UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
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: Anne F. Ackerley, 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: 08/31/2010
Date of reporting period: 11/30/2009
Item 1 – Schedule of Investments
|
|
|
|
BlackRock Core Bond Trust (BHK) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
|
Par |
|
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Chase Issuance Trust, Series 2009-A7, Class A7, 0.69%, 9/17/12 (a) |
|
USD |
3,305 |
|
$ |
3,305,487 |
|
|
|
|
Countrywide Asset Backed Certificates, Series 2006-13, Class 3AV2, 0.39%, 1/25/37 (a) |
|
|
1,518 |
|
|
1,009,914 |
|
|
|
|
Ford Credit Auto Owner Trust, Series 2009-A, Class A3B, 2.74%, 5/15/13 (a) |
|
|
5,780 |
|
|
5,935,106 |
|
|
|
|
Ford Credit Auto Owner Trust, Series 2009-A, Class A4, 6.07%, 5/15/14 |
|
|
2,110 |
|
|
2,328,405 |
|
|
|
|
Globaldrive B.V., Series 2008-2, Class A, 4.00%, 10/20/16 |
|
EUR |
809 |
|
|
1,224,017 |
|
|
|
|
Harley-Davidson Motorcycle Trust, Series 2005-2, Class A2, 4.07%, 2/15/12 |
|
USD |
575 |
|
|
584,390 |
|
|
|
|
Home Equity Asset Trust, Series 2007-2, Class 2A1, 0.35%, 7/25/37 (a) |
|
|
398 |
|
|
379,582 |
|
|
|
|
JPMorgan Mortgage Acquisition Corp., Series 2007-CH5, Class A3, 0.35%, 5/25/37 (a) |
|
|
2,400 |
|
|
1,209,459 |
|
|
|
|
Maryland Insurance Backed Securities Trust, Series 2006-1A, 5.55%, 12/10/65 |
|
|
2,500 |
|
|
875,000 |
|
|
|
|
Nissan Auto Receivables Owner Trust, Series 2009-A, Class A2, 2.94%, 7/15/11 |
|
|
1,730 |
|
|
1,748,948 |
|
|
|
|
SLM Student Loan Trust, Series 2008-5, Class A2, 1.38%, 10/25/16 (a) |
|
|
3,200 |
|
|
3,250,421 |
|
|
|
|
SLM Student Loan Trust, Series 2008-5, Class A3, 1.58%, 1/25/18 (a) |
|
|
810 |
|
|
832,950 |
|
|
|
|
SLM Student Loan Trust, Series 2008-5, Class A4, 1.98%, 7/25/23 (a) |
|
|
2,180 |
|
|
2,294,887 |
|
|
|
|
Small Business Administration, Series 2003-P10B, Class 1, 5.14%, 8/10/13 |
|
|
580 |
|
|
614,322 |
|
|
|
|
Small Business Administration, Series 2004-P10B, Class 1, 4.75%, 8/10/14 |
|
|
359 |
|
|
377,448 |
|
|
|
|
Structured Asset Receivables Trust, Series 2003-1A, Class CTFS, 0.78%, 1/21/10 (a)(b) |
|
|
281 |
|
|
275,579 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,245,915 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Only - 0.3% |
|
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (b) |
|
|
5,770 |
|
|
380,483 |
|
|
|
|
Sterling Coofs Trust, Series 1, 2.36%, 4/15/29 |
|
|
8,360 |
|
|
812,506 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,192,989 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset-Backed Securities - 7.7% |
|
|
|
|
|
27,438,904 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Common Stocks |
|
|
Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Auto Components - 0.0% |
|
Lear Corp. (c) |
|
|
1,206 |
|
|
75,971 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks - 0.0% |
|
|
|
|
|
75,971 |
|
|
|
|
|
|
|
|
|
|
|
|
1
|
|
|
|
BlackRock Core Bond Trust (BHK) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Corporate Bonds |
|
|
Par |
|
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense - 1.2% |
|
Honeywell International, Inc., 5.70%, 3/15/37 |
|
USD |
975 |
|
$ |
1,053,034 |
|
|
|
|
Northrop-Grumman Corp., 7.88%, 3/01/26 |
|
|
960 |
|
|
1,213,817 |
|
|
|
|
United Technologies Corp., 4.88%, 5/01/15 (d) |
|
|
1,125 |
|
|
1,244,773 |
|
|
|
|
United Technologies Corp., 6.13%, 7/15/38 |
|
|
700 |
|
|
796,955 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,308,579 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Air Freight & Logistics - 0.6% |
|
Park-Ohio Industries, Inc., 8.38%, 11/15/14 |
|
|
120 |
|
|
91,950 |
|
|
|
|
United Parcel Service, Inc., 6.20%, 1/15/38 (e) |
|
|
1,650 |
|
|
1,892,265 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,984,215 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines - 0.2% |
|
American Airlines Pass-Through Trust, Series 2001-02, 7.86%, 4/01/13 |
|
|
380 |
|
|
378,100 |
|
|
|
|
United Air Lines, Inc., 12.75%, 7/15/12 |
|
|
340 |
|
|
345,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
724,050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Automobiles - 0.2% |
|
Ford Capital BV, 9.50%, 6/01/10 |
|
|
600 |
|
|
619,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Beverages - 0.5% |
|
Anheuser-Busch InBev Worldwide, Inc., 8.20%, 1/15/39 (b) |
|
|
1,475 |
|
|
1,899,228 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Building Products - 0.3% |
|
Associated Materials LLC, 9.88%, 11/15/16 (b) |
|
|
650 |
|
|
679,250 |
|
|
|
|
CPG International I, Inc., 10.50%, 7/01/13 |
|
|
200 |
|
|
181,500 |
|
|
|
|
Masco Corp., 7.13%, 8/15/13 |
|
|
225 |
|
|
234,792 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,095,542 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Markets - 3.1% |
|
The Bank of New York Mellon Corp., 4.30%, 5/15/14 (d) |
|
|
1,505 |
|
|
1,607,802 |
|
|
|
|
CDP Financial, Inc., 3.00%, 11/25/14 (b)(e) |
|
|
1,935 |
|
|
1,952,318 |
|
|
|
|
CDP Financial, Inc., 5.60%, 11/25/39 (b)(e) |
|
|
2,935 |
|
|
3,034,990 |
|
|
|
|
Credit Suisse, 5.50%, 5/01/14 |
|
|
575 |
|
|
630,747 |
|
|
|
|
Credit Suisse, 5.30%, 8/13/19 |
|
|
300 |
|
|
314,365 |
|
|
|
|
Morgan Stanley, 0.53%, 1/09/12 (a) |
|
|
190 |
|
|
186,124 |
|
|
|
|
Morgan Stanley, 4.20%, 11/20/14 (e) |
|
|
1,420 |
|
|
1,426,566 |
|
|
|
|
Morgan Stanley, 6.25%, 8/28/17 (d) |
|
|
875 |
|
|
936,817 |
|
|
|
|
Morgan Stanley, 5.63%, 9/23/19 |
|
|
630 |
|
|
638,084 |
|
|
|
|
Morgan Stanley, Series F, 5.55%, 4/27/17 |
|
|
140 |
|
|
142,425 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,870,238 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals - 1.0% |
|
American Pacific Corp., 9.00%, 2/01/15 |
|
|
250 |
|
|
233,125 |
|
|
|
|
Ames True Temper, Inc., 4.28%, 1/15/12 (a) |
|
|
650 |
|
|
573,625 |
|
|
|
|
Huntsman International LLC, 6.88%, 11/15/13 (b) |
|
EUR |
435 |
|
|
591,121 |
|
|
|
|
Huntsman International LLC, 7.88%, 11/15/14 |
|
USD |
265 |
|
|
251,087 |
|
|
|
|
Huntsman International LLC, 5.50%, 6/30/16 (b) |
|
|
845 |
|
|
733,037 |
|
|
|
|
Innophos, Inc., 8.88%, 8/15/14 |
|
|
885 |
|
|
902,700 |
|
|
|
|
NOVA Chemicals Corp., 6.50%, 1/15/12 |
|
|
115 |
|
|
113,850 |
|
|
|
|
NOVA Chemicals Corp., 3.65%, 11/15/13 (a) |
|
|
300 |
|
|
270,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,668,545 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks - 1.9% |
|
DEPFA ACS Bank, 5.13%, 3/16/37 (b) |
|
|
3,775 |
|
|
2,933,205 |
|
|
|
|
Eksportfinans A/S, 5.50%, 6/26/17 |
|
|
950 |
|
|
1,052,581 |
|
|
|
|
Eksportfinans ASA, 3.00%, 11/17/14 |
|
|
1,475 |
|
|
1,496,345 |
|
|
|
|
HSBC Bank USA NA, 5.88%, 11/01/34 |
|
|
775 |
|
|
786,666 |
|
|
|
|
HSBC Holdings Plc, 6.50%, 5/02/36 |
|
|
300 |
|
|
323,743 |
|
2
|
|
|
|
BlackRock Core Bond Trust (BHK) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Corporate Bonds |
|
|
Par |
|
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Royal Bank of Scotland Group Plc, 2.63%, 5/11/12 (b) |
|
USD |
295 |
|
$ |
302,438 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,894,978 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies - 1.3% |
|
DI Finance, Series B, 9.50%, 2/15/13 |
|
|
598 |
|
|
603,980 |
|
|
|
|
RSC Equipment Rental, Inc., 10.00%, 7/15/17 (b) |
|
|
955 |
|
|
1,029,012 |
|
|
|
|
Scientific Games International, Inc., 9.25%, 6/15/19 |
|
|
925 |
|
|
960,844 |
|
|
|
|
Waste Services, Inc., 9.50%, 4/15/14 |
|
|
590 |
|
|
604,750 |
|
|
|
|
West Corp., 9.50%, 10/15/14 |
|
|
305 |
|
|
297,375 |
|
|
|
|
West Corp., 11.00%, 10/15/16 |
|
|
1,000 |
|
|
1,007,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,503,461 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment - 0.5% |
|
CisCo.Systems, Inc., 4.45%, 1/15/20 (e) |
|
|
1,875 |
|
|
1,907,181 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance - 0.2% |
|
Ford Motor Credit Co. LLC, 3.03%, 1/13/12 (a) |
|
|
125 |
|
|
113,312 |
|
|
|
|
Ford Motor Credit Co. LLC, 7.80%, 6/01/12 |
|
|
340 |
|
|
339,735 |
|
|
|
|
SLM Corp., Series A, 0.58%, 1/27/14 (a) |
|
|
550 |
|
|
399,275 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
852,322 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging - 2.1% |
|
Ball Corp., 7.13%, 9/01/16 |
|
|
270 |
|
|
276,750 |
|
|
|
|
Ball Corp., 7.38%, 9/01/19 |
|
|
270 |
|
|
276,075 |
|
|
|
|
Berry Plastics Escrow LLC, 8.88%, 9/15/14 (b) |
|
|
690 |
|
|
629,625 |
|
|
|
|
Crown Americas LLC, 7.75%, 11/15/15 |
|
|
150 |
|
|
153,000 |
|
|
|
|
Graphic Packaging International, Inc., 9.50%, 8/15/13 |
|
|
45 |
|
|
46,125 |
|
|
|
|
Graphic Packaging International, Inc., 9.50%, 6/15/17 |
|
|
970 |
|
|
1,023,350 |
|
|
|
|
Impress Holdings BV, 3.41%, 9/15/13 (a)(b) |
|
|
300 |
|
|
281,625 |
|
|
|
|
Owens-Brockway Glass Container, Inc., 8.25%, 5/15/13 |
|
|
1,500 |
|
|
1,530,000 |
|
|
|
|
Pregis Corp., 12.38%, 10/15/13 |
|
|
545 |
|
|
517,750 |
|
|
|
|
Smurfit Kappa Acquisitions, 7.25%, 11/15/17 |
|
EUR |
725 |
|
|
1,039,633 |
|
|
|
|
Smurfit Kappa Acquisitions, 7.75%, 11/15/19 |
|
|
685 |
|
|
995,131 |
|
|
|
|
Solo Cup Co., 10.50%, 11/01/13 (b) |
|
USD |
770 |
|
|
810,425 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,579,489 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services - 4.1% |
|
FCE Bank Plc, 7.88%, 2/15/11 |
|
GBP |
550 |
|
|
888,965 |
|
|
|
|
FCE Bank Plc, 7.13%, 1/16/12 |
|
EUR |
650 |
|
|
932,085 |
|
|
|
|
General Electric Capital Corp., 6.15%, 8/07/37 (e) |
|
USD |
4,150 |
|
|
3,979,506 |
|
|
|
|
General Electric Capital Corp., 5.88%, 1/14/38 |
|
|
177 |
|
|
164,286 |
|
|
|
|
General Electric Capital Corp., 6.88%, 1/10/39 |
|
|
135 |
|
|
141,566 |
|
|
|
|
JPMorgan Chase & Co., 3.70%, 1/20/15 (e) |
|
|
3,425 |
|
|
3,484,705 |
|
|
|
|
JPMorgan Chase & Co., 6.00%, 1/15/18 |
|
|
125 |
|
|
135,502 |
|
|
|
|
JPMorgan Chase & Co., 6.30%, 4/23/19 (d) |
|
|
2,000 |
|
|
2,228,666 |
|
|
|
|
Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 |
|
EUR |
550 |
|
|
813,463 |
|
|
|
|
Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (b) |
|
USD |
1,750 |
|
|
1,767,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,536,244 |
|
|
|
|
|
|
|
|
|
|
|
|
3
|
|
|
|
BlackRock Core Bond Trust (BHK) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Corporate Bonds |
|
|
Par |
|
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services - 6.4% |
|
AT&T, Inc., 6.45%, 6/15/34 |
|
USD |
780 |
|
$ |
809,416 |
|
|
|
|
AT&T, Inc., 6.30%, 1/15/38 |
|
|
600 |
|
|
623,424 |
|
|
|
|
AT&T, Inc., 6.55%, 2/15/39 (e) |
|
|
3,375 |
|
|
3,643,650 |
|
|
|
|
BellSouth Telecommunications, Inc., 7.87%, 12/15/95 (f) |
|
|
1,700 |
|
|
976,347 |
|
|
|
|
Comcast Cable Holdings LLC, 7.88%, 8/01/13 |
|
|
10 |
|
|
11,436 |
|
|
|
|
GCI, Inc., 8.63%, 11/15/19 (b) |
|
|
1,700 |
|
|
1,700,000 |
|
|
|
|
Nordic Telephone Co. Holdings ApS, 8.88%, 5/01/16 (b) |
|
|
770 |
|
|
808,500 |
|
|
|
|
Qwest Communications International, Inc., 7.50%, 2/15/14 |
|
|
60 |
|
|
59,400 |
|
|
|
|
Qwest Communications International, Inc., Series B, 7.50%, 2/15/14 |
|
|
30 |
|
|
29,700 |
|
|
|
|
Qwest Corp., 8.88%, 3/15/12 |
|
|
120 |
|
|
127,350 |
|
|
|
|
Qwest Corp., 8.38%, 5/01/16 (b) |
|
|
180 |
|
|
188,100 |
|
|
|
|
Telecom Italia Capital SA, 4.95%, 9/30/14 |
|
|
1,075 |
|
|
1,134,995 |
|
|
|
|
Telecom Italia Capital SA, 6.00%, 9/30/34 |
|
|
1,550 |
|
|
1,488,101 |
|
|
|
|
Telefonica Emisiones SAU, 7.05%, 6/20/36 (e) |
|
|
1,975 |
|
|
2,314,933 |
|
|
|
|
Telefonica Europe BV, 7.75%, 9/15/10 |
|
|
725 |
|
|
763,167 |
|
|
|
|
Verizon Communications, Inc., 6.40%, 2/15/38 (e) |
|
|
2,125 |
|
|
2,279,094 |
|
|
|
|
Verizon Communications, Inc., 8.95%, 3/01/39 |
|
|
900 |
|
|
1,228,995 |
|
|
|
|
Verizon Global Funding Corp., 7.75%, 12/01/30 |
|
|
70 |
|
|
83,384 |
|
|
|
|
Verizon Maryland, Inc., Series B, 5.13%, 6/15/33 |
|
|
125 |
|
|
102,224 |
|
|
|
|
Verizon New Jersey, Inc., 5.88%, 1/17/12 |
|
|
335 |
|
|
360,475 |
|
|
|
|
Verizon New Jersey, Inc., 7.85%, 11/15/29 |
|
|
230 |
|
|
254,269 |
|
|
|
|
Verizon Virginia, Inc., Series A, 4.63%, 3/15/13 (d)(e) |
|
|
3,150 |
|
|
3,316,257 |
|
|
|
|
Windstream Corp., 8.13%, 8/01/13 |
|
|
160 |
|
|
163,600 |
|
|
|
|
Windstream Corp., 8.63%, 8/01/16 |
|
|
140 |
|
|
141,050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,607,867 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities - 4.9% |
|
Alabama Power Co., 6.00%, 3/01/39 (e) |
|
|
1,275 |
|
|
1,406,799 |
|
|
|
|
Duke Energy Carolinas LLC, 6.10%, 6/01/37 |
|
|
315 |
|
|
348,816 |
|
|
|
|
Duke Energy Carolinas LLC, 6.00%, 1/15/38 |
|
|
825 |
|
|
906,298 |
|
|
|
|
E.ON International Finance BV, 6.65%, 4/30/38 (b) |
|
|
1,525 |
|
|
1,805,219 |
|
|
|
|
EDP Finance BV, 6.00%, 2/02/18 (b) |
|
|
1,125 |
|
|
1,241,495 |
|
|
|
|
Electricite de France SA, 6.95%, 1/26/39 (b)(e) |
|
|
1,400 |
|
|
1,700,082 |
|
|
|
|
Elwood Energy LLC, 8.16%, 7/05/26 |
|
|
107 |
|
|
96,373 |
|
|
|
|
Florida Power & Light Co., 4.95%, 6/01/35 |
|
|
950 |
|
|
911,483 |
|
|
|
|
Florida Power Corp., 6.35%, 9/15/37 (e) |
|
|
1,325 |
|
|
1,498,685 |
|
|
|
|
Florida Power Corp., 6.40%, 6/15/38 |
|
|
875 |
|
|
997,394 |
|
|
|
|
PacifiCorp., 6.25%, 10/15/37 |
|
|
575 |
|
|
646,758 |
|
|
|
|
Public Service Co. of Colorado, 6.25%, 9/01/37 |
|
|
1,200 |
|
|
1,374,175 |
|
|
|
|
Southern California Edison Co., 5.63%, 2/01/36 |
|
|
625 |
|
|
658,086 |
|
|
|
|
Southern California Edison Co., Series 05-E, 5.35%, 7/15/35 |
|
|
125 |
|
|
126,742 |
|
4
|
|
|
|
BlackRock Core Bond Trust (BHK) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Corporate Bonds |
|
|
Par |
|
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Southern California Edison Co., Series 08-A, 5.95%, 2/01/38 |
|
USD |
1,075 |
|
$ |
1,181,562 |
|
|
|
|
The Toledo Edison Co., 6.15%, 5/15/37 |
|
|
350 |
|
|
357,009 |
|
|
|
|
Virginia Electric and Power Co., Series A, 6.00%, 5/15/37 (e) |
|
|
2,000 |
|
|
2,164,642 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,421,618 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services -0.2% |
|
North American Energy Alliance LLC, 10.88%, 6/01/16 (b) |
|
|
815 |
|
|
849,637 |
|
|
|
|
North American Energy Partners, Inc., 8.75%, 12/01/11 |
|
|
45 |
|
|
44,550 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
894,187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing - 0.9% |
|
Wal-Mart Stores, Inc., 6.50%, 8/15/37 (e) |
|
|
1,900 |
|
|
2,228,983 |
|
|
|
|
Wal-Mart Stores, Inc., 6.20%, 4/15/38 |
|
|
850 |
|
|
960,183 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,189,166 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products - 0.7% |
|
Kraft Foods, Inc., 7.00%, 8/11/37 |
|
|
1,455 |
|
|
1,593,561 |
|
|
|
|
Smithfield Foods, Inc., 10.00%, 7/15/14 (b) |
|
|
800 |
|
|
838,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,431,561 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies - 0.3% |
|
DJO Finance LLC, 10.88%, 11/15/14 |
|
|
860 |
|
|
905,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services - 0.2% |
|
LifePoint Hospitals, Inc., 3.50%, 5/15/14 (g) |
|
|
165 |
|
|
147,469 |
|
|
|
|
Tenet Healthcare Corp., 9.00%, 5/01/15 (b) |
|
|
410 |
|
|
433,575 |
|
|
|
|
Tenet Healthcare Corp., 10.00%, 5/01/18 (b) |
|
|
170 |
|
|
189,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
770,169 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure - 1.5% |
|
American Real Estate Partners LP, 8.13%, 6/01/12 |
|
|
3,165 |
|
|
3,157,087 |
|
|
|
|
American Real Estate Partners LP, 7.13%, 2/15/13 |
|
|
320 |
|
|
313,600 |
|
|
|
|
Circus and Eldorado Joint Venture, 10.13%, 3/01/12 |
|
|
1,000 |
|
|
900,000 |
|
|
|
|
Greektown Holdings, LLC, 10.75%, 12/01/13 (b)(c)(h) |
|
|
315 |
|
|
65,756 |
|
|
|
|
McDonald’s Corp., 5.70%, 2/01/39 |
|
|
825 |
|
|
876,201 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,312,644 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Durables - 2.7% |
|
Beazer Homes USA, Inc., 4.63%, 6/15/24 (g) |
|
|
495 |
|
|
451,687 |
|
|
|
|
Belvoir Land LLC, Series A-1, 5.27%, 12/15/47 (b) |
|
|
300 |
|
|
201,069 |
|
|
|
|
Centex Corp., 5.13%, 10/01/13 |
|
|
1,088 |
|
|
1,088,000 |
|
|
|
|
D.R. Horton, Inc., 6.13%, 1/15/14 |
|
|
1,040 |
|
|
1,019,200 |
|
|
|
|
Irwin Land LLC, Series A-1, 5.03%, 12/15/25 (b) |
|
|
525 |
|
|
436,123 |
|
|
|
|
Irwin Land LLC, Series A-2, 5.40%, 12/15/47 (b) |
|
|
1,500 |
|
|
1,009,125 |
|
|
|
|
K Hovnanian Enterprises, Inc., 10.63%, 10/15/16 (b) |
|
|
1,175 |
|
|
1,198,500 |
|
|
|
|
KB Home, 6.38%, 8/15/11 |
|
|
95 |
|
|
95,238 |
|
|
|
|
KB Home, 9.10%, 9/15/17 |
|
|
350 |
|
|
364,000 |
|
|
|
|
Lennar Corp., Series B, 5.60%, 5/31/15 |
|
|
400 |
|
|
362,000 |
|
|
|
|
Ohana Military Communities LLC, Series 04I, 6.19%, 4/01/49 (b) |
|
|
350 |
|
|
272,051 |
|
|
|
|
Pulte Homes, Inc., 5.20%, 2/15/15 |
|
|
310 |
|
|
288,300 |
|
|
|
|
Standard Pacific Corp., 6.25%, 4/01/14 |
|
|
160 |
|
|
141,200 |
|
|
|
|
Standard Pacific Corp., 7.00%, 8/15/15 |
|
|
320 |
|
|
282,400 |
|
|
|
|
Standard Pacific Escrow LLC, 10.75%, 9/15/16 (b) |
|
|
2,100 |
|
|
2,079,000 |
|
5
|
|
|
|
BlackRock Core Bond Trust (BHK) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Corporate Bonds |
|
|
Par |
|
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Toll Brothers Finance Corp., 4.95%, 3/15/14 |
|
USD |
250 |
|
$ |
244,609 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,532,502 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Products - 0.3% |
|
Kimberly-Clark, Corp., 6.63%, 8/01/37 |
|
|
850 |
|
|
1,033,725 |
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Services - 1.1% |
|
First Data Corp., 9.88%, 9/24/15 |
|
|
240 |
|
|
213,600 |
|
|
|
|
First Data Corp., 11.25%, 3/31/16 |
|
|
3,570 |
|
|
2,945,250 |
|
|
|
|
iPayment, Inc., 9.75%, 5/15/14 |
|
|
240 |
|
|
181,800 |
|
|
|
|
iPayment Investors LP, 12.75%, 7/15/14 (b)(i) |
|
|
1,023 |
|
|
409,140 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,749,790 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders - 0.9% |
|
AES Eastern Energy LP, Series 99-B, 9.67%, 1/02/29 |
|
|
1,015 |
|
|
872,900 |
|
|
|
|
Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (b) |
|
|
2,040 |
|
|
2,050,200 |
|
|
|
|
NRG Energy, Inc., 7.25%, 2/01/14 |
|
|
50 |
|
|
50,438 |
|
|
|
|
NRG Energy, Inc., 7.38%, 2/01/16 |
|
|
10 |
|
|
9,950 |
|
|
|
|
TXU Corp., 5.55%, 11/15/14 |
|
|
195 |
|
|
134,550 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,118,038 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates - 0.6% |
|
Sequa Corp., 11.75%, 12/01/15 (b) |
|
|
690 |
|
|
614,100 |
|
|
|
|
Sequa Corp., 13.50%, 12/01/15 (b)(i) |
|
|
1,877 |
|
|
1,633,027 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,247,127 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance - 1.9% |
|
Chubb Corp., 6.00%, 5/11/37 |
|
|
1,100 |
|
|
1,200,529 |
|
|
|
|
Hartford Life Global Funding Trusts, 0.48%, 6/16/14 (a) |
|
|
425 |
|
|
384,638 |
|
|
|
|
MetLife, Inc., 5.70%, 6/15/35 (e) |
|
|
1,525 |
|
|
1,554,701 |
|
|
|
|
Metropolitan Life Global Funding I, 5.13%, 6/10/14 (b) |
|
|
775 |
|
|
832,175 |
|
|
|
|
Monument Global Funding Ltd., 0.42%, 6/16/10 (a)(b)(d) |
|
|
1,810 |
|
|
1,782,631 |
|
|
|
|
Prudential Financial, Inc., 5.70%, 12/14/36 |
|
|
675 |
|
|
611,402 |
|
|
|
|
Prudential Financial, Inc., Series D, 5.90%, 3/17/36 |
|
|
500 |
|
|
461,787 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,827,863 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Leisure Equipment & Products - 0.4% |
|
Brunswick Corp., 11.25%, 11/01/16 (b) |
|
|
1,145 |
|
|
1,279,537 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery - 0.9% |
|
AGY Holding Corp., 11.00%, 11/15/14 |
|
|
360 |
|
|
293,400 |
|
|
|
|
Navistar International Corp., 3.00%, 10/15/14 (g) |
|
|
760 |
|
|
716,300 |
|
|
|
|
Navistar International Corp., 8.25%, 11/01/21 |
|
|
1,400 |
|
|
1,375,500 |
|
|
|
|
Sunstate Equipment Co.
LLC, 10.50%, |
|
|
950 |
|
|
745,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,130,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Marine - 1.2% |
|
Horizon Lines, Inc., 4.25%, 8/15/12 (g) |
|
|
2,355 |
|
|
1,860,450 |
|
|
|
|
Nakilat, Inc., Series A, 6.07%, 12/31/33 (b) |
|
|
1,050 |
|
|
989,709 |
|
|
|
|
Navios Maritime Holdings, Inc., 9.50%, 12/15/14 |
|
|
111 |
|
|
109,196 |
|
|
|
|
Navios Maritime Holdings, Inc., 8.88%, 11/01/17 (b) |
|
|
750 |
|
|
768,750 |
|
|
|
|
Trico Shipping AS, 11.88%, 11/01/14 (b) |
|
|
490 |
|
|
496,737 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,224,842 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Media - 5.1% |
|
Affinion Group, Inc., 10.13%, 10/15/13 |
|
|
1,310 |
|
|
1,336,200 |
|
|
|
|
Belo Corp., 6.75%, 5/30/13 |
|
|
190 |
|
|
184,775 |
|
|
|
|
CMP Susquehanna Corp., 3.52%, 5/15/14 (b) |
|
|
52 |
|
|
1,040 |
|
6
|
|
|
|
BlackRock Core Bond Trust (BHK) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Corporate Bonds |
|
|
Par |
|
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Charter Communications Holdings II, LLC, 13.50%, 11/30/16 |
|
USD |
520 |
|
$ |
617,948 |
|
|
|
|
Comcast Cable Holdings LLC, 7.13%, 2/15/28 |
|
|
200 |
|
|
212,537 |
|
|
|
|
Comcast Corp., 6.50%, 1/15/17 |
|
|
1,625 |
|
|
1,807,252 |
|
|
|
|
Comcast Corp., 6.45%, 3/15/37 |
|
|
790 |
|
|
824,280 |
|
|
|
|
Comcast Corp., 6.95%, 8/15/37 |
|
|
10 |
|
|
11,100 |
|
|
|
|
Local Insight Regatta Holdings, Inc., 11.00%, 12/01/17 |
|
|
823 |
|
|
493,800 |
|
|
|
|
Network Communications, Inc., 10.75%, 12/01/13 |
|
|
155 |
|
|
62,387 |
|
|
|
|
News America Holdings, Inc., 7.70%, 10/30/25 |
|
|
825 |
|
|
893,135 |
|
|
|
|
News America Holdings, Inc., 8.45%, 8/01/34 |
|
|
625 |
|
|
746,553 |
|
|
|
|
News America, Inc., 7.63%, 11/30/28 |
|
|
985 |
|
|
1,082,084 |
|
|
|
|
Nielsen Finance LLC, 10.00%, 8/01/14 |
|
|
935 |
|
|
965,387 |
|
|
|
|
Rainbow National Services LLC, 8.75%, 9/01/12 (b) |
|
|
200 |
|
|
203,000 |
|
|
|
|
Rainbow National Services LLC, 10.38%, 9/01/14 (b) |
|
|
943 |
|
|
987,792 |
|
|
|
|
TCI Communications, Inc., 7.88%, 2/15/26 |
|
|
610 |
|
|
694,491 |
|
|
|
|
TL Acquisitions, Inc., 10.50%, 1/15/15 (b) |
|
|
1,200 |
|
|
1,113,000 |
|
|
|
|
TVN Finance Corp. Plc, 10.75%, 11/15/17 |
|
EUR |
440 |
|
|
667,287 |
|
|
|
|
Time Warner Cable, Inc., 7.30%, 7/01/38 |
|
USD |
930 |
|
|
1,048,432 |
|
|
|
|
Time Warner Cos., Inc., 6.95%, 1/15/28 |
|
|
70 |
|
|
75,660 |
|
|
|
|
Time Warner Cos., Inc., 6.63%, 5/15/29 |
|
|
90 |
|
|
93,972 |
|
|
|
|
Time Warner, Inc., 7.63%, 4/15/31 |
|
|
205 |
|
|
237,701 |
|
|
|
|
Time Warner, Inc., 7.70%, 5/01/32 |
|
|
85 |
|
|
99,633 |
|
|
|
|
UPC Germany GmbH, 8.13%, 12/01/17 (b) |
|
|
3,600 |
|
|
3,600,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,059,446 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining - 2.5% |
|
Drummond Co., Inc., 9.00%, 10/15/14 (b) |
|
|
1,115 |
|
|
1,137,300 |
|
|
|
|
Drummond Co., Inc., 7.38%, 2/15/16 (b) |
|
|
375 |
|
|
353,437 |
|
|
|
|
Falconbridge Ltd., 6.00%, 10/15/15 |
|
|
825 |
|
|
882,608 |
|
|
|
|
Falconbridge Ltd., 6.20%, 6/15/35 |
|
|
1,250 |
|
|
1,145,582 |
|
|
|
|
GoldCorp., Inc., 2.00%, 8/01/14 (b)(g) |
|
|
280 |
|
|
329,000 |
|
|
|
|
Murray Energy Corp., 10.25%, 10/15/15 (b) |
|
|
395 |
|
|
387,100 |
|
|
|
|
New World Resources NV, 7.38%, 5/15/15 |
|
EUR |
300 |
|
|
409,922 |
|
|
|
|
Novelis, Inc., 11.50%, 2/15/15 (b) |
|
USD |
1,070 |
|
|
1,112,800 |
|
|
|
|
Steel Dynamics, Inc., 7.38%, 11/01/12 |
|
|
80 |
|
|
79,800 |
|
|
|
|
Teck Resources Ltd., 10.25%, 5/15/16 |
|
|
510 |
|
|
576,300 |
|
|
|
|
Teck Resources Ltd., 10.75%, 5/15/19 |
|
|
1,970 |
|
|
2,299,975 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,713,824 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities - 0.5% |
|
Energy East Corp., 6.75%, 7/15/36 (e) |
|
|
1,500 |
|
|
1,703,047 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels - 8.0% |
|
Arch Coal, Inc., 8.75%, 8/01/16 (b) |
|
|
485 |
|
|
499,550 |
|
|
|
|
Atlas Energy Operating Co. LLC, 12.13%, 8/01/17 |
|
|
1,655 |
|
|
1,849,463 |
|
|
|
|
Atlas Energy Resources LLC, 10.75%, 2/01/18 (b) |
|
|
105 |
|
|
114,187 |
|
|
|
|
BP Capital Markets Plc, 3.13%, 3/10/12 (e) |
|
|
1,270 |
|
|
1,322,869 |
|
|
|
|
Berry Petroleum Co., 8.25%, 11/01/16 |
|
|
140 |
|
|
136,500 |
|
|
|
|
Bill Barrett Corp., 9.88%, 7/15/16 |
|
|
395 |
|
|
416,725 |
|
|
|
|
Burlington Resources Finance Co., 7.40%, 12/01/31 |
|
|
875 |
|
|
1,053,917 |
|
|
|
|
Canadian Natural Resources Ltd., 6.50%, 2/15/37 |
|
|
410 |
|
|
446,016 |
|
7
|
|
|
|
BlackRock Core Bond Trust (BHK) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Canadian Natural Resources, Ltd., 6.25%, 3/15/38 |
USD |
|
375 |
|
$ |
398,279 |
|
|
|
|
Canadian Natural Resources, Ltd., 6.75%, 2/01/39 |
|
|
1,025 |
|
|
1,159,512 |
|
|
|
|
Cenovus Energy, Inc., 6.75%, 11/15/39 (b) |
|
|
1,330 |
|
|
1,461,947 |
|
|
|
|
Conoco Funding Co., 7.25%, 10/15/31 |
|
|
125 |
|
|
148,156 |
|
|
|
|
ConocoPhillips Canada Funding Co., 5.95%, 10/15/36 |
|
|
535 |
|
|
564,657 |
|
|
|
|
ConocoPhillips Holding Co., 6.95%, 4/15/29 |
|
|
650 |
|
|
754,560 |
|
|
|
|
Devon Energy Corp., 7.95%, 4/15/32 |
|
|
625 |
|
|
798,639 |
|
|
|
|
EXCO Resources, Inc., 7.25%, 1/15/11 |
|
|
65 |
|
|
64,675 |
|
|
|
|
EnCana Corp., 6.50%, 8/15/34 |
|
|
670 |
|
|
726,451 |
|
|
|
|
EnCana Corp., 6.63%, 8/15/37 |
|
|
700 |
|
|
770,798 |
|
|
|
|
Encore Acquisition Co., 6.00%, 7/15/15 |
|
|
40 |
|
|
39,900 |
|
|
|
|
Enterprise Products Operating LLC, 6.13%, 2/01/13 |
|
|
695 |
|
|
754,764 |
|
|
|
|
Enterprise Products Operating LLC, 6.13%, 10/15/39 |
|
|
700 |
|
|
692,835 |
|
|
|
|
Forest Oil Corp., 7.25%, 6/15/19 |
|
|
50 |
|
|
47,375 |
|
|
|
|
Kinder Morgan, Inc., 6.50%, 9/01/12 |
|
|
190 |
|
|
195,225 |
|
|
|
|
MidAmerican Energy Co., 5.80%, 10/15/36 |
|
|
700 |
|
|
739,410 |
|
|
|
|
MidAmerican Energy Holdings Co., 5.95%, 5/15/37 |
|
|
800 |
|
|
838,992 |
|
|
|
|
MidAmerican Energy Holdings Co., 6.50%, 9/15/37 |
|
|
1,900 |
|
|
2,139,322 |
|
|
|
|
OPTI Canada, Inc., 9.00%, 12/15/12 (b) |
|
|
1,960 |
|
|
1,955,100 |
|
|
|
|
OPTI Canada, Inc., 8.25%, 12/15/14 |
|
|
145 |
|
|
116,000 |
|
|
|
|
Petrobras International Finance Co., 5.75%, 1/20/20 |
|
|
1,800 |
|
|
1,833,750 |
|
|
|
|
Sabine Pass LNG LP, 7.50%, 11/30/16 |
|
|
330 |
|
|
273,900 |
|
|
|
|
Shell International Finance BV, 6.38%, 12/15/38 (e) |
|
|
1,700 |
|
|
1,972,059 |
|
|
|
|
Valero Energy Corp., 6.63%, 6/15/37 |
|
|
495 |
|
|
478,302 |
|
|
|
|
Whiting Petroleum Corp., 7.25%, 5/01/13 |
|
|
335 |
|
|
336,675 |
|
|
|
|
XTO Energy, Inc., 6.75%, 8/01/37 |
|
|
1,925 |
|
|
2,138,117 |
|
|
|
|
XTO Energy, Inc., 6.38%, 6/15/38 |
|
|
900 |
|
|
967,783 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,206,410 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products - 4.1% |
|
Boise Paper Holdings LLC, 9.00%, 11/01/17 (b) |
|
|
560 |
|
|
571,200 |
|
|
|
|
Clearwater Paper Corp., 10.63%, 6/15/16 (b) |
|
|
620 |
|
|
682,000 |
|
|
|
|
Georgia-Pacific LLC, 8.25%, 5/01/16 (b) |
|
|
2,725 |
|
|
2,888,500 |
|
|
|
|
International Paper Co., 7.30%, 11/15/39 (j) |
|
|
750 |
|
|
748,057 |
|
|
|
|
NewPage Corp., 10.00%, 5/01/12 |
|
|
470 |
|
|
303,150 |
|
|
|
|
NewPage Corp., 11.38%, 12/31/14 (b) |
|
|
8,880 |
|
|
8,746,800 |
|
|
|
|
Verso Paper Holdings LLC, 11.50%, 7/01/14 (b) |
|
|
555 |
|
|
604,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,544,657 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals - 1.8% |
|
Eli Lilly & Co., 3.55%, 3/06/12 |
|
|
600 |
|
|
631,454 |
|
|
|
|
Roche Holdings, Inc., 7.00%, 3/01/39 (b) |
|
|
850 |
|
|
1,069,485 |
|
|
|
|
Schering-Plough Corp., 6.55%, 9/15/37 (e) |
|
|
1,125 |
|
|
1,328,181 |
|
|
|
|
Teva Pharmaceutical Finance LLC, 6.15%, 2/01/36 |
|
|
1,445 |
|
|
1,516,529 |
|
|
|
|
Wyeth, 6.00%, 2/15/36 |
|
|
675 |
|
|
741,445 |
|
|
|
|
Wyeth, 5.95%, 4/01/37 |
|
|
925 |
|
|
1,015,469 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,302,563 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Professional Services - 0.0% |
|
FTI Consulting, Inc., 7.75%, 10/01/16 |
|
|
100 |
|
|
98,625 |
|
|
|
|
|
|
|
|
|
|
|
|
8
|
|
|
|
BlackRock Core Bond Trust (BHK) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
Real Estate Investment Trusts (REITs) - 0.1% |
|
iStar Financial, Inc., 5.65%, 9/15/11 |
USD |
|
260 |
|
$ |
182,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Management & Development - 0.1% |
|
Realogy Corp., 12.38%, 4/15/15 |
|
|
420 |
|
|
264,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Road & Rail - 0.2% |
|
Canadian National Railway Co., 6.25%, 8/01/34 |
|
|
350 |
|
|
395,436 |
|
|
|
|
The Hertz Corp., 8.88%, 1/01/14 |
|
|
130 |
|
|
130,650 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
526,086 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Software - 0.7% |
|
BMS Holdings, Inc., 8.35%, 2/15/12 (a)(b)(i) |
|
|
118 |
|
|
2,354 |
|
|
|
|
Oracle Corp., 5.75%, 4/15/18 (d) |
|
|
2,225 |
|
|
2,474,358 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,476,712 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail - 0.6% |
|
General Nutrition Centers, Inc., 10.75%, 3/15/15 |
|
|
360 |
|
|
365,400 |
|
|
|
|
Lazy Days’ R.V. Center, Inc., 11.75%, 5/15/12 (c)(h) |
|
|
310 |
|
|
3,100 |
|
|
|
|
Sonic Automotive, Inc., Series B, 8.63%, 8/15/13 |
|
|
1,800 |
|
|
1,773,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,141,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Textiles, Apparel & Luxury Goods - 0.0% |
|
Quiksilver, Inc., 6.88%, 4/15/15 |
|
|
175 |
|
|
133,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Thrifts & Mortgage Finance - 0.4% |
|
Achmea Hypotheekbank NV, 3.20%, 11/03/14 (b)(e) |
|
|
1,305 |
|
|
1,337,501 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading Companies & Distributors - 0.2% |
|
United Rentals North America, Inc., 9.25%, 12/15/19 |
|
|
830 |
|
|
815,475 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services - 1.6% |
|
Cricket Communications, Inc., 10.00%, 7/15/15 |
|
|
100 |
|
|
97,000 |
|
|
|
|
Digicel Group Ltd., 8.88%, 1/15/15 (b) |
|
|
240 |
|
|
232,800 |
|
|
|
|
Digicel Group Ltd., 9.13%, 1/15/15 (b)(i) |
|
|
560 |
|
|
540,400 |
|
|
|
|
MetroPCS Wireless, Inc., 9.25%, 11/01/14 |
|
|
60 |
|
|
60,150 |
|
|
|
|
Nextel Communications, Inc., Series E, 6.88%, 10/31/13 |
|
|
770 |
|
|
731,500 |
|
|
|
|
Rogers Communications, Inc., 7.50%, 8/15/38 |
|
|
1,150 |
|
|
1,399,249 |
|
|
|
|
Sprint Capital Corp., 6.88%, 11/15/28 |
|
|
775 |
|
|
581,250 |
|
|
|
|
Vodafone Group Plc, 4.15%, 6/10/14 (d) |
|
|
2,050 |
|
|
2,142,225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,784,574 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds - 68.2% |
|
|
|
|
|
241,411,203 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Agency Obligations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bundesrepublik Deutschland, Series 08, 4.75%, 7/04/40 |
EUR |
|
3,000 |
|
|
5,187,273 |
|
|
|
|
Canadian Government Bond, 3.75%, 6/01/19 |
CAD |
|
4,450 |
|
|
4,399,825 |
|
|
|
|
Israel Government AID Bond, 5.50%, 4/26/24 |
USD |
|
825 |
|
|
934,119 |
|
|
|
|
Israel Government AID Bond, 5.50%, 9/18/33 |
|
|
845 |
|
|
885,227 |
|
|
|
|
Italy Government International Bond, 5.38%, 6/15/33 |
|
|
455 |
|
|
470,123 |
|
|
|
|
Japan Finance Corp., 2.00%, 6/24/11 |
|
|
860 |
|
|
875,775 |
|
|
|
|
Kreditanstalt fuer Wiederaufbau, 2.75%, 10/21/14 (e) |
|
|
1,975 |
|
|
2,007,011 |
|
|
|
|
Landwirtschaftliche Rentenbank, 4.13%, 7/15/13 |
|
|
115 |
|
|
123,554 |
|
|
|
|
Landwirtschaftliche Rentenbank, Series E, 5.25%, 7/02/12 |
|
|
395 |
|
|
433,692 |
|
9
|
|
|
|
BlackRock Core Bond Trust (BHK) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Agency Obligations |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Landwirtschaftliche Rentenbank, Series E, 4.38%, 1/15/13 |
USD |
|
250 |
|
$ |
267,496 |
|
|
|
|
Landwirtschaftliche Rentenbank, Series E, 4.00%, 2/02/15 |
|
|
230 |
|
|
245,505 |
|
|
|
|
Province of Ontario Canada, 4.10%, 6/16/14 (e) |
|
|
1,280 |
|
|
1,368,662 |
|
|
|
|
Province of Ontario Canada, Series 1, 1.88%, 11/19/12 (e) |
|
|
1,175 |
|
|
1,184,639 |
|
|
|
|
Qatar Government International Bond, 4.00%, 1/20/15 (b) |
|
|
1,550 |
|
|
1,551,937 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Agency Obligations - 5.6% |
|
|
|
|
|
19,934,838 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations (Non-Agency) - 5.5% |
|
Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 3/25/37 |
|
|
1,100 |
|
|
507,275 |
|
|
|
|
Bear Stearns Adjustable Rate Mortgage, Series 2004-8, Class 14A1, 5.47%, 11/25/34 (a) |
|
|
618 |
|
|
480,829 |
|
|
|
|
CS First Boston Mortgage Securities Corp., Series 2005-12, Class 6A1, 6.00%, 1/25/36 |
|
|
1,137 |
|
|
706,749 |
|
|
|
|
Countrywide Alternative Loan Trust, Series 2005-64CB, Class 1A15, 5.50%, 12/25/35 |
|
|
1,600 |
|
|
1,198,953 |
|
|
|
|
Countrywide Alternative Loan Trust, Series 2006-0A19, Class A1, 0.42%, 2/20/47 (a) |
|
|
500 |
|
|
223,729 |
|
|
|
|
Countrywide Alternative Loan Trust, Series 2006-0A21, Class A1, 0.43%, 3/20/47 (a) |
|
|
928 |
|
|
447,550 |
|
|
|
|
Countrywide Alternative Loan Trust, Series 2007-HY4, Class 4A1, 5.89%, 6/25/47 (a) |
|
|
1,105 |
|
|
706,871 |
|
|
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-0A5, Class 2A1, 0.44%, 4/25/46 (a) |
|
|
384 |
|
|
176,184 |
|
|
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-10, Class A22, 6.00%, 7/25/37 |
|
|
917 |
|
|
733,910 |
|
|
|
|
Credit Suisse Mortgage Capital Certificates, Series 2007-1, Class 5A14, 6.00%, 2/25/37 |
|
|
786 |
|
|
592,935 |
|
|
|
|
Deutsche Alt-A Securities, Inc. Alternate Loan Trust, Series 2006-0A1, Class A1, 0.44%, 2/25/47 (a) |
|
|
319 |
|
|
155,579 |
|
|
|
|
GSR Mortgage Loan Trust, Series 2005-AR4, Class 6A1, 5.25%, 7/25/35 (a) |
|
|
576 |
|
|
524,303 |
|
|
|
|
GSR Mortgage Loan Trust, Series 2006-4F, Class 1A1, 5.00%, 5/25/36 |
|
|
1,031 |
|
|
875,083 |
|
|
|
|
GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1, 5.17%, 1/25/36 (a) |
|
|
899 |
|
|
634,408 |
|
|
|
|
GSR Mortgage Loan Trust, Series 2007-4F, Class 3A1, 6.00%, 7/25/37 |
|
|
1,126 |
|
|
947,451 |
|
|
|
|
Homebanc Mortgage Trust, Series 2006-2, Class A1, 0.42%, 12/25/36 (a) |
|
|
882 |
|
|
509,628 |
|
|
|
|
IndyMac IMJA Mortgage Loan Trust, Series 2007-A1, Class A4, 6.00%, 8/25/37 |
|
|
1,100 |
|
|
660,355 |
|
10
|
|
|
|
BlackRock Core Bond Trust (BHK) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed Securities |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
JPMorgan Mortgage Trust, Series 2006-S3, Class 1A12, 6.50%, 8/25/36 |
USD |
|
1,064 |
|
$ |
951,696 |
|
|
|
|
JPMorgan Mortgage Trust, Series 2007-S1, Class 2A22, 5.75%, 3/25/37 |
|
|
883 |
|
|
713,349 |
|
|
|
|
JPMorgan Mortgage Trust, Series 2007-S2, Class 1A15, 6.75%, 6/25/37 |
|
|
1,082 |
|
|
863,126 |
|
|
|
|
Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 5.78%, 5/25/36 (a) |
|
|
885 |
|
|
502,177 |
|
|
|
|
Residential Funding Mortgage Securities I, Series 2007-S6, Class 1A16, 6.00%, 6/25/37 |
|
|
733 |
|
|
622,172 |
|
|
|
|
Structured Asset Securities Corp., Series 2002-AL1, Class A2, 3.45%, 2/25/32 |
|
|
1,856 |
|
|
1,603,632 |
|
|
|
|
WaMu Mortgage Pass-Through Certificates, Series 2005-AR10, Class 1A3, 4.83%, 9/25/35 (a) |
|
|
1,800 |
|
|
1,224,264 |
|
|
|
|
WaMu Mortgage Pass-Through Certificates, Series 2007-0A4, Class 1A, 1.67%, 5/25/47 (a) |
|
|
465 |
|
|
234,414 |
|
|
|
|
WaMu Mortgage Pass-Through Certificates, Series 2007-0A5, Class 1A, 1.38%, 6/25/47 (a) |
|
|
402 |
|
|
202,744 |
|
|
|
|
Wells Fargo Mortgage Backed Securities Trust, Series 2006-J, Class 1A29, 6.00%, 8/25/36 |
|
|
759 |
|
|
651,464 |
|
|
|
|
Wells Fargo Mortgage Backed Securities Trust, Series 2006-3, Class A9, 5.50%, 3/25/36 |
|
|
679 |
|
|
625,594 |
|
|
|
|
Wells Fargo Mortgage Backed Securities Trust, Series 2007-8, Class 2A9, 6.00%, 7/25/37 |
|
|
739 |
|
|
668,406 |
|
|
|
|
Wells Fargo Mortgage Backed Securities Trust, Series 2007-10, Class 1A21, 6.00%, 7/25/37 |
|
|
679 |
|
|
490,345 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,435,175 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities (Non-Agency) - 19.1% |
|
Banc of America Commercial Mortgage, Inc., Series 2007-3, Class A2, 5.84%, 6/10/49 (a) |
|
|
14,000 |
|
|
14,244,965 |
|
|
|
|
Bank of America Commercial Mortgage, Inc., Series 2005-1, Class 4A, 5.14%, 11/10/42 (a) |
|
|
2,180 |
|
|
2,241,603 |
|
|
|
|
Bear Stearns Commercial Mortgage Securities, Series 2005-PWR9, Class A2, 4.74%, 9/11/42 |
|
|
4,895 |
|
|
4,896,953 |
|
|
|
|
CS First Boston Mortgage Securities Corp., Series 2002-CP5, Class A2, 4.94%, 12/15/35 |
|
|
2,720 |
|
|
2,798,064 |
|
|
|
|
Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.30%, 12/10/49 (a) |
|
|
1,370 |
|
|
1,190,832 |
|
|
|
|
Commercial Mortgage Pass-Through Certificates, Series 2004-LB3A, Class A3, 5.09%, 7/10/37 (a) |
|
|
960 |
|
|
966,953 |
|
|
|
|
First Union National Bank Commercial Mortgage, Series 2001-C3, Class A3, 6.42%, 8/15/33 |
|
|
2,783 |
|
|
2,923,110 |
|
|
|
|
First Union National Bank Commercial Mortgage, Series 2001-C4, Class A2, 6.22%, 12/12/33 |
|
|
2,265 |
|
|
2,377,936 |
|
|
|
|
GMAC Commercial Mortgage Securities, Inc., Series 2002-C3, Class A2, 4.93%, 7/10/39 |
|
|
2,350 |
|
|
2,434,183 |
|
11
|
|
|
|
BlackRock Core Bond Trust (BHK) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed Securities |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-C1, Class A3, 5.86%, 10/12/35 |
|
USD |
2,140 |
|
$ |
2,215,816 |
|
|
|
|
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-CB8, Class A1A, 4.16%, 1/12/39 (b) |
|
|
840 |
|
|
816,805 |
|
|
|
|
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-CBX, Class A4, 4.53%, 1/12/37 |
|
|
2,180 |
|
|
2,192,397 |
|
|
|
|
JPMorgan Commercial Mortgage Finance Corp., Series 2000-C10, Class A2, 7.37%, 8/15/32 (a) |
|
|
707 |
|
|
707,941 |
|
|
|
|
LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class A4, 4.95%, 9/15/30 |
|
|
4,375 |
|
|
4,304,965 |
|
|
|
|
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class A4, 5.86%, 7/15/40 (a) |
|
|
931 |
|
|
767,387 |
|
|
|
|
Merrill Lynch Mortgage Trust, Series 2004BPC1, Class A3, 4.47%, 10/12/41 (a) |
|
|
4,200 |
|
|
4,250,182 |
|
|
|
|
Morgan Stanley Capital I, Series 2005-T17, Class A4, 4.52%, 12/13/41 |
|
|
2,555 |
|
|
2,580,708 |
|
|
|
|
Salomon Brothers Mortgage Securities VII, Inc., Series 2000-C1, Class A2, 7.52%, 2/18/32 (a) |
|
|
15 |
|
|
14,782 |
|
|
|
|
Wachovia Bank Commercial Mortgage Trust, Series 2005-C21, Class A3, 5.38%, 10/15/44 (a) |
|
|
910 |
|
|
916,001 |
|
|
|
|
Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A2, 5.50%, 10/15/48 (k) |
|
|
14,000 |
|
|
14,142,058 |
|
|
|
|
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, 6.10%, 2/15/51 (a) |
|
|
995 |
|
|
848,025 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
67,831,666 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Non-Agency Mortgage-Backed Securities - 24.6% |
|
|
|
|
|
87,266,841 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Other Interests (l) |
|
Beneficial |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Auto Components - 0.0% |
|
Lear Corp. Escrow |
|
|
120 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services - 0.0% |
|
Critical Care Systems International, Inc. |
|
|
2 |
|
|
381 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Other Interests - 0.00% |
|
|
|
|
|
381 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Securities |
|
Par |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Trusts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Markets - 0.1% |
|
Credit Suisse Guernsey Ltd., 5.86% (a)(m) |
|
|
494 |
|
|
411,255 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks - 0.4% |
|
Barclays Bank Plc, 7.43% (a)(b)(m) |
|
|
1,500 |
|
|
1,380,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities - 0.2% |
|
PECO Energy Capital Trust IV, 5.75%, 6/15/33 |
|
|
790 |
|
|
594,157 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance - 1.0% |
|
The Allstate Corp., 6.50%, 5/15/67 (a) |
|
|
1,950 |
|
|
1,618,500 |
|
|
|
|
Lincoln National Corp., 6.05%, 4/20/67 (a) |
|
|
675 |
|
|
482,625 |
|
|
|
|
Progressive Corp., 6.70%, 6/15/67 (a) |
|
|
605 |
|
|
514,250 |
|
|
|
|
The Travelers Cos., Inc., 6.25%, 3/15/67 (a) |
|
|
675 |
|
|
611,638 |
|
|
|
|
ZFS Finance (USA) Trust V, 6.50%, 5/09/67 (a)(b) |
|
|
675 |
|
|
538,313 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,765,326 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Capital Trusts - 1.7% |
|
|
|
|
|
6,150,738 |
|
|
|
|
|
|
|
|
|
|
|
|
12
|
|
|
|
BlackRock Core Bond Trust (BHK) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Stocks |
|
|
Shares |
|
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media - 0.0% |
|
CMP Susquemanna Radio Holdings Corp., 0.00% (a)(b)(c) |
|
|
12,033 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Stocks - 0.0% |
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Securities - 1.7% |
|
|
|
|
$ |
6,150,738 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Taxable Municipal Bonds |
|
|
Par |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
County/City/Special District/School District - 0.1% |
|
Dallas Area Rapid Transit, RB, Build America Bonds, 6.00%, 12/01/44 |
|
USD |
255 |
|
|
277,384 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Consumer Services -0.3% |
|
The Board of Trustees of The Leland Stanford Junior University, 4.25%, 5/01/16 |
|
|
435 |
|
|
468,595 |
|
|
|
|
Princeton University, 5.70%, 3/01/39 |
|
|
575 |
|
|
613,404 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,081,999 |
|
|
|
|
|
|
|
|
|
|
|
|
|
State - 1.4% |
|
New York State Dormitory Authority, RB, Build America Bonds, Taxable, 5.63%, 3/15/39 |
|
|
550 |
|
|
556,886 |
|
|
|
|
State of California, GO, Build America Bonds, 7.30%, 10/01/39 |
|
|
730 |
|
|
729,985 |
|
|
|
|
State of California, GO, Taxable, Various Purpose 3, 5.45%, 4/01/15 |
|
|
2,300 |
|
|
2,395,404 |
|
|
|
|
State of Texas, GO, Build America Bonds, Taxable, 5.52%, 4/01/39 |
|
|
1,290 |
|
|
1,333,292 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,015,567 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Transportation - 0.3% |
|
Metropolitan Transportation Authority, RB, Build America Bonds, Taxable, 7.34%, 11/15/39 |
|
|
625 |
|
|
744,844 |
|
|
|
|
Port Authority of New York & New Jersey, RB, Consolidated, 159th Series, 6.04%, 12/01/29 |
|
|
385 |
|
|
402,383 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,147,227 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities - 0.2% |
|
Chicago Metropolitan Water Reclamation District-Greater Chicago Illinois, GO, Build America Bonds, Taxable, 5.72%, 12/01/38 |
|
|
485 |
|
|
513,514 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Taxable Municipal Bonds - 2.3% |
|
|
|
|
|
8,035,691 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Sponsored Agency Securities |
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
Agency Obligations - 8.1% |
|
Fannie Mae, 2.63%, 11/20/14 (e) |
|
|
2,060 |
|
|
2,097,323 |
|
|
|
|
Fannie Mae, 6.45%, 10/09/19 (e)(n) |
|
|
5,875 |
|
|
3,379,265 |
|
|
|
|
Fannie Mae, 7.13%, 1/15/30 (e) |
|
|
2,775 |
|
|
3,652,491 |
|
|
|
|
Fannie Mae, 5.63%, 7/15/37 (o) |
|
|
775 |
|
|
863,942 |
|
|
|
|
Federal Home Loan Banks, 5.38%, 9/30/22 (e)(o) |
|
|
5,400 |
|
|
6,033,641 |
|
|
|
|
Federal Home Loan Banks, 5.25%, 12/09/22 (e)(o) |
|
|
675 |
|
|
738,929 |
|
|
|
|
Federal Home Loan Banks, 5.37%, 9/09/24 (e) |
|
|
1,075 |
|
|
1,196,266 |
|
|
|
|
Freddie Mac, 1.13%, 12/15/11 (e) |
|
|
5,495 |
|
|
5,526,805 |
|
|
|
|
Freddie Mac, 5.50%, 8/23/17 (e) |
|
|
2,425 |
|
|
2,803,171 |
|
|
|
|
Resolution Funding Corp., 6.39%, 7/15/18 (n) |
|
|
525 |
|
|
379,778 |
|
|
|
|
Resolution Funding Corp., 6.40%, 10/15/18 (n) |
|
|
525 |
|
|
374,269 |
|
|
|
|
Tennessee Valley Authority, 5.25% 9/15/39 |
|
|
1,710 |
|
|
1,750,257 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,796,137 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations - 0.8% |
|
Fannie Mae Trust, Series 2005-5, Class PK, 5.00% 12/25/34 |
|
|
1,633 |
|
|
1,750,637 |
|
13
|
|
|
|
BlackRock Core Bond Trust (BHK) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Sponsored Agency Securities |
|
|
Par |
|
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Freddie Mac Multiclass Certificates, Series 2825, Class VP, 5.50%, 6/15/15 |
|
USD |
1,003 |
|
$ |
1,086,807 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,837,444 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Federal Deposit Insurance Corporation Guaranteed - 5.9% |
|
Citibank NA, 1.38%, 8/10/11 (e) |
|
|
5,100 |
|
|
5,151,586 |
|
|
|
|
Citibank NA, 1.75%, 12/28/12 (e) |
|
|
2,285 |
|
|
2,307,306 |
|
|
|
|
Citigroup Funding, Inc., 2.13%, 7/12/12 (e) |
|
|
1,415 |
|
|
1,449,452 |
|
|
|
|
Citigroup Funding, Inc., 1.88%, 10/22/12 (e) |
|
|
2,800 |
|
|
2,838,998 |
|
|
|
|
General Electric Capital Corp., 2.25%, 3/12/12 (e) |
|
|
1,850 |
|
|
1,897,480 |
|
|
|
|
General Electric Capital Corp., 2.00%, 9/28/12 (e) |
|
|
1,850 |
|
|
1,883,979 |
|
|
|
|
General Electric Capital Corp., 2.13%, 12/21/12 (e) |
|
|
2,750 |
|
|
2,805,388 |
|
|
|
|
General Electric Capital Corp., 2.63%, 12/28/12 (e) |
|
|
2,400 |
|
|
2,487,780 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,821,969 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Only Collateralized Mortgage Obligations (US) - 0.6% |
|
Fannie Mae Trust, Series 2004-90, Class JH, 1.83% 11/25/34 |
|
|
16,465 |
|
|
1,558,985 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 2579, Class HI, 5.00%, 8/15/17 |
|
|
1,142 |
|
|
84,382 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 2611, Class QI, 5.50%, 9/15/32 |
|
|
3,822 |
|
|
430,794 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,074,161 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgaged-Backed Securities (US) - 29.0% |
|
Fannie Mae Guaranteed Pass-Through Certificates: |
|
|
|
|
|
|
|
|
|
|
4.50%, 4/01/39 - 1/15/40 (d)(e)(p) |
|
|
36,488 |
|
|
37,453,674 |
|
|
|
|
5.00%, 1/01/23 - 1/15/40 (e)(p) |
|
|
24,478 |
|
|
25,647,141 |
|
|
|
|
5.50%, 12/15/24 - 1/15/40 (e)(p) |
|
|
10,900 |
|
|
11,568,623 |
|
|
|
|
6.00%, 8/01/29 - 1/15/40 (e)(p) |
|
|
18,287 |
|
|
19,687,163 |
|
|
|
|
Freddie Mac Mortgage Participation Certificates: |
|
|
|
|
|
|
|
|
|
|
5.00%, 2/01/22 - 12/15/39 (e)(p) |
|
|
1,797 |
|
|
1,915,650 |
|
|
|
|
5.50%, 11/01/38 - 12/15/39 (e)(p) |
|
|
4,455 |
|
|
4,748,090 |
|
|
|
|
6.00%, 2/01/13 - 12/01/18 (d)(e) |
|
|
1,570 |
|
|
1,698,804 |
|
|
|
|
Ginnie Mae MBS Certificates, 5.50%, 8/15/33 (d) |
|
|
144 |
|
|
154,079 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
102,873,224 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Government Sponsored Agency Securities - 44.4% |
|
|
157,402,935 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Bonds, 7.25%, 5/15/16 |
|
|
680 |
|
|
870,559 |
|
|
|
|
U.S. Treasury Bonds, 8.00%, 11/15/21 (e) |
|
|
6,300 |
|
|
9,025,733 |
|
|
|
|
U.S. Treasury Bonds, 7.13%, 2/15/23 |
|
|
1,150 |
|
|
1,560,406 |
|
|
|
|
U.S. Treasury Bonds, 6.13%, 11/15/27 (e) |
|
|
1,440 |
|
|
1,831,275 |
|
|
|
|
U.S. Treasury Notes, 1.38%, 11/15/12 |
|
|
5 |
|
|
5,039 |
|
|
|
|
U.S. Treasury Notes, 2.25%, 10/31/14 |
|
|
4,680 |
|
|
4,768,124 |
|
|
|
|
U.S. Treasury Notes, 4.00%, 8/15/18 |
|
|
3,200 |
|
|
3,424,998 |
|
|
|
|
U.S. Treasury Notes, 3.38%, 11/15/19 |
|
|
11,265 |
|
|
11,430,483 |
|
|
|
|
U.S. Treasury Notes, 8.13%, 5/15/21 (e) |
|
|
6,750 |
|
|
9,696,794 |
|
|
|
|
U.S. Treasury Notes, 5.25%, 2/15/29 (e) |
|
|
2,400 |
|
|
2,777,251 |
|
|
|
|
U.S. Treasury Notes, 4.25%, 5/15/39 (e) |
|
|
3,925 |
|
|
3,955,050 |
|
|
|
|
U.S. Treasury Strips, 4.64%, 8/15/20 (e)(n) |
|
|
6,150 |
|
|
4,139,179 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Treasury Obligations - 15.1% |
|
|
|
|
|
53,484,891 |
|
|
|
|
|
|
|
|
|
|
|
|
14
|
|
|
|
BlackRock Core Bond Trust (BHK) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Warrants (q) |
|
|
Shares |
|
|
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
Auto Components - 0.0% |
|
Lear Corp. (expires 11/09/14) |
|
|
470 |
|
$ |
28,927 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Media - 0.0% |
|
CMP Susquemanna Radio Holdings Corp. (expires 3/26/19) (b) |
|
|
13,751 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Warrants - 0.0% |
|
|
|
|
|
28,927 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Long-Term Investments |
|
|
|
|
|
601,231,320 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Purchased |
|
Contracts (r) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Over-the-Counter Call Swaptions Purchased |
|
Receive a fixed rate of 2.75% and pay a floating rate based on 3-month USD LIBOR, expires 12/17/09, Broker Morgan Stanley Capital Services, Inc. |
|
|
13 |
|
|
26,472 |
|
|
|
|
Receive a fixed rate of 2.50% and pay a floating rate based on 3-month USD LIBOR, expires 3/12/10, Broker Barclays Bank Plc |
|
|
3 |
|
|
54 |
|
|
|
|
Receive a fixed rate of 3.75% and pay a floating rate based on 3-month LIBOR, expires 5/24/10, Broker Citibank NA |
|
|
6 |
|
|
264,346 |
|
|
|
|
Receive a fixed rate of 1.92% and pay a floating rate based on 3-month USD LIBOR, expires 9/02/10, Broker Morgan Stanley Capital Service, Inc. |
|
|
26 |
|
|
222,947 |
|
|
|
|
Receive a fixed rate of 1.95% and pay a floating rate based on 3-month USD LIBOR, expires 9/18/10, Broker Citibank NA |
|
|
26 |
|
|
228,982 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
742,801 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Over-the-Counter Put Swaptions Purchased |
|
Pay a fixed rate of 5.35% and receive a floating rate based on 3-month USD LIBOR, expires 2/04/10, Broker JPMorgan Chase Bank NA |
|
|
36 |
|
|
2,293 |
|
|
|
|
Pay a fixed rate of 4.50% and receive a floating rate based on 3-month USD LIBOR, expires 3/15/10, Broker Royal Bank of Scotland Plc |
|
|
16 |
|
|
47,223 |
|
|
|
|
Pay a fixed rate of 3.75% and receive a floating rate based on 3-month LIBOR, expires 5/24/10, Broker Citibank NA |
|
|
6 |
|
|
141,114 |
|
|
|
|
Pay a fixed rate of 1.92% and receive a floating rate based on 3-month USD LIBOR, expires 9/02/10, Broker Morgan Stanley Capital Services |
|
|
26 |
|
|
49,547 |
|
|
|
|
Pay a fixed rate of 1.95% and receive a floating rate based on 3-month USD LIBOR, expires 9/08/10, Broker Citibank NA |
|
|
26 |
|
|
48,796 |
|
|
|
|
Pay a fixed rate of 5.04% and receive a floating rate based on 3-month USD LIBOR, expires 10/15/12, Broker JPMorgan Chase Bank NA |
|
|
28 |
|
|
1,340,037 |
|
|
|
|
Pay a fixed rate of 5.17% and receive a floating rate based on 3-month USD LIBOR, expires 10/23/12, Broker JPMorgan Chase Bank NA |
|
|
27 |
|
|
1,243,522 |
|
|
|
|
Pay a fixed rate of 5.09% and receive a floating rate based on 3-month LIBOR, expires 10/29/12, Broker Credit Suisse International |
|
|
4 |
|
|
207,253 |
|
15
|
|
|
|
BlackRock Core Bond Trust (BHK) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Purchased |
|
Contracts (r) |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Pay a fixed rate of 4.71% and receive a floating rate based on 3-month USD LIBOR, expires 11/18/13, Broker JPMorgan Chase Bank NA |
|
|
12 |
|
$ |
431,403 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,511,188 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts (s) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange-Traded Put Option Purchased |
|
Euro-Dollar Future, Strike Price USD 98.75, Expires 9/13/10 |
|
|
231 |
|
|
95,288 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Options Purchased |
|
|
|
|
|
4,349,277 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Investments Before TBA Sale |
|
|
|
|
|
605,580,597 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TBA Sale Commitments (p) |
|
|
Par |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fannie Mae Guaranteed Pass-Through Certificates: |
|
|
|
|
|
|
|
|
|
|
4.50%, 4/01/39 - 1/15/40 |
|
USD |
(20,600) |
|
|
(21,143,963) |
|
|
|
|
5.00%, 1/01/23 - 1/15/40 |
|
|
(1,000) |
|
|
(1,062,188) |
|
|
|
|
6.00%, 8/01/29 - 1/15/40 |
|
|
(4,600) |
|
|
(4,930,625) |
|
|
|
|
Freddie Mac Mortgage Participation Certificates: |
|
|
|
|
|
|
|
|
|
|
5.00%, 2/01/22 - 12/15/39 |
|
|
(1,600) |
|
|
(1,699,250) |
|
|
|
|
5.50%, 11/01/38 - 12/15/39 |
|
|
(4,400) |
|
|
(4,683,250) |
|
|
|
|
Ginnie Mae MBS Certificates, 5.50%, 8/15/33 |
|
|
(100) |
|
|
(106,578) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TBA Sale
Commitments |
|
|
|
|
|
(33,625,854) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written |
|
Contracts (r) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Over-the-Counter Call Swaptions Written |
|
Pay a fixed rate of 2.45% and receive a floating rate based on 3-month USD LIBOR, expires 12/19/09, Broker Barclays Bank Plc |
|
|
11 |
|
|
(105) |
|
|
|
|
Pay a fixed rate of 5.67% and receive a floating rate based on 3-month LIBOR, expires 1/04/10, Broker Citibank NA |
|
|
12 |
|
|
(2,326,496) |
|
|
|
|
Pay a fixed rate of 3.58% and receive a floating rate based on 3-month USD LIBOR, expires 1/08/10, Broker Deutsche Bank AG |
|
|
11 |
|
|
(263,156) |
|
|
|
|
Pay a fixed rate of 3.50% and receive a floating rate based on 3-month USD LIBOR, expires 1/11/10, Broker Deutsche Bank AG |
|
|
8 |
|
|
(154,962) |
|
|
|
|
Pay a fixed rate of 3.60% and receive a floating rate based on 3-month USD LIBOR, expires 2/04/10, Broker JPMorgan Chase Bank NA |
|
|
3 |
|
|
(77,843) |
|
|
|
|
Pay a fixed rate of 3.65% and receive a floating rate based on 3-month USD LIBOR, expires 3/20/10, Broker Citibank NA |
|
|
9 |
|
|
(302,976) |
|
16
|
|
|
|
BlackRock Core Bond Trust (BHK) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written |
|
|
Contracts (r) |
|
|
Value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pay a fixed rate of 3.74% and receive a floating rate based on 3-month USD LIBOR, expires 3/25/10, Broker Citibank NA |
|
|
5 |
|
$ |
(193,865) |
|
|
|
|
Pay a fixed rate of 3.14% and receive a floating rate based on 3-month USD LIBOR, expires 4/01/10, Barclays Bank Plc |
|
|
4 |
|
|
(38,528) |
|
|
|
|
Pay a fixed rate of 3.80% and receive a floating rate based on 3-month USD LIBOR, expires 5/15/10, Broker Morgan Stanley Capital Services, Inc. |
|
|
12 |
|
|
(507,299) |
|
|
|
|
Pay a fixed rate of 4.13% and receive a floating rate based on 3-month USD LIBOR, expires 9/08/10, Broker Citibank NA |
|
|
8 |
|
|
(508,488) |
|
|
|
|
Pay a fixed rate of 4.08% and receive a floating rate based on 3-month USD LIBOR, expires 9/24/10, Broker Deutsch Bank AG |
|
|
9 |
|
|
(538,566) |
|
|
|
|
Pay a fixed rate of 4.92% and receive a floating rate based on 3-month USD LIBOR, expires 11/20/10, Broker Barclays Bank Plc |
|
|
15 |
|
|
(1,722,360) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(6,634,644) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Over-the-Counter Put Swaptions Written |
|
Receive a fixed rate of 2.45% and pay a floating rate based on 3-month USD LIBOR, expires 12/19/09, Broker Barclays Bank Plc |
|
|
11 |
|
|
(799,953) |
|
|
|
|
Receive a fixed rate of 5.67% and pay a floating rate based on 3-month LIBOR, expires 1/04/10, Broker Citibank NA |
|
|
12 |
|
|
(115) |
|
|
|
|
Receive a fixed rate of 4.08% and pay a floating rate based on 3-month USD LIBOR, expires 1/8/10, Broker Deutsche Bank AG |
|
|
11 |
|
|
(6,360) |
|
|
|
|
Receive a fixed rate of 4.00% and pay a floating rate based on 3-month USD LIBOR, expires 1/11/10, Broker Deutsche Bank AG |
|
|
8 |
|
|
(7,954) |
|
|
|
|
Receive a fixed rate of 4.10% and pay a floating rate based on 3-month USD LIBOR, expires 2/04/10, Broker JPMorgan Chase Bank NA |
|
|
3 |
|
|
(6,650) |
|
|
|
|
Receive a fixed rate of 4.50% and pay a floating rate based on 3-month USD LIBOR, expires 3/12/10, Broker Barclays Bank Plc |
|
|
3 |
|
|
(56,179) |
|
|
|
|
Receive a fixed rate of 5.50% and pay a floating rate based on 3-month USD LIBOR, expires 3/15/10, Broker Royal Bank of Scotland Plc |
|
|
16 |
|
|
(7,298) |
|
|
|
|
Receive a fixed rate of 3.65% and pay a floating rate based on 3-month LIBOR, expires 3/20/10, Broker Citibank NA |
|
|
9 |
|
|
(150,282) |
|
|
|
|
Receive a fixed rate of 3.74% and pay a floating rate based on 3-month USD LIBOR, expires 3/25/10, Broker Citibank NA |
|
|
5 |
|
|
(69,300) |
|
17
|
|
|
|
BlackRock Core Bond Trust (BHK) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
|
Options Written |
|
Contracts (r) |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Receive a fixed rate of 3.14% and pay a floating rate based on 3-month USD LIBOR, expires 4/01/10, Broker Barclays Bank Plc |
|
4 |
|
|
$ |
(135,804 |
) |
|
|
|
Receive a fixed rate of 4.50% and pay a floating rate based on 3-month USD LIBOR, expires 5/15/10, Broker Morgan Stanley Capital Services, Inc. |
|
12 |
|
|
|
(98,981 |
) |
|
|
|
Receive a fixed rate of 4.13% and pay a floating rate based on 3-month USD LIBOR, expires 9/08/10, Broker Citibank NA |
|
8 |
|
|
|
(193,432 |
) |
|
|
|
Receive a fixed rate of 4.08% and pay a floating rate based on 3-month LIBOR, expires 9/24/10, Broker Deutsche Bank AG |
|
9 |
|
|
|
(239,463 |
) |
|
|
|
Receive a fixed rate of 4.92% and pay a floating rate based on 3-month USD LIBOR, expires 11/20/10, Broker Barclays Bank Plc |
|
15 |
|
|
|
(226,815 |
) |
|
|
|
Receive a fixed rate of 6.04% and pay a floating rate based on 3-month USD LIBOR, expires 10/15/12, Broker JPMorgan Chase Bank NA |
|
28 |
|
|
|
(843,780 |
) |
|
|
|
Receive a fixed rate of 6.17% and pay a floating rate based on 3-month USD LIBOR, expires 10/23/12, Broker JPMorgan Chase Bank NA |
|
27 |
|
|
|
(787,202 |
) |
|
|
|
Receive a fixed rate of 6.09% and pay a floating rate based on 3-month LIBOR, expires 10/29/12, Broker Credit Suisse International |
|
4 |
|
|
|
(130,992 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(3,760,560 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contract (s) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange-Traded Put Option Written |
|
Euro-Dollar Future, Strike Price USD 98.25, Expires 9/13/10 |
|
231 |
|
|
|
(56,306 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Options Written |
|
|
|
|
|
(10,451,510 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments, Net of TBA Sale Commitments and Options Written - 158.4% |
|
|
|
|
|
561,503,233 |
|
|
|
|
Liabilities in Excess of Other Assets - (58.4)% |
|
|
|
|
|
(206,908,659 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets - 100.0% |
|
|
|
|
$ |
354,594,574 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
The cost and unrealized appreciation (depreciation) of investments as of November 30, 2009, as computed for federal income tax purposes, were as follows: |
|
|
|
|
|
|
|
Aggregate cost |
|
$ |
594,844,958 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
$ |
27,363,679 |
|
|
Gross unrealized depreciation |
|
|
(16,628,040 |
) |
|
|
|
|
|
|
|
Net unrealized appreciation |
|
$ |
10,735,639 |
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Variable rate security. Rate shown is as of report date. |
|
|
|
|
|
|
(b) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
|
|
|
|
|
|
(c) |
Non-income producing security |
|
|
|
|
|
|
(d) |
All or a portion of security has been pledged as collateral in connection with open swap contracts. |
|
|
|
|
|
|
(e) |
All or a portion of security has been pledged as collateral for reverse repurchase agreements. |
18
|
|
|
|
|
BlackRock Core Bond Trust (BHK) |
||
|
Schedule of Investments November 30, 2009 (Unaudited) |
||
|
|
||
|
|
(f) |
Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown reflects the current yield as of report date. |
|
|
|
|
|
|
(g) |
Convertible security. |
|
|
|
|
|
|
(h) |
Issuer filed for bankruptcy and/or is in default of interest payments. |
|
|
|
|
|
|
(i) |
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
|
|
|
|
|
|
(j) |
When-issued security. Unsettled when-issued securities were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Counterparty |
|
Value |
|
Unrealized |
|
||
|
|
|
|
|
|
|
||
|
Deutsche Bank Securities |
|
$ |
748,057 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(k) |
Security held as collateral in connection with TALF program. |
|
|
|
|
|
|
(l) |
Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing. |
|
|
|
|
|
|
(m) |
Security is perpetual in nature and has no stated maturity date. |
|
|
|
|
|
|
(n) |
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
|
|
|
|
|
|
(o) |
All or a portion of the security has been pledged as collateral in connection with open financial futures contracts. |
|
|
|
|
|
|
(p) |
Represents or includes a “to-be-announced” transaction. The Trust has committed to purchasing (selling) securities for which all specific information is not available at this time. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Counterparty |
|
Value |
|
Unrealized |
|
||
|
|
|
|
|
|
|
||
|
Bank of America Securities LLC |
|
$ |
4,404,750 |
|
$ |
33,469 |
|
|
Citigroup Global Markets, Inc. |
|
|
102,641 |
|
|
1,766 |
|
|
Deutsche Bank Securities, Inc. |
|
|
(231,326 |
) |
|
(176,084 |
) |
|
Goldman Sachs & Company |
|
|
34,559,535 |
|
|
136,754 |
|
|
JPMorgan Securities, Ltd. |
|
|
5,236,858 |
|
|
46,452 |
|
|
Morgan Stanley & Co. Inc. |
|
|
(5,341,187 |
) |
|
(21,078 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(q) |
Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date. |
|
|
|
|
|
|
(r) |
One contract represents a notional amount of $1 million. |
|
|
|
|
|
|
(s) |
One contract represents a notional amount of $2,500. |
|
|
|
|
|
|
• |
Investments in companies considered to be an affiliate of the Trust, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate |
|
Net Activity |
|
Income |
|
||
|
|
|
|
|
|
|
||
|
BlackRock Liquidity Funds, TempFund, Institutional Class |
|
USD |
(1,735,485 |
) |
$ |
528 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
• |
For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. |
19
|
|
|
BlackRock Core Bond Trust (BHK) |
|
Schedule of Investments November 30, 2009 (Unaudited) |
|
|
|
|
|
|
|
|
• |
Reverse repurchase agreements outstanding as of November 30, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Counterparty |
|
Interest |
|
Trade |
|
Maturity |
|
Net Closing |
|
Face |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Bank of America, NA |
|
0.17% |
|
8/11/09 |
|
Open |
|
$ |
4,806,040 |
|
$ |
4,803,500 |
|
|
JPMorgan Chase Securities, Inc. |
|
0.12% |
|
9/14/09 |
|
Open |
|
|
3,442,022 |
|
|
3,440,903 |
|
|
Credit Suisse Securities (USA), Inc. |
|
0.18% |
|
9/22/09 |
|
Open |
|
|
3,594,726 |
|
|
3,593,486 |
|
|
Bank of America, NA |
|
0.15% |
|
9/30/09 |
|
Open |
|
|
9,749,455 |
|
|
9,746,938 |
|
|
Bank of America, NA |
|
0.12% |
|
10/09/09 |
|
Open |
|
|
1,081,910 |
|
|
1,081,719 |
|
|
JPMorgan Chase Securities, Inc. |
|
0.12% |
|
10/09/09 |
|
Open |
|
|
5,631,621 |
|
|
5,630,625 |
|
|
JPMorgan Chase Securities, Inc. |
|
0.13% |
|
10/09/09 |
|
Open |
|
|
1,619,995 |
|
|
1,619,750 |
|
|
Bank of America, NA |
|
0.16% |
|
10/14/09 |
|
Open |
|
|
5,050,055 |
|
|
5,049,000 |
|
|
Credit Suisse Securities (USA), Inc. |
|
0.14% |
|
10/14/09 |
|
Open |
|
|
4,555,432 |
|
|
4,554,600 |
|
|
Credit Suisse Securities (USA), Inc. |
|
0.15% |
|
10/14/09 |
|
Open |
|
|
5,887,153 |
|
|
5,886,000 |
|
|
Credit Suisse Securities (USA), Inc. |
|
0.17% |
|
10/14/09 |
|
Open |
|
|
4,067,590 |
|
|
4,066,688 |
|
|
Credit Suisse Securities (USA), Inc. |
|
0.13% |
|
10/16/09 |
|
Open |
|
|
4,172,269 |
|
|
4,171,687 |
|
|
Credit Suisse Securities (USA), Inc. |
|
0.16% |
|
10/16/09 |
|
Open |
|
|
1,832,374 |
|
|
1,832,000 |
|
|
Credit Suisse Securities (USA), Inc. |
|
0.12% |
|
10/21/09 |
|
Open |
|
|
6,080,331 |
|
|
6,079,500 |
|
|
Credit Suisse Securities (USA), Inc. |
|
0.13% |
|
10/21/09 |
|
Open |
|
|
5,324,275 |
|
|
5,323,487 |
|
|
Bank of America, NA |
|
0.35% |
|
10/21/09 |
|
Open |
|
|
1,931,431 |
|
|
1,930,661 |
|
|
Credit Suisse Securities (USA), Inc. |
|
0.10% |
|
10/23/09 |
|
Open |
|
|
1,988,408 |
|
|
1,988,209 |
|
|
Bank of America, NA |
|
0.11% |
|
10/26/09 |
|
Open |
|
|
1,416,925 |
|
|
1,416,769 |
|
|
Bank of America, NA |
|
0.11% |
|
10/27/09 |
|
Open |
|
|
2,222,400 |
|
|
2,222,162 |
|
|
BNP Paribas Securities, Corp. |
|
0.43% |
|
10/30/09 |
|
Open |
|
|
3,566,628 |
|
|
3,565,265 |
|
|
Barclays Capital, Inc. |
|
0.12% |
|
11/03/09 |
|
Open |
|
|
3,029,523 |
|
|
3,029,250 |
|
|
Barclays Capital, Inc. |
|
0.15% |
|
11/03/09 |
|
Open |
|
|
4,125,856 |
|
|
4,125,375 |
|
|
Barclays Capital, Inc. |
|
0.23% |
|
11/04/09 |
|
Open |
|
|
1,263,972 |
|
|
1,263,762 |
|
|
Morgan Stanley & Co. Inc. |
|
0.45% |
|
11/04/09 |
|
Open |
|
|
3,106,628 |
|
|
3,105,619 |
|
|
Barclays Capital, Inc. |
|
0.45% |
|
11/05/09 |
|
Open |
|
|
1,231,600 |
|
|
1,231,200 |
|
|
Morgan Stanley & Co. Inc. |
|
0.40% |
|
11/09/09 |
|
Open |
|
|
13,547,591 |
|
|
13,544,280 |
|
|
Morgan Stanley & Co. Inc. |
|
0.20% |
|
11/12/09 |
|
1/13/10 |
|
|
21,931,315 |
|
|
21,929,000 |
|
|
Morgan Stanley & Co. Inc. |
|
0.20% |
|
11/18/09 |
|
1/13/10 |
|
|
1,930,139 |
|
|
1,930,000 |
|
|
Bank of America, NA |
|
0.40% |
|
11/18/09 |
|
Open |
|
|
2,694,076 |
|
|
2,693,687 |
|
|
RBS Securities, Inc. |
|
0.18% |
|
11/19/09 |
|
Open |
|
|
1,142,668 |
|
|
1,142,600 |
|
|
Barclays Capital, Inc. |
|
0.55% |
|
11/19/09 |
|
Open |
|
|
3,066,562 |
|
|
3,066,000 |
|
|
Barclays Capital, Inc. |
|
0.42% |
|
11/20/09 |
|
Open |
|
|
11,001,834 |
|
|
11,000,422 |
|
|
Barclays Capital, Inc. |
|
0.40% |
|
11/25/09 |
|
Open |
|
|
4,528,302 |
|
|
4,528,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
150,592,144 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20
|
|
|
BlackRock Core Bond Trust (BHK) |
|
Schedule of Investments November 30, 2009 (Unaudited) |
|
|
|
|
|
|
|
• |
|
Foreign currency exchange contracts as of November 30, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
Currency |
|
|
Currency |
|
Settlement |
|
Counterparty |
|
Unrealized |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
USD |
|
11,510,311 |
|
EUR |
7,738,500 |
|
1/20/10 |
|
Citibank NA |
|
$ |
(107,331 |
) |
|
USD |
|
415,812 |
|
EUR |
279,500 |
|
1/20/10 |
|
Royal Bank of Scotland |
|
|
(3,795 |
) |
|
USD |
|
4,445,995 |
|
CAD |
4,619,500 |
|
1/27/10 |
|
Goldman Sachs Bank USA |
|
|
69,023 |
|
|
USD |
|
966,885 |
|
GBP |
577,000 |
|
1/27/10 |
|
Citibank NA |
|
|
18,031 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
$ |
(24,072 |
) |
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
• |
|
Financial futures contracts purchased as of November 30, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Contracts |
|
Issue |
|
Expiration |
|
Face |
|
Unrealized |
|
||
|
|
|
|
|
|
|
|
|
|
|
||
|
38 |
|
10-year U.S. Treasury Bond |
|
March 2010 |
|
$ |
4,527,709 |
|
$ |
29,916 |
|
|
808 |
|
30-year U.S. Treasury Bond |
|
March 2010 |
|
$ |
97,284,885 |
|
|
1,871,865 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
$ |
1,901,781 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
• |
|
Financial futures contracts sold as of November 30, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
Issue |
|
Expiration |
|
|
Face |
|
|
Unrealized |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
196 |
|
2-year U.S. Treasury Bond |
|
March 2010 |
|
$ |
42,608,131 |
|
$ |
(98,431 |
) |
|
727 |
|
5-year U.S. Treasury Bond |
|
March 2010 |
|
$ |
84,846,651 |
|
|
(405,458 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
$ |
(503,889 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
• |
|
Interest rate swaps outstanding as of November 30, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed |
|
Floating |
|
Counterparty |
|
Expiration |
|
|
Notional |
|
Unrealized |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4.86% (a) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
October 2012 |
|
USD |
9,400 |
|
$ |
898,412 |
|
|
2.79% (b) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
November 2014 |
|
USD |
2,095 |
|
|
(46,566 |
) |
|
2.37% (a) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
December 2014 |
|
USD |
13,600 |
|
|
27,074 |
|
|
2.22% (a) |
|
3-month LIBOR |
|
Citibank NA |
|
January 2016 |
|
USD |
12,500 |
|
|
(316,229 |
) |
|
3.89% (a) |
|
3-month LIBOR |
|
Citibank NA |
|
July 2019 |
|
USD |
20,000 |
|
|
1,069,522 |
|
|
3.68% (a) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
August 2019 |
|
USD |
8,000 |
|
|
284,648 |
|
21
|
|
|
|
|
BlackRock Core Bond Trust (BHK) |
||
|
Schedule of Investments November 30, 2009 (Unaudited) |
||
|
|
|
|
|
• |
|
Interest rate swaps outstanding as of November 30, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed |
|
Floating |
|
Counterparty |
|
Expiration |
|
|
Notional |
|
|
Unrealized |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3.50% (a) |
|
3-month LIBOR |
|
Citibank NA |
|
September 2019 |
|
USD |
3,800 |
|
$ |
74,425 |
|
|
3.50% (a) |
|
3-month LIBOR |
|
Bank of America NA |
|
September 2019 |
|
USD |
5,400 |
|
|
105,195 |
|
|
3.47% (a) |
|
3-month LIBOR |
|
Royal Bank of Scotland Plc |
|
September 2019 |
|
USD |
7,500 |
|
|
124,800 |
|
|
3.12% (b) |
|
3-month LIBOR |
|
Barclays Bank Plc |
|
October 2019 |
|
USD |
8,900 |
|
|
(142,834 |
) |
|
3.73% (b) |
|
3-month LIBOR |
|
Citibank NA |
|
October 2019 |
|
USD |
2,100 |
|
|
(80,134 |
) |
|
5.49% (b) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
October 2019 |
|
USD |
4,500 |
|
|
(689,339 |
) |
|
3.50% (b) |
|
3-month LIBOR |
|
Morgan Stanley Capital Services, Inc. |
|
November 2019 |
|
USD |
1,100 |
|
|
(19,792 |
) |
|
3.44% (a) |
|
3-month LIBOR |
|
Bank of America NA |
|
November 2019 |
|
USD |
900 |
|
|
11,356 |
|
|
3.46% (b) |
|
3-month LIBOR |
|
Morgan Stanley Capital Services, Inc. |
|
November 2019 |
|
USD |
15,000 |
|
|
(208,877 |
) |
|
3.31% (a) |
|
3-month LIBOR |
|
Barclays Bank Plc |
|
December 2019 |
|
USD |
10,700 |
|
|
14,420 |
|
|
3.31% (a) |
|
3-month LIBOR |
|
Royal Bank of Scotland Plc |
|
December 2019 |
|
USD |
1,600 |
|
|
2,491 |
|
|
4.24% (b) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
August 2020 |
|
USD |
1,345 |
|
|
(78,607 |
) |
|
4.42% (b) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
August 2020 |
|
USD |
4,410 |
|
|
(309,068 |
) |
|
5.41% (a) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
August 2022 |
|
USD |
8,545 |
|
|
1,642,327 |
|
|
5.37% (b) |
|
3-month LIBOR |
|
Bank of America NA |
|
September 2027 |
|
USD |
8,000 |
|
|
(1,604,097 |
) |
|
4.84% (b) |
|
3-month LIBOR |
|
Morgan Stanley Capital Services, Inc. |
|
January 2038 |
|
USD |
6,000 |
|
|
(851,068 |
) |
|
4.35% (b) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
July 2039 |
|
USD |
2,500 |
|
|
(145,347 |
) |
|
3.50% (b) |
|
3-month LIBOR |
|
Barclays Bank Plc |
|
March 2040 |
|
USD |
900 |
|
|
93,441 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
(143,847 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Pays floating interest rate and receives fixed rate. |
|
|
|
|
(b) |
Pays fixed interest rate and receives floating rate. |
22
|
|
|
BlackRock Core Bond Trust (BHK) |
|
Schedule of Investments November 30, 2009 (Unaudited) |
|
|
|
|
|
|
|
• |
|
Credit default swaps on single-name issues - buy protection outstanding as of November 30, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer |
|
Pay |
|
Counterparty |
|
Expiration |
|
|
Notional |
|
Unrealized |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
iStar Financial, Inc. |
|
5.00% |
|
Morgan Stanley Capital Services, Inc. |
|
September 2011 |
|
USD |
260 |
|
$ |
18,429 |
|
|
NOVA Chemicals Corp. |
|
5.00% |
|
Citibank NA |
|
March 2012 |
|
USD |
50 |
|
|
(1,472 |
) |
|
Macy’s, Inc. |
|
7.50% |
|
Morgan Stanley Capital Services, Inc. |
|
June 2012 |
|
USD |
405 |
|
|
(50,425 |
) |
|
Macy’s, Inc. |
|
8.00% |
|
Morgan Stanley Capital Services, Inc. |
|
June 2012 |
|
USD |
145 |
|
|
(19,820 |
) |
|
NOVA Chemicals Corp. |
|
5.00% |
|
JPMorgan Chase Bank NA |
|
June 2012 |
|
USD |
65 |
|
|
(1,393 |
) |
|
Knight Inc. |
|
1.00% |
|
Morgan Stanley Capital Services, Inc. |
|
September 2012 |
|
USD |
190 |
|
|
195 |
|
|
Belo Corp. |
|
5.00% |
|
Barclays Bank Plc |
|
June 2013 |
|
USD |
190 |
|
|
(28,452 |
) |
|
Masco Corp. |
|
5.00% |
|
JPMorgan Chase Bank NA |
|
September 2013 |
|
USD |
225 |
|
|
(11,551 |
) |
|
Centex Corp. |
|
4.37% |
|
Deutsche Bank AG |
|
December 2013 |
|
USD |
940 |
|
|
(122,772 |
) |
|
Centex Corp. |
|
4.40% |
|
JPMorgan Chase Bank NA |
|
December 2013 |
|
USD |
550 |
|
|
(72,473 |
) |
|
NOVA Chemicals Corp. |
|
5.00% |
|
Goldman Sachs Bank USA |
|
December 2013 |
|
USD |
300 |
|
|
(18,136 |
) |
|
D.R. Horton, Inc. |
|
1.00% |
|
JPMorgan Chase Bank NA |
|
March 2014 |
|
USD |
1,040 |
|
|
(1,264 |
) |
|
Hertz Global Holdings, Inc. |
|
5.00% |
|
Goldman Sachs Bank USA |
|
March 2014 |
|
USD |
130 |
|
|
(37,374 |
) |
|
Toll Brothers Finance Corp. |
|
2.00% |
|
JPMorgan Chase Bank NA |
|
March 2014 |
|
USD |
250 |
|
|
(3,964 |
) |
|
Brunswick Corp. |
|
5.00% |
|
Credit Suisse International |
|
September 2014 |
|
USD |
1,250 |
|
|
(70,741 |
) |
|
Macy’s, Inc. |
|
1.00% |
|
Morgan Stanley Capital Services, Inc. |
|
September 2014 |
|
USD |
150 |
|
|
3,207 |
|
23
|
|
|
BlackRock Core Bond Trust (BHK) |
|
Schedule of Investments November 30, 2009 (Unaudited) |
|
|
|
|
|
|
• |
Credit default swaps on single-name issues - buy protection outstanding as of November 30, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Energy Future Holdings Corp. |
|
5.00 |
% |
JPMorgan
Chase Bank |
|
December 2014 |
|
USD |
195 |
|
$ |
(6,646 |
) |
|
Huntsman International LLC |
|
5.00 |
% |
Goldman
Sachs Bank |
|
December 2014 |
|
USD |
265 |
|
|
(87,974 |
) |
|
Pulte Homes, Inc. |
|
3.00 |
% |
JPMorgan
Chase Bank |
|
March 2015 |
|
USD |
310 |
|
|
(15,254 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lennar Corp. |
|
5.86 |
% |
JPMorgan
Chase Bank |
|
June 2015 |
|
USD |
400 |
|
|
(43,893 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
(571,773 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
• |
Portfolio Abbreviations: |
|
|
|
||
|
|
CAD |
Canadian Dollar |
|
|
EUR |
Euro |
|
|
GBP |
British Pound |
|
|
GO |
General Obligations |
|
|
LIBOR |
London Interbank Offered Rates |
|
|
RB |
Revenue Bonds |
|
|
USD |
US Dollar |
24
|
|
|
BlackRock Core Bond Trust (BHK) |
|
Schedule of Investments November 30, 2009 (Unaudited) |
|
|
|
|
|
|
|
• |
Fair Value Measurements - Various inputs are used in determining the fair value of investments, which are as follows: |
|
|
|
|
|
|
|
• |
Level 1 - price quotations in active markets/exchanges for identical assets and liabilities |
|
|
|
|
|
|
• |
Level 2 - other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
|
|
|
|
|
|
• |
Level 3 - unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments) |
|
|
|
|
|
|
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to the Trust’s most recent financial statements as contained in its annual report. |
|
|
|
|
|
|
|
The following table summarizes the inputs used as of November 30, 2009 in determining the fair valuation of the Trust’s investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Valuation Inputs |
|
Investments in |
|
||||
|
|
|
|
|
||||
|
|
|
Assets |
|
Liabilities |
|
||
|
|
|
|
|
|
|
||
|
Level 1 |
|
|
|
|
|
|
|
|
Long-Term Investments: |
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
75,971 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
Level 2 |
|
|
|
|
|
|
|
|
Long-Term Investments: |
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
|
25,095,336 |
|
|
— |
|
|
Corporate Bonds |
|
|
240,997,923 |
|
|
— |
|
|
Foreign Agency Obligations |
|
|
19,934,838 |
|
|
— |
|
|
Non-Agency Mortgage-Backed Securities |
|
|
86,532,931 |
|
|
— |
|
|
Preferred Securities |
|
|
6,150,738 |
|
|
— |
|
|
Taxable Municipal Bonds |
|
|
8,035,691 |
|
|
— |
|
|
TBA Sale Commitments |
|
|
— |
|
$ |
(33,625,854 |
) |
|
U.S. Government Sponsored Agency Securities |
|
|
155,843,950 |
|
|
— |
|
|
U.S. Treasury Obligations |
|
|
53,484,891 |
|
|
— |
|
|
Warrants |
|
|
28,927 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
Total Level 2 |
|
|
596,105,225 |
|
|
(33,625,854 |
) |
|
|
|
|
|
|
|
|
|
|
Level 3 |
|
|
|
|
|
|
|
|
Long-Term Investments: |
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
|
2,343,568 |
|
|
— |
|
|
Corporate Bonds |
|
|
413,280 |
|
|
— |
|
|
Non-Agency Mortgage-Backed Securities |
|
|
733,910 |
|
|
— |
|
|
Other Interests |
|
|
381 |
|
|
— |
|
|
U.S. Government Sponsored Agency Securities |
|
|
1,558,985 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
Total Level 3 |
|
|
5,050,124 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
601,231,320 |
|
$ |
(33,625,854 |
) |
|
|
|
|
|
|
|
|
|
25
|
|
|
BlackRock Core Bond Trust (BHK) |
|
Schedule of Investments November 30, 2009 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Other Financial Instruments1 |
|
||||
|
|
|
|
|
||||
|
|
|
Assets |
|
Liabilities |
|
||
|
|
|
|
|
|
|
||
|
Level 1 |
|
$ |
1,997,069 |
|
$ |
(560,195 |
) |
|
Level 2 |
|
|
8,710,985 |
|
|
(15,204,217 |
) |
|
Level 3 |
|
|
— |
|
|
(12,237,909 |
) |
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
10,708,054 |
|
$ |
(28,002,321 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
Other financial instruments are financial futures contracts, swaps, foreign currency exchange contracts, TALF loans, options purchased and options written. Financial futures contracts, swaps and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options purchased, options written and TALF loans are shown at value. |
|
|
|
|
|
The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
|
|
Investments in Securities |
|
||||||||||||||||
|
|
|
|
|
||||||||||||||||
|
|
|
Asset-Backed |
|
Corporate |
|
Non-Agency |
|
Other |
|
U.S. Government |
|
Total |
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Balance, as of August 31, 2009 |
|
$ |
1,198,713 |
|
$ |
1,488,845 |
|
$ |
1,612,444 |
|
$ |
381 |
|
$ |
2,690,595 |
|
$ |
6,990,978 |
|
|
Accrued discounts/premiums |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
Realized gain (loss) |
|
|
— |
|
|
— |
|
|
15,225 |
|
|
— |
|
|
(30 |
) |
|
15,195 |
|
|
Change in unrealized appreciation (depreciation)2 |
|
|
46,591 |
|
|
420,611 |
|
|
48,827 |
|
|
— |
|
|
124,840 |
|
|
640,869 |
|
|
Net purchases (sales) |
|
|
(52,315 |
) |
|
(532,383 |
) |
|
(67,586 |
) |
|
— |
|
|
(1,256,420 |
) |
|
(1,908,704 |
) |
|
Net transfers in/out of Level 3 |
|
|
1,150,579 |
|
|
(963,793 |
) |
|
(875,000 |
) |
|
— |
|
|
— |
|
|
(688,214 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of November 30, 2009 |
|
$ |
2,343,568 |
|
$ |
413,280 |
|
$ |
733,910 |
|
$ |
381 |
|
$ |
1,558,985 |
|
$ |
5,050,124 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2 |
The change in unrealized appreciation/depreciation on securities still held at November 30, 2009 was $363,863. |
|
|
|
|
|
The following is a reconciliation of other financial instruments for unobservable inputs (Level 3) used in determining fair value: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial |
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
Balance, as of August 31, 2009 |
|
$ |
(226,565 |
) |
|
Accrued discounts/premiums |
|
|
— |
|
|
Realized gain (loss) |
|
|
— |
|
|
Change in unrealized appreciation (depreciation) |
|
|
(161,110 |
) |
|
Net purchases (sales) |
|
|
— |
|
|
Net transfers in/out of Level 3 |
|
|
(11,850,234 |
) |
|
|
|
|
|
|
|
Balance, as of November 30, 2009 |
|
$ |
(12,237,909 |
) |
|
|
|
|
|
|
|
|
|
|
3 |
Other financial instruments are swaps and TALF loans. |
26
|
Item 2 – |
Controls and Procedures |
||
|
2(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 13(a)-15(b) under the Securities Exchange Act of 1934, as amended. |
||
|
2(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 registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. |
||
|
Item 3 – |
Exhibits |
||
|
|
Certifications – Attached hereto |
||
|
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
||
|
|
BlackRock Core Bond Trust |
||
| By: | /s/ Anne F. Ackerley | ||
| Anne F. Ackerley | |||
| Chief Executive Officer of | |||
| BlackRock Core Bond Trust | |||
| Date: January 22, 2010 | |||
| 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/ Anne F. Ackerley | ||
| Anne F. Ackerley | |||
| Chief Executive Officer (principal executive officer) of | |||
| BlackRock Core Bond Trust | |||
| Date: January 22, 2010 | |||
| By: | /s/ Neal J. Andrews | ||
| Neal J. Andrews | |||
| Chief Financial Officer (principal financial officer) of | |||
| BlackRock Core Bond Trust | |||
| Date: January 22, 2010 | |||