BLACKROCK CORE BOND TRUST

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 811-10543

Name of Fund: BlackRock Core Bond Trust (BHK)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Core Bond Trust,

55 East 52nd Street, New York, NY 10055

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

Date of fiscal year end: 08/31/2019

Date of reporting period: 02/28/2019


Item 1 – Report to Stockholders


FEBRUARY 28, 2019

 

SEMI-ANNUAL REPORT (UNAUDITED)

  LOGO

 

BlackRock Core Bond Trust (BHK)

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

 

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of each Trust’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from BlackRock or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future reports in paper free of charge. If you hold accounts directly with BlackRock, you can call Computershare at (800) 699-1236 to request that you continue receiving paper copies of your shareholder reports. If you hold accounts through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds advised by BlackRock Advisors, LLC or its affiliates, or all funds held with your financial intermediary, as applicable.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all financial intermediaries may offer this service.

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


The Markets in Review

Dear Shareholder,

In the 12 months ended February 28, 2019, concerns about a variety of political risks and a modest slowdown in global growth led to modest positive returns for the U.S. equity and bond markets. Though the market’s appetite for risk remained healthy for most of the reporting period, risk taking declined sharply in late 2018.

Volatility rose in emerging market stocks, as the rising U.S. dollar and higher interest rates in the U.S. disrupted economic growth abroad. U.S.-China trade relations and debt concerns adversely affected the Chinese stock market, while Turkey and Argentina became embroiled in currency crises, largely due to hyperinflation in both countries. An economic slowdown in Europe also led to negative performance for European equities.

Volatility in the U.S. equity market spiked in October, as a wide range of risks were brought to bear on markets, ranging from rising interest rates and slowing global growth to heightened trade tensions and political turmoil in several countries, including the United States. These risks manifested in a broad based sell-off in December, leading to the worst December performance on record since 1931.

By comparison, fixed income securities delivered modest positive returns with relatively low volatility. In fixed income markets, short-term U.S. Treasury interest rates rose the fastest, while longer-term rates declined slightly. This led to positive returns for U.S. Treasuries and a substantial flattening of the yield curve. Investment-grade and high-yield corporate bonds also posted positive returns, as the credit fundamentals in corporate markets remained relatively solid.

The U.S. Federal Reserve (the “Fed”) increased short-term interest rates four times during the reporting period. At its most recent meeting in late January, the Fed left interest rates unchanged and signaled a slower pace of rate hikes in response to the global economic slowdown. Relatively low inflation and modest economic growth give the Fed room to maintain support for the economy until the economic data builds the case for changing interest rates.

Although fears of recession drove equity volatility higher at the end of 2018, we continue to believe the probability of recession in 2019 remains relatively low. Economic growth and global earnings are likely to slow somewhat in 2019 because the tax cut stimulus will be less pronounced, and the Fed’s rate hikes in 2018 will gain traction in 2019. We expect profit margins to continue to contract, which tends to happen late in the business cycle.

In addition, trade frictions look more baked into asset prices than a year ago, but markets may be overlooking European political risks. As Brexit moves forward, the U.K. and the European Union may face significant obstacles. Most recently, Britain’s Parliament voted to extend the deadline for the separation, as policy makers continue to seek the least disruptive ways to disentangle Europe’s second-largest economy from the European Union. Consequently, we are cautious on European equities, as European unity remains tenuous with a history of flare-ups. We continue to prefer to take risk in U.S. and emerging market equities. Within U.S. equities, we believe that companies with high-quality earnings and strong balance sheets offer the most attractive risk/reward trade-off.

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, 2019
     6-month   12-month

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

  (3.04)%   4.68%

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

  (8.86)   5.58

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

  (3.58)   (6.04)

Emerging market equities
(MSCI Emerging Markets Index)

  0.33   (9.89)

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

  1.10   2.04

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

  2.57   4.02

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

  1.99   3.17

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

  2.21   4.03

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

  2.00   4.31
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

     10  

Derivative Financial Instruments

     10  

Financial Statements:

  

Schedules of Investments

     11  

Statements of Assets and Liabilities

     66  

Statements of Operations

     68  

Statements of Changes in Net Assets

     69  

Statements of Cash Flows

     71  

Financial Highlights

     73  

Notes to Financial Statements

     75  

Trustee and Officer Information

     87  

Additional Information

     88  

Glossary of Terms Used in this Report

     90  

 

 

          3  


Trust Summary  as of February 28, 2019    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”), S&P Global Ratings (“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, 2019 ($13.07)(a)

  5.97%

Current Monthly Distribution per Common Share(b)

  $0.0650

Current Annualized Distribution per Common Share(b)

  $0.7800

Economic Leverage as of February 28, 2019(c)

  28%

 

  (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 10.

 

Market Price and Net Asset Value Per Share Summary

 

     02/28/19     

08/31/18

     Change      High      Low  

Market Price

  $ 13.07      $ 12.85        1.71    $ 13.19      $ 12.08  

Net Asset Value

    13.94        14.08        (0.99      14.08        13.41  

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

 

LOGO

 

 

4    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2019 (continued)    BlackRock Core Bond Trust

 

Performance and Portfolio Management Commentary

Returns for the period ended February 28, 2019 were as follows:

 

          6-Month
Total Returns
    Average Annual Total Returns  
            1 Year      3 Years      5 Years  

Trust at NAV(a)(b)

      2.12     3.48      6.05      5.55

Trust at Market Price(a)(b)

      4.91       5.18        6.35        6.18  

Reference Benchmark(c)

      1.77       3.18        3.85        3.65  

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

      0.87       2.17        3.13        4.54  

Bloomberg Barclays Intermediate Credit Index(e)

      2.47       3.49        2.72        2.50  

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

      2.00       4.31        9.80        4.54  

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

      2.70       4.02        2.19        2.46  

Bloomberg Barclays MBS Index(h)

      2.17       3.58        1.38        2.28  

Bloomberg Barclays ABS Index(i)

            1.97       3.12        1.62        1.71  

 

  (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 narrowed 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 largest positive contributions to the Trust’s performance over the period came from its allocations to high yield corporate bonds, asset backed securities (“ABS”), collateralized loan obligations and capital securities.

The principal detractors from the Trust’s performance were its exposures to investment grade corporate bonds and U.S. Treasuries.

Describe recent portfolio activity.

There were no significant changes to the portfolio’s allocations during the six-month period.

Describe portfolio positioning at period end.

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

 

 

TRUST SUMMARY      5  


Trust Summary  as of February 28, 2019 (continued)    BlackRock Core Bond Trust

 

Overview of the Trust’s Total Investments

 

PORTFOLIO COMPOSITION

 

     02/28/19    

08/31/18

 

Corporate Bonds

    48     48

U.S. Treasury Obligations

    16       12  

U.S. Government Sponsored Agency Securities

    11       10  

Preferred Securities

    8       9  

Asset-Backed Securities

    6       8  

Non-Agency Mortgage-Backed Securities

    4       6  

Foreign Agency Obligations

    2       2  

Municipal Bonds

    2       2  

Floating Rate Loan Interests

    2       2  

Short-Term Securities

    1       1  

Options Purchased(a)

           

Options Written(a)

           

 

  (a) 

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

 

CREDIT QUALITY ALLOCATION (b)(c)

 

     02/28/19    

08/31/18

 

AAA/Aaa(d)

    30     24

AA/Aa

    5       5  

A

    15       15  

BBB/Baa

    26       28  

BB/Ba

    11       11  

B

    7       8  

CCC/Caa

    2       4  

N/R

    4       5  

 

  (b) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service (“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    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2019    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, 2019 ($10.25)(a)

  8.43%

Current Monthly Distribution per Common Share(b)

  $0.0720

Current Annualized Distribution per Common Share(b)

  $0.8640

Economic Leverage as of February 28, 2019(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 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 10.

 

Market Price and Net Asset Value Per Share Summary

 

     02/28/19     

08/31/18

     Change      High      Low  

Market Price

  $ 10.25      $ 10.70        (4.21 )%     $ 10.73      $ 8.95  

Net Asset Value

    11.57        11.90        (2.77      11.93        10.66  

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

 

LOGO

 

 

TRUST SUMMARY      7  


Trust Summary  as of February 28, 2019 (continued)    BlackRock Corporate High Yield Fund, Inc.

 

Performance and Portfolio Management Commentary

Returns for the period ended February 28, 2019 were as follows:

 

                 Average Annual Total Returns  
            6-Month
Total Returns
     1 Year      3 Years      5 Years  

Trust at NAV(a)(b)

      1.55      4.45      11.56      5.67

Trust at Market Price(a)(b)

      0.05        5.50        10.16        4.61  

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

            2.00        4.31        9.80        4.54  

 

  (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 absolute performance based on NAV:

The largest positive contributors to the Trust’s performance included exposure to the cable & satellite, technology and health care sectors. By credit rating, BB-rated names were the best performers, followed closely by B-rated positions. In terms of asset allocation, the Trust’s core high yield corporate bond position was the strongest driver of performance, while a smaller position in floating rate loan interests (“bank loans”) also contributed.

The largest detractors from performance included exposure to the oil field services, independent energy and gaming sectors. The non-rated segment of the portfolio, which largely comprises preferred & common equity positions, detracted as well over the period.

Describe recent portfolio activity.

Over the period, the Trust maintained a tactical allocation to bank loans as these senior/secured instruments provide relatively high income with next-to-no duration (and corresponding interest rate risk). This allocation increased over the first few months of the six-month period before being pared back in late 2018. Positioning with respect to credit rating remained relatively constant throughout the period, as the Trust maintained an overweight to B-rated and selective CCC-rated names while staying underweight the BB-rated segment of the market. By sector, the Trust added to the technology and health care sectors while reducing risk across communications, particularly the cable & satellite and wireless sectors. Additionally, the Trust reduced allocations to the gaming and automotive sectors.

The Trust’s derivative usage was modest over the period and included high yield index total return swaps, index credit default swaps and high yield exchange traded funds. The use of derivatives during the period had a positive impact on Trust performance.

Describe portfolio positioning at period end.

At period end, the Trust held the majority of its assets in corporate bonds, with a more 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 positions on a relative value basis. The Trust also maintained exposure to equity futures strategies to help manage overall portfolio risk contribution. At period end, top-issuer overweight positions included Cablevision Systems Corp. (cable & satellite), Clear Channel Worldwide Holdings, Inc. (media & entertainment), and the Refinitiv (technology).

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    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2019 (continued)    BlackRock Corporate High Yield Fund, Inc.

 

Overview of the Trust’s Total Investments

 

PORTFOLIO COMPOSITION

 

     02/28/19    

08/31/18

 

Corporate Bonds

    80     79

Floating Rate Loan Interests

    12       10  

Preferred Securities

    3       4  

Asset-Backed Securities

    3       3  

Common Stocks

    2       3  

Investment Companies

          1  

Other

    (a)       (b)  

 

  (a) 

Representing less than 1% of the Trust’s total investments and Other may include Warrants, Other Interests, Short-Term Securities, Options Purchased and Options Written.

 
  (b) 

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 (c)(d)

 

     02/28/19    

08/31/18

 

A

    1     1

BBB/Baa

    8       4  

BB/Ba

    39       30  

B

    37       38  

CCC/Caa

    10       18  

N/R

    5       9  

 

  (c) 

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.

 
  (d) 

Excludes Short-Term Securities, Options Purchased and Options Written.

 
 

 

 

TRUST SUMMARY      9  


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, there is no guarantee that these objectives can 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 (after paying the leverage costs) is paid to shareholders in the form of dividends, and the value of these portfolio holdings (less the leverage liability) 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 amount 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 Trust 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.

 

 

10    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Asset-Backed Securities — 7.6%  

AIMCO CLO, Series 2014-AA, Class DR, (3 mo. LIBOR US + 3.55%), 6.01%, 07/20/26(a)(b)

    USD       795     $ 790,251  

ALM VI Ltd.(a)(c):

     

5.49%, 07/15/26

      1,000       971,733  

Series 2012-6A, Class BR3, 4.54%, 07/15/26

      1,000       981,313  

ALM XII Ltd., Series 2015-12A, Class C1R2, 5.43%, 04/16/27(a)(c)

      545       526,647  

ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class CR2, 5.49%, 07/15/27(a)(c)

      2,080       2,038,827  

Anchorage Capital CLO Ltd.(a):

     

Series 2013-1A, Class CR, 6.00%, 10/13/30(c)

      720       710,277  

Series 2016-8A, Class DR, 5.76%, 07/28/28(c)

      1,000       977,988  

Series 2016-9A, Class D, (3 mo. LIBOR US + 4.00%), 6.79%, 01/15/29(b)

      650       646,834  

Battalion CLO X Ltd., Series 2016-10A, Class C, (3 mo. LIBOR US + 4.25%), 7.03%, 01/24/29(a)(b)

      1,000       1,003,442  

Bowman Park CLO Ltd., Series 2014-1A, Class D2R, (3 mo. LIBOR US + 3.35%), 6.00%, 11/23/25(a)(b)

      3,000       2,995,273  

Burnham Park CLO Ltd., Series 2016-1A, Class ER, 8.16%, 10/20/29(a)(c)

      1,000       944,732  

Countrywide Asset-Backed Certificates, Series 2006-13, Class 3AV2, (1 mo. LIBOR US + 0.15%), 2.64%, 01/25/37(b)

      106       105,942  

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

      3,759       3,851,277  

Dryden 41 Senior Loan Fund, Series 2015-41A, Class AR, 3.76%, 04/15/31(a)(c)

      2,550       2,511,090  

Dryden 64 CLO Ltd., Series 2018-64A, Class D, 5.43%, 04/18/31(a)(c)

      1,250       1,188,189  

Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class B1LR, (3 mo. LIBOR US + 3.15%), 5.83%, 08/15/30(a)(b)

      1,000       992,086  

Galaxy XXIX CLO Ltd., Series 2018-29A, Class D, 5.08%, 11/15/26(a)(c)

      805       773,595  

Highbridge Loan Management, Series 3A-2014, Class CR, (3 mo. LIBOR US + 3.60%), 6.38%, 07/18/29(a)(b)

      1,000       986,216  

Limerock CLO III LLC, Series 2014-3A, Class C, (3 mo. LIBOR US + 3.60%), 6.36%, 10/20/26(a)(b)

      3,750       3,634,800  

Madison Park Funding X Ltd., Series 2012-10A, Class ER, (3 mo. LIBOR US + 7.62%), 10.38%, 01/20/29(a)(b)

      250       249,222  

Madison Park Funding XV Ltd., Series 2014-15A, Class B1R, (3 mo. LIBOR US + 2.20%), 4.96%, 01/27/26(a)(b)

      1,800       1,803,473  

Nelnet Student Loan Trust, Series 2006-1, Class A5, (3 mo. LIBOR US + 0.11%), 2.76%, 08/23/27(b)

      332       330,888  

Neuberger Berman CLO XV, Series 2013-15A, Class DR, 5.84%, 10/15/29(a)(c)

      1,000       973,099  

Octagon Investment Partners XXII Ltd., Series 2014-1A, Class DRR, 5.51%, 01/22/30(a)(c)

      500       479,974  

OHA Credit Partners XIII Ltd., Series 2016-13A, Class E, (3 mo. LIBOR US + 7.15%), 9.91%, 01/21/30(a)(b)

      595       596,059  

OHA Loan Funding Ltd., Series 2016-1A, Class D, (3 mo. LIBOR US + 3.75%), 6.51%, 01/20/28(a)(b)

      2,500       2,494,891  

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

      5,000       5,005,217  
Security   Par
(000)
    Value  
Asset-Backed Securities (continued)  

OZLM Funding III Ltd., Series 2013-3A, Class BR, (3 mo. LIBOR US + 3.00%), 5.76%, 01/22/29(a)(b)

    USD       1,500     $ 1,501,216  

OZLM VIII Ltd., Series 2014-8A, Class CRR, 5.61%, 10/17/29(a)(c)

      1,750       1,743,064  

OZLM XIV Ltd., Series 2015-14A, Class CR, 5.79%, 01/15/29(a)(c)

      1,000       971,191  

OZLM XXI, Series 2017-21A, Class C, 5.43%, 01/20/31(a)(c)

      1,000       953,162  

Palmer Square Loan Funding Ltd., Series 2018-5A, Class D, 6.72%, 01/20/27(a)(c)

      1,000       995,502  

Regatta VI Funding Ltd., Series 2016-1A, Class ER, 7.76%, 07/20/28(a)(c)

      250       238,062  

Rockford Tower CLO Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 3.25%), 6.04%, 04/15/29(a)(b)

      1,750       1,732,582  

Shackleton CLO Ltd., Series 2013-3A, Class DR, 5.81%, 07/15/30(a)(c)

      500       484,337  

SLM Private Education Loan Trust(a):

     

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

      67       66,589  

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

      500       500,309  

Sound Point CLO XII Ltd., Series 2016-2A, Class D, (3 mo. LIBOR US + 4.25%), 7.01%, 10/20/28(a)(b)

      465       464,923  

Sound Point CLO XIV Ltd., Series 2016-3A, Class D, (3 mo. LIBOR US + 3.85%), 6.62%, 01/23/29(a)(b)

      1,550       1,534,500  

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

      426       416,116  

Voya CLO Ltd., Series 2017-3A, Class C, (3 mo. LIBOR US + 3.55%), 6.31%, 07/20/30(a)(b)

      1,000       1,000,599  

Wellfleet CLO Ltd., Series 2015-1A, Class DR, 5.56%, 10/20/27(a)(c)

      2,000       1,967,406  

Westcott Park CLO Ltd., Series 2016-1A, Class D, (3 mo. LIBOR US + 4.35%), 7.11%, 07/20/28(a)(b)

      685       685,935  

York CLO Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.60%), 6.36%, 10/20/29(a)(b)

      1,750       1,750,499  

York CLO-4 Ltd., Series 2016-2A, Class D, (3 mo. LIBOR US + 4.10%), 6.86%, 01/20/30(a)(b)

      1,500       1,509,645  
   

 

 

 
        57,078,972  
Interest Only Asset-Backed Securities — 0.0%  

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

      1,952       92,726  

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

      2,336       104,518  
   

 

 

 
        197,244  
   

 

 

 

Total Asset-Backed Securities — 7.6%
(Cost — $57,963,052)

 

    57,276,216  
   

 

 

 

Corporate Bonds — 65.4%

 

Aerospace & Defense — 1.6%  

Arconic, Inc.:

     

5.40%, 04/15/21

      241       247,891  

5.13%, 10/01/24

      680       673,200  

BBA US Holdings, Inc., 5.38%, 05/01/26(a)

      194       197,638  

Bombardier, Inc.(a):

     

7.75%, 03/15/20

      122       127,350  

8.75%, 12/01/21

      480       528,000  

5.75%, 03/15/22

      59       59,118  

6.00%, 10/15/22

      6       6,030  
 

 

 

SCHEDULES OF INVESTMENTS      11  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Aerospace & Defense (continued)  

6.13%, 01/15/23

    USD       488     $ 491,660  

7.50%, 12/01/24

      575       585,062  

7.50%, 03/15/25

      411       414,596  

7.88%, 04/15/27(e)

      664       664,277  

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

      500       484,130  

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

      29       25,375  

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

      231       239,374  

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

      1,410       1,362,632  

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

      94       95,410  

TransDigm UK Holdings PLC, 6.88%, 05/15/26(a)

      200       195,000  

TransDigm, Inc.:

     

6.00%, 07/15/22

      124       126,294  

6.50%, 07/15/24

      58       58,580  

6.25%, 03/15/26(a)

      3,284       3,357,890  

7.50%, 03/15/27(a)

      18       18,088  

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

      1,450       1,704,189  
   

 

 

 
        11,661,784  
Air Freight & Logistics — 0.2%  

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

      1,250       1,205,434  

XPO Logistics, Inc., 6.75%, 08/15/24(a)

      11       11,070  
   

 

 

 
        1,216,504  
Airlines — 1.9%  

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

      1,556       1,530,108  

American Airlines Pass-Through Trust:

     

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

      2,406       2,473,082  

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

      1,323       1,303,508  

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

      1,322       1,298,741  

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

      1,602       1,627,853  

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

      302       293,695  

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

      257       260,158  

United Airlines Pass-Through Trust:

     

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

      3,110       3,171,966  

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

      1,976       1,989,586  
   

 

 

 
        13,948,697  
Auto Components — 0.1%  

Aptiv PLC, 4.40%, 10/01/46

      465       400,368  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

     

6.25%, 02/01/22

      118       121,517  

6.75%, 02/01/24

      92       96,370  

6.38%, 12/15/25

      200       205,750  

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

      244       217,160  
   

 

 

 
        1,041,165  
Automobiles — 0.5%  

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

      2,000       1,530,785  

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

      2,506       2,477,124  
   

 

 

 
        4,007,909  
Banks — 1.9%  

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

    EUR       100       117,414  

Barclays PLC:

     

4.38%, 09/11/24

    USD       550       540,000  

3.65%, 03/16/25

      4,320       4,153,628  

BBVA Bancomer SA, 6.75%, 09/30/22(a)

      236       253,051  

CIT Group, Inc.:

     

5.00%, 08/01/23

      237       245,982  

4.75%, 02/16/24

      7       7,131  
Security   Par
(000)
    Value  
Banks (continued)  

5.25%, 03/07/25

    USD       300     $ 314,250  

6.13%, 03/09/28

      146       158,410  

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

      1,500       1,512,445  

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

      610       750,490  

Promerica Financial Corp., 9.70%, 05/14/24(a)

      200       203,525  

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

      2,000       2,031,371  

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

      1,250       1,229,735  

Standard Chartered PLC, 4.87%, 03/15/33(a)(c)

      500       493,645  

Wells Fargo & Co., 3.90%, 05/01/45(f)

      2,250       2,160,811  
   

 

 

 
        14,171,888  
Beverages — 0.6%  

Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46(a)

      4,600       4,413,554  

BWAY Holding Co., 4.75%, 04/15/24

    EUR       100       114,835  

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

    USD       222       225,233  

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

      111       108,503  
   

 

 

 
        4,862,125  
Biotechnology — 0.5%  

Amgen, Inc., 4.40%, 05/01/45

      2,250       2,112,257  

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

      500       516,464  

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

      1,000       1,003,077  
   

 

 

 
        3,631,798  
Building Materials — 0.0%  

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

      93       87,536  
   

 

 

 
Building Products — 0.2%  

Beacon Roofing Supply, Inc., 4.88%, 11/01/25(a)

      10       9,310  

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

      220       216,700  

Jeld-Wen, Inc., 4.88%, 12/15/27(a)

      21       19,451  

Masonite International Corp.(a):

     

5.63%, 03/15/23

      127       129,223  

5.75%, 09/15/26

      96       96,000  

PGT Escrow Issuer, Inc., 6.75%, 08/01/26(a)

      64       65,920  

Standard Industries, Inc.(a):

     

5.38%, 11/15/24

      263       266,945  

6.00%, 10/15/25

      287       299,556  

5.00%, 02/15/27

      48       45,720  

4.75%, 01/15/28

      54       50,490  

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

      208       210,011  
   

 

 

 
        1,409,326  
Building: Roofing, Wallboard & Plumbing — 0.0%  

IQVIA, Inc., 4.88%, 05/15/23(a)

      74       75,110  
   

 

 

 
Cable Television Services — 0.0%  

Cincinnati Bell, Inc., 8.00%, 10/15/25(a)

      127       114,935  
   

 

 

 
Capital Markets — 2.9%  

Blackstone CQP Holdco LP(a):

     

6.50%, 03/20/21

      1,375       1,373,281  

6.00%, 08/18/21

      224       221,760  

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

      5,890       7,486,353  

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

      8,965       8,926,666  

Intertrust Group BV, 3.38%, 11/15/25

    EUR       100       116,186  

Lions Gate Capital Holdings LLC(a):

     

6.38%, 02/01/24

    USD       16       16,400  

5.88%, 11/01/24

      109       110,363  

Morgan Stanley:

     

4.00%, 07/23/25

      905       919,839  

3.13%, 07/27/26(f)

      2,000       1,911,660  

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

      400       400,762  

Stevens Holding Co., Inc., 6.13%, 10/01/26(a)

      90       91,800  
   

 

 

 
        21,575,070  
 

 

 

12    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Chemicals — 0.8%  

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

    USD       360     $ 320,205  

Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23(a)(h)

      210       201,075  

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

      600       574,500  

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

      311       308,667  

Blue Cube Spinco LLC:

     

9.75%, 10/15/23

      317       355,119  

10.00%, 10/15/25

      212       242,740  

Chemours Co.:

     

6.63%, 05/15/23

      186       192,984  

7.00%, 05/15/25

      186       193,905  

5.38%, 05/15/27

      332       322,040  

Cydsa SAB de CV, 6.25%, 10/04/27(a)

      319       303,050  

Element Solutions, Inc., 5.88%, 12/01/25(a)

      632       639,508  

GCP Applied Technologies, Inc., 5.50%, 04/15/26(a)

      151       152,132  

Huntsman International LLC, 4.50%, 05/01/29(e)

      80       78,880  

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

      100       115,304  

Mexichem SAB de CV(a):

     

4.00%, 10/04/27

      200       188,400  

5.50%, 01/15/48

      200       183,480  

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

      183       197,182  

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

      163       157,817  

Olin Corp.:

     

5.13%, 09/15/27

      101       101,758  

5.00%, 02/01/30

      82       79,643  

PQ Corp.(a):

     

6.75%, 11/15/22

      262       272,401  

5.75%, 12/15/25

      297       287,535  

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

      96       99,840  

WR Grace & Co-Conn, 5.63%, 10/01/24(a)

      130       135,200  
   

 

 

 
        5,703,365  
Commercial Services & Supplies — 0.7%  

ADT Security Corp.:

     

6.25%, 10/15/21

      86       90,515  

3.50%, 07/15/22

      183       180,026  

4.13%, 06/15/23

      137       134,431  

4.88%, 07/15/32(a)

      258       217,365  

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

      106       107,060  

Aviation Capital Group LLC, 7.13%, 10/15/20(a)

      1,800       1,891,959  

Avolon Holdings Funding Ltd.(a):

     

5.13%, 10/01/23

      194       195,940  

5.25%, 05/15/24(e)

      180       184,500  

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

      98       98,245  

Core & Main LP, 6.13%, 08/15/25(a)

      357       343,612  

Fortress Transportation & Infrastructure Investors LLC(a):

     

6.75%, 03/15/22

      43       43,839  

6.50%, 10/01/25

      46       44,965  

GFL Environmental, Inc., 5.38%, 03/01/23(a)

      92       86,653  

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

      284       265,185  

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

      130       133,250  

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

      97       94,333  

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

      298       301,725  

Park Aerospace Holdings Ltd.(a):

     

3.63%, 03/15/21

      166       163,925  

5.25%, 08/15/22

      157       160,722  

5.50%, 02/15/24

      8       8,270  

Resideo Funding, Inc., 6.13%, 11/01/26(a)

      92       94,300  

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

      181       184,167  
Security   Par
(000)
    Value  
Commercial Services & Supplies (continued)  

United Rentals North America, Inc.:

     

5.75%, 11/15/24

    USD       46     $ 47,380  

5.50%, 07/15/25

      125       127,813  

5.50%, 05/15/27

      301       301,000  
   

 

 

 
        5,501,180  
Communications Equipment — 0.4%  

CommScope Finance LLC(a):

     

5.50%, 03/01/24

      551       560,890  

6.00%, 03/01/26

      419       428,427  

8.25%, 03/01/27

      147       152,513  

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

      179       160,259  

CommScope, Inc., 5.00%, 06/15/21(a)

      80       80,100  

Nokia OYJ:

     

4.38%, 06/12/27

      31       30,461  

6.63%, 05/15/39

      295       309,750  

Zayo Group LLC/Zayo Capital, Inc.:

     

6.00%, 04/01/23

      700       708,750  

6.38%, 05/15/25

      51       50,618  

5.75%, 01/15/27(a)

      487       472,390  
   

 

 

 
        2,954,158  
Construction & Engineering — 0.5%  

Brand Industrial Services, Inc., 8.50%, 07/15/25(a)

      133       120,033  

frontdoor, Inc., 6.75%, 08/15/26(a)

      158       160,567  

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

      4,000       3,648,682  

SPIE SA, 3.13%, 03/22/24

    EUR       100       116,214  
   

 

 

 
        4,045,496  
Construction Materials — 0.3%  

American Builders & Contractors Supply Co., Inc., 5.88%, 05/15/26(a)

    USD       138       140,242  

HD Supply, Inc., 5.38%, 10/15/26(a)

      1,239       1,257,585  

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

      192       197,958  

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

      94       94,470  

PulteGroup, Inc., 6.00%, 02/15/35

      27       24,638  

Rexel SA, 3.50%, 06/15/23

    EUR       100       116,694  

Williams Scotsman International, Inc.(a):

     

7.88%, 12/15/22

    USD       78       79,170  

6.88%, 08/15/23

      94       92,355  
   

 

 

 
        2,003,112  
Consumer Discretionary — 0.2%  

Nielsen Co. Luxembourg Sarl, 5.00%, 02/01/25(a)

      54       53,325  

Staples, Inc., 8.50%, 09/15/25(a)

      279       273,420  

Star Merger Sub, Inc., 6.88%, 08/15/26(a)

      247       247,855  

Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 07/30/26

    EUR       100       116,440  

Viking Cruises Ltd.(a):

     

6.25%, 05/15/25

    USD       88       88,660  

5.88%, 09/15/27

      608       585,960  
   

 

 

 
        1,365,660  
Consumer Finance — 1.9%  

Ally Financial, Inc.:

     

5.13%, 09/30/24

      284       298,200  

8.00%, 11/01/31

      1,237       1,527,695  

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

      1,935       1,995,923  

Corvias Campus Living USG LLC, 5.30%, 07/01/50(d)

      5,688       5,431,722  

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

      200       177,519  

Ford Motor Credit Co. LLC, 8.13%, 01/15/20

      1,530       1,589,148  
 

 

 

SCHEDULES OF INVESTMENTS      13  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Consumer Finance (continued)  

Mulhacen Pte Ltd., (6.5% Cash or 7.25% PIK), 6.50%, 08/01/23(h)

    EUR       110     $ 124,969  

Navient Corp.:

     

5.00%, 10/26/20

    USD       180       182,302  

6.63%, 07/26/21

      99       102,341  

6.50%, 06/15/22

      36       36,990  

5.50%, 01/25/23

    USD       252       248,850  

7.25%, 09/25/23

      93       95,906  

5.88%, 10/25/24

      29       27,804  

6.75%, 06/25/25

      65       63,619  

6.75%, 06/15/26

      65       62,400  

5.63%, 08/01/33

      101       78,023  

Refinitiv US Holdings, Inc.:

     

4.50%, 05/15/26

    EUR       100       112,942  

4.50%, 05/15/26(a)

      245       276,708  

6.25%, 05/15/26(a)

    USD       131       132,146  

8.25%, 11/15/26(a)

      356       348,324  

Springleaf Finance Corp.:

     

6.13%, 05/15/22

      50       51,875  

5.63%, 03/15/23

      6       6,098  

6.13%, 03/15/24

      274       277,082  

6.88%, 03/15/25

      94       96,233  

7.13%, 03/15/26

      153       154,912  

Verscend Escrow Corp., 9.75%, 08/15/26(a)

      652       666,670  
   

 

 

 
        14,166,401  
Containers & Packaging — 0.7%  

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

     

4.63%, 05/15/23(a)

      671       676,032  

7.25%, 05/15/24(a)

      949       985,489  

4.75%, 07/15/27

    GBP       100       122,455  

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

    USD       675       663,829  

Crown Americas LLC/Crown Americas Capital Corp. IV, 4.50%, 01/15/23

      3       3,030  

Crown Americas LLC/Crown Americas Capital Corp. VI:

     

4.75%, 02/01/26(f)

      326       327,019  

4.25%, 09/30/26

      210       202,125  

Greif, Inc., 6.50%, 03/01/27(a)

      56       57,057  

Intertape Polymer Group, Inc., 7.00%, 10/15/26(a)

      79       79,593  

Mercer International, Inc.:

     

7.75%, 12/01/22

      29       30,160  

6.50%, 02/01/24

      76       77,520  

5.50%, 01/15/26

      38       36,290  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu(a):

     

5.13%, 07/15/23

      214       214,000  

7.00%, 07/15/24

      456       466,260  

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

      265       269,969  

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

    EUR       100       117,157  

Suzano Austria GmbH, 6.00%, 01/15/29(a)

    USD       517       547,309  
   

 

 

 
        4,875,294  
Diversified Consumer Services — 0.3%  

APX Group, Inc.:

     

8.75%, 12/01/20

      179       177,881  

7.88%, 12/01/22

      106       105,205  

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

      333       325,353  

Graham Holdings Co., 5.75%, 06/01/26(a)

      124       127,720  

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

      72       77,760  

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

      44       42,570  

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

      561       591,574  
Security   Par
(000)
    Value  
Diversified Consumer Services (continued)  

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

    USD       308     $ 309,540  

Verisure Holding AB, 3.50%, 05/15/23

    EUR       100       116,589  
   

 

 

 
        1,874,192  
Diversified Financial Services — 3.7%  

Ally Financial, Inc., 4.13%, 02/13/22

    USD       3       3,020  

Bank of America Corp.:

     

5.63%, 07/01/20

      2,200       2,276,062  

3.25%, 10/21/27(f)

      4,000       3,831,367  

Controladora Mabe SA de CV, 5.60%, 10/23/28(a)

      215       213,543  

Docuformas SAPI de CV, 9.25%, 10/11/22(a)

      200       174,500  

FMR LLC, 4.95%, 02/01/33(a)

      2,300       2,540,934  

FS Energy & Power Fund, 7.50%, 08/15/23(a)

      47       47,555  

General Electric Co., 6.15%, 08/07/37

      2,150       2,307,820  

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

      807       809,883  

Gilex Holding Sarl, 8.50%, 05/02/23(a)

      182       191,100  

Intercontinental Exchange Group, Inc., 4.00%, 10/15/23

      470       486,608  

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

      3,151       2,919,554  

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

      595       596,190  

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

    EUR       100       114,882  

Moody’s Corp., 4.50%, 09/01/22

    USD       1,800       1,865,237  

MSCI, Inc., 5.25%, 11/15/24(a)

      75       76,875  

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

      8,000       8,313,513  

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

      272       274,720  

Travelport Corporate Finance PLC, 6.00%, 03/15/26(a)

      123       130,380  

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

    EUR       107       127,173  

Vantiv LLC/Vanity Issuer Corp.(a):

     

3.88%, 11/15/25

    GBP       100       128,954  

4.38%, 11/15/25

    USD       200       193,000  

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

      84       84,525  
   

 

 

 
        27,707,395  
Diversified Telecommunication Services — 3.2%  

AT&T, Inc.:

     

6.38%, 03/01/41

      520       576,897  

5.15%, 03/15/42

      2,400       2,336,881  

4.75%, 05/15/46

      2,710       2,515,954  

CenturyLink, Inc.:

     

5.63%, 04/01/25

      56       53,394  

Series P, 7.60%, 09/15/39

      7       6,108  

Series S, 6.45%, 06/15/21

      275       285,642  

Series U, 7.65%, 03/15/42

      156       136,110  

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

      159       165,112  

Series Y, 7.50%, 04/01/24(f)

      519       549,005  

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

      163       147,515  

Embarq Corp., 8.00%, 06/01/36

      277       267,305  

Frontier Communications Corp.:

     

7.13%, 03/15/19

      95       94,881  

10.50%, 09/15/22

      111       79,365  

11.00%, 09/15/25

      763       487,366  

Level 3 Financing, Inc.:

     

5.38%, 08/15/22

      127       127,794  

5.63%, 02/01/23

      93       93,698  

5.13%, 05/01/23

      95       95,602  

5.38%, 05/01/25

      36       35,910  

5.25%, 03/15/26

      665       651,700  

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

      3       3,194  
 

 

 

14    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

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

SoftBank Group Corp., 4.00%, 04/20/23

    EUR       100     $ 120,299  

Telecom Italia Capital SA:

     

6.38%, 11/15/33

    USD       67       62,980  

6.00%, 09/30/34

      130       117,000  

Telecom Italia SpA, 5.30%, 05/30/24(a)

      200       195,500  

Verizon Communications, Inc.:

     

6.40%, 02/15/38

      5,700       6,774,323  

6.55%, 09/15/43(f)

      6,751       8,347,005  
   

 

 

 
        24,326,540  
Electric Utilities — 5.7%  

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

      5,515       6,689,966  

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

      434       488,827  

CMS Energy Corp., 5.05%, 03/15/22

      1,832       1,914,858  

Duke Energy Carolinas LLC:

     

6.10%, 06/01/37

      640       781,378  

6.00%, 01/15/38

      1,675       2,045,117  

4.25%, 12/15/41

      750       763,365  

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

      770       990,198  

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

      3,100       3,749,709  

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

      2,800       2,912,267  

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

      201       191,236  

Eskom Holdings SOC Ltd., 6.35%, 08/10/28(a)

      401       410,524  

Florida Power Corp., 6.35%, 09/15/37

      2,775       3,505,352  

NextEra Energy Operating Partners LP(a):

     

4.25%, 09/15/24

      58       56,985  

4.50%, 09/15/27

      79       75,247  

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

      3,000       3,762,240  

PacifiCorp, 6.25%, 10/15/37

      1,225       1,519,609  

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

      2,550       3,225,228  

Southern California Edison Co.:

     

5.63%, 02/01/36

      1,300       1,393,533  

Series A, 5.95%, 02/01/38

      2,175       2,416,524  

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

      1,000       959,598  

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

      3,920       4,698,519  
   

 

 

 
        42,550,280  
Electronic Equipment, Instruments & Components — 0.3%  

CDW LLC/CDW Finance Corp., 5.00%, 09/01/25

      436       438,725  

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

      2,000       1,749,919  

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

      18       17,505  
   

 

 

 
        2,206,149  
Energy Equipment & Services — 0.6%  

Apergy Corp., 6.38%, 05/01/26

      72       71,910  

Calfrac Holdings LP, 8.50%, 06/15/26(a)

      70       51,800  

CSI Compressco LP/CSI Compressco Finance, Inc., 7.50%, 04/01/25(a)

      192       186,240  

Ensco PLC:

     

5.20%, 03/15/25

      206       158,105  

7.75%, 02/01/26

      84       70,560  

Enterprise Products Operating LLC, 6.13%, 10/15/39

      1,400       1,630,421  

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

      601       603,350  

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

      500       514,077  

Oceaneering International, Inc., 4.65%, 11/15/24

      28       25,865  

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

      250       254,595  

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

      113       69,495  

SESI LLC, 7.75%, 09/15/24

      133       113,050  

Transocean, Inc.(a):

     

9.00%, 07/15/23

      368       388,240  

7.50%, 01/15/26

      171       165,015  
Security   Par
(000)
    Value  
Energy Equipment & Services (continued)  

USA Compression Partners LP/USA Compression Finance Corp.:

     

6.88%, 04/01/26

    USD       198     $ 201,465  

6.88%, 09/01/27(a)(e)

      139       141,780  

Weatherford International Ltd.:

     

6.50%, 08/01/36

      75       44,625  

5.95%, 04/15/42(f)

      90       53,325  
   

 

 

 
        4,743,918  
Environmental, Maintenance, & Security Service — 0.0%  

Hulk Finance Corp., 7.00%, 06/01/26(a)

      92       87,400  

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

      199       198,503  

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

      70       67,900  
   

 

 

 
        353,803  
Equity Real Estate Investment Trusts (REITs) — 1.3%  

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

      1,155       1,194,263  

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

      102       98,813  

GEO Group, Inc.:

     

5.13%, 04/01/23

      105       99,750  

5.88%, 10/15/24

      128       121,280  

6.00%, 04/15/26

      20       18,550  

HCP, Inc., 4.00%, 06/01/25

      2,000       2,005,229  

Hilton Domestic Operating Co., Inc.:

     

4.25%, 09/01/24

      156       153,855  

5.13%, 05/01/26(a)

      487       489,435  

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

      92       91,540  

iStar, Inc.:

     

4.63%, 09/15/20

      25       25,125  

6.00%, 04/01/22

      48       47,940  

5.25%, 09/15/22

      17       16,660  

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

     

5.63%, 05/01/24

      857       884,852  

4.50%, 09/01/26

      343       328,707  

4.50%, 01/15/28

      225       210,375  

MPT Operating Partnership LP/MPT Finance Corp.:

     

6.38%, 03/01/24

      26       27,235  

5.50%, 05/01/24

      30       30,713  

5.00%, 10/15/27

      530       526,025  

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

    EUR       115       135,084  

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

    USD       1,670       1,774,886  

Starwood Property Trust, Inc., 5.00%, 12/15/21

      115       117,444  

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

      476       480,701  

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

      870       873,736  

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

      100       109,359  
   

 

 

 
        9,861,557  
Food & Staples Retailing — 0.2%  

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

     

6.63%, 06/15/24

      59       59,000  

5.75%, 03/15/25

      48       45,600  

Albertsons Cos. LLC/Safeway, Inc./New Albertsons LP/Albertson’s LLC, 7.50%, 03/15/26(a)

      65       66,950  

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

    EUR       100       116,728  

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

    USD       66       56,265  

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

      1,000       933,864  
   

 

 

 
        1,278,407  
Food Products — 0.5%  

Aramark Services, Inc.:

     

5.00%, 04/01/25(a)

      218       221,815  
 

 

 

SCHEDULES OF INVESTMENTS      15  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Food Products (continued)  

4.75%, 06/01/26

    USD       154     $ 152,845  

5.00%, 02/01/28(a)

      299       295,262  

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

      228       221,818  

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

      86       77,400  

JBS USA LUX SA/JBS USA Finance, Inc.(a):

     

5.88%, 07/15/24

      344       353,632  

5.75%, 06/15/25

      766       775,575  

6.75%, 02/15/28

      223       230,650  

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

      200       196,940  

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

      222       229,373  

Post Holdings, Inc.(a):

     

5.50%, 03/01/25

      230       230,575  

5.00%, 08/15/26

      3       2,884  

5.75%, 03/01/27

      268       263,645  

Simmons Foods, Inc., 7.75%, 01/15/24(a)

      157       164,065  
   

 

 

 
        3,416,479  
Health Care Equipment & Supplies — 0.4%  

Avantor, Inc.(a):

     

6.00%, 10/01/24

      1,091       1,113,502  

9.00%, 10/01/25

      585       626,681  

Hologic, Inc., 4.63%, 02/01/28(a)

      96       92,640  

Immucor, Inc., 11.13%, 02/15/22(a)

      60       60,750  

Mallinckrodt International Finance SA/Mallinckrodt CB LLC, 5.75%, 08/01/22(a)(f)

      23       21,620  

Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA, 6.63%, 05/15/22(a)

      971       934,587  

Teleflex, Inc.:

     

5.25%, 06/15/24

      170       173,613  

4.88%, 06/01/26

      75       75,938  

4.63%, 11/15/27

      20       19,851  
   

 

 

 
        3,119,182  
Health Care Providers & Services — 1.6%  

Acadia Healthcare Co., Inc.:

     

5.13%, 07/01/22

      45       44,325  

5.63%, 02/15/23

      96       95,280  

6.50%, 03/01/24

      186       185,070  

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

      575       528,991  

AHP Health Partners, Inc., 9.75%, 07/15/26(a)

      84       88,200  

Centene Corp.:

     

4.75%, 01/15/25

      52       52,390  

5.38%, 06/01/26(a)

      1,187       1,231,512  

CHS/Community Health Systems, Inc.(a):

     

8.63%, 01/15/24

      344       354,320  

8.00%, 03/15/26

      182       179,603  

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

      142       140,580  

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

      125       125,313  

Encompass Health Corp., 5.75%, 11/01/24

      26       26,268  

HCA, Inc.:

     

4.75%, 05/01/23

      7       7,255  

5.88%, 05/01/23

      3       3,173  

5.00%, 03/15/24

      237       247,588  

5.38%, 02/01/25

      590       611,942  

5.25%, 06/15/26

      183       193,006  

5.38%, 09/01/26

      301       308,525  

5.63%, 09/01/28

      550       568,562  

5.88%, 02/01/29

      444       465,645  

5.50%, 06/15/47

      470       488,274  

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

      107       108,204  

Molina Healthcare, Inc.:

     

5.38%, 11/15/22

      104       107,218  

4.88%, 06/15/25(a)

      71       69,935  
Security   Par
(000)
    Value  
Health Care Providers & Services (continued)  

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

    USD       316     $ 317,381  

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

      725       694,451  

NVA Holdings, Inc., 6.88%, 04/01/26(a)

      87       83,955  

Polaris Intermediate Corp., (8.50% Cash), 8.50%, 12/01/22(a)(h)

      578       570,607  

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

      470       502,312  

Sotera Health Holdings LLC, 6.50%, 05/15/23(a)

      183       184,373  

Surgery Center Holdings, Inc.(a):

     

8.88%, 04/15/21

      98       99,715  

6.75%, 07/01/25(f)

      186       169,260  

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

      267       212,933  

Tenet Healthcare Corp.:

     

8.13%, 04/01/22

      695       741,912  

4.63%, 07/15/24

      744       742,140  

6.25%, 02/01/27(a)

      500       514,687  

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

      228       246,810  

WellCare Health Plans, Inc.:

     

5.25%, 04/01/25

      238       242,986  

5.38%, 08/15/26(a)

      197       202,664  
   

 

 

 
        11,757,365  
Health Care Technology — 0.1%  

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

      181       176,647  

IQVIA, Inc.(a):

     

3.25%, 03/15/25

    EUR       100       116,164  

5.00%, 10/15/26

    USD       280       284,900  
   

 

 

 
        577,711  
Hotels, Restaurants & Leisure — 2.1%  

1011778 BC ULC/New Red Finance, Inc.(a):

     

4.25%, 05/15/24

      380       370,025  

5.00%, 10/15/25

      1,251       1,211,124  

Boyd Gaming Corp., 6.00%, 08/15/26

      68       69,743  

Boyne USA, Inc., 7.25%, 05/01/25(a)

      87       93,090  

Caesars Resort Collection LLC/CRC Finco, Inc., 5.25%, 10/15/25(a)

      155       147,056  

Churchill Downs, Inc., 4.75%, 01/15/28(a)

      104       99,341  

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

    GBP       100       131,269  

Eldorado Resorts, Inc.:

     

6.00%, 04/01/25

    USD       67       68,179  

6.00%, 09/15/26(a)

      70       71,225  

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

      142       141,290  

GLP Capital LP/GLP Financing II, Inc.:

     

5.38%, 11/01/23

      90       93,460  

5.25%, 06/01/25

      71       73,520  

5.38%, 04/15/26

      93       95,823  

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

      422       424,110  

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.88%, 04/01/27

      124       123,380  

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

      36       34,020  

KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC(a):

     

5.25%, 06/01/26

      75       76,313  

4.75%, 06/01/27

      158       155,630  

Marriott Ownership Resorts, Inc., 6.50%, 09/15/26(a)

      24       24,780  

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

      250       239,375  

MGM Resorts International:

     

6.63%, 12/15/21

      727       774,255  

7.75%, 03/15/22

      229       251,327  

4.63%, 09/01/26

      12       11,400  
 

 

 

16    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

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

Sabre GLBL, Inc.(a):

     

5.38%, 04/15/23

    USD       62     $ 63,240  

5.25%, 11/15/23

      151       154,020  

Scientific Games International, Inc.:

     

10.00%, 12/01/22

      323       339,554  

5.00%, 10/15/25(a)

      452       437,875  

3.38%, 02/15/26

    EUR       100       108,770  

Six Flags Entertainment Corp.(a):

     

4.88%, 07/31/24

    USD       603       593,955  

5.50%, 04/15/27

      89       87,443  

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

      41       39,821  

Unique Pub Finance Co. PLC:

     

Series A3, 6.54%, 03/30/21

    GBP       1,336       1,847,420  

Series A4, 5.66%, 06/30/27

      964       1,375,219  

Series M, 7.40%, 03/28/24

      3,000       4,307,456  

Series N, 6.46%, 03/30/32

      821       1,045,478  

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

      100       131,790  

Wyndham Destinations, Inc.:

     

5.40%, 04/01/24

      6       6,030  

5.75%, 04/01/27

      44       43,670  

Wyndham Hotels & Resorts, Inc., 5.38%, 04/15/26(a)

      76       76,885  

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

      400       379,250  

Yum! Brands, Inc.:

     

3.88%, 11/01/23

      27       26,460  

5.35%, 11/01/43

      4       3,420  
   

 

 

 
        15,847,491  
Household Durables — 0.3%  

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

      600       598,500  

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

      289       291,167  

Lennar Corp.:

     

6.25%, 12/15/21

      196       205,065  

4.88%, 12/15/23

      85       86,275  

4.75%, 05/30/25

      90       90,253  

5.25%, 06/01/26

      38       38,143  

4.75%, 11/29/27

      185       179,681  

Mattamy Group Corp.(a):

     

6.88%, 12/15/23

      76       75,430  

6.50%, 10/01/25

      96       92,250  

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

      72       61,200  

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

      52       48,490  

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

      216       204,660  

Tempur Sealy International, Inc.:

     

5.63%, 10/15/23

      2       2,020  

5.50%, 06/15/26

      67       66,833  

TRI Pointe Group, Inc.:

     

4.88%, 07/01/21

      73       72,817  

5.25%, 06/01/27

      28       25,200  

TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 4.38%, 06/15/19

      10       9,988  
   

 

 

 
        2,147,972  
Household Products — 0.0%  

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

      59       57,968  

Energizer Holdings, Inc.(a):

     

6.38%, 07/15/26

    USD       29       29,290  

7.75%, 01/15/27

      175       186,375  
   

 

 

 
        273,633  
Independent Power and Renewable Electricity Producers — 0.5%  

AES Corp.:

     

4.50%, 03/15/23

      3       3,023  

4.88%, 05/15/23

      31       31,300  

6.00%, 05/15/26

      174       183,135  

5.13%, 09/01/27

      142       145,905  
Security   Par
(000)
    Value  
Independent Power and Renewable Electricity Producers (continued)  

Calpine Corp.:

     

5.38%, 01/15/23

    USD       558     $ 552,420  

5.88%, 01/15/24(a)

      120       122,400  

5.75%, 01/15/25

      100       95,750  

5.25%, 06/01/26(a)

      488       478,240  

Clearway Energy Operating LLC:

     

5.38%, 08/15/24

      212       207,760  

5.75%, 10/15/25(a)

      142       139,515  

5.00%, 09/15/26

      73       68,072  

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

      200       193,250  

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

      370       344,100  

NRG Energy, Inc.:

     

6.25%, 05/01/24

      3       3,105  

6.63%, 01/15/27

      750       797,578  

5.75%, 01/15/28

      96       98,520  

TerraForm Power Operating LLC(a):

     

4.25%, 01/31/23

      63       62,415  

6.63%, 06/15/25(i)

      15       15,750  

5.00%, 01/31/28

      128       121,600  

Vistra Energy Corp.:

     

5.88%, 06/01/23

      7       7,193  

7.63%, 11/01/24

      88       93,500  
   

 

 

 
        3,764,531  
Industrial Conglomerates — 0.1%  

BWX Technologies, Inc., 5.38%, 07/15/26(a)

      248       252,960  

General Electric Co., 6.88%, 01/10/39

      135       156,286  

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

      360       354,376  

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

      346       346,000  
   

 

 

 
        1,109,622  
Insurance — 2.7%  

Acrisure LLC/Acrisure Finance, Inc., 8.13%, 02/15/24(a)

      35       35,831  

Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 8.25%, 08/01/23(a)

      750       774,844  

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

      1,495       1,468,415  

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

      3,380       3,309,424  

AmWINS Group, Inc., 7.75%, 07/01/26(a)

      81       83,025  

Aon PLC:

     

3.88%, 12/15/25

      1,445       1,469,568  

4.60%, 06/14/44

      500       494,637  

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

    EUR       100       134,788  

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

      500       599,441  

Caisse Nationale de Reassurance Mutuelle Agricole Groupama, 6.00%, 01/23/27

      100       135,192  

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

      2,050       2,133,850  

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

      1,860       1,958,777  

HUB International Ltd., 7.00%, 05/01/26(a)

      461       451,780  

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

      2,000       2,391,354  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen(3 mo. Euribor + 3.50%), 6.00%, 05/26/41(g)

      400       508,860  

Nationstar Mortgage Holdings, Inc.(a):

     

8.13%, 07/15/23

    USD       153       155,677  

9.13%, 07/15/26

      143       146,217  

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

      720       657,597  

Prudential Financial, Inc.:

     

5.90%, 03/17/36

      500       568,885  

5.70%, 12/14/36(f)

      1,625       1,875,315  
 

 

 

SCHEDULES OF INVESTMENTS      17  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Insurance (continued)  

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

    USD       700     $ 686,121  

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

      41       39,872  
   

 

 

 
        20,079,470  
Interactive Media & Services — 0.3%  

Equinix, Inc.:

     

2.88%, 03/15/24

    EUR       100       116,988  

5.88%, 01/15/26

    USD       718       752,105  

Match Group, Inc., 5.63%, 02/15/29(a)

      107       106,398  

Netflix, Inc.:

     

5.50%, 02/15/22

      10       10,475  

4.38%, 11/15/26

      174       166,932  

4.88%, 04/15/28

      3       2,921  

5.88%, 11/15/28(a)

      455       473,905  

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

      99       86,625  

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

      222       221,277  

Uber Technologies, Inc., 7.50%, 11/01/23(a)(f)

      168       171,780  

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

    EUR       126       145,385  
   

 

 

 
        2,254,791  
IT Services — 0.5%  

Banff Merger Sub, Inc.:

     

8.38%, 09/01/26

      100       112,291  

9.75%, 09/01/26(a)

    USD       882       854,437  

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

      1,000       908,386  

First Data Corp.(a):

     

5.00%, 01/15/24

      220       225,777  

5.75%, 01/15/24

      1,236       1,272,400  

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

      209       210,568  

InterXion Holding NV, 4.75%, 06/15/25

    EUR       100       120,336  

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

    USD       105       104,213  

Xerox Corp.:

     

4.80%, 03/01/35

      203       162,908  

6.75%, 12/15/39

      2       1,905  
   

 

 

 
        3,973,221  
Leisure Products — 0.0%  

Mattel, Inc.:

     

6.75%, 12/31/25(a)

      272       267,580  

6.20%, 10/01/40

      48       38,820  

5.45%, 11/01/41

      28       21,420  
   

 

 

 
        327,820  
Life Sciences Tools & Services — 0.1%  

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

      1,000       1,097,121  
   

 

 

 
Machinery — 0.3%  

Colfax Corp.(a):

     

6.00%, 02/15/24

      283       292,197  

6.38%, 02/15/26

      143       149,078  

Mueller Water Products, Inc., 5.50%, 06/15/26(a)

      192       193,440  

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

    EUR       100       108,342  

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

    USD       406       397,880  

SPX FLOW, Inc.(a):

     

5.63%, 08/15/24

      95       95,000  

5.88%, 08/15/26

      35       35,088  

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

      365       354,962  

Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26(a)

      339       296,625  

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

      176       162,360  
   

 

 

 
        2,084,972  
Media — 5.6%  

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

      385       500,151  
Security   Par
(000)
    Value  
Media (continued)  

Altice Financing SA(a):

     

6.63%, 02/15/23

    USD       403     $ 412,068  

7.50%, 05/15/26

      392       379,260  

Altice France SA(a):

     

7.38%, 05/01/26

      706       692,762  

8.13%, 02/01/27

      712       715,560  

Altice Luxembourg SA, 7.75%, 05/15/22(a)(f)

      642       637,987  

AMC Networks, Inc.:

     

4.75%, 12/15/22

      2       2,028  

5.00%, 04/01/24

      2       1,984  

4.75%, 08/01/25

      448       435,260  

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

      325       340,438  

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

      10       9,900  

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

     

5.13%, 05/01/23

      73       74,285  

5.38%, 05/01/25

      3       3,071  

5.13%, 05/01/27

      1,273       1,252,848  

5.88%, 05/01/27

      18       18,489  

5.00%, 02/01/28

      653       628,104  

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

      4,700       4,871,433  

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

      317       324,529  

Clear Channel Worldwide Holdings, Inc.:

     

6.50%, 11/15/22

      1,132       1,156,055  

9.25%, 02/15/24(a)

      1,187       1,244,866  

Series B, 7.63%, 03/15/20

      429       429,215  

Series B, 6.50%, 11/15/22

      459       469,327  

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

      2,600       3,171,381  

Comcast Corp.:

     

6.45%, 03/15/37

      790       972,658  

4.60%, 08/15/45

      2,000       2,019,003  

4.70%, 10/15/48

      3,000       3,121,235  

CSC Holdings LLC:

     

6.75%, 11/15/21

      137       145,905  

5.38%, 07/15/23(a)

      340       349,418  

5.25%, 06/01/24

      434       433,852  

7.75%, 07/15/25(a)

      360       384,300  

6.63%, 10/15/25(a)

      200       211,000  

10.88%, 10/15/25(a)

      654       758,640  

5.50%, 05/15/26(a)

      559       565,289  

5.38%, 02/01/28(a)

      200       196,500  

6.50%, 02/01/29(a)

      429       448,846  

Series 144S, 5.13%, 12/15/21(a)

      321       322,008  

Discovery Communications LLC:

     

3.25%, 04/01/23

      1,850       1,806,171  

3.45%, 03/15/25

      210       201,539  

DISH DBS Corp.:

     

6.75%, 06/01/21

      443       452,967  

5.88%, 07/15/22

      669       638,895  

5.00%, 03/15/23

      284       252,760  

5.88%, 11/15/24

      14       11,791  

DKT Finance ApS, 7.00%, 06/17/23

    EUR       142       174,157  

Getty Images, Inc., 9.75%, 03/01/27(a)

    USD       48       48,360  

Gray Television, Inc.(a):

     

5.13%, 10/15/24

      3       2,989  

7.00%, 05/15/27

      144       152,280  

Hughes Satellite Systems Corp.:

     

7.63%, 06/15/21

      64       68,640  

5.25%, 08/01/26

      110       107,525  

Inmarsat Finance PLC, 4.88%, 05/15/22(a)

      200       200,000  

Intelsat Jackson Holdings SA:

     

5.50%, 08/01/23

      484       441,650  
 

 

 

18    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Media (continued)  

8.50%, 10/15/24(a)

    USD       575     $ 580,577  

9.75%, 07/15/25(a)

      620       643,250  

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

      2,000       1,994,461  

Lamar Media Corp., 5.75%, 02/01/26(a)

      75       78,469  

Level 3 Parent LLC, 5.75%, 12/01/22

      222       224,498  

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

      228       197,505  

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

      110       113,608  

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

      148       154,469  

Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 04/15/22(a)

      340       339,150  

Outfront Media Capital LLC/Outfront Media Capital Corp., 5.88%, 03/15/25

      32       32,810  

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

      104       100,230  

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

      43       41,710  

Sirius XM Radio, Inc.(a):

     

5.38%, 04/15/25

      3       3,057  

5.38%, 07/15/26

      2       2,005  

5.00%, 08/01/27

      235       229,713  

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

      610       762,086  

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

      45       44,494  

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

      200       192,500  

Telenet Finance VI Luxembourg SCA, 4.88%, 07/15/27

    EUR       90       109,898  

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

    USD       167       179,525  

Univision Communications, Inc.(a):

     

5.13%, 05/15/23

      162       147,015  

5.13%, 02/15/25

      52       45,500  

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

    EUR       90       107,110  

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

    USD       645       672,815  

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

      227       230,405  

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

      515       512,425  

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

    GBP       100       132,649  

Virgin Media Secured Finance PLC:

     

5.25%, 01/15/26(a)

    USD       503       503,523  

4.88%, 01/15/27

    GBP       100       129,989  

Warner Media LLC, 6.10%, 07/15/40

    USD       830       906,351  

Ziggo Bond Co. BV:

     

7.13%, 05/15/24

    EUR       100       119,135  

5.88%, 01/15/25(a)

    USD       260       252,772  

Ziggo BV, 5.50%, 01/15/27(a)

      150       144,750  
   

 

 

 
        42,187,833  
Metals & Mining — 1.0%  

Alcoa Nederland Holding BV, 6.13%, 05/15/28(a)

      200       204,750  

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

      139       144,039  

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

      131       130,672  

Constellium NV(a):

     

5.75%, 05/15/24

      1,082       1,059,927  

5.88%, 02/15/26

      269       261,602  

Freeport-McMoRan, Inc.:

     

4.00%, 11/14/21

      121       121,000  

3.55%, 03/01/22

      420       415,275  

3.88%, 03/15/23

      924       910,584  

4.55%, 11/14/24

      251       248,490  

5.40%, 11/14/34

      245       223,562  

5.45%, 03/15/43

      692       607,230  

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

      377       377,471  
Security   Par
(000)
    Value  
Metals & Mining (continued)  

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

    USD       84     $ 88,095  

Nexa Resources SA, 5.38%, 05/04/27(a)

      299       301,811  

Novelis Corp.(a):

     

6.25%, 08/15/24

      548       552,110  

5.88%, 09/30/26

      281       273,975  

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

      400       436,958  

Steel Dynamics, Inc.:

     

5.25%, 04/15/23

      40       40,700  

5.50%, 10/01/24

      48       49,320  

4.13%, 09/15/25

      195       189,606  

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

      62       63,085  

thyssenkrupp AG, 2.88%, 02/22/24

    EUR       82       93,271  

United States Steel Corp.:

     

6.88%, 08/15/25

    USD       100       98,500  

6.25%, 03/15/26

      70       66,238  

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

      237       250,272  
   

 

 

 
        7,208,543  
Multi-Utilities — 0.0%  

Superior Plus LP/Superior General Partner, Inc., 7.00%, 07/15/26(a)

      187       187,000  
   

 

 

 
Offshore Drilling & Other Services — 0.0%  

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

      135       132,637  

Lam Research Corp.(e):

     

3.75%, 03/15/26

      30       30,021  

4.00%, 03/15/29

      55       55,015  
   

 

 

 
        217,673  
Oil, Gas & Consumable Fuels — 7.1%  

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

      1,500       1,604,556  

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

      250       245,670  

Antero Midstream Partners LP/Antero Midstream Finance Corp.:

     

5.38%, 09/15/24

      35       35,000  

5.75%, 03/01/27(a)

      72       72,540  

Antero Resources Corp.:

     

5.13%, 12/01/22

      52       52,083  

5.63%, 06/01/23

      71       71,178  

5.00%, 03/01/25

      186       178,560  

Ascent Resources Utica Holdings LLC/ARU Finance Corp.(a):

     

10.00%, 04/01/22

      172       185,330  

7.00%, 11/01/26

      84       81,060  

Berkshire Hathaway Energy Co., 5.95%, 05/15/37

      750       894,640  

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

      187       186,532  

Brazos Valley Longhorn LLC/Brazos Valley Longhorn Finance Corp., 6.88%, 02/01/25

      120       121,650  

Bruin E&P Partners LLC, 8.88%, 08/01/23(a)

      277       270,767  

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

      454       362,632  

Callon Petroleum Co.:

     

6.13%, 10/01/24

      144       145,080  

Series WI, 6.38%, 07/01/26

      80       80,000  

Carrizo Oil & Gas, Inc.:

     

6.25%, 04/15/23(f)

      193       190,346  

8.25%, 07/15/25

      202       211,090  

Cenovus Energy, Inc., 4.25%, 04/15/27

      400       381,121  

Chaparral Energy, Inc., 8.75%, 07/15/23(a)

      164       103,320  

Cheniere Corpus Christi Holdings LLC:

     

7.00%, 06/30/24

      378       418,635  

5.88%, 03/31/25

      216       230,042  

5.13%, 06/30/27

      487       496,740  

Cheniere Energy Partners LP, 5.63%, 10/01/26(a)

      70       71,313  
 

 

 

SCHEDULES OF INVESTMENTS      19  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

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

Chesapeake Energy Corp.:

     

6.63%, 08/15/20

    USD       179     $ 183,475  

4.88%, 04/15/22

      29       27,840  

7.00%, 10/01/24(f)

      282       278,475  

8.00%, 01/15/25(f)

      110       111,788  

8.00%, 06/15/27

      534       528,660  

CNX Resources Corp., 5.88%, 04/15/22

      1,135       1,146,350  

Comstock Resources, Inc., 9.75%, 08/15/26(a)

      111       102,883  

ConocoPhillips, 6.50%, 02/01/39

      600       784,650  

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

      685       825,871  

CONSOL Energy, Inc., 11.00%, 11/15/25(a)

      286       325,325  

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

      197       183,210  

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

      11       11,292  

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

      664       643,250  

DCP Midstream Operating LP:

     

4.75%, 09/30/21(a)

      55       55,963  

5.38%, 07/15/25

      185       192,400  

6.45%, 11/03/36(a)

      148       149,110  

6.75%, 09/15/37(a)

      211       215,220  

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

      256       256,640  

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

      1,000       1,104,425  

Diamond Offshore Drilling, Inc.:

     

7.88%, 08/15/25

      75       70,875  

5.70%, 10/15/39

      18       12,150  

4.88%, 11/01/43

      164       102,500  

Diamondback Energy, Inc.:

     

4.75%, 11/01/24

      183       185,059  

4.75%, 11/01/24(a)

      18       18,203  

5.38%, 05/31/25

      145       150,075  

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

      1,935       1,903,324  

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

     

5.50%, 01/30/26

      337       353,007  

5.75%, 01/30/28

      222       236,430  

Energy Transfer Operating LP:

     

4.05%, 03/15/25

      500       496,826  

4.75%, 01/15/26

      1,250       1,274,223  

5.30%, 04/15/47

      540       509,137  

EnLink Midstream Partners LP:

     

4.40%, 04/01/24

      144       139,860  

4.15%, 06/01/25

      14       13,335  

4.85%, 07/15/26

      22       21,533  

5.60%, 04/01/44

      65       57,363  

5.05%, 04/01/45

      89       75,205  

5.45%, 06/01/47

      125       110,313  

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

      458       368,978  

Ensco PLC, 5.75%, 10/01/44

      2       1,285  

EOG Resources, Inc., 5.10%, 01/15/36

      200       215,712  

EP Energy LLC/Everest Acquisition Finance, Inc.:

     

9.38%, 05/01/20

      6       4,680  

7.75%, 05/15/26(a)

      258       228,652  

Extraction Oil & Gas, Inc.(a):

     

7.38%, 05/15/24

      77       68,915  

5.63%, 02/01/26

      265       219,950  

Frontera Energy Corp., 9.70%, 06/25/23(a)

      384       392,193  

Genesis Energy LP/Genesis Energy Finance Corp.:

     

6.50%, 10/01/25

      59       56,493  

6.25%, 05/15/26

      112       103,600  

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

      200       201,750  

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

      396       340,560  
Security   Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Gulfport Energy Corp.:

     

6.63%, 05/01/23

    USD       100     $ 98,000  

6.38%, 01/15/26

      12       10,530  

Halcon Resources Corp., 6.75%, 02/15/25

      254       189,865  

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

      1,100       1,062,976  

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

      134       134,670  

Impulsora Pipeline LLC, 6.05%, 12/31/42(b)(d)

      1,800       1,810,385  

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

      42       36,645  

Jagged Peak Energy LLC, 5.88%, 05/01/26(a)

      10       10,103  

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

      1,010       1,182,568  

Kinder Morgan, Inc.:

     

4.30%, 06/01/25

      1,750       1,791,007  

5.05%, 02/15/46

      1,750       1,732,604  

Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26(a)

      26       25,935  

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

      2,049       2,365,945  

Matador Resources Co., 5.88%, 09/15/26

      237       235,815  

MEG Energy Corp., 6.50%, 01/15/25(a)

      352       345,840  

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

      1,500       1,791,318  

Nabors Industries, Inc.:

     

5.00%, 09/15/20

      18       18,068  

5.75%, 02/01/25

      110       97,350  

New Enterprise Stone & Lime Co., Inc., 6.25%, 03/15/26(a)

      53       51,278  

NGPL PipeCo LLC(a):

     

4.88%, 08/15/27

      282       283,674  

7.77%, 12/15/37

      254       303,212  

Noble Holding International Ltd.:

     

7.75%, 01/15/24

      96       85,440  

7.88%, 02/01/26(a)

      472       441,320  

5.25%, 03/15/42

      84       52,080  

Northern Oil and Gas, Inc., (8.50% Cash or 1.00% PIK), 9.50%, 05/15/23(h)

      180       183,918  

Oasis Petroleum, Inc.:

     

6.88%, 03/15/22

      171       170,786  

6.88%, 01/15/23

      58       57,638  

6.25%, 05/01/26(a)

      187       178,118  

Pacific Drilling SA, 8.38%, 10/01/23(a)

      470       472,350  

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

     

6.25%, 06/01/24

      94       96,350  

5.38%, 01/15/25

      144       144,360  

5.25%, 08/15/25

      52       51,464  

5.63%, 10/15/27

      228       225,720  

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

      123       126,137  

PDC Energy, Inc.:

     

1.13%, 09/15/21(j)

      548       513,123  

6.13%, 09/15/24

      29       28,710  

5.75%, 05/15/26

      103       98,880  

Petrobras Global Finance BV:

     

5.30%, 01/27/25

      178       179,024  

8.75%, 05/23/26

      222       262,115  

6.00%, 01/27/28

      239       240,195  

Petroleos Mexicanos:

     

6.38%, 02/04/21

      200       205,758  

5.38%, 03/13/22

      27       26,946  

6.50%, 03/13/27

      148       142,894  

QEP Resources, Inc.:

     

6.88%, 03/01/21

      113       116,814  

5.38%, 10/01/22

      315       309,487  

5.25%, 05/01/23

      103       99,138  

5.63%, 03/01/26(f)

      256       240,000  
 

 

 

20    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

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

Range Resources Corp.:

     

5.88%, 07/01/22

    USD       38     $ 38,380  

5.00%, 08/15/22

      45       44,381  

5.00%, 03/15/23

      5       4,831  

4.88%, 05/15/25

      79       72,359  

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

      279       279,697  

Rowan Cos., Inc., 4.88%, 06/01/22

      198       184,511  

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

      1,750       1,908,274  

Sanchez Energy Corp.:

     

7.75%, 06/15/21

      433       69,280  

7.25%, 02/15/23(a)

      84       72,450  

SESI LLC, 7.13%, 12/15/21

      60       55,500  

Seven Generations Energy Ltd.(a):

     

6.88%, 06/30/23

      57       58,568  

5.38%, 09/30/25

      140       134,750  

SM Energy Co.:

     

6.13%, 11/15/22

      63       62,685  

5.00%, 01/15/24

      270       254,137  

5.63%, 06/01/25

      178       166,430  

6.75%, 09/15/26

      45       43,088  

6.63%, 01/15/27

      70       66,675  

Southwestern Energy Co.:

     

6.20%, 01/23/25

      99       97,980  

7.50%, 04/01/26

      14       14,525  

7.75%, 10/01/27

      188       194,648  

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

      1,000       1,206,419  

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

      310       300,930  

Sunoco LP/Sunoco Finance Corp.:

     

4.88%, 01/15/23

      187       189,337  

5.50%, 02/15/26

      64       63,571  

5.88%, 03/15/28

      4       3,940  

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

     

4.75%, 10/01/23

      15       14,963  

5.50%, 09/15/24

      238       243,129  

5.50%, 01/15/28

      571       569,572  

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

     

5.25%, 05/01/23

      105       106,443  

5.13%, 02/01/25

      88       88,440  

5.88%, 04/15/26(a)

      254       264,160  

5.38%, 02/01/27

      12       12,060  

6.50%, 07/15/27(a)

      195       206,212  

5.00%, 01/15/28

      175       169,969  

6.88%, 01/15/29(a)

      432       459,810  

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

      500       508,940  

Transocean Pontus Ltd., 6.13%, 08/01/25(a)

      118       119,306  

Transocean Poseidon Ltd., 6.88%, 02/01/27(a)

      253       259,957  

Transocean, Inc., 7.25%, 11/01/25(a)

      215       205,325  

Vantage Drilling International, 9.25%, 11/15/23(a)

      80       81,400  

Weatherford International Ltd., 5.13%, 09/15/20(f)

      130       108,550  

Western Midstream Operating LP, 5.38%, 06/01/21

      1,425       1,468,191  

Whiting Petroleum Corp., 6.63%, 01/15/26

      200       196,000  

Williams Cos., Inc.:

     

3.90%, 01/15/25

      1,150       1,152,718  

4.00%, 09/15/25

      750       753,674  

WPX Energy, Inc.:

     

8.25%, 08/01/23

      65       72,881  

5.25%, 09/15/24

      75       74,719  

YPF SA, 8.50%, 07/28/25

      316       309,617  
   

 

 

 
        53,108,833  
Security   Par
(000)
    Value  
Paper & Forest Products — 0.1%  

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

    USD       870     $ 933,152  

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

      111       113,498  
   

 

 

 
        1,046,650  
Personal Products — 0.0%  

Coty, Inc., 6.50%, 04/15/26(a)

      58       55,895  
   

 

 

 
Pharmaceuticals — 2.4%  

AbbVie, Inc.:

     

3.60%, 05/14/25

      870       855,195  

3.20%, 05/14/26

      500       472,678  

4.45%, 05/14/46

      2,095       1,840,093  

Allergan Funding SCS:

     

3.80%, 03/15/25

      3,250       3,210,307  

4.55%, 03/15/35

      2,140       1,995,997  

Allergan Sales LLC, 5.00%, 12/15/21(a)

      758       783,906  

Bausch Health Americas, Inc.(a):

     

8.50%, 01/31/27(e)

      688       714,660  

9.25%, 04/01/26

      67       72,193  

Bausch Health Cos., Inc.:

     

5.63%, 12/01/21(a)

      26       26,039  

6.50%, 03/15/22(a)

      56       58,030  

5.50%, 03/01/23(a)

      317       315,415  

4.50%, 05/15/23

    EUR       276       316,255  

5.88%, 05/15/23(a)

    USD       928       923,360  

7.00%, 03/15/24(a)

      475       500,531  

6.13%, 04/15/25(a)

      157       151,113  

5.50%, 11/01/25(a)

      923       931,076  

9.00%, 12/15/25(a)

      300       321,375  

5.75%, 08/15/27(a)(e)

      88       88,770  

Charles River Laboratories International, Inc., 5.50%, 04/01/26(a)

      234       243,360  

CVS Health Corp.:

     

5.13%, 07/20/45

      700       691,552  

5.05%, 03/25/48

      1,221       1,207,335  

Elanco Animal Health, Inc., 4.90%, 08/28/28(a)

      184       191,111  

Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.00%, 07/15/23(a)

      200       165,750  

Endo Finance LLC, 5.75%, 01/15/22(a)

      164       153,340  

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

     

7.25%, 01/15/22

      25       23,992  

5.38%, 01/15/23

      62       51,111  

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

      907       913,803  

MEDNAX, Inc., 6.25%, 01/15/27(a)

      267       268,482  

Mylan NV, 3.95%, 06/15/26

      750       702,534  

Rossini Sarl, 6.75%, 10/30/25

    EUR       112       132,604  
   

 

 

 
        18,321,967  
Real Estate Management & Development — 0.6%  

ADLER Real Estate AG, 3.00%, 04/27/26

      100       112,290  

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

    USD       124       124,593  

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

      83       81,963  

Newmark Group, Inc., 6.13%, 11/15/23(a)

      64       64,344  

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

      4,600       4,322,252  

Residomo SRO, 3.38%, 10/15/24

    EUR       100       114,873  
   

 

 

 
        4,820,315  
Road & Rail — 1.2%  

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

    USD       1,890       2,274,691  

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

      350       358,903  

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

      122       103,090  
 

 

 

SCHEDULES OF INVESTMENTS      21  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Road & Rail (continued)  

Herc Rentals, Inc.(a):

     

7.50%, 06/01/22

    USD       170     $ 177,225  

7.75%, 06/01/24

      72       76,792  

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

      174       177,915  

Hertz Holdings Netherlands BV, 5.50%, 03/30/23

    EUR       100       116,190  

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

    USD       5,000       5,100,000  

United Rentals North America, Inc.:

     

4.63%, 10/15/25

      117       113,783  

5.88%, 09/15/26

      135       138,037  

6.50%, 12/15/26

      3       3,131  

4.88%, 01/15/28

      55       52,456  
   

 

 

 
        8,692,213  
Semiconductors & Semiconductor Equipment — 0.6%  

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

      51       56,610  

Analog Devices, Inc., 3.90%, 12/15/25

      470       469,882  

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

      2,850       2,637,695  

Qorvo, Inc., 5.50%, 07/15/26(a)

      368       374,440  

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

      250       244,498  

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

      370       373,700  
   

 

 

 
        4,156,825  
Software — 1.9%  

ACI Worldwide, Inc., 5.75%, 08/15/26(a)

      429       441,334  

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

      705       700,701  

CDK Global, Inc., 4.88%, 06/01/27

      551       541,473  

Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho, 10.00%, 11/30/24(a)

      672       734,160  

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

      240       240,960  

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

      1,519       1,549,031  

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

      531       537,701  

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

      4,000       3,771,351  

Nuance Communications, Inc.:

     

6.00%, 07/01/24

      59       60,918  

5.63%, 12/15/26

      163       166,260  

Oracle Corp., 5.38%, 07/15/40

      3,025       3,453,179  

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

      125       130,762  

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

      306       313,650  

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

      1,125       1,219,219  

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

      177       182,752  

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

      478       507,875  
   

 

 

 
        14,551,326  
Specialty Retail — 0.5%  

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

      159       161,385  

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

      176       174,240  

Group 1 Automotive, Inc.:

     

5.00%, 06/01/22

      110       110,550  

5.25%, 12/15/23(a)

      13       12,968  

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

      1,660       2,015,178  

L Brands, Inc.:

     

6.88%, 11/01/35

      215       185,437  

6.75%, 07/01/36

      49       41,405  

Lowe’s Cos., Inc., 4.38%, 09/15/45

      1,000       927,074  

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

      22       21,586  

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

    EUR       100       112,938  
   

 

 

 
        3,762,761  
Security   Par
(000)
    Value  
Technology Hardware, Storage & Peripherals — 0.7%  

Apple, Inc., 4.65%, 02/23/46

    USD       2,400     $ 2,587,161  

Dell International LLC/EMC Corp.(a):

     

4.42%, 06/15/21

      20       20,361  

7.13%, 06/15/24

      535       567,723  

6.02%, 06/15/26

      110       116,704  

8.35%, 07/15/46

      45       52,657  

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

      1,500       1,561,477  

Western Digital Corp., 4.75%, 02/15/26

      479       452,655  
   

 

 

 
        5,358,738  
Textiles, Apparel & Luxury Goods — 0.0%  

SMCP Group SAS, 5.88%, 05/01/23

    EUR       49       57,215  

William Carter Co., 5.63%, 03/15/27(a)(e)

    USD       97       96,000  
   

 

 

 
        153,215  
Thrifts & Mortgage Finance — 0.0%  

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

    GBP       100       133,232  

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

     

5.25%, 03/15/22

    USD       17       17,255  

5.25%, 10/01/25

      139       130,660  
   

 

 

 
        281,147  
Tobacco — 1.3%  

Altria Group, Inc.:

     

9.95%, 11/10/38

      516       706,108  

10.20%, 02/06/39

      894       1,246,939  

5.38%, 01/31/44

      4,030       3,751,964  

3.88%, 09/16/46

      1,250       944,442  

Reynolds American, Inc.:

     

4.45%, 06/12/25

      635       640,688  

7.00%, 08/04/41

      1,000       1,042,806  

5.85%, 08/15/45

      1,500       1,429,032  
   

 

 

 
        9,761,979  
Transportation Infrastructure — 0.2%  

I 595 Express LLC, 3.31%, 12/31/31(b)(d)

      839       799,938  

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

      370       395,900  

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

      580       575,227  
   

 

 

 
        1,771,065  
Utilities — 0.2%  

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

      370       326,229  

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

      228       233,963  

ContourGlobal Power Holdings SA, 3.38%, 08/01/23

    EUR       100       114,603  

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

    USD       370       337,625  

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

      511       506,343  

Vistra Operations Co. LLC(a):

     

5.50%, 09/01/26

      56       58,100  

5.63%, 02/15/27

      256       263,680  
   

 

 

 
        1,840,543  
Wireless Telecommunication Services — 1.3%  

Comunicaciones Celulares SA Via Comcel Trust, 6.88%, 02/06/24(a)

      1,000       1,030,000  

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

      120       104,400  

CyrusOne LP/CyrusOne Finance Corp.:

     

5.00%, 03/15/24

      26       26,455  

5.38%, 03/15/27

      115       117,012  

Equinix, Inc., 5.38%, 04/01/23

      14       14,245  

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

      74       69,560  

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

      2,325       3,066,820  
 

 

 

22    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

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

SBA Communications Corp.:

     

4.88%, 07/15/22

    USD       14     $ 14,175  

4.88%, 09/01/24

      951       949,811  

Sprint Capital Corp., 6.90%, 05/01/19

      140       140,350  

Sprint Corp.:

     

7.88%, 09/15/23

      684       732,058  

7.13%, 06/15/24

      974       1,003,220  

7.63%, 02/15/25

      226       236,735  

7.63%, 03/01/26

      1,005       1,042,687  

T-Mobile USA, Inc.:

     

5.13%, 04/15/25

      77       78,949  

6.50%, 01/15/26

      42       44,888  

4.50%, 02/01/26

      426       419,606  

4.75%, 02/01/28

      387       375,835  
   

 

 

 
        9,466,806  
   

 

 

 

Total Corporate Bonds — 65.4%
(Cost — $484,633,950)

 

    492,103,462  
   

 

 

 

Floating Rate Loan Interests(b) — 2.2%

 

Aerospace & Defense — 0.0%

 

Atlantic Aviation FBO, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 6.27%, 11/29/25(b)(d)

      33       33,206  

DAE Aviation Holdings, Inc., Term Loan(b)(k):

     

2019 B, 1.00%, 01/23/26

      68       68,750  

1.00%, 01/23/26

      37       36,962  
   

 

 

 
        138,918  
Chemicals — 0.1%  

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.80%, 01/31/24(b)

      283       277,628  

Invictus US LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 9.24%, 03/25/26(b)(d)

      37       36,382  

Messer Industries LLC, 2018 USD Term Loan, 1.00%, 10/01/25(b)(k)

      246       244,440  
   

 

 

 
        558,450  
Commercial Services & Supplies — 0.2%  

Asurion LLC, 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 8.99%, 08/04/25(b)

      261       264,860  

GFL Environmental, Inc., 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.49%, 05/30/25(b)

      295       289,854  

Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 6.99%, 08/27/25(b)(d)

      669       669,851  

West Corp., 2017 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.63%, 10/10/24(b)

      121       114,407  

West Corporation, 2018 Term Loan B1, (1 mo. LIBOR + 3.50%, 1.00% Floor), 6.13%, 10/10/24(b)

      52       48,449  
   

 

 

 
        1,387,421  
Communications Equipment — 0.0%  

CommScope, Inc., 2019 Term Loan B, 1.00%, 02/06/26(b)(k)

      132       131,999  
   

 

 

 
Construction & Engineering — 0.1%  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.96%, 06/21/24(b)

      840       819,114  
   

 

 

 
Diversified Telecommunication Services — 0.1%  

Frontier Communications Corp., Delayed Draw Term Loan A, (1 mo. LIBOR + 2.75%), 5.25%, 03/31/21(b)

      220       216,550  
Security   Par
(000)
    Value  
Diversified Telecommunication Services (continued)  

Sprint Communications, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.50%, 02/02/24(b)

    USD       252     $ 248,850  
   

 

 

 
        465,400  
Electric Utilities — 0.0%  

Vistra Energy Corp., 1st Lien Term Loan B3, (1 mo. LIBOR + 2.00%), 4.48%, 12/31/25(b)

      76       75,517  
   

 

 

 
Energy Equipment & Services — 0.1%  

Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%, 1.00% Floor), 8.49%, 03/01/24(b)

      89       70,630  

Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 10.23%, 11/08/22(b)

      516       513,420  

Weatherford International Ltd., Term Loan, (1 mo. LIBOR + 2.50%), 3.93%, 07/13/20(b)

      190       185,318  
   

 

 

 
        769,368  
Gas Utilities — 0.0%  

AL Midcoast Holdings LLC, 2018 Term Loan B, (3 mo. LIBOR + 5.50%), 8.30%, 07/31/25(b)

      120       118,602  
   

 

 

 
Health Care Equipment & Supplies — 0.1%  

Immucor, Inc., Extended Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.80%, 06/15/21(b)

      417       416,564  
   

 

 

 
Health Care Providers & Services — 0.1%  

Concentra, Inc., 2018 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 1.00% Floor), 9.02%, 06/01/23(b)

      99       99,000  

Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.24%, 10/10/25(b)

      511       491,042  

Gentiva Health Services, Inc.(b):

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.25%, 07/02/25(d)

      101       101,349  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 9.50%, 07/02/26

      34       34,569  

Sotera Health Holdings LLC, 2017 Term Loan, 5.49%, 05/15/22(b)

      65       63,651  

Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 02/06/24(b)

      87       78,019  
   

 

 

 
        867,630  
Health Care Technology — 0.1%  

VVC Holding Corp., 2019 Term Loan B, (3 mo. LIBOR + 4.50%), 7.20%, 02/11/26(b)

      621       617,119  
   

 

 

 
Hotels, Restaurants & Leisure — 0.1%  

Bronco Midstream Funding LLC, Term Loan B, (1 mo. LIBOR + 3.50%), 5.99%, 08/14/23(b)

      22       21,854  

IRB Holding Corp., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.74%, 02/05/25(b)

      119       118,027  

Stars Group Holdings BV, 2018 Incremental Term Loan, (3 mo. LIBOR + 3.50%), 6.30%, 07/10/25(b)

      748       747,302  
   

 

 

 
        887,183  
Industrial Conglomerates — 0.1%  

Cortes NP Acquisition Corp., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.63%, 11/30/23(b)(d)

      299       288,926  

Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.78%, 11/28/21(b)

      113       111,199  
   

 

 

 
        400,125  
 

 

 

SCHEDULES OF INVESTMENTS      23  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Insurance — 0.1%  

Sedgwick Claims Management Services, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 5.74%, 12/31/25(b)

    USD       401     $ 398,855  
   

 

 

 
Machinery — 0.0%  

Titan Acquisition Ltd., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.49%, 03/28/25(b)

      358       343,317  
   

 

 

 
Media — 0.2%  

Altice France SA, 2018 Term Loan B13, (1 mo. LIBOR + 4.00%), 6.49%, 08/14/26(b)

      159       154,120  

Getty Images, Inc., 2019 1st Lien Term Loan, (1 mo. LIBOR + 4.50%), 7.06%, 02/19/26(b)

      132       131,629  

Intelsat Jackson Holdings SA(b):

     

2017 Term Loan B3, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.23%, 11/27/23

      64       64,334  

2017 Term Loan B4, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.98%, 01/02/24

      198       200,745  

2017 Term Loan B5, (Fixed + 6.62%), 6.63%, 01/02/24

      1,071       1,081,201  

PSAV Holdings LLC, 1.00% Floor)(b):

     

2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 5.86%, 03/01/25

      90       88,586  

2018 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 9.99%, 09/01/25

      53       49,289  
   

 

 

 
        1,769,904  
Oil & Gas Equipment & Services — 0.1%  

McDermott Technology Americas, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.49%, 05/10/25(b)

      1,179       1,132,750  
   

 

 

 
Oil, Gas & Consumable Fuels — 0.2%  

BCP Raptor II LLC, 1st Lien Term Loan, (2 mo. LIBOR + 4.75%), 7.37%, 11/03/25(b)

      53       51,211  

California Resources Corp., 1.00% Floor)(b):

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 4.75%, 7.24%, 12/31/22

      621       610,562  

Second Out Term Loan, (1 mo. LIBOR + 10.38%, 12.87%, 12/31/21

      368       386,225  

CONSOL Energy, Inc., 1st Lien Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 8.50%, 11/28/22(b)

      90       90,865  
   

 

 

 
        1,138,863  
Pharmaceuticals — 0.1%  

Bausch Health Companies Inc., Term Loan B, (1 mo. LIBOR + 2.75%), 5.26%, 11/27/25(b)

      131       130,475  

Endo Luxembourg Finance Co. I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%), 6.75%, 04/29/24(b)

      302       302,286  
   

 

 

 
        432,761  
Professional Services — 0.0%  

Dun & Bradstreet Corp., Term Loan, 1.00%, 02/01/26(b)(k)

      794       282,071  
   

 

 

 
Software — 0.4%  

BMC Software Finance, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%), 7.05%, 10/02/25(b)

      58       57,930  

Digicel International Finance Ltd., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 5.88%, 05/28/24(b)

      130       115,185  

Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.75%), 6.24%, 10/01/25(b)

      1,953       1,921,573  

Infor (US), Inc., Term Loan B6, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 02/01/22(b)

      65       64,774  
Security   Par
(000)
    Value  
Software (continued)  

Kronos, Inc., 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 1.00% Floor), 10.99%, 11/01/24(b)

    USD       353     $ 358,479  

Mitchell International, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.74%, 11/29/24(b)

      130       126,351  

SS&C Technologies, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.25%), 4.74%, 04/16/25(b)

      215       214,446  
   

 

 

 
        2,858,738  
Textiles, Apparel & Luxury Goods — 0.0%  

Ascend Performance Materials Operations LLC, Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 8.05%, 08/12/22(b)

      183       182,601  
   

 

 

 
Wireless Telecommunication Services — 0.0%  

Xplornet Communications, Inc., Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.80%, 09/09/21(b)(d)

      97       96,603  
   

 

 

 

Total Floating Rate Loan Interests — 2.2%
(Cost — $16,407,228)

 

    16,289,873  
   

 

 

 
Foreign Agency Obligations — 3.0%  

Argentine Republic Government International Bond:

     

7.50%, 04/22/26

      3,875       3,367,356  

7.63%, 04/22/46

      3,121       2,502,402  

Colombia Government International Bond:

     

4.50%, 01/28/26(f)

      200       205,800  

3.88%, 04/25/27

      468       461,214  

4.50%, 03/15/29(f)

      290       296,090  

Cyprus Government International Bond, 4.63%, 02/03/20(a)

    EUR       1,210       1,433,458  

Egypt Government International Bond, 5.75%, 04/29/20

    USD       626       633,825  

Iceland Government International Bond, 5.88%, 05/11/22

      3,555       3,876,993  

Indonesia Government International Bond, 4.75%, 01/08/26

      380       392,520  

Italian Government International Bond, 5.38%, 06/15/33

      2,925       3,011,200  

Mexico Government International Bond:

     

4.15%, 03/28/27

      260       256,620  

3.75%, 01/11/28(f)

      200       191,400  

Portugal Government International Bond, 5.13%, 10/15/24(a)

      3,970       4,232,481  

Republic of South Africa Government International Bond, 5.88%, 05/30/22

      440       460,900  

Russian Foreign Bond - Eurobond:

     

4.75%, 05/27/26

      200       203,200  

4.25%, 06/23/27

      400       392,000  

Saudi Government International Bond:

     

4.50%, 04/17/30

      278       286,340  

5.25%, 01/16/50(a)

      200       209,400  

Turkey Government International Bond, 6.25%, 09/26/22

      200       202,750  
   

 

 

 

Total Foreign Agency Obligations — 3.0%
(Cost — $23,809,508)

 

    22,615,949  
   

 

 

 

Municipal Bonds — 3.1%

 

California — 0.9%  

East Bay Municipal Utility District Water System Revenue, RB, Build America Bonds,
5.87%, 06/01/40

      1,900       2,434,128  
 

 

 

24    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
California (continued)  

State of California, GO, Build America Bonds, Various Purpose:

     

7.55%, 04/01/39

    USD       280     $ 411,250  

7.63%, 03/01/40

      1,720       2,519,783  

University of California, RB, Build America Bonds, 5.95%, 05/15/45

      885       1,092,559  
   

 

 

 
        6,457,720  
Georgia — 0.3%  

Municipal Electric Authority of Georgia, Refunding RB, Build America Bonds, Series A,
7.06%, 04/01/57

      1,999       2,226,446  
   

 

 

 
Illinois — 0.2%  

State of Illinois, GO, 5.10%, 06/01/33

      2,000       1,896,980  
   

 

 

 
Indiana — 0.4%  

Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 01/15/40

      2,535       3,109,406  
   

 

 

 
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       984,758  

Series GG, Build America Bonds, 5.72%, 06/15/42

      1,390       1,767,719  

Water & Sewer System, Series EE, 5.38%, 06/15/43

      770       813,112  

Metropolitan Transportation Authority, RB, Build America Bonds, Series C, 7.34%, 11/15/39

      1,295       1,841,762  

New York State Dormitory Authority, RB, Build America Bonds:

     

5.63%, 03/15/39

      1,100       1,285,251  

5.60%, 03/15/40

      1,900       2,282,470  

Port Authority of New York & New Jersey, RB, 159th Series, 6.04%, 12/01/29

      780       943,449  
   

 

 

 
        9,918,521  
   

 

 

 

Total Municipal Bonds — 3.1%
(Cost — $20,447,440)

 

    23,609,073  
   

 

 

 

Non-Agency Mortgage-Backed Securities — 4.9%

 

Collateralized Mortgage Obligations — 0.4%

 

Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 03/25/37

      490       428,716  

Countrywide Alternative Loan Trust:

     

Series 2005-64CB, Class 1A15, 5.50%, 12/25/35

      947       917,340  

Series 2006-OA21, Class A1, (1 mo. LIBOR US + 0.19%), 2.67%, 03/20/47(b)

      760       640,886  

GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 4.02%, 06/19/35(c)

      244       239,563  

GSR Mortgage Loan Trust:

     

Series 2006-4F, Class 1A1, 5.00%, 05/25/36

      34       73,309  

Series 2007-4F, Class 3A1, 6.00%, 07/25/37

      156       136,766  

JPMorgan Mortgage Trust, Series 2006-S3, Class 1A12, 6.50%, 08/25/36

      64       46,522  

Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 4.30%, 05/25/36(c)

      487       442,703  

WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, (12 mo. MTA + 0.77%), 3.10%, 05/25/47(b)

      178       165,649  
   

 

 

 
        3,091,454  
Commercial Mortgage-Backed Securities — 4.5%  

Banc of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.60%, 04/14/33(a)(c)

      4,170       4,144,548  
Security   Par
(000)
    Value  
Commercial Mortgage-Backed Securities (continued)  

Citigroup Commercial Mortgage Trust, Series 2013-GC15, Class B, 5.22%, 09/10/46(c)

    USD       7,183     $ 7,632,353  

Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48

      1,409       1,451,389  

Commercial Mortgage Trust(c):

     

Series 2013-CR11, Class B, 5.11%, 08/10/50

      7,000       7,405,499  

Series 2015-CR22, Class C, 4.12%, 03/10/48

      5,000       5,049,183  

Series 2015-LC19, Class C, 4.26%, 02/10/48

      3,500       3,526,415  

CSAIL Commercial Mortgage Trust, Series 2015-C1, Class C, 4.30%, 04/15/50(c)

      1,000       1,004,598  

Morgan Stanley Capital I Trust, Series 2014-CPT, Class G, 3.45%, 07/13/29(a)(c)

      3,200       3,118,857  
   

 

 

 
        33,332,842  
   

 

 

 

Total Non-Agency Mortgage-Backed Securities — 4.9%
(Cost — $35,628,987)

 

    36,424,296  
   

 

 

 

Preferred Securities — 11.7%

 

Capital Trusts — 11.0%

 

Banks — 3.4%  

Banco Bilbao Vizcaya Argentaria SA, 6.13%(c)(l)

      2,000       1,802,500  

Bankia SA, 6.38%(c)(l)

    EUR       200       224,646  

BNP Paribas SA, 7.20%(a)(g)(l)

    USD       2,000       2,132,500  

Capital One Financial Corp., Series E, 5.55%(g)(l)

      3,500       3,565,905  

CIT Group, Inc., Series A, 5.80%(g)(l)

      163       158,925  

Citigroup, Inc.:

     

5.90%(g)(l)

      40       40,800  

Series M, 6.30%(g)(l)

      4,000       4,070,000  

Series P, 5.95%(g)(l)

      2,100       2,115,750  

Series T, 6.25%(g)(l)

      50       52,558  

Credit Agricole SA(a)(g)(l):

     

6.63%

      1,400       1,412,872  

7.88%

      1,000       1,072,996  

Nordea Bank AB, 6.13%(a)(g)(l)

      2,960       2,889,700  

Wells Fargo & Co.:

     

Series Q, 5.85%(g)(l)

      75       1,910,250  

Series S, 5.90%(g)(l)

      3,390       3,453,562  

Series U, 5.88%(f)(g)(l)

      505       534,038  
   

 

 

 
        25,437,002  
Capital Markets — 0.7%  

Goldman Sachs Group, Inc., Series P, 5.00%(c)(l)

      209       192,280  

Morgan Stanley, Series H, 5.45%(g)(l)

      2,627       2,630,284  

State Street Corp., Series F, 5.25%(g)(l)

      2,000       2,025,000  
   

 

 

 
        4,847,564  
Chemicals — 0.0%  

Solvay Finance SA, 5.12%(g)(l)

    EUR       100       122,665  
   

 

 

 
Diversified Financial Services — 4.5%  

ATF Netherlands BV, 3.75%(g)(l)

      100       113,711  

Bank of America Corp.:

     

Series AA, 6.10%(g)(l)

    USD       409       434,763  

Series DD, 6.30%(g)(l)

      45       49,005  

Series FF, 5.88%(c)(l)

      3,500       3,450,300  

Series V, 5.13%(g)(l)

      175       174,265  

Series X, 6.25%(g)(l)

      4,620       4,886,205  

Bank of New York Mellon Corp., Series D, 4.50%(f)(g)(l)

      2,000       1,851,000  

Bank of New York Mellon Corp., Series E, 4.95%(g)(l)

      2,000       2,027,660  

HBOS Capital Funding LP, 6.85%(l)

      100       101,000  

HSBC Holdings PLC:

     

6.00%(g)(l)

      435       423,581  

6.50%(c)(l)

      1,090       1,072,974  
 

 

 

SCHEDULES OF INVESTMENTS      25  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

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

JPMorgan Chase & Co.(g)(l):

     

Series 1, 6.22%

    USD       5,079     $ 5,103,125  

Series Q, 5.15%

      3,000       2,977,500  

Series R, 6.00%

      70       72,100  

Series U, 6.13%

      500       520,000  

Series V, 5.00%

      6,430       6,421,963  

Royal Bank of Scotland Group PLC, 8.63%(g)(l)

      200       214,460  

Societe Generale SA(a)(g)(l):

     

6.00%

      3,000       2,966,250  

7.88%

      1,000       1,035,000  
   

 

 

 
        33,894,862  
Diversified Telecommunication Services — 0.0%  

Telefonica Europe BV, 5.88%(g)(l)

    EUR       100       126,541  
   

 

 

 
Electric Utilities — 0.6%  

ComEd Financing III, 6.35%, 03/15/33

    USD       300       310,998  

Electricite de France SA, 5.25%(a)(g)(l)

      4,200       4,179,000  

RWE AG, 2.75%, 04/21/75(g)

    EUR       10       11,485  
   

 

 

 
        4,501,483  
Insurance — 1.8%  

Allstate Corp., 6.50%, 05/15/67(g)

    USD       4,100       4,387,000  

Allstate Corp., Series B, 5.75%, 08/15/53(g)

      2,000       2,020,000  

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

      2,554       2,707,240  

Voya Financial, Inc., 5.65%, 05/15/53(g)

      4,500       4,451,895  
   

 

 

 
        13,566,135  
   

 

 

 

Total Capital Trusts — 11.0%
(Cost — $82,460,468)

 

    82,496,252  
   

 

 

 
            Shares         

Preferred Stocks — 0.6%

 

Capital Markets — 0.6%

 

Goldman Sachs Group, Inc., Series J, 5.50%(g)(l)

      92,000       2,337,720  

Morgan Stanley, Series K, 5.85%(g)(l)

      66,567       1,684,811  

SCE Trust III, Series H, 5.75%(g)(l)

      25,314       610,067  
   

 

 

 
        4,632,598  
Thrifts & Mortgage Finance — 0.0%  

Federal Home Loan Mortgage Corp., Series S, 8.25%(c)(l)

      10,000       96,800  
   

 

 

 

Total Preferred Stocks — 0.6%
(Cost — $4,614,025)

 

    4,729,398  
   

 

 

 

Trust Preferred — 0.1%

 

Diversified Financial Services — 0.1%

 

Citigroup Capital XIII, 9.12%(g)

      29,583       790,458  
   

 

 

 

Total Trust Preferred — 0.1%
(Cost — $779,529)

 

    790,458  
   

 

 

 

Total Preferred Securities — 11.7%
(Cost — $87,854,022)

 

    88,016,108  
   

 

 

 
            Par
(000)
        

U.S. Government Sponsored Agency Securities — 15.8%

 

Agency Obligations — 1.6%  

Fannie Mae, 5.63%, 07/15/37(f)

    USD       1,600       2,100,264  

Federal Home Loan Bank(f):

     

5.25%, 12/09/22

      1,375       1,504,570  

5.37%, 09/09/24

      4,025       4,561,698  
Security          Par
(000)
    Value  
Agency Obligations (continued)  

Residual Funding Corp., 0.00%, 04/15/30(m)

    USD       6,055     $ 4,233,868  
   

 

 

 
        12,400,400  
Collateralized Mortgage Obligations — 4.4%  

Fannie Mae Mortgage-Backed Securities:

     

Series 2015-47, Class GL, 3.50%, 07/25/45

      1,636       1,621,912  

Series 2005-5, Class PK, 5.00%, 12/25/34

      31       31,466  

Series 1991-87, Class S, (1 mo. LIBOR + 26.68%), 20.08%, 08/25/21(b)

      1       1,174  

Series G-17, Class S, 825.09%, 06/25/21(c)

      (n)       

Series G-07, Class S, (1 mo. LIBOR + 1,151.69%), 863.73%, 03/25/21(b)

      (n)      16  

Series G-33, Class PV, 1,078.42%, 10/25/21

      (n)       

Series 1991-46, Class S, (1 mo. LIBOR + 2,519.00%), 1,948.82%, 05/25/21(b)

      (n)       

Freddie Mac Mortgage-Backed Securities:

     

Series 4350, Class DY, 4.00%, 06/15/44

      2,830       2,948,374  

Series 4480, Class ZX, 4.00%, 11/15/44(f)

      6,367       6,508,324  

Series 4549, Class TZ, 4.00%, 11/15/45

      2,790       2,875,392  

Series 4398, Class ZX, 4.00%, 09/15/54(d)

      9,155       9,655,900  

Series 1057, Class J, 1,008.00%, 03/15/21

      (n)       

Series 192, Class U, 1,009.03%, 02/15/22(c)

      (n)       

Ginnie Mae Mortgage-Backed Securities, Series 2014-72, Class MQ, 4.00%, 02/20/44

      8,858       9,133,478  
   

 

 

 
        32,776,036  
Interest Only Collateralized Mortgage Obligations — 0.5%  

Fannie Mae Mortgage-Backed Securities:

     

Series 1997-50, Class SI, (1 mo. LIBOR + 9.20%), 1.20%, 04/25/23(b)

      22       388  

Series 2012-96, Class DI, 4.00%, 02/25/27

      3,220       207,831  

Series 2012-47, Class NI, 4.50%, 04/25/42

      4,159       887,518  

Series G92-05, Class H, 9.00%, 01/25/22

      (n)      4  

Series 94, Class 2, 9.50%, 08/25/21

      (n)      8  

Series 1990-136, Class S, (1 mo. LIBOR + 17.60%), 17.59%, 11/25/20(b)

      (n)       

Series 1991-139, Class PT, 648.35%, 10/25/21

      (n)       

Series G-10, Class S, (1 mo. LIBOR + 11.07%), 835.65%, 05/25/21(b)

      (n)       

Series 1991-099, Class L, 930.00%, 08/25/21

      (n)       

Series 1990-123, Class M, 1,009.50%, 10/25/20

      (n)       

Freddie Mac Mortgage-Backed Securities:

     

Series 1254, Class Z, 8.50%, 04/15/22

      10       978  

Series 1043, Class H, (1 mo. LIBOR + 45.00%), 33.80%, 02/15/21(b)

      (n)       

Series 1054, Class I, (1 mo. LIBOR + 5.26%), 664.78%, 03/15/21(b)

      (n)       

Series 1148, Class E, (1 mo. LIBOR + 1,196.85%), 903.40%, 10/15/21(b)

      (n)       

Series 1056, Class KD, 1,084.50%, 03/15/21

      (n)       

Ginnie Mae Mortgage-Backed Securities(b):

     

Series 2009-78, Class SD, (1 mo. LIBOR + 6.20%), 3.72%, 09/20/32

      4,220       393,730  

Series 2009-116, Class KS, (1 mo. LIBOR + 6.47%), 3.99%, 12/16/39

      1,468       186,468  

Series 2011-52, Class NS, (1 mo. LIBOR + 6.67%), 4.19%, 04/16/41

      12,141       1,871,956  
   

 

 

 
        3,548,881  
Mortgage-Backed Securities — 9.3%  

Fannie Mae Mortgage-Backed Securities(f):

     

3.00%, 09/01/43

      12,691       12,426,920  

4.00%, 12/01/41 - 04/01/56

      28,233       29,068,194  

4.50%, 07/01/41 - 07/01/55

      14,987       15,765,771  

5.00%, 08/01/34

      1,447       1,545,310  
 

 

 

26    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Mortgage-Backed Securities (continued)  

5.50%, 06/01/38

    USD       717     $ 775,758  

6.00%, 12/01/38

      567       624,173  

Freddie Mac Mortgage-Backed Securities(f):

     

3.00%, 04/01/33

      7,957       7,950,953  

4.50%, 03/01/47

      1,764       1,850,578  

Ginnie Mae Mortgage-Backed Securities:

     

5.50%, 08/15/33

      43       46,349  

8.00%, 07/15/24

      (n)      73  
   

 

 

 
        70,054,079  
Principal Only Collateralized Mortgage Obligations — 0.0%  

Fannie Mae Mortgage-Backed Securities(m):

     

Series 1993-51, Class E, 0.00%, 02/25/23

      4       3,653  

Series 203, Class 1, 0.00%, 02/25/23

      1       1,116  

Series 1993-70, Class A, 0.00%, 05/25/23

      1       647  

Series 228, Class 1, 0.00%, 06/25/23

      1       956  
   

 

 

 
        6,372  
   

 

 

 

Total U.S. Government Sponsored Agency Securities — 15.8%
(Cost — $117,935,186)

 

    118,785,768  
   

 

 

 

U.S. Treasury Obligations — 22.3%

 

U.S. Treasury Bonds(f):

     

7.50%, 11/15/24

      8,200       10,334,242  

3.00%, 11/15/44

      61,400       60,500,586  

2.50%, 02/15/46(o)

      66,500       59,296,699  

3.38%, 11/15/48

      3,970       4,196,414  

U.S. Treasury Notes(f):

     

2.75%, 09/30/20

      2,880       2,888,550  

2.75%, 09/15/21

      2,800       2,817,172  

2.75%, 04/30/23

      2,800       2,825,703  

2.75%, 08/31/23

      1,700       1,717,066  

2.75%, 08/31/25(o)

      14,800       14,928,344  

3.00%, 09/30/25

      2,400       2,457,094  

2.88%, 08/15/28

      1,000       1,013,555  

3.13%, 11/15/28

      3,000       3,104,297  

2.75%, 11/15/47

      2,000       1,869,453  
   

 

 

 

Total U.S. Treasury Obligations — 22.3%
(Cost — $177,144,888)

 

    167,949,175  
   

 

 

 

Total Long-Term Investments — 136.0%
(Cost — $1,021,824,261)

 

    1,023,069,920  
   

 

 

 

Short-Term Securities — 1.5%

 

Foreign Agency Obligations — 0.1%

 

Egypt Treasury Bills, 0.00%, 04/02/19(m)

    EGP       14,125       794,054  
   

 

 

 

Total Foreign Agency Obligations — 0.1%
(Cost — $776,538)

 

    794,054  
   

 

 

 
Security         

Shares

    Value  
Money Market Funds — 1.4%  

BlackRock Liquidity Funds, T-Fund, Institutional Class, 2.29%(p)(q)

      10,757,543     $ 10,757,543  
   

 

 

 

Total Money Market Funds — 1.4%
(Cost — $10,757,543)

 

    10,757,543  
   

 

 

 

Total Short-Term Securities — 1.5%
(Cost — $11,534,081)

 

    11,551,597  
   

 

 

 

Options Purchased — 0.5%
(Cost — $4,113,330)

 

    3,658,648  
   

 

 

 

Total Investments Before Options Written — 138.0%
(Cost — $1,037,471,672)

 

    1,038,280,165  
   

 

 

 

Options Written — (0.3)%
(Premiums Received — $4,237,488)

 

    (2,481,644
   

 

 

 

Total Investments, Net of Options Written — 137.7%
(Cost — $1,033,234,184)

 

    1,035,798,521  

Liabilities in Excess of Other Assets — (37.7)%

 

    (283,741,639
   

 

 

 

Net Assets — 100.0%

 

  $ 752,056,882  
   

 

 

 

 

(a) 

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

(b) 

Variable rate security. Rate shown is the rate in effect as of period end.

(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 is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(e) 

When-issued security.

(f) 

All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

(g) 

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.

(h) 

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.

(i) 

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.

(j) 

Convertible security.

(k) 

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.

(l) 

Perpetual security with no stated maturity date.

(m) 

Zero-coupon bond.

(n) 

Amount is less than $500.

(o) 

All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

(p) 

Annualized 7-day yield as of period end.

 
(q) 

During the six months ended February 28, 2019, 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
08/31/18
     Net
Activity
     Shares
Held at
02/28/19
     Value at
02/28/19
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     14,487,097        (3,729,554      10,757,543      $ 10,757,543      $ 107,231      $      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 

 

 

 

SCHEDULES OF INVESTMENTS      27  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

 

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

Reverse Repurchase Agreements

 

Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date
 (a)
    Face Value     Face Value
Including
Accrued Interest
    Type of Non-Cash
Underlying Collateral
  Remaining Contractual
Maturity of the Agreements
 (a)

BNP Paribas S.A.

    2.51     05/08/18       Open     $ 61,016,250     $ 62,188,542     U.S. Treasury Obligations   Open/Demand

Deutsche Bank AG

    2.32       05/08/18       Open       22,250,000       22,631,433     U.S. Treasury Obligations   Open/Demand

BNP Paribas S.A.

    2.57       07/25/18       Open       2,108,000       2,137,072     U.S. Government Sponsored Agency Securities   Open/Demand

BNP Paribas S.A.

    2.57       07/25/18       Open       1,512,500       1,533,359     U.S. Government Sponsored Agency Securities   Open/Demand

BNP Paribas S.A.

    2.57       07/25/18       Open       2,490,371       2,524,720     U.S. Government Sponsored Agency Securities   Open/Demand

Deutsche Bank AG

    0.95       09/13/18       Open       61,920       62,139     Corporate Bonds   Open/Demand

Nomura Securities International, Inc.

    2.70       09/13/18       Open       1,875,000       1,895,787     U.S. Treasury Obligations   Open/Demand

Nomura Securities International, Inc.

    2.70       10/05/18       Open       1,680,875       1,697,159     U.S. Treasury Obligations   Open/Demand

Nomura Securities International, Inc.

    2.70       10/05/18       Open       2,786,000       2,812,971     U.S. Treasury Obligations   Open/Demand

BNP Paribas S.A.

    2.52       10/09/18       Open       2,872,800       2,899,145     U.S. Treasury Obligations   Open/Demand

BNP Paribas S.A.

    2.52       10/09/18       Open       2,796,500       2,822,430     U.S. Treasury Obligations   Open/Demand

Nomura Securities International, Inc.

    2.70       10/15/18       Open       34,820,194       35,136,081     U.S. Treasury Obligations   Open/Demand

Nomura Securities International, Inc.

    2.70       10/15/18       Open       13,511,813       13,634,571     U.S. Treasury Obligations   Open/Demand

Nomura Securities International, Inc.

    2.70       10/15/18       Open       2,388,000       2,409,696     U.S. Treasury Obligations   Open/Demand

Nomura Securities International, Inc.

    2.70       10/15/18       Open       10,455,000       10,549,987     U.S. Treasury Obligations   Open/Demand

Goldman Sachs & Co. LLC

    2.40       11/06/18       Open       496,986       500,276     Corporate Bonds   Open/Demand

Nomura Securities International, Inc.

    2.70       11/07/18       Open       699,540       704,866     U.S. Treasury Obligations   Open/Demand

Nomura Securities International, Inc.

    2.70       11/07/18       Open       978,750       986,078     U.S. Treasury Obligations   Open/Demand

RBC Capital Markets LLC

    2.79       11/15/18       Open       2,156,573       2,173,582     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.79       11/15/18       Open       2,989,875       3,013,458     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.79       11/15/18       Open       1,650,000       1,663,014     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.79       11/15/18       Open       3,410,000       3,436,896     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    2.50       11/29/18       Open       165,250       166,259     Foreign Agency Obligations   Open/Demand

Nomura Securities International, Inc.

    2.70       11/29/18       Open       3,030,000       3,049,055     U.S. Treasury Obligations   Open/Demand

HSBC Securities (USA), Inc.

    2.65       11/30/18       Open       3,325,000       3,346,700     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    1.50       12/14/18       Open       137,021       137,433     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    1.70       12/14/18       Open       65,340       65,576     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.55       12/14/18       Open       3,540,000       3,558,280     Corporate Bonds   Open/Demand

BNP Paribas S.A.

    2.76       12/14/18       Open       723,613       727,662     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    2.65       12/14/18       Open       4,065,000       4,086,827     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    2.65       12/14/18       Open       1,745,000       1,754,370     Capital Trusts   Open/Demand

HSBC Securities (USA), Inc.

    2.65       12/14/18       Open       3,076,000       3,092,516     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    2.65       12/14/18       Open       1,519,000       1,527,156     Corporate Bonds   Open/Demand

HSBC Securities (USA), Inc.

    2.65       12/14/18       Open       3,543,000       3,562,024     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.79       12/14/18       Open       7,696,140       7,739,679     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.79       12/14/18       Open       1,963,125       1,974,231     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.79       12/14/18       Open       1,760,000       1,769,957     Corporate Bonds   Open/Demand

RBC Capital Markets LLC

    2.79       12/14/18       Open       1,718,438       1,728,159     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    1.00       12/21/18       Open       217,931       218,355     Corporate Bonds   Open/Demand

JPMorgan Chase Bank N.A.

    0.35       01/03/19       Open       141,248       141,324     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    1.25       01/11/19       Open       89,389       89,532     Corporate Bonds   Open/Demand

Goldman Sachs & Co. LLC

    0.00       01/14/19       Open       71,616       71,616     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    1.75       01/16/19       Open       60,033       60,158     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.50       01/17/19       Open       184,640       185,145     Corporate Bonds   Open/Demand

Goldman Sachs & Co. LLC

    0.75       01/18/19       Open       82,480       82,546     Corporate Bonds   Open/Demand

Goldman Sachs & Co. LLC

    1.00       01/18/19       Open       130,006       130,144     Corporate Bonds   Open/Demand

Goldman Sachs & Co. LLC

    1.80       01/18/19       Open       250,605       251,081     Corporate Bonds   Open/Demand

Barclays Capital, Inc.

    2.00       01/24/19       Open       204,063       204,459     Corporate Bonds   Open/Demand

Royal Bank of Canada

    2.61       02/11/19       3/13/19       606,000       606,703     U.S. Government Sponsored Agency Securities   Up to 30 Days

Royal Bank of Canada

    2.61       02/11/19       3/13/19       6,675,000       6,682,743     U.S. Government Sponsored Agency Securities   Up to 30 Days

Royal Bank of Canada

    2.61       02/11/19       3/13/19       2,071,000       2,073,402     U.S. Government Sponsored Agency Securities   Up to 30 Days

Royal Bank of Canada

    2.61       02/11/19       3/13/19       12,142,000       12,156,085     U.S. Government Sponsored Agency Securities   Up to 30 Days

 

 

28    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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)

Royal Bank of Canada

    2.61 %       02/11/19       3/13/19     $ 1,800,000     $ 1,802,088     U.S. Government Sponsored Agency Securities   Up to 30 Days

Royal Bank of Canada

    2.61       02/11/19       3/13/19       1,845,000       1,847,140     U.S. Government Sponsored Agency Securities   Up to 30 Days

Royal Bank of Canada

    2.61       02/11/19       3/13/19       6,405,000       6,412,430     U.S. Government Sponsored Agency Securities   Up to 30 Days

Royal Bank of Canada

    2.61       02/11/19       3/13/19       1,500,000       1,501,740     U.S. Government Sponsored Agency Securities   Up to 30 Days

Royal Bank of Canada

    2.61       02/11/19       3/13/19       17,505,000       17,525,306     U.S. Government Sponsored Agency Securities   Up to 30 Days

Royal Bank of Canada

    2.61       02/11/19       3/13/19       2,183,000       2,185,532     U.S. Government Sponsored Agency Securities   Up to 30 Days

Royal Bank of Canada

    2.61       02/11/19       3/13/19       4,400,000       4,405,104     U.S. Government Sponsored Agency Securities   Up to 30 Days

Royal Bank of Canada

    2.61       02/11/19       3/13/19       752,000       752,872     U.S. Government Sponsored Agency Securities   Up to 30 Days

Royal Bank of Canada

    2.61       02/11/19       3/13/19       2,435,000       2,437,825     U.S. Government Sponsored Agency Securities   Up to 30 Days

Barclays Capital, Inc.

    2.50       02/12/19       Open       248,023       248,292     Corporate Bonds   Open/Demand

Goldman Sachs & Co. LLC

    0.50       02/12/19       Open       25,473       25,478     Corporate Bonds   Open/Demand

Goldman Sachs & Co. LLC

    0.00       02/12/19       Open       971,473       971,473     Corporate Bonds   Open/Demand

Goldman Sachs & Co. LLC

    2.50       02/12/19       Open       364,996       365,402     Capital Trusts   Open/Demand

Goldman Sachs & Co. LLC

    2.50       02/12/19       Open       260,003       260,292     Corporate Bonds   Open/Demand

Goldman Sachs & Co. LLC

    (2.00     02/12/19       Open       16,855       16,840     Corporate Bonds   Open/Demand

Credit Suisse Securities (USA) LLC

    1.25       02/13/19       Open       41,513       41,536     Corporate Bonds   Open/Demand

Royal Bank of Canada

    2.63       02/14/19       3/15/19       6,322,000       6,328,466     U.S. Government Sponsored Agency Securities   Up to 30 Days

HSBC Securities (USA), Inc.

    2.61       02/15/19       3/18/19       7,721,000       7,726,598     U.S. Government Sponsored Agency Securities   Up to 30 Days

Nomura Securities International, Inc.

    2.70       02/22/19       Open       4,272,713       4,274,773     U.S. Treasury Obligations   Open/Demand

Credit Suisse Securities (USA) LLC

    2.65       02/26/19       Open       256,288       256,325     Foreign Agency Obligations   Open/Demand

Credit Suisse Securities (USA) LLC

    2.65       02/26/19       Open       176,000       176,026     Foreign Agency Obligations   Open/Demand

Barclays Capital, Inc.

    0.00       02/28/19       Open       242,625       242,625     Corporate Bonds   Open/Demand
       

 

 

   

 

 

     
  $ 295,748,847     $ 298,456,602      
 

 

 

   

 

 

     

 

  (a) 

Certain agreements have no stated maturity and can be terminated by either party at any time.

 

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:

                 

German Euro Schatz

     260          03/07/19        $ 33,068        $ (11,327

Euro Stoxx 600 Index

     1          03/15/19          8          573  

10-Year U.S. Ultra Long Treasury Note

     7          06/19/19          906          (2,834

Ultra Long U.S. Treasury Bond

     129          06/19/19          20,588          (228,160

2-Year U.S. Treasury Note

     603          06/28/19          127,954          (76,389
                 

 

 

 
                    (318,137
                 

 

 

 

Short Contracts:

                 

Euro-BOBL

     1          03/07/19          151          (672

Euro Bund

     121          03/07/19          22,752          (251,614

10-Year U.S. Treasury Note

     154          06/19/19          18,788          95,461  

Ultra Long U.S. Treasury Bond

     35          06/19/19          5,056          30,991  

Long Gilt

     1          06/26/19          167          1,935  

90-Day Euro

     70          09/14/20          17,067          (34,163
                 

 

 

 
                    (158,062
                 

 

 

 
                  $ (476,199
                 

 

 

 

 

 

SCHEDULES OF INVESTMENTS      29  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

 

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased
       Currency
Sold
       Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)
 
USD     1,893,237        EUR     1,643,000        UBS AG        03/05/19        $ 24,253  
USD     8,097,247        EUR     7,027,000        UBS AG        03/05/19          103,728  
USD     137,110        NZD     198,000        State Street Bank and Trust Co.        03/05/19          2,269  
USD     1,834,396        EUR     1,602,000        HSBC Bank PLC        04/04/19          7,428  
USD     5,608,274        EUR     4,909,000        State Street Bank and Trust Co.        04/04/19          9,906  
USD     872,275        GBP     655,000        Barclays Bank PLC        04/04/19          2,121  
USD     7,773,238        GBP     5,837,000        Barclays Bank PLC        04/04/19          18,902  
USD     135,516        NZD     198,000        Westpac Banking Corp.        04/04/19          591  
                       

 

 

 
                          169,198  
                       

 

 

 
EUR     1,602,000        USD     1,829,788        HSBC Bank PLC        03/05/19          (7,443
EUR     4,909,000        USD     5,594,118        State Street Bank and Trust Co.        03/05/19          (9,917
GBP     655,000        USD     870,933        Barclays Bank PLC        03/05/19          (2,130
GBP     5,837,000        USD     7,761,278        Barclays Bank PLC        03/05/19          (18,983
NZD     198,000        USD     135,431        Westpac Banking Corp.        03/05/19          (590
USD     864,401        GBP     658,000        State Street Bank and Trust Co.        03/05/19          (8,381
USD     7,667,944        GBP     5,837,000        State Street Bank and Trust Co.        03/05/19          (74,350
                       

 

 

 
                          (121,794
                       

 

 

 
    Net Unrealized Appreciation        $ 47,404  
                     

 

 

 

Interest Rate Caps — Purchased

 

Description    Exercise
Rate
     Counterparty    Expiration
Date
     Notional
Amount (000)
     Value      Premiums
Paid
(Received)
     Unrealized
Depreciation
 

Call

                      

5Y-10Y CMS Index Cap

     0.14    Morgan Stanley & Co. International PLC      4/10/19        USD       58,500      $ 16,156      $ 16,405      $ (249

5Y-30Y CMS Index Cap

     0.35      Goldman Sachs Bank USA      7/26/19        USD       71,000        33,403        35,855        (2,452
                

 

 

    

 

 

    

 

 

 
                 $ 49,559      $ 52,260      $ (2,701
                

 

 

    

 

 

    

 

 

 

Exchange-Traded Options Purchased

 

Description    Number of
Contracts
       Expiration
Date
       Exercise
Price
       Notional
Amount (000)
       Value  

Call

                          

90-Day Euro Future

     332          06/17/19        USD     97.75        USD     81,133        $ 2,075  

90-Day Euro Future

     332          03/16/20        USD     97.75        USD     81,133          70,550  
                          

 

 

 
                             72,625  
                          

 

 

 

Put

                          

90-Day Euro Future

     43          07/12/19        USD     97.13        USD     10,441          806  

90-Day Euro Future

     127          07/12/19        USD     97.00        USD     30,798          1,588  

90-Day Euro Future

     42          07/12/19        USD     97.25        USD     10,211          2,362  
                          

 

 

 
                             4,756  
                          

 

 

 
                           $ 77,381  
                          

 

 

 

OTC Interest Rate Swaptions Purchased

 

     Paid by the Trust   Received by the Trust   Counterparty   Expiration
Date
    Exercise
Rate
    Notional
Amount (000)
    Value  
Description   Rate     Frequency   Rate     Frequency

Call

                                                                   

10-Year Interest Rate Swap, 03/24/29

    3-Month LIBOR, 2.62%     Quarterly     2.60%     Semi-annual   Citibank N.A.     03/22/19       2.60     USD       2,810     $ 2,617  

10-Year Interest Rate Swap, 03/24/29

    3-Month LIBOR, 2.62%     Quarterly     2.70     Semi-annual   Citibank N.A.     03/22/19       2.70       USD       1,910       6,347  

5-Year Interest Rate Swap, 11/29/24

    3-Month LIBOR, 2.62%     Quarterly     3.09     Semi-annual   Morgan Stanley & Co. International PLC     11/27/19       3.09       USD       18,950       488,512  

1-Year Interest Rate Swap, 01/12/21

    3-Month LIBOR, 2.62%     Quarterly     2.95     Semi-annual   Morgan Stanley & Co. International PLC     01/10/20       2.95       USD       66,720       263,613  

 

 

30    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

 

OTC Interest Rate Swaptions Purchased (continued)

 

     Paid by the Trust   Received by the Trust   Counterparty   Expiration
Date
    Exercise
Rate
    Notional
Amount (000)
    Value  
Description   Rate     Frequency   Rate     Frequency

Call

                                                                   

1-Year Interest Rate Swap, 01/23/21

   
3-Month LIBOR,
2.62%
 
 
  Quarterly     2.95 %     Semi-annual   Morgan Stanley & Co. International PLC     01/21/20       2.95 %       USD       66,720     $ 270,409  

1-Year Interest Rate Swap, 02/01/21

   
3-Month LIBOR,
2.62%
 
 
  Quarterly     2.95     Semi-annual   Morgan Stanley & Co. International PLC     01/30/20       2.95       USD       32,570       133,692  

10-Year Interest Rate Swap, 02/16/30

   
3-Month LIBOR,
2.62%
 
 
  Quarterly     2.65     Semi-annual   Nomura International PLC     02/14/20       2.65       USD       6,720       106,419  

5-Year Interest Rate Swap, 02/28/25

   
3-Month LIBOR,
2.62%
 
 
  Quarterly     2.52     Semi-annual   Citibank N.A.     02/26/20       2.52       USD       9,630       95,193  

15-Year Interest Rate Swap, 06/10/35

   
6-Month JPY
LIBOR, 0.01%
 
 
  Semi-annual     0.65     Semi-annual   Barclays Bank PLC     06/08/20       0.65       JPY       125,000       40,158  

15-Year Interest Rate Swap, 09/16/35

   
6-Month JPY
LIBOR, 0.01%
 
 
  Semi-annual     0.66     Semi-annual   Morgan Stanley & Co. International PLC     09/14/20       0.66       JPY       50,000       16,213  

15-Year Interest Rate Swap, 09/16/35

   
6-Month JPY
LIBOR, 0.01%
 
 
  Semi-annual     0.66     Semi-annual   Barclays Bank PLC     09/14/20       0.66       JPY       50,000       16,213  

5-Year Interest Rate Swap, 02/17/26

   
6-Month EURIBOR,
(0.23)%
 
 
  Semi-annual     0.55     Annual   Barclays Bank PLC     02/15/21       0.55       EUR       5,590       64,652  

20-Year Interest Rate Swap, 04/18/41

   
6-Month JPY
LIBOR, 0.01%
 
 
  Semi-annual     0.78     Semi-annual   JPMorgan Chase Bank N.A.     04/16/21       0.78       JPY       105,700       44,713  

30-Year Interest Rate Swap, 04/28/53

   
3-Month LIBOR,
2.62%
 
 
  Quarterly     3.11     Semi-annual   Goldman Sachs Bank USA     04/26/23       3.11       USD       520       56,655  

30-Year Interest Rate Swap, 01/31/54

   
3-Month LIBOR,
2.62%
 
 
  Quarterly     2.97     Semi-annual   Citibank N.A.     01/29/24       2.97       USD       550       54,960  

10-Year Interest Rate Swap, 06/29/38(a)

   
3-Month LIBOR,
2.62%
 
 
  Quarterly     3.05     Semi-annual   Deutsche Bank AG     06/27/28       3.05       USD       3,125       (21,609

10-Year Interest Rate Swap, 01/12/39

   
3-Month LIBOR,
2.62%
 
 
  Quarterly     3.04     Semi-annual   Nomura International PLC     01/10/29       3.04       USD       1,000       53,288  

10-Year Interest Rate Swap, 01/13/39

   
3-Month LIBOR,
2.62%
 
 
  Quarterly     3.04     Semi-annual   Morgan Stanley & Co. International PLC     01/11/29       3.04       USD       1,000       53,191  

10-Year Interest Rate Swap, 01/31/39

   
3-Month LIBOR,
2.62%
 
 
  Quarterly     3.08     Semi-annual   Barclays Bank PLC     01/29/29       3.08       USD       1,020       55,951  

10-Year Interest Rate Swap, 04/29/48

   
3-Month LIBOR,
2.62%
 
 
  Quarterly     2.99     Semi-annual   JPMorgan Chase Bank N.A.     04/27/38       2.99       USD       910       47,098  

10-Year Interest Rate Swap, 02/24/49

   
3-Month LIBOR,
2.62%
 
 
  Quarterly     2.86     Semi-annual   JPMorgan Chase Bank N.A.     02/22/39       2.86       USD       933       45,980  
                   

 

 

 
                      1,894,265  
                   

 

 

 

Put

                   

10-Year Interest Rate Swap, 03/24/29

    2.70%     Semi-annual    
6-Month LIBOR,
2.69%
 
 
  Quarterly   Citibank N.A.     03/22/19       2.70       USD       1,910       9,423  

5-Year Interest Rate Swap, 08/16/24

    3.05     Semi-annual    
6-Month LIBOR,
2.69%
 
 
  Quarterly   Nomura International PLC     08/14/19       3.05       USD       10,130       7,794  

30-Year Interest Rate Swap, 10/09/49

    4.00     Semi-annual    
6-Month LIBOR,
2.69%
 
 
  Quarterly   Deutsche Bank AG     10/07/19       4.00       USD       2,620       1,603  

5-Year Interest Rate Swap, 11/29/24

    3.09     Semi-annual    
6-Month LIBOR,
2.69%
 
 
  Quarterly   Morgan Stanley & Co. International PLC     11/27/19       3.09       USD       18,950       32,467  

30-Year Interest Rate Swap, 02/05/50

    4.00     Semi-annual    
6-Month LIBOR,
2.69%
 
 
  Quarterly   Goldman Sachs Bank USA     02/03/20       4.00       USD       1,600       3,130  

5-Year Interest Rate Swap, 02/28/25

    2.52     Semi-annual    
6-Month LIBOR,
2.69%
 
 
  Quarterly   Citibank N.A.     02/26/20       2.52       USD       9,630       117,641  

15-Year Interest Rate Swap, 05/17/35

    1.10     Semi-annual    
6-Month JPY
LIBOR, 0.01%
 
 
  Semi-annual   Barclays Bank PLC     05/15/20       1.10       JPY       250,000       1,851  

15-Year Interest Rate Swap, 06/10/35

    0.65     Semi-annual    
6-Month JPY
LIBOR, 0.01%
 
 
  Semi-annual   Barclays Bank PLC     06/08/20       0.65       JPY       125,000       5,736  

15-Year Interest Rate Swap, 09/16/35

    0.66     Semi-annual    
6-Month JPY
LIBOR, 0.01%
 
 
  Semi-annual   Barclays Bank PLC     09/14/20       0.66       JPY       50,000       3,015  

15-Year Interest Rate Swap, 09/16/35

    0.66     Semi-annual    
6-Month JPY
LIBOR, 0.01%
 
 
  Semi-annual   Morgan Stanley & Co. International PLC     09/14/20       0.66       JPY       50,000       3,015  

5-Year Interest Rate Swap, 02/17/26

    0.55     Annual    
6-Month EURIBOR,
(0.23)%
 
 
  Semi-annual   Barclays Bank PLC     02/15/21       0.55       EUR       5,590       77,191  

20-Year Interest Rate Swap, 04/18/41

    0.78     Semi-annual    
6-Month JPY
LIBOR, 0.01%
 
 
  Semi-annual   JPMorgan Chase Bank N.A.     04/16/21       0.78       JPY       105,700       16,337  

 

 

SCHEDULES OF INVESTMENTS      31  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

 

OTC Interest Rate Swaptions Purchased (continued)

 

     Paid by the Trust   Received by the Trust   Counterparty   Expiration
Date
    Exercise
Rate
    Notional
Amount (000)
    Value  
Description   Rate     Frequency   Rate     Frequency

Put

                                                                   

30-Year Interest Rate Swap, 06/09/51

    3.80 %     Semi-annual     6-Month LIBOR, 2.69%     Quarterly   Barclays Bank PLC     06/07/21       3.80 %       USD       3,780     $ 65,817  

10-Year Interest Rate Swap, 01/13/32

    1.25     Semi-annual     6-Month JPY LIBOR, 0.01%     Semi-annual   Credit Suisse International     01/11/22       1.25       JPY       250,000       4,508  

10-Year Interest Rate Swap, 02/24/32

    1.55     Semi-annual     6-Month JPY LIBOR, 0.01%     Semi-annual   Credit Suisse International     02/22/22       1.55       JPY       250,000       3,095  

10-Year Interest Rate Swap, 03/18/32

    1.60     Semi-annual     6-Month JPY LIBOR, 0.01%     Semi-annual   JPMorgan Chase Bank N.A.     03/16/22       1.60       JPY       250,000       3,055  

10-Year Interest Rate Swap, 04/06/32

    1.45     Semi-annual     6-Month JPY LIBOR, 0.01%     Semi-annual   JPMorgan Chase Bank N.A.     04/04/22       1.45       JPY       250,000       4,007  

15-Year Interest Rate Swap, 05/05/37

    3.25     Semi-annual     6-Month LIBOR, 2.69%     Quarterly   Goldman Sachs Bank USA     05/03/22       3.25       USD       4,050       150,539  

30-Year Interest Rate Swap, 02/15/53

    3.35     Semi-annual     6-Month LIBOR, 2.69%     Quarterly   Barclays Bank PLC     02/13/23       3.35       USD       9,557       564,110  

30-Year Interest Rate Swap, 04/28/53

    3.11     Semi-annual     6-Month LIBOR, 2.69%     Quarterly   Goldman Sachs Bank USA     04/26/23       3.11       USD       520       39,318  

30-Year Interest Rate Swap, 01/31/54

    2.97     Semi-annual     6-Month LIBOR, 2.69%     Quarterly   Citibank N.A.     01/29/24       2.97       USD       550       52,036  

10-Year Interest Rate Swap, 04/14/37

    3.00     Semi-annual     6-Month LIBOR, 2.69%     Quarterly   JPMorgan Chase Bank N.A.     04/12/27       3.00       USD       2,590       147,337  

10-Year Interest Rate Swap, 01/12/39

    3.04     Semi-annual     6-Month LIBOR, 2.69%     Quarterly   Nomura International PLC     01/10/29       3.04       USD       1,000       55,525  

10-Year Interest Rate Swap, 01/13/39

    3.04     Semi-annual     6-Month LIBOR, 2.69%     Quarterly   Morgan Stanley & Co. International PLC     01/11/29       3.04       USD       1,000       55,651  

10-Year Interest Rate Swap, 01/31/39

    3.08     Semi-annual     6-Month LIBOR, 2.69%     Quarterly   Barclays Bank PLC     01/29/29       3.08       USD       1,020       55,205  

20-Year Interest Rate Swap, 08/11/53

    4.00     Semi-annual    
6-Month EURIBOR,
(0.23)%
 
 
  Annual   Barclays Bank PLC     08/09/33       4.00       EUR       2,410       64,737  

10-Year Interest Rate Swap, 04/29/48

    2.99     Semi-annual     6-Month LIBOR, 2.69%     Quarterly   JPMorgan Chase Bank N.A.     04/27/38       2.99       USD       910       45,740  

10-Year Interest Rate Swap, 02/24/49

    2.86     Semi-annual     6-Month LIBOR, 2.69%     Quarterly   JPMorgan Chase Bank N.A.     02/22/39       2.86       USD       933       47,560  
                   

 

 

 
                      1,637,443  
                   

 

 

 
                    $ 3,531,708  
                   

 

 

 

 

  (a) 

Forward settling swaption.

 

Interest Rate Caps — Written

 

Description    Exercise
Rate
     Counterparty      Expiration
Date
       Notional
Amount (000)
       Value        Premiums
Paid
(Received)
       Unrealized
Appreciation
 

Call

                                

5Y-30Y CMS Index Cap

     0.45    Goldman Sachs Bank USA        07/26/29          USD       71,000        $ (13,149      $ (16,330      $ 3,181  
                      

 

 

      

 

 

      

 

 

 

Exchange-Traded Options Written

 

Description    Number of
Contracts
       Expiration
Date
       Exercise
Price
       Notional
Amount (000)
       Value  

Call

                          

90-Day Euro Future

     332          06/17/19        USD     97.88        USD     (81,236      $ (2,075

90-Day Euro Future

     332          03/16/20        USD     97.88        USD     (81,236        (53,950
                          

 

 

 
                           $ (56,025
                          

 

 

 

 

 

32    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

 

OTC Interest Rate Swaptions Written

 

     Paid by the Trust   Received by the Trust   Counterparty   Expiration
Date
    Exercise
Rate
    Notional
Amount (000)
    Value  
Description   Rate   Frequency   Rate   Frequency

Call

 

2-Year Interest Rate Swap, 07/03/21

  2.10%   Semi-annual   6-Month LIBOR, 2.69%   Quarterly   Barclays Bank PLC     07/01/19       2.10   USD     33,855     $ (8,245

2-Year Interest Rate Swap, 07/05/21

  2.10   Semi-annual   6-Month LIBOR, 2.69%   Quarterly   JPMorgan Chase Bank N.A.     07/03/19       2.10     USD     55,620       (13,998

2-Year Interest Rate Swap, 07/05/21

  2.10   Semi-annual   6-Month LIBOR, 2.69%   Quarterly   Nomura International PLC     07/03/19       2.10     USD     18,540       (4,666

2-Year Interest Rate Swap, 07/10/21

  2.15   Semi-annual   6-Month LIBOR, 2.69%   Quarterly   JPMorgan Chase Bank N.A.     07/08/19       2.15     USD     29,660       (10,063

2-Year Interest Rate Swap, 08/29/21

  2.25   Semi-annual   6-Month LIBOR, 2.69%   Quarterly   JPMorgan Chase Bank N.A.     08/27/19       2.25     USD     4,973       (2,942

2-Year Interest Rate Swap, 11/09/21

  3.30   Semi-annual   6-Month LIBOR, 2.69%   Quarterly   Deutsche Bank AG     11/07/19       3.30     USD     11,440       (166,758

1-Year Interest Rate Swap, 01/12/21

  2.45   Semi-annual   6-Month LIBOR, 2.69%   Quarterly   Morgan Stanley & Co. International PLC     01/10/20       2.45     USD     100,080       (121,287

1-Year Interest Rate Swap, 01/23/21

  2.45   Semi-annual   6-Month LIBOR, 2.69%   Quarterly   Morgan Stanley & Co. International PLC     01/21/20       2.45     USD     100,080       (129,755

1-Year Interest Rate Swap, 02/01/21

  2.45   Semi-annual   6-Month LIBOR, 2.69%   Quarterly   Morgan Stanley & Co. International PLC     01/30/20       2.45     USD     48,855       (66,311

2-Year Interest Rate Swap, 02/09/22

  2.20   Semi-annual   6-Month LIBOR, 2.69%   Quarterly   Deutsche Bank AG     02/07/20       2.20     USD     10,790       (23,612

10-Year Interest Rate Swap, 02/16/30

  2.25   Semi-annual   6-Month LIBOR, 2.69%   Quarterly   Nomura International PLC     02/14/20       2.25     USD     10,110       (62,564

2-Year Interest Rate Swap, 02/16/22

  2.35   Semi-annual   6-Month LIBOR, 2.69%   Quarterly   Deutsche Bank AG     02/14/20       2.35     USD     10,690       (33,247

2-Year Interest Rate Swap, 02/23/22

  2.35   Semi-annual   6-Month LIBOR, 2.69%   Quarterly   UBS AG     02/21/20       2.35     USD     10,600       (33,619

2-Year Interest Rate Swap, 02/28/22

  2.46   Semi-annual   6-Month LIBOR, 2.69%   Quarterly   Citibank N.A.     02/26/20       2.46     USD     23,260       (94,346

2-Year Interest Rate Swap, 04/16/22

  2.88   Semi-annual   6-Month LIBOR, 2.69%   Quarterly   Deutsche Bank AG     04/14/20       2.88     USD     16,840       (151,625

1-Year Interest Rate Swap, 04/18/21

  2.45   Semi-annual   6-Month LIBOR, 2.69%   Quarterly   Nomura International PLC     04/16/20       2.45     USD     80,500       (150,281

2-Year Interest Rate Swap, 04/19/22

  2.94   Semi-annual   6-Month LIBOR, 2.69%   Quarterly   Bank of America N.A.     04/17/20       2.94     USD     16,540       (164,141

2-Year Interest Rate Swap, 05/31/22

  2.90   Semi-annual   6-Month LIBOR, 2.69%   Quarterly   Deutsche Bank AG     05/29/20       2.90     USD     9,270       (89,007

2-Year Interest Rate Swap, 11/29/22

  3.07   Semi-annual   6-Month LIBOR, 2.69%   Quarterly   Morgan Stanley & Co. International PLC     11/27/20       3.07     USD     12,459       (162,281

2-Year Interest Rate Swap, 02/17/23

  0.21   Annual   6-Month EURIBOR,
(0.23)%
  Semi-annual   Barclays Bank PLC     02/15/21       0.21     EUR     17,230       (64,087
                   

 

 

 
                      (1,552,835
                   

 

 

 

Put

                   

2-Year Interest Rate Swap, 03/14/21

  6-Month EURIBOR,
(0.23)%
  Semi-annual   0.03%   Annual   Barclays Bank PLC     03/12/19       0.03     EUR     7,600        

2-Year Interest Rate Swap, 05/04/21

  3-Month LIBOR,
2.62%
  Quarterly   3.20   Semi-annual   Barclays Bank PLC     05/02/19       3.20     USD     11,200       (6

2-Year Interest Rate Swap, 06/16/21

  6-Month EURIBOR,
(0.23)%
  Semi-annual   0.14   Annual   Barclays Bank PLC     06/14/19       0.14     EUR     17,660       (507

5-Year Interest Rate Swap, 06/27/24

  6-Month EURIBOR,
(0.23)%
  Semi-annual   0.60   Annual   Barclays Bank PLC     06/25/19       0.60     EUR     3,684       (762

2-Year Interest Rate Swap, 07/03/21

  3-Month LIBOR,
2.62%
  Quarterly   2.90   Semi-annual   Barclays Bank PLC     07/01/19       2.90     USD     33,855       (6,633

2-Year Interest Rate Swap, 07/05/21

  3-Month LIBOR,
2.62%
  Quarterly   2.90   Semi-annual   JPMorgan Chase Bank N.A.     07/03/19       2.90     USD     55,620       (11,312

2-Year Interest Rate Swap, 07/05/21

  3-Month LIBOR,
2.62%
  Quarterly   2.90   Semi-annual   Nomura International PLC     07/03/19       2.90     USD     18,540       (3,771

2-Year Interest Rate Swap, 07/10/21

  3-Month LIBOR,
2.62%
  Quarterly   2.95   Semi-annual   JPMorgan Chase Bank N.A.     07/08/19       2.95     USD     29,660       (4,319

5-Year Interest Rate Swap, 08/16/24

  3-Month LIBOR,
2.62%
  Quarterly   2.80   Semi-annual   Nomura International PLC     08/14/19       2.80     USD     3,380       (8,809

2-Year Interest Rate Swap, 08/28/21

  3-Month LIBOR,
2.62%
  Quarterly   2.70   Semi-annual   Nomura International PLC     08/26/19       2.70     USD     11,780       (16,090

 

 

SCHEDULES OF INVESTMENTS      33  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

 

OTC Interest Rate Swaptions Written (continued)

 

     Paid by the Trust   Received by the Trust   Counterparty   Expiration
Date
    Exercise
Rate
    Notional
Amount (000)
    Value  
Description   Rate     Frequency   Rate     Frequency

Put

                                                               

2-Year Interest Rate Swap, 08/29/21

    3-Month LIBOR, 2.62%     Quarterly     2.85 %     Semi-annual   JPMorgan Chase Bank N.A.     08/27/19       2.85 %     USD     4,973     $ (4,453

2-Year Interest Rate Swap, 09/08/21

    3-Month LIBOR, 2.62%     Quarterly     3.30     Semi-annual   Goldman Sachs Bank USA     09/06/19       3.30     USD     12,140       (487

2-Year Interest Rate Swap, 09/14/21

    3-Month LIBOR, 2.62%     Quarterly     3.35     Semi-annual   Deutsche Bank AG     09/12/19       3.35     USD     58,330       (1,924

2-Year Interest Rate Swap, 11/06/21

    3-Month LIBOR, 2.62%     Quarterly     2.70     Semi-annual   Barclays Bank PLC     11/04/19       2.70     USD     11,900       (22,124

2-Year Interest Rate Swap, 11/08/21

    3-Month LIBOR, 2.62%     Quarterly     2.70     Semi-annual   JPMorgan Chase Bank N.A.     11/06/19       2.70     USD     20,000       (37,405

2-Year Interest Rate Swap, 11/09/21

    3-Month LIBOR, 2.62%     Quarterly     3.30     Semi-annual   Deutsche Bank AG     11/07/19       3.30     USD     11,440       (1,321

2-Year Interest Rate Swap, 01/04/22

    3-Month LIBOR, 2.62%     Quarterly     2.90     Semi-annual   JPMorgan Chase Bank N.A.     01/02/20       2.90     USD     10,000       (11,172

2-Year Interest Rate Swap, 01/05/22

    3-Month LIBOR, 2.62%     Quarterly     2.80     Semi-annual   Goldman Sachs Bank USA     01/03/20       2.80     USD     8,790       (14,257

2-Year Interest Rate Swap, 01/23/22

    3-Month LIBOR, 2.62%     Quarterly     2.85     Semi-annual   JPMorgan Chase Bank N.A.     01/21/20       2.85     USD     18,900       (27,844

2-Year Interest Rate Swap, 01/25/22

    6-Month EURIBOR, (0.23)%     Semi-annual     0.20     Annual   Barclays Bank PLC     01/23/20       0.20     EUR     10,300       (7,442

2-Year Interest Rate Swap, 02/05/22

    3-Month LIBOR, 2.62%     Quarterly     3.15     Semi-annual   Barclays Bank PLC     02/03/20       3.15     USD     35,510       (18,691

2-Year Interest Rate Swap, 02/09/22

    3-Month LIBOR, 2.62%     Quarterly     3.20     Semi-annual   Deutsche Bank AG     02/07/20       3.20     USD     10,790       (4,815

2-Year Interest Rate Swap, 02/16/22

    3-Month LIBOR, 2.62%     Quarterly     3.35     Semi-annual   Deutsche Bank AG     02/14/20       3.35     USD     10,690       (2,857

2-Year Interest Rate Swap, 02/23/22

    3-Month LIBOR, 2.62%     Quarterly     3.35     Semi-annual   UBS AG     02/21/20       3.35     USD     10,600       (3,005

2-Year Interest Rate Swap, 02/28/22

    3-Month LIBOR, 2.62%     Quarterly     2.46     Semi-annual   Citibank N.A.     02/26/20       2.46     USD     23,260       (112,996

2-Year Interest Rate Swap, 04/16/22

    3-Month LIBOR, 2.62%     Quarterly     2.88     Semi-annual   Deutsche Bank AG     04/14/20       2.88     USD     16,840       (31,207

2-Year Interest Rate Swap, 04/19/22

    3-Month LIBOR, 2.62%     Quarterly     2.94     Semi-annual   Bank of America N.A.     04/17/20       2.94     USD     16,540       (25,377

2-Year Interest Rate Swap, 05/07/22

    3-Month LIBOR, 2.62%     Quarterly     3.15     Semi-annual   Goldman Sachs Bank USA     05/05/20       3.15     USD     8,800       (7,808

15-Year Interest Rate Swap, 05/17/35

    6-Month JPY LIBOR, 0.01%     Semi-annual     2.10     Semi-annual   Barclays Bank PLC     05/15/20       2.10     JPY     250,000       (136

2-Year Interest Rate Swap, 05/20/22

    3-Month LIBOR, 2.62%     Quarterly     3.50     Semi-annual   JPMorgan Chase Bank N.A.     05/18/20       3.50     USD     10,000       (3,213

2-Year Interest Rate Swap, 05/24/22

    3-Month LIBOR, 2.62%     Quarterly     3.55     Semi-annual   Deutsche Bank AG     05/22/20       3.55     USD     16,000       (4,524

2-Year Interest Rate Swap, 05/31/22

    3-Month LIBOR, 2.62%     Quarterly     2.90     Semi-annual   Deutsche Bank AG     05/29/20       2.90     USD     9,270       (18,302

2-Year Interest Rate Swap, 05/31/22

    3-Month LIBOR, 2.62%     Quarterly     3.35     Semi-annual   Goldman Sachs Bank USA     05/29/20       3.35     USD     13,040       (7,275

2-Year Interest Rate Swap, 06/10/22

    3-Month LIBOR, 2.62%     Quarterly     3.45     Semi-annual   Goldman Sachs Bank USA     06/08/20       3.45     USD     13,000       (5,533

2-Year Interest Rate Swap, 06/17/22

    3-Month LIBOR, 2.62%     Quarterly     3.35     Semi-annual   Goldman Sachs Bank USA     06/15/20       3.35     USD     8,300       (4,926

2-Year Interest Rate Swap, 07/01/22

    3-Month LIBOR, 2.62%     Quarterly     3.20     Semi-annual   Nomura International PLC     06/29/20       3.20     USD     23,185       (22,515

2-Year Interest Rate Swap, 08/26/22

    3-Month LIBOR, 2.62%     Quarterly     3.50     Semi-annual   Barclays Bank PLC     08/24/20       3.50     USD     16,370       (9,210

2-Year Interest Rate Swap, 11/29/22

    3-Month LIBOR, 2.62%     Quarterly     3.07     Semi-annual   Morgan Stanley & Co. International PLC     11/27/20       3.07     USD     12,459       (26,931

2-Year Interest Rate Swap, 12/16/22

    6-Month EURIBOR, (0.23)%     Semi-annual     0.60     Annual   JPMorgan Chase Bank N.A.     12/14/20       0.60     EUR     17,280       (24,116

2-Year Interest Rate Swap, 12/23/22

    6-Month EURIBOR, (0.23)%     Semi-annual     0.55     Annual   Barclays Bank PLC     12/21/20       0.55     EUR     8,130       (13,303

2-Year Interest Rate Swap, 12/23/22

    3-Month LIBOR, 2.62%     Quarterly     3.05     Semi-annual   Nomura International PLC     12/21/20       3.05     USD     9,510       (22,534

 

 

34    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

 

OTC Interest Rate Swaptions Written (continued)

 

     Paid by the Trust   Received by the Trust   Counterparty   Expiration
Date
    Exercise
Rate
    Notional
Amount (000)
    Value  
Description   Rate     Frequency   Rate     Frequency

Put

                                                                   

2-Year Interest Rate Swap, 12/31/22

    3-Month LIBOR, 2.62%     Quarterly     3.25 %     Semi-annual   Citibank N.A.     12/29/20       3.25 %       USD       14,110     $ (22,568

2-Year Interest Rate Swap, 02/17/23

   
6-Month EURIBOR,
(0.23)%
 
 
  Semi-annual     0.21     Annual   Barclays Bank PLC     02/15/21       0.21       EUR       17,230       (79,745

10-Year Interest Rate Swap, 04/21/31

   
6-Month EURIBOR,
(0.23)%
 
 
  Semi-annual     2.15     Annual   JPMorgan Chase Bank N.A.     04/19/21       2.15       EUR       4,400       (14,701

10-Year Interest Rate Swap, 05/06/31

   
6-Month EURIBOR,
(0.23)%
 
 
  Semi-annual     2.00     Annual   Barclays Bank PLC     05/04/21       2.00       EUR       2,700       (13,190

10-Year Interest Rate Swap, 06/09/31

   
6-Month EURIBOR,
(0.23)%
 
 
  Semi-annual     3.87     Quarterly   Barclays Bank PLC     06/07/21       3.87       EUR       8,000       (57,672

5-Year Interest Rate Swap, 05/05/27

    6-Month LIBOR, 2.69%     Semi-annual     3.25     Quarterly   Goldman Sachs Bank USA     05/03/22       3.25       USD       10,130       (121,847
                   

 

 

 
                      (859,635
                   

 

 

 
                    $ (2,412,470
                   

 

 

 

Centrally Cleared Credit Default Swaps — Buy Protection

 

Reference Obligation/Index    Financing
Rate Paid
by the Trust
     Payment
Frequency
     Termination
Date
     Notional
Amount (000)
     Value      Upfront
Premium
Paid
(Received)
     Unrealized
Appreciation
(Depreciation)
 

CDX.NA.HY.31.V1

     5.00      Quarterly        12/20/23        USD        10,094      $ (728,465    $ (536,366    $ (192,099

CDX.NA.IG.31.V1

     1.00        Quarterly        12/20/23        USD        32,600        (644,835      (519,270      (125,565
                 

 

 

    

 

 

    

 

 

 
                  $ (1,373,300    $ (1,055,636    $ (317,664
                 

 

 

    

 

 

    

 

 

 

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
2.61%   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      N/A       02/04/21      USD     76,000     $ 13,038     $ 856     $ 12,182  
2.62   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      02/18/20 (a)       02/18/21      USD     5,890       (3,013     63       (3,076
2.62   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      02/18/20 (a)       02/18/21      USD     3,660       (1,977     39       (2,016
2.58   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      07/03/19 (a)       03/15/21      USD     61,760       14,215       (24,759     38,974  
3-Month LIBOR, 2.62%   Quarterly    2.55%   Semi-annual      07/03/19 (a)       03/15/21      USD     21,520       (15,561     251       (15,812
2.57   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      07/03/19 (a)       03/15/21      USD     46,000       20,943       536       20,407  
3-Month LIBOR, 2.62%   Quarterly    2.55   Semi-annual      07/03/19 (a)       03/15/21      USD     21,520       (16,534     251       (16,785
3-Month LIBOR, 2.62%   Quarterly    2.76   Semi-annual      04/01/19 (a)       04/01/21      USD     4,530       14,278       53       14,225  
(0.14)   Annual    6-Month EURIBOR, (0.23)%   Semi-annual      06/10/19 (a)       04/09/21      EUR     31,590       17,406       2,444       14,962  
0.14   Annual    6-Month EURIBOR, (0.23)%   Semi-annual      06/18/19 (a)       06/18/21      EUR     7,945       (43,403     113       (43,516
3-Month LIBOR, 2.62%   Quarterly    2.60%   Semi-annual      08/05/19 (a)       08/05/21      USD     645       311       7       304  
2.58   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      08/29/19 (a)       08/29/21      USD     180       (25     2       (27
3.11   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      09/13/19 (a)       09/13/21      USD     1,000       (10,541     (55     (10,486
3-Month LIBOR, 2.62%   Quarterly    2.72   Semi-annual      12/22/20 (a)       12/22/21      USD     8,600       20,074       177       19,897  
3-Month LIBOR, 2.62%   Quarterly    2.71   Semi-annual      12/23/19 (a)       12/23/21      USD     4,554       15,402       54       15,348  
3-Month LIBOR, 2.62%   Quarterly    2.53   Semi-annual      01/06/20 (a)       01/06/22      USD     9,195       192       107       85  
3-Month LIBOR, 2.62%   Quarterly    2.53   Semi-annual      01/06/20 (a)       01/06/22      USD     9,195       (333     107       (440
3-Month LIBOR, 2.62%   Quarterly    2.34   Semi-annual      01/07/20 (a)       01/07/22      USD     14,500       (50,819     169       (50,988
3-Month LIBOR, 2.62%   Quarterly    2.45   Semi-annual      01/08/21 (a)       01/08/22      USD     18,300       (4,162     195       (4,357
3-Month LIBOR, 2.62%   Quarterly    2.58   Semi-annual      01/12/21 (a)       01/12/22      USD     70,520       72,582       438,513       (365,931
2.64   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      N/A       01/17/22      USD     50,800       (97,723     569       (98,292
2.66   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      01/28/20 (a)       01/28/22      USD     1,835       (4,673     21       (4,694
6-Month EURIBOR, (0.23)%   Semi-annual    0.03   Annual      02/07/20 (a)       02/07/22      EUR     1,250       36       17       19  
3-Month LIBOR, 2.62%   Quarterly    2.51   Semi-annual      02/11/20 (a)       02/11/22      USD     1,855       (358     22       (380
3-Month LIBOR, 2.62%   Quarterly    2.48   Semi-annual      02/11/20 (a)       02/11/22      USD     1,855       (1,239     22       (1,261
6-Month EURIBOR, (0.23)%   Semi-annual    (0.02)   Annual      02/13/20 (a)       02/13/22      EUR     3,110       (3,129     43       (3,172
2.53   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      02/13/20 (a)       02/13/22      USD     12,280       (2,821     143       (2,964

 

 

SCHEDULES OF INVESTMENTS      35  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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
2.56 %   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      02/14/20 (a)      02/14/22      USD     640     $ (508   $ 7     $ (515
2.58   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      02/18/20 (a)      02/18/22      USD     11,880       (14,304     138       (14,442
2.98   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      03/24/20 (a)      03/24/22      USD     9,300       (83,873     109       (83,982
3-Month LIBOR, 2.62%   Quarterly    2.96   Semi-annual      07/21/20 (a)      07/19/22      USD     9,760       86,481       115       86,366  
0.42   Annual    6-Month EURIBOR, (0.23)%   Semi-annual      12/17/20 (a)      12/17/22      EUR     6,470       (31,034     103       (31,137
3-Month LIBOR, 2.62%   Quarterly    2.83   Semi-annual      12/17/20 (a)      12/17/22      USD     2,305       14,481       27       14,454  
2.74   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      12/21/21 (a)      12/21/22      USD     8,800       (18,036     (789     (17,247
6-Month EURIBOR, (0.23)%   Semi-annual    0.36   Annual      12/21/20 (a)      12/21/22      EUR     5,050       17,461       81       17,380  
2.50   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      01/10/22 (a)      01/10/23      USD     18,655       3,996       199       3,797  
2.58   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      01/11/22 (a)      01/11/23      USD     72,140       (33,215     (412,549     379,334  
2.53   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      02/08/21 (a)      02/08/23      USD     8,700       (4,525     101       (4,626
2.55   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      02/16/21 (a)      02/16/23      USD     590       (517     7       (524
3-Month LIBOR, 2.62%   Quarterly    2.91   Semi-annual      N/A       06/06/23      USD     1,500       23,608       22,330       1,278  
3-Month LIBOR, 2.62%   Quarterly    2.89   Semi-annual      N/A       06/06/23      USD     10,840       147,207       119       147,088  
3-Month LIBOR, 2.62%   Quarterly    2.63   Semi-annual      N/A       01/17/24      USD     14,800       36,617       188       36,429  
3-Month LIBOR, 2.62%   Quarterly    2.64   Semi-annual      N/A       01/28/24      USD     15,500       50,988       198       50,790  
3-Month LIBOR, 2.62%   Quarterly    2.67   Semi-annual      N/A       01/30/24      USD     8,300       35,618       106       35,512  
3-Month LIBOR, 2.62%   Quarterly    2.60   Semi-annual      N/A       02/19/24      USD     15,500       19,065       200       18,865  
2.92   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      07/19/22 (a)      07/19/24      USD     20,510       (108,986     241       (109,227
2.95   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      12/05/19 (a)      12/05/24      USD     1,429       (24,363     19       (24,382
2.86   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      12/13/19 (a)      12/13/24      USD     4,520       (56,828     60       (56,888
2.90   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      12/19/22 (a)      12/19/24      USD     4,840       (19,854     57       (19,911
2.57   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      01/06/20 (a)      01/06/25      USD     3,810       3,408       49       3,359  
2.56   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      01/06/20 (a)      01/06/25      USD     3,810       4,021       49       3,972  
3.08   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      03/29/19 (a)      10/31/25      USD     2,610       (72,710     (2,143     (70,567
3-Month LIBOR, 2.62%   Quarterly    2.98   Semi-annual      07/19/24 (a)      07/19/26      USD     10,810       28,721       127       28,594  
3-Month LIBOR, 2.62%   Quarterly    3.05   Semi-annual      12/17/24 (a)      12/17/26      USD     2,542       7,965       30       7,935  
6-Month JPY LIBOR, 0.01%   Semi-annual    0.37   Semi-annual      N/A       01/29/28      JPY     181,730       36,420       26       36,394  
6-Month EURIBOR, (0.23)%   Semi-annual    0.57   Annual      06/10/19 (a)      02/15/28      EUR     14,070       (81,781     168       (81,949
2.98   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      N/A       06/06/28      USD     6,614       (148,730     92       (148,822
6-Month JPY LIBOR, 0.01%   Semi-annual    0.36   Semi-annual      N/A       07/31/28      JPY     113,000       21,616       17       21,599  
0.19%   Semi-annual    6-Month JPY LIBOR, 0.01%   Semi-annual      N/A       01/04/29      JPY     100,000       (3,221     15       (3,236
3-Month LIBOR, 2.62%   Quarterly    2.75   Semi-annual      N/A       01/16/29      USD     4,200       5,290       63       5,227  
3-Month LIBOR, 2.62%   Quarterly    2.93   Semi-annual      01/31/24 (a)      01/31/29      USD     8,390       3,304       109       3,195  
3-Month LIBOR, 2.62%   Quarterly    2.72   Semi-annual      N/A       02/04/29      USD     8,500       (14,280     129       (14,409
1.37   Annual    6-Month EURIBOR, (0.23)%   Semi-annual      N/A       02/20/29      EUR     1,970       (149,822     44       (149,866
1.38   Annual    6-Month EURIBOR, (0.23)%   Semi-annual      N/A       02/22/29      EUR     590       (45,464     13       (45,477
3-Month LIBOR, 2.62%   Quarterly    2.67   Semi-annual      N/A       02/28/29      USD     8,800       (53,328     134       (53,462
3-Month LIBOR, 2.62%   Quarterly    2.73   Semi-annual      N/A       03/04/29      USD     8,300       3,306       127       3,179  
0.52   Semi-annual    6-Month JPY LIBOR, 0.01%   Semi-annual      11/30/21 (a)      11/30/31      JPY     95,000       (13,768     16       (13,784
0.36   Semi-annual    6-Month JPY LIBOR, 0.01%   Semi-annual      N/A       02/04/34      JPY     30,720       (4     5       (9
0.34   Semi-annual    6-Month JPY LIBOR, 0.01%   Semi-annual      N/A       02/08/34      JPY     50,250       1,310       9       1,301  
3-Month LIBOR, 2.62%   Quarterly    2.86   Semi-annual      06/28/19 (a)      02/15/36      USD     2,580       (8,030     11,995       (20,025
3-Month LIBOR, 2.62%   Quarterly    3.18   Semi-annual      05/09/28 (a)      05/09/38      USD     1,590       6,968       24       6,944  
3.08   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      06/29/28 (a)      06/29/38      USD     230       559       3       556  
0.66   Semi-annual    6-Month JPY LIBOR, 0.01%   Semi-annual      N/A       12/06/38      JPY     40,000       (10,839     8       (10,847
0.62   Semi-annual    6-Month JPY LIBOR, 0.01%   Semi-annual      N/A       12/14/38      JPY     25,000       (4,942     5       (4,947
3.35   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      N/A       11/09/48      USD     1,395       (139,538     31       (139,569
3.08   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      N/A       12/06/48      USD     1,730       (60,625     39       (60,664
3.02   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      12/08/38 (a)      12/08/48      USD     400       (1,525     6       (1,531
2.90   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      N/A       12/28/48      USD     350       729       8       721  
2.91   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      N/A       12/28/48      USD     350       (259     8       (267
2.92   Semi-annual    3-Month LIBOR, 2.62%   Quarterly      N/A       01/31/49      USD     1,690       (3,822     36       (3,858
3-Month LIBOR, 2.62%   Quarterly    2.88   Semi-annual      N/A       02/01/49      USD     5,350       (36,179     115       (36,294
3-Month LIBOR, 2.62%   Quarterly    2.82   Semi-annual      N/A       03/01/49      USD     3,600       (65,542     78       (65,620
3-Month LIBOR, 2.62%   Quarterly    3.06   Semi-annual      02/15/23 (a)      02/15/53      USD     3,210       53,931       72       53,859  
                  

 

 

   

 

 

   

 

 

 
                   $ (765,216   $ 42,534     $ (807,750
                  

 

 

   

 

 

   

 

 

 

 

  (a) 

Forward Swap.

 

 

 

36    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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)
 

Casino Guichard Perrachon SA

    1.00     Quarterly     JPMorgan Chase Bank N.A.     06/20/23     BB     EUR       10     $ (1,407   $ (880   $ (527

Casino Guichard Perrachon SA

    1.00       Quarterly     Citibank N.A.     06/20/23     BB     EUR       14       (1,947     (1,774     (173

Intrum Justitia AB

    5.00       Quarterly     Credit Suisse International     06/20/23     BB+     EUR       10       987       887       100  

Intrum Justitia AB

    5.00       Quarterly     Morgan Stanley & Co. International PLC     06/20/23     BB+     EUR       15       1,523       1,618       (95

Casino Guichard Perrachon SA

    1.00       Quarterly     Barclays Bank PLC     12/20/23     BB     EUR       30       (4,862     (4,594     (268

Chesapeake Energy Corp.

    5.00       Quarterly     Barclays Bank PLC     12/20/23     B+     USD       48       (187     89       (276

Chesapeake Energy Corp.

    5.00       Quarterly     Barclays Bank PLC     12/20/23     B+     USD       208       (809     1,936       (2,745

Garfunkelux Holdco 2 SA

    5.00       Quarterly     JPMorgan Chase Bank N.A.     12/20/23     B-     EUR       9       (1,992     (60     (1,932

Garfunkelux Holdco 2 SA

    5.00       Quarterly     Credit Suisse International     12/20/23     B-     EUR       4       (868     69       (937

Garfunkelux Holdco 2 SA

    5.00       Quarterly     Credit Suisse International     12/20/23     B-     EUR       16       (3,783     301       (4,084

Tesco PLC

    1.00       Quarterly     Citibank N.A.     12/20/23     BB+     EUR       30       (43     (426     383  

Virgin Media, Inc.

    5.00       Quarterly     Credit Suisse International     12/20/25     B     EUR       20       3,846       3,377       469  

CMBX.NA.8.BBB-

    3.00       Monthly     Barclays Bank PLC     10/17/57     CCC+     USD       5,000       (302,203     (510,207     208,004  

CMBX.NA.8.BBB-

    3.00       Monthly     Morgan Stanley & Co. International PLC     10/17/57     CCC+     USD       5,550       (336,833     (744,621     407,788  

CMBX.NA.8.BBB-

    3.00       Monthly     Credit Suisse International     10/17/57     CCC+     USD       2,500       (151,101     (252,133     101,032  

CMBX.NA.8.BBB-

    3.00       Monthly     Credit Suisse International     09/17/58     BB-     USD       5,000       (271,087     (545,601     274,514  

CMBX.NA.9.BBB-

    3.00       Monthly     Morgan Stanley & Co. International PLC     09/17/58     BB-     USD       9,450       (512,353     (1,172,492     660,139  

CMBX.NA.9.BBB-

    3.00       Monthly     Credit Suisse International     09/17/58     BB-     USD       5,000       (271,087     (545,653     274,566  

CMBX.NA.9.BBB-

    3.00       Monthly     Credit Suisse International     09/17/58     BB-     USD       5,000       (271,087     (545,653     274,566  

CMBX.NA.9.BBB-

    3.00       Monthly     Credit Suisse International     09/17/58     BB-     USD       5,000       (271,087     (539,693     268,606  
               

 

 

   

 

 

   

 

 

 
  $ (2,396,380   $ (4,855,510   $ 2,459,130  
               

 

 

   

 

 

   

 

 

 

 

  (a) 

Using Standard & Poor’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 Swaps and Options Written

 

      Swap
Premiums
Paid
     Swap
Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
     Value  

Centrally Cleared Swaps(a)

   $ 482,829      $ (1,495,931    $ 1,104,531      $ (2,229,945    $  

OTC Swaps

     8,277        (4,863,787      2,470,167        (11,037       

Options Written

                   2,175,257        (419,213      (2,481,644

 

  (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)

   $      $      $ 573      $      $ 128,387      $      $ 128,960  

Forward foreign currency exchange contracts

                    

Unrealized appreciation on forward foreign currency exchange contracts

                          169,198                      169,198  

Options purchased(c)

                    

Investments at value — unaffiliated(b)

                                 3,658,648               3,658,648  

Swaps — centrally cleared

                    

Net unrealized appreciation(a)

                                 1,104,531               1,104,531  

Swaps — OTC

                    

Unrealized appreciation on OTC swaps; Swap premiums paid

            2,478,444                                    2,478,444  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 2,478,444      $ 573      $ 169,198      $ 4,891,566      $      $ 7,539,781  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

 

SCHEDULES OF INVESTMENTS      37  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

 

      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)

   $      $      $      $      $ 605,159      $      $ 605,159  

Forward foreign currency exchange contracts

                    

Unrealized depreciation on forward foreign currency exchange contracts

                          121,794                      121,794  

Options written

                    

Options written at value

                                 2,481,644               2,481,644  

Swaps — centrally cleared

                    

Net unrealized depreciation(a)

            317,664                      1,912,281               2,229,945  

Swaps — OTC

                    

Unrealized depreciation on OTC swaps; Swap premiums received

            4,874,824                                    4,874,824  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 5,192,488      $      $ 121,794      $ 4,999,084      $      $ 10,313,366  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (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, 2019, 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

   $      $      $ (1,447    $      $ (40,756    $      $ (42,203

Forward foreign currency exchange contracts

                          640,320                      640,320  

Options purchased(a)

                                 81,495               81,495  

Options written

                                 (106,221             (106,221

Swaps

            980,536                      183,399               1,163,935  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 980,536      $ (1,447    $ 640,320      $ 117,917      $      $ 1,737,326  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                     

Futures contracts

   $      $      $ 1,022      $      $ (300,675    $      $ (299,653

Forward foreign currency exchange contracts

                          (253,690                    (253,690

Options purchased(b)

                                 65,450               65,450  

Options written

                                 1,961,640               1,961,640  

Swaps

            722,754                      (1,848,881             (1,126,127
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 722,754      $ 1,022      $ (253,690    $ (122,466    $      $ 347,620  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Options purchased are included in net realized gain (loss) from investments.

 
  (b) 

Options purchased are included in net change in unrealized appreciation on investments.

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

 

Average notional value of contracts — long

   $ 111,868,394  

Average notional value of contracts — short

   $ 122,329,609  

Forward foreign currency exchange contracts:

 

Average amounts purchased — in USD

   $ 37,948,280  

Average amounts sold — in USD

   $ 17,873,828  

Options:

 

Average value of option contracts purchased

   $ 104,138  

Average value of option contracts written

   $ 63,945  

Average notional value of swaption contracts purchased

   $ 337,140,793  

Average notional value of swaption contracts written

   $ 1,218,049,314  

Credit default swaps:

 

Average notional amount — buy protection

   $ 21,347,000  

Average notional amount — sell protection

   $ 47,248,089  

Interest rate swaps:

 

Average notional amount — pays fixed rate

   $ 446,486,962  

Average notional amount — receives fixed rate

   $ 334,709,798  

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

 

38    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

 

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

 

      Assets      Liabilities  

Futures contracts

   $ 106,482      $ 159,476  

Forward foreign currency exchange contracts

     169,198        121,794  

Options(a)

     3,658,648 (b)        2,481,644  

Swaps — Centrally cleared

            13,766  

Swaps — OTC(c)

     2,478,444        4,874,824  
  

 

 

    

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

   $ 6,412,772      $ 7,651,504  

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

     (183,863      (229,267
  

 

 

    

 

 

 

Total derivative assets and liabilities subject to an MNA

   $ 6,228,909      $ 7,422,237  
  

 

 

    

 

 

 

 

  (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 a 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
 (b)
       Cash
Collateral
Received
 (b)
       Net Amount
of Derivative
Assets
 (c)(d)
 

Barclays Bank PLC

   $ 1,245,688        $ (840,956      $ (404,732      $        $  

Citibank N.A.

     338,600          (232,283                          106,317  

Credit Suisse International

     1,206,090          (1,206,090                           

Deutsche Bank AG

     (20,006        20,006                             

Goldman Sachs Bank USA

     283,045          (175,282                          107,763  

HSBC Bank PLC

     7,428          (7,428                           

JPMorgan Chase Bank N.A.

     401,827          (168,937                          232,890  

Morgan Stanley & Co. International PLC

     2,402,464          (2,402,464                           

Nomura International PLC

     223,026          (223,026                           

State Street Bank and Trust Co.

     12,175          (12,175                           

UBS AG

     127,981          (36,624                          91,357  

Westpac Banking Corp.

     591          (590                          1  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 6,228,909        $ (5,285,849      $ (404,732      $        $ 538,328  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
                      
Counterparty    Derivative
Liabilities
Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
 (a)
       Non-cash
Collateral
Pledged
 (e)
       Cash
Collateral
Pledged
 (e)
       Net Amount
of Derivative
Liabilities
  (d)(f)
 

Bank of America N.A.

   $ 189,518        $        $        $        $ 189,518  

Barclays Bank PLC

     840,956          (840,956                           

Citibank N.A.

     232,283          (232,283                           

Credit Suisse International

     2,433,754          (1,206,090                 (1,227,664         

Deutsche Bank AG

     529,199          20,006          (549,205                  

Goldman Sachs Bank USA

     175,282          (175,282                           

HSBC Bank PLC

     7,443          (7,428                          15  

JPMorgan Chase Bank N.A.

     168,937          (168,937                           

Morgan Stanley & Co. International PLC

     2,423,773          (2,402,464                 (21,309         

Nomura International PLC

     291,230          (223,026                          68,204  

State Street Bank and Trust Co.

     92,648          (12,175                          80,473  

UBS AG

     36,624          (36,624                           

Westpac Banking Corp.

     590          (590                           
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 7,422,237        $ (5,285,849      $ (549,205      $ (1,248,973      $ 338,210  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (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 and currency options that are not required to be collateralized.

 
  (e) 

Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 
  (f) 

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.

 

 

 

SCHEDULES OF INVESTMENTS      39  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

 

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

   $        $ 57,078,972        $ 197,244        $ 57,276,216  

Corporate Bonds

              484,061,417          8,042,045          492,103,462  

Floating Rate Loan Interests

              15,063,556          1,226,317          16,289,873  

Foreign Agency Obligations

              22,615,949                   22,615,949  

Municipal Bonds

              23,609,073                   23,609,073  

Non-Agency Mortgage-Backed Securities

              36,424,296                   36,424,296  

Preferred Securities

     7,333,306          80,682,802                   88,016,108  

U.S. Government Sponsored Agency Securities

              109,129,868          9,655,900          118,785,768  

U.S. Treasury Obligations

              167,949,175                   167,949,175  

Short-Term Securities:

 

Foreign Agency Obligations

              794,054                   794,054  

Money Market Funds

     10,757,543                            10,757,543  

Options Purchased:

                 

Interest Rate Contracts

     77,381          3,581,267                   3,658,648  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 18,168,230        $ 1,000,990,429        $ 19,121,506        $ 1,038,280,165  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

 

Assets:

 

Credit contracts

   $        $ 2,470,167        $        $ 2,470,167  

Forward foreign currency contracts

              169,198                   169,198  

Equity contracts

     573                            573  

Interest rate contracts

     128,387          1,104,531                   1,232,918  

Liabilities:

 

Credit contracts

              (328,701                 (328,701

Forward foreign currency contracts

              (121,794                 (121,794

Interest rate contracts

     (661,184        (4,337,900                 (4,999,084
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ (532,224      $ (1,044,499      $        $ (1,576,723
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation).

 

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 $298,456,602 are categorized as level 2 within the disclosure hierarchy.

During the six months ended February 28, 2019, there were no transfers between Level 1 and Level 2.

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, 2018

   $ 248,806      $ 8,366,900      $ 1,241,580      $ 1      $ 9,857,287  

Transfers into Level 3(a)

                   1,053,451        9,317,258        10,370,709  

Transfers out of Level 3(b)

                   (574,499             (574,499

Accrued discounts/premiums

     (62,690             (20      (7,978      (70,688

Net realized gain (loss)

     (77,199             (529             (77,728

Net change in unrealized appreciation (depreciation)(c)(d)

     88,327        (283,177      (14,366      165,643        (43,573

Purchases

                   156,895        180,976        337,871  

Sales

            (41,678      (636,195             (677,873
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Closing balance, as of February 28, 2019

   $ 197,244      $ 8,042,045      $ 1,226,317      $ 9,655,900      $ 19,121,506  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at February 28, 2019(d)

   $ 88,327      $ (283,177    $ (13,348    $ 165,643      $ (42,554
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

As of August 31, 2018, the Trust used observable inputs in determining the value of certain investments. As of February 28, 2019, 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.

 

 

 

40    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Core Bond Trust (BHK)

 

  (b) 

As of August 31, 2018, the Trust used significant unobservable inputs in determining the value of certain investments. As of February 28, 2019, 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 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, 2019 is generally due to investments no longer held or categorized as Level 3 at period end.

 

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 investments as of period end. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $11,079,461.

 

      Value      Valuation Approach     

Unobservable

Inputs

    

Range of

Unobservable

Inputs Utilized

    

Weighted

Average of

Unobservable Inputs

 

Assets:

              

Corporate Bonds

   $ 8,042,045        Income        Credit Spread (a)       135 - 310        266.00  

 

  (a) 

Decrease in unobservable input may result in a significant increase to value, while an increase in unobservable input may result in a significant decrease to value.

 

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      41  


Consolidated Schedule of Investments  (unaudited) 

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security    

Shares

    Value  

Common Stocks — 2.1%

 

Chemicals — 0.5%

 

Element Solutions, Inc.(a)

      573,938     $ 6,462,542  
     

 

 

 
Consumer Finance — 0.0%  

Ally Financial, Inc.

      1       27  
     

 

 

 
Containers & Packaging — 0.2%  

Crown Holdings, Inc.(a)

      56,254       3,054,030  
     

 

 

 
Diversified Financial Services — 0.3%  

Kcad Holdings I Ltd.(a)(b)

      2,223,465,984       4,269,055  
     

 

 

 
Energy Equipment & Services — 0.0%  

Osum Oil Sands Corp.(a)(b)(c)

      400,000       544,093  
     

 

 

 
Equity Real Estate Investment Trusts (REITs) — 0.2%  

Gaming and Leisure Properties, Inc.

      57,580       2,094,760  
     

 

 

 
Hotels, Restaurants & Leisure — 0.6%  

Stars Group, Inc.(a)

      512,716       8,548,189  
     

 

 

 
Media — 0.1%  

Altice USA, Inc., Class A

      87,736       1,913,522  

Emmis Communications Corp., Class A(a)

      7,210       27,326  
     

 

 

 
        1,940,848  
Metals & Mining — 0.2%  

Constellium NV, Class A(a)

      285,624       2,702,003  
     

 

 

 
Semiconductors & Semiconductor Equipment — 0.0%  

SunPower Corp.(a)

      1,025       6,611  
     

 

 

 

Total Common Stocks — 2.1%
(Cost — $55,820,963)

 

    29,622,158  
     

 

 

 
     Par
(000)
        
Asset-Backed Securities — 4.1%  

Rockford Tower CLO Ltd.:

     

I BV, Series 1X, Class E, (3 mo. Euribor + 7.00%), 7.00%, 07/15/29(d)

    EUR       1,400       1,589,437  

Allegro CLO II-S Ltd., Series 2014-1RA, Class B, 4.91%, 10/21/28(e)(f)

    USD       250       246,668  

Allegro CLO VI Ltd., Series 2017-2A, Class D, 5.52%, 01/17/31(e)(f)

      450       430,908  

Allegro CLO VIII Ltd., Series 2018-2A, Class C, 4.94%, 07/15/31(e)(f)

      250       243,098  

ALM VII R Ltd.(e):

     

Series 2013-7R2A, Class BR2, 4.99%, 10/15/27(f)

      250       249,117  

Series 2013-7RA, Class BR, (3 mo. LIBOR US + 2.70%), 5.49%, 10/15/28(d)

      500       497,388  

ALM VIII Ltd., Series 2013-8A, Class CR, (3 mo. LIBOR US + 3.95%), 6.74%, 10/15/28(d)(e)

      1,400       1,399,653  

ALM XVI Ltd./ALM XVI LLC, Series 2015-16A(e)(f):

     

Class BR2, 4.69%, 07/15/27

      500       494,431  

Class CR2, 5.49%, 07/15/27

      743       727,802  

AMMC CLO 19 Ltd., Series 2016-19A, Class C, (3 mo. LIBOR US + 2.80%), 5.59%, 10/15/28(d)(e)

      413       413,906  

AMMC CLO 22 Ltd., Series 2018-22A, Class D, 5.47%, 04/25/31(e)(f)

      250       236,891  

Anchorage Capital CLO Ltd.(f):

     

5.66%, 05/15/31

    EUR       203       216,613  

Series 2014-3RA, Class B, 4.26%, 01/28/31(e)

    USD       250       245,548  
Security   Par
(000)
    Value  
Asset-Backed Securities (continued)  

Series 2014-3RA, Class D, 5.36%, 01/28/31(e)

    USD       500     $ 474,795  

Series 2014-4RA, Class C, 4.61%, 01/28/31(e)

      500       482,494  

Series 2014-4RA, Class D, 5.36%, 01/28/31(e)

      1,000       952,089  

Series 2016-8A, Class DR, 5.76%, 07/28/28(e)

      1,000       977,987  

Apidos CLO XV, Series 2013-15A, Class CRR, 4.61%, 04/20/31(e)(f)

      500       482,276  

Apidos CLO XX, Series 2015-20A, Class BRR, 4.73%, 07/16/31(e)(f)

      250       242,368  

Apidos CLO XXIII, Series 2015-23A, Class D2, (3 mo. LIBOR US + 5.95%), 8.74%, 01/15/27(d)(e)

      750       742,908  

Ares XLV CLO Ltd., Series 2017-45A, Class D, 5.84%, 10/15/30(e)(f)

      250       243,374  

Ares XXVII CLO Ltd., Series 2013-2A, Class DR, (3 mo. LIBOR US + 3.75%), 6.51%, 07/28/29(d)(e)

      500       500,787  

Ares XXXIII CLO Ltd., Series 2015-1A, Class CR, (3 mo. LIBOR US + 4.20%), 6.95%, 12/05/25(d)(e)

      1,000       1,000,027  

Ares XXXIIR CLO Ltd., Series 2014-32RA(e)(f):

     

Class B, 4.48%, 05/15/30

      500       478,826  

Class C, 5.58%, 05/15/30

      500       483,711  

Ares XXXVII CLO Ltd., Series 2015-4A, Class CR, 5.44%, 10/15/30(e)(f)

      1,000       961,852  

Atlas Senior Loan Fund VII Ltd., Series 2016-7A, Class B1R, 4.44%, 11/27/31(e)(f)

      1,000       992,763  

Atlas Senior Loan Fund X Ltd., Series 2018-10A(e)(f):

     

Class B, 4.29%, 01/15/31

      400       390,634  

Class D, 5.54%, 01/15/31

      500       465,313  

Atrium XIV LLC, Series 14A, Class C, 4.73%, 08/23/30(e)(f)

      266       259,033  

Atrium XV, Series 15A(e)(f):

     

Class B, 4.53%, 01/23/31

      500       499,664  

Class C, 4.98%, 01/23/31

      250       244,855  

Class D, 5.78%, 01/23/31

      250       243,001  

Class E, 8.63%, 01/23/31

      250       235,626  

Ballyrock CLO Ltd., Series 2016-1A, Class C, (3 mo. LIBOR US + 2.70%), 5.49%, 10/15/28(d)(e)

      1,000       1,000,959  

BlueMountain CLO Ltd., Series 2016-1A, Class BR, 4.11%, 04/20/27(e)(f)

      850       836,468  

Cairn CLO VII BV, Series 2016-7X, Class E, (3 mo. Euribor + 6.35%), 6.35%, 01/31/30(d)

    EUR       900       1,023,702  

Carlyle Global Market Strategies CLO Ltd.(e):

     

Series 2012-4A, Class DR, (3 mo. LIBOR US + 4.10%), 6.86%, 01/20/29(d)

    USD       500       499,880  

Series 2016-1A, Class BR, 4.61%, 04/20/27(f)

      250       245,470  

Series 2017-1A, Class D, (3 mo. LIBOR US + 6.00%), 8.76%, 04/20/31(d)

      500       482,938  

Carlyle Global Market Strategies Euro CLO Ltd., Series 2014-2X, Class DRR, 5.70%, 11/17/31(f)

    EUR       193       211,497  

Carlyle US CLO Ltd.(e):

     

Series 2016-4A, Class BR, 4.86%, 10/20/27(f)

    USD       250       247,235  

Series 2017-2A, Class C, (3 mo. LIBOR US + 3.70%), 6.46%, 07/20/31(d)

      500       500,576  
 

 

 

42    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Asset-Backed Securities (continued)  

Cedar Funding Ltd., Series 2017-8A, Class D, 6.02%, 10/17/30(e)(f)

    USD       535     $ 528,192  

Cent CLO 17 Ltd., Series C17A, Class BR, 4.60%, 04/30/31(e)(f)

      500       483,132  

CIFC Funding I Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 3.50%), 6.26%, 04/23/29(d)(e)

      500       500,038  

CIFC Funding Ltd.(e)(f):

     

Series 2014-2RA, Class A3, 4.68%, 04/24/30

      500       487,671  

Series 2014-4RA, Class B, 4.97%, 10/17/30

      250       248,233  

Series 2014-4RA, Class C, 5.97%, 10/17/30

      250       248,051  

Series 2018-1A, Class C, 4.53%, 04/18/31

      500       479,865  

Series 2018-4A, Class B, 4.53%, 10/17/31

      250       243,410  

Dryden 37 Senior Loan Fund, Series 2015-37A, Class DR, 5.29%, 01/15/31(e)(f)

      500       470,921  

Dryden Senior Loan Fund(d)(e):

     

Series 2014-36A, Class DR, (3 mo. LIBOR US + 4.24%), 7.03%, 01/15/28

      1,500       1,500,978  

Series 2017-50A, Class C, (3 mo. LIBOR US + 2.25%), 5.04%, 07/15/30

      500       491,888  

Fillmore Park CLO Ltd., Series 2018-1A, Class D, 5.69%, 07/15/30(e)(f)

      500       484,365  

Galaxy XV CLO Ltd., Series 2013-15A, Class BR, 4.39%, 10/15/30(e)(f)

      250       245,482  

Galaxy XVIII CLO Ltd., Series 2018-28A, Class C, 4.74%, 07/15/31(e)(f)

      250       241,274  

Galaxy Xxiv CLO Ltd., Series 2017-24A, Class C, 4.49%, 01/15/31(e)(f)

      250       236,357  

Galaxy XXVI CLO Ltd., Series 2018-26A, Class B, 4.35%, 11/22/31(e)(f)

      250       247,054  

Galaxy XXVII CLO Ltd., Series 2018-27A, Class D, 5.43%, 05/16/31(e)(f)

      500       476,701  

Goldentree Loan Management US CLO 3 Ltd., Series 2018-3A, Class C, 4.66%, 04/20/30(e)

      550       526,800  

Greenwood Park CLO Ltd., Series 2018-1A, Class D, 5.29%, 04/15/31(e)

      500       471,809  

Harvest CLO XVI DAC, Series 16X, Class ER, 5.57%, 10/15/31(f)

    EUR       530       564,398  

Highbridge Loan Management Ltd.(e)(f):

     

Series 12A-18, Class B, 4.63%, 07/18/31

    USD       750       724,831  

Series 8A-2016, Class CR, 4.71%, 07/20/30

      500       478,852  

Jay Park CLO Ltd., Series 2016-1A, Class CR, 5.41%, 10/20/27(e)(f)

      276       266,177  

LCM XV LP, Series 15A, Class CR, (3 mo. LIBOR US + 2.40%), 5.16%, 07/20/30(d)(e)

      500       502,161  

LCM XXV Ltd., Series 25A, Class B2, (3 mo. LIBOR US + 1.65%), 4.41%, 07/20/30(d)(e)

      264       263,113  

Madison Park Funding XIII Ltd., Series 2014-13A, Class CR2, 4.66%, 04/19/30(e)(f)

      500       490,575  

Madison Park Funding XV Ltd., Series 2014-15A, Class CR, (3 mo. LIBOR US + 3.45%), 6.21%, 01/27/26(d)(e)

      500       499,882  

Madison Park Funding XXV Ltd., Series 2017-25A, Class B, (3 mo. LIBOR US + 2.35%), 5.12%, 04/25/29(e)

      550       550,273  

Madison Park Funding XXXI Ltd., Series 2018-31A(e)(f):

     

Class B, 4.48%, 01/23/31

      250       249,158  

Class C, 4.93%, 01/23/31

      250       244,443  

Class D, 5.78%, 01/23/31

      250       243,264  

Mill Creek II CLO Ltd., Series 2016-1A, Class E, (3 mo. LIBOR US + 7.75%), 10.51%, 04/20/28(d)(e)

      500       500,967  
Security   Par
(000)
    Value  
Asset-Backed Securities (continued)  

Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class D, 5.29%, 01/15/28(e)(f)

    USD       500     $ 478,484  

Neuberger Berman CLO XVII Ltd., Series 2014-17A, Class DR, (3 mo. LIBOR US + 3.65%), 6.41%, 04/22/29(d)(e)

      500       496,093  

Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class BR2, 4.91%, 10/21/30(e)(f)

      500       486,320  

Neuberger Berman CLO XXII Ltd., Series 2016-22A, Class CR, 4.97%, 10/17/30(e)(f)

      250       243,529  

Neuberger Berman CLO XXIII Ltd., Series 2016-23A(e)(f):

     

Class CR, 4.92%, 10/17/27

      500       493,046  

Class DR, 5.67%, 10/17/27

      280       272,025  

Oak Hill Credit Partners X-R Ltd., Series 2014-10RA(e)(f):

     

Class B, 4.53%, 12/12/30

      1,000       991,310  

Class C, 4.98%, 12/12/30

      508       494,716  

Octagon Investment Partners 37 Ltd., Series 2018-2A, Class B, 4.52%, 07/25/30(e)(f)

      250       239,196  

Octagon Investment Partners Ltd., Series 2016-1A, Class DR, 5.64%, 07/15/30(e)(f)

      500       481,345  

Octagon Investment Partners XVI Ltd., Series 2013-1A, Class CR, 4.62%, 07/17/30(e)(f)

      250       240,568  

Octagon Investment Partners XVII Ltd., Series 2013-1A(e)(f):

     

Class BR2, 4.17%, 01/25/31

      500       490,607  

Class CR2, 4.47%, 01/25/31

      750       718,596  

Octagon Investment Partners XXII Ltd., Series 2014-1A, Class DRR, 5.51%, 01/22/30(e)(f)

      1,000       959,947  

Octagon Investment Partners XXIII Ltd., Series 2015-1A, Class CR, 4.64%, 07/15/27(e)(f)

      250       245,545  

OHA Credit Partners XI Ltd., Series 2015-11A, Class DR, 5.71%, 01/20/32(e)(f)

      266       257,163  

OZLM VI Ltd., Series 2014-6A(e)(f):

     

Class B1S, 4.87%, 04/17/31

      500       490,895  

Class CS, 5.90%, 04/17/31

      500       481,449  

OZLM XIX Ltd., Series 2017-19A, Class C, 5.89%, 11/22/30(e)(f)

      500       494,165  

OZLM XX Ltd., Series 2018-20A(e)(f):

     

Class B, 4.71%, 04/20/31

      500       480,624  

Class C, 5.71%, 04/20/31

      750       708,614  

Palmer Square CLO Ltd., Series 2013-2A, Class BRR, 4.97%, 10/17/31(e)(f)

      334       326,042  

Park Avenue Institutional Advisers CLO Ltd., Series 2016-1A, Class A2R, 4.45%, 08/23/31(e)(f)

      500       496,147  

Regatta VII Funding Ltd., Series 2016-1A(e)(f):

     

Class CR, 4.79%, 12/20/28

      250       241,495  

Class DR, 5.54%, 12/20/28

      500       481,336  

Rockford Tower CLO Ltd.:

     

1.00%, 04/20/32(g)(e)

      856       856,000  

Series 2018-1A, Class B, 4.36%, 05/20/31(e)(f)

      600       592,634  

Series 2018-2A, Class C, 4.63%, 10/20/31(e)(f)

      250       240,144  
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      43  


Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Asset-Backed Securities (continued)  

RR 5 Ltd., Series 2018-5A, Class B, 5.04%, 10/15/31(e)(f)

    USD       250     $ 244,706  

Sound Point CLO III Ltd., Series 2013-2RA, Class C, 4.69%, 04/15/29(e)(f)

      500       487,512  

Stewart Park CLO Ltd., Series 2015-1A, Class DR, 5.39%, 01/15/30(e)(f)

      1,000       948,400  

TIAA CLO IV Ltd., Series 2018-1A, Class A2, 4.52%, 01/20/32(e)(f)

      500       492,718  

TICP CLO XI Ltd., Series 2018-11A, Class C, 4.59%, 10/20/31(e)(f)

      250       242,793  

TICP CLO XII Ltd., Series 2018-12A(e)(f):

     

Class C, 4.81%, 01/15/31

      250       244,063  

Class D, 5.61%, 01/15/31

      500       482,666  

Treman Park CLO Ltd., Series 2015-1A, Class C3RR, 4.76%, 10/20/28(e)(f)

      250       247,403  

Voya CLO Ltd.(e):

     

Series 2014-1A, Class BR2, 4.68%, 04/18/31(f)

      500       484,648  

Series 2014-2A, Class A2AR, (3 mo. LIBOR US + 1.65%), 4.42%, 04/17/30(d)

      250       247,851  

Series 2014-4A, Class BR2, 4.89%, 07/14/31(f)

      366       356,559  

Webster Park CLO Ltd., Series 2015-1A, Class CR, 5.66%, 07/20/30(e)(f)

      500       480,235  

Westcott Park CLO Ltd., Series 2016-1A, Class D, (3 mo. LIBOR US + 4.35%), 7.11%, 07/20/28(d)(e)

      500       500,683  

York CLO 1 Ltd., Series 2014-1A(e)(f):

     

Class BRR, 4.41%, 10/22/29

      250       246,821  

Class CRR, 4.86%, 10/22/29

      500       489,849  

York CLO Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.60%), 6.36%, 10/20/29(d)(e)

      500       500,143  

York CLO-3 Ltd., Series 2016-1A, Class ER, (3 mo. LIBOR US + 6.40%), 9.16%, 10/20/29(d)(e)

      500       484,748  
     

 

 

 

Total Asset-Backed Securities — 4.1%
(Cost — $59,367,184)

 

    58,244,716  
     

 

 

 

Corporate Bonds — 110.0%

 

Aerospace & Defense — 5.2%

 

Arconic, Inc.:

     

6.15%, 08/15/20

      1,540       1,590,050  

5.40%, 04/15/21

      45       46,287  

5.87%, 02/23/22

      1,363       1,422,631  

5.13%, 10/01/24

      6,434       6,369,660  

BBA US Holdings, Inc., 5.38%, 05/01/26(e)

      1,733       1,765,494  

Bombardier, Inc.(e):

     

7.75%, 03/15/20

      1,434       1,496,881  

8.75%, 12/01/21

      2,981       3,279,100  

5.75%, 03/15/22

      419       419,838  

6.00%, 10/15/22

      526       528,630  

6.13%, 01/15/23

      2,954       2,976,155  

7.50%, 12/01/24

      4,631       4,712,042  

7.50%, 03/15/25

      4,012       4,047,105  

7.88%, 04/15/27

      6,398       6,400,668  

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

      224       196,000  

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

      1,543       1,598,934  

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

      1,170       1,187,550  

TransDigm UK Holdings PLC, 6.88%, 05/15/26(e)

      1,686       1,643,850  
Security   Par
(000)
    Value  
Aerospace & Defense (continued)  

TransDigm, Inc.:

     

6.00%, 07/15/22

    USD       1,779     $ 1,811,911  

6.50%, 07/15/24

      711       718,110  

6.25%, 03/15/26(e)

      30,966       31,662,735  

7.50%, 03/15/27(e)

      142       142,696  
     

 

 

 
        74,016,327  
Air Freight & Logistics — 0.0%  

XPO Logistics, Inc., 6.75%, 08/15/24(e)

      110       110,701  
     

 

 

 
Airlines — 0.2%  

US Airways Pass-Through Trust, Series 2013-1, Class B, 5.38%, 05/15/23

      2,697       2,765,422  
     

 

 

 
Auto Components — 0.6%  

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

      827       832,169  

GKN Holdings PLC, 3.38%, 05/12/32

    GBP       405       518,607  

Goodyear Tire & Rubber Co., 5.00%, 05/31/26

    USD       471       446,272  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

     

6.00%, 08/01/20

      140       141,400  

6.25%, 02/01/22

      1,452       1,495,270  

6.75%, 02/01/24

      1,286       1,347,085  

6.38%, 12/15/25

      982       1,010,232  

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

      2,684       2,388,760  
     

 

 

 
        8,179,795  
Banks — 0.8%  

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

    EUR       300       352,243  

Banco BPM SpA, 1.75%, 04/24/23

      150       166,940  

Banco de Sabadell SA, 5.38%, 12/12/28(f)

      100       116,555  

Banco Espirito Santo SA(a)(j):

     

4.75%, 01/15/19

      1,900       621,332  

4.00%, 01/21/19

      1,100       350,334  

Barclays PLC:

     

4.38%, 09/11/24

    USD       3,020       2,965,088  

5.20%, 05/12/26

      800       804,926  

CIT Group, Inc.:

     

5.00%, 08/15/22

      278       287,035  

5.00%, 08/01/23

      404       419,312  

5.25%, 03/07/25

      1,127       1,180,533  

6.13%, 03/09/28

      634       687,890  

6.00%, 04/01/36

      2,800       2,779,000  

Deutsche Pfandbriefbank AG, 4.60%, 02/22/27

    EUR       100       119,415  

ING Groep NV, 6.75%(f)(k)

    USD       200       200,000  

Intesa Sanpaolo SpA, 6.63%, 09/13/23

    EUR       100       132,190  

KBC Group NV, 4.75%(f)(k)(g)

      200       228,059  

Unione di Banche Italiane SpA, 5.88%, 03/04/29(f)(g)

      400       456,117  
     

 

 

 
        11,866,969  
Beverages — 0.1%  

BWAY Holding Co., 4.75%, 04/15/24

      223       256,082  

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

    USD       1,110       1,085,025  

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

    EUR       100       117,157  
     

 

 

 
        1,458,264  
Building Materials — 0.1%  

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

    USD       823       774,649  
     

 

 

 
Building Products — 1.2%  

American Builders & Contractors Supply Co., Inc., 5.75%, 12/15/23(e)

      860       881,500  

Beacon Roofing Supply, Inc., 4.88%, 11/01/25(e)

      78       72,613  

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

      2,165       2,132,525  
 

 

 

44    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Building Products (continued)  

Jeld-Wen, Inc., 4.88%, 12/15/27(e)

    USD       129     $ 119,486  

Masonite International Corp.(e):

     

5.63%, 03/15/23

      2,959       3,010,782  

5.75%, 09/15/26

      989       989,000  

PGT Escrow Issuer, Inc., 6.75%, 08/01/26(e)

      665       684,950  

Standard Industries, Inc.(e):

     

5.50%, 02/15/23

      768       785,280  

5.38%, 11/15/24

      2,374       2,409,610  

6.00%, 10/15/25

      2,869       2,994,519  

5.00%, 02/15/27

      172       163,830  

4.75%, 01/15/28

      142       132,770  

USG Corp.(e):

     

5.50%, 03/01/25

      904       913,040  

4.88%, 06/01/27

      1,586       1,601,337  
     

 

 

 
        16,891,242  
Cable Television Services — 0.0%  

Cincinnati Bell, Inc., 8.00%, 10/15/25(e)

      703       636,215  
     

 

 

 
Capital Markets — 1.3%  

Blackstone CQP Holdco LP(e):

     

6.50%, 03/20/21

      13,913       13,895,609  

6.00%, 08/18/21

      2,265       2,242,350  

Intertrust Group BV, 3.38%, 11/15/25

    EUR       281       326,482  

Lions Gate Capital Holdings LLC(e):

     

6.38%, 02/01/24

    USD       147       150,675  

5.88%, 11/01/24

      1,096       1,109,700  

LPL Holdings, Inc., 5.75%, 09/15/25(e)

      323       326,634  

Stevens Holding Co., Inc., 6.13%, 10/01/26(e)

      813       829,260  
     

 

 

 
        18,880,710  
Chemicals — 2.9%  

Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23(e)(l)

      1,632       1,562,640  

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

      5,475       5,242,312  

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

      1,451       1,440,118  

Blue Cube Spinco LLC:

     

9.75%, 10/15/23

      3,228       3,616,167  

10.00%, 10/15/25

      2,170       2,484,650  

Chemours Co.:

     

6.63%, 05/15/23

      449       465,860  

7.00%, 05/15/25

      1,387       1,445,947  

4.00%, 05/15/26

    EUR       700       791,525  

5.38%, 05/15/27

    USD       1,581       1,533,570  

Element Solutions, Inc., 5.88%, 12/01/25(e)

      5,095       5,155,529  

GCP Applied Technologies, Inc., 5.50%, 04/15/26(e)

      1,186       1,194,895  

Huntsman International LLC:

     

5.13%, 11/15/22

      1,445       1,510,025  

4.50%, 05/01/29(g)

      725       714,846  

INEOS Group Holdings SA, 5.38%, 08/01/24

    EUR       150       172,867  

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

    USD       1,625       1,750,937  

Montichem Holdco 3 SA, 5.25%, 06/15/21

    EUR       200       226,307  

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

    USD       1,815       1,757,283  

OCI NV, 5.00%, 04/15/23

    EUR       290       347,596  

Olin Corp.:

     

5.13%, 09/15/27

    USD       530       533,975  

5.00%, 02/01/30

      109       105,866  

PQ Corp.(e):

     

6.75%, 11/15/22

      2,337       2,429,779  

5.75%, 12/15/25

      2,911       2,818,226  

Solvay SA, 4.25%(f)(k)

    EUR       100       120,048  
Security   Par
(000)
    Value  
Chemicals (continued)  

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

    USD       1,190     $ 1,237,600  

WR Grace & Co-Conn, 5.13%, 10/01/21(e)

      2,483       2,554,734  
     

 

 

 
        41,213,302  
Commercial Services & Supplies — 2.6%  

ADT Security Corp.:

     

3.50%, 07/15/22

      2,386       2,347,227  

4.13%, 06/15/23

      1,292       1,267,775  

4.88%, 07/15/32(e)

      2,840       2,392,700  

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

      1,104       1,115,040  

Avolon Holdings Funding Ltd.(e):

     

5.13%, 10/01/23

      1,939       1,958,390  

5.25%, 05/15/24(g)

      1,772       1,816,300  

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

      1,310       1,313,275  

Core & Main LP, 6.13%, 08/15/25(e)

      2,795       2,690,187  

Fortress Transportation & Infrastructure Investors LLC(e):

     

6.75%, 03/15/22

      444       452,658  

6.50%, 10/01/25

      470       459,425  

GFL Environmental, Inc., 5.38%, 03/01/23(e)

      826       777,989  

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

      2,752       2,569,680  

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

      3,235       3,146,037  

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

      3,503       3,546,787  

Park Aerospace Holdings Ltd.(e):

     

3.63%, 03/15/21

      1,473       1,454,588  

5.25%, 08/15/22

      2,560       2,620,698  

5.50%, 02/15/24

      6       6,203  

Resideo Funding, Inc., 6.13%, 11/01/26(e)

      670       686,750  

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

      1,289       1,311,558  

United Rentals North America, Inc.:

     

5.75%, 11/15/24

      1,354       1,394,620  

5.50%, 05/15/27

      3,001       3,001,000  

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

      522       506,340  
     

 

 

 
        36,835,227  
Communications Equipment — 2.2%  

CommScope Finance LLC(e):

     

5.50%, 03/01/24

      5,083       5,174,240  

6.00%, 03/01/26

      4,228       4,323,130  

8.25%, 03/01/27

      1,435       1,488,813  

CommScope Technologies LLC(e):

     

6.00%, 06/15/25

      147       138,548  

5.00%, 03/15/27

      1,825       1,633,922  

CommScope, Inc., 5.00%, 06/15/21(e)

      2,278       2,280,847  

Nokia OYJ:

     

3.38%, 06/12/22

      714       699,506  

4.38%, 06/12/27

      439       431,370  

6.63%, 05/15/39

      3,486       3,660,300  

Telefonaktiebolaget LM Ericsson, Series 7Y, 1.88%, 03/01/24

    EUR       100       114,377  

Zayo Group LLC/Zayo Capital, Inc.:

     

6.00%, 04/01/23

    USD       2,128       2,154,600  

6.38%, 05/15/25

      2,304       2,286,720  

5.75%, 01/15/27(e)

      6,993       6,783,210  
     

 

 

 
        31,169,583  
Construction & Engineering — 0.2%  

Brand Industrial Services, Inc., 8.50%, 07/15/25(e)

      1,282       1,157,005  

frontdoor, Inc., 6.75%, 08/15/26(e)

      1,265       1,285,556  
     

 

 

 
        2,442,561  
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      45  


Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Construction Materials — 1.3%  

American Builders & Contractors Supply Co., Inc., 5.88%, 05/15/26(e)

    USD       1,404     $ 1,426,815  

HD Supply, Inc., 5.38%, 10/15/26(e)

      11,200       11,368,000  

LKQ Italia Bondco SpA, 3.88%, 04/01/24

    EUR       120       144,213  

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

    USD       1,823       1,879,568  

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

      1,002       1,007,010  

Williams Scotsman International, Inc.(e):

     

7.88%, 12/15/22

      771       782,565  

6.88%, 08/15/23

      1,457       1,431,502  
     

 

 

 
        18,039,673  
Consumer Discretionary — 0.9%  

AA Bond Co. Ltd., 4.88%, 07/31/43

    GBP       180       230,250  

Live Nation Entertainment, Inc., 4.88%, 11/01/24(e)

    USD       296       293,780  

Nielsen Co. Luxembourg Sarl, 5.00%, 02/01/25(e)

      601       593,488  

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

      1,865       1,874,325  

Staples, Inc., 8.50%, 09/15/25(e)

      2,112       2,069,760  

Star Merger Sub, Inc., 6.88%, 08/15/26(e)

      2,120       2,127,335  

Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 07/30/26

    EUR       280       326,032  

Viking Cruises Ltd.(e):

     

6.25%, 05/15/25

    USD       605       609,537  

5.88%, 09/15/27

      5,103       4,918,016  
     

 

 

 
        13,042,523  
Consumer Finance — 3.3%  

Alliance Data Systems Corp.(e):

     

5.88%, 11/01/21

      3,207       3,263,122  

5.38%, 08/01/22

      1,863       1,890,945  

Ally Financial, Inc.:

     

5.13%, 09/30/24

      1,230       1,291,500  

8.00%, 11/01/31

      11,654       14,392,690  

Ford Motor Credit Co. LLC, 3.02%, 03/06/24

    EUR       100       113,745  

Iron Mountain UK PLC, 3.88%, 11/15/25

    GBP       290       367,333  

Mulhacen Pte Ltd., (6.5% Cash or 7.25% PIK), 6.50%, 08/01/23(l)

    EUR       537       610,077  

Navient Corp.:

     

6.63%, 07/26/21

    USD       1,454       1,503,072  

6.50%, 06/15/22

      463       475,733  

5.50%, 01/25/23

      1,115       1,101,063  

7.25%, 09/25/23

      1,100       1,134,375  

5.88%, 10/25/24

      375       359,531  

6.75%, 06/25/25

      423       414,011  

6.75%, 06/15/26

      572       549,120  

5.63%, 08/01/33

      1,821       1,406,722  

Nexi Capital SpA, 3.63%, 05/01/23(f)

    EUR       100       114,462  

Refinitiv US Holdings, Inc.:

     

4.50%, 05/15/26

      345       389,650  

4.50%, 05/15/26(e)

      2,465       2,784,018  

6.25%, 05/15/26(e)

    USD       479       483,191  

8.25%, 11/15/26(e)

      3,751       3,670,119  

Springleaf Finance Corp.:

     

6.13%, 05/15/22

      490       508,375  

6.13%, 03/15/24

      1,798       1,818,227  

6.88%, 03/15/25

      2,077       2,126,329  

7.13%, 03/15/26

      1,108       1,121,850  

Verscend Escrow Corp., 9.75%, 08/15/26(e)

      5,478       5,601,255  
     

 

 

 
        47,490,515  
Containers & Packaging — 2.8%  

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

     

4.13%, 05/15/23

    EUR       100       116,873  

4.63%, 05/15/23(e)

    USD       5,069       5,107,017  
Security   Par
(000)
    Value  
Containers & Packaging (continued)  

6.75%, 05/15/24

    EUR       100     $ 120,695  

7.25%, 05/15/24(e)

    USD       7,921       8,225,562  

4.75%, 07/15/27(e)

    GBP       427       522,884  

4.75%, 07/15/27

      462       565,743  

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

    USD       5,338       5,249,656  

Crown Americas LLC/Crown Americas Capital Corp. VI:

     

4.75%, 02/01/26

      3,052       3,061,537  

4.25%, 09/30/26

      1,290       1,241,625  

Crown European Holdings SA, 3.38%, 05/15/25

    EUR       100       121,138  

Greif, Inc., 6.50%, 03/01/27(e)

    USD       520       529,818  

Intertape Polymer Group, Inc., 7.00%, 10/15/26(e)

      747       752,603  

Mercer International, Inc.:

     

6.50%, 02/01/24

      1,446       1,474,920  

5.50%, 01/15/26

      767       732,485  

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

     

5.75%, 10/15/20

    USD       6,255       6,267,130  

5.13%, 07/15/23(e)

      292       292,000  

7.00%, 07/15/24(e)

      4,220       4,314,950  

Sealed Air Corp.:

     

4.50%, 09/15/23

    EUR       160       201,760  

5.13%, 12/01/24(e)

    USD       142       146,056  

6.88%, 07/15/33(e)

      700       731,500  

Smurfit Kappa Acquisitions ULC, 2.88%, 01/15/26

    EUR       199       234,687  
     

 

 

 
        40,010,639  
County/City/Special District/School District — 0.0%  

European TopSoho Sarl, Series SMCP, 4.00%, 09/21/21(m)

      200       225,897  
     

 

 

 
Diversified Consumer Services — 1.5%  

APX Group, Inc.:

     

8.75%, 12/01/20

    USD       1,915       1,903,031  

7.88%, 12/01/22

      1,649       1,636,633  

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

      3,428       3,349,446  

Graham Holdings Co., 5.75%, 06/01/26(e)

      1,087       1,119,610  

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

      591       638,280  

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

      274       265,095  

Pinnacle Bidco PLC, 6.38%, 02/15/25

    GBP       192       257,262  

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

    USD       9,275       9,780,487  

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

      1,664       1,630,720  

Verisure Holding AB, 3.50%, 05/15/23

    EUR       245       285,642  
     

 

 

 
        20,866,206  
Diversified Financial Services — 1.4%  

Arrow Global Finance PLC:

     

5.13%, 09/15/24

    GBP       325       411,666  

(3 mo. Euribor + 2.88%), 2.88%, 04/01/25(d)

    EUR       154       167,526  

Barclays PLC(5 year EUR Swap + 2.45%), 2.63%, 11/11/25(i)

      200       228,439  

Cabot Financial Luxembourg SA, 6.50%, 04/01/21

    GBP       100       131,309  

Credit Suisse Group AG, 7.50%(e)(f)(k)

    USD       750       769,687  

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

      230       246,675  

FS Energy & Power Fund, 7.50%, 08/15/23(e)

      490       495,787  

Garfunkelux Holdco 3 SA:

     

7.50%, 08/01/22

    EUR       230       232,752  

4.50%, 09/01/23(f)

      220       205,281  

Intrum AB, 2.75%, 07/15/22

      137       152,668  
 

 

 

46    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

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

Jefferies Finance LLC/JFIN Co-Issuer Corp.(e):

     

7.38%, 04/01/20

    USD       2,695     $ 2,700,390  

6.88%, 04/15/22

      2,552       2,545,620  

Lehman Brothers Holding Escrow, 1.00%, 09/22/18(a)(b)(j)

      430       8,385  

Lehman Brothers Holdings, Inc.:(a)(j)

     

5.38%, 10/17/17

    EUR       350       8,559  

4.75%, 01/16/18

      1,890       46,220  

1.00%, 02/05/18

      3,950       96,598  

1.00%, 12/31/49(b)

    USD       1,535       29,933  

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

    EUR       220       252,371  

Lincoln Finance Ltd., 6.88%, 04/15/21

      100       116,589  

MSCI, Inc., 5.25%, 11/15/24(e)

    USD       683       700,075  

Pershing Square Holdings Ltd., 5.50%, 07/15/22(e)

      2,100       2,128,875  

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

      2,395       2,418,950  

Travelport Corporate Finance PLC, 6.00%, 03/15/26(e)

      1,106       1,172,360  

UniCredit SpA:

     

6.57%, 01/14/22(e)

      400       409,551  

(5 year EUR Swap + 4.10%), 5.75%, 10/28/25(i)

    EUR       525       623,979  

(5 year EUR Swap + 4.32%), 4.38%, 01/03/27(i)

      367       428,248  

Vantiv LLC/Vanity Issuer Corp.(e):

     

3.88%, 11/15/25

    GBP       257       331,413  

4.38%, 11/15/25

    USD       1,168       1,127,120  

Verisure Midholding AB, 5.75%, 12/01/23

    EUR       100       115,229  

WMG Acquisition Corp.:

     

4.13%, 11/01/24

      180       214,581  

5.50%, 04/15/26(e)

    USD       918       923,737  
     

 

 

 
        19,440,573  
Diversified Telecommunication Services — 2.3%  

CenturyLink, Inc.:

     

Series P, 7.60%, 09/15/39

      54       47,115  

Series S, 6.45%, 06/15/21

      5,263       5,466,678  

Series U, 7.65%, 03/15/42

      1,436       1,252,910  

Series W, 6.75%, 12/01/23

      7       7,269  

Series Y, 7.50%, 04/01/24

      3,223       3,409,330  

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

      1,797       1,626,285  

Embarq Corp., 8.00%, 06/01/36

      2,334       2,252,310  

Frontier Communications Corp.:

     

7.13%, 03/15/19

      701       700,124  

10.50%, 09/15/22

      736       526,240  

11.00%, 09/15/25

      7,041       4,497,439  

Level 3 Financing, Inc.:

     

5.38%, 08/15/22

      243       244,519  

5.63%, 02/01/23

      969       976,267  

5.13%, 05/01/23

      1,292       1,300,191  

5.38%, 05/01/25

      760       758,100  

5.25%, 03/15/26

      4,892       4,794,160  

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

      680       724,064  

SoftBank Group Corp.:

     

4.00%, 04/20/23

    EUR       400       481,196  

4.75%, 07/30/25

      215       259,027  

5.00%, 04/15/28

      100       117,749  

Telecom Italia Capital SA:

     

6.38%, 11/15/33

    USD       449       422,060  

6.00%, 09/30/34

      1,507       1,356,300  

Telecom Italia SpA:

     

3.25%, 01/16/23

    EUR       200       233,835  

5.88%, 05/19/23

    GBP       200       276,427  

5.30%, 05/30/24(e)

    USD       1,653       1,615,807  
Security   Par
(000)
    Value  
Diversified Telecommunication Services (continued)  

Telecom Italia SpA/Milano, 4.00%, 04/11/24

    USD       139     $ 161,181  
     

 

 

 
        33,506,583  
Electric Utilities — 0.1%  

AES Corp., 5.50%, 04/15/25

      595       613,594  

NextEra Energy Operating Partners LP(e):

     

4.25%, 09/15/24

      617       606,202  

4.50%, 09/15/27

      654       622,935  
     

 

 

 
        1,842,731  
Electronic Equipment, Instruments & Components — 0.7%  

CDW LLC/CDW Finance Corp.:

     

5.00%, 09/01/23

      3,624       3,660,240  

5.50%, 12/01/24

      5,332       5,558,610  

5.00%, 09/01/25

      714       718,462  

Energizer Gamma Acquisition BV, 4.63%, 07/15/26

    EUR       270       312,284  

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

    USD       231       224,648  
     

 

 

 
        10,474,244  
Energy Equipment & Services — 1.2%  

Apergy Corp., 6.38%, 05/01/26

      641       640,199  

Calfrac Holdings LP, 8.50%, 06/15/26(e)

      658       486,920  

CSI Compressco LP/CSI Compressco Finance, Inc., 7.50%, 04/01/25(e)

      1,593       1,545,210  

Ensco PLC:

     

4.50%, 10/01/24

      336       259,963  

5.20%, 03/15/25

      1,893       1,452,878  

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

      3,066       3,077,988  

Oceaneering International, Inc., 4.65%, 11/15/24

      432       399,060  

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

      935       952,185  

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

      1,279       786,585  

SESI LLC, 7.75%, 09/15/24

      1,321       1,122,850  

Transocean, Inc.:

     

8.38%, 12/15/21

      275       288,750  

9.00%, 07/15/23(e)

      3,195       3,370,725  

USA Compression Partners LP/USA Compression Finance Corp.:

     

6.88%, 04/01/26

      1,705       1,734,837  

6.88%, 09/01/27(e)(g)

      1,339       1,365,780  
     

 

 

 
        17,483,930  
Environmental, Maintenance, & Security Service — 0.2%  

Hulk Finance Corp., 7.00%, 06/01/26(e)

      828       786,600  

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

      1,577       1,573,058  
     

 

 

 
        2,359,658  
Equity Real Estate Investment Trusts (REITs) — 1.8%  

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

      985       954,219  

Hilton Domestic Operating Co., Inc.:

     

4.25%, 09/01/24

      2,468       2,434,065  

5.13%, 05/01/26(e)

      2,280       2,291,400  

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

      350       348,250  

iStar, Inc.:

     

4.63%, 09/15/20

      221       222,105  

6.00%, 04/01/22

      529       528,339  

5.25%, 09/15/22

      596       584,080  

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

     

5.63%, 05/01/24

      8,085       8,347,762  

4.50%, 09/01/26

      2,451       2,348,867  

4.50%, 01/15/28

      1,613       1,508,155  
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      47  


Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Equity Real Estate Investment Trusts (REITs) (continued)  

MPT Operating Partnership LP/MPT Finance Corp.:

     

6.38%, 03/01/24

    USD       197     $ 206,357  

5.50%, 05/01/24

      271       277,436  

5.00%, 10/15/27

      4,148       4,116,890  

Starwood Property Trust, Inc., 5.00%, 12/15/21

      1,695       1,731,019  
     

 

 

 
        25,898,944  
Food & Staples Retailing — 0.3%  

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

     

6.63%, 06/15/24

      285       285,000  

5.75%, 03/15/25

      606       575,700  

7.50%, 03/15/26(e)

      629       647,870  

B&M European Value Retail SA, 4.13%, 02/01/22

    GBP       225       299,063  

Casino Guichard Perrachon SA:

     

4.56%, 01/25/23

    EUR       200       233,456  

4.50%, 03/07/24

      100       115,208  

Distribuidora Internacional de Alimentacion SA, 1.00%, 04/28/21

      300       247,396  

Nomad Foods Bondco PLC, 3.25%, 05/15/24

      200       232,339  

Post Holdings, Inc., 5.63%, 01/15/28(e)

    USD       484       467,665  

Premier Foods Finance PLC, 6.25%, 10/15/23

    GBP       200       269,249  

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

    USD       943       803,908  

Tesco PLC, 5.00%, 03/24/23

    GBP       100       144,132  
     

 

 

 
        4,320,986  
Food Products — 1.1%  

Aramark International Finance Sarl, 3.13%, 04/01/25

    EUR       120       141,991  

Aramark Services, Inc.:

     

5.13%, 01/15/24

    USD       1,104       1,128,840  

5.00%, 04/01/25(e)

      148       150,590  

5.00%, 02/01/28(e)

      2,829       2,793,637  

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

      971       927,305  

Boparan Finance PLC:

     

5.25%, 07/15/19

    GBP       76       98,904  

5.50%, 07/15/21

      100       99,108  

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

    USD       830       747,000  

JBS USA LUX SA/JBS USA Finance, Inc.(e):

     

5.88%, 07/15/24

      1,282       1,317,896  

5.75%, 06/15/25

      5,217       5,282,212  

Post Holdings, Inc.(e):

     

5.50%, 03/01/25

      1,572       1,575,930  

5.75%, 03/01/27

      207       203,636  

Simmons Foods, Inc., 7.75%, 01/15/24(e)

      1,306       1,364,770  
     

 

 

 
        15,831,819  
Forest Products — 0.2%  

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

      2,106       2,178,246  
     

 

 

 
Health Care Equipment & Supplies — 2.2%  

Avantor, Inc.:

     

4.75%, 10/01/24

    EUR       126       148,003  

6.00%, 10/01/24(e)

    USD       8,547       8,723,282  

9.00%, 10/01/25(e)

      5,630       6,031,137  

Hologic, Inc.(e):

     

4.38%, 10/15/25

      204       200,430  

4.63%, 02/01/28

      714       689,010  

Immucor, Inc., 11.13%, 02/15/22(e)

      1,380       1,397,250  

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

     

4.88%, 04/15/20

      1,110       1,104,561  

5.75%, 08/01/22

      1,506       1,415,640  
Security   Par
(000)
    Value  
Health Care Equipment & Supplies (continued)  

Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA, 6.63%, 05/15/22(e)

    USD       9,878     $ 9,507,575  

Teleflex, Inc.:

     

4.88%, 06/01/26

      826       836,325  

4.63%, 11/15/27

      608       603,483  
     

 

 

 
        30,656,696  
Health Care Providers & Services — 7.0%  

Acadia Healthcare Co., Inc.:

     

5.13%, 07/01/22

      782       770,270  

5.63%, 02/15/23

      974       966,695  

6.50%, 03/01/24

      986       981,070  

AHP Health Partners, Inc., 9.75%, 07/15/26(e)

      1,052       1,104,600  

Centene Corp.:

     

4.75%, 05/15/22

      2,467       2,513,256  

5.38%, 06/01/26(e)

      10,367       10,755,762  

CHS/Community Health Systems, Inc.(e):

     

8.63%, 01/15/24

      3,879       3,995,370  

8.00%, 03/15/26

      1,744       1,721,032  

DaVita, Inc., 5.00%, 05/01/25

      1,938       1,870,170  

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

      1,276       1,279,190  

Encompass Health Corp., 5.75%, 11/01/24

      1,170       1,182,051  

HCA, Inc.:

     

4.75%, 05/01/23

      165       171,006  

5.00%, 03/15/24

      2,326       2,429,918  

5.38%, 02/01/25

      2,772       2,875,091  

5.88%, 02/15/26

      39       41,194  

5.25%, 06/15/26

      2,456       2,590,287  

5.38%, 09/01/26

      2,251       2,307,275  

5.63%, 09/01/28

      5,700       5,892,375  

5.88%, 02/01/29

      6,026       6,319,767  

5.50%, 06/15/47

      5,497       5,710,722  

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

      933       943,496  

Molina Healthcare, Inc.:

     

5.38%, 11/15/22

      774       797,946  

4.88%, 06/15/25(e)

      685       674,725  

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

      2,590       2,601,318  

NVA Holdings, Inc., 6.88%, 04/01/26(e)

      1,005       969,825  

Polaris Intermediate Corp., (8.50% Cash), 8.50%, 12/01/22(e)(l)

      5,128       5,062,413  

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

      4,127       4,410,731  

Sotera Health Holdings LLC, 6.50%, 05/15/23(e)

      1,538       1,549,535  

Surgery Center Holdings, Inc.(e):

     

8.88%, 04/15/21

      1,066       1,084,655  

6.75%, 07/01/25

      1,254       1,141,140  

Tenet Healthcare Corp.:

     

6.00%, 10/01/20

      3,670       3,793,863  

8.13%, 04/01/22

      4,174       4,455,745  

4.63%, 07/15/24

      6,003       5,987,993  

6.25%, 02/01/27(e)

      4,043       4,161,763  

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

      1,875       2,029,688  

WellCare Health Plans, Inc.:

     

5.25%, 04/01/25

      1,404       1,433,414  

5.38%, 08/15/26(e)

      2,015       2,072,931  
     

 

 

 
        98,648,282  
Health Care Technology — 0.3%  

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

      2,130       2,078,773  

IQVIA, Inc.:

     

3.25%, 03/15/25

    EUR       1,200       1,393,965  
 

 

 

48    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Health Care Technology (continued)  

3.25%, 03/15/25(e)

    EUR       100     $ 116,164  

5.00%, 10/15/26(e)

    USD       1,254       1,275,945  
     

 

 

 
        4,864,847  
Hotels, Restaurants & Leisure — 4.6%  

1011778 BC ULC/New Red Finance, Inc.(e):

     

4.25%, 05/15/24

      3,317       3,229,929  

5.00%, 10/15/25

      8,294       8,029,629  

Boyd Gaming Corp., 6.00%, 08/15/26

      526       539,479  

Boyne USA, Inc., 7.25%, 05/01/25(e)

      813       869,910  

Caesars Resort Collection LLC/CRC Finco, Inc., 5.25%, 10/15/25(e)

      2,647       2,511,341  

Churchill Downs, Inc., 4.75%, 01/15/28(e)

      903       862,546  

Cirsa Finance International Sarl, 6.25%, 12/20/23

    EUR       162       193,488  

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

    GBP       174       228,408  

EI Group PLC, 6.38%, 02/15/22

      110       148,743  

Eldorado Resorts, Inc.:

     

6.00%, 04/01/25

    USD       812       826,291  

6.00%, 09/15/26(e)

      717       729,548  

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

      1,918       1,908,410  

GLP Capital LP/GLP Financing II, Inc.:

     

5.38%, 11/01/23

      256       265,841  

5.25%, 06/01/25

      1,008       1,043,774  

5.38%, 04/15/26

      942       970,599  

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

      3,602       3,620,010  

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.88%, 04/01/27

      529       526,355  

KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC(e):

     

5.00%, 06/01/24

      255       257,741  

5.25%, 06/01/26

      1,878       1,910,865  

4.75%, 06/01/27

      790       778,150  

Ladbrokes Group Finance PLC, 5.13%, 09/08/23

    GBP       220       300,493  

Marriott Ownership Resorts, Inc., 6.50%, 09/15/26(e)

    USD       386       398,545  

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

      1,847       1,768,502  

MGM Resorts International:

     

6.63%, 12/15/21

      2,010       2,140,650  

7.75%, 03/15/22

      2,666       2,925,935  

4.63%, 09/01/26

      3,124       2,967,800  

Sabre GLBL, Inc.(e):

     

5.38%, 04/15/23

      1,516       1,546,320  

5.25%, 11/15/23

      882       899,640  

Scientific Games International, Inc.:

     

10.00%, 12/01/22

      6,661       7,002,376  

5.00%, 10/15/25(e)

      2,796       2,708,625  

3.38%, 02/15/26

    EUR       800       870,158  

Sisal Group SpA, 7.00%, 07/31/23

      310       362,748  

Six Flags Entertainment Corp.(e):

     

4.88%, 07/31/24

    USD       4,525       4,457,125  

5.50%, 04/15/27

      875       859,687  

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

      924       897,435  

Stonegate Pub Co. Financing PLC:

     

7.17%, 03/15/22(f)

    GBP       100       132,967  

(3 mo. LIBOR GBP + 4.38%), 5.28%, 03/15/22(d)

      150       196,247  

Unique Pub Finance Co. PLC, Series N, 6.46%, 03/30/32

      1,000       1,273,420  

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

      520       685,308  

Wyndham Destinations, Inc.:

     

5.40%, 04/01/24

    USD       100       100,500  

5.75%, 04/01/27

      306       303,705  
Security   Par
(000)
    Value  
Hotels, Restaurants & Leisure (continued)  

Wyndham Hotels & Resorts, Inc., 5.38%, 04/15/26(e)

    USD       527     $ 533,140  

Wynn Macau Ltd.(e):

     

4.88%, 10/01/24

      860       824,088  

5.50%, 10/01/27

      980       929,162  

Yum! Brands, Inc.:

     

3.88%, 11/01/23

      721       706,580  

5.35%, 11/01/43

      30       25,650  
     

 

 

 
        65,267,863  
Household Durables — 1.4%  

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

      3,407       3,398,482  

Lennar Corp.:

     

6.63%, 05/01/20

      1,160       1,196,250  

8.38%, 01/15/21

      2,810       3,031,287  

4.88%, 12/15/23

      968       982,520  

5.25%, 06/01/26

      302       303,133  

4.75%, 11/29/27

      2,510       2,437,838  

Mattamy Group Corp.(e):

     

6.88%, 12/15/23

      924       917,070  

6.50%, 10/01/25

      388       372,844  

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

      716       608,600  

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

      404       376,730  

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

      2,805       2,657,737  

Tempur Sealy International, Inc., 5.50%, 06/15/26

      1,535       1,531,163  

TRI Pointe Group, Inc., 4.88%, 07/01/21

      292       291,270  

TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 4.38%, 06/15/19

      1,060       1,058,675  
     

 

 

 
        19,163,599  
Household Products — 0.2%  

Diamond (BC) BV, 5.63%, 08/15/25

    EUR       120       123,213  

Energizer Holdings, Inc.(e):

     

6.38%, 07/15/26

    USD       365       368,650  

7.75%, 01/15/27

      1,661       1,768,965  
     

 

 

 
        2,260,828  
Independent Power and Renewable Electricity Producers — 2.4%  

AES Corp.:

     

4.50%, 03/15/23

      1,021       1,028,658  

4.88%, 05/15/23

      327       330,168  

6.00%, 05/15/26

      1,360       1,431,400  

5.13%, 09/01/27

      1,541       1,583,377  

Calpine Corp.:

     

6.00%, 01/15/22(e)

      251       254,451  

5.38%, 01/15/23

      6,061       6,000,390  

5.88%, 01/15/24(e)

      1,312       1,338,240  

5.75%, 01/15/25

      320       306,400  

5.25%, 06/01/26(e)

      4,195       4,111,100  

Clearway Energy Operating LLC:

     

5.38%, 08/15/24

      2,005       1,964,900  

5.75%, 10/15/25(e)

      1,199       1,178,018  

5.00%, 09/15/26

      485       452,263  

MPM Escrow LLC, 8.88%, 10/15/20(b)

      3,738        

NRG Energy, Inc.:

     

6.25%, 05/01/24

      297       307,395  

6.63%, 01/15/27

      7,587       8,068,300  

5.75%, 01/15/28

      1,878       1,927,297  

TerraForm Power Operating LLC(e):

     

4.25%, 01/31/23

      1,191       1,179,936  

6.63%, 06/15/25(n)

      140       147,000  

5.00%, 01/31/28

      1,185       1,125,750  

Vistra Energy Corp., 7.63%, 11/01/24

      778       826,625  
     

 

 

 
        33,561,668  
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      49  


Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Industrial Conglomerates — 0.3%  

Algeco Global Finance PLC, 6.50%, 02/15/23

    EUR       500     $ 581,521  

BWX Technologies, Inc., 5.38%, 07/15/26(e)

    USD       855       872,100  

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

      3,333       3,333,000  
     

 

 

 
        4,786,621  
Insurance — 1.2%  

Acrisure LLC/Acrisure Finance, Inc., 8.13%, 02/15/24(e)

      334       341,933  

Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 8.25%, 08/01/23(e)

      7,509       7,757,736  

AmWINS Group, Inc., 7.75%, 07/01/26(e)

      953       976,825  

Ardonagh Midco 3 PLC:

     

8.38%, 07/15/23

    GBP       100       114,331  

8.63%, 07/15/23(e)

    USD       950       836,000  

Assicurazioni Generali SpA(i):

     

(3 mo. Euribor + 7.11%), 7.75%, 12/12/42

    EUR       100       134,788  

(3 mo. Euribor + 5.35%), 5.50%, 10/27/47

      200       247,168  

Caisse Nationale de Reassurance Mutuelle Agricole Groupama, 6.00%, 01/23/27

      200       270,384  

HUB International Ltd., 7.00%, 05/01/26(e)

    USD       3,910       3,831,800  

Nationstar Mortgage Holdings, Inc.(e):

     

8.13%, 07/15/23

      1,304       1,326,820  

9.13%, 07/15/26

      977       998,982  

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

      544       529,040  
     

 

 

 
        17,365,807  
Interactive Media & Services — 1.2%  

Equinix, Inc.:

     

5.38%, 01/01/22

      1,110       1,141,219  

2.88%, 03/15/24

    EUR       345       403,608  

5.88%, 01/15/26

    USD       3,457       3,621,207  

Match Group, Inc., 5.63%, 02/15/29(e)

      1,031       1,025,201  

Netflix, Inc.:

     

5.50%, 02/15/22

      2,087       2,186,132  

4.38%, 11/15/26

      643       616,881  

5.88%, 11/15/28(e)

      3,589       3,738,123  

4.63%, 05/15/29

    EUR       250       301,140  

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

    USD       2,092       2,085,188  

Uber Technologies, Inc., 7.50%, 11/01/23(e)

      1,618       1,654,405  

United Group BV:

     

4.38%, 07/01/22

    EUR       258       297,692  

(3 mo. Euribor + 4.38%), 4.38%, 07/01/23(d)

      195       222,912  
     

 

 

 
        17,293,708  
IT Services — 1.7%  

Banff Merger Sub, Inc.:

     

8.38%, 09/01/26

      600       673,748  

9.75%, 09/01/26(e)

    USD       7,589       7,351,844  

First Data Corp., 5.75%, 01/15/24(e)

      7,738       7,965,884  

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

      1,176       1,184,820  

InterXion Holding NV, 4.75%, 06/15/25

    EUR       464       558,361  

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

    USD       3,891       3,861,817  

Xerox Corp.:

     

4.80%, 03/01/35

      2,281       1,830,503  

6.75%, 12/15/39

      178       169,545  
     

 

 

 
        23,596,522  
Leisure Products — 0.2%  

Mattel, Inc.:

     

6.75%, 12/31/25(e)

      2,345       2,306,894  

6.20%, 10/01/40

      566       457,752  

5.45%, 11/01/41

      332       253,980  
   

 

 

 
        3,018,626  
Security   Par
(000)
    Value  
Machinery — 1.1%  

Colfax Corp.(e):

     

6.00%, 02/15/24

    USD       2,531     $ 2,613,258  

6.38%, 02/15/26

      1,416       1,476,180  

Mueller Water Products, Inc., 5.50%, 06/15/26(e)

      1,246       1,255,345  

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

    EUR       158       171,180  

SPX FLOW, Inc.(e):

     

5.63%, 08/15/24

    USD       727       727,000  

5.88%, 08/15/26

      623       624,558  

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

      4,399       4,278,027  

Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26(e)

      2,965       2,594,375  

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

      1,510       1,392,975  
   

 

 

 
        15,132,898  
Media — 14.3%  

Altice Financing SA(e):

     

6.63%, 02/15/23

      3,688       3,770,980  

7.50%, 05/15/26

      2,899       2,804,782  

Altice Finco SA, 7.63%, 02/15/25(e)

      240       214,800  

Altice France SA(e):

     

7.38%, 05/01/26

      8,164       8,010,925  

8.13%, 02/01/27

      5,512       5,539,560  

Altice Luxembourg SA, 7.75%, 05/15/22(e)

      6,893       6,849,919  

AMC Networks, Inc., 4.75%, 08/01/25

      3,441       3,343,147  

Block Communications, Inc., 6.88%, 02/15/25(e)

      685       707,263  

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

      2,224       2,329,640  

Capital Stage Finance BV, 5.25%(f)(k)(m)

    EUR       100       112,315  

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

    USD       103       101,970  

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

     

4.00%, 03/01/23

      1,937       1,912,787  

5.13%, 05/01/23

      137       139,411  

5.13%, 05/01/27

      15,268       15,026,308  

5.88%, 05/01/27

      142       145,861  

5.00%, 02/01/28

      1,382       1,329,311  

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

      4,201       4,300,774  

Clear Channel Worldwide Holdings, Inc.:

     

6.50%, 11/15/22

      4,835       4,937,744  

9.25%, 02/15/24(e)

      11,495       12,055,381  

Series B, 7.63%, 03/15/20

      5,953       5,955,976  

Series B, 6.50%, 11/15/22

      10,424       10,658,540  

CSC Holdings LLC:

     

5.38%, 07/15/23(e)

      5,009       5,147,749  

5.25%, 06/01/24

      4,920       4,918,327  

7.75%, 07/15/25(e)

      4,974       5,309,745  

6.63%, 10/15/25(e)

      1,611       1,699,605  

10.88%, 10/15/25(e)

      11,138       12,920,248  

5.50%, 05/15/26(e)

      3,501       3,540,386  

5.38%, 02/01/28(e)

      1,000       982,500  

6.50%, 02/01/29(e)

      2,799       2,928,482  

Series 144S, 5.13%, 12/15/21(e)

      6,425       6,445,175  

DISH DBS Corp.:

     

6.75%, 06/01/21

      2,450       2,505,125  

5.88%, 07/15/22

      4,574       4,368,170  

5.00%, 03/15/23

      1,948       1,733,720  

5.88%, 11/15/24

      2,621       2,207,406  

DKT Finance ApS, 7.00%, 06/17/23

    EUR       250       306,614  

Getty Images, Inc., 9.75%, 03/01/27(e)

    USD       460       463,450  

Gray Television, Inc., 7.00%, 05/15/27(e)

      1,423       1,504,822  

Hughes Satellite Systems Corp.:

     

7.63%, 06/15/21

      595       638,138  

5.25%, 08/01/26

      916       895,390  

Inmarsat Finance PLC, 4.88%, 05/15/22(e)

      731       731,000  
 

 

 

50    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Media (continued)  

Intelsat Jackson Holdings SA:

     

5.50%, 08/01/23

    USD       3,947     $ 3,601,637  

8.50%, 10/15/24(e)

      5,657       5,711,873  

9.75%, 07/15/25(e)

      5,021       5,209,287  

Lamar Media Corp., 5.75%, 02/01/26(e)

      716       749,115  

Level 3 Parent LLC, 5.75%, 12/01/22

      1,939       1,960,814  

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

      2,177       1,885,826  

Meredith Corp., 6.88%, 02/01/26

      776       801,453  

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

      1,100       1,148,081  

Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 04/15/22(e)

      2,780       2,773,050  

Outfront Media Capital LLC/Outfront Media Capital Corp., 5.88%, 03/15/25

      354       362,956  

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

      1,450       1,397,438  

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

      390       378,300  

Sirius XM Radio, Inc.(e):

     

4.63%, 05/15/23

      230       232,588  

5.00%, 08/01/27

      1,151       1,125,103  

TEGNA, Inc.:

     

5.13%, 10/15/19

      457       458,143  

5.50%, 09/15/24(e)

      344       340,130  

Tele Columbus AG, 3.88%, 05/02/25

    EUR       100       100,763  

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

    USD       2,400       2,310,000  

Telenet Finance VI Luxembourg SCA, 4.88%, 07/15/27

    EUR       270       329,694  

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

    USD       2,154       2,315,550  

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

      1,962       1,996,335  

United Group BV, 4.88%, 07/01/24

    EUR       199       229,713  

Unitymedia GmbH, 3.75%, 01/15/27

      100       119,353  

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:

     

3.50%, 01/15/27

      100       119,574  

6.25%, 01/15/29

      270       339,727  

Univision Communications, Inc.(e):

     

5.13%, 05/15/23

    USD       2,007       1,821,352  

5.13%, 02/15/25

      1,200       1,050,000  

UPC Holding BV:

     

5.50%, 01/15/28(e)

      220       226,050  

3.88%, 06/15/29

    EUR       100       118,508  

UPCB Finance IV Ltd.:

     

5.38%, 01/15/25(e)

    USD       992       1,014,320  

4.00%, 01/15/27

    EUR       360       428,441  

UPCB Finance VII Ltd., 3.63%, 06/15/29

      160       190,491  

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

    USD       2,383       2,418,745  

Virgin Media Finance PLC:

     

6.38%, 10/15/24

    GBP       140       192,615  

5.75%, 01/15/25(e)

    USD       4,988       4,963,060  

Virgin Media Secured Finance PLC:

     

5.50%, 01/15/25

    GBP       180       244,124  

6.25%, 03/28/29

      400       553,612  

Ziggo Bond Co. BV:

     

7.13%, 05/15/24

    EUR       100       119,135  

5.88%, 01/15/25(e)

    USD       2,643       2,569,525  

Ziggo BV:

     

4.25%, 01/15/27

    EUR       360       421,172  

5.50%, 01/15/27(e)

    USD       1,587       1,531,455  
   

 

 

 
        203,352,554  
Security   Par
(000)
    Value  
Metals & Mining — 3.9%  

Alcoa Nederland Holding BV(e):

     

7.00%, 09/30/26

    USD       681     $ 728,670  

6.13%, 05/15/28

      608       622,440  

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

      1,549       1,605,151  

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

      1,222       1,218,945  

CONSOL Energy, Inc., 11.00%, 11/15/25(e)

      2,871       3,265,762  

Constellium NV(e):

     

5.75%, 05/15/24

      1,668       1,633,973  

6.63%, 03/01/25

      941       948,058  

5.88%, 02/15/26

      3,427       3,332,757  

Freeport-McMoRan, Inc.:

     

4.00%, 11/14/21

      2,078       2,078,000  

3.55%, 03/01/22

      4,058       4,012,347  

3.88%, 03/15/23

      6,360       6,267,653  

4.55%, 11/14/24

      1,717       1,699,830  

5.40%, 11/14/34

      837       763,763  

5.45%, 03/15/43

      7,262       6,372,405  

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

      2,606       2,609,257  

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

      791       829,561  

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

      773       790,393  

Novelis Corp.(e):

     

6.25%, 08/15/24

      7,677       7,734,577  

5.88%, 09/30/26

      1,359       1,325,025  

Steel Dynamics, Inc.:

     

5.25%, 04/15/23

      949       965,608  

5.50%, 10/01/24

      1,540       1,582,350  

4.13%, 09/15/25

      514       499,783  

5.00%, 12/15/26

      470       478,225  

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

      616       626,780  

Teck Resources Ltd., 4.50%, 01/15/21

      217       219,713  

ThyssenKrupp AG:

     

1.38%, 03/03/22

    EUR       100       111,618  

2.88%, 02/22/24

      973       1,106,738  

United States Steel Corp.:

     

6.88%, 08/15/25

    USD       1,613       1,588,805  

6.25%, 03/15/26

      126       119,228  
   

 

 

 
        55,137,415  
Multi-Utilities — 0.2%  

NGL Energy Partners LP/NGL Energy Finance Corp., 5.13%, 07/15/19

      980       985,194  

Superior Plus LP/Superior General Partner, Inc., 7.00%, 07/15/26(e)

      1,963       1,963,000  
   

 

 

 
        2,948,194  
Multiline Retail — 0.0%  

Hipercor SA, 3.88%, 01/19/22

    EUR       200       238,479  
   

 

 

 
Offshore Drilling & Other Services — 0.1%  

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

    USD       1,250       1,228,125  

Lam Research Corp. (g):

     

3.75%, 03/15/26

      260       260,180  

4.00%, 03/15/29

      480       480,127  
   

 

 

 
        1,968,432  
Oil, Gas & Consumable Fuels — 14.1%  

Antero Midstream Partners LP/Antero Midstream Finance Corp.:

     

5.38%, 09/15/24

      385       385,000  

5.75%, 03/01/27(e)

      697       702,228  

Antero Resources Corp.:

     

5.13%, 12/01/22

      744       745,190  
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      51  


Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

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

5.63%, 06/01/23

    USD       784     $ 785,960  

5.00%, 03/01/25

      1,367       1,312,320  

Ascent Resources Utica Holdings LLC/ARU Finance Corp.(e):

     

10.00%, 04/01/22

      1,610       1,734,775  

7.00%, 11/01/26

      881       850,165  

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

      2,346       2,340,135  

Brazos Valley Longhorn LLC/Brazos Valley Longhorn Finance Corp., 6.88%, 02/01/25

      1,138       1,153,647  

Bruin E&P Partners LLC, 8.88%, 08/01/23(e)

      2,204       2,154,410  

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

      4,708       3,760,515  

Callon Petroleum Co.:

     

6.13%, 10/01/24

      2,318       2,335,385  

Series WI, 6.38%, 07/01/26

      654       654,000  

Carrizo Oil & Gas, Inc.:

     

6.25%, 04/15/23

      2,113       2,083,946  

8.25%, 07/15/25

      1,515       1,583,175  

Chaparral Energy, Inc., 8.75%, 07/15/23(e)

      1,695       1,067,850  

Cheniere Corpus Christi Holdings LLC:

     

7.00%, 06/30/24

      2,328       2,578,260  

5.88%, 03/31/25

      2,157       2,297,227  

5.13%, 06/30/27

      6,498       6,627,960  

Cheniere Energy Partners LP, 5.63%, 10/01/26(e)

      1,299       1,323,356  

Chesapeake Energy Corp.:

     

6.63%, 08/15/20

      958       981,950  

4.88%, 04/15/22

      1,087       1,043,520  

5.75%, 03/15/23

      216       208,440  

7.00%, 10/01/24

      2,781       2,746,237  

8.00%, 01/15/25

      1,214       1,233,727  

8.00%, 06/15/27

      5,580       5,524,200  

CNX Resources Corp., 5.88%, 04/15/22

      8,999       9,088,990  

Comstock Resources, Inc., 9.75%, 08/15/26(e)

      1,006       932,436  

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

      1,610       1,497,300  

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

      385       395,210  

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

      4,857       4,705,219  

DCP Midstream Operating LP:

     

5.38%, 07/15/25

      1,640       1,705,600  

6.45%, 11/03/36(e)

      1,282       1,291,615  

6.75%, 09/15/37(e)

      2,344       2,390,880  

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

      2,425       2,431,062  

Diamond Offshore Drilling, Inc.:

     

7.88%, 08/15/25

      802       757,890  

5.70%, 10/15/39

      111       74,925  

4.88%, 11/01/43

      1,852       1,157,500  

Diamondback Energy, Inc.:

     

4.75%, 11/01/24

      684       691,695  

4.75%, 11/01/24(e)

      760       768,550  

5.38%, 05/31/25

      1,621       1,677,735  

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

     

5.50%, 01/30/26

      2,899       3,036,702  

5.75%, 01/30/28

      1,691       1,800,915  

EnLink Midstream Partners LP:

     

4.40%, 04/01/24

      1,638       1,590,907  

4.15%, 06/01/25

      150       142,875  

4.85%, 07/15/26

      325       318,094  

5.60%, 04/01/44

      487       429,778  

5.05%, 04/01/45

      866       731,770  

5.45%, 06/01/47

      987       871,028  
Security   Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

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

    USD       1,561     $ 1,257,587  

Ensco PLC:

     

7.75%, 02/01/26

      1,354       1,137,360  

5.75%, 10/01/44

      526       337,955  

EP Energy LLC/Everest Acquisition Finance, Inc.:

     

9.38%, 05/01/20

      122       95,160  

7.75%, 05/15/26(e)

      2,151       1,906,324  

Extraction Oil & Gas, Inc.(e):

     

7.38%, 05/15/24

      1,571       1,406,045  

5.63%, 02/01/26

      3,034       2,518,220  

Genesis Energy LP/Genesis Energy Finance Corp.:

     

6.50%, 10/01/25

      716       685,570  

6.25%, 05/15/26

      1,040       962,000  

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

      1,860       1,599,600  

Gulfport Energy Corp.:

     

6.63%, 05/01/23

      292       286,160  

6.38%, 01/15/26

      889       780,098  

Halcon Resources Corp., 6.75%, 02/15/25

      2,918       2,181,205  

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

      1,587       1,594,935  

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

      700       610,750  

Jagged Peak Energy LLC, 5.88%, 05/01/26(e)

      86       86,887  

Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26(e)

      384       383,040  

Matador Resources Co., 5.88%, 09/15/26

      3,126       3,110,370  

MEG Energy Corp., 6.50%, 01/15/25(e)

      3,289       3,231,442  

Nabors Industries, Inc.:

     

5.00%, 09/15/20

      142       142,533  

4.63%, 09/15/21

      303       296,561  

5.50%, 01/15/23

      306       286,875  

5.75%, 02/01/25

      780       690,300  

New Enterprise Stone & Lime Co., Inc., 6.25%, 03/15/26(e)

      480       464,400  

NGPL PipeCo LLC(e):

     

4.88%, 08/15/27

      2,478       2,492,713  

7.77%, 12/15/37

      2,560       3,056,000  

Noble Holding International Ltd.:

     

7.75%, 01/15/24

      807       718,230  

7.88%, 02/01/26(e)

      4,852       4,536,620  

5.25%, 03/15/42

      686       425,320  

Northern Oil and Gas, Inc., (8.50% Cash or 1.00% PIK), 9.50%, 05/15/23(l)

      1,907       1,955,082  

Oasis Petroleum, Inc.:

     

6.88%, 03/15/22

      1,289       1,287,389  

6.88%, 01/15/23

      1,074       1,067,287  

6.25%, 05/01/26(e)

      1,450       1,381,125  

Pacific Drilling SA, 8.38%, 10/01/23(e)

      3,774       3,792,870  

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

     

6.25%, 06/01/24

      696       713,400  

5.38%, 01/15/25

      2,170       2,175,425  

5.25%, 08/15/25

      532       526,520  

5.63%, 10/15/27

      1,174       1,162,260  

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

      1,202       1,232,651  

PDC Energy, Inc.:

     

1.13%, 09/15/21(m)

      40       37,454  

6.13%, 09/15/24

      263       260,370  

5.75%, 05/15/26

      1,711       1,642,560  

Precision Drilling Corp., 7.13%, 01/15/26(e)

      142       139,515  
 

 

 

52    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

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

QEP Resources, Inc.:

     

6.88%, 03/01/21

    USD       635     $ 656,431  

5.38%, 10/01/22

      2,840       2,790,300  

5.25%, 05/01/23

      853       821,013  

5.63%, 03/01/26

      2,102       1,970,625  

Range Resources Corp.:

     

5.88%, 07/01/22

      454       458,540  

5.00%, 08/15/22

      463       456,634  

5.00%, 03/15/23

      38       36,718  

4.88%, 05/15/25

      556       509,261  

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

      2,474       2,480,185  

Rowan Cos., Inc., 4.88%, 06/01/22

      1,691       1,575,801  

Sanchez Energy Corp.:

     

7.75%, 06/15/21

      6,529       1,044,640  

6.13%, 01/15/23

      215       32,519  

7.25%, 02/15/23(e)

      1,169       1,008,263  

SESI LLC, 7.13%, 12/15/21

      655       605,875  

Seven Generations Energy Ltd.(e):

     

6.88%, 06/30/23

      539       553,823  

5.38%, 09/30/25

      1,330       1,280,125  

SM Energy Co.:

     

6.13%, 11/15/22

      1,563       1,555,185  

5.00%, 01/15/24

      942       886,658  

5.63%, 06/01/25

      1,059       990,165  

6.75%, 09/15/26

      310       296,825  

6.63%, 01/15/27

      930       885,825  

Southwestern Energy Co.:

     

6.20%, 01/23/25

      594       587,882  

7.50%, 04/01/26

      231       239,663  

7.75%, 10/01/27

      1,859       1,924,734  

Sunoco LP/Sunoco Finance Corp.:

     

4.88%, 01/15/23

      1,723       1,744,537  

5.50%, 02/15/26

      632       627,766  

5.88%, 03/15/28

      808       795,880  

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

     

4.75%, 10/01/23

      158       157,605  

5.50%, 09/15/24

      2,321       2,371,018  

5.50%, 01/15/28

      4,813       4,800,967  

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

     

5.25%, 05/01/23

      78       79,072  

4.25%, 11/15/23

      637       629,038  

5.13%, 02/01/25

      502       504,510  

5.88%, 04/15/26(e)

      1,406       1,462,240  

6.50%, 07/15/27(e)

      2,173       2,297,947  

5.00%, 01/15/28

      2,630       2,554,387  

6.88%, 01/15/29(e)

      3,867       4,115,938  

Transocean Pontus Ltd., 6.13%, 08/01/25(e)

      1,240       1,252,238  

Transocean Poseidon Ltd., 6.88%, 02/01/27(e)

      2,677       2,750,617  

Transocean, Inc.(e):

     

7.25%, 11/01/25

      1,247       1,190,885  

7.50%, 01/15/26

      938       905,170  

Tullow Oil PLC, 7.00%, 03/01/25(e)

      400       395,000  

Vantage Drilling International, 9.25%, 11/15/23(e)

      822       836,385  

Weatherford International Ltd.:

     

5.13%, 09/15/20

      1,470       1,227,450  

6.50%, 08/01/36

      1,021       607,495  

5.95%, 04/15/42

      679       402,308  

Whiting Petroleum Corp., 6.63%, 01/15/26

      1,955       1,915,900  

WPX Energy, Inc., 8.25%, 08/01/23

      1,398       1,567,507  
   

 

 

 
        200,195,972  
Security   Par
(000)
    Value  
Paper & Forest Products — 0.1%  

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

    USD       1,566     $ 1,601,235  
   

 

 

 
Personal Products — 0.0%  

Coty, Inc., 6.50%, 04/15/26(e)

      736       709,283  
   

 

 

 
Pharmaceuticals — 3.9%  

Bausch Health Americas, Inc.(e):

     

8.50%, 01/31/27(g)

      5,058       5,253,997  

9.25%, 04/01/26

      1,080       1,163,700  

Bausch Health Cos., Inc.:

     

5.63%, 12/01/21(e)

      73       73,110  

5.50%, 03/01/23(e)

      3,974       3,954,130  

4.50%, 05/15/23

    EUR       2,715       3,110,991  

5.88%, 05/15/23(e)

    USD       4,218       4,196,910  

7.00%, 03/15/24(e)

      3,210       3,382,537  

6.13%, 04/15/25(e)

      4,421       4,255,212  

5.50%, 11/01/25(e)

      6,014       6,066,622  

9.00%, 12/15/25(e)

      1,058       1,133,382  

5.75%, 08/15/27(e)(g)

      648       653,670  

Charles River Laboratories International, Inc., 5.50%, 04/01/26(e)

      1,963       2,041,520  

Elanco Animal Health, Inc., 4.90%, 08/28/28(e)

      1,088       1,130,049  

Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.00%, 07/15/23(e)

      332       275,145  

Endo Finance LLC, 5.75%, 01/15/22(e)

      3,006       2,810,610  

Endo Finance LLC/Endo Finco, Inc., 7.25%, 01/15/22(e)

      1,364       1,309,017  

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

      8,068       8,128,510  

MEDNAX, Inc., 6.25%, 01/15/27(e)

      2,263       2,275,560  

Nidda BondCo GmbH, 7.25%, 09/30/25

    EUR       337       390,604  

Rossini Sarl, 6.75%, 10/30/25

      351       415,570  

Syneos Health, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc., 7.50%, 10/01/24(e)

    USD       878       917,510  

Synlab Unsecured Bondco PLC, 8.25%, 07/01/23

    EUR       159       192,415  

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

    USD       3,148       2,510,530  
   

 

 

 
        55,641,301  
Real Estate Management & Development — 0.3%  

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

    EUR       125       140,833  

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

    USD       1,158       1,163,535  

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

      1,426       1,408,175  

Newmark Group, Inc., 6.13%, 11/15/23(e)

      642       645,451  

Residomo SRO, 3.38%, 10/15/24

    EUR       220       252,721  

Summit Germany Ltd., 2.00%, 01/31/25

      145       146,792  
   

 

 

 
        3,757,507  
Restaurants — 0.1%  

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

    USD       829       783,405  
   

 

 

 
Road & Rail — 0.7%  

Avis Budget Finance PLC, 4.75%, 01/30/26

    EUR       307       351,844  

CMA CGM SA, 5.25%, 01/15/25

      100       98,674  

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

    USD       1,094       924,430  

Herc Rentals, Inc.(e):

     

7.50%, 06/01/22

      1,230       1,282,275  

7.75%, 06/01/24

      1,051       1,120,944  

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

      1,973       2,017,392  

Hertz Holdings Netherlands BV, 5.50%, 03/30/23

    EUR       243       282,343  

United Rentals North America, Inc.:

     

4.63%, 07/15/23

    USD       485       494,336  

4.63%, 10/15/25

      2,460       2,392,350  

5.88%, 09/15/26

      567       579,758  
   

 

 

 
        9,544,346  
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      53  


Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Semiconductors & Semiconductor Equipment — 0.6%  

Advanced Micro Devices, Inc.:

     

7.50%, 08/15/22

    USD       422     $ 468,420  

7.00%, 07/01/24

      409       429,450  

Qorvo, Inc., 5.50%, 07/15/26(e)

      2,652       2,698,410  

Sensata Technologies BV(e):

     

5.63%, 11/01/24

      903       948,150  

5.00%, 10/01/25

      3,439       3,473,390  
   

 

 

 
        8,017,820  
Software — 4.8%  

ACI Worldwide, Inc., 5.75%, 08/15/26(e)

      3,872       3,983,320  

CDK Global, Inc., 4.88%, 06/01/27

      4,336       4,261,030  

Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho, 10.00%, 11/30/24(e)

      5,013       5,476,702  

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

      3,521       3,535,084  

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

      12,873       13,127,499  

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

      5,172       5,237,271  

Nuance Communications, Inc.:

     

5.38%, 08/15/20(e)

      237       237,000  

6.00%, 07/01/24

      1,494       1,542,555  

5.63%, 12/15/26

      1,410       1,438,200  

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

      1,996       2,088,016  

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

      1,189       1,040,375  

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

      2,784       2,853,600  

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

      11,381       12,334,159  

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

      1,298       1,340,185  

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

      7,252       7,705,250  

Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 02/01/23(e)

      1,938       1,841,100  
   

 

 

 
        68,041,346  
Specialty Retail — 0.6%  

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

      2,505       2,542,575  

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

      1,907       1,887,930  

Group 1 Automotive, Inc., 5.25%, 12/15/23(e)

      264       263,340  

L Brands, Inc.:

     

6.88%, 11/01/35

      2,579       2,224,388  

6.75%, 07/01/36

      384       324,480  

Penske Automotive Group, Inc.:

     

5.75%, 10/01/22

      729       739,935  

5.50%, 05/15/26

      299       293,379  

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

    EUR       242       273,309  

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

    GBP       340       402,484  
   

 

 

 
        8,951,820  
Technology Hardware, Storage & Peripherals — 0.9%  

Dell International LLC/EMC Corp.(e):

     

7.13%, 06/15/24

    USD       5,762       6,114,434  

6.02%, 06/15/26

      1,390       1,474,714  

Western Digital Corp., 4.75%, 02/15/26

      4,730       4,469,850  
   

 

 

 
        12,058,998  
Textiles, Apparel & Luxury Goods — 0.1%  

SMCP Group SAS, 5.88%, 05/01/23

    EUR       97       114,430  

William Carter Co., 5.63%, 03/15/27(e)

    USD       932       925,000  
   

 

 

 
        1,039,430  
Thrifts & Mortgage Finance — 0.2%  

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

    GBP       100       133,232  
Security   Par
(000)
    Value  
Thrifts & Mortgage Finance (continued)  

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

     

5.25%, 03/15/22

    USD       264     $ 267,960  

5.25%, 10/01/25

      2,176       2,045,440  
   

 

 

 
        2,446,632  
Transportation Infrastructure — 0.0%  

CMA CGM SA, 6.50%, 07/15/22

    EUR       200       220,665  
   

 

 

 
Utilities — 0.2%  

ContourGlobal Power Holdings SA, 3.38%, 08/01/23

      100       114,603  

Vistra Operations Co. LLC(e):

     

5.50%, 09/01/26

    USD       142       147,325  

5.63%, 02/15/27

      2,556       2,632,680  
   

 

 

 
        2,894,608  
Wireless Telecommunication Services — 4.6%  

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

      1,135       987,450  

CyrusOne LP/CyrusOne Finance Corp., 5.38%, 03/15/27

      614       624,745  

Digicel Group One Ltd., 8.25%, 12/30/22(e)

      628       420,760  

Digicel Group Two Ltd., 8.25%, 09/30/22(e)

      594       249,480  

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

      4,986       4,085,404  

Equinix, Inc.:

     

2.88%, 10/01/25

    EUR       520       606,917  

2.88%, 02/01/26

      100       116,017  

GEO Group, Inc.:

     

5.88%, 01/15/22

    USD       350       347,375  

5.13%, 04/01/23

      184       174,800  

5.88%, 10/15/24

      2,472       2,342,220  

6.00%, 04/15/26

      304       281,960  

Matterhorn Telecom SA, 3.88%, 05/01/22

    EUR       235       266,622  

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

    USD       773       726,620  

SBA Communications Corp.:

     

4.00%, 10/01/22

      2,644       2,617,560  

4.88%, 09/01/24

      5,536       5,529,080  

Sprint Capital Corp., 6.90%, 05/01/19

      640       641,600  

Sprint Corp.:

     

7.88%, 09/15/23

      8,953       9,582,038  

7.13%, 06/15/24

      16,304       16,793,120  

7.63%, 02/15/25

      1,856       1,944,160  

7.63%, 03/01/26

      4,519       4,688,462  

T-Mobile USA, Inc.:

     

4.00%, 04/15/22

      591       592,477  

6.50%, 01/15/24

      2,638       2,736,925  

6.38%, 03/01/25

      994       1,034,381  

6.50%, 01/15/26

      1,549       1,655,494  

4.50%, 02/01/26

      1,674       1,648,873  

4.75%, 02/01/28

      3,546       3,443,698  

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

      1,327       1,449,847  

Wind Tre SpA:

     

2.75%, 01/20/24(f)

    EUR       100       106,920  

3.13%, 01/20/25

      100       104,485  
   

 

 

 
        65,799,490  
   

 

 

 

Total Corporate Bonds — 110.0%
(Cost — $1,572,255,610)

 

    1,561,221,031  
   

 

 

 
 

 

 

54    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Floating Rate Loan Interests(d) — 16.0%

 

Aerospace & Defense — 0.3%

 

Accudyne Industries LLC, 2017 Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.49%, 08/18/24

    USD       2,313     $ 2,310,383  

Atlantic Aviation FBO, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 6.27%, 11/29/25(b)

      254       255,588  

DAE Aviation Holdings, Inc., Term Loan(h):

     

2019 B, 01/23/26

      659       660,762  

01/23/26

      354       355,248  

WP CPP Holdings LLC, 2018 Term Loan, (3 mo. LIBOR + 3.75%,), 6.51%, 04/30/25

      329       327,802  
   

 

 

 
        3,909,783  
Auto Components — 0.1%  

USI, Inc., 2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 5.80%, 05/16/24

      1,075       1,064,128  
   

 

 

 
Auto Parts — 0.0%  

Mavis Tire Express Services Corp.(b):
2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.74%, 03/20/25

      477       471,157  
   

 

 

 
Capital Markets — 0.1%  

Horizon Holdings III SAS, EUR Term Loan B4, (EURIBOR + 2.75%), 2.75%, 10/29/22

    EUR       1,000       1,130,556  
   

 

 

 
Chemicals — 0.7%  

Allnex (Luxembourg) & Cy S.C.A., 2016 EUR Term Loan B1, (EURIBOR + 3.25%), 3.25%, 09/13/23

      992       1,121,506  

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.80%, 01/31/24

    USD       2,141       2,101,785  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 6.30%, 06/28/24

      342       338,455  

Invictus US LLC:

     

1st Lien Term Loan, (2 mo. LIBOR + 3.00%), 5.58%, 03/28/25

      294       293,350  

2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 9.24%, 03/25/26(b)

      327       323,977  

Messer Industries LLC, 2018 USD Term Loan, 10/01/25(h)

      2,803       2,782,056  

Starfruit Finco BV, 2018 USD Term Loan B, (1 mo. LIBOR + 3.25%), 5.76%, 10/01/25

      3,421       3,397,498  
   

 

 

 
        10,358,627  
Commercial Services & Supplies — 1.3%  

Asurion LLC, 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 8.99%, 08/04/25

      2,868       2,910,418  

GFL Environmental, Inc., 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.49%, 05/30/25

      2,916       2,864,568  

Silk Bidco AS, EUR Term Loan B, (EURIBOR + 3.75%), 3.75%, 02/07/25

    EUR       1,000       1,123,709  

Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 6.99%, 08/27/25(b)

    USD       8,243       8,252,826  

West Corp., 2017 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.63%, 10/10/24

      2,823       2,666,298  

West Corporation, 2018 Term Loan B1, (3 mo. LIBOR + 3.50%, 1.00% Floor), 6.13%, 10/10/24

    USD       482       450,947  
     

 

 

 
    18,268,766  
Communications Equipment — 0.1%  

CommScope, Inc., 2019 Term Loan B, 02/06/26(h)

      1,266       1,268,839  
     

 

 

 
Security   Par
(000)
    Value  
Construction & Engineering — 0.8%  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 7.01%, 06/21/24

    USD       8,956     $ 8,733,688  

SRS Distribution, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.74%, 05/23/25

      2,257       2,209,180  
     

 

 

 
    10,942,868  
Construction Materials — 0.1%  

Xella International GmbH, 2017 EUR Term Loan B, (Euribor + 4.00%), 4.00%, 04/11/24

    EUR       1,000       1,119,205  
     

 

 

 
Diversified Consumer Services — 0.5%  

Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.49%, 07/12/24(b)

    USD       400       395,938  

Gol LuxCo SA, 1st Lien Term Loan, (Fixed + 6.50%), 6.50%, 08/31/20(b)

      3,885       3,904,425  

Uber Technologies, 2018 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.52%, 04/04/25

      2,874       2,873,560  
     

 

 

 
    7,173,923  
Diversified Financial Services — 0.0%  

LTI Holdings, Inc., 2018 Add On 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.99%, 09/06/25

      490       478,253  
     

 

 

 
Diversified Telecommunication Services — 0.6%  

CenturyLink, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 5.24%, 01/31/25

      3,712       3,652,047  

Frontier Communications Corp., Delayed Draw Term Loan A, (1 mo. LIBOR + 2.75%), 5.25%, 03/31/21

      2,273       2,239,013  

Sprint Communications, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.50%, 02/02/24

      3,365       3,322,937  
     

 

 

 
    9,213,997  
Electric Utilities — 0.0%  

Vistra Energy Corp., 1st Lien Term Loan B3, (1 mo. LIBOR + 2.00%), 4.48%, 12/31/25

      353       351,605  
     

 

 

 
Energy Equipment & Services — 0.5%  

Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%, 1.00% Floor), 8.49%, 03/01/24

      699       554,453  

Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 10.23%, 11/08/22

      4,819       4,794,905  

Weatherford International Ltd., Term Loan, (1 mo. LIBOR + 2.50%), 4.80%, 07/13/20

      1,867       1,824,617  
     

 

 

 
    7,173,975  
Food Products — 0.1%  

Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.99%, 10/10/23

      393       381,111  

JBS USA LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.99%, 10/30/22

      446       444,607  
     

 

 

 
    825,718  
Gas Utilities — 0.1%  

AL Midcoast Holdings LLC, 2018 Term Loan B, (3 mo. LIBOR + 5.50%), 8.30%, 07/31/25

      1,618       1,603,108  
     

 

 

 
Health Care Equipment & Supplies — 0.3%  

Immucor, Inc., Extended Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.80%, 06/15/21

      4,292       4,286,546  
     

 

 

 
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      55  


Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Health Care Providers & Services — 0.9%  

AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.99%, 06/30/25

    USD       971     $ 971,926  

Concentra, Inc., 2018 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 1.00% Floor), 9.02%, 06/01/23

      1,338       1,338,000  

Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.24%, 10/10/25

      4,748       4,559,757  

Gentiva Health Services, Inc.:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 6.25%, 07/02/25(b)

      1,599       1,600,658  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 9.50%, 07/02/26

      357       362,769  

LGC Science Holdings Ltd., USD Term Loan B3, (1 mo. LIBOR + 3.50%), 5.99%, 03/08/23

      1,000       967,500  

Quorum Health Corporation, Term Loan B, (1 mo. LIBOR + 6.75%, 1.00% Floor), 9.24%, 04/29/22

      1,359       1,361,287  

Sotera Health Holdings LLC, 2017 Term Loan, 5.49%, 05/15/22

      624       611,052  

Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 02/06/24

      700       631,023  
     

 

 

 
        12,403,972  
Health Care Technology — 0.4%  

GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.49%, 10/10/25

      535       531,153  

VVC Holding Corp., 2019 Term Loan B, (3 mo. LIBOR + 4.50%), 7.20%, 02/11/26

      4,613       4,584,169  
     

 

 

 
        5,115,322  
Hotels, Restaurants & Leisure — 1.1%  

Bronco Midstream Funding LLC, Term Loan B, (1 mo. LIBOR + 3.50%), 5.99%, 08/14/23

      1,512       1,504,911  

GVC Holdings PLC, 2018 EUR Term Loan, (EURIBOR + 2.75%), 2.75%, 03/29/24

    EUR       1,000       1,135,243  

IRB Holding Corp., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.74%, 02/05/25

    USD       1,254       1,242,957  

Las Vegas Sands LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 4.24%, 03/27/25

      3,762       3,733,363  

Penn National Gaming, Inc., 2018 1st Lien Term Loan B, (3 mo. LIBOR + 2.25%), 4.84%, 10/15/25

      413       410,935  

Stars Group Holdings BV, 2018 Incremental Term Loan, (3 mo. LIBOR + 3.50%), 6.30%, 07/10/25

      7,111       7,109,054  
     

 

 

 
        15,136,463  
Household Products — 0.0%  

Energizer Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.74%, 12/17/25

      296       295,630  
     

 

 

 
Industrial Conglomerates — 0.2%  

Cortes NP Acquisition Corp., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.63%, 11/30/23(b)

      2,617       2,532,369  

Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.78%, 11/28/21

      1,151       1,130,359  
     

 

 

 
        3,662,728  
Security   Par
(000)
    Value  
Insurance — 0.3%  

Alliant Holdings I, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 5.23%, 05/09/25

    USD       325     $ 321,340  

Sedgwick Claims Management Services, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 5.74%, 12/31/25

      3,939       3,917,927  
     

 

 

 
        4,239,267  
Interactive Media & Services — 0.1%  

TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.24%, 05/06/24

      927       882,449  

ZPG PLC, 2018 Term Loan B, (LIBOR - GBP + 4.75%), 5.48%, 06/30/25

    GBP       1,000       1,310,951  
     

 

 

 
        2,193,400  
IT Services — 0.1%  

Flexential Intermediate Corp., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50%), 6.30%, 08/01/24

    USD       885       836,364  

Peak 10 Holding Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 9.99%, 08/01/25

      420       366,799  
     

 

 

 
        1,203,163  
Life Sciences Tools & Services — 0.1%  

Albany Molecular Research, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.74%, 08/30/24

      726       721,153  
     

 

 

 
Machinery — 0.3%  

Altra Industrial Motion Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.49%, 10/01/25

      1,091       1,078,283  

Titan Acquisition Ltd., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.49%, 03/28/25

      3,168       3,041,622  
     

 

 

 
        4,119,905  
Media — 1.2%  

Altice France SA, 2018 Term Loan B13, (1 mo. LIBOR + 4.00%), 6.49%, 08/14/26

      2,133       2,071,437  

Getty Images, Inc., 2019 1st Lien Term Loan, (1 mo. LIBOR + 4.50%), 7.06%, 02/19/26

      1,275       1,271,417  

Intelsat Jackson Holdings SA:

     

2017 Term Loan B3, (1 mo. LIBOR + 3.75%, 1.00% Floor), 6.23%, 11/27/23

      559       558,025  

2017 Term Loan B4, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.98%, 01/02/24

      1,820       1,843,922  

2017 Term Loan B5, (Fixed + 6.62%), 6.63%, 01/02/24

      10,040       10,140,132  

PSAV Holdings LLC, 1.00% Floor):

     

2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 5.88%, 03/01/25

      817       801,169  

2018 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 9.99%, 09/01/25

      476       443,603  

Tele Columbus AG, 2018 EUR Term Loan A2, (EURIBOR + 3.00%), 3.00%, 10/15/24

    EUR       624       643,017  
     

 

 

 
        17,772,722  
Multiline Retail — 0.2%  

EG Group Ltd., 2018 EUR Term Loan B, 1.00%, 02/06/25

      994       1,100,673  

Neiman Marcus Group, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.76%, 10/25/20

    USD       1,404       1,287,443  
     

 

 

 
        2,388,116  
 

 

 

56    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Oil & Gas Equipment & Services — 0.7%  

McDermott Technology Americas, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.49%, 05/10/25

    USD       10,571     $ 10,155,311  
     

 

 

 
Oil, Gas & Consumable Fuels — 0.7%  

BCP Raptor II LLC, 1st Lien Term Loan, (2 mo. LIBOR + 4.75%), 7.37%, 11/03/25

      530       512,112  

California Resources Corp., 1.00% Floor):

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 4.75%, 7.24%, 12/31/22

      4,949       4,866,846  

Second Out Term Loan, (1 mo. LIBOR + 10.37%, 12.87%, 12/31/21

      2,743       2,875,373  

CONSOL Energy, Inc., 1st Lien Term Loan B, (PRIME + 5.00%), 8.50%, 11/28/22

      1,204       1,214,821  
     

 

 

 
        9,469,152  
Pharmaceuticals — 0.4%  

Bausch Health Companies Inc., Term Loan B, (1 mo. LIBOR + 2.75%), 5.26%, 11/27/25

      1,296       1,291,314  

Endo Luxembourg Finance Co. I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%), 6.75%, 04/29/24

      1,861       1,862,527  

Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.51%, 06/02/25

      1,988       1,989,114  
     

 

 

 
        5,142,955  
Professional Services — 0.1%  

Dun & Bradstreet Corp., Term Loan, 02/01/26(h)

      5,924       2,104,526  
     

 

 

 
Software — 2.4%  

BMC Software Finance, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%), 7.05%, 10/02/25

      673       668,050  

Cypress Intermediate Holdings III, Inc., 1.00% Floor):

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 5.50%, 04/26/24

      638       630,587  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 9.24%, 04/27/25

      212       210,675  

Digicel International Finance Ltd., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 5.88%, 05/28/24

      263       232,408  

Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.75%), 6.24%, 10/01/25

      19,556       19,245,058  

Infor (US), Inc., Term Loan B6, (1 mo. LIBOR + 2.75%, 1.00% Floor), 5.24%, 02/01/22

      490       489,324  

Kronos, Inc., 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 1.00% Floor), 10.99%, 11/01/24

      3,635       3,696,141  

McAfee LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 6.24%, 09/30/24

      661       662,156  

Mitchell International, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.74%, 11/29/24

      1,259       1,226,466  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 9.74%, 12/01/25

      613       599,024  

PowerSchool, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.99%, 08/01/25

      448       442,400  

Renaissance Learning, Inc., 2018 Add On Term Loan, (1 mo. LIBOR + 3.25%), 5.74%, 05/30/25

      507       494,324  

SS&C Technologies Holdings Europe, 2018 Term Loan B4, (1 mo. LIBOR + 2.25%), 4.74%, 04/16/25

      748       744,734  
Security   Par
(000)
    Value  
Software (continued)  

SS&C Technologies, Inc.:

     

2018 Term Loan B3, (1 mo. LIBOR + 2.25%), 4.74%, 04/16/25

    USD       2,124     $ 2,114,354  

2018 Term Loan B5, (1 mo. LIBOR + 2.25%), 4.74%, 04/16/25

      1,374       1,367,095  

Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 3.00%), 5.49%, 05/01/24

      636       635,008  
   

 

 

 
        33,457,804  
Specialty Retail — 0.1%  

Belron Finance US LLC, Term Loan B, (3 mo. LIBOR + 2.25%), 4.99%, 11/07/24(b)

      790       786,070  

CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (LIBOR - GBP + 4.50%), 5.41%, 06/23/25

    GBP       1,000       1,303,974  
   

 

 

 
        2,090,044  
Textiles, Apparel & Luxury Goods — 0.4%  

Ascend Performance Materials Operations LLC, Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 8.05%, 08/12/22

      5,215       5,201,484  
   

 

 

 
Trading Companies & Distributors — 0.1%  

Beacon Roofing Supply, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.77%, 01/02/25

      852       843,407  
   

 

 

 
Transportation — 0.0%  

Direct ChassisLink, Inc., 2017 2nd Lien Term Loan, (3 mo. LIBOR + 6.00%), 8.69%, 06/15/23(b)

    USD       162       159,766  
   

 

 

 
Utilities — 0.0%  

ExGen Renewables IV LLC, Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.63%, 11/28/24

      501       465,747  
   

 

 

 
Wireless Telecommunication Services — 0.6%  

Ligado Networks LLC:

     

2015 2nd Lien Term Loan, 12/07/20

      18,415       5,367,835  

PIK Exit Term Loan (9.75% PIK), 12/07/20(h)(i)

      3,051       2,379,780  

Xplornet Communications, Inc., Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.80%, 09/09/21(b)

      1,233       1,231,779  
   

 

 

 
        8,979,394  
   

 

 

 

Total Floating Rate Loan Interests — 16.0%
(Cost — $240,934,026)

 

    226,962,485  
   

 

 

 
           

Beneficial

Interest

(000)

        

Other Interests(o) — 0.0%

 

United States — 0.0%

 

Lear Corp. Escrow(b)

      1,250       12  
   

 

 

 

Total Other Interests — 0.0%
(Cost — $—)

 

    12  
   

 

 

 
 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      57  


Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

 

Security   Par
(000)
    Value  

Preferred Securities – 4.6%

 

Capital Trusts — 3.9%

 

Banks — 0.6%  

ABN AMRO Bank NV,(k)

     

4.75%(f)

    EUR       200     $ 217,213  

5.75%(i)

      200       237,845  

Allied Irish Banks PLC, 7.38%(i)(k)

      210       256,481  

Banco Bilbao Vizcaya Argentaria SA,(i)(k)

     

6.75%

      200       234,656  

8.88%

      200       256,210  

Bankia SA,(k)

     

6.00%(i)

      200       223,406  

6.38%(f)

      200       224,646  

CaixaBank SA, 6.75%(i)(k)

      200       237,808  

CIT Group, Inc., Series A, 5.80%(i)(k)

      1,647       1,605,825  

Citigroup, Inc.,(i)(k)

     

5.90%

      280       285,600  

Series T, 6.25%

      883       928,174  

Erste Group Bank AG, 6.50%(i)(k)

      200       247,304  

Hongkong & Shanghai Banking Corp. Ltd., Series 3H, 2.94%(d)(k)

    USD       200       140,488  

National Westminster Bank PLC, Series C, 2.88%(f)(k)

      200       156,000  

Swedbank AB, 6.00%(i)(k)

      200       195,250  

Wells Fargo & Co., Series U, 5.88%(i)(k)

      3,385       3,579,638  
   

 

 

 
    9,026,544  
Capital Markets — 0.4%  

Goldman Sachs Group, Inc., Series P, 5.00%(f)(k)

      1,987       1,828,040  

Morgan Stanley,(i)(k)

     

Series H, 5.45%

      3,309       3,313,136  

Series J, 5.55%

      440       441,650  

UBS Group Funding Switzerland AG, 5.75%(i)(k)

    EUR       250       310,451  
   

 

 

 
    5,893,277  
Chemicals — 0.0%  

Solvay Finance SA, 5.12%(i)(k)

      135       165,597  
   

 

 

 
Diversified Financial Services — 2.7%  

ATF Netherlands BV, 3.75%(i)(k)

      200       227,423  

Banco Santander SA, 4.75%(f)(k)

      200       193,874  

Bank of America Corp.,(i)(k)

     

Series AA, 6.10%

    USD       8,002       8,506,046  

Series DD, 6.30%

      815       887,535  

Series V, 5.13%

      2,205       2,195,739  

Series X, 6.25%

      2,874       3,039,600  

Series Z, 6.50%

      1,816       1,970,360  

BNP Paribas SA, 6.13%(i)(k)

    EUR       270       332,487  

Credit Agricole SA, 6.50%(i)(k)

      200       245,974  

HBOS Capital Funding LP, 6.85%(k)

    USD       800       808,000  

HSBC Holdings PLC, 6.00%(i)(k)

      2,298       2,237,678  

JPMorgan Chase & Co.,(i)(k)

     

Series 1, 6.22%

      1,535       1,542,291  

Series Q, 5.15%

      850       843,625  

Series S, 6.75%

      5,324       5,853,365  

Series U, 6.13%

      4,228       4,397,120  

Series V, 5.00%

      3,075       3,071,156  

Series X, 6.10%

      640       664,800  

Royal Bank of Scotland Group PLC, 8.63%(i)(k)

      607       650,886  

UniCredit SpA,(i)(k)

     

6.75%

    EUR       200       223,361  

9.25%

      225       283,118  
   

 

 

 
    38,174,438  
Security   Par
(000)
    Value  
Diversified Telecommunication Services — 0.1%  

Telefonica Europe BV,(k)

     

2.63%(f)

    EUR       300     $ 328,155  

3.75%(i)

      100       117,726  

5.88%(i)

      200       253,083  
   

 

 

 
    698,964  
Electric Utilities — 0.0%  

RWE AG, 2.75%, 04/21/75(i)

      200       229,708  
   

 

 

 
Electronic Equipment, Instruments & Components — 0.0%  

Belden, Inc., 4.13%, 10/15/26

      320       381,193  
   

 

 

 
Media — 0.1%  

NBCUniversal Enterprise, Inc., 5.25%(e)(k)

    USD       400       406,444  

SES SA,(i)(k)

     

4.63%

      100       118,295  

5.63%

      100       121,138  
   

 

 

 
    645,877  
Oil, Gas & Consumable Fuels — 0.0%  

Naturgy Finance BV,(k)

     

3.38%(f)

      100       114,440  

4.13%(i)

      100       119,859  

Repsol International Finance BV,(i)

    EUR      

3.88%(k)

      100       118,863  

4.50%

      178       217,651  
   

 

 

 
    570,813  
Real Estate — 0.0%  

AT Securities BV, 5.25%(i)(k)

    USD       250       234,652  
   

 

 

 

Total Capital Trusts — 3.9%
(Cost — $55,113,558)

 

    56,021,063  
   

 

 

 
       Shares         

Preferred Stocks — 0.2%

 

Auto Components — 0.2%

 

UCI International, Inc., 0.00%(b)

      109,729       2,139,715  
   

 

 

 
Wireless Telecommunication Services — 0.0%  

CF-B L2 (D) LLC, (Aquired 04/08/15, cost $649,293), 0.00%(p)

      663,678       260,826  
   

 

 

 

Total Preferred Stocks — 0.2%
(Cost — $5,272,976)

 

    2,400,541  
   

 

 

 

Trust Preferred

 

Diversified Financial Services — 0.5%

 

GMAC Capital Trust I, Series 2, 8.47%, 2/15/40(i)

      256,246       6,659,834  
     

 

 

 

Total Trust Preferreds — 0.5%
(Cost — $6,729,957)

 

    6,659,834  
     

 

 

 

Total Preferred Securities— 4.6%
(Cost — $67,116,491)

 

    65,081,438  
     

 

 

 

Warrants — 0.0%

 

Software — 0.0%  

HMH Holdings/EduMedia (Issued/exercisable 03/09/10, 19 Shares for 1 Warrant, Expires 06/22/19, Strike Price $42.27)(b)

      6,494        
     

 

 

 

Total Warrants — 0.0%
(Cost — $65)

 

     
     

 

 

 

Total Long-Term Investments — 136.8%
(Cost — $1,995,494,339)

 

    1,941,131,840  
     

 

 

 
 

 

 

58    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Security     Shares     Value  
Short-Term Securities — 0.3%  

BlackRock Liquidity Funds, T-Fund, Institutional Class, 2.29%(q)(r)

    USD       3,550,197     $ 3,550,197  
     

 

 

 

Total Short-Term Securities — 0.3%
(Cost — $3,550,197)

 

    3,550,197  
     

 

 

 

Options Purchased — 0.0%
(Cost — $300,389)

 

    1,181  
     

 

 

 

Total Investments Before Options Written — 137.1%
(Cost — $1,999,344,925)

 

    1,944,683,218  
     

 

 

 

Options Written — (0.0)%
(Premiums Received — $125,734)

 

    (787
     

 

 

 

Total Investments, Net of Options Written — 137.1%
(Cost — $1,999,219,191)

 

    1,944,682,431  

Liabilities in Excess of Other Assets — (37.1)%

 

    (526,049,758
     

 

 

 

Net Assets — 100.0%

 

  $ 1,418,632,673  
     

 

 

 

 

(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) 

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.

(d) 

Variable rate security. Rate shown is the rate in effect as of period end.

(e) 

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.

(f) 

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.

(g) 

When-issued security.

(h) 

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.

(i) 

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.

(j) 

Issuer filed for bankruptcy and/or is in default.

(k) 

Perpetual security with no stated maturity date.

(l) 

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.

(m) 

Convertible security.

(n) 

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.

(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 $260,826 and an original cost of $649,293, which was less than 0.02% of its net assets.

(q) 

Annualized 7-day yield as of period end.

 
(r) 

During the six months ended February 28, 2019, 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
08/31/18
     Net
Activity
    

Shares

Held at
02/28/19

     Value at
02/28/19
     Income     

Net

Realized

Gain (Loss)(a)

     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

            3,550,197        3,550,197      $ 3,550,197      $ 41,873      $      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 

For Trust compliance purposes, the 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          03/15/19        $ 150        $ 10,056  

Euro Stoxx 600 Index

     6          03/15/19          49          3,420  
                 

 

 

 
                    13,476  
                 

 

 

 

Short Contracts:

                 

EURO-BOBL

     6          03/07/19          906          (3,214

Euro Bund

     7          03/07/19          1,316          (21,573

S&P 500 E-Mini Index

     67          03/15/19          9,329          (115,878

Long Gilt

     1          06/26/19          167          1,936  
                 

 

 

 
                    (138,729
                 

 

 

 
                  $ (125,253
                 

 

 

 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      59  


Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased
       Currency
Sold
       Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)
 
CAD     1,024,000        USD     777,770        State Street Bank and Trust Co.        03/05/19        $ 446  
EUR     4,672,000        USD     5,308,787        BNP Paribas S.A.        03/05/19          5,817  
EUR     948,000        USD     1,070,716        Deutsche Bank AG        03/05/19          7,676  
EUR     2,849,741        USD     3,231,000        State Street Bank and Trust Co.        03/05/19          10,705  
EUR     11,460,000        USD     13,022,587        State Street Bank and Trust Co.        03/05/19          13,663  
GBP     1,971,000        USD     2,560,631        BNP Paribas S.A.        03/05/19          53,736  
GBP     1,204,000        USD     1,561,095        State Street Bank and Trust Co.        03/05/19          35,911  
USD     696,921        AUD     957,000        State Street Bank and Trust Co.        03/05/19          18,058  
USD     780,171        CAD     1,024,000        Goldman Sachs International        03/05/19          1,954  
USD     91,403,137        EUR     79,322,000        UBS AG        03/05/19          1,170,902  
USD     683,613        AUD     957,000        State Street Bank and Trust Co.        04/04/19          4,401  
USD     1,141,654        EUR     1,000,000        Bank of America N.A.        04/04/19          1,225  
USD     55,019,761        EUR     48,076,000        Goldman Sachs International        04/04/19          192,478  
USD     8,867,910        GBP     6,659,000        Barclays Bank PLC        04/04/19          21,564  
                       

 

 

 
                          1,538,536  
                       

 

 

 
AUD     957,000        USD     683,268        State Street Bank and Trust Co.        03/05/19          (4,405
EUR     48,076,000        USD     54,881,365        Goldman Sachs International        03/05/19          (192,817
GBP     6,659,000        USD     8,854,266        Barclays Bank PLC        03/05/19          (21,657
USD     40,894        EUR     36,000        Bank of America N.A.        03/05/19          (57
USD     420,482        EUR     370,000        Bank of America N.A.        03/05/19          (410
USD     176,998        EUR     157,000        Nomura International PLC        03/05/19          (1,596
USD     903,570        EUR     800,000        Nomura International PLC        03/05/19          (6,464
USD     229,242        EUR     203,000        Toronto-Dominion Bank        03/05/19          (1,680
USD     14,278,377        GBP     10,869,000        State Street Bank and Trust Co.        03/05/19          (138,447
USD     778,345        CAD     1,024,000        State Street Bank and Trust Co.        04/04/19          (450
                       

 

 

 
                          (367,983
                       

 

 

 
    Net Unrealized Appreciation        $ 1,170,553  
                       

 

 

 

Exchange-Traded Options Purchased

 

Description    Number of
Contracts
       Expiration
Date
       Exercise
Price
       Notional
Amount (000)
       Value  
Call                                                   

Marsico Parent Superholdco LLC

     39          12/14/19        USD     942.86        USD            $  
Put                                                   

SPDR S&P 500 ETF Trust

     787          03/01/19        USD     259.00        USD     219          1,181  
                          

 

 

 
     $ 1,181  
                          

 

 

 

Exchange-Traded Options Written

 

Description    Number of
Contracts
       Expiration
Date
       Exercise
Price
       Notional
Amount (000)
       Value  
Put                                                   

SPDR S&P 500 ETF Trust

     787          03/01/19        USD     250.00        USD     (219      $ (787
                          

 

 

 

OTC Credit Default Swaps — Sell Protection

 

Reference Obligation/Index   Financing
Rate Received
by the Trust
    Payment
Frequency
    Counterparty   Termination
Date
    Credit
Rating
 (a)
  Notional
Amount
(000)
 (b)
    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

Casino Guichard Perrachon SA

    1.00     Quarterly     JPMorgan Chase Bank N.A.     12/20/22     BB     EUR       150     $ (17,940   $ (5,078   $ (12,862

Casino Guichard Perrachon SA

    1.00       Quarterly     JPMorgan Chase Bank N.A.     06/20/23     BB     EUR       90       (12,663     (7,920     (4,743

Casino Guichard Perrachon SA

    1.00       Quarterly     Citibank N.A.     06/20/23     BB     EUR       138       (19,464     (17,733     (1,731

Casino Guichard Perrachon SA

    1.00       Quarterly     Barclays Bank PLC     06/20/23     BB     EUR       124       (17,460     (14,301     (3,159

Garfunkelux Holdco 2 SA

    5.00       Quarterly     Credit Suisse International     06/20/23     B-     EUR       200       (42,387     2,381       (44,768

Intrum Justitia AB

    5.00       Quarterly     Credit Suisse International     06/20/23     BB+     EUR       110       10,857       9,758       1,099  

 

 

60    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

OTC Credit Default Swaps — Sell Protection (continued)

 

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)
 

Intrum Justitia AB

    5.00 %       Quarterly       Credit Suisse International     06/20/23     BB+     EUR       150     $ 14,805     $ 14,097     $ 708  

Intrum Justitia AB

    5.00       Quarterly      
Morgan Stanley & Co.
International PLC
 
 
    06/20/23     BB+     EUR       131       12,944       13,756       (812

Intrum Justitia AB

    5.00       Quarterly       JPMorgan Chase Bank N.A.       06/20/23     BB+     EUR       220       21,714       9,676       12,038  

Thomas Cook Finance 2 PLC

    5.00       Quarterly       Goldman Sachs International       06/20/23     B     EUR       47       (9,389     5,499       (14,888

Thomas Cook Finance 2 PLC

    5.00       Quarterly       Citibank N.A.       06/20/23     B     EUR       53       (10,418     6,242       (16,660

Thomas Cook Finance 2 PLC

    5.00       Quarterly       Goldman Sachs International       06/20/23     B     EUR       350       (69,325     40,282       (109,607

Casino Guichard Perrachon SA

    1.00       Quarterly       Goldman Sachs International       12/20/23     BB     EUR       250       (40,519     (38,287     (2,232

CenturyLink, Inc.

    1.00       Quarterly       Barclays Bank PLC       12/20/23     B+     USD       856       (87,644     (63,502     (24,142

Chesapeake Energy Corp.

    5.00       Quarterly       Barclays Bank PLC       12/20/23     B+     USD       368       (1,431     680       (2,111

Chesapeake Energy Corp.

    5.00       Quarterly       Barclays Bank PLC       12/20/23     B+     USD       332       (1,291     3,090       (4,381

Garfunkelux Holdco 2 SA

    5.00       Quarterly       JPMorgan Chase Bank N.A.       12/20/23     B-     EUR       73       (16,930     (505     (16,425

Garfunkelux Holdco 2 SA

    5.00       Quarterly       Credit Suisse International       12/20/23     B-     EUR       32       (7,375     587       (7,962

Garfunkelux Holdco 2 SA

    5.00       Quarterly       Credit Suisse International       12/20/23     B-     EUR       138       (32,156     2,561       (34,717

Monitchem Holdco. 3 SA

    5.00       Quarterly       JPMorgan Chase Bank N.A.       12/20/23     B-     EUR       64       3,219       1,486       1,733  

Monitchem Holdco. 3 SA

    5.00       Quarterly       JPMorgan Chase Bank N.A.       12/20/23     B-     EUR       36       1,803       833       970  

Tesco PLC

    1.00       Quarterly      
Morgan Stanley & Co.
International PLC
 
 
    12/20/23     BB+     EUR       200       (288     756       (1,044

CenturyLink, Inc.

    1.00       Quarterly       Barclays Bank PLC       06/20/25     B+     USD       1,221       (190,032     (206,226     16,194  

Tesco PLC

    1.00       Quarterly       Barclays Bank PLC       12/20/25     BB+     EUR       200       (7,256     (5,813     (1,443

Virgin Media, Inc.

    5.00       Quarterly       Credit Suisse International       12/20/25     B     EUR       160       30,771       27,013       3,758  
               

 

 

   

 

 

   

 

 

 
                $ (487,855   $ (220,668   $ (267,187
               

 

 

   

 

 

   

 

 

 

 

  (a) 

Using S&P/Standard & Poor’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 Total Return 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)
 
Reference   Frequency   Rate   Frequency
iShares iBoxx High Yield Corporate Bond ETF   Quarterly   3-Month LIBOR, 2.62%   Quarterly   Goldman Sachs International     12/19/18       03/20/19       USD       4,885     $ 258,614     $     $ 258,614  
iShares iBoxx High Yield Corporate Bond ETF   Quarterly   3-Month LIBOR, 2.62%   Quarterly   Goldman Sachs International     12/21/18       03/20/19       USD       11,222       748,604       (1,741     750,345  
                 

 

 

   

 

 

   

 

 

 
                  $ 1,007,218     $ (1,741   $ 1,008,959  
                 

 

 

   

 

 

   

 

 

 

Balances Reported in the Consolidated Statement of Assets and Liabilities for OTC Swaps and Options Written

 

     

Swap

Premiums

Paid

      

Swap

Premiums

Received

      

Unrealized

Appreciation

       Unrealized
Depreciation
       Value  

OTC Swaps(a)

   $ 138,697        $ (361,106      $ 1,045,459        $ (303,687      $  

Options Written

                       124,947                   (787

 

  (a) 

Includes cumulative appreciation (depreciation) on OTC swaps, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.

 

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      61  


Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Consolidated Statement 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)

   $      $      $ 13,476      $      $ 1,936      $      $ 15,412  

Forward foreign currency exchange contracts

                    

Unrealized appreciation on forward foreign currency exchange contracts

                          1,538,536                      1,538,536  

Options purchased

                    

Investments at value — unaffiliated(b)

                   1,181                             1,181  

Swaps — OTC

                    

Unrealized appreciation on OTC swaps; Swap premiums paid

            175,197        1,008,959                             1,184,156  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 175,197      $ 1,023,616      $ 1,538,536      $ 1,936      $      $ 2,739,285  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized depreciation(a)

   $      $      $ 115,878      $      $ 24,787      $      $ 140,665  

Forward foreign currency exchange contracts

                    

Unrealized depreciation on forward foreign currency exchange contracts

                          367,983                      367,983  

Options written

                    

Options written at value;

                   787                             787  

Swaps — OTC

                    

Unrealized depreciation on OTC swaps; Swap premiums received

            663,052        1,741                             664,793  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 663,052      $ 118,406      $ 367,983      $ 24,787      $      $ 1,174,228  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes cumulative appreciation (depreciation) on futures contracts, as reported in the Consolidated Schedule of Investments. Only current 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.

 

For the six months ended February 28, 2019, the effect of derivative financial instruments in the Consolidated Statement 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

   $      $      $ (307,661    $      $ 424,131      $      $ 116,470  

Forward foreign currency exchange contracts

                          4,023,777                      4,023,777  

Options purchased(a)

            (65,000      (1,312,702                           (1,377,702

Options written

            65,000        688,015                             753,015  

Swaps

            345,683        (174,298             (104,474             66,911  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 345,683      $ (1,106,646    $ 4,023,777      $ 319,657      $      $ 3,582,471  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

   $      $      $ 977,858      $      $ (3,491    $      $ 974,367  

Forward foreign currency exchange contracts

                          (231,173                    (231,173

Options purchased(b)

                   (248,945                           (248,945

Options written

                   124,947                             124,947  

Swaps

            (1,317,253      (30,215             470,048               (877,420
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ (1,317,253    $ 823,645      $ (231,173    $ 466,557      $      $ (258,224
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (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.

 

 

 

62    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

 

Average notional value of contracts — long

   $ 225,703  

Average notional value of contracts — short

   $ 7,015,349  

Forward foreign currency exchange contracts:

 

Average amounts purchased — in USD

   $ 211,511,986  

Average amounts sold — in USD

   $ 107,892,514  

Options:

 

Average value of option contracts purchased

   $ 225,999  

Average value of option contracts written

   $ 132,964  

Average notional value of swaption contracts purchased

   $ 12,500,000  

Average notional value of swaption contracts written

   $ 12,500,000  

Credit default swaps:

 

Average notional value — sell protection

   $ 29,987,422  

Total return swaps:

 

Average notional amount

   $ 21,164,470  

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 Fund’s derivative assets and liabilities (by type) were as follows:

 

      Assets        Liabilities  

Futures contracts

   $ 40,174        $  

Forward foreign currency exchange contracts

     1,538,536          367,983  

Options(a)

     1,180          787  

Swaps — OTC(b)

     1,184,156          664,793  
  

 

 

      

 

 

 

Total derivative assets and liabilities in the Consolidated Statement of Assets and Liabilities

   $ 2,764,046        $ 1,033,563  

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

     (41,354        (787
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $ 2,722,692        $ 1,032,776  
  

 

 

      

 

 

 

 

  (a) 

Includes options purchased at value which is included in Investments at value – unaffiliated in the Consolidated Statement 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 Statement 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)(d)
 

Bank of America N.A.

   $ 1,225        $ (467      $        $        $ 758  

Barclays Bank PLC

     41,528          (41,528                           

BNP Paribas S.A.

     59,553                                     59,553  

Citibank N.A.

     6,242          (6,242                           

Credit Suisse International

     61,962          (61,962                           

Deutsche Bank AG

     7,676                                     7,676  

Goldman Sachs International

     1,249,172          (359,572                 (840,000        49,600  

JPMorgan Chase Bank N.A.

     26,736          (26,736                           

Morgan Stanley & Co. International PLC

     14,512          (1,856                          12,656  

State Street Bank and Trust Co.

     83,184          (83,184                           

UBS AG

     1,170,902                                     1,170,902  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 2,722,692        $ (581,547      $        $ (840,000      $ 1,301,145  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
                      

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      63  


Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Counterparty    Derivative
Liabilities
Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
 (a)
       Non-cash
Collateral
Pledged
       Cash
Collateral
Pledged
 (e)
       Net Amount
of Derivative
Liabilities
  (d)(f)
 

Bank of America N.A.

   $ 467        $ (467      $        $        $  

Barclays Bank PLC

     346,735          (41,528                 (305,207         

Citibank N.A.

     36,124          (6,242                          29,882  

Credit Suisse International

     87,447          (61,962                          25,485  

Goldman Sachs International

     359,572          (359,572                           

JPMorgan Chase Bank N.A.

     47,533          (26,736                          20,797  

Morgan Stanley & Co. International PLC

     1,856          (1,856                           

Nomura International PLC

     8,060                                     8,060  

State Street Bank and Trust Co.

     143,302          (83,184                          60,118  

Toronto-Dominion Bank

     1,680                                     1,680  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 1,032,776        $ (581,547      $        $ (305,207      $ 146,022  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (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) 

Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 
  (f) 

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

   $        $ 58,244,716        $        $ 58,244,716  

Common Stocks

     24,809,010                   4,813,148          29,622,158  

Corporate Bonds

     112,315          1,561,070,398          38,318          1,561,221,031  

Floating Rate Loan Interests

              207,047,932          19,914,553          226,962,485  

Other Interests

                       12          12  

Preferred Securities

     6,659,834          56,021,062          2,139,716          64,820,612  

Short-Term Securities

     3,550,197                            3,550,197  

Options Purchased

                 

Equity contracts

     1,181                            1,181  

Liabilities:

                 

Unfunded Floating Rate Loan Interests(a)

                       (788        (788
  

 

 

      

 

 

      

 

 

      

 

 

 

Subtotal

   $ 35,132,537        $ 1,882,384,108        $ 26,904,959        $ 1,944,421,604  
  

 

 

      

 

 

      

 

 

      

 

 

 

Investments Valued at NAV(b)

                    260,826  
                 

 

 

 

Total Investments

                  $ 1,944,682,430  
                 

 

 

 

Derivative Financial Instruments(c)

                 

Assets:

 

Credit contracts

   $        $ 36,500        $        $ 36,500  

Equity contracts

     13,476          1,008,959                   1,022,435  

Forward foreign currency contracts

              1,538,536                   1,538,536  

Interest rate contracts

     1,936                            1,936  

Liabilities:

 

Credit contracts

              (303,687                 (303,687

Equity contracts

     (116,665                          (116,665

Forward foreign currency contracts

              (367,983                 (367,983

Interest rate contracts

     (24,787                          (24,787
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ (126,040      $ 1,912,325        $        $ 1,786,285  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

 
  (b) 

As of February 28, 2019, certain of the Trust’s Investments were fair valued using net asset value (“NAV”) per share and 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.

 

 

 

64    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

During the period ended February 28, 2019, 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 $566,000,000 are categorized as Level 2 within the disclosure hierarchy.

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

     Unfunded
Floating Rate
Loan Interests
     Total  

Assets:

                       

Opening Balance, as of August 31, 2018

   $ 9,168,699      $ 1,000,000      $      $ 14,287,373      $ 12      $ 94,980      $      $ 24,551,064  

Transfers into Level 3(a)

                   58,164        16,307,649               2,697,437        (709      19,062,541  

Transfers out of Level 3(b)

            (750,000             (5,998,297                           (6,748,297

Accrued discounts/premiums

                          309                             309  

Net realized gain (loss)

     (1,911      (8,050      12,162        (13,803             (1,622,239             (1,633,841

Net change in unrealized appreciation (depreciation)(c)(d)

     (4,353,640             (19,846      (212,230             2,144,201        (79      (2,441,594

Purchases

                          1,205,779                             1,205,779  

Sales

            (241,950      (12,162      (5,662,227             (1,174,663             (7,091,002
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Closing Balance, as of February 28, 2019

   $ 4,813,148      $      $ 38,318      $ 19,914,553      $ 12      $ 2,139,716      $ (788    $ 26,904,959  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at February 28, 2019(b)

   $ (4,353,640    $      $ (19,846    $ (203,674    $      $ 1,759,829      $ (79    $ (2,817,410
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

As of August 31, 2018, the Trust used observable inputs in determining the value of certain investments. As of August 31, 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, 2018, the Trust used significant unobservable inputs in determining the value of certain investments. As of August 31, 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 Statement 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, 2019 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.

See notes to financial statements.

 

 

CONSOLIDATED SCHEDULES OF INVESTMENTS      65  


 

Statements of Assets and Liabilities  (unaudited)

February 28, 2019

 

     BHK      HYT(a)  

ASSETS

 

Investments at value — unaffiliated(b)

  $ 1,027,522,622      $ 1,941,133,021  

Investments at value — affiliated(c)

    10,757,543        3,550,197  

Cash

           512,248  

Cash pledged:

 

Collateral — OTC derivatives

    2,178,000        410,000  

Centrally cleared swaps

    1,696,940         

Futures contracts

    956,657        453,150  

Collateral — reverse repurchase agreements

    1,353,052         

Foreign currency at value(d)

    2,483,878        5,928,303  

Receivables:

 

Interest — unaffiliated

    11,193,226        27,688,855  

Investments sold

    4,718,577        51,298,597  

Variation margin on futures contracts

    106,482        40,174  

Dividends — affiliated

    28,214        10,791  

Dividends — unaffiliated

    27,422         

Options written

    8,255         

Swap premiums paid

    8,277        138,697  

Unrealized appreciation on:

 

OTC derivatives

    2,470,167        1,045,459  

Forward foreign currency exchange contracts

    169,198        1,538,536  

Prepaid expenses

    20,179        44,876  
 

 

 

    

 

 

 

Total assets

    1,065,698,689        2,033,792,904  
 

 

 

    

 

 

 

LIABILITIES

 

Bank overdraft

    90,639         

Cash received:

 

Collateral — reverse repurchase agreements

    2,109,000         

Collateral — OTC derivatives

           1,190,000  

Options written at value(e)

    2,481,644        787  

Reverse repurchase agreements at value

    298,456,602         

Payables:

 

Investments purchased

    4,045,644        41,981,723  

Swaps

           4,171  

Bank borrowings

           566,000,000  

Capital shares redeemed

           1,113,377  

Income dividend distributions

    73,182        172,213  

Interest expense

           1,401,711  

Investment advisory fees

    400,847        896,289  

Directors’ and Officer’s fees

    218,255        653,889  

Options written

    26,032         

Principle paydowns

    191,079         

Variation margin on futures contracts

    159,476         

Variation margin on centrally cleared swaps

    13,766         

Other accrued expenses

    379,023        712,507  

Swap premiums received

    4,863,787        361,106  

Unrealized depreciation on:

 

Forward foreign currency exchange contracts

    121,794        367,983  

OTC derivatives

    11,037        303,687  

Unfunded floating rate loan interests

           788  
 

 

 

    

 

 

 

Total liabilities

    313,641,807        615,160,231  
 

 

 

    

 

 

 

NET ASSETS

  $ 752,056,882      $ 1,418,632,673  
 

 

 

    

 

 

 

See notes to financial statements.

 

 

66    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Assets and Liabilities  (unaudited) (continued)

February 28, 2019

 

     BHK     HYT(a)  

NET ASSETS CONSIST OF

 

Paid-in capital(f)(g)(h)

  $ 755,543,973     $ 1,587,428,990  

Accumulated loss

    (3,487,091     (168,796,317
 

 

 

   

 

 

 

NET ASSETS

  $ 752,056,882     $ 1,418,632,673  
 

 

 

   

 

 

 

Net asset value

  $ 13.94     $ 11.57  
 

 

 

   

 

 

 

(a) Consolidated Statement of Assets and Liabilities

   

(b) Investments at cost — unaffiliated

  $ 1,026,714,129     $ 1,995,794,728  

(c) Investments at cost — affiliated

  $ 10,757,543     $ 3,550,197  

(d) Foreign currency at cost

  $ 2,530,748     $ 5,934,424  

(e) Premiums received

  $ 4,237,488     $ 125,734  

(f)  Par value

  $ 0.001     $ 0.100  

(g) Shares outstanding

    53,935,126       122,660,428  

(h) Shares authorized

    Unlimited       200 million  

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      67  


 

Statements of Operations  (unaudited)

Six Months Ended February 28, 2019

 

     BHK     HYT(a)  

INVESTMENT INCOME

 

Interest — unaffiliated

  $ 24,438,169     $ 64,303,723  

Dividends — unaffiliated

    223,811       788,261  

Dividends — affiliated

    107,231       41,873  

Other income

    38,719       307,654  
 

 

 

   

 

 

 

Total investment income

    24,807,930       65,441,511  
 

 

 

   

 

 

 

EXPENSES

 

Investment advisory

    2,587,113       6,000,051  

Professional

    81,998       149,727  

Accounting services

    74,436       109,717  

Custodian

    42,705       90,645  

Transfer agent

    38,233       67,451  

Directors and Officer

    36,762       94,837  

Printing

    11,600       16,127  

Registration

    10,376       24,325  

Miscellaneous

    73,805       99,071  
 

 

 

   

 

 

 

Total expenses excluding interest expense

    2,957,028       6,651,951  

Interest expense

    3,756,109       9,166,513  
 

 

 

   

 

 

 

Total expenses

    6,713,137       15,818,464  

Less fees waived and/or reimbursed by the Manager

    (3,507     (5,421
 

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    6,709,630       15,813,043  
 

 

 

   

 

 

 

Net investment income

    18,098,300       49,628,468  
 

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Investments

    (4,484,439     (48,937,636

Futures contracts

    (42,203     116,470  

Forward foreign currency exchange contracts

    640,320       4,023,777  

Foreign currency transactions

    (118,182     (185,644

Options written

    (106,221     753,015  

Swaps

    1,163,935       66,911  
 

 

 

   

 

 

 
    (2,946,790     (44,163,107
 

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

   

Investments — unaffiliated

    (1,733,682     2,891,903  

Futures contracts

    (299,653     974,367  

Forward foreign currency exchange contracts

    (253,690     (231,173

Foreign currency translations

    6,995       16,036  

Options written

    1,961,640       124,947  

Swaps

    (1,126,127     (877,420

Unfunded floating rate loan interests

    (19     26,446  
 

 

 

   

 

 

 
    (1,444,536     2,925,106  
 

 

 

   

 

 

 

Net realized and unrealized loss

    (4,391,326     (41,238,001
 

 

 

   

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $ 13,706,974     $ 8,390,467  
 

 

 

   

 

 

 

 

(a) 

Consolidated Statement of Operations.

See notes to financial statements.

 

 

68    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Changes in Net Assets

 

    (BHK)  
     Six Months Ended
02/28/19
(unaudited)
   

Year Ended

08/31/18

 

INCREASE (DECREASE) IN NET ASSETS

 

OPERATIONS

 

Net investment income

  $ 18,098,300     $ 38,873,788  

Net realized gain (loss)

    (2,946,790     6,290,767  

Net change in unrealized appreciation (depreciation)

    (1,444,536     (50,558,303
 

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    13,706,974       (5,393,748
 

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)(b)

 

Decrease in net assets resulting from distributions to shareholders

    (21,034,702     (42,069,401
 

 

 

   

 

 

 

NET ASSETS(b)

 

Total decrease in net assets

    (7,327,728     (47,463,149

Beginning of period

    759,384,610       806,847,759  
 

 

 

   

 

 

 

End of period

  $ 752,056,882     $ 759,384,610  
 

 

 

   

 

 

 

 

(a) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(b) 

Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 12 for this prior year information.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      69  


 

Consolidated Statements of Changes in Net Assets

 

    (HYT)  
     Six Months Ended
02/28/19
(unaudited)
       Year Ended
08/31/18
 

INCREASE (DECREASE) IN NET ASSETS

      

OPERATIONS

      

Net investment income

  $ 49,628,468        $ 104,628,359  

Net realized gain (loss)

    (44,163,107        10,579,959  

Net change in unrealized appreciation (depreciation)

    2,925,106          (51,859,315
 

 

 

      

 

 

 

Net increase in net assets resulting from operations

    8,390,467          63,349,003  
 

 

 

      

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)(b)

      

Decrease in net assets resulting from distributions to shareholders

    (53,549,135        (106,302,838
 

 

 

      

 

 

 

CAPITAL SHARE TRANSACTIONS

      

Redemption of shares resulting from share repurchase program (including transaction costs)

    (18,630,746        (20,246,228
 

 

 

      

 

 

 

NET ASSETS(b)

      

Total decrease in net assets

    (63,789,414        (63,200,063

Beginning of period

    1,482,422,087          1,545,622,150  
 

 

 

      

 

 

 

End of period

  $ 1,418,632,673        $ 1,482,422,087  
 

 

 

      

 

 

 

 

(a) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(b) 

Prior year distribution character information and undistributed (distributions in excess of) net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 12 for this prior year information.

See notes to financial statements.

 

 

70    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Cash Flows  (unaudited)

Six Months Ended February 28, 2019

 

     BHK      HYT (a)  

CASH PROVIDED BY OPERATING ACTIVITIES

 

Net increase in net assets resulting from operations

  $ 13,706,974      $ 8,390,467  

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

 

Proceeds from sales of long-term investments and principal paydowns

    176,969,681        679,630,928  

Purchases of long-term investments

    (161,796,747      (574,665,431

Net proceeds from sales (purchases) of short-term securities

    3,011,103        (3,550,197

Amortization of premium and accretion of discount on investments and other fees

    1,113,456        308,743  

Paid-in-kind income

           (3,128,461

Premiums received from options written

    4,392,763        982,307  

Premiums paid on closing options written

    (4,823,230      (103,558

Net realized loss on investments and options written

    4,758,970        48,184,621  

Net unrealized appreciation on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests

    (1,042,170      (2,991,506

(Increase) Decrease in Assets:

 

Receivables:

 

Interest — unaffiliated

    237,337        2,909,958  

Dividends — affiliated

    (8,745      (9,106

Dividends

           105,801  

Variation margin on futures contracts

    (102,807      (40,174

Variation margin on centrally cleared swaps

           107,033  

Swap premiums paid

    5,328        101,558  

Prepaid expenses

    (7,289      (16,981

Other assets

    4,022         

Increase (Decrease) in Liabilities:

 

Cash received:

    

Collateral — OTC derivatives

    (320,000      430,000  

Collateral — Reverse Repurchase Agreements

    1,548,608         

Payables:

 

Investment advisory fees

    (54,866      (197,910

Interest expense and fees

    1,631,991        (340,248

Directors’ and Officer’s

    5,398        22,831  

Variation margin on futures contracts

    32,480        (41,681

Variation margin on centrally cleared swaps

    (162,641       

Swaps

           (26,824

Other accrued expenses

    (140,321      (126,878

Swap premiums received

    (42,597      (12,100
 

 

 

    

 

 

 

Net cash provided by operating activities

    38,916,698        155,923,192  
 

 

 

    

 

 

 

CASH USED FOR FINANCING ACTIVITIES

 

Payments on redemption of Common Shares

           (18,291,238

Net borrowing of reverse repurchase agreements

    (19,391,123       

Proceeds from bank borrowings

           239,000,000  

Payments for bank borrowings

           (320,000,000

Cash dividends paid to Common Shareholders

    (21,028,039      (53,796,574

Increase (decrease) in bank overdraft

    64,403        (161,798
 

 

 

    

 

 

 

Net cash used for financing activities

    (40,354,759      (153,249,610
 

 

 

    

 

 

 

CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS

 

Cash impact from foreign exchange fluctuations

  $ (236    $ (7,031
 

 

 

    

 

 

 

CASH AND FOREIGN CURRENCY

 

Net increase (decrease) in restricted and unrestricted cash and foreign currency

    (1,438,297      2,666,551  

Restricted and unrestricted cash and foreign currency at beginning of period

    10,106,824        4,637,150  
 

 

 

    

 

 

 

Restricted and unrestricted cash and foreign currency at end of period

  $ 8,668,527      $ 7,303,701  
 

 

 

    

 

 

 

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION

 

Cash paid during the period for interest expense

  $ 2,124,118      $ 9,506,761  
 

 

 

    

 

 

 

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      71  


 

Statements of Cash Flows  (unaudited) (continued)

Six Months Ended February 28, 2019

 

     BHK      HYT (a)  

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES

    

Cash

  $      $ 512,248  

Cash pledged:

 

Collateral — reverse repurchase agreements

    1,353,052         

Collateral — OTC derivatives

    2,178,000        410,000  

Futures contracts

    956,657        453,150  

Centrally cleared swaps

    1,696,940         

Foreign currency at value

    2,483,878        5,928,303  
 

 

 

    

 

 

 
  $ 8,668,527      $ 7,303,701  
 

 

 

    

 

 

 

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE BEGINNING OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES

    

Cash pledged:

 

Collateral — reverse repurchase agreements

  $ 1,214,000      $  

Collateral — OTC derivatives

    4,520,000         

Futures contracts

    983,095        1,295,150  

Centrally cleared swaps

    1,553,940        3,342,000  

Foreign currency at value

    1,835,789         
 

 

 

    

 

 

 
  $ 10,106,824      $ 4,637,150  
 

 

 

    

 

 

 

 

(a) 

Consolidated Statement of Cash Flows

See notes to financial statements.

 

 

72    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights

(For a share outstanding throughout each period)

 

    BHK  
   

Six Months Ended
02/28/19

(unaudited)

           Year Ended August 31,  
   2018      2017      2016      2015     2014  
               

Net asset value, beginning of period

  $ 14.08        $ 14.96      $ 15.25      $ 14.29      $ 15.24     $ 14.05  
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net investment income(a)

    0.34          0.72        0.76        0.79        0.86       0.87  

Net realized and unrealized gain (loss)

    (0.09        (0.82      (0.27      1.01        (0.73     1.23  
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net increase (decrease) from investment operations

    0.25          (0.10      0.49        1.80        0.13       2.10  
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 
Distributions:(b)                                              

From net investment income

    (0.39        (0.78      (0.78      (0.84      (1.04     (0.91

In excess of net investment income(c)

                                  (0.04      
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total distributions

    (0.39        (0.78      (0.78      (0.84      (1.08     (0.91
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net asset value, end of period

  $ 13.94        $ 14.08      $ 14.96      $ 15.25      $ 14.29     $ 15.24  
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Market price, end of period

  $ 13.07        $ 12.85      $ 14.10      $ 14.33      $ 12.63     $ 13.64  
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total Return(d)

                 

Based on net asset value

    2.12 %(e)         (0.24 )%       3.88      13.67      1.62     16.09 %(f) 
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Based on market price

    4.91 %(e)         (3.40 )%       4.20      20.85      0.35     16.78
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Ratios to Average Net Assets

                 

Total expenses

    1.83 %(g)         1.60      1.16      0.97      0.95 %(h)      1.06 %(h) 
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    1.83 %(g)         1.60      1.16      0.97      0.95 %(h)      1.02 %(h) 
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense

    0.81 %(g)         0.82      0.78      0.78      0.82 %(h)      0.91 %(h) 
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net investment income

    4.93 %(g)         4.99      5.19      5.48      5.83     5.94
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Supplemental Data

                 

Net assets, end of period (000)

  $ 752,057        $ 759,385      $ 806,848      $ 822,549      $ 770,822     $ 412,078  
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Borrowings outstanding, end of period (000)

  $ 298,457        $ 316,216      $ 289,078      $ 288,239      $ 303,651     $ 168,301  
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Portfolio turnover rate(i)

    16        28      32      35      55     82
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

 

(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
02/28/19
(unaudited)
          Year Ended August 31,  
            2018            2017            2016            2015            2014         

Portfolio turnover rate (excluding MDRs)

            N/A         N/A         32       35       51       48  
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

   

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      73  


Consolidated Financial Highlights

(For a share outstanding throughout each period)

 

    HYT  
    Six Months Ended
02/28/19
(unaudited)
          Year Ended August 31,  
    2018      2017     2016     2015     2014  
               

Net asset value, beginning of period

  $ 11.90       $ 12.22      $ 11.79     $ 12.06     $ 13.47     $ 12.62  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.40         0.83        0.85       0.82       0.87       0.98  

Net realized and unrealized gain (loss)

    (0.30       (0.31      0.47       (0.10     (1.31     0.91  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    0.10         0.52        1.32       0.72       (0.44     1.89  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Distributions from net investment income(b)

    (0.43       (0.84      (0.89     (0.99     (0.97     (1.04
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 11.57       $ 11.90      $ 12.22     $ 11.79     $ 12.06 (c)     $ 13.47  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Market price, end of period

  $ 10.25       $ 10.70      $ 11.13     $ 10.88     $ 9.97     $ 12.07  
 

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Total Return(d)

              

Based on net asset value

    1.55 %(e)        5.25      12.41 %(f)      7.76     (2.40 )%(c)      16.21
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Based on market price

    0.05 %(e)        3.91      10.94     20.29     (9.96 )%      15.58
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets

              

Total expenses(g)

    2.26 %(h)        1.99      1.54     1.39 %(i)      1.37     1.35 %(i) 
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed(g)

    2.26 %(h)        1.99      1.54     1.39     1.37     1.35 %(i) 
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense(g)

    0.95 %(h)        0.94      0.91     0.93     0.96     0.98 %(i) 
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(g)

    7.08 %(h)        6.88      7.04     7.30     6.88     7.40
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

              

Net assets, end of period (000)

  $ 1,418,633       $ 1,482,422      $ 1,545,622     $ 1,492,948     $ 1,527,307     $ 1,705,422  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Borrowings outstanding, end of period (000)

  $ 566,000       $ 647,000      $ 649,000     $ 604,000     $ 631,000     $ 723,000  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Asset coverage, end of period per $1,000

  $ 3,508       $ 3,292      $ 3,382     $ 3,472     $ 3,419     $ 3,359  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate

    30       65      75     66     57     64
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

 

(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
02/28/19
(unaudited)
          Year Ended August 31,  
            2018            2017            2016            2015            2014         

Investments in underlying funds

               0.01       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.

See notes to financial statements.

 

 

74    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited)

 

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 Fund, Inc

  HYT    Maryland    Diversified

The Boards of Directors and Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board,” and the directors/trustees thereof are collectively referred to throughout this report as “Trustees”. The Trusts determine and make available for publication the net asset values (“NAVs”) 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, are included in a complex of non-index fixed-income mutual funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income 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 Subsidiaries may be taxable to such subsidiary in Luxembourg. An income tax provision for income, if any, is shown as income tax in the Consolidated Statement of Operations. A tax provision for realized and unrealized gains, if any, is included as a reduction of realized and/or unrealized gain (loss) in the Consolidated Statement of Operations for HYT. The net assets of the Taxable Subsidiaries as of period end were $355,096, 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 executed (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, a portion 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, 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 monthly 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. 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 non-taxable return of capital.

 

 

NOTES TO FINANCIAL STATEMENTS      75  


Notes to Financial Statements  (unaudited) (continued)

 

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 common shares of certain funds in the BlackRock Fixed-Income Complex 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 funds in the BlackRock Fixed-Income Complex selected by the Independent Trustees.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, as 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 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 continues to evaluate the impact of this guidance to the Trusts.

In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update 2018-13 “Changes to the Disclosure Requirements for Fair Value Measurement” which modifies disclosure requirements for fair value measurements. The guidance is effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years. Management continues to evaluate 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.

 

 

76    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (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.

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)

 

   

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)

 

 

NOTES TO FINANCIAL STATEMENTS      77  


Notes to Financial Statements  (unaudited) (continued)

 

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, 2019, 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.

 

 

78    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (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, HYT had the following unfunded floating rate loan interests:

 

Trust   Borrower    Par     

Commitment

Amount

     Value      Unrealized
Depreciation
 

HYT

  Mavis Tire Express Services Corp.    $ 63,011      $ 63,012      $ 62,224      $ (788

 

 

NOTES TO FINANCIAL STATEMENTS      79  


Notes to Financial Statements  (unaudited) (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.

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, 2019, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for BHK were $303,646,344 and 2.49% respectively.

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 reverse repurchase transactions, 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:

 

Counterparty   Reverse Repurchase
Agreements
     Fair Value of
Non-cash Collateral
Pledged Including
Accrued Interest
 (a)
    Cash Collateral
Pledged/Received
    Net Amount  

Barclays Capital, Inc.

  $ 1,451,575      $ (1,451,575   $     $  

BNP Paribas S.A.

    78,391,210        (77,611,930     (47,052     732,228  

Credit Suisse Securities (USA) LLC

    640,146        (640,146            

Deutsche Bank AG

    22,693,572        (22,380,921           312,651  

Goldman Sachs & Co. LLC

    2,675,148        (2,675,148            

HSBC Securities (USA), Inc.

    25,096,191        (25,096,191            

JPMorgan Chase Bank N.A.

    141,324        (141,324            

Nomura Securities International, Inc.

    77,151,024        (77,151,024            

RBC Capital Markets LLC

    23,498,976        (23,498,976            

Royal Bank of Canada

    66,717,436        (66,717,436            
 

 

 

    

 

 

   

 

 

   

 

 

 
  $ 298,456,602      $ (297,364,671   $ (47,052   $ 1,044,879  
 

 

 

    

 

 

   

 

 

   

 

 

 

 

  (a) 

Collateral with a value of $305,251,619 has been pledged in connection with open reverse repurchase agreements. Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 

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.

 

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.

 

 

80    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and 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. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.

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. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities.

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. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.

 

   

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.

 

   

Interest rate caps — Interest rate caps are entered into to gain or reduce exposure to interest rates (interest rate risk and/or other risk). Caps are agreements whereby one party agrees to make payments to the other, in return for a premium, to the extent that interest rate indexes exceed a specified rate, or “cap.” Floors are agreements whereby one party agrees to make payments to the other, in return for a premium, to the extent that interest rate indexes fall below a specified rate, or “floor.” The maximum potential amount of future payments that a Trust would be required to make under an interest rate cap would be the notional amount times the percentage increase in interest rates determined by the difference between the interest rate index current value and the value at the time the cap was entered into.

 

   

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.

 

 

NOTES TO FINANCIAL STATEMENTS      81  


Notes to Financial Statements  (unaudited) (continued)

 

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”).

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. Amounts pledged, which are considered restricted cash, are included in 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, or basket or underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instrument(s) 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.

 

 

82    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

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 Trusts 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 in 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. 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

Investment Advisory: Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment adviser an indirect, wholly-owned subsidiary of BlackRock, Inc. (“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 at an annual rate equal to 0.50% of the average weekly value of the Trust’s managed assets. For purposes of calculating this fee, “managed assets” mean 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” mean the total assets of the Trust minus the sum of its accrued liabilities.

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 the 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 is no longer actively engaged in a Shelf Offering and has no effective registration statement or current prospectus, and the Distribution Agreement has been terminated.

Expense Waivers and Reimbursements: With respect to each Trust, 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, 2019, the amounts waived were as follows:

 

     BHK      HYT  

Amounts waived

  $ 3,507      $ 1,212  

The Manager has 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, 2019. 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, 2019, BHK waived $4,209 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, 2019, 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 (Loss)
 

BHK

  $ 212,014      $ 117,597      $ 8,054  

HYT

    1,627,487        598,489        (20,332

 

 

NOTES TO FINANCIAL STATEMENTS      83  


Notes to Financial Statements  (unaudited) (continued)

 

 

7.

PURCHASES AND SALES

For the six months ended February 28, 2019, purchases and sales of investments, including paydowns and excluding short-term securities, were as follows:

 

Purchases   BHK      HYT  

Non-U.S. Government Securities

  $ 111,910,461      $ 592,660,456  

U.S. Government Securities

    48,084,830         

 

Sales   BHK      HYT  

Non-U.S. Government Securities

  $ 176,990,495      $ 724,303,247  

U.S. Government Securities

            

 

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, 2018. 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, 2019, 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 Trust’s financial statements.

As of August 31, 2018, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires   BHK      HYT  

No expiration date

  $ 1,658,300      $ 66,654,718  
 

 

 

    

 

 

 

As of February 28, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

 

     BHK     HYT  

Tax cost

  $ 1,037,613,882     $ 2,003,046,102  
 

 

 

   

 

 

 

Gross unrealized appreciation

  $ 37,895,258     $ 28,218,970  

Gross unrealized depreciation

    (34,568,210     (84,592,480
 

 

 

   

 

 

 

Net unrealized appreciation (depreciation)

  $ 3,327,048     $ (56,373,510
 

 

 

   

 

 

 

 

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 a 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.

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, 2019, the average amount of bank borrowings and the daily weighted average interest rates for HYT for loans under the revolving credit agreements were $603,060,773 and 3.12%, 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.

 

 

84    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

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. An illiquid investment is any investment that the Trust reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Trust may experience difficulty in selling illiquid 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 deposits collateral with its counterparty to a written option.

With exchange-traded options purchased, 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.

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 than, 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. The Funds may be subject to a greater risk of rising interest rates due to the current period of historically low rates. The Federal Reserve has begun to raise the Federal Funds rate, and each increase results in more pronounced interest rate risk in the current market environment.

 

 

NOTES TO FINANCIAL STATEMENTS      85  


Notes to Financial Statements  (unaudited) (continued)

 

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. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.

Each Trust participates in an open market share repurchase program (the “Repurchase Program”). From December 1, 2017 through November 30, 2018, each Fund was permitted to repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2017, subject to certain conditions. From December 1, 2018 through November 30, 2019, each Fund may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2018, subject to certain conditions. There is no assurance that the Funds will purchase shares in any particular amounts.

The total cost of the shares repurchased is reflected in HYT’s Consolidated Statement of Changes in Net Assets.

For the periods shown, shares repurchased and cost, including transaction costs were as follows:

 

     HYT  
     Shares      Amount  

Six Months Ended February 28, 2019

    1,889,157      $ 18,630,746  

Year Ended August 31, 2018

    1,909,403      $ 20,246,228  

For the year ended February 28, 2019 and year ended August 31, 2018, shares issued and outstanding remained constant for BHK.

 

12.

REGULATION S-X AMENDMENTS

On August 17, 2018, the U.S. Securities and Exchange Commission adopted amendments to certain disclosure requirements in Securities Act Release No. 33-10532, Disclosure Update and Simplification. The Trusts have adopted the amendments pertinent to Regulation S-X in this shareholder report. The amendments impacted certain disclosure presentation on the Statements of Assets and Liabilities, Statements of Changes in Net Assets and Notes to the Financial Statements.

Prior year distribution information and undistributed net investment income in the Statements of Changes in Net Assets has been modified to conform to the current year presentation in accordance with the Regulation S-X changes.

Distributions for the year ended August 31, 2018 were classified as follows:

 

     Net Investment Income  

BHK

  $ 42,069,401  

HYT

    106,302,838  

Undistributed net investment income as of August 31, 2018 was as follows:

 

     Undistributed
Net Investment Income
 

BHK

  $ 511,188  

HYT

    1,956,326  

 

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

    0.0720        0.0720  

 

  (a) 

Net investment income dividend paid on March 29, 2019 to Common Shareholders of record on March 15, 2019.

 
  (b) 

Net investment income dividend declared on April 1, 2019, payable to Common Shareholders of record on April 15, 2019.

 

 

 

86    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trustee and Officer Information

 

Richard E. Cavanagh, Co-Chair of the Board and Trustee

Karen P. Robards, Co-Chair of the Board and Trustee

Michael J. Castellano, Trustee

Cynthia L. Egan, Trustee

Frank J. Fabozzi, Trustee

Henry Gabbay, 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 January 1, 2019, Richard E. Cavanagh and Karen P. Robards were appointed as a Co-Chair of the Board. Prior to January 1, 2019, Mr. Cavanagh served as Chair of the Board and Ms. Robards served as Vice Chair of the Board. In addition, effective January 1, 2019, Henry Gabbay was appointed as a Director of each Fund.

 

Investment Adviser

BlackRock Advisors, LLC

Wilmington, DE 19809

Accounting Agent and Custodian

State Street Bank and Trust Company

Boston, MA 02111

Transfer Agent

Computershare Trust Company, N.A.

Canton, MA 02021

Legal Counsel

Willkie Farr & Gallagher LLP

New York, NY 10019

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Address of the Trusts

100 Bellevue Parkway

Wilmington, DE 19809

 

 

 

TRUSTEE AND OFFICER INFORMATION      87  


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 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 completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.

During the period, there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ 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. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

In accordance with Section 23(c) of the Investment Company Act of 1940 the Trusts may from time to time purchase shares of its common stock in the open market or in private transactions.

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, 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. 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.

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.

 

 

88    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Additional Information  (continued)

 

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.

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.

 

 

ADDITIONAL INFORMATION      89  


Glossary of Terms Used in this Report

 

Currency
AUD    Australian Dollar
CAD    Canadian Dollar
EGP    Egyptian Pound
EUR    Euro
GBP    British Pound
JPY    Japanese Yen
NZD    New Zealand Dollar
USD    United States 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
 

 

 

90    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


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-2/19-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, 2018

  0   $0   0   2,696,756

October 1-31, 2018

  0   $0   0   2,696,756

November 1-30, 2018

  0   $0   0   2,696,756

December 1-31, 2018

  0   $0   0   2,696,756

January 1-31, 2019

  0   $0   0   2,696,756

February 1-28, 2019

  0   $0   0   2,696,756

Total:

  0   $0   0   2,696,756

1On September 6, 2017, the Fund announced a continuation of the open market share repurchase program pursuant to which the Fund may repurchase through November 30, 2018, up to 5% of its outstanding shares based on common shares outstanding on November 30, 2017, in open market transactions. On September 7, 2018, the Fund announced a further continuation of its open market share repurchase program. Commencing on December 1, 2018, the Fund may repurchase through November 30, 2019, up to 5% of its common shares outstanding as of the close of business on November 30, 2018, subject to certain conditions.

 

Item 10 –   Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

 

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Item 11 –   Controls and Procedures
  (a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
  (b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12 –   Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable to this semi-annual report
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

 

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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock Core Bond Trust

 

By:   /s/ John M. Perlowski                                
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of BlackRock Core Bond Trust

Date: May 3, 2019

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 Core Bond Trust

Date: May 3, 2019

 

By:   /s/ Neal J. Andrews                                    
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of BlackRock Core Bond Trust

Date: May 3, 2019

 

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