), 5.84%, 01/20/29(c)

     USD       500       511,805  

Series 2014-1A, Class CR, (3 mo. LIBOR US + 2.75%), 4.48%, 04/17/25(c)

       500       500,103  

Series 2015-3A, Class D, 7.46%, 07/28/28(e)

       500       506,467  

Series 2016-3A, Class D, (3 mo. LIBOR US + 7.00%), 8.74%, 10/20/29(c)

       500       512,982  

Series 2017-1A, Class D, (3 mo. LIBOR US + 6.00%), 7.74%, 04/20/31(c)

       500       511,365  

Cedar Funding Ltd., Series 2017-8A, Class D, 4.98%, 10/17/30(d)(e)

       535       543,711  

CIFC Funding I Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 3.50%),
5.24%, 04/23/29(c)(d)

       500       508,093  

CIFC Funding III Ltd., Series 2015-3A, Class E, (3 mo. LIBOR US + 6.05%),
7.79%, 10/19/27(c)(d)

       750       750,486  

CIFC Funding Ltd.(d)(e)(f):

      

Series 2014-2A, Class A3LRSeries 2018-1A, Class C, 1.00%, 04/18/31

       500       498,601  

Series 2018-1A, Class B, 1.00%, 04/18/31

       435       435,765  

CIFC Funding V Ltd.(c)(d):

      

Series 2014-5A, Class CR, (3 mo. LIBOR US + 2.70%), 4.43%, 01/17/27

       750       754,309  

Series 2015-5A, Class D, (3 mo. LIBOR US + 6.30%), 8.05%, 10/25/27

       500       502,339  

Dryden 37 Senior Loan Fund, Series 2015-37A, Class DR, 4.22%, 01/15/31(d)(e)

       500       500,613  

Dryden Senior Loan Fund(c)(d):

      

Series 2014-31A, Class DR, (3 mo. LIBOR US + 3.35%), 5.08%, 04/18/26

       500       501,676  

Series 2014-36A, Class DR, (3 mo. LIBOR US + 4.24%), 5.96%, 01/15/28

       1,500       1,530,668  

Series 2017-50A, Class C, (3 mo. LIBOR US + 2.25%), 3.97%, 07/15/30

       500       508,464  

Greenwood Park CLO Ltd., Series 2018-1A, Class D, 1.00%, 04/15/31(b)(d)(e)(f)

       500       500,000  

Highbridge Loan Management Ltd.,
Series 5A-2015(c)(d):

      

Class C1R, (3 mo. LIBOR US + 2.10%),
3.86%, 01/29/26

       500       502,897  

Class D1R, (3 mo. LIBOR US + 3.30%),
5.06%, 01/29/26

       500       501,169  

Class D2R, (3 mo. LIBOR US + 3.30%),
5.06%, 01/29/26

       500       501,169  

HPS Loan Management Ltd., Series 9A-2016, Class D2, (3 mo. LIBOR US + 6.45%), 8.19%, 07/19/27(c)(d)

       800       811,695  

LCM XV LP, Series 15A, Class CR, (3 mo. LIBOR US + 2.40%), 3.14%, 07/20/30(c)(d)

       500       509,795  

Madison Park Funding XIV Ltd., Series 2014-14A, Class DR, (3 mo. LIBOR US + 3.25%), 4.99%, 07/20/26(c)(d)

       500       504,028  
Security          Par
(000)		     Value  
Asset-Backed Securities (continued)  

Madison Park Funding XV Ltd., Series 2014-15A, Class CR, (3 mo. LIBOR US + 3.45%), 5.21%, 01/27/26(c)(d)

     USD       500     $ 501,639  

Madison Park Funding XVI Ltd., Series 2015-16A, Class D, (3 mo. LIBOR US + 5.50%), 7.24%, 04/20/26(c)(d)

       500       500,996  

Mill Creek II CLO Ltd., Series 2016-1A, Class E, (3 mo. LIBOR US + 7.75%),
9.49%, 04/20/28(c)(d)

       500       504,404  

MP CLO VI Ltd., Series 2014-2A, Class DR, (3 mo. LIBOR US + 3.50%),
5.22%, 01/15/27(c)(d)

       1,000       1,014,550  

Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class D, 4.22%, 01/15/28(d)(e)

       500       500,889  

Neuberger Berman CLO XVII Ltd., Series 2014-17A, Class DR, (3 mo. LIBOR US + 3.65%), 5.39%, 04/22/29(c)(d)

       500       510,582  

Neuberger Berman CLO XVIII Ltd.,
Series 2014-18A(c)(d):

      

Class BR, (3 mo. LIBOR US + 2.55%),
4.38%, 11/14/27

       500       506,041  

Class CR, (3 mo. LIBOR US + 4.25%),
6.08%, 11/14/27

       1,500       1,523,311  

Neuberger Berman CLO XXII Ltd., Series 2016-22A, Class E, (3 mo. LIBOR US + 6.75%), 8.48%, 10/17/27(c)(d)

       500       510,143  

Neuberger Berman CLO XXIII Ltd., Series 2016-23A, Class E, (3 mo. LIBOR US + 6.58%), 8.31%, 10/17/27(c)(d)

       500       509,592  

OCP CLO Ltd., Series 2015-8A, Class CR, 4.53%, 04/17/27(d)(e)

       250       250,662  

Octagon Investment Partners Ltd.(d):

      

Series 2013-1A, Class A1R2,
3.02%, 01/25/31(e)

       1,500       1,500,000  

Series 2013-1A, Class BR2,
3.42%, 01/25/31(e)

       500       500,000  

Series 2013-1A, Class CR2,
3.72%, 01/25/31(e)

       750       750,000  

Series 2016-1A, Class D, (3 mo. LIBOR US + 4.95%), 6.67%, 04/15/27(c)

       500       501,981  

Octagon Investment Partners XXII Ltd., Series 2014-1A, Class DRR, 4.49%, 01/22/30(d)(e)

       1,000       999,694  

Octagon Investment Partners XXVII Ltd., Series 2016-1A, Class E, (3 mo. LIBOR US + 7.10%), 8.82%, 07/15/27(c)(d)

       1,000       1,018,066  

Octagon Investment Partners XXXII Ltd.,
Series 2017-1A, Class E,
7.92%, 07/15/29(d)(e)

       500       513,940  

OneMain Financial Issuance Trust,
Series 2015-2A, Class C, 4.32%, 07/18/25(d)

       200       199,861  

OZLM IX Ltd., Series 2014-9A Class CR, (3 mo. LIBOR US + 3.55%), 5.29%, 01/20/27(c)(d)

       1,000       1,004,514  

OZLM XIX Ltd., Series 2017-19A, Class C, 4.47%, 11/22/30(d)(e)

       500       507,255  

OZLME III DAC, Series 3X, Class E,
4.80%, 08/24/30(e)

     EUR       200       246,649  

Palmer Square CLO Ltd., Series 2014-1A, Class BR2, 3.58%, 01/17/31(d)(e)

     USD       500       503,377  

Stewart Park CLO Ltd., Series 2015-1A(d)(e):

      

Class DR, 4.32%, 01/15/30

       1,000       999,768  

Class ER, 7.00%, 01/15/30

       1,000       984,803  

Symphony CLO Ltd., Series 2016-17A, Class D, (3 mo. LIBOR US + 4.80%),
6.52%, 04/15/28(c)(d)

       250       250,949  
 

 

 

SCHEDULES OF INVESTMENTS      47  

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Asset-Backed Securities (continued)  

Symphony CLO XII Ltd., Series 2013-12A, Class DR, (3 mo. LIBOR US + 3.25%),
4.97%, 10/15/25(c)(d)

     USD       1,000     $ 1,001,013  

Venture XXVI CLO Ltd., Series 2017-26A, Class D, (3 mo. LIBOR US + 4.25%),
5.99%, 01/20/29(c)(d)

       750       774,252  

Voya CLO Ltd., Series 2016-3A(c)(d):

      

Class C, (3 mo. LIBOR US + 3.85%), 5.58%, 10/18/27

       1,000       1,013,008  

Class D, (3 mo. LIBOR US + 6.85%), 8.58%, 10/18/27

       500       512,256  

Westcott Park CLO Ltd., Series 2016-1A(c)(d):

      

Class D, (3 mo. LIBOR US + 4.35%), 6.09%, 07/20/28

       500       513,051  

Class E, (3 mo. LIBOR US + 7.20%), 8.94%, 07/20/28

       500       518,043  

York CLO Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.60%), 5.34%,
10/20/29(c)(d)

       500       511,343  

York CLO-3 Ltd., Series 2016-1A, Class ER, (3 mo. LIBOR US + 6.40%),
8.14%, 10/20/29(c)(d)

       500       508,540  
     

 

 

  

Total Asset-Backed Securities — 4.0%
(Cost — $59,077,130)

 

     60,616,514  
     

 

 

  

Corporate Bonds — 114.9%

      
Aerospace & Defense — 3.3%  

Arconic, Inc.:

      

6.15%, 08/15/20

       1,540       1,630,213  

5.87%, 02/23/22

       705       747,300  

5.13%, 10/01/24

       4,924       5,102,495  

5.90%, 02/01/27

       1,890       2,031,750  

6.75%, 01/15/28

       689       785,460  

5.95%, 02/01/37

       674       719,562  

Bombardier, Inc.(d):

      

7.75%, 03/15/20

       1,434       1,530,795  

8.75%, 12/01/21

       3,830       4,198,637  

6.00%, 10/15/22

       1,369       1,365,577  

6.13%, 01/15/23

       438       439,095  

7.50%, 12/01/24

       3,060       3,178,575  

7.50%, 03/15/25

       5,799       5,951,224  

7.45%, 05/01/34

       686       699,720  

EnPro Industries, Inc., 5.88%, 09/15/22

       978       1,013,746  

KLX, Inc., 5.88%, 12/01/22(d)

       5,590       5,757,700  

Koppers, Inc., 6.00%, 02/15/25(d)

       1,190       1,231,650  

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

       1,089       1,135,283  

Pioneer Holdings LLC/Pioneer Finance Corp., 9.00%, 11/01/22(d)

       1,077       1,133,543  

Telecom Italia SpA/Milano, 2.38%, 10/12/27

     EUR       130       156,329  

TransDigm, Inc.:

      

6.00%, 07/15/22

     USD       6,361       6,512,074  

6.50%, 07/15/24

       3,382       3,487,687  

6.50%, 05/15/25

       1,160       1,189,000  

6.38%, 06/15/26

       96       98,160  
     

 

 

  
        50,095,575  
Air Freight & Logistics — 0.4%  

Air Medical Merger Sub Corp.,
6.38%, 05/15/23(d)

       805       764,750  

XPO Logistics, Inc., 6.50%, 06/15/22(d)

       5,442       5,652,877  
     

 

 

  
        6,417,627  
Security          Par
(000)		     Value  
Airlines — 0.3%  

US Airways Pass-Through Trust, Series 2013-1, Class B, 5.38%, 05/15/23

     USD       2,862     $ 2,977,079  

Virgin Australia Trust, Series 2013-1, Class C, 7.13%, 10/23/18(d)

       1,716       1,740,283  
     

 

 

  
        4,717,362  
Auto Components — 1.1%  

Adient Global Holdings Ltd., 3.50%, 08/15/24

     EUR       456       570,228  

Allison Transmission, Inc., 5.00%, 10/01/24(d)

     USD       827       838,371  

Faurecia, 3.63%, 06/15/23

     EUR       180       230,400  

Fiat Chrysler Automobiles NV, 3.75%, 03/29/24

       400       530,700  

Fiat Chrysler Finance Europe, 4.75%, 07/15/22

       367       503,988  

Gestamp Funding Luxembourg SA,
3.50%, 05/15/23

       100       127,033  

Goodyear Tire & Rubber Co., 5.00%, 05/31/26

     USD       471       471,000  

Grupo-Antolin Irausa SA, 3.25%, 04/30/24

     EUR       316       396,442  

HP Pelzer Holding GmbH, 4.13%, 04/01/24

       286       355,375  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

      

6.00%, 08/01/20

     USD       140       142,730  

6.25%, 02/01/22

       1,452       1,473,780  

6.75%, 02/01/24

       1,586       1,617,720  

6.38%, 12/15/25

       982       985,683  

IHO Verwaltungs GmbH(g):

      

(2.75% Cash or 3.50% PIK),
2.75%, 09/15/21

     EUR       262       326,205  

(3.25% Cash or 4.00% PIK),
3.25%, 09/15/23

       615       775,060  

(3.75% Cash or 4.50% PIK),
3.75%, 09/15/26

       225       289,598  

(4.13% Cash or 4.88% PIK),
4.13%, 09/15/21(d)

     USD       1,280       1,276,800  

(4.50% Cash or 5.25% PIK),
4.50%, 09/15/23(d)

       1,367       1,339,660  

Jaguar Land Rover Automotive PLC,
2.20%, 01/15/24

     EUR       200       244,305  

Schaeffler Finance BV, 4.75%, 05/15/23(d)

     USD       1,440       1,465,200  

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

       3,044       2,888,908  

ZF North America Capital, Inc.:

      

2.75%, 04/27/23

     EUR       100       130,708  

4.75%, 04/29/25(d)

     USD       159       163,571  
     

 

 

  
        17,143,465  
Banks — 0.7%  

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

     EUR       710       935,122  

Alpha Bank AE, 2.50%, 02/05/23

       425       516,881  

Banco Espirito Santo SA, 4.00%, 01/21/19(a)(i)

       1,100       402,600  

Banco Popolare, 2.75%, 07/27/20

       800       1,018,530  

Banco Popolare di Milano Scarl,
4.25%, 01/30/19

       200       252,511  

Bank of Ireland (5 year EUR Swap + 3.55%), 4.25%, 06/11/24(h)

       540       688,753  

Bank of Ireland Group PLC, 3.13%, 09/19/27(e)

     GBP       100       135,988  

Bankia SA(h):

      

(5 year EUR Swap + 3.17%),
4.00%, 05/22/24

     EUR       700       886,712  

(5 year EUR Swap + 3.35%),
3.38%, 03/15/27

       200       258,742  

CaixaBank SA(h):

      

(5 year EUR Swap + 3.35%),
3.50%, 02/15/27

       200       260,338  

(5 year EUR Swap + 2.35%),
2.75%, 07/14/28

       100       125,936  
 

 

 

48    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Banks (continued)  

CIT Group, Inc.:

      

5.00%, 08/15/22

     USD       278     $ 286,687  

5.00%, 08/01/23

       404       415,110  

6.00%, 04/01/36

       2,800       2,646,000  

Deutsche Pfandbriefbank AG, 4.60%, 02/22/27

     EUR       100       135,145  

IKB Deutsche Industriebank AG,
4.00%, 01/31/28(e)

       200       247,050  

Intesa Sanpaolo SpA, 6.63%, 09/13/23

       956       1,446,508  

National Bank of Greece SA, 2.75%, 10/19/50

       455       567,762  
     

 

 

  
        11,226,375  
Beverages — 0.2%  

ARD Finance SA, (6.63% Cash or 7.38% PIK), 6.63%, 09/15/23(g)

       200       259,494  

BWAY Holding Co., 7.25%, 04/15/25(d)

     USD       981       1,012,882  

Horizon Parent Holdings Sarl, (8.25% Cash or 9.00% PIK), 8.25%, 02/15/22(g)

     EUR       350       451,190  

OI European Group BV:

      

4.00%, 03/15/23(d)

     USD       1,461       1,413,517  

3.13%, 11/15/24

     EUR       175       218,128  

Silgan Holdings, Inc., 3.25%, 03/15/25

       230       286,156  
     

 

 

  
        3,641,367  
Biotechnology — 0.0%  

Senvion Holding GmbH, 3.88%, 10/25/22

       301       339,679  
     

 

 

  
Building Materials — 0.1%  

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

     USD       608       594,320  

Titan Global Finance PLC:

      

3.50%, 06/17/21

     EUR       400       516,060  

2.38%, 11/16/24

       346       417,899  
     

 

 

  
        1,528,279  
Building Products — 1.3%  

American Builders & Contractors Supply Co., Inc.(d):

      

5.63%, 04/15/21

     USD       526       532,575  

5.75%, 12/15/23

       982       1,023,735  

Beacon Escrow Corp., 4.88%, 11/01/25(d)

       3,473       3,387,217  

BMBG Bond Finance SCA, 3.00%, 06/15/21

     EUR       225       278,070  

Building Materials Corp. of America,
6.00%, 10/15/25(d)

     USD       2,308       2,437,825  

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

       2,165       2,229,950  

Masonite International Corp., 5.63%, 03/15/23(d)

       3,698       3,822,807  

Ply Gem Industries, Inc., 6.50%, 02/01/22

       1,249       1,294,688  

Standard Industries, Inc.(d):

      

5.50%, 02/15/23

       1,708       1,754,970  

5.38%, 11/15/24

       299       305,728  

USG Corp.(d):

      

5.50%, 03/01/25

       904       940,160  

4.88%, 06/01/27

       1,586       1,562,210  
     

 

 

  
        19,569,935  
Cable Television Services — 0.1%  

CB Escrow Corp., 8.00%, 10/15/25(d)

       703       687,182  
     

 

 

  
Capital Markets — 1.1%  

Blackstone CQP Holdco LP(d):

      

6.50%, 03/20/21

       13,913       14,034,739  

6.00%, 08/18/21

       2,265       2,275,759  

LPL Holdings, Inc., 5.75%, 09/15/25(d)

       323       327,037  

NFP Corp., 6.88%, 07/15/25(d)

       559       560,397  
     

 

 

  
        17,197,932  
Chemicals — 3.8%  

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

       4,500       4,522,500  
Security          Par
(000)		     Value  
Chemicals (continued)  

Axalta Coating Systems Dutch Holding B BV, 3.75%, 01/15/25

     EUR       385     $ 493,584  

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

     USD       1,451       1,458,255  

Blue Cube Spinco, Inc.:

      

9.75%, 10/15/23

       2,534       2,939,440  

10.00%, 10/15/25

       1,565       1,866,262  

CF Industries, Inc.:

      

7.13%, 05/01/20

       404       430,765  

5.15%, 03/15/34

       540       529,200  

4.95%, 06/01/43

       1,517       1,380,470  

Chemours Co.:

      

6.13%, 05/15/23

     EUR       100       128,303  

6.63%, 05/15/23

     USD       375       394,219  

7.00%, 05/15/25

       1,387       1,494,492  

5.38%, 05/15/27

       1,453       1,456,633  

CTC Bond Co. GmbH, 5.25%, 12/15/25

     EUR       207       252,262  

Hexion, Inc., 10.38%, 02/01/22(d)

     USD       1,360       1,326,000  

Huntsman International LLC:

      

4.88%, 11/15/20

       1,304       1,333,705  

5.13%, 11/15/22

       1,445       1,491,963  

INEOS Finance PLC, 4.00%, 05/01/23

     EUR       448       560,202  

INEOS Group Holdings SA, 5.38%, 08/01/24

       300       386,500  

Kronos International, Inc., 3.75%, 09/15/25

       232       291,537  

Momentive Performance Materials, Inc., 3.88%, 10/24/21

     USD       6,758       7,028,320  

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

       1,815       1,792,312  

Olin Corp., 5.00%, 02/01/30

       109       105,185  

Platform Specialty Products Corp.(d):

      

6.50%, 02/01/22

       10,527       10,803,334  

5.88%, 12/01/25

       4,158       4,137,210  

PQ Corp.(d):

      

6.75%, 11/15/22

       2,337       2,465,535  

5.75%, 12/15/25

       2,471       2,508,065  

PSPC Escrow Corp., 6.00%, 02/01/23

     EUR       394       501,109  

Tronox Finance PLC, 5.75%, 10/01/25(d)

     USD       1,206       1,196,955  

Venator Finance Sarl/Venator Materials LLC, 5.75%, 07/15/25(d)

       764       777,370  

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

       834       871,530  

WR Grace & Co-Conn, 5.13%, 10/01/21(d)

       2,483       2,569,905  
     

 

 

  
        57,493,122  
Commercial Services & Supplies — 2.3%  

ADT Corp.:

      

6.25%, 10/15/21

       347       368,471  

3.50%, 07/15/22

       1,723       1,645,465  

4.13%, 06/15/23

       1,781       1,732,022  

4.88%, 07/15/32(d)

       3,731       3,395,210  

Advanced Disposal Services, Inc., 5.63%, 11/15/24(d)

       1,563       1,594,260  

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

       3,107       3,083,697  

Catalent Pharma Solutions, Inc., 4.75%, 12/15/24

     EUR       100       129,194  

CD&R Waterworks Merger Sub LLC, 6.13%, 08/15/25(d)

     USD       2,453       2,428,470  

Fortress Transportation & Infrastructure Investors LLC, 6.75%, 03/15/22(d)

       252       259,560  

Harland Clarke Holdings Corp., 8.38%,

08/15/22(d)

       2,752       2,848,320  

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

       3,528       3,554,460  

La Financiere Atalian SAS, 4.00%, 05/15/24

     EUR       415       523,145  

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

     USD       3,503       3,643,120  

Paprec Holding SA, 5.25%, 04/01/22

     EUR       271       338,958  
 

 

 

SCHEDULES OF INVESTMENTS      49  

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Commercial Services & Supplies (continued)  

Park Aerospace Holdings Ltd.(d):

      

3.63%, 03/15/21

     USD       1,473     $ 1,417,762  

5.25%, 08/15/22

       2,560       2,563,200  

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

       1,289       1,303,566  

United Rentals North America, Inc.:

      

5.75%, 11/15/24

       1,354       1,398,005  

5.50%, 05/15/27

       1,128       1,154,508  

Verisure Holding AB, 6.00%, 11/01/22

     EUR       167       214,591  

Wrangler Buyer Corp., 6.00%, 10/01/25(d)

     USD       718       726,975  
     

 

 

  
        34,322,959  
Commercial Services & Supplies — 0.1%  

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

       828       832,140  
     

 

 

  
Communications Equipment — 1.6%  

CommScope Technologies Finance LLC,
6.00%, 06/15/25(d)

       147       151,822  

CommScope Technologies LLC, 5.00%, 03/15/27(d)

       1,781       1,737,588  

CommScope, Inc.(d):

      

5.00%, 06/15/21

       2,278       2,309,322  

5.50%, 06/15/24

       1,804       1,837,825  

Nokia OYJ:

      

3.38%, 06/12/22

       714       694,294  

4.38%, 06/12/27

       852       817,920  

6.63%, 05/15/39

       3,486       3,764,880  

Telefonaktiebolaget LM Ericsson, Series 7Y, 1.88%, 03/01/24

     EUR       200       235,094  

Zayo Group LLC/Zayo Capital, Inc.:

      

6.00%, 04/01/23

     USD       4,308       4,474,935  

6.38%, 05/15/25

       3,973       4,152,262  

5.75%, 01/15/27(d)

       3,962       3,981,810  
     

 

 

  
        24,157,752  
Construction & Engineering — 1.1%  

BlueLine Rental Finance Corp.,
9.25%, 03/15/24(d)

       8,405       9,087,906  

Brand Energy & Infrastructure Services, Inc., 8.50%, 07/15/25(d)

       3,931       4,058,758  

Engility Corp., 8.88%, 09/01/24

       1,728       1,831,680  

SPIE SA, 3.13%, 03/22/24

     EUR       300       377,924  

Tutor Perini Corp., 6.88%, 05/01/25(d)

     USD       1,357       1,424,850  

Weekley Homes LLC/Weekley Finance Corp., 6.63%, 08/15/25(d)

       474       473,858  
     

 

 

  
        17,254,976  
Construction Materials — 1.3%  

American Tire Distributors, Inc., 10.25%, 03/01/22(d)

       1,953       2,033,796  

Autodis SA:

      

(3 mo. Euribor + 4.38%), 4.38%,
05/01/22(c)

     EUR       100       122,680  

4.38%, 05/01/22

       150       187,264  

Beacon Roofing Supply, Inc., 6.38%, 10/01/23

     USD       366       390,248  

HD Supply, Inc., 5.75%, 04/15/24(d)

       10,906       11,437,667  

LKQ Italia Bondco SpA, 3.88%, 04/01/24

     EUR       220       287,524  

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

     USD       1,781       1,834,430  

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

       1,106       1,198,627  

Rexel SA:

      

3.50%, 06/15/23

     EUR       461       589,388  

2.63%, 06/15/24

       250       313,023  

Williams Scotsman International, Inc., 7.88%, 12/15/22(d)

     USD       771       807,622  
     

 

 

  
        19,202,269  
Security          Par
(000)		     Value  
Consumer Discretionary — 0.5%  

Arch Merger Sub, Inc., 8.50%, 09/15/25(d)

       1,356     $ 1,301,760  

Elis SA, 1.88%, 02/15/23

     EUR       100       123,067  

Live Nation Entertainment, Inc.,
4.88%, 11/01/24(d)

     USD       296       294,150  

Nielsen Co. Luxembourg SARL,
5.00%, 02/01/25(d)

       463       462,278  

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

       606       596,910  

Viking Cruises Ltd.(d):

      

6.25%, 05/15/25

       889       902,335  

5.88%, 09/15/27

       3,641       3,549,975  
     

 

 

  
        7,230,475  
Consumer Finance — 2.4%  

Alliance Data Systems Corp.(d):

      

5.88%, 11/01/21

       3,207       3,279,157  

5.38%, 08/01/22

       2,329       2,337,734  

Ally Financial, Inc.:

      

5.13%, 09/30/24

       1,230       1,276,125  

8.00%, 11/01/31

       11,400       14,136,000  

CDK Global, Inc., 4.88%, 06/01/27(d)

       1,848       1,833,586  

IHS Markit Ltd.(d):

      

4.75%, 02/15/25

       1,125       1,150,312  

4.00%, 03/01/26

       614       595,580  

Iron Mountain UK PLC, 3.88%, 11/15/25

     GBP       180       235,735  

Navient Corp.:

      

6.63%, 07/26/21

     USD       1,454       1,519,430  

6.50%, 06/15/22

       2,048       2,135,040  

5.50%, 01/25/23

       932       922,680  

7.25%, 09/25/23

       1,100       1,168,750  

6.13%, 03/25/24

       642       648,420  

5.88%, 10/25/24

       723       715,770  

6.75%, 06/25/25

       730       749,382  

5.63%, 08/01/33

       1,821       1,620,690  

OneMain Financial Holdings LLC, 7.25%, 12/15/21(d)

       796       826,945  

Springleaf Finance Corp.:

      

6.13%, 05/15/22

       490       502,250  

5.63%, 03/15/23

       1,212       1,199,880  
     

 

 

  
        36,853,466  
Containers & Packaging — 3.9%  

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

      

6.00%, 06/30/21(d)

       3,968       4,057,280  

4.25%, 09/15/22(d)

       627       624,649  

4.13%, 05/15/23

     EUR       275       351,473  

4.63%, 05/15/23(d)

     USD       1,738       1,735,828  

2.75%, 03/15/24

     EUR       231       285,627  

6.75%, 05/15/24

       450       599,096  

7.25%, 05/15/24(d)

     USD       9,905       10,610,731  

6.00%, 02/15/25(d)

       5,909       6,056,725  

4.75%, 07/15/27(d)

     GBP       427       571,624  

4.75%, 07/15/27

       362       484,608  

Ball Corp.:

      

5.00%, 03/15/22

     USD       710       736,625  

4.00%, 11/15/23

       1,606       1,589,940  

4.38%, 12/15/23

     EUR       100       137,833  

BWAY Holding Co., 5.50%, 04/15/24(d)

     USD       4,925       5,035,813  

Crown European Holdings SA, 3.38%, 05/15/25

     EUR       303       383,788  

Hercule Debtco Sarl, (6.75% Cash or 7.50% PIK), 6.75%, 06/30/24(g)

       100       122,763  

Horizon Holdings I SASU, 7.25%, 08/01/23

       100       127,996  

JH-Holding Finance SA, (8.25% PIK),
8.25%, 12/01/22(c)

       200       257,573  
 

 

 

50    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Containers & Packaging (continued)  

Mercer International, Inc.:

      

6.50%, 02/01/24

     USD       1,446     $ 1,514,685  

5.50%, 01/15/26(d)

       767       763,165  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu:

      

5.75%, 10/15/20

       6,255       6,348,440  

(3 mo. LIBOR US + 3.50%),
5.22%, 07/15/21(c)(d)

       3,030       3,064,088  

5.13%, 07/15/23(d)

       1,259       1,282,606  

7.00%, 07/15/24(d)

       6,231       6,562,022  

Sappi Papier Holding GmbH, 4.00%, 04/01/23

     EUR       150       190,567  

Sealed Air Corp.:

      

4.88%, 12/01/22(d)

     USD       1,223       1,259,690  

4.50%, 09/15/23

     EUR       560       765,649  

6.88%, 07/15/33(d)

     USD       700       787,500  

Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., 6.38%,
05/01/22(d)

       1,754       1,815,390  

Verallia Packaging SASU, 5.13%, 08/01/22

     EUR       575       726,109  
     

 

 

  
        58,849,883  
Diversified Consumer Services — 1.6%  

APX Group, Inc.:

      

6.38%, 12/01/19

     USD       216       219,240  

8.75%, 12/01/20

       1,972       1,986,790  

7.88%, 12/01/22

       1,874       1,974,727  

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

       2,023       2,083,690  

Cognita Financing PLC, 7.75%, 08/15/21

     GBP       225       319,205  

GW Honos Security Corp., 8.75%,
05/15/25(d)

     USD       586       630,683  

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

       591       629,415  

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

       774       775,935  

Pinnacle Bidco PLC, 6.38%, 02/15/25

     GBP       177       246,092  

Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%,
05/15/23(d)

     USD       12,368       13,465,660  

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

       1,406       1,384,910  
     

 

 

  
        23,716,347  
Diversified Financial Services — 1.8%  

Aircastle Ltd.:

      

7.63%, 04/15/20

       128       137,600  

5.13%, 03/15/21

       643       660,682  

5.50%, 02/15/22

       2,471       2,569,840  

Arrow Global Finance PLC:

      

5.13%, 09/15/24

     GBP       125       173,719  

(3 mo. Euribor + 2.88%), 2.88%,
04/01/25(c)

     EUR       254       304,445  

Banca IFIS SpA, 4.50%, 10/17/27(e)

       375       464,934  

Cabot Financial Luxembourg SA:

      

6.50%, 04/01/21

     GBP       100       139,391  

7.50%, 10/01/23

       220       320,174  

DPL, Inc., 7.25%, 10/15/21

     USD       230       250,700  

FBM Finance, Inc., 8.25%, 08/15/21(d)

       2,660       2,806,300  

Garfunkelux Holdco 3 SA, 4.50%,
09/01/23(e)

     EUR       220       254,996  

Intrum Justitia AB:

      

2.75%, 07/15/22

       437       523,818  

3.13%, 07/15/24

       310       367,314  

Jefferies Finance LLC/JFIN Co-Issuer
Corp.(d):

      

7.38%, 04/01/20

     USD       2,695       2,727,367  

6.88%, 04/15/22

       2,552       2,552,000  

Lehman Brother Holding Escrow,
1.00%, 09/22/18(b)

       430       17,415  

Lehman Brothers Holdings, Inc.(b)(e):

      

5.38%, 10/17/18

     EUR       350       18,147  

4.75%, 01/16/19

       1,890       97,997  
Security          Par
(000)		     Value  
Diversified Financial Services (continued)  

Lehman Brothers Holdings, Inc.(b)(e) (continued):

      

1.00%, 02/05/19

     EUR       3,950     $ 204,808  

1.00%, 12/31/49

     USD       1,535       62,167  

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

     EUR       584       723,310  

Lincoln Finance Ltd., 6.88%, 04/15/21

       100       126,785  

Mercury Bondco PLC(g):

      

(7.13% Cash or 7.88% PIK),
7.13%, 05/30/21

       525       663,096  

(8.25% Cash or 9.00% PIK),
8.25%, 05/30/21

       564       720,002  

Newco GB SAS, 8.00%, 12/15/22(g)

       117       144,167  

Pershing Square Holdings Ltd.,
5.50%, 07/15/22(d)

     USD       2,100       2,161,845  

ProGroup AG:

      

5.13%, 05/01/22

     EUR       206       257,824  

(3 mo. Euribor + 2.50%), 2.50%, 03/31/24(c)

       112       137,337  

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

     USD       3,093       3,116,197  

UniCredit SpA:

      

6.95%, 10/31/22

     EUR       375       561,896  

(5 year EUR Swap + 4.10%),
5.75%, 10/28/25(h)

       700       947,078  

(5 year EUR Swap + 4.32%),
4.38%, 01/03/27(h)

       567       752,536  

Vantiv LLC/Vanity Issuer Corp.(d):

      

3.88%, 11/15/25

     GBP       357       486,643  

4.38%, 11/15/25

     USD       1,168       1,131,500  

Verisure Midholding AB, 5.75%, 12/01/23

     EUR       250       304,646  

WMG Acquisition Corp.:

      

4.13%, 11/01/24

       250       320,021  

5.50%, 04/15/26(d)(f)

     USD       776       776,000  
     

 

 

  
        27,984,697  
Diversified Telecommunication Services — 3.2%  

CenturyLink, Inc.:

      

5.63%, 04/01/25

       845       764,725  

Series P, 7.60%, 09/15/39

       54       47,115  

Series S, 6.45%, 06/15/21

       7,518       7,687,155  

Series T, 5.80%, 03/15/22

       1,539       1,517,839  

Series U, 7.65%, 03/15/42

       743       646,410  

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

       2,236       2,124,200  

Frontier Communications Corp.:

      

7.13%, 03/15/19

       1,445       1,470,288  

7.13%, 01/15/23

       719       479,034  

7.63%, 04/15/24

       1,188       754,380  

6.88%, 01/15/25

       5,097       3,109,170  

11.00%, 09/15/25

       2,166       1,697,602  

Level 3 Financing, Inc.:

      

5.38%, 08/15/22

       243       245,430  

5.63%, 02/01/23

       1,971       1,990,710  

5.13%, 05/01/23

       1,292       1,292,000  

5.38%, 01/15/24

       1,521       1,513,395  

5.38%, 05/01/25

       2,469       2,450,482  

5.25%, 03/15/26

       5,666       5,453,468  

OTE PLC, 3.50%, 07/09/20

     EUR       470       606,371  

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

     USD       680       726,165  

SoftBank Group Corp.:

      

(5 year USD ICE Swap + 4.85%), 6.88%(h)(j)

       1,935       1,909,555  

4.75%, 09/19/24

       700       679,187  

4.75%, 07/30/25

     EUR       415       532,881  

Telecom Italia Capital SA:

      

6.38%, 11/15/33

     USD       831       909,945  

6.00%, 09/30/34

       6,039       6,325,852  
 

 

 

SCHEDULES OF INVESTMENTS      51  

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Diversified Telecommunication Services (continued)  

Telecom Italia Capital SA (continued):

      

7.20%, 07/18/36

     USD       958     $ 1,120,860  

7.72%, 06/04/38

       134       164,150  

Telecom Italia Finance SA, 7.75%, 01/24/33

     EUR       280       508,293  

Telecom Italia SpA:

      

1.13%, 03/26/22(k)

       100       120,170  

3.25%, 01/16/23

       300       398,009  

5.88%, 05/19/23

     GBP       400       628,884  

3.63%, 01/19/24

     EUR       200       268,504  

5.30%, 05/30/24(d)

     USD       431       446,624  
     

 

 

  
        48,588,853  
Electric Utilities — 0.2%  

AES Corp., 5.50%, 04/15/25

       682       699,050  

NextEra Energy Operating Partners LP,
4.25%, 09/15/24(d)

       1,225       1,208,156  

Talen Energy Supply LLC, 6.50%, 06/01/25

       1,782       1,376,595  

Viridian Group FinanceCo PLC/Viridian Power and Energy, 4.00%, 09/15/25

     EUR       100       114,375  
     

 

 

  
        3,398,176  
Electrical Equipment — 0.1%  

Areva SA, 4.88%, 09/23/24

       550       742,837  

Belden, Inc., 5.50%, 04/15/23

       13       16,375  
     

 

 

  
        759,212  
Electronic Equipment, Instruments & Components — 0.9%  

CDW LLC/CDW Finance Corp.:

      

5.00%, 09/01/23

     USD       3,624       3,678,360  

5.50%, 12/01/24

       6,605       6,902,225  

5.00%, 09/01/25

       714       719,355  

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

       231       229,845  

SESI LLC, 7.75%, 09/15/24(d)

       1,389       1,444,560  
     

 

 

  
        12,974,345  
Energy Equipment & Services — 1.6%  

Ensco PLC, 5.20%, 03/15/25

       270       224,100  

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

       2,780       2,828,650  

Noble Holding International Ltd.,
7.70%, 04/01/25

       1,234       1,104,430  

Oceaneering International, Inc.,
6.00%, 02/01/28

       1,378       1,358,152  

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

       935       962,863  

Pioneer Energy Services Corp.,
6.13%, 03/15/22

       1,431       1,293,266  

Precision Drilling Corp.:

      

6.50%, 12/15/21

       530       539,275  

5.25%, 11/15/24

       600       571,500  

Transocean, Inc.:

      

5.80%, 10/15/22

       1,246       1,208,807  

9.00%, 07/15/23(d)

       5,675       6,129,000  

6.80%, 03/15/38

       703       565,915  

Trinidad Drilling Ltd., 6.63%, 02/15/25(d)

       2,272       2,195,320  

Weatherford International Ltd.:

      

7.75%, 06/15/21

       1,271       1,266,234  

8.25%, 06/15/23

       300       291,000  

9.88%, 02/15/24

       3,161       3,129,390  
     

 

 

  
        23,667,902  
Environmental, Maintenance, & Security Service — 0.2%  

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

       2,397       2,408,985  
     

 

 

  
Security          Par
(000)		     Value  
Food & Staples Retailing — 0.8%  

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

      

6.63%, 06/15/24

     USD       874     $ 805,173  

5.75%, 03/15/25

       1,011       884,625  

B&M European Value Retail SA,
4.13%, 02/01/22

     GBP       225       318,991  

Casino Guichard Perrachon SA:

      

4.56%, 01/25/23

     EUR       300       405,588  

4.50%, 03/07/24

       500       661,157  

Dollar Tree, Inc.:

      

5.25%, 03/01/20

     USD       262       265,275  

5.75%, 03/01/23

       5,504       5,717,280  

Post Holdings, Inc., 5.63%, 01/15/28(d)

       484       471,295  

Rite Aid Corp., 6.13%, 04/01/23(d)

       2,735       2,748,675  
     

 

 

  
        12,278,059  
Food Products — 1.2%  

Acosta, Inc., 7.75%, 10/01/22(d)

       1,307       934,505  

Aramark Services, Inc., 5.13%, 01/15/24

       1,104       1,126,080  

B&G Foods, Inc., 5.25%, 04/01/25

       1,705       1,641,063  

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

       2,638       2,750,115  

Darling Global Finance BV, 4.75%, 05/30/22

     EUR       100       125,096  

JBS USA LLC/JBS USA Finance, Inc.(d):

      

5.88%, 07/15/24

     USD       402       392,030  

5.75%, 06/15/25

       3,803       3,631,865  

Pilgrim’s Pride Corp.(d)(f):

      

5.75%, 03/15/25

       1,548       1,540,260  

5.88%, 09/30/27

       1,341       1,303,854  

Post Holdings, Inc.(d):

      

5.50%, 03/01/25

       847       852,294  

5.00%, 08/15/26

       2,006       1,905,700  

5.75%, 03/01/27

       1,884       1,860,450  
     

 

 

  
        18,063,312  
Forest Products — 0.1%  

JBS USA LUX SA/JBS USA Finance, Inc., 6.75%, 02/15/28(d)

       1,884       1,865,537  
     

 

 

  
Health Care Equipment & Supplies — 2.1%  

Avantor, Inc.:

      

4.75%, 10/01/24

     EUR       304       368,215  

6.00%, 10/01/24(d)

     USD       9,366       9,366,000  

9.00%, 10/01/25(d)

       2,620       2,626,550  

Crimson Merger Sub, Inc., 6.63%, 05/15/22(d)

       7,426       7,370,305  

DJO Finco, Inc./DJO Finance LLC/DJO Finance Corp., 8.13%, 06/15/21(d)

       7,026       6,815,220  

Mallinckrodt International Finance SA/Mallinckrodt CB LLC(d):

      

4.88%, 04/15/20

       1,110       1,073,925  

5.75%, 08/01/22

       2,210       1,955,850  

5.63%, 10/15/23

       67       55,443  

5.50%, 04/15/25

       1,794       1,417,260  

Teleflex, Inc., 4.88%, 06/01/26

       684       677,160  
     

 

 

  
        31,725,928  
Health Care Providers & Services — 6.3%  

Acadia Healthcare Co., Inc.:

      

5.13%, 07/01/22

       408       412,937  

5.63%, 02/15/23

       974       999,275  

6.50%, 03/01/24

       1,734       1,790,355  

Amsurg Corp., 5.63%, 07/15/22

       4,779       4,856,659  

Centene Corp.:

      

5.63%, 02/15/21

       2,080       2,129,400  

4.75%, 05/15/22

       2,467       2,508,631  

6.13%, 02/15/24

       391       410,550  
 

 

 

52    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Health Care Providers & Services (continued)  

CHS/Community Health Systems, Inc.:

      

8.00%, 11/15/19

     USD       993     $ 933,926  

6.25%, 03/31/23

       1,990       1,810,900  

DaVita, Inc., 5.00%, 05/01/25

       1,938       1,901,662  

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

       1,776       1,776,018  

Envision Healthcare Corp.(d):

      

5.13%, 07/01/22

       373       375,798  

6.25%, 12/01/24

       1,060       1,115,650  

HCA, Inc.:

      

6.50%, 02/15/20

       6,990       7,374,450  

5.88%, 03/15/22

       2,345       2,485,700  

4.75%, 05/01/23

       512       520,960  

5.88%, 05/01/23

       2,009       2,112,463  

5.00%, 03/15/24

       4,059       4,135,106  

5.38%, 02/01/25

       5,861       5,958,117  

5.25%, 04/15/25

       549       564,098  

5.88%, 02/15/26

       1,216       1,258,560  

5.25%, 06/15/26

       4,345       4,453,625  

4.50%, 02/15/27

       670       654,088  

5.50%, 06/15/47

       7,321       7,229,487  

HealthSouth Corp., 5.75%, 11/01/24

       1,170       1,181,700  

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

       790       808,762  

Molina Healthcare, Inc., 4.88%, 06/15/25(d)

       685       655,887  

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

       3,886       4,090,015  

Polaris Intermediate Corp., (8.50% Cash), 8.50%, 12/01/22(d)(g)

       4,239       4,323,780  

RegionalCare Hospital Partners Holdings, Inc., 8.25%, 05/01/23(d)

       1,287       1,351,350  

Sterigenics-Nordion Holdings LLC,
6.50%, 05/15/23(d)

       424       430,360  

Surgery Center Holdings, Inc.(d):

      

8.88%, 04/15/21

       1,066       1,105,975  

6.75%, 07/01/25

       1,254       1,178,760  

Tenet Healthcare Corp.:

      

4.75%, 06/01/20

       210       213,150  

6.00%, 10/01/20

       4,540       4,721,555  

7.50%, 01/01/22(d)

       1,284       1,354,620  

8.13%, 04/01/22

       5,090       5,369,950  

6.75%, 06/15/23

       4,529       4,529,000  

4.63%, 07/15/24(d)

       2,138       2,052,480  

THC Escrow Corp. III(d):

      

5.13%, 05/01/25

       300       291,000  

7.00%, 08/01/25

       1,430       1,426,425  

Unilabs Subholding AB, 5.75%, 05/15/25

     EUR       173       213,157  

Vizient, Inc., 10.38%, 03/01/24(d)

     USD       1,875       2,100,000  

WellCare Health Plans, Inc., 5.25%, 04/01/25

       706       714,557  
     

 

 

  
        95,880,898  
Health Care Technology — 0.2%  

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

       1,607       1,607,000  

Quintiles IMS, Inc.:

      

3.25%, 03/15/25(d)

     EUR       350       430,763  

3.25%, 03/15/25

       570       701,527  
     

 

 

  
        2,739,290  
Hotels, Restaurants & Leisure — 4.5%  

Burger King France SAS:

      

(3 mo. Euribor + 5.25%), 5.25%, 05/01/23(c)

       305       379,110  

6.00%, 05/01/24

       325       420,246  

Cirsa Funding Luxembourg SA:

      

5.75%, 05/15/21

       100       126,179  

5.88%, 05/15/23

       100       126,176  
Security          Par
(000)		     Value  
Hotels, Restaurants & Leisure (continued)  

Codere Finance 2 Luxembourg SA,
6.75%, 11/01/21

     EUR       210     $ 266,973  

CPUK Finance Ltd.:

      

4.25%, 02/28/47

     GBP       274       381,022  

4.88%, 02/28/47

       153       211,242  

CRC Escrow Issuer LLC/CRC Finco, Inc., 5.25%, 10/15/25(d)

     USD       3,113       3,042,957  

Eldorado Resorts, Inc., 6.00%, 04/01/25

       938       966,140  

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

       1,800       1,795,500  

GLP Capital LP/GLP Financing II, Inc.:

      

5.38%, 11/01/23

       256       266,880  

5.38%, 04/15/26

       950       980,875  

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

       2,648       2,714,200  

International Game Technology PLC,
4.75%, 02/15/23

     EUR       210       284,085  

Jacobs Entertainment, Inc., 7.88%, 02/01/24(d)

     USD       473       505,519  

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

      

5.00%, 06/01/24

       255       257,550  

5.25%, 06/01/26

       1,878       1,901,475  

4.75%, 06/01/27

       783       765,383  

Melco Resorts Finance Ltd., 4.88%, 06/06/25(d)

       1,847       1,806,865  

MGM Resorts International:

      

5.25%, 03/31/20

       920       948,750  

6.75%, 10/01/20

       2,998       3,200,365  

6.63%, 12/15/21

       1,724       1,862,868  

4.63%, 09/01/26

       3,124       3,053,679  

New Red Finance, Inc.(d):

      

4.25%, 05/15/24

       3,189       3,045,495  

5.00%, 10/15/25

       7,726       7,528,021  

Pizzaexpress Financing 2 PLC,
6.63%, 08/01/21

     GBP       110       143,763  

Sabre GLBL, Inc.(d):

      

5.38%, 04/15/23

     USD       1,516       1,527,370  

5.25%, 11/15/23

       745       750,588  

Schumann SpA, 7.00%, 07/31/23

     EUR       410       520,845  

Scientific Games International, Inc.:

      

7.00%, 01/01/22(d)

     USD       2,070       2,178,675  

10.00%, 12/01/22

       9,118       9,893,030  

5.00%, 10/15/25(d)

       3,466       3,427,007  

3.38%, 02/15/26

     EUR       100       119,150  

5.50%, 02/15/26

       142       165,444  

Six Flags Entertainment Corp.(d):

      

4.88%, 07/31/24

     USD       4,933       4,921,111  

5.50%, 04/15/27

       301       302,129  

Snai SpA, 6.38%, 11/07/21

     EUR       200       258,762  

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

     USD       2,555       2,491,125  

Stonegate Pub Co. Financing PLC:

      

4.88%, 03/15/22

     GBP       187       254,858  

(3 mo. LIBOR GBP + 4.38%),
4.89%, 03/15/22(c)

       150       205,989  

Unique Pub Finance Co. PLC, Series N,
6.46%, 03/30/32

       1,000       1,345,364  

Vue International Bidco PLC, 7.88%, 07/15/20

       520       726,622  

Wyndham Worldwide Corp., 4.15%, 04/01/24

     USD       1,110       1,112,140  

Wynn Macau Ltd.(d):

      

4.88%, 10/01/24

       860       842,800  

5.50%, 10/01/27

       200       196,940  

Yum! Brands, Inc., 3.88%, 11/01/23

       721       699,370  
     

 

 

  
        68,920,637  
Household Durables — 2.1%  

Algeco Scotsman Global Finance 2 PLC, 10.00%, 08/15/23(d)

       396       394,020  
 

 

 

SCHEDULES OF INVESTMENTS      53  

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Household Durables (continued)  

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

     USD       1,644     $ 1,655,919  

Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 07/01/22(d)

       1,604       1,656,130  

K Hovnanian Enterprises, Inc.,
10.00%, 07/15/22(d)

       1,273       1,389,161  

Lennar Corp.:

      

4.50%, 11/15/19

       2,482       2,516,127  

6.63%, 05/01/20(d)

       1,160       1,226,700  

8.38%, 01/15/21(d)

       2,810       3,134,555  

4.75%, 04/01/21

       314       320,673  

4.13%, 01/15/22

       1,014       1,003,860  

4.75%, 11/15/22

       1,542       1,549,710  

4.88%, 12/15/23

       968       981,310  

5.25%, 06/01/26(d)

       302       308,040  

4.75%, 11/29/27(d)

       2,510       2,428,425  

Mattamy Group Corp.(d):

      

6.88%, 12/15/23

       1,062       1,113,773  

6.50%, 10/01/25

       1,107       1,156,815  

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

       1,106       1,050,700  

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

       404       398,950  

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

       2,805       2,994,337  

Tempur Sealy International, Inc.,
5.50%, 06/15/26

       2,203       2,164,447  

Toll Brothers Finance Corp., 6.75%, 11/01/19

       220       231,000  

TRI Pointe Group, Inc.:

      

4.38%, 06/15/19

       1,060       1,062,650  

4.88%, 07/01/21

       1,275       1,281,375  

5.25%, 06/01/27

       644       636,755  

TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.88%, 06/15/24

       770       793,100  

William Lyon Homes, Inc., 5.88%, 01/31/25

       769       767,078  
     

 

 

  
        32,215,610  
Household Products — 0.3%  

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

       539       541,695  

Diamond (BC) BV, 5.63%, 08/15/25

     EUR       149       177,063  

Prestige Brands, Inc., 6.38%, 03/01/24(d)

     USD       2,034       2,084,850  

Spectrum Brands, Inc., 6.63%, 11/15/22

       1,385       1,431,744  
     

 

 

  
        4,235,352  
Independent Power and Renewable Electricity Producers — 2.2%  

AES Corp.:

      

4.88%, 05/15/23

       129       130,129  

5.50%, 03/15/24

       196       200,165  

6.00%, 05/15/26

       1,880       1,974,000  

5.13%, 09/01/27

       2,691       2,724,638  

Calpine Corp.(d):

      

6.00%, 01/15/22

       251       258,216  

5.88%, 01/15/24

       1,903       1,943,439  

5.25%, 06/01/26

       4,767       4,623,990  

Dynegy, Inc.:

      

7.38%, 11/01/22

       1,935       2,039,006  

5.88%, 06/01/23

       183       187,575  

8.00%, 01/15/25(d)

       1,653       1,795,571  

8.13%, 01/30/26(d)

       1,136       1,243,920  

MPM Escrow LLC, 8.88%, 10/15/20(b)(e)

       3,738       —  

NRG Energy, Inc.:

      

6.25%, 07/15/22

       1,384       1,428,980  

6.25%, 05/01/24

       469       485,415  

6.63%, 01/15/27

       7,549       7,794,343  

5.75%, 01/15/28(d)

       1,736       1,713,953  

NRG Yield Operating LLC, 5.38%, 08/15/24

       1,789       1,807,999  

QEP Resources, Inc., 5.38%, 10/01/22

       914       927,710  
Security          Par
(000)		     Value  
Independent Power and Renewable Electricity Producers (continued)  

TerraForm Power Operating LLC(d):

      

4.25%, 01/31/23

     USD       1,191     $ 1,167,180  

6.63%, 06/15/25(l)

       140       151,550  

5.00%, 01/31/28

       1,185       1,146,843  
     

 

 

  
        33,744,622  
Industrial Conglomerates — 0.3%  

Colfax Corp., 3.25%, 05/15/25

     EUR       489       605,104  

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

     USD       3,892       4,106,060  
     

 

 

  
        4,711,164  
Insurance — 1.5%  

Acrisure LLC/Acrisure Finance, Inc.,
7.00%, 11/15/25(d)

       1,183       1,156,382  

Ardonagh Midco 3 PLC:

      

8.38%, 07/15/23

     GBP       500       704,167  

8.63%, 07/15/23(d)

     USD       3,012       3,109,890  

Assicurazioni Generali SpA(h):

      

(3 mo. Euribor + 7.11%), 7.75%, 12/12/42

     EUR       400       620,168  

(3 mo. Euribor + 5.35%), 5.50%, 10/27/47

       200       284,990  

AssuredPartners, Inc., 7.00%, 08/15/25(d)

     USD       441       450,923  

BNP Paribas Cardif SA(3 mo. Euribor +
3.93%), 4.03%(h)(j)

     EUR       100       134,818  

Credit Agricole Assurances SA(5 year EUR Swap + 4.35%), 4.50%(h)(j)

       200       275,110  

Delta Lloyd NV(3 mo. Euribor +
3.90%), 4.38%(h)(j)

       190       253,666  

Groupama SA, 6.00%, 01/23/27

       300       450,493  

HUB International Ltd., 7.88%, 10/01/21(d)

     USD       5,484       5,655,375  

Radian Group, Inc.:

      

5.25%, 06/15/20

       107       110,745  

7.00%, 03/15/21

       192       209,760  

4.50%, 10/01/24

       1,279       1,276,186  

USIS Merger Sub, Inc., 6.88%, 05/01/25(d)

       544       550,800  

Wayne Merger Sub LLC, 8.25%, 08/01/23(d)

       6,569       6,831,760  
     

 

 

  
        22,075,233  
Internet Software & Services — 0.7%  

Equinix, Inc.:

      

5.38%, 01/01/22

       1,110       1,150,237  

2.88%, 03/15/24(f)

     EUR       395       481,900  

5.88%, 01/15/26

     USD       3,197       3,348,857  

Netflix, Inc.:

      

5.38%, 02/01/21

       210       218,138  

5.50%, 02/15/22

       2,087       2,170,480  

4.38%, 11/15/26

       836       802,560  

3.63%, 05/15/27

     EUR       274       335,838  

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

     USD       1,596       1,619,263  

United Group BV:

      

4.38%, 07/01/22

     EUR       258       319,418  

(3 mo. Euribor + 4.38%), 4.38%, 07/01/23(c)

       395       484,310  

ZPG PLC, 3.75%, 07/15/23

     GBP       268       365,090  
     

 

 

  
        11,296,091  
IT Services — 2.3%  

Ceridian HCM Holding, Inc.,
11.00%, 03/15/21(d)

     USD       1,631       1,685,361  

First Data Corp.(d):

      

7.00%, 12/01/23

       8,023       8,434,179  

5.75%, 01/15/24

       18,420       18,742,350  

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

       1,176       1,205,400  

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

       5,476       5,513,647  
     

 

 

  
        35,580,937  
 

 

 

54    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Leisure Products — 0.2%  

Mattel, Inc.:

      

6.75%, 12/31/25(d)

     USD       1,983     $ 2,017,702  

6.20%, 10/01/40

       566       526,380  

5.45%, 11/01/41

       332       292,160  
     

 

 

  
        2,836,242  
Machinery — 0.6%  

Cleaver-Brooks, Inc., 7.88%, 03/01/23(d)

       600       633,000  

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

     EUR       258       312,793  

SPX FLOW, Inc.(d):

      

5.63%, 08/15/24

     USD       993       1,010,378  

5.88%, 08/15/26

       993       1,020,307  

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

       4,399       4,442,990  

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

       1,510       1,494,900  
     

 

 

  
        8,914,368  
Media — 13.1%  

Altice Financing SA(d):

      

6.63%, 02/15/23

       1,145       1,143,569  

7.50%, 05/15/26

       6,130       6,175,975  

Altice Luxembourg SA:

      

7.25%, 05/15/22

     EUR       674       792,851  

7.75%, 05/15/22(d)

     USD       6,488       6,050,060  

6.25%, 02/15/25

     EUR       350       398,306  

Altice US Finance I Corp.(d):

      

5.38%, 07/15/23

     USD       7,810       7,936,912  

5.50%, 05/15/26

       1,711       1,693,890  

AMC Networks, Inc.:

      

5.00%, 04/01/24

       1,165       1,167,912  

4.75%, 08/01/25

       2,152       2,084,750  

Banijay Group SAS, 4.00%, 07/01/22

     EUR       129       163,549  

Block Communications, Inc., 6.88%, 02/15/25(d)

     USD       685       708,975  

Cablevision Systems Corp., 8.00%, 04/15/20

       2,224       2,363,445  

Capital Stage Finance BV, 5.25%(e)(j)(k)

     EUR       100       137,708  

CBS Radio, Inc., 7.25%, 11/01/24(d)

     USD       526       541,675  

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

      

4.00%, 03/01/23

       1,937       1,886,154  

5.13%, 05/01/23

       137       139,569  

5.13%, 05/01/27

       15,268       14,701,863  

5.00%, 02/01/28

       1,960       1,850,338  

Cellnex Telecom SA:

      

2.38%, 01/16/24

     EUR       200       247,782  

Series CLNX, 1.50%, 01/16/26(k)

       100       123,839  

Cequel Communications Holdings I LLC/Cequel Capital Corp.(d):

      

6.38%, 09/15/20

     USD       210       212,363  

5.13%, 12/15/21

       7,150       7,112,020  

7.75%, 07/15/25

       7,299       7,773,435  

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

       4,201       4,390,045  

Clear Channel Worldwide Holdings, Inc.:

      

6.50%, 11/15/22

       14,259       14,617,892  

Series B, 7.63%, 03/15/20

       7,377       7,367,779  

CSC Holdings LLC:

      

7.63%, 07/15/18

       351       355,388  

10.13%, 01/15/23(d)

       4,866       5,437,755  

5.25%, 06/01/24

       4,789       4,609,412  

6.63%, 10/15/25(d)

       419       439,950  

10.88%, 10/15/25(d)

       11,138       13,142,840  

DISH DBS Corp.:

      

6.75%, 06/01/21

       74       76,035  

5.88%, 07/15/22

       2,966       2,891,850  

5.00%, 03/15/23

       1,948       1,789,725  

5.88%, 11/15/24

       3,024       2,835,000  

7.75%, 07/01/26

       4,963       4,888,555  
Security          Par
(000)		     Value  
Media (continued)  

DISH Network Corp., 3.38%, 08/15/26(k)

     USD       1,514     $ 1,523,182  

eircom Finance DAC, 4.50%, 05/31/22

     EUR       300       374,967  

GTT Communications, Inc., 7.88%, 12/31/24(d)

     USD       2,446       2,542,311  

Hughes Satellite Systems Corp.:

      

7.63%, 06/15/21

       595       640,369  

5.25%, 08/01/26

       2,908       2,835,300  

Intelsat Jackson Holdings SA:

      

7.25%, 10/15/20

       2,603       2,424,044  

5.50%, 08/01/23

       2,702       2,232,527  

9.75%, 07/15/25(d)

       3,508       3,328,215  

LG Finance Co. Corp., 5.88%, 11/01/24(d)

       598       624,671  

LGE HoldCo VI BV, 7.13%, 05/15/24

     EUR       300       395,280  

McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance,
7.88%, 05/15/24(d)

     USD       639       618,232  

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

       2,003       1,997,992  

Meredith Corp., 6.88%, 02/01/26(d)

       776       800,250  

Midcontinent Communications/Midcontinent Finance Corp., 6.88%, 08/15/23(d)

       1,100       1,161,875  

NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 08/01/18(d)

       2,039       2,039,000  

Numericable Group SA:

      

5.38%, 05/15/22

     EUR       280       348,750  

6.00%, 05/15/22

     USD       200       194,250  

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

       1,450       1,410,125  

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

       390       389,025  

Radio One, Inc., 7.38%, 04/15/22(d)

       805       807,012  

SFR Group SA(d):

      

6.00%, 05/15/22

       5,489       5,331,191  

7.38%, 05/01/26

       9,382       9,056,445  

Sirius XM Radio, Inc.(d):

      

4.63%, 05/15/23

       230       229,425  

5.00%, 08/01/27

       409       397,753  

TEGNA, Inc.:

      

5.13%, 10/15/19

       457       463,284  

5.50%, 09/15/24(d)

       344       353,460  

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

       1,800       1,737,000  

Telenet Finance V Luxembourg SCA,
6.75%, 08/15/24

     EUR       982       1,269,923  

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

       290       382,412  

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

     USD       2,154       2,364,015  

Townsquare Media, Inc., 6.50%, 04/01/23(d)

       517       491,150  

Tribune Media Co., 5.88%, 07/15/22

       172       175,440  

Unitymedia GmbH, 3.75%, 01/15/27

     EUR       300       385,508  

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:

      

5.63%, 04/15/23

       146       183,789  

3.50%, 01/15/27

       200       256,810  

6.25%, 01/15/29

       800       1,105,808  

Univision Communications, Inc.(d):

      

5.13%, 05/15/23

     USD       2,315       2,193,462  

5.13%, 02/15/25

       1,036       957,005  

UPCB Finance IV Ltd.:

      

5.38%, 01/15/25(d)

       1,974       1,951,792  

4.00%, 01/15/27

     EUR       400       507,364  

UPCB Finance VII Ltd., 3.63%, 06/15/29

       300       357,289  

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

     USD       2,383       2,404,161  
 

 

 

SCHEDULES OF INVESTMENTS      55  

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Media (continued)  

Virgin Media Finance PLC:

      

4.50%, 01/15/25

     EUR       183     $ 229,355  

5.75%, 01/15/25(d)

     USD       4,788       4,704,210  

Virgin Media Receivables Financing Notes I DAC, 5.50%, 09/15/24

     GBP       778       1,087,419  

Virgin Media Secured Finance PLC:

      

5.13%, 01/15/25

       210       298,170  

4.88%, 01/15/27

       309       424,337  

6.25%, 03/28/29

       829       1,215,376  

Ziggo Bond Finance BV:

      

4.63%, 01/15/25

     EUR       300       371,446  

5.88%, 01/15/25(d)

     USD       2,643       2,543,887  

Ziggo Secured Finance BV:

      

4.25%, 01/15/27

     EUR       260       319,983  

5.50%, 01/15/27(d)

     USD       756       724,815  
     

 

 

  
        199,410,027  
Metals & Mining — 7.2%  

Alcoa Nederland Holding BV, 7.00%, 09/30/26(d)

       681       735,480  

ArcelorMittal:

      

3.00%, 04/09/21

     EUR       100       131,158  

3.13%, 01/14/22

       100       132,385  

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

     USD       1,407       1,487,903  

Cleveland-Cliffs, Inc., 4.88%, 01/15/24(d)

       1,222       1,192,978  

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

       2,194       2,347,580  

Constellium NV:

      

5.75%, 05/15/24(d)

       1,392       1,402,440  

6.63%, 03/01/25(d)

       1,231       1,274,085  

4.25%, 02/15/26

     EUR       151       186,339  

5.88%, 02/15/26(d)

     USD       3,427       3,461,270  

First Quantum Minerals Ltd.(d):

      

7.00%, 02/15/21

       4,991       5,146,969  

7.25%, 05/15/22

       791       814,730  

6.50%, 03/01/24

       1,503       1,493,606  

6.88%, 03/01/26

       1,789       1,780,055  

Freeport-McMoRan, Inc.:

      

2.38%, 03/15/18

       15,430       15,417,656  

3.10%, 03/15/20

       2,976       2,946,240  

4.00%, 11/14/21

       2,078       2,067,610  

3.55%, 03/01/22

       5,170       5,029,376  

3.88%, 03/15/23

       6,256       6,068,320  

5.40%, 11/14/34

       689       671,775  

5.45%, 03/15/43

       7,358       7,100,470  

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

       2,662       2,815,065  

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

       1,378       1,534,196  

Kaiser Aluminum Corp., 5.88%, 05/15/24

       773       809,949  

Kinross Gold Corp.:

      

4.50%, 07/15/27 (d)

       807       782,790  

6.88%, 09/01/41

       551       635,028  

Novelis Corp.(d):

      

6.25%, 08/15/24

       8,460       8,650,350  

5.88%, 09/30/26

       4,503       4,536,772  

Nyrstar Netherlands Holdings BV,
6.88%, 03/15/24

     EUR       530       662,673  

Ovako AB, 5.00%, 10/05/22

       400       496,825  

Schmolz+Bickenbach Luxembourg Finance SA, 5.63%, 07/15/22

       100       126,270  

Steel Dynamics, Inc.:

      

5.13%, 10/01/21

     USD       3,215       3,255,187  

5.25%, 04/15/23

       949       969,166  
Security          Par
(000)		     Value  
Metals & Mining (continued)  

Steel Dynamics, Inc. (continued):

      

5.50%, 10/01/24

     USD       1,540     $ 1,593,900  

4.13%, 09/15/25

       1,275       1,233,563  

5.00%, 12/15/26

       470       479,400  

SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.50%, 06/15/25(d)

       1,660       1,730,550  

Teck Resources Ltd.:

      

4.50%, 01/15/21

       902       913,726  

3.75%, 02/01/23

       2,259       2,208,173  

8.50%, 06/01/24(d)

       4,081       4,540,112  

5.20%, 03/01/42

       2,547       2,464,222  

5.40%, 02/01/43

       3,691       3,654,090  

ThyssenKrupp AG:

      

2.75%, 03/08/21

     EUR       100       128,954  

1.38%, 03/03/22

       675       830,912  

2.50%, 02/25/25

       100       129,381  

United States Steel Corp.:

      

8.38%, 07/01/21(d)

     USD       1,768       1,896,180  

6.88%, 08/15/25

       1,912       2,007,600  
     

 

 

  
        109,973,459  
Multi-Utilities — 0.2%  

NGL Energy Partners LP/NGL Energy Finance Corp.:

      

5.13%, 07/15/19

       980       982,450  

6.88%, 10/15/21

       1,624       1,636,180  
     

 

 

  
        2,618,630  
Multiline Retail — 0.1%  

Neiman Marcus Group Ltd., 8.00%,
10/15/21(d)

       1,214       734,470  
     

 

 

  
Offshore Drilling & Other Services — 0.1%  

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

       1,250       1,228,125  
     

 

 

  
Oil, Gas & Consumable Fuels — 13.9%  

Alta Mesa Holdings LP/Alta Mesa Finance Services Corp.,
7.88%, 12/15/24

       801       853,065  

Andeavor Logistics LP, Series A, 6.88%(e)(j)

       2,138       2,179,424  

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

       385       393,663  

Antero Resources Corp.:

      

5.13%, 12/01/22

       744       750,510  

5.63%, 06/01/23

       644       660,100  

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

       1,471       1,566,615  

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

       1,774       1,805,045  

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

       2,740       2,171,450  

Callon Petroleum Co., 6.13%, 10/01/24

       3,050       3,111,000  

Calumet Specialty Products Partners LP/Calumet Finance Corp.:

      

6.50%, 04/15/21

       124       120,900  

7.63%, 01/15/22

       1,484       1,476,580  

Carrizo Oil & Gas, Inc.:

      

6.25%, 04/15/23

       1,034       1,036,585  

8.25%, 07/15/25

       711       758,993  

Cheniere Corpus Christi Holdings LLC:

      

7.00%, 06/30/24

       1,928       2,157,432  

5.88%, 03/31/25

       2,359       2,494,642  

5.13%, 06/30/27

       5,605       5,668,056  

Cheniere Energy Partners LP,
5.25%, 10/01/25(d)

       2,065       2,085,650  

Chesapeake Energy Corp.:

      

5.75%, 03/15/23

       216       197,640  

8.00%, 01/15/25(d)

       475       469,063  

8.00%, 06/15/27(d)

       5,527       5,299,011  
 

 

 

56    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

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

CONSOL Energy, Inc.:

      

5.88%, 04/15/22

     USD       7,131     $ 7,171,112  

8.00%, 04/01/23

       786       832,178  

Continental Resources, Inc.:

      

3.80%, 06/01/24

       2,909       2,825,366  

4.38%, 01/15/28(d)

       2,200       2,145,000  

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

       2,297       2,331,455  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.25%, 04/01/23

       385       396,550  

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

       5,172       5,068,560  

DCP Midstream LLC(d):

      

6.45%, 11/03/36

       1,258       1,383,800  

6.75%, 09/15/37

       1,490       1,661,350  

DEA Finance SA, 7.50%, 10/15/22

     EUR       330       442,813  

Denbury Resources, Inc., 9.25%, 03/31/22(d)

     USD       3,335       3,418,375  

Diamond Offshore Drilling, Inc.,
7.88%, 08/15/25

       620       629,300  

Diamondback Energy, Inc., 5.38%, 05/31/25

       1,487       1,487,000  

Eclipse Resources Corp., 8.88%, 07/15/23

       550       552,750  

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

      

5.50%, 01/30/26

       804       797,970  

5.75%, 01/30/28

       1,470       1,470,000  

Energy Transfer Equity LP:

      

7.50%, 10/15/20

       665       721,525  

4.25%, 03/15/23

       1,164       1,141,814  

5.88%, 01/15/24

       2,263       2,398,780  

5.50%, 06/01/27

       1,774       1,836,090  

Ensco PLC, 7.75%, 02/01/26

       2,037       1,924,965  

EP Energy LLC/Everest Acquisition Finance, Inc.:

      

9.38%, 05/01/20

       122       113,460  

9.38%, 05/01/24(d)

       2,753       2,030,337  

8.00%, 11/29/24(d)

       3,116       3,209,480  

Extraction Oil & Gas, Inc.(d):

      

7.38%, 05/15/24

       1,181       1,245,955  

5.63%, 02/01/26

       2,689       2,635,220  

Genesis Energy LP/Genesis Energy Finance Corp.:

      

6.50%, 10/01/25

       966       963,585  

6.25%, 05/15/26

       1,040       1,006,200  

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

       2,055       2,142,337  

Gulfport Energy Corp.:

      

6.63%, 05/01/23

       1,334       1,370,685  

6.00%, 10/15/24

       490       481,425  

6.38%, 05/15/25

       470       463,538  

6.38%, 01/15/26(d)

       1,335       1,315,843  

Halcon Resources Corp.:

      

6.75%, 02/15/25(d)

       893       899,698  

Series WI, 6.75%, 02/15/25

       3,026       3,056,260  

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

       2,470       2,470,000  

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

       1,204       1,177,175  

Jones Energy Holdings LLC/Jones Energy Finance Corp., 9.25%, 03/15/23(d)

       630       618,975  

Matador Resources Co., 6.88%, 04/15/23

       6       6,270  

MEG Energy Corp.(d):

      

6.38%, 01/30/23

       1,897       1,626,677  

7.00%, 03/31/24

       2,222       1,894,255  

6.50%, 01/15/25

       3,410       3,346,062  
Security          Par
(000)		     Value  
Oil, Gas & Consumable Fuels (continued)  

Murphy Oil Corp.:

      

6.88%, 08/15/24

     USD       2,221     $ 2,335,115  

5.75%, 08/15/25

       106       105,629  

5.88%, 12/01/42

       247       230,945  

Nabors Industries, Inc.:

      

4.63%, 09/15/21

       303       295,425  

5.75%, 02/01/25(d)

       780       744,413  

Newfield Exploration Co., 5.63%, 07/01/24

       872       917,780  

NGPL PipeCo LLC(d):

      

4.38%, 08/15/22

       1,254       1,250,865  

7.77%, 12/15/37

       4,720       5,782,000  

Noble Holding International Ltd.:

      

7.75%, 01/15/24

       1,479       1,351,436  

7.88%, 02/01/26(d)

       4,810       4,834,050  

Oasis Petroleum, Inc.:

      

6.50%, 11/01/21

       837       853,740  

6.88%, 03/15/22

       1,432       1,466,905  

6.88%, 01/15/23

       663       676,260  

Paramount Resources Ltd., 6.88%, 06/30/23(d)

       3,070       3,192,800  

Parker Drilling Co., 7.50%, 08/01/20

       335       309,038  

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

      

6.25%, 06/01/24

       458       474,030  

5.38%, 01/15/25

       2,170       2,148,300  

5.25%, 08/15/25

       532       524,020  

5.63%, 10/15/27

       1,647       1,633,618  

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

       1,424       1,473,840  

PDC Energy, Inc.:

      

6.13%, 09/15/24

       250       255,625  

5.75%, 05/15/26(d)

       1,540       1,520,288  

Petroleos Mexicanos, 5.38%, 03/13/22(d)

       270       282,150  

Precision Drilling Corp., 7.13%, 01/15/26(d)

       2,023       2,040,701  

Range Resources Corp.:

      

5.88%, 07/01/22

       2,612       2,651,180  

5.00%, 08/15/22

       530       522,050  

5.00%, 03/15/23

       317       309,868  

4.88%, 05/15/25

       250       239,375  

Resolute Energy Corp., 8.50%, 05/01/20

       2,474       2,470,907  

Rockies Express Pipeline LLC(d):

      

6.00%, 01/15/19

       1,984       2,028,640  

5.63%, 04/15/20

       695       721,931  

6.88%, 04/15/40

       2,829       3,317,002  

Rowan Cos., Inc.:

      

4.88%, 06/01/22

       195       183,300  

4.75%, 01/15/24

       716       622,920  

7.38%, 06/15/25

       4,173       4,120,837  

RSP Permian, Inc.:

      

6.63%, 10/01/22

       2,395       2,496,787  

5.25%, 01/15/25

       1,046       1,053,845  

Sanchez Energy Corp.:

      

7.75%, 06/15/21

       3,355       3,204,025  

6.13%, 01/15/23

       1,822       1,366,500  

7.25%, 02/15/23(d)

       1,536       1,555,200  

SESI LLC, 7.13%, 12/15/21

       655       668,100  

Seven Generations Energy Ltd.,
5.38%, 09/30/25(d)

       2,373       2,319,607  

SM Energy Co.:

      

6.50%, 11/15/21

       845       857,675  

6.13%, 11/15/22

       1,620       1,636,200  

6.50%, 01/01/23

       1,339       1,339,000  

5.00%, 01/15/24

       318       298,920  

5.63%, 06/01/25

       324       309,623  

6.75%, 09/15/26

       112       112,560  
 

 

 

SCHEDULES OF INVESTMENTS      57  

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

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

Southwestern Energy Co.:

      

6.70%, 01/23/25

     USD       232     $ 227,360  

7.50%, 04/01/26

       1,684       1,700,840  

7.75%, 10/01/27

       1,290       1,315,800  

Sunoco LP/Sunoco Finance Corp.(d):

      

4.88%, 01/15/23

       2,733       2,719,062  

5.88%, 03/15/28

       808       811,030  

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

      

5.50%, 09/15/24

       2,617       2,695,458  

5.50%, 01/15/28

       1,823       1,827,557  

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

      

5.25%, 05/01/23

       78       79,122  

4.25%, 11/15/23

       845       823,875  

5.13%, 02/01/25

       548       546,625  

5.38%, 02/01/27

       531       531,000  

5.00%, 01/15/28(d)

       2,308       2,241,645  

Transocean, Inc., 7.50%, 01/15/26(d)

       1,753       1,766,147  

Tullow Oil PLC:

      

6.00%, 11/01/20(d)

       200       202,000  

6.00%, 11/01/20

       200       202,000  

Weatherford International Ltd.:

      

6.50%, 08/01/36

       1,021       775,960  

7.00%, 03/15/38

       1,523       1,210,785  

5.95%, 04/15/42

       959       690,480  

Whiting Petroleum Corp., 6.63%,
01/15/26(d)

       2,879       2,936,580  

WildHorse Resource Development Corp., 6.88%, 02/01/25

       898       920,450  

Williams Cos., Inc.:

      

4.55%, 06/24/24

       1,614       1,626,105  

5.75%, 06/24/44

       4,897       5,203,062  

WPX Energy, Inc.:

      

7.50%, 08/01/20

       258       276,060  

6.00%, 01/15/22

       1,165       1,208,688  

8.25%, 08/01/23

       1,245       1,409,963  

5.25%, 09/15/24

       754       754,000  
     

 

 

  
        211,772,293  
Oil: Crude Producers — 0.1%  

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.,
4.50%, 01/15/28

       2,133       2,015,685  
     

 

 

  
Paper & Forest Products — 0.1%  

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

       1,711       1,829,145  

Stora Enso OYJ, 2.50%, 06/07/27

     EUR       200       247,050  
     

 

 

  
        2,076,195  
Pharmaceuticals — 3.0%  

Endo Finance LLC/Endo Finco, Inc.(d):

      

7.25%, 01/15/22

     USD       1,176       981,960  

6.00%, 07/15/23

       931       698,250  

Ephios Bondco PLC, 6.25%, 07/01/22

     EUR       675       858,746  

Ephios Holdco II PLC, 8.25%, 07/01/23

       159       207,770  

Grifols SA, 3.20%, 05/01/25

       200       245,867  

inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc.,
7.50%, 10/01/24(d)

     USD       878       939,460  

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

       10,081       10,131,405  

Nidda BondCo GmbH, 5.00%, 09/30/25

     EUR       204       246,428  

Nidda Healthcare Holding AG, 3.50%, 09/30/24

       150       183,357  

Synlab Bondco PLC, 6.25%, 07/01/22

       210       267,165  
Security          Par
(000)		     Value  
Pharmaceuticals (continued)  

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

     USD       3,064     $ 2,803,560  

Teva Pharmaceutical Finance Netherlands II BV, 1.25%, 03/31/23

     EUR       390       423,459  

Teva Pharmaceutical Finance Netherlands III BV, 1.70%, 07/19/19

     USD       1,590       1,551,361  

Valeant Pharmaceuticals International, Inc.:

      

7.50%, 07/15/21(d)

       1,841       1,850,205  

6.75%, 08/15/21(d)

       2,471       2,409,225  

5.63%, 12/01/21(d)

       724       684,180  

6.50%, 03/15/22(d)

       2,043       2,124,720  

5.50%, 03/01/23(d)

       930       823,050  

4.50%, 05/15/23

     EUR       926       986,991  

5.88%, 05/15/23(d)

     USD       5,709       5,073,874  

7.00%, 03/15/24(d)

       3,210       3,378,525  

6.13%, 04/15/25(d)

       5,935       5,207,963  

5.50%, 11/01/25(d)

       3,825       3,784,359  
     

 

 

  
        45,861,880  
Real Estate Investment Trusts (REITs) — 1.4%  

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

       985       999,775  

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

       1,269       1,246,793  

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

       556       558,085  

iStar, Inc.:

      

4.63%, 09/15/20

       221       222,105  

6.00%, 04/01/22

       901       905,505  

5.25%, 09/15/22

       1,012       994,290  

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

      

5.63%, 05/01/24

       9,671       10,004,649  

4.50%, 09/01/26

       3,280       3,124,200  

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

     EUR       262       334,423  

Starwood Property Trust, Inc.:

      

5.00%, 12/15/21

     USD       1,695       1,733,138  

4.75%, 03/15/25(d)

       776       752,720  
     

 

 

  
        20,875,683  
Real Estate Management & Development — 0.6%  

ADLER Real Estate AG:

      

4.75%, 04/08/20

     EUR       134       170,300  

2.13%, 02/06/24

       325       394,200  

Aroundtown Property Holdings PLC, 1.50%, 01/18/21(k)

       100       150,143  

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

     USD       1,158       1,172,475  

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

       1,568       1,546,440  

Realogy Group LLC/Realogy Co-Issuer
Corp.(d):

      

4.50%, 04/15/19

       806       817,083  

5.25%, 12/01/21

       2,296       2,324,700  

4.88%, 06/01/23

       1,235       1,194,863  

RESIDOMO Sro, 3.38%, 10/15/24

     EUR       420       514,962  

Rialto Holdings LLC/Rialto Corp.,
7.00%, 12/01/18(d)

     USD       761       761,152  

Summit Germany Ltd., 2.00%, 01/31/25

     EUR       145       172,693  
     

 

 

  
        9,219,011  
Restaurants — 0.1%  

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

     USD       1,241       1,239,076  
     

 

 

  
Road & Rail — 0.9%  

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.13%, 06/01/22(d)

       927       924,682  

Avis Budget Finance PLC, 4.13%, 11/15/24

     EUR       250       310,492  
 

 

 

58    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Road & Rail (continued)  

CMA CGM SA, 5.25%, 01/15/25

     EUR       100     $ 114,941  

EC Finance PLC, 2.38%, 11/15/22

       203       251,031  

Europcar Drive Designated Activity Co., 4.13%, 11/15/24

       387       473,556  

Europcar Groupe SA, 5.75%, 06/15/22

       110       139,222  

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

     USD       1,326       1,319,370  

Herc Rentals, Inc.(d):

      

7.50%, 06/01/22

       1,406       1,504,420  

7.75%, 06/01/24

       1,201       1,308,730  

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

       2,628       2,700,270  

Loxam SAS:

      

3.50%, 04/15/22

     EUR       168       212,319  

3.50%, 05/03/23

       150       188,501  

4.25%, 04/15/24

       100       128,971  

6.00%, 04/15/25

       108       141,620  

United Rentals North America, Inc.:

      

4.63%, 07/15/23

     USD       944       965,240  

4.63%, 10/15/25

       2,460       2,398,500  

Watco Cos. LLC/Watco Finance Corp.,
6.38%, 04/01/23(d)

       1,093       1,120,325  
     

 

 

  
        14,202,190  
Semiconductors & Semiconductor Equipment — 1.1%  

Advanced Micro Devices, Inc.:

      

7.50%, 08/15/22

       422       463,145  

7.00%, 07/01/24

       409       428,939  

Micron Technology, Inc.:

      

5.50%, 02/01/25

       58       60,175  

Series G, 3.00%, 11/15/43(k)

       1,251       2,113,246  

Microsemi Corp., 9.13%, 04/15/23(d)

       134       148,405  

NXP BV/NXP Funding LLC(d):

      

4.13%, 06/15/20

       2,409       2,451,157  

4.13%, 06/01/21

       1,448       1,473,630  

4.63%, 06/15/22

       1,319       1,358,715  

3.88%, 09/01/22

       1,138       1,140,504  

5.75%, 03/15/23

       1,070       1,101,458  

4.63%, 06/01/23

       928       954,912  

Sensata Technologies BV(d):

      

5.63%, 11/01/24

       903       965,352  

5.00%, 10/01/25

       3,297       3,321,727  
     

 

 

  
        15,981,365  
Software — 4.5%  

BMC Software Finance, Inc., 8.13%, 07/15/21(d)

       3,715       3,728,931  

Genesys Telecommunications Laboratories Inc/Greeneden Lux 3 Sarl/Greeneden US Holdings LLC, 10.00%, 11/30/24(d)

       3,875       4,286,719  

Infinity Acquisition LLC/Infinity Acquisition Finance Corp., 7.25%, 08/01/22(d)

       1,444       1,447,610  

Infor Software Parent LLC/Infor Software Parent, Inc., (7.13% Cash or 7.88% PIK),
7.13%, 05/01/21(d)(g)

       3,521       3,582,618  

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

       11,511       11,769,997  

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

       4,124       4,204,418  

Nuance Communications, Inc.:

      

5.38%, 08/15/20(d)

       356       359,115  

6.00%, 07/01/24

       1,630       1,705,877  

5.63%, 12/15/26

       1,410       1,427,625  

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

       1,996       2,098,295  

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

       1,828       1,903,697  

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

       2,666       2,779,305  

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

       10,664       11,973,539  

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

       1,553       1,636,474  
Security          Par
(000)		     Value  
Software (continued)  

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

     USD       7,252     $ 7,905,985  

Veritas US, Inc./Veritas Bermuda Ltd.:

      

7.50%, 02/01/23

     EUR       200       256,200  

7.50%, 02/01/23(d)

     USD       3,130       3,176,950  

10.50%, 02/01/24(d)

       4,492       4,289,860  
     

 

 

  
        68,533,215  
Specialty Retail — 0.8%  

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

       2,505       2,598,937  

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

       1,907       1,887,930  

Group 1 Automotive, Inc., 5.25%, 12/15/23(d)

       264       270,600  

Hexion US Finance Corp., 6.63%, 04/15/20

       658       611,940  

JC Penney Corp., Inc.:

      

8.13%, 10/01/19

       218       228,628  

6.38%, 10/15/36

       554       373,950  

7.40%, 04/01/37

       230       165,600  

L Brands, Inc.:

      

6.88%, 11/01/35

       2,579       2,559,658  

6.75%, 07/01/36

       384       376,320  

Masaria Investments SAU, 5.00%, 09/15/24

     EUR       186       230,040  

Penske Automotive Group, Inc.:

      

5.75%, 10/01/22

     USD       729       749,048  

5.50%, 05/15/26

       346       345,135  

PetSmart, Inc., 5.88%, 06/01/25(d)

       897       699,660  

PVH Corp., 3.13%, 12/15/27

     EUR       542       657,658  

Shop Direct Funding PLC, 7.75%, 11/15/22

     GBP       440       563,511  
     

 

 

  
        12,318,615  
Technology Hardware, Storage & Peripherals — 1.0%  

Dell International LLC/EMC Corp.(d):

      

7.13%, 06/15/24

     USD       4,522       4,866,802  

6.02%, 06/15/26

       1,390       1,484,042  

Riverbed Technology, Inc., 8.88%, 03/01/23(d)

       1,221       1,144,688  

Western Digital Corp.:

      

7.38%, 04/01/23(d)

       1,534       1,667,458  

4.75%, 02/15/26

       6,121       6,166,907  
     

 

 

  
        15,329,897  
Textiles, Apparel & Luxury Goods — 0.1%  

3AB Optique Developpement SAS, 4.00%, 10/01/23

     EUR       196       238,534  

BiSoho SAS, 5.88%, 05/01/23

       108       140,838  

Levi Strauss & Co., 3.38%, 03/15/27

       225       282,980  

Springs Industries, Inc., 6.25%, 06/01/21

     USD       274       278,795  
     

 

 

  
        941,147  
Thrifts & Mortgage Finance — 0.2%  

Jerrold Finco PLC:

      

6.25%, 09/15/21

     GBP       225       316,107  

6.13%, 01/15/24

       545       754,338  

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

      

5.25%, 03/15/22

     USD       352       354,640  

5.25%, 10/01/25

       2,176       2,116,160  
     

 

 

  
        3,541,245  
Trading Companies & Distributors — 0.0%  

Ashtead Capital, Inc., 5.63%, 10/01/24(d)

       278       290,510  
     

 

 

  
Transportation Infrastructure — 0.1%  

Swissport Financing Sarl:

      

6.75%, 12/15/21

     EUR       227       287,361  

9.75%, 12/15/22

       100       127,800  

WFS Global Holding SAS, 9.50%, 07/15/22

       565       734,704  
     

 

 

  
        1,149,865  
 

 

 

SCHEDULES OF INVESTMENTS      59  

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Utilities — 0.0%  

ContourGlobal Power Holdings SA, 5.13%, 06/15/21

     EUR       300     $ 372,734  

Viridian Group FinanceCo PLC/Viridian Power and Energy, 4.75%, 09/15/24

     GBP       100       129,410  
     

 

 

  
        502,144  
Wireless Telecommunication Services — 5.7%  

CoreCivic, Inc., 4.75%, 10/15/27

     USD       1,135       1,083,925  

CyrusOne LP/CyrusOne Finance Corp.:

      

5.00%, 03/15/24

       3,400       3,425,500  

5.38%, 03/15/27

       325       325,813  

Digicel Group Ltd., 7.13%, 04/01/22(d)

       2,085       1,809,780  

Digicel Ltd., 6.00%, 04/15/21(d)

       5,495       5,282,069  

Equinix, Inc., 2.88%, 10/01/25

     EUR       420       507,594  

GEO Group, Inc.:

      

5.88%, 01/15/22

     USD       350       359,187  

5.13%, 04/01/23

       300       298,500  

5.88%, 10/15/24

       2,030       2,050,300  

6.00%, 04/15/26

       630       627,826  

Iron Mountain, Inc., 3.00%, 01/15/25

     EUR       150       182,122  

Matterhorn Telecom SA:

      

3.88%, 05/01/22

       635       786,321  

4.00%, 11/15/27

       405       483,586  

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

     USD       1,539       1,473,592  

SBA Communications Corp.:

      

4.00%, 10/01/22(d)

       2,644       2,591,120  

4.88%, 09/01/24

       2,489       2,457,887  

Sprint Capital Corp.:

      

6.90%, 05/01/19

       640       662,618  

8.75%, 03/15/32

       934       1,013,390  

Sprint Communications, Inc., 7.00%, 03/01/20(d)

       6,062       6,402,987  

Sprint Corp.:

      

7.88%, 09/15/23

       5,424       5,613,840  

7.13%, 06/15/24

       18,967       18,836,128  

7.63%, 02/15/25

       9,310       9,310,000  

7.63%, 03/01/26

       1,956       1,948,861  

T-Mobile USA, Inc.:

      

4.00%, 04/15/22

       1,337       1,337,000  

6.00%, 03/01/23

       2,169       2,255,760  

6.50%, 01/15/24

       2,638       2,763,305  

6.38%, 03/01/25

       994       1,048,670  

4.50%, 02/01/26

       2,486       2,439,387  

4.75%, 02/01/28

       3,741       3,648,897  

Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 8.25%, 10/15/23

       2,418       2,254,785  

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

       1,327       1,469,753  

Wind Tre SpA:

      

2.63%, 01/20/23

     EUR       170       188,406  

3.13%, 01/20/25

       210       228,659  

Xplornet Communications, Inc., (9.63% Cash or 10.63% PIK),
9.63%, 06/01/22(d)(g)

     USD       809       841,387  
     

 

 

  
        86,008,955  
     

 

 

  

Total Corporate Bonds — 114.9%
(Cost — $1,733,977,958)

 

     1,745,167,299  
     

 

 

  

Floating Rate Loan Interests (m) — 12.9%

 

Aerospace & Defense — 0.2%  

Accudyne Industries LLC, 2017 Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.29%, 08/18/24

       3,261       3,277,588  
Security          Par
(000)		     Value  
Aerospace & Defense (continued)  

Sequa Mezzanine Holdings LLC, 2nd Lien Term Loan, (3 mo. LIBOR + 9.00% 1.00% Floor), 4.69%, 04/28/22

     USD       385     $ 390,132  
     

 

 

  
        3,667,720  
Air Freight & Logistics — 0.3%  

CEVA Group PLC, Letter of Credit,
(3 mo. LIBOR + 5.50%), 4.40%, 03/19/21(b)

       916       897,512  

CEVA Intercompany BV, Dutch Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor), 9.44%, 03/19/21

       934       916,246  

CEVA Logistics Canada ULC, Canadian Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor), 5.15%, 03/19/21

       142       139,134  

CEVA Logistics US Holdings, Inc., Term Loan, (3 mo. LIBOR + 5.50% 1.00% Floor),
10.19%, 03/19/21

       1,329       1,304,604  

XPO Logistics, Inc., 2018 Term Loan B,
02/23/25(n)

       859       860,790  
   

 

 

  
        4,118,286  
Airlines — 0.1%  

Northwest Airlines, Inc.(b)(n):

      

Term Loan, 09/10/18

       1,078       1,070,358  

Term Loan, 09/10/18

       546       542,718  
   

 

 

  
        1,613,076  
Auto Components — 0.0%  

USI, Inc., 2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 6.19%, 05/16/24

       591       589,463  
   

 

 

  
Banks — 0.1%  

Banco Espirito Santo SA, 4.75%, 01/15/19(i)

     EUR       1,900       678,015  

Capri Finance LLC, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 4.40%, 11/01/24

     USD       657       656,593  
   

 

 

  
        1,334,608  
Capital Markets — 0.1%  

Horizon Holdings III SAS, EUR Term Loan B4,
10/29/22(n)

     EUR       1,000       1,217,609  
   

 

 

  
Chemicals — 0.4%  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50% 1.00% Floor), 4.94%, 06/28/24

     USD       345       348,667  

H.B. Fuller Co., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 6.50%, 10/20/24

       1,758       1,765,293  

Invictus(n):

      

1st Lien Term Loan, 01/24/25

       684       689,155  

2nd Lien Term Loan, 01/23/26

       374       376,573  

PQ Corp., 2018 Term Loan B, 02/08/25(n)

       447       449,180  

WR Grace & Co.(n):

      

Term Loan B1, 02/12/25

       738       738,634  

Term Loan B2, 02/12/25

       1,085       1,085,706  
     

 

 

  
        5,453,208  
Commercial Services & Supplies — 0.4%  

Asurion LLC, 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%), 4.40%, 08/04/25

       577       590,992  

Convergint Technologies LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 5.58%, 02/03/25

       355       354,215  

Silk Bidco AS, EUR Term Loan B, 02/07/25(n)

     EUR       1,000       1,219,805  

West Corp., 2017 Term Loan, (1 mo. LIBOR + 4.00% 1.00% Floor), 5.65%, 10/10/24

     USD       3,350       3,377,134  
     

 

 

  
        5,542,146  
 

 

 

60    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Construction & Engineering — 0.6%  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25% 1.00% Floor), 7.27%, 06/21/24

     USD       9,047     $ 9,110,233  
     

 

 

  
Diversified Consumer Services — 0.4%  

Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00% 1.00% Floor),
5.88%, 07/12/24

       404       405,333  

Gol LuxCo SA, 1st Lien Term Loan, (Fixed + 6.50%), 7.59%, 08/31/20(b)

       3,885       3,962,700  

Laureate Education, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.50% 1.00% Floor),
5.15%, 04/26/24

       1,364       1,371,517  
     

 

 

  
        5,739,550  
Diversified Financial Services — 0.1%  

Endo Luxembourg Finance Company I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%),
5.19%, 04/29/24

       1,880       1,875,080  
     

 

 

  
Diversified Telecommunication Services — 0.4%  

CenturyLink, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.40%, 01/31/25

       5,161       5,069,392  

Eircom Finco Sarl, EUR Term Loan B6,
04/19/24(n)

     EUR       1,000       1,220,818  

MTN Infrastructure TopCo, Inc., MTN Topco Term Loan, 11/17/24(n)

         380,079  
     

 

 

  
        6,670,289  
Electrical Equipment — 0.1%  

Generac Power Systems, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 2.00%), 4.47%, 05/31/23

       1,393       1,395,897  
     

 

 

  
Energy Equipment & Services — 0.6%  

Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.00% 1.00% Floor), 5.94%, 03/01/24

       1,779       1,784,924  

GrafTech Finance, Inc., 2018 Term Loan B, (OR + 3.50% 1.00% Floor), 3.69%,
02/12/25(b)

       1,147       1,145,566  

Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75% 1.00% Floor),
5.19%, 11/08/22

       3,921       4,072,939  

Weatherford International Ltd., Term Loan,
(1 mo. LIBOR + 2.30%), 5.65%, 07/13/20

       1,758       1,736,194  
     

 

 

  
        8,739,623  
Food Products — 0.2%  

Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50% 1.00% Floor), 4.66%, 10/10/23

       397       399,604  

Froneri International PLC, 2018 EUR Term Loan B, 3.74%, 01/22/25

     EUR       1,000       1,223,819  

JBS USA LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.50%), 4.83%, 10/30/22

     USD       1,790       1,781,050  
     

 

 

  
        3,404,473  
Health Care Equipment & Supplies — 0.5%  

DJO Finance LLC, 2015 Term Loan,
(1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 06/08/20

       3,308       3,275,923  

Immucor, Inc., Extended Term Loan B, (2 mo. LIBOR + 5.00% 1.00% Floor), 5.15%, 06/15/21

       4,335       4,411,354  

Ortho-Clinical Diagnostics SA, Term Loan B, (3 mo. LIBOR + 3.75% 1.00% Floor), 5.44%, 06/30/21

       238       239,320  
     

 

 

  
        7,926,597  
Security          Par
(000)		     Value  
Health Care Providers & Services — 0.2%  

Quorum Health Corporation, Term Loan B,
04/29/22(n)

     USD       895     $ 913,276  

Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75% 1.00% Floor),
4.40%, 02/06/24

       1,695       1,647,236  
     

 

 

  
        2,560,512  
Health Care Technology — 0.1%  

Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75% 1.00% Floor), 3.62%, 03/01/24

       1,747       1,750,057  

Quintiles IMS, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 3.69%, 03/07/24

       460       463,105  
     

 

 

  
        2,213,162  
Hotels, Restaurants & Leisure — 0.7%  

Bronco Midstream Funding LLC, Term Loan B, (3 mo. LIBOR + 4.00% 1.00% Floor),
7.27%, 08/15/20

       4,685       4,728,584  

Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%),
7.27%, 12/22/24

       2,931       2,948,967  

Cineworld Ltd., 2018 Term Loan, 02/18/25(n)

       1,630       1,627,555  

IRB Holding Corp., 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor),
6.63%, 02/05/25

       569       574,286  
     

 

 

  
        9,879,392  
Industrial Conglomerates — 0.2%  

Cortes NP Acquisition Corp., 2017 Term Loan B, (1 mo. LIBOR + 4.00% 1.00% Floor),
4.65%, 11/30/23

       1,986       1,995,363  

Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00% 1.00% Floor), 4.65%, 11/28/21

       1,163       1,176,729  
     

 

 

  
        3,172,092  
Insurance — 0.3%  

Genworth Financial, Inc., Term Loan, 02/22/23(n)

       800       810,000  

Sedgwick Claims Management Services, Inc.(n):

      

1st Lien Term Loan, 03/01/21

       2,406       2,404,635  

2nd Lien Term Loan, 02/28/22

       887       890,885  
     

 

 

  
        4,105,520  
IT Services — 0.3%  

Access CIG LLC(n):

      

2018 1st Lien Term Loan, 02/15/25

       376       378,820  

2018 2nd Lien Delayed Draw Term loan, 02/13/26

       24       24,098  

2018 2nd Lien Term Loan, 02/02/26

       129       129,524  

2018 Delayed Draw Term Loan, 02/27/25

       78       78,884  

Altran Technologies SA, EUR 1st Lien Term Loan B, 01/17/25(n)

     EUR       1,000       1,220,378  

Peak 10 Holding Corp.:

      

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50% 1.00% Floor), 5.44%, 08/01/24

     USD       995       996,497  

2nd Lien Term Loan, (3 mo. LIBOR + 7.25% 1.00% Floor), 5.44%, 08/01/25

       420       421,470  

WEX, Inc., 2017 Term Loan B2, (3 mo. LIBOR + 2.25%), 5.65%, 06/30/23

       638       641,988  
     

 

 

  
        3,891,659  
Life Sciences Tools & Services — 0.0%  

Albany Molecular Research, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 08/30/24

       733       736,246  
     

 

 

  
 

 

 

SCHEDULES OF INVESTMENTS      61  

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Machinery — 0.0%  

Hayward Industries, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.08%, 08/05/24

     USD       371     $ 372,461  
     

 

 

  
Media — 1.8%  

Charter Communications Operating LLC, 2017 Term Loan A2, 7.99%, 03/31/23

       8,839       8,827,951  

CSC Holdings LLC, 2018 Term Loan B, (3 mo. LIBOR + 2.50%), 8.40%, 01/25/26

       720       720,598  

Intelsat Jackson Holdings SA:

      

2017 Term Loan B3, (3 mo. LIBOR + 3.75% 1.00% Floor), 6.65%, 11/27/23

       559       554,310  

2017 Term Loan B4, (3 mo. LIBOR + 4.50% 1.00% Floor), 4.44%, 01/14/24

       1,478       1,504,914  

2017 Term Loan B5, (Fixed + 6.62%),
6.62%, 01/14/24

       10,381       10,412,233  

Lamar Media Corp., 2018 Term Loan B, 02/16/25(n)

       626       629,130  

PSAV Holdings LLC(n):

      

2018 1st Lien Term Loan, 02/21/25

       823       825,057  

2018 2nd Lien Term Loan, 08/22/25(b)

       666       667,665  

Tele Columbus AG, 2017 EUR Term Loan A, 10/15/24(n)

       1,000       1,221,013  

Unitymedia Finance LLC, USD Term Loan D, (1 mo. LIBOR + 2.25%), 4.69%, 01/15/26

       710       709,155  

Virgin Media Bristol LLC, 2017 Term Loan, (1 mo. LIBOR + 2.50%), 3.95%, 01/15/26

       1,079       1,082,726  
     

 

 

  
        27,154,752  
Multiline Retail — 0.2%  

EG Group Ltd.(n):

      

2018 EUR Delayed Draw Term Loan B, 01/18/25

     EUR       336       409,382  

2018 EUR Term Loan B, 01/18/25

       511       620,911  

2018 EUR Term Loan B2, 01/31/25

       153       185,896  

LSF9 Robin Investments Ltd., EUR 2017 Term Loan B4, (EURIBOR + 3.00%),
3.74%, 12/14/23

       1,000       1,218,854  

Neiman Marcus Group, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor),
2.68%, 10/25/20

     USD       1,419       1,200,373  
     

 

 

  
        3,635,416  
Oil, Gas & Consumable Fuels — 1.2%  

BCP Renaissance Parent LLC, 2017 Term Loan B, (3 mo. LIBOR + 4.00% 1.00% Floor),
6.34%, 10/31/24

       1,285       1,295,520  

California Resources Corp., 2017 1st Lien Term Loan, (1 mo. LIBOR + 4.75%),
4.40%, 12/31/22

       4,018       4,063,202  

Chesapeake Energy Corp., Term Loan, (3 mo. LIBOR + 7.50% 1.00% Floor),
7.65%, 08/23/21

       7,832       8,338,968  

CONSOL Energy, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 6.00% 1.00% Floor),
4.57%, 10/26/22

       176       179,814  

Lucid Energy Group II LLC, 2018 1st Lien Term Loan, 3.00%, 02/17/25

       1,063       1,063,670  

Medallion Midland Acquisition LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25% 1.00% Floor), 4.90%, 10/30/24(b)

       969       971,422  

Vine Oil & Gas LP, Term Loan B, (1 mo. LIBOR + 6.87% 1.00% Floor), 4.09%, 12/12/21(b)

       1,753       1,753,000  
     

 

 

  
        17,665,596  
Professional Services — 0.0%  

Information Resources, Inc., 1st Lien Term Loan, (OR + 4.25% 1.00% Floor), 8.44%, 01/18/24

       504       507,185  
     

 

 

  
Security          Par
(000)		     Value  
Software — 1.3%  

Applied Systems, Inc.:

      

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor), 6.01%, 09/19/24

     USD       153     $ 153,760  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00% 1.00% Floor), 5.99%, 09/19/25

       186       191,812  

BMC Software Finance, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%),
6.50%, 09/10/22

       2,570       2,575,917  

Cypress Intermediate Holdings III, Inc.:

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00% 1.00% Floor), 4.65%, 04/27/24

       764       766,023  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75% 1.00% Floor), 5.02%, 04/27/25

       212       215,286  

Digicel International Finance Ltd., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 5.02%, 05/28/24

       616       617,029  

Kronos, Inc., 2nd Lien Term Loan, (3 mo. LIBOR + 8.25% 1.00% Floor), 4.10%, 11/01/24

       3,634       3,728,379  

McAfee LLC, 2017 Term Loan B, (1 mo. LIBOR + 4.50% 1.00% Floor), 6.15%, 09/30/24

       1,794       1,802,829  

Mitchell International, Inc.:

      

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25% 1.00% Floor), 4.94%, 11/29/24

       943       945,100  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 8.94%, 11/20/25

       920       925,520  

SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, 2/25/28(n)

       1,802       1,803,529  

SS&C Technologies Inc., 2018 Term Loan B3, 2/25/28(n)

       5,052       5,055,688  

Tempo Acquisition LLC, Term Loan,
(1 mo. LIBOR + 3.00%), 3.84%, 05/01/24

       642       643,722  
     

 

 

  
        19,424,594  
Specialty Retail — 0.1%  

Belron Finance US LLC, Term Loan B, (3 mo. LIBOR + 2.50%), 4.40%, 11/07/24

       798       801,990  
     

 

 

  
Textiles, Apparel & Luxury Goods — 0.3%  

Ascend Performance Materials Operations LLC, Term Loan B, (3 mo. LIBOR + 5.25% 1.00% Floor), 5.87%, 08/12/22(b)

       5,268       5,287,758  
     

 

 

  
Trading Companies & Distributors — 0.1%  

Beacon Roofing Supply, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 5.02%, 01/02/25

       858       861,578  
     

 

 

  
Transportation — 0.0%  

Direct ChassisLink, Inc., 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%), 7.65%, 06/15/23(b)

       300       304,500  
     

 

 

  
Utilities — 0.0%  

ExGen Renewables IV LLC, Term Loan B, (3 mo. LIBOR + 3.00% 1.00% Floor), 5.19%, 11/28/24

       510       514,183  
     

 

 

  
Wireless Telecommunication Services — 1.6%  

Ligado Networks LLC, 2015 2nd Lien Term Loan, 12/07/20(n)

       38,881       21,523,539  

Syniverse Holdings, Inc., 2018 Term Loan, 02/08/23(n)

       679       684,303  

VICI Properties 1 LLC, Replacement Term Loan B, (1 mo. LIBOR + 2.00%), 8.52%, 12/20/24

       1,709       1,716,422  
     

 

 

  
        23,924,264  
     

 

 

  

Total Floating Rate Loan Interests — 12.9%
(Cost — $210,803,679)

 

     195,410,718  
     

 

 

  
 

 

 

62    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Shares/Par
(000)/
Beneficial
Interest (000)		     Value  

Investment Companies — 1.9%

 

Capital Markets — 1.5%  

iShares iBoxx USD High Yield Corporate Bond ETF(r)

       262,556     $ 22,627,076  
     

 

 

  
Diversified Financial Services — 0.2%  

Financial Select Sector SPDR Fund

       110,107       3,178,789  
     

 

 

  
Energy Equipment & Services — 0.2%  

SPDR S&P Oil & Gas Exploration & Production ETF

       79,711       2,635,246  
     

 

 

  

Total Investment Companies — 1.9%
(Cost — $29,319,585)

 

     28,441,111  
     

 

 

  

Non-Agency Mortgage-Backed Securities — 0.1%

 

Commercial Mortgage-Backed Securities — 0.1%  

GAHR Commercial Mortgage Trust NRF, Series 2015-NRF, Class FFX, 3.38%, 12/15/34(d)(e)

     USD       1,515       1,489,485  
     

 

 

  

Total Non-Agency Mortgage-Backed Securities — 0.1%
(Cost — $ 1,464,052)

 

     1,489,485  
     

 

 

  

Other Interests (o) — 0.0%

 

United States — 0.0%  

Lear Corp. Escrow(b)

       1,250       12  
     

 

 

  

Total Other Interests — 0.0%
(Cost — $—)

 

     12  
     

 

 

  

Preferred Securities — 7.8%

 

Capital Trusts — 5.5%  
Aerospace — 0.0%  

Telefonica Europe BV, 2.63%(e)(j)

     EUR       300       360,510  
     

 

 

  
Auto Components — 0.2%  

General Motors Financial Co., Inc., Series A, 5.75%(e)(j)

     USD       2.167       2,197,121  
     

 

 

  
Banks — 1.5%  

ABN AMRO Bank NV(j):

      

4.75%(e)

     EUR       200       257,725  

5.75%(h)

       300       401,685  

Allied Irish Banks PLC, 7.38%(h)(j)

       210       288,545  

Banco Bilbao Vizcaya Argentaria SA, 8.88%(h)(j)

     EUR       200       292,116  

Banco Santander SA, 6.25%(h)(j)

       400       511,180  

Bankia SA, 6.00%(h)(j)

       200       261,690  

CIT Group, Inc., Series A, 5.80%(h)(j)

     USD       1,647       1,663,470  

Citigroup, Inc.(h)(j):

      

5.95%

       1,405       1,457,688  

Series O, 5.88%

       2,405       2,489,175  

Series P, 5.95%

       2,442       2,538,459  

Series Q, 5.95%

       1,165       1,206,707  

Series R, 6.13%

       615       649,981  

Cooperatieve Rabobank UA(h)(j):

      

5.50%

     EUR       200       265,960  

6.63%

       400       562,571  

Danske Bank A/S, 5.75%(h)(j)

       200       263,859  

Erste Group Bank AG, 6.50%(h)(j)

       400       566,690  

Hongkong & Shanghai Banking Corp. Ltd., Series 3H, 2.00%(c)(j)

     USD       400       368,944  
Security         

Par
(000)

     Value  
Banks (continued)  

HSBC Holdings PLC(h)(j):

      

6.00%

     USD       2,298     $ 2,347,407  

6.38%

       210       221,288  

Intesa Sanpaolo SpA, 7.00%(h)(j)

     EUR       375       508,302  

KBC Group NV, 5.63%(h)(j)

       200       254,675  

National Westminster Bank PLC, Series C,
2.25%(e)(j)

     USD       200       182,000  

Swedbank Hypotek AB, 6.00%(h)(j)

       200       206,490  

Wells Fargo & Co.(h)(j):

      

Series S, 5.90%

       1,730       1,805,688  

Series U, 5.88%

       2,055       2,184,732  
     

 

 

  
        21,757,027  
Capital Markets — 0.7%  

Goldman Sachs Group, Inc., Series P,
5.00%(e)(j)

       5,140       4,999,267  

Morgan Stanley(h)(j):

      

Series H, 5.45%

       3,309       3,383,452  

Series J, 5.55%

       440       455,972  

UBS Group AG (h)(j):

      

5.75%

     EUR       800       1,096,669  

7.00%

     USD       425       468,435  
     

 

 

  
        10,403,795  
Chemicals — 0.1%  

Solvay Finance SA, 5.12%(h)(j)

     EUR       730       995,246  
   

 

 

  
Diversified Financial Services — 2.4%  

ATF Netherlands BV, 3.75%(h)(j)

       200       256,778  

Banco Santander SA, 6.75%(h)(j)

       300       418,539  

Bank of America Corp.(h)(j):

      

Series AA, 6.10%

     USD       5,271       5,587,260  

Series V, 5.13%

       2,205       2,229,806  

Series X, 6.25%

       2,874       3,090,125  

Series Z, 6.50%

       1,816       1,991,153  

Barclays PLC, 7.25%(h)(j)

     GBP       680       1,021,576  

BNP Paribas SA, 6.13%(h)(j)

     EUR       220       309,946  

Credit Agricole SA, 6.50%(h)(j)

       600       831,362  

Credit Suisse Group AG, 6.25%(h)(j)

     USD       300       315,660  

HBOS Capital Funding LP, 6.85%(j)

       800       816,128  

JPMorgan Chase & Co.(h)(j):

      

Series Q, 5.15%

     USD       850       855,695  

Series S, 6.75%

       5,324       5,883,020  

Series U, 6.13%

       4,228       4,468,996  

Series V, 5.00%

       3,075       3,090,375  

Series X, 6.10%

       2,425       2,574,138  

Royal Bank of Scotland Group PLC (h)(j):

      

7.50%

       200       209,680  

8.63%

       982       1,085,110  

Societe Generale SA, 8.88%(h)(j)

     GBP       200       279,621  

UBS Group Funding Switzerland AG, 5.00%(e)(j)

     USD       375       361,682  

UniCredit SpA(h)(j):

      

6.75%

     EUR       200       268,581  

9.25%

       425       633,218  
     

 

 

  
        36,578,449  
Diversified Telecommunication Services — 0.4%  

Koninklijke KPN NV(h):

      

6.13%(j)

       561       704,987  

6.88%

     GBP       230       342,352  

SoftBank Group Corp. (h)(j)

     USD       706       681,290  
 

 

 

SCHEDULES OF INVESTMENTS      63  

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Diversified Telecommunication Services (continued)  

Telefonica Europe BV(h)(j):

      

3.75%

     EUR       200       256,932  

4.20%

       1,500       1,930,541  

6.50%

       600       756,200  

6.75%

     GBP       200       303,782  

7.63%

     EUR       300       439,611  
     

 

 

  
        5,415,695  
Electric Utilities — 0.1%  

Enel SpA(h):

      

6.50%

       489       627,489  

7.75%

     GBP       105       164,581  

Origin Energy Finance Ltd.,
4.00%(h)

       410       523,960  

RWE AG, 2.75%(h)

       100       126,118  
     

 

 

  
        1,442,148  
Electronic Equipment, Instruments & Components — 0.0%  

Belden, Inc., 4.13%

       200       258,591  
   

 

 

  
Insurance — 0.0%  

Achmea BV, 4.25%(h)(j)

       200       257,687  

Groupama SA, 6.38%(h)(j)

       200       287,616  
     

 

 

  
        545,303  
Media — 0.0%  

NBCUniversal Enterprise, Inc.,
5.25%(d)(j)

     USD       400       412,000  
   

 

 

  
Oil, Gas & Consumable Fuels — 0.1%  

Gas Natural Fenosa Finance BV(j):

   

3.38%(e)

     EUR       500       621,993  

4.13%(h)

       100       130,692  

Repsol International Finance BV(h):

 

    

3.88%(j)

       300       392,077  

4.50%

       678       913,332  
   

 

 

  
        2,058,094  
Real Estate — 0.0%  

AT Securities BV, 5.25%(h)(j)

     USD       500       491,847  
   

 

 

  
Real Estate Management & Development — 0.0%  

Fastighets AB Balder, Series .,
3.00%(e)

     EUR       100       120,296  
   

 

 

  

Total Capital Trusts — 5.5%
(Cost — $78,860,392)

 

     83,036,122  
   

 

 

  
            Shares         
Preferred Stocks — 1.9%  
Auto Components — 0.2%  

UCI International, Inc., 0.00%

       164,729       2,985,713  
   

 

 

  
Diversified Financial Services — 0.0%  

Concrete Investments II, 0.00%(b)

       4,997       164,601  
   

 

 

  
Hotels, Restaurants & Leisure — 1.6%  

Stars Group, Inc., 0.00%(b)(k)

       15,609       24,193,220  
   

 

 

  
Machinery — 0.1%  

Rexnord Corp., Series A, 5.75%(k)

       21,600       1,362,528  
   

 

 

  
Wireless Telecommunication Services — 0.0%  

CF-B L2 (D) LLC, (Acquired 04/08/15, cost $642,898),
0.00%(p)

       649,556       558,164  
   

 

 

  

Total Preferred Stocks — 1.9%
(Cost — $23,828,183)

 

     29,264,226  
   

 

 

  
Security         

Shares

     Value  
Trust Preferred                  
Diversified Financial Services — 0.4%  

GMAC Capital Trust I, Series 2, 7.10% 2/15/2040(e)

       256,246       6,611,147  
     

 

 

  

Total Trust Preferred — 0.4%
(Cost — $6,729,957)

 

     6,611,147  
     

 

 

  

Total Preferred Securities — 7.8%
(Cost — $109,418,532)

 

     118,911,495  
     

 

 

  

Warrants — 0.0%

 

Metals & Mining — 0.0%  

Peninsula Energy Ltd.
(1 Share for 1 Warrant, Expires 12/31/18, Strike Price AUD 0.05 )

       515,378       2,004  
     

 

 

  
Software — 0.0%  

HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)(b)

       6,494       —  
     

 

 

  

Total Warrants — 0.0%
(Cost — $5,592)

 

     2,004  
     

 

 

  

Total Long-Term Investments — 143.8%
(Cost — $2,224,693,250)

 

     2,184,218,911  
     

 

 

  

Options Purchased — 0.0%
(Cost — $67,640)

 

     1,596  
     

 

 

  

Total Investments — 143.8%
(Cost — $2,224,760,890)

 

     2,184,220,507  

Liabilities in Excess of Other Assets — (43.8)%

 

     (665,410,911 ) 
     

 

 

  

Net Assets Applicable to Common Shares — 100.0%

 

   $ 1,518,809,596  
     

 

 

  

 

(a)  Non-income producing security.
(b)  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.
(c)  Floating rate security. Rate shown is the rate in effect as of period end.
(d)  Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(e)  Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.
(f)  When-issued security.
(g)  Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.
(h)  Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.
(i)  Issuer filed for bankruptcy and/or is in default.
(j)  Perpetual security with no stated maturity date.
(k)  Convertible security.
(l)  Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.
(m)  Variable rate security. Rate shown is the rate in effect as of period end.
(n)  Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.
(o)  Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(p)  Restricted security as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $558,164 and an original cost of $642,898, which was less than 0.05% of its net assets.
(q)  All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly-owned subsidiary.
 

 

 

64    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

(r)  During the six month ended February 28, 2018, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, and/or related parties of the Trust were as follows:

 

Affiliate Persons and/or Related Parties    Shares
Held at
08/31/17		      Shares
Purchased		      Shares
Sold		      Shares
Held at
02/28/18		      Value at
02/28/18		      Income      Net
Realized
Gain (Loss) (a)		      Change in
Unrealized
Appreciation
(Depreciation)		  

BlackRock Liquidity Funds, T-Fund, Institutional Class

      —        —        —        —      $ —      $ 13,693      $ 10      $ —  

iShares iBoxx USD High Yield Corporate Bond ETF

      349,667        85,000        (172,111 )       262,556        22,627,076        625,592        (186,055 )       (458,974 ) 
              

 

 

     

 

 

     

 

 

     

 

 

  
   $ 22,627,076      $ 639,285      $ (186,045 )     $ (458,974 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a)  Includes net capital gain distributions, if applicable.  

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

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts		        Expiration
Date		        Notional
Amount (000)		        Value/
Unrealized
Appreciation
(Depreciation)		  

Long Contracts:

                  

Euro Stoxx 50 Index

      4          03/16/18        $ 168        $ 1,043  

Euro Stoxx 600 Index

      6          03/16/18          68          1,368  
                 

 

 

  
                    2,411  
                 

 

 

  

Short Contracts:

                  

10-Year U.S. Treasury Note

      103          06/20/18          12,365          21,473  

Long Gilt Future

      2          06/27/18          333          (57 ) 
                 

 

 

  
                    21,416  
                 

 

 

  
                  $ 23,827  
                 

 

 

  

Forward Foreign Currency Exchange Contracts

 

Currency Purchased        Currency Sold        Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)		  
USD      1,104,158        AUD      1,364,000        Nomura International PLC        03/05/18        $ 44,739  
USD      868,897        CAD      1,077,000        State Street Bank and Trust Co.        03/05/18          29,548  
USD      50,895,708        EUR      40,760,000        Barclays Bank PLC        03/05/18          1,159,244  
USD      719,309        EUR      575,000        State Street Bank and Trust Co.        03/05/18          17,679  
USD      50,588,581        EUR      40,760,000        UBS AG        03/05/18          852,117  
USD      13,809,544        GBP      9,731,000        Barclays Bank PLC        03/05/18          411,673  
USD      240,274        GBP      173,000        Nomura International PLC        03/05/18          2,083  
USD      1,022,040        AUD      1,309,000        National Australia Bank Ltd.        04/04/18          5,297  
USD      95,598,260        EUR      78,001,000        Bank of America N.A.        04/04/18          192,196  
USD      12,682,288        GBP      9,167,000        Toronto-Dominion Bank        04/04/18          42,114  
                         

 

 

  
                            2,756,690  
                         

 

 

  
EUR      3,600,000        USD      4,422,315        State Street Bank and Trust Co.        03/05/18          (29,497 ) 
GBP      587,000        USD      819,450        State Street Bank and Trust Co.        03/05/18          (11,255 ) 
                         

 

 

  
                            (40,752 ) 
                         

 

 

  
        $ 2,715,938  
                         

 

 

  

 

 

SCHEDULES OF INVESTMENTS      65  

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Exchange-Traded Options Purchased

 

Description    Number of
Contracts		        Expiration
Date		       

Exercise

Price

        Notional
Amount (000)		        Value  

Call

                           

Euro Stoxx 50 Index

      30          03/16/18        EUR     3,700.00        EUR     10,300        $ 165  

Euro Stoxx Banks

      67          03/16/18        EUR     142.50        EUR     900          1,431  
                          

 

 

  
                           $ 1,596  
                          

 

 

  

OTC Options Purchased

 

Description    Counterparty    Number of
Contracts		      Expiration
Date		        Exercise
Price		        Notional
Amount (000)		      Value  

Call

 

Marsico Parent Superholdco LLC

    Goldman Sachs & Co.      39        12/14/19        USD     942.86        USD     —      $ —  
                         

 

 

  

Centrally Cleared Credit Default Swaps — Sell Protection

 

Reference Obligation/Index    Financing
Rate Received
by the Trust		     Payment
Frequency		      Termination
Date		      Credit
Rating  (a)		      Notional
Amount (000) (b)		      Value      Upfront
Premium
Paid
(Received)		      Unrealized
Appreciation
(Depreciation)		  

Chesapeake Energy Corp.

      5.00 %      Quarterly        12/20/21        CCC        USD        425      $ (2,711 )     $ (13,538 )     $ 10,827  

Markit iTraxx XO, Series 28, Version 1

      5.00 %      Quarterly        12/20/22        BB-        EUR        1,320        182,042        166,390        15,652  

Markit CDX North America High Yield Index, Series 29, Version 1

      5.00 %      Quarterly        12/20/22        N/R        USD        23,883        1,851,843        1,893,374        (41,531 ) 
                   

 

 

     

 

 

     

 

 

  
                    $ 2,031,174      $ 2,046,226      $ (15,052 ) 
                   

 

 

     

 

 

     

 

 

  

 

  (a)  Using S&P’s rating of the issuer or the underlying securities of the index, as applicable.  
  (b)  The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.  

OTC Credit Default Swaps — Sell Protection

 

Reference Obligation/Index    Financing
Rate Received
by the Trust		     Payment
Frequency		     Counterparty   Termination
Date		     Credit
Rating  (a)		     Notional
Amount
(000) (b)		     Value     Upfront
Premium
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		  

Jaguar Land Rover Automotive PLC

      5.00 %      Quarterly     Credit Suisse International     06/20/22       BB+       EUR       150     $ 28,853     $ 25,560     $ 3,293  

Saipem Finance International BV

      5.00       Quarterly     Credit Suisse International     06/20/22       BB+       EUR       200       36,677       12,723       23,954  

Casino Guichard Perrachon SA

      1.00       Quarterly     J.P. Morgan Chase Bank N.A.     12/20/22       BB+       EUR       150       (5,705 )      (6,261 )      556  

Fiat Chrysler Automobiles NV

      5.00       Quarterly     Citibank N.A.     12/20/22       BB+       EUR       100       21,496       20,786       710  

Jaguar Land Rover Automotive PLC

      5.00       Quarterly     Barclays Bank PLC     12/20/22       BB+       EUR       150       30,182       29,113       1,069  

Telecom Italia SpA/Milano

      1.00       Quarterly     Citibank N.A.     12/20/22       BB+       EUR       170       (2,382 )      (3,383 )      1,001  
                

 

 

    

 

 

    

 

 

  
                 $ 109,121     $ 78,538     $ 30,583  
                

 

 

    

 

 

    

 

 

  

 

  (a)  Using S&P’s rating of the issuer or the underlying securities of the index, as applicable.  
  (b)  The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.  

 

 

66    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

OTC Total Return Swaps

 

Paid by the Trust

   Received by the Trust   Counterparty   Effective
Date		     Termination
Date		      Notional
Amount/
Contract
Amount (000)		     Value     Upfront
Premium
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		  
Reference   Frequency   Rate     Frequency               

iShares iBoxx $

High Yield Corporate

Bond ETF

   Monthly     1-Month LIBOR     Monthly   Goldman Sachs International     N/A       03/01/18        USD        92     $ (53,969 )    $ —     $ (53,969 ) 

iBoxx USD Liquid

High Yield Index

   Quarterly     3-Month LIBOR     Quarterly   Bank of America N.A.     N/A       03/20/18        USD        5,800       (23,957 )      —       (23,957 ) 

iBoxx USD Liquid

High Yield Index

   Quarterly     3-Month LIBOR     Quarterly   Bank of America N.A.     N/A       03/20/18        USD        10,000       43,248       —       43,248  

iBoxx USD Liquid

High Yield Index

   Quarterly     3-Month LIBOR     Quarterly   Morgan Stanley & Co. International PLC     N/A       03/20/18        USD        3,600       19,668       —       19,668  

iBoxx USD Liquid

High Yield Index

   Quarterly     3-Month LIBOR     Quarterly   Goldman Sachs International     N/A       06/20/18        USD        8,900       97,052       (22,102 )      119,154  

iBoxx USD Liquid

High Yield Index

   Quarterly     3-Month LIBOR     Quarterly   Morgan Stanley & Co. International PLC     N/A       06/20/18        USD        8,000       (33,044 )      —       (33,044 ) 

iBoxx USD Liquid

High Yield Index

   Quarterly     3-Month LIBOR     Quarterly   Goldman Sachs International     N/A       09/20/18        USD        9,800       106,866       (21,682 )      128,548  

iBoxx USD Liquid

High Yield Index

   Quarterly     3-Month LIBOR     Quarterly   Morgan Stanley & Co. International PLC     N/A       09/20/18        USD        4,000       9,732       (9,031 )      18,763  
                   

 

 

    

 

 

    

 

 

  
                    $ 165,596     $ (52,815 )    $ 218,411  
                   

 

 

    

 

 

    

 

 

  

Balances Reported in the Consolidated Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Derivatives

 

      Swap Premiums Paid        Swap Premiums
Received		        Unrealized Appreciation        Unrealized Depreciation  

Centrally Cleared Swaps(a)

    $ 2,059,764        $ (13,538 )       $ 26,479        $ (41,531 ) 

OTC Derivatives

      88,182          (62,459 )         359,964          (110,970 ) 
  (a) Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.  

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Consolidated Statements of Assets and Liabilities were as follows:

 

      Commodity
Contracts		      Credit
Contracts		      Equity
Contracts		      Foreign
Currency
Exchange
Contracts		      Interest
Rate
Contracts		      Other
Contracts		      Total  

Assets — Derivative Financial Instruments

                     

Futures contracts

                     

Net unrealized appreciation(a)

    $ —      $ —      $ 2,411      $ —      $ 21,473      $ —      $ 23,884  

Forward foreign currency exchange contracts

                     

Unrealized appreciation on forward foreign currency exchange contracts

      —        —        —        2,756,690        —        —        2,756,690  

Options purchased

                     

Investments at value — unaffiliated(b)

      —        —        1,596        —        —        —        1,596  

Swaps — centrally cleared

                     

Net unrealized appreciation(a)

      —        26,479        —        —        —        —        26,479  

Swaps — OTC

                     

Unrealized appreciation on OTC swaps; Swap premiums paid

      —        118,765        —        —        329,381        —        448,146  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 145,244      $ 4,007      $ 2,756,690      $ 350,854      $ —        3,256,795  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
Liabilities — Derivative Financial Instruments                                                 

Futures contracts

                     

Net unrealized depreciation(a)

    $ —      $ —      $ —      $ —      $ 57      $ —      $ 57  

Forward foreign currency exchange contracts

                     

Unrealized depreciation on forward foreign currency exchange contracts

      —        —        —        40,752        —        —        40,752  

Swaps — centrally cleared

                     

Net unrealized depreciation(a)

      —        41,531        —        —        —        —        41,531  

Swaps — OTC

                     

Unrealized depreciation on OTC swaps; Swap premiums received

      —        9,644        53,969        —        109,816        —        173,429  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 51,175      $ 53,969      $ 40,752      $ 109,873      $ —      $ 255,769  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities.  
  (b) Includes options purchased at value as reported in the Consolidated Schedule of Investments.  

 

 

SCHEDULES OF INVESTMENTS      67  

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

For the six month ended February 28, 2018, the effect of derivative financial instruments in the Consolidated Statements of Operations was as follows:

 

      Commodity
Contracts		      Credit
Contracts		      Equity
Contracts		      Foreign
Currency
Exchange
Contracts		      Interest
Rate
Contracts		      Other
Contracts		      Total  

Net Realized Gain (Loss) from:

                     

Futures contracts

    $ —      $ —      $ 133,804      $ —      $ 750,290      $ —      $ 884,094  

Forward foreign currency exchange contracts

      —        —        —        (5,376,710 )       —        —        (5,376,710 ) 

Options purchased(a)

      —        (35,500 )       (743,815 )       —        108,150        —        (671,165 ) 

Options written

      —        41,000        327,794        —        (89,730 )       —        279,064  

Swaps

      —        876,820        42,700        —        194,955        —        1,114,475  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ 882,320      $ (239,517 )     $ (5,376,710 )     $ 963,665      $ —      $ (3,770,242 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
Net Change in Unrealized Appreciation (Depreciation) on:                                            

Futures contracts

    $ —      $ —      $ 2,411      $ —      $ 49,739      $ —      $ 52,150  

Forward foreign currency exchange contracts

      —        —        —        3,765,354        —        —        3,765,354  

Options purchased(b)

      —        24,909        133,338        —        —        —        158,247  

Options written

      —        (35,453 )       (104,342 )       —        —        —        (139,795 ) 

Swaps

      —        (354,602 )       (40,051 )       —        (171,212 )       —        (565,865 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ (365,146 )     $ (8,644 )     $ 3,765,354      $ (121,473 )     $ —      $ 3,270,091  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a)  Options purchased are included in net realized gain (loss) from investments.  
  (b) Options purchased are included in net change in unrealized appreciation (depreciation) on investments.  

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

         

Average notional value of contracts — long

    $ 117,815  

Average notional value of contracts — short

    $ 14,735,359  

Forward foreign currency exchange contracts:

   

Average amounts purchased — in USD

    $ 245,025,393  

Average amounts sold — in USD

    $ 3,484,175  

Options:

   

Average value of option contracts purchased

    $ 27,199  

Average value of option contracts written

    $ 7,038  

Average notional value of swaption contracts purchased

    $ 9,000,000  

Average notional value of swaption contracts written

    $ 18,000,000  

Credit default swaps:

   

Average notional value — sell protection

    $ 13,788,206  

Interest rate swaps:

   

Average notional value — receives fixed rate

    $ 212,500  

Total return swaps:

   

Average notional amount

    $ 63,670,252  

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

 

      Assets        Liabilities  

Futures contracts

    $ —        $ 28,059  

Forward foreign currency exchange contracts

      2,756,690          40,752  

Options(a)

      1,596          —  

Swaps — Centrally cleared

      —          53,869  

Swaps — OTC(b)

      448,146          173,429  
  

 

 

       

 

 

  

Total derivative assets and liabilities in the Consolidated Statements of Assets and Liabilities

    $ 3,206,432        $ 296,109  

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

      (1,596 )         (81,928 ) 
  

 

 

       

 

 

  

Total derivative assets and liabilities subject to an MNA

    $ 3,204,836        $ 214,181  
  

 

 

       

 

 

  

 

  (a)  Includes options purchased at value which is included in Investments at value — unaffiliated in the Consolidated Statements of Assets and Liabilities and reported in the Consolidated Schedule of Investments.  
  (b)  Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Consolidated Statements of Assets and Liabilities.  

 

 

68    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

The following table presents the Trust’s derivative assets (and liabilities) by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Trust:

 

Counterparty    Derivative
Assets
Subject to
an MNA by
Counterparty		        Derivatives
Available
for Offset (a)		        Non-cash
Collateral
Received		        Cash
Collateral
Received (b)		        Net Amount
of Derivative
Assets  (c)(d)		  

Bank of America N.A.

    $ 235,444        $ (23,957 )       $ —        $ —        $ 211,487  

Barclays Bank PLC

      1,601,099          —          —          —          1,601,099  

Citibank N.A.

      22,497          (3,383 )         —          (19,114 )         —  

Credit Suisse International

      65,530          —          —          —          65,530  

Goldman Sachs International

      247,702          (97,753 )         —          —          149,949  

J.P. Morgan Chase Bank N.A.

      556          (556 )         —          —          —  

Morgan Stanley & Co. International PLC

      38,431          (38,431 )         —          —          —  

National Australia Bank Ltd.

      5,297          —          —          —          5,297  

Nomura International PLC

      46,822          —          —          —          46,822  

State Street Bank and Trust Co.

      47,227          (40,752 )         —          —          6,475  

Toronto-Dominion Bank

      42,114          —          —          —          42,114  

UBS AG

      852,117          —          —          —          852,117  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total

    $ 3,204,836        $ (204,832 )       $ —        $ (19,114 )       $ 2,980,890  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

Counterparty    Derivative
Liabilities
Subject to
an MNA by
Counterparty		        Derivatives
Available
for Offset (a)		        Non-cash
Collateral
Pledged		        Cash
Collateral
Pledged		        Net Amount
of Derivative
Liabilities  (d)(e)		  

Bank of America N.A.

    $ 23,957        $ (23,957 )       $ —        $ —        $ —  

Citibank N.A.

      3,383          (3,383 )         —          —          —  

Goldman Sachs International

      97,753          (97,753 )         —          —          —  

J.P. Morgan Chase Bank N.A.

      6,261          (556 )         —               5,705  

Morgan Stanley & Co. International PLC

      42,075          (38,431 )         —          —          3,644  

State Street Bank and Trust Co.

      40,752          (40,752 )         —          —          —  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total

    $ 214,181        $ (204,832 )       $ —        $ —        $ 9,349  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a)  The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA.  
  (b)  Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.  
  (c)  Net amount represents the net amount receivable from the counterparty in the event of default.  
  (d)  Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.  
  (e)  Net amount represents the net amount payable due to counterparty in the event of default.  

 

 

SCHEDULES OF INVESTMENTS      69  

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

      Level 1        Level 2        Level 3        Total  

Assets:

                  

Investments:

                  

Long-Term Investments:

                  

Asset-Backed Securities

    $ —        $ 60,116,514        $ 500,000        $ 60,616,514  

Common Stocks

      21,857,699          5,357,654          6,964,920          34,180,273  

Corporate Bonds

      531,859          1,744,635,440          —          1,745,167,299  

Floating Rate Loan Interests

      —          178,807,519          16,603,199          195,410,718  

Investment Companies

      28,441,111          —          —          28,441,111  

Non-Agency Mortgage-Backed Securities

      —          1,489,485          —          1,489,485  

Other Interests

      —          —          12          12  

Preferred Securities

      7,973,674          86,021,835          24,357,822          118,353,331  

Warrants

      2,002          2          —          2,004  

Options Purchased:

                  

Equity contracts

      1,596          —          —          1,596  

Unfunded Floating Rate Loan Interests(a)

      —          580          —          580  
  

 

 

       

 

 

       

 

 

       

 

 

  

Subtotal

    $ 58,807,941        $ 2,076,429,029        $ 48,425,953        $ 2,183,662,923  
  

 

 

       

 

 

       

 

 

       

 

 

  

Investments Valued at NAV(b)

 

        558,164  
                 

 

 

  

Total Investments

 

      $ 2,184,221,087  
                 

 

 

  

Derivative Financial Instruments(c)

                  

Assets:

 

Credit contracts

    $ —        $ 57,062        $ —        $ 57,062  

Equity contracts

      2,411          —          —          2,411  

Forward foreign currency contracts

      —          2,756,690          —          2,756,690  

Interest rate contracts

      21,473          329,381          —          350,854  

Liabilities:

 

Credit contracts

      —          (41,531 )         —          (41,531 ) 

Equity contracts

      —          (53,969 )         —          (53,969 ) 

Forward foreign currency contracts

      —          (40,752 )         —          (40,752 ) 

Interest rate contracts

      (57 )         (57,001 )         —          (57,058 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 23,827        $ 2,949,880        $ —        $ 2,973,707  
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a)  Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.  
  (b)  As of February 28, 2018, certain investments of the Trust were fair valued using net asset value (“NAV”) per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.  
  (c)  Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.  

During the six months ended February 28, 2018, there were no transfers between Level 1 and Level 2.

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $663,000,000 are categorized as Level 2 within the disclosure hierarchy.

 

 

70    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

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

 

    

Common

Stocks

    

Asset-
Backed

Securities

    

Corporate

Bonds

    

Floating

Rate Loan

Interests

    

Other

Interests

    

Preferred

Securities

     Warrants     Total  

Assets:

                

Opening Balance, as of August 31, 2017

   $ 3,840,544     $ 2,508,240     $ 4,761,900     $ 12,998,092     $ 13     $ 19,946,198     $ 455     $ 44,055,442  

Transfers into Level 3(a)

     —       —       —       4,833,568       —       —       —       4,833,568  

Transfers out of Level 3(b)

     —       (2,508,240 )      —       (2,174,312 )      —       (2,696,614 )      —       (7,379,166 ) 

Accrued discounts/premiums

     —       —       —       39,197       —       —       —       39,197  

Net realized gain (loss)

     —       —       117,268       172,143       —       1,026,536       —       1,315,947  

Net change in unrealized appreciation (depreciation)(c)(d)

     3,124,376       —       48,100       24,244       (1 )      9,115,051       (455 )      12,311,315  

Purchases

     —       500,000       —       5,398,480       —       —       —       5,898,480  

Sales

     —       —       (4,927,268 )      (4,688,213 )      —       (3,033,349 )      —       (12,648,830 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Closing Balance, as of February 28, 2018

   $ 6,964,920     $ 500,000     $ —     $ 16,603,199     $ 12     $ 24,357,822     $ —     $ 48,425,953  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation (depreciation) on investments still held at February 28, 2018(d)

   $ 3,124,376     $ —     $ —     $ 23,721     $ (1 )    $ 9,115,051     $ (455 )    $ 12,262,692  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

  (a)  As of August 31, 2017, the Trust used observable inputs in determining the value of certain investments. As of February 28, 2018, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.  
  (b)  As of August 31, 2017, the Trust used significant unobservable inputs in determining the value of certain investments. As of February 28, 2018, the Trust used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.  
  (c)  Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statements of Operations.  
  (d)  Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at February 28, 2018 is generally due to investments no longer held or categorized as Level 3 at period end.  

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

 

 

SCHEDULES OF INVESTMENTS      71  

Schedule of Investments  (unaudited)

February 28, 2018

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

     Value  

Asset-Backed Securities – 0.5%

 

Asset-Backed Securities — 0.5%  

Securitized Asset Backed Receivables LLC Trust, Series 2005-OP2, Class M1, (1 mo. LIBOR US + 0.43%), 2.05%, 10/25/35(a)

   $ 1,875     $ 1,857,494  
Interest Only Asset-Backed Securities — 0.0%  

Small Business Administration Participation Certificates, Series 2000-1, 1.80%,
03/15/21(b)(c)

     230       2,015  

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

     1,404       81,609  

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

     1,958       102,746  
   

 

 

  
      186,370  
   

 

 

  

Total Asset-Backed Securities — 0.5%
(Cost — $2,341,732)

       2,043,864  
   

 

 

  

Non-Agency Mortgage-Backed Securities — 0.5%

 

Collateralized Mortgage Obligations — 0.1%  

Deutsche Securities, Inc. Mortgage Alternate Loan Trust, Series 2006-AR5, Class 22A, 5.50%, 10/25/21

     112       108,481  

Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, (1 mo. LIBOR + 16.62%), 13.61%, 08/25/23(a)

     29       31,025  

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-11, Class A, 3.49%, 08/25/34(c)

     522       510,420  
   

 

 

  
      649,926  
Interest Only Collateralized Mortgage Obligations — 0.3%  

CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 05/25/37

     348       79,218  

IndyMac INDX Mortgage Loan Trust, Series 2006-AR33, Class 4AX, 0.17%, 01/25/37(b)

     36,329       4  

MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3AX, 0.48%,
04/25/34(b)(e)

     3,619       72,384  

MASTR Alternative Loans Trust, Series 2003-9, Class 15X2, 6.00%, 01/25/19

     30       66  

Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 1AX, 5.00%, 05/25/19

     20       47  

Sequoia Mortgage Trust, Series 2005-2, Class XA, 0.72%, 03/20/35(b)(c)

     18,999       522,461  

Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 3AS, 1.66%, 08/25/36(b)(c)

     8,451       612,721  

Vendee Mortgage Trust, Series 1999-2, Class 1, 0.00%, 05/15/29(c)

     20,814       21  
   

 

 

  
      1,286,922  
Principal Only Collateralized Mortgage Obligations — 0.1%  

Countrywide Home Loan Mortgage Pass-Through Trust, Series 2003-J8, 0.00%, 09/25/23(f)

     23       21,217  

Residential Asset Securitization Trust, Series 2005-A15, Class 1A8, 0.00%, 02/25/36(f)

     256       217,291  

Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-9, Class CP, 0.00%, 11/25/35(f)

     115       85,627  
   

 

 

  
      324,135  
   

 

 

  

Total Non-Agency Mortgage-Backed
Securities — 0.5%
(Cost — $1,288,065)

 

     2,260,983  
   

 

 

  

U.S. Government Sponsored Agency Securities — 145.1%

 

Agency Obligations — 2.6%  

Federal Housing Administration(b):

    

USGI Projects, Series 99, 7.43%, 06/01/21 - 10/01/23

     1,888       1,803,734  
Security  

Par

(000)

     Value  
Agency Obligations (continued)  

General Motors Acceptance Corp. Projects, Series 56, 7.43%, 11/01/22

   $ — (g)    $ 1  

Merrill Lynch Projects, Series 54, 7.43%, 05/15/23

     1       919  

Reilly Projects, Series 41, 8.77%, 03/01/20(c)

     13       13,552  

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

     13,000       8,693,852  
   

 

 

  
      10,512,058  
Collateralized Mortgage Obligations — 67.3%  

Fannie Mae Mortgage-Backed Securities:

    

Series 2017-90, Class WB, 3.00%, 11/25/47

     5,594       5,132,648  

Series 2017-76, Class PB, 3.00%, 10/25/57

     3,415       3,065,322  

Series 2011-142, Class PE, 3.50%, 01/25/42

     15,567       15,008,670  

Series 2014-28, Class BD, 3.50%, 08/25/43

     5,116       5,164,828  

Series 2010-136, Class CY, 4.00%, 12/25/40

     3,060       3,151,522  

Series 2011-8, Class ZA, 4.00%, 02/25/41

     6,502       6,693,269  

Series 2011-117, Class CP, 4.00%, 11/25/41

     14,350       14,769,340  

Series 2011-99, Class CB, 4.50%, 10/25/41

     43,000       45,928,313  

Series 2010-47, Class JB, 5.00%, 05/25/30

     8,338       8,765,208  

Series 2003-135, Class PB, 6.00%, 01/25/34

     5,479       5,674,910  

Series 2004-31, Class ZG, 7.50%, 05/25/34

     5,156       6,068,723  

9.99%, 04/25/34(c)

     2,305       2,620,954  

Series 1993-247, Class SN, (11th District Cost of Funds + 63.85%), 10.00%, 12/25/23(a)

     76       88,194  

Series 2005-73, Class DS, (1 mo. LIBOR + 17.55%), 13.34%, 08/25/35(a)

     307       339,542  

Series 1991-87, Class S, (1 mo. LIBOR + 26.68%), 22.39%, 08/25/21(a)

     5       5,576  

Series G-49, Class S, (1 mo. LIBOR + 1034.80%), 866.25%, 12/25/21(a)

     — (g)      13  

Series G-07, Class S, (1 mo. LIBOR + 1144.57%), 961.77%, 03/25/21(a)

     — (g)      146  

Freddie Mac Mortgage-Backed Securities:

    

Series 0173, Class RS, 0.00%, 11/15/21(b)(c)

     — (g)      2  

Series T-11, Class A9, 3.16%, 01/25/28(c)

     636       648,214  

Series 4242, Class PA, 3.50%, 05/15/41

     5,146       5,226,402  

Series 4384, Class LB, 3.50%, 08/15/43

     5,100       5,105,468  

Series 4748, Class BM, 3.50%, 11/15/47

     3,351       3,222,492  

Series 3745, Class ZA, 4.00%, 10/15/40

     1,166       1,199,887  

Series 3762, Class LN, 4.00%, 11/15/40

     2,000       2,039,420  

Series 3780, Class ZA, 4.00%, 12/15/40

     2,201       2,267,469  

Series 4269, Class PM, 4.00%, 08/15/41

     8,884       8,904,762  

Series 4016, Class BX, 4.00%, 09/15/41

     15,408       16,048,452  

Series 3960, Class PL, 4.00%, 11/15/41

     2,859       2,926,272  

Series 3688, Class PB, 4.50%, 08/15/32

     8,346       8,452,713  

Series 4316, Class VB, 4.50%, 03/15/34

     10,787       11,240,346  

Series 3856, Class PB, 5.00%, 05/15/41

     10,000       10,707,276  

Series 2927, Class BZ, 5.50%, 02/15/35

     4,235       4,605,616  

Series 2542, Class UC, 6.00%, 12/15/22

     1,179       1,234,233  

Series 0040, Class K, 6.50%, 08/17/24

     75       82,883  

Series 0019, Class F, 8.50%, 03/15/20

     2       1,651  

Series 2218, Class Z, 8.50%, 03/15/30

     1,606       1,847,281  

Series 1160, Class F, (1 mo. LIBOR + 40.16%), 33.42%, 10/15/21(a)

     3       3,923  

Ginnie Mae Mortgage-Backed Securities:

    

Series 2010-099, Class JM, 3.75%, 12/20/38

     13,398       13,514,450  

Series 2010-112, Class TL, 4.00%, 01/20/39

     12,259       12,423,698  

Series 2011-80, Class PB, 4.00%, 10/20/39

     9,514       9,677,713  

Series 2012-16, Class HJ, 4.00%, 09/20/40

     10,000       10,122,456  

Series 2011-88, Class PY, 4.00%, 06/20/41

     15,402       15,470,255  

Series 2015-96, Class ZM, 4.00%, 07/20/45

     6,959       7,266,404  

Series 2004-89, Class PE, 6.00%, 10/20/34

     32       33,116  
   

 

 

  
      276,750,032  
 

 

 

72    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

     Value  
Interest Only Collateralized Mortgage Obligations — 7.4%  

Fannie Mae Mortgage-Backed Securities:

    

Series 2015-M1, Class X2, 0.55%, 09/25/24(c)

   $ 38,404     $ 1,161,966  

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

     62       1,405  

Series G92-60, Class SB, (11th District Cost of Funds + 9.35%), 1.60%, 10/25/22(a)

     31       854  

Series 2013-10, Class PI, 3.00%, 02/25/43

     12,251       1,442,717  

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

     2,896       228,798  

Series 2013-45, Class EI, 4.00%, 04/25/43

     5,530       999,545  

Series 2016-81, Class CS, (1 mo. LIBOR + 6.10%), 4.48%, 11/25/46(a)

     9,831       1,358,451  

Series 2015-66, Class AS, (1 mo. LIBOR + 6.25%), 4.63%, 09/25/45(a)(b)

     57,355       8,726,089  

Series 2011-100, Class S, (1 mo. LIBOR + 6.45%), 4.83%, 10/25/41(a)

     3,103       449,374  

Series 2006-36, Class PS, (1 mo. LIBOR + 6.60%), 4.98%, 05/25/36(a)

     5,995       895,863  

Series 2010-74, Class DI, 5.00%, 12/25/39

     2,467       131,516  

Series 2016-64, Class BI, 5.00%, 09/25/46

     12,423       2,462,220  

Series 2011-124, Class GS, (1 mo. LIBOR + 6.70%), 5.08%, 03/25/37(a)

     5,079       277,477  

Series 1997-90, Class M, 6.00%, 01/25/28

     1,026       119,621  

Series 1999-W4, 6.50%, 12/25/28

     101       8,979  

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

     — (g)      21  

Series 094, Class 2, 9.50%, 08/25/21

     — (g)      36  

Series 1990-136, Class S, 18.46%, 11/25/20(a)

     1       1  

Series G-10, Class S, 930.47%, 05/25/21(a)

     — (g)      1  

Freddie Mac Mortgage-Backed Securities:

    

Series 2559, Class IO, 0.50%, 08/15/30(c)

     18       62  

Series 3745, Class IN, 4.00%, 01/15/35

     5,527       205,838  

Series 3744, Class PI, 4.00%, 06/15/39

     7,354       856,976  

Series 4026, Class IO, 4.50%, 04/15/32

     2,311       311,110  

Series 4611, Class BS, (1 mo. LIBOR + 6.10%), 4.51%, 06/15/41(a)

     22,904       3,095,134  

Series 3796, Class WS, (1 mo. LIBOR + 6.55%), 4.96%, 02/15/40(a)

     5,361       476,773  

Series 2611, Class QI, 5.50%, 09/15/32

     205       5,068  

Series 1043, Class H, (1 mo. LIBOR + 45.00%), 37.86%, 02/15/21(a)

     2       2  

Ginnie Mae Mortgage-Backed Securities:

    

Series 2013-63, Class IO, 0.79%, 09/16/51(c)

     12,391       663,394  

Series 2014-169, Class IO, 0.86%, 10/16/56(c)

     34,597       1,828,681  

Series 2012-97, Class JS, (1 mo. LIBOR + 6.25%), 4.66%, 08/16/42(a)

     16,623       1,922,782  

Series 2009-116, Class KS, (1 mo. LIBOR + 6.47%), 4.88%, 12/16/39(a)

     1,021       130,425  

Series 2011-52, Class MJ, (1 mo. LIBOR + 6.65%), 5.06%, 04/20/41(a)

     7,965       1,115,781  

Series 2011-52, Class NS, (1 mo. LIBOR + 6.67%), 5.08%, 04/16/41(a)

     9,256       1,452,799  
   

 

 

  
      30,329,759  
Mortgage-Backed Securities — 67.7%  

Fannie Mae Mortgage-Backed Securities:

    

2.50%, 3/01/33(h)

     180       175,514  

3.00%, 01/01/43 - 10/01/46(i)

     55,875       54,485,305  

3.50%, 10/01/42 - 04/01/48(h)(i)

     61,824       61,892,379  

4.00%, 01/01/41 - 06/01/46(i)

     34,273       35,367,522  

4.50%, 08/01/25 - 09/01/41(i)

     45,616       48,257,207  

5.00%, 01/01/23 - 10/01/41(i)

     27,902       30,143,825  

5.50%, 03/01/18 - 10/01/39(i)

     10,618       11,714,415  

6.50%, 12/01/37 - 10/01/39

     3,747       4,174,855  

7.50%, 2/01/22

     — (g)      4  

9.50%, 01/01/19 - 09/01/19

     — (g)      464  
Security  

Par

(000)

     Value  
Mortgage-Backed Securities (continued)  

Freddie Mac Mortgage-Backed Securities:

    

3.50%, 8/01/46(i)

   $ 12,690     $ 12,745,400  

(1 year CMT + 2.43%), 3.68%,
10/01/34(a)

     95       97,297  

5.00%, 02/01/22 - 04/01/22

     95       98,625  

5.50%, 1/01/39(i)

     14,240       15,627,224  

9.00%, 9/01/20

     1       1,451  

Ginnie Mae Mortgage-Backed Securities:

    

5.00%, 10/20/39

     3,551       3,815,348  

7.50%, 12/15/21 - 11/15/23

     47       48,601  

8.00%, 10/15/22 - 08/15/27

     27       28,783  

9.00%, 04/15/20 - 09/15/21

     2       1,445  
   

 

 

  
      278,675,664  
Principal Only Collateralized Mortgage Obligations — 0.1%  

Fannie Mae Mortgage-Backed Securities(f):

    

Series 1991-7, Class J, 0.00%, 02/25/21

     1       1,004  

Series G93-2, Class KB, 0.00%, 01/25/23

     38       36,088  

Series 1993-51, Class E, 0.00%, 02/25/23

     12       11,623  

Series 203, Class 1, 0.00%, 02/25/23

     4       3,516  

Series 1993-70, Class A, 0.00%, 05/25/23

     2       1,947  

Series 0228, Class 1, 0.00%, 06/25/23

     3       2,818  

Series 1999-W4, 0.00%, 02/25/29

     44       40,010  

Series 2002-13, Class PR, 0.00%, 03/25/32

     82       73,243  

Freddie Mac Mortgage-Backed Securities(f):

    

Series 1418, Class M, 0.00%, 11/15/22

     12       11,754  

Series 1571, Class G, 0.00%, 08/15/23

     97       91,432  

Series 1691, Class B, 0.00%, 03/15/24

     204       187,514  

Series T-8, Class A10, 0.00%, 11/15/28

     18       17,524  
   

 

 

  
      478,473  
   

 

 

  

Total U.S. Government Sponsored Agency Securities — 145.1%
(Cost — $629,472,801)

 

     596,745,986  
   

 

 

  

Total Long-Term Investments — 146.1%
(Cost — $633,102,598)

 

     601,050,833  
   

 

 

  
     Shares         

Short-Term Securities — 1.9%

 

Money Market Funds — 1.7%            

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.29%(l)(m)

     6,967,792     $ 6,967,792  
   

 

 

  
    

Par

(000)

         
Borrowed Bond Agreement(j)(k) — 0.2%  

Credit Suisse Securities (USA) LLC, 1.43%, Open (Purchased on 12/28/17 to be repurchased at $925,252. Collateralized by U.S. Treasury Bonds, 2.75%, 11/15/42, par and fair values of $917,000 and $860,010, respectively)

   $ 925       925,024  
   

 

 

  

Total Short-Term Securities — 1.9%
(Cost — $7,892,816)

 

     7,892,816  
   

 

 

  

Total Investments Before Borrowed Bonds and TBA Sale Commitments — 148.0%
(Cost — $640,995,414)

 

     608,943,649  
   

 

 

  

Borrowed Bonds — (0.2)%

 

U.S. Treasury Bonds, 2.75%, 11/15/42

     (917 )      (860,010 ) 
   

 

 

  

Total Borrowed Bonds — (0.2)%
(Proceeds — $842,347)

 

     (860,010 ) 
   

 

 

  
 

 

 

SCHEDULES OF INVESTMENTS      73  

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

     Value  

TBA Sale Commitments — (22.4)%

 

Mortgage-Backed Securities — (22.4)%  

Fannie Mae Mortgage-Backed Securities(h):

    

3.00%, 03/01/48

   $ 46,200     $ (44,748,918 ) 

3.50%, 03/01/48

     12,664       (12,640,108 ) 

4.00%, 03/01/48

     20,500       (20,994,483 ) 

5.00%, 03/01/48

     12,900       (13,768,384 ) 
   

 

 

  

Total TBA Sale Commitments — (22.4)%
(Proceeds — $92,280,819)

 

     (92,151,893 ) 
   

 

 

  

Total Investments, Net of Borrowed Bonds and TBA Sale Commitments — 125.4%
(Cost — $547,872,248)

 

     515,931,746  

Liabilities in Excess of Other Assets — (25.4)%

 

     (104,554,277 ) 
   

 

 

  

Net Assets — 100.0%

 

   $ 411,377,469  
   

 

 

  

 

(a)  Floating rate security. Rate shown is the rate in effect as of period end.
(b)  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.
(c)  Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.
(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)  Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.
(f)  Zero-coupon bond.
(g)  Amount is less than $500.
(h)  Represents or includes a TBA transaction.
(i)  All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.
(j)  Certain agreements have no stated maturity and can be terminated by either party at any time.
(k)  The amount to be repurchased assumes the maturity will be the day after period end.
(l)  Annualized 7-day yield as of period end.
(m)  During the six months ended February 28, 2018, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
 
Affiliate    Shares
Held at
08/31/17		      Net
Activity		      Shares
Held at
02/28/18		      Value at
02/28/18		      Income      Net
Realized
Gain (Loss) (a)		      Change in
Unrealized
Appreciation
(Depreciation)		  

BlackRock Liquidity Funds, T-Fund, Institutional Class

      8,868,413        (1,900,621 )       6,967,792      $ 6,967,792      $ 47,263      $ 27      $ —  
           

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a)  Includes net capital gain distributions, if applicable.  

Reverse Repurchase Agreements

 

Counterparty   Interest
Rate		     Trade
Date		     Maturity
Date		     Face Value     Face Value
Including
Accrued Interest		     Type of Non-Cash Underlying Collateral   Remaining Contractual
Maturity of the Agreements

HSBC Securities (USA), Inc.

     1.54 %      02/12/18       3/13/18     $ 11,768,000     $ 11,776,055     U.S. Government Sponsored Agency Securities   Up to 30 Days

HSBC Securities (USA), Inc.

     1.54       02/12/18       3/13/18       6,989,000       6,993,784     U.S. Government Sponsored Agency Securities   Up to 30 Days

HSBC Securities (USA), Inc.

     1.54       02/12/18       3/13/18       15,196,000       15,206,401     U.S. Government Sponsored Agency Securities   Up to 30 Days

HSBC Securities (USA), Inc.

     1.54       02/12/18       3/13/18       14,243,000       14,252,748     U.S. Government Sponsored Agency Securities   Up to 30 Days

HSBC Securities (USA), Inc.

     1.54       02/12/18       3/13/18       16,774,000       16,785,481     U.S. Government Sponsored Agency Securities   Up to 30 Days

HSBC Securities (USA), Inc.

     1.54       02/12/18       3/13/18       8,581,000       8,586,873     U.S. Government Sponsored Agency Securities   Up to 30 Days

HSBC Securities (USA), Inc.

     1.54       02/12/18       3/13/18       14,673,000       14,683,043     U.S. Government Sponsored Agency Securities   Up to 30 Days

HSBC Securities (USA), Inc.

     1.54       02/12/18       3/13/18       12,375,000       12,383,470     U.S. Government Sponsored Agency Securities   Up to 30 Days

HSBC Securities (USA), Inc.

     1.54       02/12/18       3/13/18       7,698,000       7,703,269     U.S. Government Sponsored Agency Securities   Up to 30 Days

HSBC Securities (USA), Inc.

     1.54       02/12/18       3/13/18       8,672,000       8,677,935     U.S. Government Sponsored Agency Securities   Up to 30 Days

HSBC Securities (USA), Inc.

     1.54       02/12/18       3/13/18       12,155,000       12,163,319     U.S. Government Sponsored Agency Securities   Up to 30 Days

HSBC Securities (USA), Inc.

     1.54       02/12/18       3/13/18       14,788,000       14,798,122     U.S. Government Sponsored Agency Securities   Up to 30 Days

HSBC Securities (USA), Inc.

     1.54       02/12/18       3/13/18       17,550,000       17,562,012     U.S. Government Sponsored Agency Securities   Up to 30 Days

HSBC Securities (USA), Inc.

     1.54       02/12/18       3/13/18       9,142,000       9,148,257     U.S. Government Sponsored Agency Securities   Up to 30 Days
       

 

 

    

 

 

      
        $ 170,604,000     $ 170,720,769      
       

 

 

    

 

 

      

 

 

74    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Income Trust, Inc. (BKT)

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts		        Expiration
Date		        Notional
Amount (000)		        Value /
Unrealized
Appreciation
(Depreciation)		  

Short Contracts:

                  

90-Day Euro Future

      54          09/17/18        $ 13,177        $ 75,744  

90-Day Euro Future

      55          12/17/18          13,402          80,118  

90-Day Euro Dollar

      54          06/18/18          13,193          71,939  

90-Day Euro Dollar

      48          03/19/18          11,746          57,332  

10-Year U.S. Treasury Note

      157          06/20/18          18,847          32,735  

10-Year U.S. Ultra Long Treasury Note

      67          06/20/18          8,580          (5,753 ) 

5-Year U.S. Treasury Note

      108          06/29/18          12,304          20,664  

Long U.S. Treasury Bond

      348          06/20/18          49,916          (459,855 ) 

90-Day Euro Future

      9          12/16/19          2,186          4,808  

90-Day Euro Dollar

      54          03/18/19          13,147          82,617  

90-Day Euro-Dollar

      24          06/17/19          5,837          36,195  

90-Day Euro-Dollar

      14          09/16/19          3,403          13,870  
                 

 

 

  
                  $ 10,414  
                 

 

 

  

OTC Interest Rate Swaps

 

Paid by the Trust   Received by the Trust   Counterparty   Effective
Date		     Termination
Date		     

Notional
Amount (000)

     Value     Upfront
Premium
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		  
Rate   Frequency   Rate   Frequency               
4.31%   Semi-annual   3-Month LIBOR   Quarterly   Deutsche Bank AG     N/A       10/01/18      USD     60,000     $ (1,657,004 )    $ —     $ (1,657,004 ) 
3-Month LIBOR   Quarterly   3.43%   Semi-annual   JPMorgan Chase Bank N.A.     N/A       03/28/21      USD     6,000       207,776       (88,185 )      295,961  
3-Month LIBOR   Quarterly   5.41   Semi-annual   JPMorgan Chase Bank N.A.     N/A       08/15/22      USD     9,565       1,100,147       —       1,100,147  
                  

 

 

    

 

 

    

 

 

  
  $ (349,081 )    $ (88,185 )    $ (260,896 ) 
   

 

 

    

 

 

    

 

 

  

Balances Reported in the Statements of Assets and Liabilities for OTC Derivatives

 

      Swap Premiums Paid        Swap Premiums
Received		        Unrealized Appreciation        Unrealized Depreciation  

OTC Derivatives

    $ —        $ (88,185 )       $ 1,396,108        $ (1,657,004 ) 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

      Commodity
Contracts		      Credit
Contracts		      Equity
Contracts		      Foreign
Currency
Exchange
Contracts		      Interest
Rate
Contracts		      Other
Contracts		      Total  

Assets — Derivative Financial Instruments

                     

Futures contracts

                     

Net unrealized appreciation(a)

   $ —      $ —      $ —      $ —      $ 476,022      $ —      $ 476,022  

Swaps — OTC

                     

Unrealized appreciation on OTC swaps

      —        —        —        —        1,396,108        —        1,396,108  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ —      $ —      $ —      $ 1,872,130      $ —      $ 1,872,130  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

 

SCHEDULES OF INVESTMENTS      75  

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Income Trust, Inc. (BKT)

 

      Commodity
Contracts		      Credit
Contracts		      Equity
Contracts		      Foreign
Currency
Exchange
Contracts		      Interest
Rate
Contracts		      Other
Contracts		      Total  
Liabilities — Derivative Financial Instruments                                                 

Futures contracts

                     

Net unrealized depreciation(a)

   $ —      $ —      $ —      $ —      $ 465,608      $ —      $ 465,608  

Swaps — OTC

                     

Unrealized depreciation on OTC swaps; Swap premiums received

      —        —        —        —        1,745,189        —        1,745,189  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ —      $ —      $ —      $ 2,210,797      $ —      $ 2,210,797  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a)  Includes cumulative appreciation (depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.  

For the period ended February 28, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts		      Credit
Contracts		      Equity
Contracts		      Foreign
Currency
Exchange
Contracts		      Interest
Rate
Contracts		      Other
Contracts		      Total  

Net Realized Gain (Loss) from:

                     

Futures contracts

    $ —      $ —      $ —      $ —      $ 6,611,092      $ —      $ 6,611,092  

Swaps

      —        —        —        —        (615,717 )       —        (615,717 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ —      $ —      $ —      $ 5,995,375      $ —      $ 5,995,375  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

    $ —      $ —      $ —      $ —      $ 613,450      $ —      $ 613,450  

Swaps

      —        —        —        —        292,109        —        292,109  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
   $ —      $ —      $ —      $ —      $ 905,559      $ —      $ 905,559  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

 

Average notional value of contracts — long

    $ 85,768,281 (a) 

Average notional value of contracts — short

    $ 187,112,864  

Interest rate swaps:

   

Average notional amount-pays fixed rate

    $ 60,000,000  

Average notional amount-receives fixed rate

    $ 15,565,000  

 

  (a) Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter.  

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

 

      Assets        Liabilities  

Derivative Financial Instruments:

        

Futures contracts

    $ —        $ 391,197  

Swaps — OTC(a)

      1,396,108          1,745,189  
  

 

 

       

 

 

  

Total derivative assets and liabilities in the Statements of Assets and Liabilities

    $ 1,396,108        $ 2,136,386  

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

      —          (391,197 ) 
  

 

 

       

 

 

  

Total derivative assets and liabilities subject to an MNA

    $ 1,396,108        $ 1,745,189  
  

 

 

       

 

 

  

 

  (a) Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities.  

The following table presents the Trust’s derivative assets (and liabilities) by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Trust:

 

Counterparty    Derivative
Assets
Subject to
an MNA by
Counterparty		        Derivatives
Available
for Offset (a)		        Non-cash
Collateral
Received		        Cash
Collateral
Received (b)		        Net Amount
of Derivative
Assets  (c)		  

JPMorgan Chase Bank N.A.

    $ 1,396,108        $ (88,185 )       $ —        $ (1,307,923 )       $ —  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

 

76    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Income Trust, Inc. (BKT)

 

 

Counterparty    Derivative
Liabilities
Subject to
an MNA by
Counterparty		        Derivatives
Available
for Offset (a)		        Non-cash
Collateral
Pledged		        Cash
Collateral
Pledged		        Net Amount
of Derivative
Liabilities  (d)		  

Deutsche Bank AG

    $ 1,657,004        $ —        $ —        $ (1,640,000 )       $ 17,004  

JPMorgan Chase Bank N.A.

      88,185          (88,185 )         —          —          —  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  
   $ 1,745,189        $ (88,185 )       $ —        $ (1,640,000 )       $ 17,004  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a)  The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA.  
  (b)  Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.  
  (c)  Net amount represents the net amount receivable from the counterparty in the event of default.  
  (d)  Net amount represents the net amount payable due to counterparty in the event of default.  

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Long-Term Investments:

                  

Asset-Backed Securities

   $ —        $ 1,857,494        $ 186,370        $ 2,043,864  

Non-Agency Mortgage-Backed Securities

     —          1,053,413          1,207,570          2,260,983  

U.S. Government Sponsored Agency Securities

     —          586,201,689          10,544,297          596,745,986  

Short-Term Securities:

 

Money Market Funds

      6,967,792          —          —          6,967,792  

Borrowed Bond Agreement

      —          925,024          —          925,024  

Liabilities:

 

Investments:

 

Borrowed Bonds

      —          (860,010 )         —          (860,010 ) 

TBA Sale Commitments

     —          (92,151,893 )         —          (92,151,893 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 6,967,792        $ 497,025,717        $ 11,938,237        $ 515,931,746  
  

 

 

       

 

 

       

 

 

       

 

 

  

Derivative Financial Instruments (a)

 

Assets:

 

Interest rate contracts

   $ 476,022        $ 1,396,108        $ —        $ 1,872,130  

Liabilities:

 

Interest rate contracts

     (465,608 )         (1,657,004 )         —          (2,122,612 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 10,414        $ (260,896 )       $ —        $ (250,482 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a)  Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.  

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, reverse repurchase agreements of $170,720,769 are categorized as Level 2 within the disclosure hierarchy.

During the six months ended February 28, 2018, there were no transfers between levels.

 

 

SCHEDULES OF INVESTMENTS      77  

Schedule of Investments  (unaudited) (continued)

February 28, 2018

   

BlackRock Income Trust, Inc. (BKT)

 

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

 

      Asset-Backed
Securities		        Non-Agency Mortgage-
Backed Securities		        U.S. Government
Sponsored Agency
Securities		        Total  

Assets:

                  

Opening Balance, as of August 31, 2017

    $ 186,351        $ 1,363,970        $ 2,060,128        $ 3,610,449  

Transfers into Level 3(a)

      —          —          8,737,596          8,737,596  

Transfers out of Level 3

      —          —          —          —  

Accrued discounts/premiums

      (34,901 )         —          (694,491 )         (729,392 ) 

Net realized gain (loss)

                (4,014 )         (4,014 ) 

Net change in unrealized appreciation (depreciation)(b)(c)

      34,920          (156,400 )         (1,086,009 )         (1,207,489 ) 

Purchases

      —          —          1,784,284          1,784,284  

Sales

      —          —          (253,197 )         (253,197 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

Closing Balance, as of February 28, 2018

    $ 186,370        $ 1,207,570        $ 10,544,297        $ 11,938,237  
  

 

 

       

 

 

       

 

 

       

 

 

  

Net change in unrealized appreciation (depreciation) on investments held as February 28, 2018(c)

    $ 34,920        $ (156,400 )       $ (1,086,009 )       $ (1,207,489 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a)  As of August 31, 2017, the Trust used observable inputs in determining the value of certain investments. As of February 28, 2018, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.  
  (b)  Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.  
  (c)  Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments held as of February 28, 2018 is generally due to investments no longer held or categorized as Level 3 at period end.  

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

 

 

78    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Statements of Assets and Liabilities  (unaudited)

February 28, 2018

 

     BHK      HYT(a)      BKT  

ASSETS

 

Investments at value — unaffiliated(b)

   $ 1,128,796,617      $ 2,161,593,431      $ 601,975,857  

Investments at value — affiliated(c)

     2,711,662        22,627,076        6,967,792  

Cash

     366,174        1,595,943        —  

Cash pledged:

 

Collateral — OTC derivatives

     5,260,000        —        1,640,000  

Collateral — reverse repurchase agreements

     6,581,000        —        —  

Centrally cleared swaps

     1,832,940        1,604,000        —  

Futures contracts

     913,970        126,150        1,228,260  

Foreign currency at value(d)

     2,061,165        994,103        —  

Receivables:

 

Interest — unaffiliated

     11,565,562        30,708,092        2,170,201  

Investments sold

     1,267,409        19,748,509        109,808  

Options written

     127,626        —        —  

Dividends — unaffiliated

     45,000        43,462        —  

Dividends — affiliated

     7,309        1,272        9,861  

Variation margin on futures contracts

     7,258        —        —  

Swaps

     4,005        —        —  

TBA sale commitments

     —        —        92,280,819  

Swap premiums paid

     7,290        88,182        —  

Unrealized appreciation on:

 

Forward foreign currency exchange contracts

     755,475        2,756,690        —  

OTC derivatives

     69,449        359,964        1,396,108  

Unfunded floating rate loan interests

     61        580        —  

Prepaid expenses

     20,043        39,553        10,521  

Other assets

     4,077        —        527  
 

 

 

     

 

 

     

 

 

  

Total assets

     1,162,404,092        2,242,287,007        707,789,754  
 

 

 

     

 

 

     

 

 

  

LIABILITIES

 

Borrowed bonds at value(e)

     —        —        860,010  

Bank overdraft

     —        —        270,397  

Cash received:

 

Collateral — OTC derivatives

     280,000        350,000        1,520,000  

TBA Commitments

     —        —        11,000  

Options written at value(f)

     5,205,701        —        —  

Reverse repurchase agreements at value

     368,809,658        —        170,720,769  

Payables:

 

Investments purchased

     8,813,148        54,460,831        27,880,408  

Investment advisory fees

     437,984        998,473        204,993  

Other accrued expenses

     300,401        775,507        138,327  

Swaps

     207,805        68,653        —  

Trustees’ and Officer’s fees

     206,793        581,456        212,258  

Variation margin on futures contracts

     197,562        28,059        391,197  

Variation margin on centrally cleared swaps

     117,964        53,869        —  

Income dividends

     74,396        560,609        50,112  

Capital shares redeemed

     —        1,034,350        200,946  

Bank borrowings

     —        663,000,000        —  

Administration fees

     —        —        47,402  

Interest expense

     —        1,351,423        7,384  

Swap premiums received

     4,928,406        62,459        88,185  

TBA sale commitments at value(g)

     —        —        92,151,893  

Unrealized depreciation on:

 

OTC derivatives

     641,532        110,970        1,657,004  

Forward foreign currency exchange contracts

     8,095        40,752        —  

Contingencies

     —        —        —  
 

 

 

     

 

 

     

 

 

  

Total liabilities

     390,229,445        723,477,411        296,412,285  
 

 

 

     

 

 

     

 

 

  

NET ASSETS

   $ 772,174,647      $ 1,518,809,596      $ 411,377,469  
 

 

 

     

 

 

     

 

 

  

 

 

FINANCIAL STATEMENTS      79  

 

Statements of Assets and Liabilities  (unaudited) (continued)

February 28, 2018

 

     BHK     HYT(a)     BKT  

NET ASSETS CONSIST OF

 

Paid-in capital(g)(h)(i)

   $ 755,543,973     $ 1,678,408,835     $ 477,559,560  

Undistributed (distributions in excess of) net investment income

     133,636       (2,135,232 )      (899,278 ) 

Accumulated net realized loss

     (581,098 )      (119,788,239 )      (33,092,359 ) 

Net unrealized appreciation (depreciation)

     17,078,136       (37,675,768 )      (32,190,454 ) 
 

 

 

    

 

 

    

 

 

  

NET ASSETS

   $ 772,174,647     $ 1,518,809,596     $ 411,377,469  
 

 

 

    

 

 

    

 

 

  

Net asset value

   $ 14.32     $ 12.04     $ 6.45  
 

 

 

    

 

 

    

 

 

  

(a) Consolidated Statement of Assets and Liabilities

      

(b) Investments at cost — unaffiliated

   $ 1,111,860,221     $ 2,201,673,371     $ 634,027,622  

(c) Investments at cost — affiliated

   $ 2,711,662     $ 23,087,519     $ 6,967,792  

(d) Foreign currency at cost

   $ 2,062,817     $ 996,459     $ —  

(e) Proceeds received from borrowed bonds

   $ —     $ —     $ 842,347  

(f)  Premiums received

   $ 3,581,260     $ —     $ —  

(g) Proceeds from TBA sale commitments

   $ —     $ —     $ 92,280,819  

(h) See Note 12 of the Notes to Financial Statements for details of contingencies.

      

(g) Par value

   $ 0.001     $ 0.100     $ 0.010  

(h) Shares outstanding

     53,935,126       126,125,087       63,822,874  

(i)  Shares authorized

     Unlimited       200 million       200 million  

 

 

80    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Statements of Operations  (unaudited)

Six Months Ended February 28, 2018

 

     BHK     HYT(a)     BKT  

INVESTMENT INCOME

      

Interest — unaffiliated

   $ 24,914,298     $ 66,242,087     $ 10,705,298  

Dividends — unaffiliated

     244,082       329,477       —  

Dividends — affiliated

     43,782       639,285       47,263  

Other income

     3,551       341,078       —  

Foreign taxes withheld

     (1,169 )      (1,625 )      —  
 

 

 

    

 

 

    

 

 

  

Total investment income

     25,204,544       67,550,302       10,752,561  
 

 

 

    

 

 

    

 

 

  

EXPENSES

 

Investment advisory

     2,814,853       6,564,600       1,360,612  

Administration

     —       —       313,988  

Professional

     79,651       140,712       51,584  

Custodian

     65,140       111,119       20,071  

Accounting services

     51,975       109,658       30,804  

Transfer agent

     43,987       51,799       76,561  

Trustees and Officer

     40,251       81,422       21,662  

Printing

     12,666       17,212       18,270  

Registration

     7,124       16,721       8,446  

Miscellaneous

     53,809       58,449       23,485  
 

 

 

    

 

 

    

 

 

  

Total expenses excluding interest expense

     3,169,456       7,151,692       1,925,483  

Interest expense

     2,588,376       7,011,302       1,241,310  
 

 

 

    

 

 

    

 

 

  

Total expenses

     5,757,832       14,162,994       3,166,793  

Less fees waived by the Manager

     (2,855 )      (71,977 )      (3,356 ) 
 

 

 

    

 

 

    

 

 

  

Total expenses after fees waived

     5,754,977       14,091,017       3,163,437  
 

 

 

    

 

 

    

 

 

  

Net investment income

     19,449,567       53,459,285       7,589,124  
 

 

 

    

 

 

    

 

 

  

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Investments — unaffiliated

     (848,985 )      13,380,844       1,421,171  

Investments — affiliated

     —       (186,055 )      —  

Futures contracts

     4,448,403       884,094       6,611,092  

Forward foreign currency exchange contracts

     (1,264,152 )      (5,376,710 )      —  

Foreign currency transactions

     (516,732 )      218,311       —  

Capital gain distributions from investment companies — affiliated

     36       10       27  

Options written

     3,032,857       279,064       —  

Swaps

     408,047       1,114,475       (615,717 ) 
 

 

 

    

 

 

    

 

 

  
    5,259,474       10,314,033       7,416,573  
 

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation (depreciation) on:

      

Investments — unaffiliated

     (39,072,934 )      (35,943,863 )      (24,562,236 ) 

Investments — affiliated

     —       (458,974 )      —  

Futures contracts

     728,959       52,150       613,450  

Forward foreign currency exchange contracts

     454,620       3,765,354       —  

Foreign currency translations

     (122,686 )      (619,948 )      —  

Options written

     (1,440,803 )      (139,795 )      —  

Swaps

     1,105,330       (565,865 )      292,109  

Borrowed bonds

     —       —       68,130  

Unfunded floating rate loan interests

     61       580       —  
 

 

 

    

 

 

    

 

 

  
    (38,347,453 )      (33,910,361 )      (23,588,547 ) 
 

 

 

    

 

 

    

 

 

  

Net realized and unrealized loss

     (33,087,979 )      (23,596,328 )      (16,171,974 ) 
 

 

 

    

 

 

    

 

 

  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ (13,638,412 )    $ 29,862,957     $ (8,582,850 ) 
 

 

 

    

 

 

    

 

 

  

 

(a)  Consolidated Statement of Operations.

 

 

FINANCIAL STATEMENTS      81  

 

Statements of Changes in Net Assets

 

    BlackRock Core Bond Trust (BHK)  
     Six Months Ended
02/28/18
(unaudited)		     Year Ended
08/31/17		  

INCREASE (DECREASE) IN NET ASSETS

    

OPERATIONS

    

Net investment income

   $ 19,449,567     $ 40,810,546  

Net realized gain

     5,259,474       7,829,575  

Net change in unrealized appreciation (depreciation)

     (38,347,453 )      (22,271,872 ) 
 

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

     (13,638,412 )      26,368,249  
 

 

 

    

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS(a)

    

From net investment income

     (21,034,700 )      (42,069,403 ) 
 

 

 

    

 

 

  

NET ASSETS

    

Total decrease in net assets

     (34,673,112 )      (15,701,154 ) 

Beginning of period

     806,847,759       822,548,913  
 

 

 

    

 

 

  

End of period

   $ 772,174,647     $ 806,847,759  
 

 

 

    

 

 

  

Undistributed net investment income, end of period

   $ 133,636     $ 1,718,769  
 

 

 

    

 

 

  

 

(a)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

 

82    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Consolidated Statements of Changes in Net Assets

 

     BlackRock Corporate High Yield Fund, Inc. (HYT)  
     

Six Months Ended
02/28/18

(unaudited)

     

Year Ended

08/31/17

  

INCREASE (DECREASE) IN NET ASSETS

      

OPERATIONS

      

Net investment income

    $ 53,459,285      $ 107,040,262  

Net realized gain

      10,314,033        35,747,683  

Net change in unrealized appreciation (depreciation)

      (33,910,361 )       24,170,407  
  

 

 

     

 

 

  

Net increase in net assets resulting from operations

      29,862,957        166,958,352  
  

 

 

     

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS(a)

      

From net investment income

      (53,112,775 )       (112,731,371 ) 
  

 

 

     

 

 

  

CAPITAL SHARE TRANSACTIONS

      

Cost of shares redeemed

      (3,562,736 )       (1,553,292 ) 
  

 

 

     

 

 

  

NET ASSETS

      

Total increase (decrease) in net assets

      (26,812,554 )       52,673,689  

Beginning of period

      1,545,622,150        1,492,948,461  
  

 

 

     

 

 

  

End of period

    $ 1,518,809,596      $ 1,545,622,150  
  

 

 

     

 

 

  

Distributions in excess of net investment income, end of period

    $ (2,135,232 )     $ (2,481,742 ) 
  

 

 

     

 

 

  

 

(a)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

 

FINANCIAL STATEMENTS      83  

 

Statements of Changes in Net Assets

 

    BlackRock Income Trust, Inc. (BKT)  
     Six Months Ended
02/28/18
(unaudited)		     Year Ended
08/31/17		  

INCREASE (DECREASE) IN NET ASSETS

    

OPERATIONS

    

Net investment income

   $ 7,589,124     $ 15,746,349  

Net realized gain

     7,416,573       4,516,347  

Net change in unrealized appreciation (depreciation)

     (23,588,547 )      (13,981,411 ) 
 

 

 

    

 

 

  

Net increase (decrease) in net assets resulting from operations

     (8,582,850 )      6,281,285  
 

 

 

    

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS(a)

    

From net investment income

     (10,166,864 )      (20,333,729 ) 
 

 

 

    

 

 

  

CAPITAL SHARE TRANSACTIONS

    

Cost of shares redeemed

     (702,494 )      —  
 

 

 

    

 

 

  

NET ASSETS

    

Total decrease in net assets

     (19,452,208 )      (14,052,444 ) 

Beginning of period

     430,829,677       444,882,121  
 

 

 

    

 

 

  

End of period

   $ 411,377,469     $ 430,829,677  
 

 

 

    

 

 

  

Undistributed (distributions in excess of) net investment income, end of period

   $ (899,278 )    $ 1,678,462  
 

 

 

    

 

 

  

 

(a)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

 

84    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Statements of Cash Flows  (unaudited)

Six Months Ended February 28, 2018

 

     BHK     HYT (a)     BKT  

CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES

      

Net increase (decrease) in net assets resulting from operations

   $ (13,638,412 )    $ 29,862,957     $ (8,582,850 ) 
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used for) operating activities:      

Proceeds from sales of long-term investments and principal paydowns

     130,004,568       714,161,196       1,032,680,268  

Purchases of long-term investments

     (204,800,504 )      (719,167,671 )      (1,028,876,904 ) 

Net proceeds from sales of short-term securities

     1,663,067       —       1,831,846  

Amortization of premium and accretion of discount on investments

     1,839,015       (266,892 )      4,396,475  

Paid-in-kind income

     —       (2,754,951 )      —  

Premiums received from options written

     4,002,357       449,738       —  

Premiums paid on closing options written

     (1,385,220 )      (367,020 )      —  

Net realized gain on investments and options written

     (1,810,501 )      (13,473,853 )      (1,421,171 ) 

Net unrealized loss on investments, options written, swaps, unfunded floating rate loan interests and foreign currency translations

     40,042,525       33,133,164       24,201,997  
(Increase) Decrease in Assets:                  

Cash pledged:

      

Futures contracts

     224,952       (56,000 )      627,000  

Collateral — OTC derivatives

     (810,000 )      —       900,000  

Centrally cleared swaps

     (1,368,000 )      1,766,000       —  

Collateral — reverse repurchase agreements

     (6,122,000 )      —       —  

Receivables:

      

Interest — unaffiliated

     (559,855 )      991,409       (18,389 ) 

Swaps

     (3,996 )      108       —  

Dividends — affiliated

     5,197       187       2,970  

Dividends — unaffiliated

     —       (1,337 )      —  

Variation margin on futures contracts

     30,804       589       213,750  

Variation margin on centrally cleared swaps

     —       113,214       —  

Swap premiums paid

     (454 )      (17,523 )      —  

Prepaid expenses

     (5,906 )      (9,683 )      990  
Increase (Decrease) in Liabilities:                  

Cash received:

      

Collateral — OTC derivatives

     (420,000 )      (500,000 )      (520,000 ) 

Collateral — reverse repurchase agreements

     (4,798,000 )      —       —  

Collateral — TBA sale commitments

     —       —       11,000  

Payables:

      

Investment advisory fees

     (28,308 )      (98,104 )      (31,618 ) 

Interest expense and fees

     1,820,319       46,260       (49,944 ) 

Administration fees

     —       —       (7,399 ) 

Trustees’ and Officer’s

     (2,081 )      (1,252 )      1,604  

Variation margin on futures contracts

     18,321       28,059       23,357  

Variation margin on centrally cleared swaps

     109,179       53,869       —  

Swaps

     207,805       68,653       —  

Other accrued expenses

     20,302       438       (1,827 ) 

Swap premiums received

     (34,378 )      (90,172 )      (13,701 ) 
 

 

 

    

 

 

    

 

 

  

Net cash provided by (used for) operating activities

     (55,799,204 )      43,871,383       25,367,454  
 

 

 

    

 

 

    

 

 

  

CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES

      

Payments on redemption of Common Shares

     —       (2,528,386 )      (501,548 ) 

Net borrowing of reverse repurchase agreements

     77,911,301       —       (14,998,806 ) 

Proceeds from bank borrowings

     —       303,000,000       —  

Payments for bank borrowings

     —       (289,000,000 )      —  

Cash dividends paid to Common Shareholders

     (21,030,166 )      (52,959,622 )      (10,164,637 ) 

Increase in bank overdraft

     —       —       270,397  
 

 

 

    

 

 

    

 

 

  

Net cash (provided by) used for financing activities

     56,881,135       (41,488,008 )      (25,394,594 ) 
 

 

 

    

 

 

    

 

 

  

CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS

      

Cash impact from foreign exchange fluctuations

   $ 8,771     $ (2,502 )    $ —  
 

 

 

    

 

 

    

 

 

  

CASH AND FOREIGN CURRENCY

      

Net increase (decrease) in cash and foreign currency at value

     1,090,702       2,380,873       (27,140 ) 

Cash and foreign currency at value at beginning of period

     1,336,637       209,173       27,140  
 

 

 

    

 

 

    

 

 

  

Cash and foreign currency at value at end of period

   $ 2,427,339     $ 2,590,046     $ —  
 

 

 

    

 

 

    

 

 

  

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION

      

Cash paid during the period for interest expense

   $ 768,057     $ 6,965,042     $ 1,291,254  
 

 

 

    

 

 

    

 

 

  

 

(a)  Consolidated Statement of Cash Flows.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      85  

Financial Highlights

(For a share outstanding throughout each period)

 

    BHK  
    Six Months Ended
02/28/18
(Unaudited)		            Year Ended August 31,  
       2017      2016      2015     2014     2013  

Net asset value, beginning of period

   $ 14.96              $ 15.25      $ 14.29      $ 15.24     $ 14.05     $ 15.21  
 

 

 

    

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Net investment income(a)

     0.36          0.76        0.79        0.86       0.87       0.89  

Net realized and unrealized gain (loss)

     (0.61 )         (0.27 )       1.01        (0.73 )      1.23       (1.11 ) 
 

 

 

    

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Net increase (decrease) from investment operations

     (0.25 )         0.49        1.80        0.13       2.10       (0.22 ) 
 

 

 

    

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  
Distributions:(b)                                             

From net investment income

     (0.39 )         (0.78 )       (0.84 )       (1.04 )      (0.91 )      (0.94 ) 

In excess of net investment income(c)

     —          —        —        (0.04 )      —       —  
 

 

 

    

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Total distributions

     (0.39 )         (0.78 )       (0.84 )       (1.08 )      (0.91 )      (0.94 ) 
 

 

 

    

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 14.32        $ 14.96      $ 15.25      $ 14.29     $ 15.24     $ 14.05  
 

 

 

    

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Market price, end of period

   $ 13.21        $ 14.10      $ 14.33      $ 12.63     $ 13.64     $ 12.50  
 

 

 

    

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Total Return(d)

                 

Based on net asset value

     (1.55 )%(e)         3.88 %       13.67 %       1.62 %      16.09 %(f)      (1.42 )% 
 

 

 

    

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Based on market price

     (3.64 )%(e)         4.20 %       20.85 %       0.35 %      16.78 %      (13.43 )% 
 

 

 

    

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Ratios to Average Net Assets

                 

Total expenses

     1.46 %(g)         1.16 %       0.97 %       0.95 %(h)      1.06 %(h)      1.03 % 
 

 

 

    

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Total expenses after fees waived

     1.46 %(g)         1.16 %       0.97 %       0.95 %(h)      1.02 %(h)      0.98 % 
 

 

 

    

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Total expenses after fees waived and excluding interest expense

     0.80 %(g)         0.78 %       0.78 %       0.82 %(h)      0.91 %(h)      0.86 % 
 

 

 

    

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Net investment income

     4.92 %(g)         5.19 %       5.48 %       5.83 %      5.94 %      5.92 % 
 

 

 

    

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Supplemental Data

                 

Net assets applicable to Common Shareholders, end of period (000)

   $ 772,175        $ 806,848      $ 822,549      $ 770,822     $ 412,078     $ 379,913  
 

 

 

    

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Borrowings outstanding, end of period (000)

   $ 368,810        $ 289,078      $ 288,239      $ 303,651     $ 168,301     $ 172,537  
 

 

 

    

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Portfolio turnover rate(i)

     11 %         32 %       35 %       55 %      82 %      100 % 
 

 

 

    

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

 

(a)  Based on average shares outstanding.
(b)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(c)  Taxable distribution.
(d)  Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.
(e)  Aggregate total return.
(f)  Includes proceeds received from a settlement of litigation, which impacted the Trust’s total return. Excluding these proceeds, the total return would have been 16.01%.
(g)  Annualized.
(h)  Includes reorganization costs associated with the Trust’s merger. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 0.94%, 0.94% and 0.82% for the year ended August 31, 2015 and 1.00%, 0.96% and 0.85% for the year ended August 31, 2014, respectively.
(i)  Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:

 

    Six Months Ended
02/28/18
(Unaudited)		           Year Ended August 31,  
              2017            2016            2015            2014            2013         

Portfolio turnover rate (excluding MDRs)

             11 %        32 %        35 %        51 %        48 %        63 %   
 

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

    

See notes to financial statements.

 

 

86    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Consolidated Financial Highlights

(For a share outstanding throughout each period)

 

    HYT  
    Six Months Ended
02/28/18
(Unaudited)		           Year Ended August 31,  
        2017     2016     2015     2014     2013  

Net asset value, beginning of period

   $ 12.22             $ 11.79     $ 12.06     $ 13.47     $ 12.62     $ 12.32  
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income(a)

     0.42         0.85       0.82       0.87       0.98       1.00  

Net realized and unrealized gain (loss)

     (0.18 )        0.47       (0.10 )      (1.31 )      0.91       0.41  
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease) from investment operations

     0.24         1.32       0.72       (0.44 )      1.89       1.41  
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions from net investment income(b)

     (0.42 )        (0.89 )      (0.99 )      (0.97 )      (1.04 )      (1.11 ) 
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 12.04       $ 12.22     $ 11.79     $ 12.06 (c)    $ 13.47     $ 12.62  
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Market price, end of period

   $ 10.56       $ 11.13     $ 10.88     $ 9.97     $ 12.07     $ 11.37  
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Return(d)

              

Based on net asset value

     2.33 %(e)        12.41 %(f)      7.76 %      (2.40 )%(c)      16.21 %      11.90 % 
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Based on market price

     (1.45 )%(e)        10.94 %      20.29 %      (9.96 )%      15.58 %      (4.16 )% 
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Ratios to Average Net Assets

              

Total expenses(g)

     1.85 %(h)        1.54 %      1.39 %(g)      1.37 %      1.35 %(i)      1.54 %(j) 
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses after fees waived(g)

     1.84 %(h)        1.54 %      1.39 %      1.37 %      1.35 %(i)      1.54 %(j) 
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses after fees waived and excluding interest expense(g)

     0.92 %(h)        0.91 %      0.93 %      0.96 %      0.98 %(i)      1.16 %(j)(k) 
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income(g)

     6.97 %(h)        7.04 %      7.30 %      6.88 %      7.40 %      7.83 % 
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Supplemental Data

              

Net assets, end of period (000)

   $ 1,518,810       $ 1,545,622     $ 1,492,948     $ 1,527,307     $ 1,705,422     $ 446,847  
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Borrowings outstanding, end of period (000)

   $ 663,000       $ 649,000     $ 604,000     $ 631,000     $ 723,000     $ 191,000  
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Asset coverage, end of period per $1,000 of bank borrowing

   $ 3,292       $ 3,382     $ 3,472     $ 3,419     $ 3,359     $ 3,340  
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Portfolio turnover rate

     33 %        75 %      66 %      57 %      64 %      77 % 
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)  Based on average shares outstanding.
(b)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(c)  For financial reporting purposes, the market value of certain total return swaps were adjusted as of report date. Accordingly, the net asset value (“NAV”) per share and total return performance based on net asset value presented herein are different than the information previously published on August 31, 2015.
(d)  Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.
(e)  Aggregate total return.
(f)  Includes payment received from an affiliate, which had no impact on the Trust’s total return.
(g)  Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

 

    Six Months Ended
02/28/18
(unaudited)		           Year Ended August 31,  
              2017            2016            2015            2014            2013         

Investments in underlying funds

           0.01 %              0.04 %              0.11 %              — %              — %              — %         
 

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

    

 

(h)  Annualized.
(i)  Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.34%, 1.34% and 0.97%, respectively.
(j)  Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.50%, 1.50% and 1.12%, respectively.
(k) For the year ended August 31, 2013, the total expense ratio after fees waived and paid indirectly and excluding interest expense, borrowing costs and income tax was 1.15%.

 

 

FINANCIAL HIGHLIGHTS      87  

Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BKT  
    Six Months Ended
02/28/18
(Unaudited)		           Year Ended August 31,  
          2017     2016      2015     2014     2013  

Net asset value, beginning of period

   $ 6.74             $ 6.96     $ 7.08      $ 7.27     $ 7.32     $ 7.94  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Net investment income(a)

     0.12         0.25       0.28        0.32       0.35       0.32  

Net realized and unrealized gain (loss)

     (0.25 )        (0.15 )      (0.05 )       (0.11 )      0.03       (0.46 ) 
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Net increase (decrease) from investment operations

     (0.13 )        0.10       0.23        0.21       0.38       (0.14 ) 
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Distributions from net investment income(b)

     (0.16 )        (0.32 )      (0.35 )       (0.40 )      (0.43 )      (0.48 ) 
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 6.45       $ 6.74     $ 6.96      $ 7.08     $ 7.27     $ 7.32  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Market price, end of period

   $ 5.91       $ 6.31     $ 6.60      $ 6.30     $ 6.42     $ 6.40  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Total Return(c)

               

Based on net asset value

     (1.80 )%(d)        1.82 %      3.64 %       3.56 %      6.05 %      (1.45 )% 
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Based on market price

     (3.89 )%(d)        0.53 %      10.44 %       4.35 %      7.12 %      (10.34 )% 
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Ratios to Average Net Assets

               

Total expenses

     1.52 %(e)        1.29 %(f)      1.08 %       0.99 %(g)      1.02 %(g)      1.00 % 
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Total expenses after fees waived

     1.52 %(e)        1.28 %(f)      1.08 %       0.99 %(g)      1.02 %(g)      1.00 % 
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Total expenses after fees waived and excluding interest expense

     0.92 %(e)        0.90 %(f)      0.89 %       0.90 %(g)      0.96 %(g)      0.90 % 
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Net investment income

     3.63 %(e)        3.63 %(f)      4.01 %       4.48 %      4.74 %      4.18 % 
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Supplemental Data

               

Net assets, end of period (000)

   $ 411,377       $ 430,830     $ 444,882      $ 452,616     $ 464,933     $ 467,948  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Borrowings outstanding, end of period (000)

   $ 170,721       $ 185,769     $ 152,859      $ 173,695     $ 205,415     $ 148,344  
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

Portfolio turnover rate(h)

     197 %        346 %      141 %       191 %      256 %      358 % 
 

 

 

    

 

 

    

 

 

    

 

 

     

 

 

    

 

 

    

 

 

  

 

(a)  Based on average shares outstanding.
(b)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(c)  Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.
(d)  Aggregate total return.
(e)  Annualized.
(f)  Excludes 0.01% of expenses incurred indirectly as a result of investments in underlying funds.
(g)  Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived, and total expenses after fees waived and excluding interest expense would have been 0.99%, 0.99% and 0.89% for the year ended August 31, 2015 and 0.97%, 0.97% and 0.90% for the year ended August 31, 2014, respectively.
(h)  Includes MDRs. Additional information regarding portfolio turnover rate is as follows:.

 

    Six Months Ended
02/28/18
(Unaudited)		           Year Ended August 31,  
              2017            2016            2015            2014            2013         

Portfolio turnover rate (excluding MDRs)

             85 %              161 %              63 %              78 %              125 %              196 %         
 

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

    

See notes to financial statements.

 

 

88    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements

 

1. ORGANIZATION

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Trusts”, or individually as a “Trust”:

 

Trust Name   Herein Referred to As    Organized    Diversification
Classification

BlackRock Core Bond Trust

   BHK    Delaware    Diversified

BlackRock Corporate High Yield Trust, Inc.

   HYT    Maryland    Diversified

BlackRock Income Trust, Inc.

   BKT    Maryland    Diversified

The Boards of Directors and Board of Trustees of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board,” and the directors/trustees thereof are collectively referred to throughout this report as “Trustees.” The Trusts determine and make available for publication the net asset value (“NAV”) of their Common Shares on a daily basis.

The Trusts, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of closed-end funds referred to as the Closed-End Complex.

Basis of Consolidation: The accompanying consolidated financial statements of HYT include the accounts of BLK HYT (Luxembourg) Investments, S.a.r.l., BLK HYV (Luxembourg) Investments, S.a.r.l., BLK COY (Luxembourg) Investments, S.a.r.l. and BLK CYE (Luxembourg) Investments, S.a.r.l. (collectively, the “Taxable Subsidiaries”), which are wholly-owned taxable subsidiaries of HYT which hold shares of private Canadian companies, Laricina Energy Ltd. and Osum Oil Sands Corp. Gains on the sale of such shares will generally not be subject to capital gains taxes in Canada. Income earned on the investment held by the Taxable Subsidiary may be taxable to such subsidiary in Luxembourg. A tax provision, if any, is included in expenses in the Consolidated Statements of Operations for HYT. The net assets of the Taxable Subsidiaries as of period end were $731,493, which is less than 0.1% of HYT’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Taxable Subsidiaries are subject to the same investment policies and restrictions that apply to HYT.

 

2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are 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 date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Trusts are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, 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 an accrual basis.

Foreign Currency Translation: Each Trust’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

Each Trust does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Trust reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., dollar rolls, To-be-announced (“TBA”) sale commitments, futures contracts, forward foreign currency exchange contracts, options written, swaps and short sales) or certain borrowings (e.g., reverse repurchase transactions,) that would be treated as “senior securities” for 1940 Act purposes, a Trust may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowing to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Trusts may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Distributions: Distributions from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the 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

 

 

NOTES TO FINANCIAL STATEMENTS      89  

Notes to Financial Statements  (continued)

 

common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, if applicable. Deferred compensation liabilities are included in the Trustees’ and Officer’s fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.

Recent Accounting Standards: In November 2016, the Financial Accounting Standards Board issued Accounting Standards Update “Restricted Cash” which will require entities to include the total of cash, cash equivalents, restricted cash, and restricted cash equivalents in the beginning and ending cash balances in the Statements of Cash Flows. The guidance will be applied retrospectively and is effective for fiscal years beginning after December 15, 2017, and interim periods within those years. Management is evaluating the impact, if any, of this guidance on the Trusts’ presentation in the Statements of Cash Flows.

In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update “Premium Amortization of Purchased Callable Debt Securities” which amends the amortization period for certain purchased callable debt securities. Under the new guidance, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features and are callable at fixed prices will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis and is effective for fiscal years, and their interim periods, beginning after December 15, 2018. Management is currently evaluating the impact of this guidance to the Trusts.

Indemnifications: In the normal course of business, a Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Trust, which cannot be predicted with any certainty.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several trusts, including other trusts managed by the Manager, are prorated among those trusts on the basis of relative net assets or other appropriate methods.

 

3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

Investment Valuation Policies: The Trusts’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Trust’s assets and liabilities:

 

  •   Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments traded on more than one exchange, the official closing price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

 

  •   Fixed-income securities for which market quotations are readily available are generally valued using the last available bid prices or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a trust may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the NYSE that may not be reflected in the computation of the Trusts’ net assets. Each business day, the Trusts use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

 

  •   Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.

 

  •   Investments in open-end U.S. mutual funds are valued at NAV each business day.

 

  •   Futures contracts traded on exchanges are valued at their last sale price.

 

 

90    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements  (continued)

 

 

  •   Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

 

  •   Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. OTC options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

 

  •   Swap agreements are valued utilizing quotes received daily by the Trusts’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.

 

  •   TBA commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement.

The 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 each Trust’s pricing vendors, regular reviews 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 Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis. As a result of the inherent uncertainty in valuation of these investments, the fair values may differ from the values that would have been used had an active market existed.

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by third party pricing services utilize one or a combination of, but not limited to, the following inputs.

 

     Standard Inputs Generally Considered By Third Party Pricing Services

Market approach

  

(i)  recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;

(ii)   recapitalizations and other transactions across the capital structure; and

(iii)  market multiples of comparable issuers.

Income approach

  

(i)  future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks;

(ii)   quoted prices for similar investments or assets in active markets; and

(iii)  other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.

Cost approach

  

(i)  audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;

(ii)   changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;

(iii)  relevant news and other public sources; and

(iv)  known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Trust. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Trust is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Trust could receive upon the sale of the investment.

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

 

  •   Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Trust has the ability to access

 

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

 

 

NOTES TO FINANCIAL STATEMENTS      91  

Notes to Financial Statements  (continued)

 

 

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Trust’s policy, transfers between different levels of the fair value 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 instruments and is not necessarily an indication of the risks associated with investing in those securities.

As of February 28, 2018, certain investments of HYT were valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

 

4. SECURITIES AND OTHER INVESTMENTS

Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a trust may subsequently have to reinvest the proceeds at lower interest rates. If a 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.

For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that 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: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a trust’s initial investment in the IOs may not fully recoup.

Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are typically issued by the U.S. 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. Stripped mortgage-backed securities may be privately issued.

 

 

92    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements  (continued)

 

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Warrants: Warrants entitle a trust to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a trust will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.

Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a trust to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a trust to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a trust’s 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, a trust may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a trust upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A trust may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. A trust may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a trust having a contractual relationship only with the lender, not with the borrower. A trust has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a trust generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A trust may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a trust assumes the credit risk of both the borrower and the lender that is selling the Participation. A trust’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a trust may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a trust having a direct contractual relationship with the borrower, and a trust may enforce compliance by the borrower with the terms of the loan agreement.

In connection with floating rate loan interests, certain trusts may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a trust earns 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. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the trusts had the following unfunded floating rate loan interests:

 

Trust   Borrower    Par      Commitment
Amount		      Value      Unrealized
Appreciation		  

BHK

   Convergint Technologies LLC      4,111      $ 4,100      $ 4,103      $ 3  
  Mitchell International, Inc.      7,931        7,891        7,949        58  

HYT

   Convergint Technologies LLC      38,026        37,929        37,953        24  
    Mitchell International, Inc.      75,901        75,521        76,077        556  

 

 

NOTES TO FINANCIAL STATEMENTS      93  

Notes to Financial Statements  (continued)

 

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. A trust may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, a trust may be required to pay more at settlement than the security is worth. In addition, a trust is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a trust assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a trust’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

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. When entering into TBA commitments, a trust may 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.

In order to better define contractual rights and to secure rights that will help a trust mitigate their counterparty risk, TBA commitments may be entered into by a trust under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. The collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by a trust and the counterparty. Cash collateral that has been pledged to cover the obligations of a trust and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a trust, if any, is noted in the Schedules of Investments. Typically, a trust is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a trust is not fully collateralized, contractually or otherwise, a trust bears the risk of loss from counterparty non-performance.

Mortgage Dollar Roll Transactions: Certain trusts may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a trust is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and realize gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a trust is required to purchase may decline below the agreed upon repurchase price of those securities.

Borrowed Bond Agreements: Repurchase agreements may be referred to as borrowed bond agreements when entered into in connection with short sales of bonds. In a borrowed bond agreement, a trust borrows a bond from a counterparty in exchange for cash collateral. The agreement contains a commitment that the security and the cash will be returned to the counterparty and a trust at a mutually agreed upon date. Certain agreements have no stated maturity and can be terminated by either party at any time. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon rates between a 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. A trust may also experience delays in gaining access to the collateral.

Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third party broker dealers in which a trust sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A trust receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a trust continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A trust may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a trust suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a trust would still be required to pay the full repurchase price. Further, a trust remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a trust would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.

Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a trust to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a trust may receive a fee for the use of the security by the counterparty, which may result in interest income to a trust.

For the six months ended February 28, 2018, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rates for the Trusts were as follows:

 

     Average Amount
Outstanding		      Daily Weighted Average
Interest Rate		  

BHK

   $ 338,379,828        1.54 % 

BKT

     180,449,493        1.39  

Borrowed bond agreements and reverse repurchase transactions are entered into by a trust under Master Repurchase Agreements (each, an “MRA”), which permit a trust, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a trust. With borrowed bond agreements and reverse repurchase transactions,

 

 

94    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements  (continued)

 

typically a trust and counterparty under an MRA are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a trust receives or posts securities and cash as collateral with a market value in excess of the repurchase price to be paid or received by a trust upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a trust is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

As of period end, the following table is a summary of BHK’s open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:

 

BHK                             
Counterparty   Reverse Repurchase
Agreements		     

Fair Value of

Non-cash Collateral
Pledged Including
Accrued Interest (a)

     Cash Collateral
Pledged/Received		     Net Amount  

Barclays Capital, Inc.

   $ 390,942      $ (390,942 )    $ —     $ —  

BNP Paribas Securities Corp.

     80,580,621        (80,580,621 )      —       —  

Citigroup GlobalMarket, Inc.

     1,006,447        (1,006,447 )      —       —  

Credit Suisse Securities (USA) LLC

     8,377,594        (8,377,594 )      —       —  

Deutsche Bank AG

     22,893,627        (22,148,336 )      (745,291 )      —  

HSBC Securities (USA), Inc.

     85,317,767        (85,317,767 )      —       —  

J.P. Morgan Securities LLC

     8,423,344        (8,423,344 )      —       —  

Merrill Lynch, Pierce, Fenner & Smith, Inc.

     2,027,261        (2,027,261 )      —       —  

Nomura Securities International, Inc.

     28,945,767        (26,495,802 )      (2,449,965 )      —  

RBC Capital Markets LLC

     120,127,570        (120,127,570 )      —       —  

UBS Securities LLC

     10,718,718        (10,718,718 )      —       —  
 

 

 

     

 

 

    

 

 

    

 

 

  
  $ 368,809,658      $ (365,614,402 )    $ (3,195,256 )    $ —  
 

 

 

     

 

 

    

 

 

    

 

 

  

 

  (a)  Net collateral, including accrued interest, with a value of $387,401,872 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes.  

As of period end, the following table is a summary of BKT’s open borrowed bond agreements and reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:

 

BKT                                                                      
Counterparty  

Borrowed

Bonds

Agreements (a)

     Reverse
Repurchase
Agreements		    

Borrowed

Bonds at

Value

including

Accrued

Interest (b)

    

Net Amount

before

Collateral

    

Non-cash

Collateral

Received

    

Cash

Collateral

Received

    

Fair Value
Noncash

Collateral

Pledged

Including

Accrued
Interest (c)

    

Cash

Collateral

Pledged

    

Net

Collateral

Received) /

Pledged

    

Net Exposure

Due (to) /from

Counterparty (d)

  

HSBC Securities (USA), Inc.

   $ —     $ (170,720,769 )    $ —     $ (170,720,769 )    $ —     $ —     $ 170,720,769     $ —     $ —     $ —  

Credit Suisse Securities (USA) LLC

     925,024       —       (867,394 )      57,630       —       —       —       —       —       57,630  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 925,024     $ 170,720,769     $ (867,394 )    $ (170,663,139 )    $ —     $ —     $ 170,720,769     $ —     $ —     $ 57,630  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

  (a)  Included in Investments at value-unaffiliated in the Statements of Assets and Liabilities.  
  (b)  Includes accrued interest on borrowed bonds in the amount of $7,384 which is included in interest expense payable in the Statements of Assets and Liabilities.  
  (c)  Net collateral with a value of $176,518,638 has been pledged in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes.  
  (d)  Net exposure represents the net receivable (payable) that would be due from/to the counterparty in the event of default.  

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a trust’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a trust’s obligation to repurchase the securities.

Short Sale Transactions: In short sale transactions, a trust sells a security it does not hold in anticipation of a decline in the market price of that security. When a trust makes a short sale, it will borrow the security sold short (borrowed bond) and deliver the fixed-income security to the counterparty to which it sold the security short. An amount equal to the proceeds received by a trust 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. A trust is required to repay the counterparty interest on the security sold short, which, if applicable, is included in interest expense in the Statements of Operations. A trust is 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 an unlimited loss since there is an unlimited potential for the market price of the security sold short to increase. A gain is limited to the price at which a trust sold the security short. A realized gain or loss is recognized upon the termination of a short sale if the market price is either less than or greater than the proceeds originally received. There is no assurance that a trust will be able to close out a short position at a particular time or at an acceptable price.

 

 

NOTES TO FINANCIAL STATEMENTS      95  

Notes to Financial Statements  (continued)

 

 

5. DERIVATIVE FINANCIAL INSTRUMENTS

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are agreements between the Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.

Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated and in some cases, may be used to obtain exposure to a particular market.

The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

Options: Certain Trusts purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value — unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Trusts write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, such option is covered by cash in an amount sufficient to cover the obligation.

 

  •   Swaptions — Certain Trusts purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Trusts’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

 

  •   Foreign currency options — Certain Trusts purchase and write foreign currency options, foreign currency futures and options on foreign currency futures to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk). Foreign currency options give the purchaser the right to buy from or sell to the writer a foreign currency at any time before the expiration of the option.

In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security when it otherwise would not, or at a price different from the current market value.

Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Trusts and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).

 

 

96    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements  (continued)

 

For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Trusts’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the Trusts’ counterparty on the swap agreement becomes the CCP. The Trusts are required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the Statements of Operations.

 

  •   Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a trust is not otherwise exposed (credit risk).

The Trusts may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Trusts will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Trusts will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

 

  •   Total return swaps — Total return swaps are entered into to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one market (e.g., fixed-income) with another market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk).

Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. If the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Trusts receive payment from or make a payment to the counterparty.

 

  •   Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk).

Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.

 

  •   Forward swaps — Certain Trusts enter into forward interest rate swaps and forward total return swaps. In a forward swap, each Trust and the counterparty agree to make periodic net payments beginning on a specified date or a net payment at termination.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

Master Netting Arrangements: In order to define their contractual rights and to secure rights that will help them mitigate their counterparty risk, the Trusts may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each Trust and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Trust may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Trust and the counterparty.

Cash collateral that has been pledged to cover obligations of the Trusts and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Trusts, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Trusts. Any additional required collateral is delivered to/pledged by the Trusts on the next business day.

 

 

NOTES TO FINANCIAL STATEMENTS      97  

Notes to Financial Statements  (continued)

 

Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Trust generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Trusts from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Trusts have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Trusts do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

 

6. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Investment Advisory: Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment adviser, an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory and administrative services. The Manager is responsible for the management of each Trust’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Trust.

For such services, BHK pays the Manager a monthly fee based on an annual rate of 0.50% of the average weekly value of the Trust’s managed assets. For purposes of calculating this fee, “managed assets” means the total assets of the Trust minus the sum of its accrued liabilities (other than the aggregate indebtedness constituting financial leverage).

For such services, HYT pays the Manager a monthly fee at an annual rate equal to 0.60% of the average daily value of the Trust’s net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage. For purposes of calculating this fee, “net assets” means the total assets of the Trust minus the sum of its accrued liabilities.

For such services, BKT pays the Manager a monthly fee at an annual rate equal to 0.65% of the average weekly value of the Trust’s net assets. For purposes of calculating this fee, “net assets” means the total assets of the Trust minus the sum of its accrued liabilities (including the aggregate indebtedness constituting financial leverage).

The Manager provides investment management and other services to the Taxable Subsidiaries. The Manager does not receive separate compensation from the Taxable Subsidiaries for providing investment management or administrative services. However, HYT pays the Manager based on HYT’s net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage, which includes the assets of the Taxable Subsidiaries.

Distribution Fees: HYT had entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of HYT’s common shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”); however, HYT no longer actively engaged in a Shelf Offering, has no effective registration statement or current prospectus, and the Distribution Agreement has been terminated.

Administration: BKT has an Administration Agreement with the Manager. The administration fee paid monthly to the Manager is computed at an annual rate of 0.15% of BKT’s average weekly net assets. For BKT, the Manager may reduce or discontinue these arrangements at any time without notice.

Expense Waivers: 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 (the “affiliated money market fund waiver”). These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended February 28, 2018, the amounts waived were as follows:

 

     BHK      HYT      BKT  

Amounts waived

   $ 2,855      $ 971      $ 3,356  

The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Trust’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2018. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Trusts’ Independent Trustees. For the six months ended February 28, 2018, HYT waived $71,006 in investment advisory fees pursuant to these arrangements.

Trustees and Officers: Certain trustees and/or officers of the Trusts are directors and/or officers of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Trustees and Officer in the Statements of Operations.

Other Transactions: The Trusts may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the six months ended February 28, 2018, the purchase and sale transactions and any net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:

 

     Purchases      Sales      Net Realized Gain  

BHK

   $ 1,401,542      $ 247,549      $ 4,354  

HYT

     15,348,520        —        —  

 

 

98    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements  (continued)

 

 

7. PURCHASES AND SALES

For the six months ended February 28, 2018, purchases and sales of investments, including paydowns and mortgage dollar rolls and excluding short-term securities, were as follows:

 

Purchases  
     BHK      HYT      BKT  

Non-U.S. Government Securities

   $ 191,704,737      $ 758,794,661      $ 1,025,511,309  

U.S. Government Securities

     12,801,394        —        —  
 

 

 

     

 

 

     

 

 

  
  $ 204,506,131      $ 758,794,661      $ 1,025,511,309  
 

 

 

     

 

 

     

 

 

  

 

Sales  
     BHK      HYT      BKT  

Non-U.S. Government Securities

   $ 126,685,412      $ 722,914,977      $ 1,016,048,020  

U.S. Government Securities

     —        —        12,563,222  
 

 

 

     

 

 

     

 

 

  
  $ 126,685,412      $ 722,914,977      $ 1,028,611,242  
 

 

 

     

 

 

     

 

 

  

For the six months ended February 28, 2018, purchases and sales related to mortgage dollar rolls for BKT were $584,944,858 and $584,474,047, respectively.

 

8. INCOME TAX INFORMATION

It is each Trust’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required, except with respect to any taxes related to the Taxable Subsidiaries.

Each Trust files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Trust’s U.S. federal tax returns generally remains open for each of the four years ended August 31, 2017. The statutes of limitations on each Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Trusts as of February 28, 2018, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Trusts’ financial statements.

As of August 31, 2017, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires   BHK      HYT      BKT  

No expiration date(a)

   $ 6,194,640      $ 75,431,788      $ 41,910,926  

2018

     —        55,665,607        —  
 

 

 

     

 

 

     

 

 

  
  $ 6,194,640      $ 131,097,395      $ 41,910,926  
 

 

 

     

 

 

     

 

 

  

 

  (a)  Must be utilized prior to losses subject to expiration.  

As of February 28, 2018, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

 

     BHK     HYT     BKT  

Tax cost

   $ 1,114,390,482     $ 2,227,194,547     $ 641,039,354  
 

 

 

    

 

 

    

 

 

  

Gross unrealized appreciation

   $ 50,138,584     $ 58,243,048     $ 14,898,710  

Gross unrealized depreciation

     (32,811,740 )      (98,243,382 )      (47,133,634 ) 
 

 

 

    

 

 

    

 

 

  

Net unrealized appreciation (depreciation)

   $ 17,326,844     $ (40,000,334 )    $ (32,234,924 ) 
 

 

 

    

 

 

    

 

 

  

 

9. BANK BORROWINGS

HYT is party to a senior committed secured, 360-day rolling line of credit facility and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). SSB may elect to terminate its commitment upon 360-days written notice to HYT. As of period end, HYT has not received any notice to terminate. HYT has granted a security interest in substantially all of its assets to SSB.

The SSB Agreement allows for the maximum commitment of $732,000,000 for HYT.

Advances will be made by SSB to HYT, at HYT’s option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR. Overnight LIBOR and LIBOR rates are subject to a 0% floor.

In addition, HYT paid a commitment fee (based on the daily unused portion of the commitments). The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs, if any. Advances to HYT as of period end are shown in the Statements of Assets and Liabilities as bank borrowings payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.

 

 

NOTES TO FINANCIAL STATEMENTS      99  

Notes to Financial Statements  (continued)

 

HYT may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.

For the six months ended February 28, 2018, the average amount of bank borrowings and the daily weighted average interest rates for HYT for loans under the revolving credit agreements were $659,441,989 and 2.14%, respectively.

 

10. PRINCIPAL RISKS

Many municipalities insure repayment of their bonds, which may reduce the potential for loss due to credit risk. The market value of these bonds may fluctuate for other reasons, including market perception of the value of such insurance, and there is no guarantee that the insurer will meet its obligation.

Inventories of municipal bonds held by brokers and dealers may decrease, which would lessen their ability to make a market in these securities. Such a reduction in market making capacity could potentially decrease a Trust’s ability to buy or sell bonds. As a result, a Trust may sell a security at a lower price, sell other securities to raise cash, or give up an investment opportunity, any of which could have a negative impact on performance. If a Trust needed to sell large blocks of bonds, those sales could further reduce the bonds’ prices and impact performance.

In the normal course of business, certain Trusts invest in securities or other instruments and may enter into certain transactions, and such activities subject each Trust to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations.

Each Trust may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Trust to reinvest in lower yielding securities. Each Trust may also be exposed to reinvestment risk, which is the risk that income from each Trust’s portfolio will decline if each Trust invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Trust portfolio’s current earnings rate.

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Trust may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Trust’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Trust may lose value, regardless of the individual results of the securities and other instruments in which a Trust invests.

The price a Trust could receive upon the sale of any particular portfolio investment may differ from a Trust’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Trust’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Trust, and a Trust could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Trust’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.

Counterparty Credit Risk: The Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

A Trust’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by such Trust.

For OTC options purchased, each Trust bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Trusts should the counterparty fail to perform under the contracts. Options written by the Trusts do not typically give rise to counterparty credit risk, as options written generally obligate the Trusts, and not the counterparty, to perform. The Trusts may be exposed to counterparty credit risk with respect to options written to the extent the Trusts deposit collateral with its counterparty to a written option.

With exchange-traded options purchased and futures and centrally cleared swaps, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.

 

 

100    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements  (continued)

 

Concentration Risk: Certain Trusts may invest in securities that are rated below investment grade quality (sometimes called “junk bonds”), which are predominantly speculative, have greater credit risk and generally are less liquid and have more volatile prices than higher quality securities.

Certain Trusts invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise.

Certain Trusts invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Investment percentages in these securities are presented in the Schedules of Investments. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.

 

11. CAPITAL SHARE TRANSACTIONS

BHK is authorized to issue an unlimited number of shares, par value $0.001, all of which were initially classified as Common Shares. HYT is authorized to issue 200 million shares, par value $0.10, all of which were initially classified as Common Shares. BKT is authorized to issue 200 million shares, par value $0.01, all of which were initially classified as Common Shares. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.

Common Shares: The Board previously approved each Trust’s participation in an open market share repurchase program that allowed each Trust to purchase, at prevailing market prices, up to 5% of its common shares outstanding as of the close of business on October 28, 2016 through November 30, 2017, subject to certain conditions. On September 6, 2017, the Board approved a renewal of this program. Commencing December 1, 2017, each Trust may purchase through November 30, 2018, up to 5% of its common shares outstanding as of the close of business on November 30, 2017, subject to certain conditions. The total amount of repurchases is reflected in the Trusts’ Statements of Changes in Net Assets.

For the periods shown, shares repurchased and cost, including transaction costs were as follows:

 

     HYT     

 

      BKT  
     Shares     

Amount

             

Shares

     

Amount

  

Six Months Ended February 28, 2018

     333,901      $ 3,562,736           119,661      $ 702,494  

Year Ended August 31, 2017

     140,680        1,553,292                 —        —  

For the six months ended February 28, 2018 and year ended August 31, 2017, shares issued and outstanding remained constant for BHK.

 

12. CONTINGENCIES

In May 2015, the Motors Liquidation Company Avoidance Action Trust, as the Trust Administrator and Trustee of the General Motors bankruptcy estate, began serving amended complaints on defendants, which include former holders of certain General Motors debt (the “Debt”), in an adversary proceeding in the United States Bankruptcy Court for the Southern District of New York. In addition to HYT, the lawsuit also names over five hundred other institutional investors as defendants, some of which are also managed by BlackRock Advisors, LLC or its affiliates. The plaintiffs are seeking an order that HYT and other defendants return proceeds received in 2009 in full payment of the principal and interest on the Debt. The holders received a full repayment of a term loan pursuant to a court order in the General Motors bankruptcy proceeding with the understanding that the Debt was fully secured at the time of repayment. The plaintiffs contend that HYT and other defendants were not secured creditors at the time of the 2009 payments and therefore not entitled to the payments in full. HYT cannot predict the outcome of the lawsuit, or the effect, if any, on HYT’s NAV. As such, no liability for litigation related to this matter is reflected in the financial statements. Management cannot determine the amount of loss that will be realized by HYT but does not expect the loss to exceed the payment received in 2009. The amount of the proceeds received in 2009 is $3,528,671.

 

13. SUBSEQUENT EVENTS

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

 

     Common Dividend
Per Share		  
     Paid (a)      Declared (b)  

BHK

   $ 0.0650      $ 0.0650  

HYT

     0.0700        0.0700  

BKT

     0.0265        0.0265  

 

  (a)  Net investment income dividend paid on March 29, 2018 to Common Shareholders of record on March 15, 2018.  
  (b)  Net investment income dividend declared on April 2, 2018, payable to Common Shareholders of record on April 16, 2018.  

 

 

NOTES TO FINANCIAL STATEMENTS      101  

Trustee and Officer Information

 

Richard E. Cavanagh, Chair of the Board and Trustee

Karen P. Robards, Vice Chair of the Board and Trustee

Michael J. Castellano, Trustee

Cynthia L. Egan, Trustee

Frank J. Fabozzi, Trustee

R. Glenn Hubbard, Trustee

W. Carl Kester, Trustee

Catherine A. Lynch, Trustee

Robert Fairbairn, Trustee

John M. Perlowski, Trustee, President and Chief Executive Officer

Jonathan Diorio, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Janey Ahn, Secretary

 

Effective December 31, 2017, Jerrold B. Harris retired as a Trustee of the Funds.

Effective February 16, 2018, Barbara G. Novick resigned, and Robert Fairbairn was appointed, as an interested Trustee of the Funds.

 

Investment Adviser   Transfer Agent
BlackRock Advisors, LLC   Computershare Trust Company, N.A.
Wilmington, DE 19809   Canton, MA 02021
 
Distributor   Legal Counsel
BlackRock Investments, LLC(a)   Skadden, Arps, Slate, Meagher & Flom LLP
New York, NY 10022   Boston, MA 02116
 
Accounting Agent and Custodian   Independent Registered Public Accounting Firm
State Street Bank and Trust Company   Deloitte & Touche LLP
Boston, MA 02111   Boston, MA 02116
 
  Address of the Trusts
  100 Bellevue Parkway
  Wilmington, DE 19809

 

(a)  For HYT.

 

 

102    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Additional Information

 

Trust Certification

The Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts filed with the U.S. Securities and Exchange Commission (“SEC”) the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

Dividend Policy

Each Trust’s 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 distributions 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 portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. 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. 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.

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 the completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.

In accordance with Section 23(c) of the Investment Company Act of 1940, as amended, the Trusts from time to time may purchase shares of its Common Shares in the open market or in private transactions.

Except as described below, during the period, there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charters or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders or in the principal risk factors associated with investment in the Trusts. Other than as reported on page 110, there have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

On January 30, 2018, the Board of BKT received a non-binding shareholder proposal for the annual meeting requesting that the Board authorize a self-tender offer for all outstanding shares of common stock of the Trust.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the Trusts’ electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

To enroll in electronic delivery:

Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisers, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, 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) 882-0052.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year 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, D.C. Information on the operation of the Public Reference Room or 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) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

 

 

ADDITIONAL INFORMATION      103  

Additional Information  (continued)

 

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 882-0052; and (2) on the SEC’s website at http://www.sec.gov.

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Section 19(a) Notices

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

February 28, 2018

 

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

BHK

   $ 0.390000     $ —     $ —     $ —     $ 0.390000       100 %      0 %      0 %      0 %      100 % 

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

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

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.

 

 

104    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Glossary of Terms Used in this Report

 

Currency Abbreviations
ARS    Argentine Peso
AUD    Australian Dollar
CAD    Canadian Dollar
EUR    Euro
GBP    British Pound
NZD    New Zealand Dollar
USD    U.S. Dollar
Portfolio Abbreviations
CLO    Collateralized Loan Obligation
ETF    Exchange-Traded Fund
FHLMC    Federal Home Loan Mortgage Corp.
FNMA    Federal National Mortgage Association
GO    General Obligation Bonds
IO    Interest Only
LIBOR    London Interbank Offered Rate
MTN    Medium-Term Note
PIK    Payment-In-Kind
RB    Revenue Bonds
 

 

 

GLOSSARY OF TERMS USED IN THIS REPORT      105  

This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Trusts have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

 

LOGO

 

 

CEFBHK-2/18-SAR    LOGO

Item  2  – Code of Ethics – Not Applicable to this semi-annual report

 

Item  3  – Audit Committee Financial Expert – Not Applicable to this semi-annual report

 

Item  4  – Principal Accountant Fees and Services – Not Applicable to this semi-annual report

 

Item  5  – Audit Committee of Listed Registrants – Not Applicable to this semi-annual report

 

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 – Not Applicable to this semi-annual report

 

Item  8  – Portfolio Managers of Closed-End Management Investment Companies

(a) Not Applicable to this semi-annual report.

(b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

 

Item  9  – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

 

Period

(a) Total
Number of  

Shares
Purchased

(b) Average
Price Paid per  

Share

(c) Total Number of
Shares Purchased as Part  

of Publicly Announced
Plans or Programs

 (d) Maximum Number of
  Shares that May Yet Be
Purchased Under the
Plans or Programs1

September 1-30, 2017

 N/A N/A N/A 3,197,126

October 1-31, 2017

 N/A N/A N/A 3,197,126

November 1-30, 2017

 N/A N/A N/A 3,197,126

December 1-31, 2017

 N/A N/A N/A 3,197,126

January 1-31, 2018

 N/A N/A N/A 3,197,126

February 28, 2018

 119,661 $5.8607 119,661 3,077,465

Total:

 119,661 $5.8607 119,661 3,077,465

1The Fund announced an open market share repurchase program on October 28, 2016 pursuant to which the Fund was authorized to repurchase, through November 30, 2017, up to 5% of its outstanding common shares based on common shares outstanding on October 28, 2016 (3,197,126 common shares), in open market transactions. On September 6, 2017, the Fund announced a continuation of the open market share repurchase program, which commenced on December 1, 2017. The Fund may repurchase up to 5% of its outstanding shares based on common shares outstanding on November 30, 2017, in open market transactions, subject to certain conditions.

 

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

 

2

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 – Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

(a) The following table shows the dollar amounts of income, and dollar amounts of fees and/or compensation paid, relating to the Fund’s securities lending activities during the semi-annual period ended February 28, 2018. The Fund did not engage in any securities lending activity during the semi-annual period ended February 28, 2018.

 

BlackRock Income Trust, Inc.

  (1)

       Gross income from securities lending activities   $0        

  (2)

       Fees and/or compensation for securities lending activities and related services  
             (a)  

  Securities lending income paid to BIM for services as securities lending agent

       $0                
             (b)  

  Collateral management expenses (including fees deducted from a polled cash collateral vehicle) not included in (a)

   $0                
             (c)     Administrative fees not included in (a)   $0                
             (d)     Indemnification fees not included in (a)   $0                
             (e)     Rebate (paid to borrowers)   $0                
             (f)     Other fees not included in (a)   $0                

  (3)

       Aggregate fees/compensation for securities lending activities   $0        

  (4)

       Net income from securities lending activities   $0        

(b) BlackRock Investment Management, LLC (“BIM”) serves as securities lending agent for the Fund and in that role administers the Fund’s securities lending program pursuant to the terms of a securities lending agency agreement entered into between the Fund and BIM.

 

Item 13 – Exhibits attached hereto

(a)(1) – Code of Ethics – Not Applicable to this semi-annual report

(a)(2) – Certifications – Attached hereto

(a)(3) – Not Applicable

(a)(4) – Not Applicable

(b) – Certifications – Attached hereto

 

3

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: May 4, 2018

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: May 4, 2018

 

By:

   /s/ Neal J. Andrews                                 
  Neal J. Andrews
 

Chief Financial Officer (principal financial officer) of

BlackRock Income Trust, Inc.

Date: May 4, 2018

 

4