Item 1 – Report to Stockholders
|
DECEMBER 31, 2019 |
| 2019 Annual Report | ||
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 |
Supplemental Information
The amounts and sources of distributions reported are estimates and are being provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each of BlackRock Core Bond Trust’s and BlackRock Corporate High Yield Fund, Inc.’s (each, a “Trust” and together, the “Trusts”) investment experience during its fiscal year and may be subject to changes based on tax regulations. Each Trust will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for U.S. federal income tax purposes.
December 31, 2019
|
Total Fiscal Year to Date
Cumulative Distributions by Character |
Percentage of Fiscal Year to Date
Cumulative Distributions by Character |
|||||||||||||||||||||||||||||||||||||||||
| Fund | Ticker |
Net
Investment Income |
Net Realized
Capital Gains Short Term |
Net Realized
Capital Gains Long Term |
Return of
Capital (a) |
Total Per
Common Share |
Net
Investment Income |
Net Realized
Capital Gains Short Term |
Net Realized
Capital Gains Long Term |
Return of
Capital |
Total Per
Common Share |
|||||||||||||||||||||||||||||||
|
BlackRock Core Bond Trust |
BHK | $ | 0.252569 | $ | — | $ | — | $ | 0.077831 | $ | 0.330400 | 76 | % | 0 | % | 0 | % | 24 | % | 100 | % | |||||||||||||||||||||
|
BlackRock Corporate High Yield Fund, Inc. |
HYT | 0.304901 | — | — | 0.078699 | 0.383600 | 79 | 0 | 0 | 21 | 100 | |||||||||||||||||||||||||||||||
| (a) |
Each Trust estimates that it has distributed more than its net investment income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in the Trust is returned to the shareholder. A return of capital does not necessarily reflect the Trust’s investment performance and should not be confused with “yield” or “income.” When distributions exceed total return performance, the difference will reduce the Trust’s net asset value per share. |
Section 19(a) notices for the Trusts, as applicable, are available on the BlackRock website at blackrock.com.
On September 5, 2019, the Trusts, acting pursuant to a U.S. Securities and Exchange Commission (“SEC”) exemptive order and with the approval of each Trust’s Board of Trustees/Directors (the “Board”), each have adopted a managed distribution plan, consistent with its investment objectives and policies to support a level distribution of income, capital gains and/or return of capital (the “Plan”). In accordance with the Plans, starting in October 2019, BHK distributes a fixed amount of $0.0676 per share on a monthly basis and HYT distributes a fixed amount of $0.0779 per share on a monthly basis.
The fixed amounts distributed per share are subject to change at the discretion of each Trust’s Board. Under its Plan, each Trust will distribute all available investment income to its shareholders as required by the Internal Revenue Code of 1986, as amended (the “Code”). If sufficient income (inclusive of net investment income and short-term capital gains) is not earned on a monthly basis, the Trusts will distribute long-term capital gains and/or return of capital to shareholders in order to maintain a level distribution. Each monthly distribution to shareholders is expected to be at the fixed amount established by the Board; however, each Trust may make additional distributions from time to time, including additional capital gain distributions at the end of the taxable year, if required to meet requirements imposed by the Code and/or the Investment Company Act of 1940, as amended (the “1940 Act”).
Shareholders should not draw any conclusions about each Trust’s investment performance from the amount of these distributions or from the terms of the Plan. Each Trust’s total return performance is presented in its financial highlights table.
The Board may amend, suspend or terminate a Trust’s Plan at any time without prior notice to the Trust’s shareholders if it deems such actions to be in the best interests of the Trust or its shareholders. The suspension or termination of the Plan could have the effect of creating a trading discount (if the Trust’s stock is trading at or above net asset value) or widening an existing trading discount. The Trusts are subject to risks that could have an adverse impact on their ability to maintain level distributions. Examples of potential risks include, but are not limited to, economic downturns impacting the markets, changes in interest rates, decreased market volatility, companies suspending or decreasing corporate dividend distributions and changes in the Code.
| 2 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Dear Shareholder,
U.S. equities and bonds finished the last year of the decade with impressive returns, putting an exclamation point on a decade of strong performance despite the fears and doubts about the economy that were ultimately laid to rest with unprecedented monetary stimulus and a sluggish yet resolute performance from the U.S. economy. In many ways, it was fitting that the themes of 2019 — geopolitical uncertainty, fears of recession, and decisive monetary stimulus — put the capstone on a decade that was defined by grappling with these competing forces.
Equity and bond markets posted solid returns, particularly in the second half of the year, as investors began to realize that the U.S. economy was maintaining the modest yet steady growth that has characterized this economic cycle. U.S. large cap equities advanced the most, while equities at the high end of the risk spectrum — emerging markets and U.S. small cap — lagged while still posting solid returns.
Fixed-income securities played an important role in diversified portfolios by delivering strong returns amid economic uncertainty, as interest rates declined (and bond prices rose). Long-term bonds, particularly long-term Treasuries, generally posted the strongest returns, as inflation remained low. Investment-grade and high-yield corporate bonds also posted solid returns, as the credit fundamentals in corporate markets remained relatively solid.
As equity performance faltered in late 2018 and global economic growth slowed, the U.S. Federal Reserve (the “Fed”) shifted away from policies designed to decrease inflation in favor of renewed efforts to stimulate economic activity. The Fed left interest rates unchanged in January 2019, then reduced interest rates three times thereafter, starting in July 2019. Similarly, the Fed took measures to support liquidity in short-term lending markets. Following in the Fed’s footsteps, the European Central Bank announced aggressive economic stimulus measures, including lower interest rates and the return of its bond purchasing program. The Bank of Japan signaled a continuation of accommodative monetary policy, while China committed to looser credit conditions and an increase in fiscal spending.
The outpouring of global economic stimulus led to a sharp rally in risk assets throughout the world despite the headwind of rising geopolitical and trade tensions. Hopes continued to remain high as the current economic expansion became the longest in U.S. history.
Looking ahead, we believe U.S. economic growth will stabilize and gradually improve in 2020. The primary drivers of recent market performance — trade and monetary policies — could take a back seat to a nascent expansion in manufacturing and a recent uptick in global growth. The headwinds of policy uncertainty in 2019 could become tailwinds in 2020 due to pro-cyclical policy shifts.
Overall, we favor increasing investment risk to benefit from the brighter outlook. In addition to having a positive view for equities overall, we favor emerging market equities over developed market equities. Increasing cyclical exposure through value-style investing and maintaining a meaningful emphasis on high-quality companies through quality factors also makes sense for diversified investors. In fixed income, government bonds continue to be important portfolio stabilizers, while emerging market bonds, particularly local currency bonds, offer relatively attractive income opportunities.
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,
Rob Kapito
President, BlackRock Advisors, LLC
Rob Kapito
President, BlackRock Advisors, LLC
| Total Returns as of December 31, 2019 | ||||
| 6-month | 12-month | |||
|
U.S. large cap equities
|
10.92% | 31.49% | ||
|
U.S. small cap equities
|
7.30 | 25.52 | ||
|
International equities
|
7.01 | 22.01 | ||
|
Emerging market equities
|
7.09 | 18.42 | ||
|
3-month Treasury bills
|
1.03 | 2.28 | ||
|
U.S. Treasury securities
|
1.36 | 8.91 | ||
|
U.S. investment grade bonds
|
2.45 | 8.72 | ||
|
Tax-exempt municipal bonds
|
2.21 | 7.26 | ||
|
U.S. high yield bonds
|
3.98 | 14.32 | ||
| Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | ||||
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| Trust Summary as of December 31, 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, 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.
On September 5, 2019, the Board of Trustees of the Trust approved a change in the fiscal year end of the Trust, effective as of December 31, 2019, from August 31 to December 31.
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 December 31, 2019 ($14.58)(a) |
5.56% | |
|
Current Monthly Distribution per Common Share(b) |
$0.0676 | |
|
Current Annualized Distribution per Common Share(b) |
$0.8112 | |
|
Leverage as of December 31, 2019(c) |
25% |
| (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 return of capital. Past performance does not guarantee future results. |
| (b) |
The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
| (c) |
Represents reverse repurchase agreements 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). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments on page 11. |
Market Price and Net Asset Value Per Share Summary
| 12/31/19 | 12/31/18 | Change | High | Low | ||||||||||||||||
|
Market Price |
$ | 14.58 | $ | 12.20 | 19.51 | % | $ | 14.72 | $ | 12.17 | ||||||||||
|
Net Asset Value |
15.32 | 13.45 | 13.90 | 15.85 | 13.45 | |||||||||||||||
Market Price and Net Asset Value History For the Past Five Years
| TRUST SUMMARY | 5 |
| Trust Summary as of December 31, 2019 (continued) | BlackRock Core Bond Trust |
Performance and Portfolio Management Commentary
Returns for the period ended December 31, 2019 were as follows:
| Average Annual Total Returns | ||||||||||||
| 1 Year | 3 Years | 5 Years | ||||||||||
|
Trust at NAV(a)(b) |
20.32 | % | 8.69 | % | 6.86 | % | ||||||
|
Trust at Market Price(a)(b) |
26.24 | 10.00 | 8.30 | |||||||||
|
Reference Benchmark(c) |
13.76 | 6.02 | 4.62 | |||||||||
|
Bloomberg Barclays U.S. Long Government/Credit Index(d) |
19.59 | 8.07 | 5.42 | |||||||||
|
Bloomberg Barclays Intermediate Credit Index(e) |
9.52 | 4.33 | 3.50 | |||||||||
|
Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index(f) |
14.32 | 6.36 | 6.14 | |||||||||
|
Bloomberg Barclays CMBS, Eligible for U.S. Aggregate(g) |
8.29 | 4.09 | 3.31 | |||||||||
|
Bloomberg Barclays MBS Index(h) |
6.35 | 3.25 | 2.58 | |||||||||
|
Bloomberg Barclays ABS Index(i) |
4.53 | 2.61 | 2.22 | |||||||||
| (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 blackrock.com.
The following discussion relates to the Trust’s absolute performance based on NAV:
What factors influenced performance?
Positive contributions to the Trust’s absolute performance over the period came from its allocations to credit, including high yield corporate bonds, capital securities, and investment grade corporate bonds. Within securitized assets, holdings of commercial mortgage-backed securities (“CMBS”) and asset-backed securities (“ABS”) added to performance.
The principal detractors from the Trust’s absolute performance were its exposures to U.S. Treasuries, agency collateralized mortgage obligations, and taxable and tax-exempt municipal bonds.
Derivatives are utilized by the Trust in order to manage and/or take outright views on interest rates, credit risk and/or foreign exchange positions in the portfolio. During the period, the Trust’s use of derivatives detracted from performance.
Describe recent portfolio activity.
Over the reporting period, the Trust significantly increased its allocation to U.S. Treasuries, primarily through the use of Treasury futures. The Trust also significantly increased exposure to 30-year mortgage-backed security (“MBS”) pass-throughs. Lastly, the Trust trimmed its non-U.S. dollar exposure.
| 6 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
| Trust Summary as of December 31, 2019 (continued) | BlackRock Core Bond Trust |
Describe portfolio positioning at period end.
At period end, the Trust maintained a diversified exposure within non-government spread sectors, including investment grade corporate credit, high yield corporate credit, CMBS, and ABS. The Trust also held exposure to government-related sectors such as U.S. Treasury securities, agency debt and agency MBS.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
Overview of the Trust’s Total Investments
PORTFOLIO COMPOSITION
| 12/31/19 | 08/31/19 | |||||||
|
Corporate Bonds |
43 | % | 47 | % | ||||
|
U.S. Government Sponsored Agency Securities |
20 | 13 | ||||||
|
U.S. Treasury Obligations |
15 | 17 | ||||||
|
Preferred Securities |
8 | 8 | ||||||
|
Asset-Backed Securities |
5 | 5 | ||||||
|
Non-Agency Mortgage-Backed Securities |
3 | 3 | ||||||
|
Municipal Bonds |
2 | 2 | ||||||
|
Floating Rate Loan Interests |
2 | 1 | ||||||
|
Foreign Agency Obligations |
2 | 2 | ||||||
|
Short-Term Securities |
1 | 2 | ||||||
|
Options Purchased |
— | (a) | 1 | |||||
|
Options Written |
(1 | ) | (1 | ) | ||||
| (a) |
Representing less than 1% of the Trust’s total investments. |
CREDIT QUALITY ALLOCATION (b)(c)
| 12/31/19 | 08/31/19 | |||||||
|
AAA/Aaa(d) |
37 | % | 32 | % | ||||
|
AA/Aa |
4 | 4 | ||||||
|
A |
13 | 14 | ||||||
|
BBB/Baa |
24 | 27 | ||||||
|
BB/Ba |
10 | 11 | ||||||
|
B |
8 | 8 | ||||||
|
CCC/Caa |
2 | 2 | ||||||
|
N/R |
2 | 2 | ||||||
| (b) |
For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (c) |
Excludes Short-Term Securities, Options Purchased and Options Written. |
| (d) |
The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. |
| TRUST SUMMARY | 7 |
| Trust Summary as of December 31, 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.
On September 5, 2019, the Board of Trustees of the Trust approved a change in the fiscal year-end of the Trust, effective as of December 31, 2019, from August 31 to December 31.
Trust Information
|
Symbol on NYSE |
HYT | |
|
Initial Offering Date |
May 30, 2003 | |
|
Current Distribution Rate on Closing Market Price as of December 31, 2019 ($11.20)(a) |
8.35% | |
|
Current Monthly Distribution per Common Share(b) |
$0.0779 | |
|
Current Annualized Distribution per Common Share(b) |
$0.9348 | |
|
Leverage as of December 31, 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 return of capital. Past performance does not guarantee future results. |
| (b) |
The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
| (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). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments on page 11. |
Market Price and Net Asset Value Per Share Summary
| 12/31/19 | 12/31/18 | Change | High | Low | ||||||||||||||||
|
Market Price |
$ | 11.20 | $ | 9.28 | 20.69 | % | $ | 11.37 | $ | 9.21 | ||||||||||
|
Net Asset Value |
11.91 | 10.69 | 11.41 | 11.99 | 10.69 | |||||||||||||||
Market Price and Net Asset Value History For the Past Five Years
| 8 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
| Trust Summary as of December 31, 2019 (continued) | BlackRock Corporate High Yield Fund, Inc. |
Performance and Portfolio Management Commentary
Returns for the period ended December 31, 2019 were as follows:
| Average Annual Total Returns | ||||||||||||
| 1 Year | 3 Years | 5 Years | ||||||||||
|
Trust at NAV(a)(b) |
20.95 | % | 8.58 | % | 7.76 | % | ||||||
|
Trust at Market Price(a)(b) |
31.02 | 9.55 | 8.38 | |||||||||
|
Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index(c) |
14.32 | 6.36 | 6.14 | |||||||||
| (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) |
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 blackrock.com.
The following discussion relates to the Trust’s absolute performance based on NAV:
What factors influenced performance?
The technology, cable & satellite and health care sectors were the largest absolute contributors to the Trust’s return over the period. Notably, each sector within the high yield corporate bond market posted a positive return for the 12 months. By credit rating, the Trust’s allocation to B-rated bonds was the largest contributor to return over the period. Bonds rated BB were another meaningful contributor despite an underweight to the category, as higher quality bonds led performance. From an asset allocation perspective, the Trust’s core allocation to high yield corporate bonds led positive contributions, while a smaller tactical position in floating rate loan interests (“bank loans”) was also additive.
As the high yield market provided strong positive returns in 2019, there were no meaningful absolute detractors from portfolio performance.
Describe recent portfolio activity.
While key positioning themes remained broadly consistent, the investment adviser tactically navigated sector- and issuer-level positioning to take advantage of market opportunities. The Trust reduced its bank loan exposure throughout the period as more interesting relative value developed in high yield bonds. Liquid product usage was active over the period across total return swaps, high yield exchange-traded funds and indexed credit default swap vehicles. The Trust reduced its exposure to energy throughout the period while focusing more on technology, aerospace and banking names.
Describe portfolio positioning at period end.
At period end, the Trust remained underweight BB-rated credits and overweight select CCCs. That said, the Trust maintained an underweight to the highest-yielding portion of the market that contains a larger concentration of stressed assets. The investment adviser continued to hold tactical allocations to bank loans and collateralized loan obligations, albeit at reduced levels. The largest sector weights were to technology, aerospace & defense and banking. Within energy, the Trust was focused on the independent energy and midstream segments.
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 | 9 |
| Trust Summary as of December 31, 2019 (continued) | BlackRock Corporate High Yield Fund, Inc. |
Overview of the Trust’s Total Investments
PORTFOLIO COMPOSITION
| 12/31/19 | 08/31/19 | |||||||
|
Corporate Bonds |
83 | % | 85 | % | ||||
|
Floating Rate Loan Interests |
9 | 9 | ||||||
|
Preferred Securities |
4 | 4 | ||||||
|
Investment Companies |
2 | — | ||||||
|
Common Stocks |
1 | 1 | ||||||
|
Asset-Backed Securities |
1 | 1 | ||||||
|
Other |
— | (a) | — | (a) | ||||
| (a) |
Representing less than 1% of the Trust’s total investments and Other may include Other Interests, Short-Term Securities, Options Purchased and Options Written. |
CREDIT QUALITY ALLOCATION (a)(b)
| 12/31/19 | 08/31/19 | |||||||
|
BBB/Baa |
7 | % | 4 | % | ||||
|
BB/Ba |
41 | 36 | ||||||
|
B |
39 | 43 | ||||||
|
CCC/Caa |
10 | 15 | ||||||
|
N/R |
3 | 2 | ||||||
| (a) |
For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings 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. |
| (b) |
Excludes Short-Term Securities, Options Purchased and Options Written. |
| 10 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
The Benefits and Risks of Leveraging
The Trusts may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, 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, if applicable.
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 a reverse repurchase agreement (including accrued interest) then such transaction is not considered a senior security and is not subject to the foregoing limitations and requirements imposed by the 1940 Act.
Derivative Financial Instruments
The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Trusts’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
| THE BENEFITS AND RISKS OF LEVERAGING / DERIVATIVE FINANCIAL INSTRUMENTS | 11 |
|
December 31, 2019 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| Asset-Backed Securities (continued) | ||||||||||||
|
Limerock CLO III LLC, Series 2014-3A, Class C, (3 mo. LIBOR US + 3.60%), 5.57%, 10/20/26(a)(b) |
USD | 3,750 | $ | 3,750,029 | ||||||||
|
Madison Park Funding X Ltd., Series 2012-10A, Class ER2, (3 mo. LIBOR US + 6.40%), 8.37%, 01/20/29(a)(b) |
250 | 243,111 | ||||||||||
|
Madison Park Funding XV Ltd., Series 2014-15A, Class B1R, (3 mo. LIBOR US + 2.20%), 4.14%, 01/27/26(a)(b) |
1,800 | 1,795,677 | ||||||||||
|
Nelnet Student Loan Trust, Series 2006-1, Class A5, (3 mo. LIBOR US + 0.11%), 2.02%, 08/23/27(b) |
168 | 167,314 | ||||||||||
|
Neuberger Berman CLO XV, Series 2013-15A, Class DR, (3 mo. LIBOR US + 3.05%), 5.05%, 10/15/29(a)(b) |
1,000 | 978,802 | ||||||||||
|
Octagon Investment Partners XXII Ltd., Series 2014-1A, Class DRR, (3 mo. LIBOR US + 2.75%), 4.70%, 01/22/30(a)(b) |
500 | 480,404 | ||||||||||
|
OHA Credit Partners VII Ltd., Series 2012-7A, Class DR, (3 mo. LIBOR US + 4.20%), 6.10%, 11/20/27(a)(b) |
1,160 | 1,161,210 | ||||||||||
|
OHA Credit Partners XIII Ltd., Series 2016-13A, Class E, (3 mo. LIBOR US + 7.15%), 9.12%, 01/21/30(a)(b) |
595 | 603,527 | ||||||||||
|
OHA Loan Funding Ltd., Series 2016-1A, Class D, (3 mo. LIBOR US + 3.75%), 5.72%, 01/20/28(a)(b) |
2,500 | 2,481,290 | ||||||||||
|
OZLM Funding III Ltd., Series 2013-3A, Class BRR, (3 mo. LIBOR US + 2.70%), 4.57%, 01/22/29(a)(b)(d) |
1,500 | 1,500,000 | ||||||||||
|
OZLM VIII Ltd., Series 2014-8A, Class CRR, (3 mo. LIBOR US + 3.15%), 5.15%, 10/17/29(a)(b) |
875 | 845,732 | ||||||||||
|
OZLM XIV Ltd., Series 2015-14A, Class CR, (3 mo. LIBOR US + 3.00%), 5.30%, 01/15/29(a)(b) |
1,000 | 951,085 | ||||||||||
|
OZLM XXI, Series 2017-21A, Class C, (3 mo. LIBOR US + 2.67%), 4.64%, 01/20/31(a)(b) |
1,000 | 949,524 | ||||||||||
|
Palmer Square Loan Funding Ltd.(a)(b): |
||||||||||||
|
Series 2018-5A, Class D, (3 mo. LIBOR US + 4.25%), 6.22%, 01/20/27 |
1,000 | 989,322 | ||||||||||
|
Series 2019-3A, Class C, (3 mo. LIBOR US + 3.40%), 5.30%, 08/20/27 |
750 | 749,327 | ||||||||||
|
Series 2019-4A, Class C, (3 mo. LIBOR US + 3.25%), 5.19%, 10/24/27 |
250 | 250,004 | ||||||||||
|
Regatta VI Funding Ltd., Series 2016-1A, Class ER, (3 mo. LIBOR US + 5.00%), 6.97%, 07/20/28(a)(b) |
250 | 238,981 | ||||||||||
|
Rockford Tower CLO Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 3.25%), 5.25%, 04/15/29(a)(b) |
1,750 | 1,696,471 | ||||||||||
|
SLM Private Education Loan Trust, Series 2014-A, Class B, 3.50%, 11/15/44(a) |
500 | 506,351 | ||||||||||
|
Sound Point CLO XIV Ltd., Series 2016-3A, Class D, (3 mo. LIBOR US + 3.85%), 5.78%, 01/23/29(a)(b) |
1,550 | 1,542,009 | ||||||||||
|
Sterling Coofs Trust(a)(d): |
||||||||||||
|
Series 2004-1, Class A, 2.36%, 04/15/29 |
1,953 | 72,646 | ||||||||||
|
Series 2004-2, Class Note, 2.08%, 03/30/30 |
1,740 | 67,414 | ||||||||||
|
Structured Asset Securities Corp., Series 2002-AL1, Class A2, 3.45%, 02/25/32 |
311 | 300,061 | ||||||||||
| 12 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| Asset-Backed Securities (continued) | ||||||||||||
|
TCI-Flatiron CLO Ltd., Series 2016-1A, Class DR, 5.80%, 07/17/28(a)(c) |
USD | 635 | $ | 635,076 | ||||||||
|
TICP CLO VI Ltd., Series 2016-5A, Class ER, (3 mo. LIBOR US + 5.75%), 7.75%, 07/17/31(a)(b) |
537 | 495,713 | ||||||||||
|
TICP CLO X Ltd., Series 2018-10A, Class E, (3 mo. LIBOR US + 5.50%), 7.47%, 04/20/31(a)(b) |
250 | 231,731 | ||||||||||
|
TRESTLES CLO II Ltd., Series 2017-1A, Class C, (3 mo. LIBOR US + 3.65%), 5.59%, 07/25/29(a)(b) |
250 | 248,385 | ||||||||||
|
Voya CLO Ltd., Series 2017-3A, Class C, (3 mo. LIBOR US + 3.55%), 5.52%, 07/20/30(a)(b) |
1,000 | 1,001,207 | ||||||||||
|
Westcott Park CLO Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.25%), 5.22%, 07/20/28(a)(b) |
1,185 | 1,183,316 | ||||||||||
|
York CLO Ltd.(a)(b): |
||||||||||||
|
Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.60%), 5.57%, 10/20/29 |
1,750 | 1,753,889 | ||||||||||
|
Series 2016-2A, Class D, (3 mo. LIBOR US + 4.10%), 6.07%, 01/20/30 |
1,500 | 1,498,299 | ||||||||||
|
|
|
|||||||||||
|
Total Asset-Backed Securities — 6.3%
|
|
52,001,726 | ||||||||||
|
|
|
|||||||||||
|
Corporate Bonds — 62.5% |
|
|||||||||||
|
Aerospace & Defense — 1.7% |
|
|||||||||||
|
Amsted Industries, Inc., 5.63%, 07/01/27(a) |
95 | 100,700 | ||||||||||
|
Arconic, Inc., 5.13%, 10/01/24 |
680 | 741,200 | ||||||||||
|
Bombardier, Inc.(a): |
||||||||||||
|
8.75%, 12/01/21 |
369 | 404,286 | ||||||||||
|
5.75%, 03/15/22 |
62 | 64,034 | ||||||||||
|
6.00%, 10/15/22 |
6 | 5,998 | ||||||||||
|
6.13%, 01/15/23 |
204 | 209,202 | ||||||||||
|
7.50%, 12/01/24 |
82 | 86,152 | ||||||||||
|
7.50%, 03/15/25 |
222 | 228,935 | ||||||||||
|
7.88%, 04/15/27 |
933 | 959,824 | ||||||||||
|
Eaton Corp., 4.15%, 11/02/42 |
500 | 559,508 | ||||||||||
|
Global Aircraft Leasing Co. Ltd., (6.5% Cash or 7.25% PIK), 6.50%, 09/15/24(a)(e) |
456 | 477,446 | ||||||||||
|
Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(a) |
368 | 393,760 | ||||||||||
|
Lockheed Martin Corp., 4.09%, 09/15/52 |
1,410 | 1,654,483 | ||||||||||
|
Moog, Inc., 4.25%, 12/15/27(a) |
93 | 94,637 | ||||||||||
|
Signature Aviation US Holdings, Inc.(a): |
||||||||||||
|
5.38%, 05/01/26 |
194 | 204,206 | ||||||||||
|
4.00%, 03/01/28 |
282 | 278,136 | ||||||||||
|
TransDigm UK Holdings PLC, 6.88%, 05/15/26 |
400 | 426,000 | ||||||||||
|
TransDigm, Inc.(a): |
||||||||||||
|
6.25%, 03/15/26 |
3,500 | 3,789,135 | ||||||||||
|
5.50%, 11/15/27 |
330 | 333,706 | ||||||||||
|
Triumph Group, Inc., 6.25%, 09/15/24(a) |
211 | 221,814 | ||||||||||
|
United Technologies Corp., 6.13%, 07/15/38 |
1,450 | 2,013,740 | ||||||||||
|
Wolverine Escrow LLC(a): |
||||||||||||
|
8.50%, 11/15/24 |
146 | 151,110 | ||||||||||
|
9.00%, 11/15/26 |
264 | 276,540 | ||||||||||
|
|
|
|||||||||||
| 13,674,552 | ||||||||||||
| Air Freight & Logistics — 0.2% | ||||||||||||
|
FedEx Corp., 4.75%, 11/15/45 |
1,250 | 1,316,421 | ||||||||||
|
XPO Logistics, Inc., 6.75%, 08/15/24(a) |
11 | 11,950 | ||||||||||
|
|
|
|||||||||||
| 1,328,371 | ||||||||||||
| Security |
Par
(000) |
Value | ||||||||||
| Airlines — 1.7% | ||||||||||||
|
Air Canada Pass-Through Trust, Series 2015-1, Class B, 3.88%, 09/15/24(a) |
USD | 1,402 | $ | 1,414,347 | ||||||||
|
American Airlines Pass-Through Trust: |
||||||||||||
|
Series 2013-2, Class A, 4.95%, 07/15/24 |
2,340 | 2,438,872 | ||||||||||
|
Series 2015-2, Class A, 4.00%, 03/22/29 |
1,251 | 1,319,894 | ||||||||||
|
Series 2015-2, Class AA, 3.60%, 03/22/29 |
1,251 | 1,320,189 | ||||||||||
|
Series 2017-1, Class B, 4.95%, 08/15/26 |
1,515 | 1,599,614 | ||||||||||
|
Avianca Holdings SA, 9.00%, 05/10/23(a) |
302 | 277,840 | ||||||||||
|
Latam Finance Ltd., 6.88%, 04/11/24(a) |
257 | 270,894 | ||||||||||
|
United Airlines Pass-Through Trust: |
||||||||||||
|
Series 2013-1, Class A, 4.30%, 02/15/27 |
3,011 | 3,226,395 | ||||||||||
|
Series 2014-2, Class B, 4.63%, 03/03/24 |
1,723 | 1,776,814 | ||||||||||
|
|
|
|||||||||||
| 13,644,859 | ||||||||||||
| Auto Components — 0.4% | ||||||||||||
|
Allison Transmission, Inc., 5.88%, 06/01/29(a) |
210 | 229,950 | ||||||||||
|
Aptiv PLC, 4.40%, 10/01/46 |
465 | 448,225 | ||||||||||
|
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: |
||||||||||||
|
6.25%, 02/01/22 |
58 | 59,102 | ||||||||||
|
6.75%, 02/01/24 |
34 | 35,275 | ||||||||||
|
6.38%, 12/15/25 |
163 | 170,946 | ||||||||||
|
6.25%, 05/15/26 |
264 | 281,160 | ||||||||||
|
5.25%, 05/15/27(a) |
236 | 241,341 | ||||||||||
|
Panther BF Aggregator 2 LP/Panther Finance Co., Inc.(a): |
||||||||||||
|
6.25%, 05/15/26 |
799 | 860,922 | ||||||||||
|
8.50%, 05/15/27 |
1,064 | 1,130,500 | ||||||||||
|
Tesla, Inc., 5.30%, 08/15/25(a) |
166 | 161,020 | ||||||||||
|
|
|
|||||||||||
| 3,618,441 | ||||||||||||
| Automobiles — 0.6% | ||||||||||||
|
Ford Motor Co., 4.75%, 01/15/43 |
2,000 | 1,777,547 | ||||||||||
|
General Motors Co., 6.25%, 10/02/43 |
2,506 | 2,815,581 | ||||||||||
|
|
|
|||||||||||
| 4,593,128 | ||||||||||||
| Banks — 1.8% | ||||||||||||
|
Allied Irish Banks PLC(5 year EUR Swap + 3.95%), 4.13%, 11/26/25(f) |
EUR | 100 | 115,900 | |||||||||
|
Barclays PLC: |
||||||||||||
|
4.38%, 09/11/24 |
USD | 550 | 577,855 | |||||||||
|
3.65%, 03/16/25 |
4,320 | 4,496,579 | ||||||||||
|
BBVA Bancomer SA, 6.75%, 09/30/22(a) |
236 | 256,945 | ||||||||||
|
CIT Group, Inc., 5.00%, 08/01/23 |
237 | 255,367 | ||||||||||
|
Cooperatieve Rabobank UA, 3.95%, 11/09/22 |
1,500 | 1,568,409 | ||||||||||
|
HSBC Holdings PLC, 6.10%, 01/14/42 |
610 | 866,288 | ||||||||||
|
Promerica Financial Corp., 9.70%, 05/14/24(a) |
200 | 207,937 | ||||||||||
|
Santander Holdings USA, Inc., 4.50%, 07/17/25 |
2,000 | 2,159,091 | ||||||||||
|
Santander UK Group Holdings PLC, 2.88%, 08/05/21 |
1,250 | 1,261,648 | ||||||||||
|
Standard Chartered PLC(5 year USD ICE Swap + 1.97%), 4.87%, 03/15/33(a)(f) |
500 | 540,534 | ||||||||||
|
Wells Fargo & Co., 3.90%, 05/01/45 |
2,250 | 2,552,079 | ||||||||||
|
|
|
|||||||||||
| 14,858,632 | ||||||||||||
| Beverages — 0.7% | ||||||||||||
|
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46 |
4,600 | 5,456,164 | ||||||||||
|
Central American Bottling Corp., 5.75%, 01/31/27(a) |
222 | 234,418 | ||||||||||
|
|
|
|||||||||||
| 5,690,582 | ||||||||||||
| Biotechnology — 0.5% | ||||||||||||
|
Amgen, Inc., 4.40%, 05/01/45 |
2,250 | 2,521,235 | ||||||||||
|
Baxalta, Inc., 5.25%, 06/23/45 |
500 | 645,779 | ||||||||||
| SCHEDULES OF INVESTMENTS | 13 |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| Biotechnology (continued) | ||||||||||||
|
Gilead Sciences, Inc., 4.80%, 04/01/44 |
USD | 1,000 | $ | 1,201,781 | ||||||||
|
|
|
|||||||||||
| 4,368,795 | ||||||||||||
| Building Materials — 0.0% | ||||||||||||
|
CEMEX Finance LLC, 4.63%, 06/15/24 |
EUR | 100 | 116,832 | |||||||||
|
Jeld-Wen, Inc., 4.63%, 12/15/25(a) |
USD | 93 | 95,744 | |||||||||
|
|
|
|||||||||||
| 212,576 | ||||||||||||
| Building Products — 0.2% | ||||||||||||
|
Advanced Drainage Systems, Inc., 5.00%, 09/30/27(a) |
160 | 165,000 | ||||||||||
|
Beacon Roofing Supply, Inc.(a): |
||||||||||||
|
4.88%, 11/01/25 |
10 | 10,050 | ||||||||||
|
4.50%, 11/15/26 |
56 | 57,680 | ||||||||||
|
CPG Merger Sub LLC, 8.00%, 10/01/21(a) |
220 | 220,550 | ||||||||||
|
Jeld-Wen, Inc., 4.88%, 12/15/27(a) |
21 | 21,473 | ||||||||||
|
Masonite International Corp.(a): |
||||||||||||
|
5.75%, 09/15/26 |
52 | 55,250 | ||||||||||
|
5.38%, 02/01/28 |
81 | 85,556 | ||||||||||
|
Standard Industries, Inc.(a): |
||||||||||||
|
5.50%, 02/15/23 |
12 | 12,195 | ||||||||||
|
5.38%, 11/15/24 |
263 | 270,232 | ||||||||||
|
6.00%, 10/15/25 |
287 | 301,709 | ||||||||||
|
5.00%, 02/15/27 |
48 | 50,040 | ||||||||||
|
4.75%, 01/15/28 |
54 | 55,350 | ||||||||||
|
|
|
|||||||||||
| 1,305,085 | ||||||||||||
| Cable Television Services — 0.0% | ||||||||||||
|
Cincinnati Bell, Inc., 8.00%, 10/15/25(a) |
127 | 134,620 | ||||||||||
|
|
|
|||||||||||
| Capital Markets — 2.7% | ||||||||||||
|
CDP Financial, Inc., 5.60%, 11/25/39(a) |
5,890 | 8,091,272 | ||||||||||
|
Goldman Sachs Group, Inc.: |
||||||||||||
|
3.75%, 05/22/25 |
8,965 | 9,516,825 | ||||||||||
|
Series R, (5 year CMT + 3.22%), 4.95%(f)(g) |
135 | 139,860 | ||||||||||
|
Intercorp Peru Ltd., 3.88%, 08/15/29(a) |
200 | 198,312 | ||||||||||
|
Intertrust Group BV, 3.38%, 11/15/25 |
EUR | 100 | 117,779 | |||||||||
|
LABL Escrow Issuer LLC, 6.75%, 07/15/26(a) |
USD | 316 | 335,750 | |||||||||
|
Morgan Stanley: |
||||||||||||
|
4.00%, 07/23/25 |
905 | 979,268 | ||||||||||
|
3.13%, 07/27/26 |
2,000 | 2,065,082 | ||||||||||
|
Owl Rock Capital Corp., 5.25%, 04/15/24 |
56 | 59,425 | ||||||||||
|
Raymond James Financial, Inc., 4.95%, 07/15/46 |
400 | 467,696 | ||||||||||
|
Stevens Holding Co., Inc., 6.13%, 10/01/26(a) |
90 | 98,325 | ||||||||||
|
|
|
|||||||||||
| 22,069,594 | ||||||||||||
| Chemicals — 0.7% | ||||||||||||
|
Air Liquide Finance SA, 3.50%, 09/27/46(a) |
360 | 372,095 | ||||||||||
|
Atotech Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23(a)(e) |
210 | 214,200 | ||||||||||
|
Atotech Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 02/01/25(a) |
1,112 | 1,139,800 | ||||||||||
|
Axalta Coating Systems LLC, 4.88%, 08/15/24(a) |
311 | 321,885 | ||||||||||
|
Blue Cube Spinco LLC: |
||||||||||||
|
9.75%, 10/15/23 |
317 | 340,876 | ||||||||||
|
10.00%, 10/15/25 |
227 | 251,010 | ||||||||||
|
Chemours Co.: |
||||||||||||
|
6.63%, 05/15/23 |
138 | 138,529 | ||||||||||
|
5.38%, 05/15/27 |
148 | 130,980 | ||||||||||
|
Cydsa SAB de CV, 6.25%, 10/04/27(a) |
319 | 328,271 | ||||||||||
|
Element Solutions, Inc., 5.88%, 12/01/25(a) |
909 | 951,041 | ||||||||||
|
GCP Applied Technologies, Inc., 5.50%, 04/15/26(a) |
101 | 106,050 | ||||||||||
|
Monitchem HoldCo 3 SA, 5.25%, 03/15/25 |
EUR | 100 | 117,442 | |||||||||
| Security |
Par
(000) |
Value | ||||||||||
| Chemicals (continued) | ||||||||||||
|
NOVA Chemicals Corp., 4.88%, 06/01/24(a) |
USD | 41 | $ | 42,333 | ||||||||
|
Orbia Advance Corp SAB de CV(a): |
||||||||||||
|
4.00%, 10/04/27 |
200 | 205,200 | ||||||||||
|
5.50%, 01/15/48 |
200 | 204,500 | ||||||||||
|
PQ Corp.(a): |
||||||||||||
|
6.75%, 11/15/22 |
268 | 277,045 | ||||||||||
|
5.75%, 12/15/25 |
309 | 322,905 | ||||||||||
|
WR Grace & Co-Conn, 5.63%, 10/01/24(a) |
130 | 143,650 | ||||||||||
|
|
|
|||||||||||
| 5,607,812 | ||||||||||||
| Commercial Services & Supplies — 0.7% | ||||||||||||
|
ADT Security Corp.: |
||||||||||||
|
6.25%, 10/15/21 |
86 | 90,730 | ||||||||||
|
3.50%, 07/15/22 |
33 | 33,598 | ||||||||||
|
4.13%, 06/15/23 |
18 | 18,563 | ||||||||||
|
4.88%, 07/15/32(a) |
411 | 377,093 | ||||||||||
|
Allied Universal Holdco LLC/Allied Universal Finance Corp., 9.75%, 07/15/27(a) |
60 | 64,096 | ||||||||||
|
Aviation Capital Group LLC, 7.13%, 10/15/20(a) |
1,800 | 1,867,951 | ||||||||||
|
Booz Allen Hamilton, Inc., 5.13%, 05/01/25(a) |
441 | 453,127 | ||||||||||
|
Clean Harbors, Inc.(a): |
||||||||||||
|
4.88%, 07/15/27 |
178 | 187,345 | ||||||||||
|
5.13%, 07/15/29 |
109 | 116,913 | ||||||||||
|
Core & Main LP, 6.13%, 08/15/25(a) |
691 | 720,367 | ||||||||||
|
Fortress Transportation & Infrastructure Investors LLC(a): |
||||||||||||
|
6.75%, 03/15/22 |
43 | 44,828 | ||||||||||
|
6.50%, 10/01/25 |
46 | 48,553 | ||||||||||
|
GFL Environmental, Inc.(a): |
||||||||||||
|
5.38%, 03/01/23 |
19 | 19,570 | ||||||||||
|
5.13%, 12/15/26 |
292 | 307,003 | ||||||||||
|
8.50%, 05/01/27 |
308 | 338,800 | ||||||||||
|
Harland Clarke Holdings
Corp.,
|
273 | 222,495 | ||||||||||
|
KAR Auction Services, Inc., 5.13%, 06/01/25(a) |
97 | 100,880 | ||||||||||
|
Mobile Mini, Inc., 5.88%, 07/01/24 |
298 | 309,920 | ||||||||||
|
Ritchie Bros Auctioneers,
Inc.,
|
58 | 60,465 | ||||||||||
|
Summer BC Holdco B Sarl, 5.75%, 10/31/26 |
EUR | 100 | 116,769 | |||||||||
|
United Rentals North America, Inc.: |
||||||||||||
|
5.50%, 07/15/25 |
USD | 125 | 129,883 | |||||||||
|
4.63%, 10/15/25 |
74 | 76,079 | ||||||||||
|
6.50%, 12/15/26 |
3 | 3,297 | ||||||||||
|
5.50%, 05/15/27 |
155 | 166,047 | ||||||||||
|
3.88%, 11/15/27 |
150 | 153,143 | ||||||||||
|
4.88%, 01/15/28 |
55 | 57,268 | ||||||||||
|
|
|
|||||||||||
| 6,084,783 | ||||||||||||
| Commercial Services & Supplies — 0.0% | ||||||||||||
|
United Rentals North America, Inc.,
|
60 | 64,578 | ||||||||||
|
|
|
|||||||||||
| Communications Equipment — 0.4% | ||||||||||||
|
CommScope, Inc.(a): |
||||||||||||
|
5.50%, 03/01/24 |
460 | 479,550 | ||||||||||
|
6.00%, 03/01/26 |
135 | 143,606 | ||||||||||
|
Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc., 9.88%, 05/01/24(a) |
298 | 314,762 | ||||||||||
|
Nokia OYJ: |
||||||||||||
|
4.38%, 06/12/27 |
31 | 32,318 | ||||||||||
|
6.63%, 05/15/39 |
295 | 341,618 | ||||||||||
|
ViaSat, Inc., 5.63%, 04/15/27(a) |
461 | 493,270 | ||||||||||
| 14 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| Communications Equipment (continued) | ||||||||||||
|
Zayo Group LLC/Zayo Capital, Inc.: |
||||||||||||
|
6.00%, 04/01/23 |
USD | 700 | $ | 715,750 | ||||||||
|
6.38%, 05/15/25 |
95 | 97,929 | ||||||||||
|
5.75%, 01/15/27(a) |
792 | 804,870 | ||||||||||
|
|
|
|||||||||||
| 3,423,673 | ||||||||||||
| Construction & Engineering — 0.6% | ||||||||||||
|
Brand Industrial Services,
Inc.,
|
229 | 234,725 | ||||||||||
|
frontdoor, Inc., 6.75%, 08/15/26(a) |
268 | 292,120 | ||||||||||
|
ITR Concession Co. LLC, 4.20%, 07/15/25(a) |
4,000 | 3,835,017 | ||||||||||
|
SPIE SA, 2.63%, 06/18/26 |
EUR | 100 | 117,218 | |||||||||
|
SRS Distribution, Inc., 8.25%, 07/01/26(a) |
USD | 192 | 198,240 | |||||||||
|
|
|
|||||||||||
| 4,677,320 | ||||||||||||
| Construction Materials — 0.4% | ||||||||||||
|
American Builders & Contractors Supply Co., Inc.(a): |
||||||||||||
|
5.88%, 05/15/26 |
304 | 323,000 | ||||||||||
|
4.00%, 01/15/28 |
260 | 263,900 | ||||||||||
|
Core & Main Holdings LP, (8.625% Cash or 9.38% PIK), 8.63%, 09/15/24(a)(e) |
284 | 295,360 | ||||||||||
|
HD Supply, Inc., 5.38%, 10/15/26(a) |
1,293 | 1,370,580 | ||||||||||
|
Navistar International Corp., 6.63%, 11/01/25(a) |
250 | 254,687 | ||||||||||
|
New Enterprise Stone & Lime Co., Inc., 10.13%, 04/01/22(a) |
94 | 99,523 | ||||||||||
|
PulteGroup, Inc., 6.00%, 02/15/35 |
27 | 30,105 | ||||||||||
|
Williams Scotsman International, Inc.(a): |
||||||||||||
|
7.88%, 12/15/22 |
70 | 72,975 | ||||||||||
|
6.88%, 08/15/23 |
230 | 242,075 | ||||||||||
|
|
|
|||||||||||
| 2,952,205 | ||||||||||||
| Consumer Discretionary — 0.2% | ||||||||||||
|
Dun & Bradstreet Corp., 6.88%, 08/15/26(a) |
603 | 665,562 | ||||||||||
|
Nielsen Co. Luxembourg Sarl, 5.00%, 02/01/25(a) |
45 | 46,350 | ||||||||||
|
Viking Cruises Ltd.(a): |
||||||||||||
|
6.25%, 05/15/25 |
88 | 91,630 | ||||||||||
|
5.88%, 09/15/27 |
459 | 490,556 | ||||||||||
|
|
|
|||||||||||
| 1,294,098 | ||||||||||||
| Consumer Finance — 1.8% | ||||||||||||
|
Ally Financial, Inc., 8.00%, 11/01/31 |
940 | 1,304,814 | ||||||||||
|
Capital One Financial Corp., 4.75%, 07/15/21 |
1,935 | 2,015,200 | ||||||||||
|
Corvias Campus Living USG LLC, 2.63%, 07/01/50(d) |
5,682 | 5,931,418 | ||||||||||
|
Credivalores-Crediservicios SAS, 9.75%, 07/27/22(a) |
200 | 202,937 | ||||||||||
|
Ford Motor Credit Co. LLC, 8.13%, 01/15/20 |
1,530 | 1,532,860 | ||||||||||
|
Mulhacen Pte Ltd., (6.5% Cash or 7.25% PIK), 6.50%, 08/01/23(e) |
EUR | 110 | 101,340 | |||||||||
|
Muthoot Finance Ltd., 6.13%, 10/31/22(a) |
USD | 247 | 256,674 | |||||||||
|
Navient Corp.: |
||||||||||||
|
5.00%, 10/26/20 |
180 | 182,646 | ||||||||||
|
6.63%, 07/26/21 |
99 | 104,693 | ||||||||||
|
7.25%, 09/25/23 |
46 | 51,981 | ||||||||||
|
6.13%, 03/25/24 |
67 | 72,695 | ||||||||||
|
5.88%, 10/25/24 |
91 | 97,370 | ||||||||||
|
Refinitiv US Holdings, Inc.: |
||||||||||||
|
4.50%, 05/15/26(a) |
EUR | 245 | 299,069 | |||||||||
|
4.50%, 05/15/26 |
100 | 122,069 | ||||||||||
|
6.25%, 05/15/26(a) |
USD | 26 | 28,373 | |||||||||
|
8.25%, 11/15/26(a) |
544 | 612,680 | ||||||||||
|
Springleaf Finance Corp.: |
||||||||||||
|
6.13%, 05/15/22 |
50 | 53,688 | ||||||||||
| Security |
Par
(000) |
Value | ||||||||||
| Consumer Finance (continued) | ||||||||||||
|
6.88%, 03/15/25 |
USD | 94 | $ | 106,925 | ||||||||
|
7.13%, 03/15/26 |
290 | 335,298 | ||||||||||
|
6.63%, 01/15/28 |
141 | 159,161 | ||||||||||
|
5.38%, 11/15/29 |
101 | 105,424 | ||||||||||
|
Verscend Escrow Corp., 9.75%, 08/15/26(a) |
972 | 1,063,125 | ||||||||||
|
|
|
|||||||||||
| 14,740,440 | ||||||||||||
| Containers & Packaging — 0.7% | ||||||||||||
|
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(a)(e) |
501 | 518,009 | ||||||||||
|
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.: |
||||||||||||
|
4.13%, 08/15/26(a) |
200 | 205,000 | ||||||||||
|
4.75%, 07/15/27 |
GBP | 100 | 138,951 | |||||||||
|
Berry Global, Inc., 4.88%, 07/15/26(a) |
USD | 245 | 258,401 | |||||||||
|
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26 |
210 | 220,238 | ||||||||||
|
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26 |
412 | 435,175 | ||||||||||
|
Greif, Inc., 6.50%, 03/01/27(a) |
38 | 41,040 | ||||||||||
|
Intertape Polymer Group,
Inc.,
|
119 | 125,843 | ||||||||||
|
Mauser Packaging Solutions Holding Co., 5.50%, 04/15/24(a) |
852 | 877,645 | ||||||||||
|
OI European Group BV, 2.88%, 02/15/25 |
EUR | 100 | 116,225 | |||||||||
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu(a): |
||||||||||||
|
5.13%, 07/15/23 |
USD | 227 | 232,391 | |||||||||
|
7.00%, 07/15/24 |
217 | 224,324 | ||||||||||
|
Silgan Holdings, Inc., 4.13%, 02/01/28(a) |
143 | 143,043 | ||||||||||
|
Trivium Packaging Finance BV(a): |
||||||||||||
|
5.50%, 08/15/26 |
828 | 872,505 | ||||||||||
|
8.50%, 08/15/27 |
1,067 | 1,187,037 | ||||||||||
|
|
|
|||||||||||
| 5,595,827 | ||||||||||||
| Diversified Consumer Services — 0.3% | ||||||||||||
|
APX Group, Inc.: |
||||||||||||
|
8.75%, 12/01/20 |
148 | 148,000 | ||||||||||
|
7.88%, 12/01/22 |
106 | 106,928 | ||||||||||
|
8.50%, 11/01/24(a) |
82 | 84,460 | ||||||||||
|
Ascend Learning LLC, 6.88%, 08/01/25(a) |
613 | 643,650 | ||||||||||
|
Graham Holdings Co., 5.75%, 06/01/26(a) |
108 | 115,290 | ||||||||||
|
Laureate Education, Inc., 8.25%, 05/01/25(a) |
72 | 77,490 | ||||||||||
|
Prime Security Services Borrower LLC/Prime Finance, Inc.(a): |
||||||||||||
|
9.25%, 05/15/23 |
120 | 125,850 | ||||||||||
|
5.25%, 04/15/24 |
168 | 177,744 | ||||||||||
|
5.75%, 04/15/26 |
299 | 324,977 | ||||||||||
|
Service Corp. International, 5.13%, 06/01/29 |
149 | 158,313 | ||||||||||
|
ServiceMaster Co. LLC, 5.13%, 11/15/24(a) |
308 | 319,550 | ||||||||||
|
Sotheby’s, 7.38%, 10/15/27(a) |
265 | 268,312 | ||||||||||
|
|
|
|||||||||||
| 2,550,564 | ||||||||||||
| Diversified Financial Services — 3.7% | ||||||||||||
|
Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, 07/15/26(a) |
928 | 997,322 | ||||||||||
|
Arrow Global Finance PLC, 5.13%, 09/15/24 |
GBP | 100 | 134,712 | |||||||||
|
ASG Finance Designated Activity Co., 7.88%, 12/03/24(a) |
USD | 200 | 193,250 | |||||||||
|
Bank of America Corp.: |
||||||||||||
|
5.63%, 07/01/20 |
2,200 | 2,240,366 | ||||||||||
|
3.25%, 10/21/27 |
4,000 | 4,169,831 | ||||||||||
|
F-Brasile SpA/F-Brasile US LLC, Series XR, 7.38%, 08/15/26(a) |
200 | 211,000 | ||||||||||
|
FMR LLC, 4.95%, 02/01/33(a) |
2,300 | 2,820,383 | ||||||||||
| SCHEDULES OF INVESTMENTS | 15 |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| Diversified Financial Services (continued) | ||||||||||||
|
General Electric Co., 6.15%, 08/07/37 |
USD | 2,150 | $ | 2,673,696 | ||||||||
|
General Motors Financial Co., Inc.,
|
807 | 849,978 | ||||||||||
|
Gilex Holding Sarl, 8.50%, 05/02/23(a) |
182 | 195,424 | ||||||||||
|
Intercontinental Exchange, Inc., 4.00%, 10/15/23 |
470 | 501,491 | ||||||||||
|
Intesa Sanpaolo SpA, 5.02%, 06/26/24(a) |
3,151 | 3,310,991 | ||||||||||
|
Intrum AB, 3.00%, 09/15/27 |
EUR | 100 | 110,358 | |||||||||
|
LHC3 PLC, (4.13% Cash or 4.88% PIK), 4.13%, 08/15/24(e) |
100 | 115,928 | ||||||||||
|
Lloyds Banking Group PLC(5 year CMT + 4.82%), 6.75%(f)(g) |
USD | 595 | 644,088 | |||||||||
|
Moody’s Corp., 4.50%, 09/01/22 |
1,800 | 1,903,441 | ||||||||||
|
MSCI, Inc., 5.25%, 11/15/24(a) |
28 | 28,767 | ||||||||||
|
Murphy Oil USA, Inc., 4.75%, 09/15/29 |
106 | 111,943 | ||||||||||
|
Northern Trust Corp., 3.95%, 10/30/25 |
8,000 | 8,709,350 | ||||||||||
|
Spectrum Brands, Inc., 5.00%, 10/01/29(a) |
68 | 70,210 | ||||||||||
|
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 06/01/25(a) |
490 | 505,925 | ||||||||||
|
VZ Vendor Financing BV, 2.50%, 01/31/24 |
EUR | 100 | 114,413 | |||||||||
|
WMG Acquisition Corp., 5.50%, 04/15/26(a) |
USD | 84 | 88,410 | |||||||||
|
|
|
|||||||||||
| 30,701,277 | ||||||||||||
| Diversified Telecommunication Services — 3.7% | ||||||||||||
|
AT&T, Inc.: |
||||||||||||
|
6.10%, 07/15/40 |
830 | 1,058,106 | ||||||||||
|
6.38%, 03/01/41 |
520 | 689,406 | ||||||||||
|
5.15%, 03/15/42 |
2,400 | 2,804,374 | ||||||||||
|
4.75%, 05/15/46 |
2,710 | 3,067,023 | ||||||||||
|
CenturyLink, Inc.: |
||||||||||||
|
5.63%, 04/01/25 |
107 | 113,693 | ||||||||||
|
5.13%, 12/15/26(a) |
491 | 499,656 | ||||||||||
|
Series P, 7.60%, 09/15/39 |
108 | 112,860 | ||||||||||
|
Series U, 7.65%, 03/15/42 |
223 | 233,592 | ||||||||||
|
Series W, 6.75%, 12/01/23 |
348 | 388,455 | ||||||||||
|
Series Y, 7.50%, 04/01/24(h) |
683 | 770,082 | ||||||||||
|
Cincinnati Bell, Inc., 7.00%, 07/15/24(a) |
162 | 169,898 | ||||||||||
|
Frontier Communications
Corp.,
|
1,219 | 1,273,855 | ||||||||||
|
GCI LLC, 6.63%, 06/15/24(a) |
93 | 100,673 | ||||||||||
|
Level 3 Financing, Inc.: |
||||||||||||
|
5.38%, 05/01/25 |
36 | 37,260 | ||||||||||
|
5.25%, 03/15/26 |
638 | 663,520 | ||||||||||
|
4.63%, 09/15/27(a) |
87 | 89,071 | ||||||||||
|
Qwest Corp., 6.75%, 12/01/21 |
3 | 3,230 | ||||||||||
|
SoftBank Group Corp., 4.00%, 04/20/23 |
EUR | 100 | 119,655 | |||||||||
|
Telecom Argentina SA, 8.00%, 07/18/26(a) |
USD | 170 | 161,553 | |||||||||
|
Telecom Italia Capital SA: |
||||||||||||
|
6.38%, 11/15/33 |
74 | 82,140 | ||||||||||
|
6.00%, 09/30/34 |
300 | 321,750 | ||||||||||
|
7.20%, 07/18/36 |
12 | 14,218 | ||||||||||
|
7.72%, 06/04/38 |
40 | 49,200 | ||||||||||
|
Telecom Italia SpA: |
||||||||||||
|
4.00%, 04/11/24 |
EUR | 100 | 124,088 | |||||||||
|
5.30%, 05/30/24(a) |
USD | 200 | 215,000 | |||||||||
|
Telesat Canada/Telesat LLC, 4.88%, 06/01/27(a) |
209 | 212,657 | ||||||||||
|
Verizon Communications, Inc.: |
||||||||||||
|
6.40%, 02/15/38 |
5,700 | 7,530,126 | ||||||||||
|
6.55%, 09/15/43 |
6,751 | 9,912,261 | ||||||||||
|
|
|
|||||||||||
| 30,817,402 | ||||||||||||
| Electric Utilities — 5.4% | ||||||||||||
|
Berkshire Hathaway Energy Co.,
|
5,515 | 7,633,456 | ||||||||||
| Security |
Par
(000) |
Value | ||||||||||
| Electric Utilities (continued) | ||||||||||||
|
Cleveland Electric Illuminating Co.,
|
USD | 434 | $ | 547,219 | ||||||||
|
CMS Energy Corp., 5.05%, 03/15/22 |
1,832 | 1,933,418 | ||||||||||
|
Duke Energy Carolinas LLC: |
||||||||||||
|
6.10%, 06/01/37 |
640 | 870,767 | ||||||||||
|
6.00%, 01/15/38 |
1,675 | 2,264,387 | ||||||||||
|
4.25%, 12/15/41 |
750 | 857,587 | ||||||||||
|
Duke Energy Florida LLC, 6.40%, 06/15/38 |
770 | 1,111,117 | ||||||||||
|
E.ON International Finance
BV,
|
3,100 | 4,194,642 | ||||||||||
|
Electricite de France SA, 5.60%, 01/27/40(a) |
2,800 | 3,532,651 | ||||||||||
|
Empresas Publicas de Medellin ESP, 4.25%, 07/18/29(a) |
201 | 209,291 | ||||||||||
|
Energuate Trust, 5.88%, 05/03/27(a) |
201 | 207,281 | ||||||||||
|
Florida Power Corp., 6.35%, 09/15/37 |
2,775 | 3,887,954 | ||||||||||
|
Inkia Energy Ltd., 5.88%, 11/09/27(a) |
200 | 208,438 | ||||||||||
|
NextEra Energy Operating Partners LP(a): |
||||||||||||
|
4.25%, 07/15/24 |
321 | 334,241 | ||||||||||
|
4.25%, 09/15/24 |
58 | 60,320 | ||||||||||
|
4.50%, 09/15/27 |
77 | 80,273 | ||||||||||
|
Ohio Power Co., Series D, 6.60%, 03/01/33 |
3,000 | 4,104,862 | ||||||||||
|
PacifiCorp, 6.25%, 10/15/37 |
1,225 | 1,718,704 | ||||||||||
|
Public Service Co. of Colorado, Series 17, 6.25%, 09/01/37 |
2,550 | 3,585,114 | ||||||||||
|
Southern California Edison Co., 5.63%, 02/01/36 |
1,300 | 1,584,084 | ||||||||||
|
Talen Energy Supply LLC: |
||||||||||||
|
6.50%, 06/01/25 |
30 | 25,603 | ||||||||||
|
10.50%, 01/15/26(a) |
30 | 28,538 | ||||||||||
|
Virginia Electric & Power Co., Series A, 6.00%, 05/15/37 |
3,920 | 5,298,231 | ||||||||||
|
|
|
|||||||||||
| 44,278,178 | ||||||||||||
| Electronic Equipment, Instruments & Components — 0.3% | ||||||||||||
|
CDW LLC/CDW Finance Corp.: |
||||||||||||
|
5.00%, 09/01/25 |
490 | 512,050 | ||||||||||
|
4.25%, 04/01/28 |
83 | 87,046 | ||||||||||
|
Corning, Inc., 4.38%, 11/15/57 |
2,000 | 2,052,385 | ||||||||||
|
Itron, Inc., 5.00%, 01/15/26(a) |
18 | 18,652 | ||||||||||
|
|
|
|||||||||||
| 2,670,133 | ||||||||||||
| Energy Equipment & Services — 0.5% | ||||||||||||
|
Apergy Corp., 6.38%, 05/01/26 |
146 | 154,030 | ||||||||||
|
Archrock Partners LP/Archrock Partners Finance Corp., 6.88%, 04/01/27(a) |
182 | 192,465 | ||||||||||
|
Enterprise Products Operating LLC,
|
1,400 | 1,831,701 | ||||||||||
|
Gates Global LLC/Gates Global Co., 6.25%, 01/15/26(a) |
152 | 154,616 | ||||||||||
|
Halliburton Co., 5.00%, 11/15/45 |
500 | 571,565 | ||||||||||
|
Pattern Energy Group, Inc., 5.88%, 02/01/24(a) |
250 | 257,187 | ||||||||||
|
Transocean, Inc., 9.00%, 07/15/23(a) |
559 | 590,444 | ||||||||||
|
USA Compression Partners LP/USA Compression Finance Corp.: |
||||||||||||
|
6.88%, 04/01/26 |
278 | 291,900 | ||||||||||
|
6.88%, 09/01/27 |
327 | 340,603 | ||||||||||
|
|
|
|||||||||||
| 4,384,511 | ||||||||||||
| Environmental, Maintenance, & Security Service — 0.1% | ||||||||||||
|
GFL Environmental, Inc., 7.00%, 06/01/26(a) |
466 | 492,282 | ||||||||||
|
Tervita Corp., 7.63%, 12/01/21(a) |
199 | 200,244 | ||||||||||
|
Waste Pro USA, Inc., 5.50%, 02/15/26(a) |
190 | 198,075 | ||||||||||
|
|
|
|||||||||||
| 890,601 | ||||||||||||
| 16 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| Equity Real Estate Investment Trusts (REITs) — 1.6% | ||||||||||||
|
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 5.75%, 05/15/26(a) |
USD | 102 | $ | 107,610 | ||||||||
|
ERP Operating LP, 4.50%, 06/01/45 |
1,155 | 1,375,741 | ||||||||||
|
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(a) |
150 | 151,097 | ||||||||||
|
GLP Capital LP/GLP Financing II, Inc., 5.38%, 04/15/26 |
98 | 108,329 | ||||||||||
|
Healthpeak Properties, Inc., 4.00%, 06/01/25 |
2,000 | 2,150,440 | ||||||||||
|
Hilton Domestic Operating Co., Inc., 4.25%, 09/01/24 |
56 | 57,050 | ||||||||||
|
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.63%, 04/01/25 |
92 | 94,530 | ||||||||||
|
Iron Mountain, Inc.(a): |
||||||||||||
|
4.88%, 09/15/27 |
234 | 241,605 | ||||||||||
|
4.88%, 09/15/29 |
125 | 126,975 | ||||||||||
|
iStar, Inc., 5.25%, 09/15/22 |
17 | 17,446 | ||||||||||
|
Marriott Ownership Resorts, Inc./ILG LLC, 6.50%, 09/15/26 |
24 | 26,130 | ||||||||||
|
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.: |
||||||||||||
|
5.63%, 05/01/24 |
895 | 978,897 | ||||||||||
|
4.50%, 09/01/26 |
317 | 333,643 | ||||||||||
|
5.75%, 02/01/27(a) |
16 | 17,840 | ||||||||||
|
4.50%, 01/15/28 |
247 | 257,498 | ||||||||||
|
MPT Operating Partnership LP/MPT Finance Corp.: |
||||||||||||
|
5.50%, 05/01/24 |
30 | 30,788 | ||||||||||
|
5.00%, 10/15/27 |
598 | 633,880 | ||||||||||
|
4.63%, 08/01/29 |
415 | 427,450 | ||||||||||
|
NH Hotel Group SA, 3.75%, 10/01/23 |
EUR | 115 | 131,365 | |||||||||
|
Ryman Hospitality Properties, Inc., 4.75%, 10/15/27(a) |
USD | 391 | 403,708 | |||||||||
|
SBA Communications Corp.: |
||||||||||||
|
4.88%, 07/15/22 |
14 | 14,175 | ||||||||||
|
4.88%, 09/01/24 |
1,110 | 1,151,625 | ||||||||||
|
Simon Property Group LP, 4.75%, 03/15/42 |
1,670 | 2,006,174 | ||||||||||
|
Starwood Property Trust, Inc., 5.00%, 12/15/21 |
77 | 79,888 | ||||||||||
|
Trust F/1401, 6.95%, 01/30/44 |
476 | 552,457 | ||||||||||
|
Ventas Realty LP, 4.13%, 01/15/26 |
870 | 932,062 | ||||||||||
|
VICI Properties 1 LLC/VICI FC, Inc., 8.00%, 10/15/23 |
100 | 108,358 | ||||||||||
|
VICI Properties LP/VICI Note Co., Inc., 4.63%, 12/01/29(a) |
614 | 640,095 | ||||||||||
|
|
|
|||||||||||
| 13,156,856 | ||||||||||||
| Equity Real Estate Investment Trusts (REITs) — 0.0% | ||||||||||||
|
GLP Capital LP/GLP Financing II, Inc., 5.25%, 06/01/25 |
71 | 77,930 | ||||||||||
|
|
|
|||||||||||
| Food & Staples Retailing — 0.2% | ||||||||||||
|
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertson’s LLC: |
||||||||||||
|
6.63%, 06/15/24 |
59 | 61,753 | ||||||||||
|
5.75%, 03/15/25 |
48 | 49,680 | ||||||||||
|
7.50%, 03/15/26(a) |
65 | 72,963 | ||||||||||
|
4.63%, 01/15/27(a) |
258 | 257,690 | ||||||||||
|
5.88%, 02/15/28(a) |
251 | 266,687 | ||||||||||
|
Post Holdings, Inc., 5.50%, 12/15/29(a) |
156 | 166,343 | ||||||||||
|
Walgreens Boots Alliance, Inc., 4.80%, 11/18/44 |
1,000 | 1,013,385 | ||||||||||
|
|
|
|||||||||||
| 1,888,501 | ||||||||||||
| Security |
Par
(000) |
Value | ||||||||||
| Food Products — 0.7% | ||||||||||||
|
Aramark Services, Inc.: |
||||||||||||
|
5.00%, 04/01/25(a) |
USD | 218 | $ | 227,265 | ||||||||
|
4.75%, 06/01/26 |
154 | 160,160 | ||||||||||
|
5.00%, 02/01/28(a) |
379 | 399,371 | ||||||||||
|
Chobani LLC/Chobani Finance Corp., Inc., 7.50%, 04/15/25(a) |
296 | 297,480 | ||||||||||
|
Darling Ingredients, Inc., 5.25%, 04/15/27(a) |
75 | 79,781 | ||||||||||
|
Graphic Packaging International LLC, 4.75%, 07/15/27(a) |
53 | 56,710 | ||||||||||
|
JBS Investments II GmbH, 5.75%, 01/15/28(a) |
263 | 277,333 | ||||||||||
|
JBS USA LUX SA/JBS USA Finance, Inc.(a): |
||||||||||||
|
5.88%, 07/15/24 |
370 | 380,523 | ||||||||||
|
5.75%, 06/15/25 |
785 | 813,456 | ||||||||||
|
6.75%, 02/15/28 |
275 | 304,133 | ||||||||||
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.(a): |
||||||||||||
|
6.50%, 04/15/29 |
349 | 387,837 | ||||||||||
|
5.50%, 01/15/30 |
369 | 396,343 | ||||||||||
|
MARB BondCo PLC, 7.00%, 03/15/24 |
200 | 207,750 | ||||||||||
|
Marfrig Holdings Europe BV, 8.00%, 06/08/23(a) |
222 | 231,296 | ||||||||||
|
MHP Lux SA, 6.25%, 09/19/29(a) |
400 | 391,500 | ||||||||||
|
Minerva Luxembourg SA, 6.50%, 09/20/26(a) |
200 | 212,875 | ||||||||||
|
Performance Food Group,
Inc.,
|
171 | 182,756 | ||||||||||
|
Post Holdings, Inc.(a): |
||||||||||||
|
5.50%, 03/01/25 |
230 | 240,925 | ||||||||||
|
5.00%, 08/15/26 |
3 | 3,169 | ||||||||||
|
5.75%, 03/01/27 |
268 | 287,430 | ||||||||||
|
Simmons Foods, Inc., 7.75%, 01/15/24(a) |
157 | 169,168 | ||||||||||
|
|
|
|||||||||||
| 5,707,261 | ||||||||||||
| Health Care Equipment & Supplies — 0.4% | ||||||||||||
|
Avantor, Inc.(a): |
||||||||||||
|
6.00%, 10/01/24 |
1,149 | 1,225,098 | ||||||||||
|
9.00%, 10/01/25 |
712 | 795,681 | ||||||||||
|
Hill-Rom Holdings, Inc., 4.38%, 09/15/27(a) |
58 | 59,668 | ||||||||||
|
Hologic, Inc., 4.63%, 02/01/28(a) |
96 | 101,760 | ||||||||||
|
Immucor, Inc., 11.13%, 02/15/22(a) |
60 | 59,850 | ||||||||||
|
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA, 6.63%, 05/15/22(a) |
1,290 | 1,281,938 | ||||||||||
|
Teleflex, Inc.: |
||||||||||||
|
4.88%, 06/01/26 |
75 | 78,375 | ||||||||||
|
4.63%, 11/15/27 |
26 | 27,555 | ||||||||||
|
|
|
|||||||||||
| 3,629,925 | ||||||||||||
| Health Care Providers & Services — 1.5% | ||||||||||||
|
Acadia Healthcare Co., Inc., 5.13%, 07/01/22 |
45 | 45,338 | ||||||||||
|
Aetna, Inc., 4.50%, 05/15/42 |
575 | 620,265 | ||||||||||
|
AHP Health Partners, Inc., 9.75%, 07/15/26(a) |
130 | 142,837 | ||||||||||
|
Centene Corp.(a): |
||||||||||||
|
5.38%, 06/01/26 |
210 | 222,862 | ||||||||||
|
4.25%, 12/15/27 |
432 | 444,420 | ||||||||||
|
4.63%, 12/15/29 |
1,123 | 1,180,666 | ||||||||||
|
CHS/Community Health Systems, Inc.(a): |
||||||||||||
|
8.63%, 01/15/24 |
367 | 389,020 | ||||||||||
|
8.00%, 03/15/26 |
536 | 552,080 | ||||||||||
|
Eagle Holding Co. II LLC, (7.63% Cash or 8.38% PIK), 7.63%, 05/15/22(a)(e) |
59 | 59,929 | ||||||||||
|
Encompass Health Corp., 5.75%, 11/01/24 |
15 | 15,169 | ||||||||||
|
Envision Healthcare Crop., 8.75%, 10/15/26(a) |
129 | 79,980 | ||||||||||
|
HCA, Inc.: |
||||||||||||
|
5.38%, 02/01/25 |
554 | 612,630 | ||||||||||
|
5.88%, 02/15/26 |
3 | 3,411 | ||||||||||
|
5.38%, 09/01/26 |
281 | 312,964 | ||||||||||
| SCHEDULES OF INVESTMENTS | 17 |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| Health Care Providers & Services (continued) | ||||||||||||
|
5.63%, 09/01/28 |
USD | 520 | $ | 592,592 | ||||||||
|
5.88%, 02/01/29 |
359 | 415,094 | ||||||||||
|
MEDNAX, Inc., 5.25%, 12/01/23(a) |
107 | 109,408 | ||||||||||
|
Molina Healthcare, Inc.: |
||||||||||||
|
5.38%, 11/15/22 |
104 | 110,550 | ||||||||||
|
4.88%, 06/15/25(a) |
110 | 113,025 | ||||||||||
|
MPH Acquisition Holdings
LLC,
|
438 | 423,765 | ||||||||||
|
Northwell Healthcare, Inc., 4.26%, 11/01/47 |
725 | 779,932 | ||||||||||
|
NVA Holdings, Inc., 6.88%, 04/01/26(a) |
145 | 156,781 | ||||||||||
|
Polaris Intermediate Corp., (8.50% Cash), 8.50%, 12/01/22(a)(e) |
265 | 246,938 | ||||||||||
|
Regional Care Hospital Partners Holdings, Inc., 8.25%, 05/01/23(a) |
16 | 16,920 | ||||||||||
|
Surgery Center Holdings, Inc.(a): |
||||||||||||
|
6.75%, 07/01/25 |
260 | 260,000 | ||||||||||
|
10.00%, 04/15/27 |
165 | 181,087 | ||||||||||
|
Team Health Holdings, Inc., 6.38%, 02/01/25(a)(h) |
56 | 37,380 | ||||||||||
|
Tenet Healthcare Corp.: |
||||||||||||
|
8.13%, 04/01/22 |
715 | 790,969 | ||||||||||
|
4.63%, 07/15/24 |
744 | 761,670 | ||||||||||
|
4.63%, 09/01/24(a) |
230 | 239,798 | ||||||||||
|
4.88%, 01/01/26(a) |
892 | 934,281 | ||||||||||
|
6.25%, 02/01/27(a) |
181 | 194,801 | ||||||||||
|
5.13%, 11/01/27(a) |
582 | 614,737 | ||||||||||
|
Vizient, Inc., 6.25%, 05/15/27(a) |
250 | 267,500 | ||||||||||
|
WellCare Health Plans, Inc.: |
||||||||||||
|
5.25%, 04/01/25 |
195 | 202,800 | ||||||||||
|
5.38%, 08/15/26(a) |
197 | 209,805 | ||||||||||
|
|
|
|||||||||||
| 12,341,404 | ||||||||||||
| Health Care Technology — 0.2% | ||||||||||||
|
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25(a) |
586 | 602,115 | ||||||||||
|
IQVIA, Inc.(a): |
||||||||||||
|
3.25%, 03/15/25 |
EUR | 100 | 114,401 | |||||||||
|
5.00%, 10/15/26 |
USD | 280 | 295,400 | |||||||||
|
5.00%, 05/15/27 |
468 | 495,076 | ||||||||||
|
|
|
|||||||||||
| 1,506,992 | ||||||||||||
| Hotels, Restaurants & Leisure — 2.0% | ||||||||||||
|
1011778 BC ULC/New Red Finance, Inc.(a): |
||||||||||||
|
4.25%, 05/15/24 |
100 | 102,500 | ||||||||||
|
5.00%, 10/15/25 |
896 | 925,120 | ||||||||||
|
3.88%, 01/15/28 |
283 | 283,707 | ||||||||||
|
4.38%, 01/15/28 |
222 | 222,555 | ||||||||||
|
Boyd Gaming Corp., 6.00%, 08/15/26 |
68 | 72,930 | ||||||||||
|
Boyne USA, Inc., 7.25%, 05/01/25(a) |
109 | 118,538 | ||||||||||
|
Cedar Fair LP, 5.25%, 07/15/29(a) |
281 | 302,777 | ||||||||||
|
Churchill Downs, Inc.(a): |
||||||||||||
|
5.50%, 04/01/27 |
535 | 567,100 | ||||||||||
|
4.75%, 01/15/28 |
252 | 260,190 | ||||||||||
|
CPUK Finance Ltd., 4.25%, 02/28/47 |
GBP | 100 | 134,541 | |||||||||
|
Eldorado Resorts, Inc., 6.00%, 09/15/26 |
USD | 70 | 77,088 | |||||||||
|
Golden Nugget, Inc., 6.75%, 10/15/24(a) |
896 | 927,360 | ||||||||||
|
Hilton Domestic Operating Co., Inc.: |
||||||||||||
|
5.13%, 05/01/26 |
207 | 217,867 | ||||||||||
|
4.88%, 01/15/30 |
787 | 833,752 | ||||||||||
|
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.88%, 04/01/27 |
124 | 131,750 | ||||||||||
|
IRB Holding Corp., 6.75%, 02/15/26(a) |
76 | 79,610 | ||||||||||
| Security |
Par
(000) |
Value | ||||||||||
| Hotels, Restaurants & Leisure (continued) | ||||||||||||
|
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC(a): |
||||||||||||
|
5.25%, 06/01/26 |
USD | 75 | $ | 79,125 | ||||||||
|
4.75%, 06/01/27 |
158 | 166,295 | ||||||||||
|
Lions Gate Capital Holdings LLC(a): |
||||||||||||
|
6.38%, 02/01/24 |
16 | 16,720 | ||||||||||
|
5.88%, 11/01/24 |
109 | 109,545 | ||||||||||
|
MGM Resorts International: |
||||||||||||
|
7.75%, 03/15/22 |
305 | 341,219 | ||||||||||
|
6.00%, 03/15/23 |
253 | 277,667 | ||||||||||
|
5.75%, 06/15/25 |
26 | 29,120 | ||||||||||
|
4.63%, 09/01/26 |
12 | 12,720 | ||||||||||
|
Sabre GLBL, Inc.(a): |
||||||||||||
|
5.38%, 04/15/23 |
62 | 63,519 | ||||||||||
|
5.25%, 11/15/23 |
151 | 154,964 | ||||||||||
|
Scientific Games International, Inc.: |
||||||||||||
|
5.00%, 10/15/25(a) |
599 | 626,704 | ||||||||||
|
3.38%, 02/15/26 |
EUR | 100 | 116,074 | |||||||||
|
8.25%, 03/15/26(a) |
USD | 479 | 528,097 | |||||||||
|
7.00%, 05/15/28(a) |
177 | 189,833 | ||||||||||
|
7.25%, 11/15/29(a) |
206 | 223,510 | ||||||||||
|
Six Flags Entertainment Corp.(a): |
||||||||||||
|
4.88%, 07/31/24 |
524 | 542,995 | ||||||||||
|
5.50%, 04/15/27 |
171 | 182,329 | ||||||||||
|
Station Casinos LLC, 5.00%, 10/01/25(a) |
243 | 247,252 | ||||||||||
|
Unique Pub Finance Co. PLC: |
||||||||||||
|
Series A4, 5.66%, 06/30/27 |
GBP | 826 | 1,254,155 | |||||||||
|
Series M, 7.40%, 03/28/24 |
3,000 | 4,529,903 | ||||||||||
|
Series N, 6.46%, 03/30/32 |
100 | 168,231 | ||||||||||
|
Wyndham Destinations, Inc.: |
||||||||||||
|
5.40%, 04/01/24 |
USD | 6 | 6,353 | |||||||||
|
5.75%, 04/01/27 |
44 | 47,740 | ||||||||||
|
Wyndham Hotels & Resorts, Inc., 5.38%, 04/15/26(a) |
130 | 137,150 | ||||||||||
|
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27(a) |
110 | 116,875 | ||||||||||
|
Wynn Macau Ltd., 5.50%, 10/01/27(a) |
400 | 413,750 | ||||||||||
|
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29(a) |
320 | 343,200 | ||||||||||
|
Yum! Brands, Inc.: |
||||||||||||
|
3.88%, 11/01/23 |
27 | 27,810 | ||||||||||
|
4.75%, 01/15/30(a) |
244 | 255,590 | ||||||||||
|
5.35%, 11/01/43 |
44 | 43,560 | ||||||||||
|
|
|
|||||||||||
| 16,509,390 | ||||||||||||
| Household Durables — 0.2% | ||||||||||||
|
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.25%, 09/15/27(a) |
148 | 156,140 | ||||||||||
|
Controladora Mabe SA de CV, 5.60%, 10/23/28(a) |
215 | 236,769 | ||||||||||
|
Lennar Corp.: |
||||||||||||
|
6.25%, 12/15/21 |
196 | 205,800 | ||||||||||
|
4.88%, 12/15/23 |
85 | 90,950 | ||||||||||
|
4.75%, 05/30/25 |
90 | 96,750 | ||||||||||
|
5.25%, 06/01/26 |
38 | 41,610 | ||||||||||
|
4.75%, 11/29/27 |
239 | 257,522 | ||||||||||
|
MDC Holdings, Inc., 6.00%, 01/15/43 |
72 | 74,880 | ||||||||||
|
Meritage Homes Corp., 5.13%, 06/06/27 |
35 | 37,363 | ||||||||||
|
PulteGroup, Inc., 6.38%, 05/15/33 |
216 | 252,180 | ||||||||||
|
Taylor Morrison Communities, Inc., 5.88%, 06/15/27(a) |
161 | 177,100 | ||||||||||
|
Tempur Sealy International, Inc., 5.50%, 06/15/26 |
67 | 70,601 | ||||||||||
| 18 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| Household Durables (continued) | ||||||||||||
|
TRI Pointe Group, Inc.: |
||||||||||||
|
4.88%, 07/01/21 |
USD | 73 | $ | 74,825 | ||||||||
|
5.25%, 06/01/27 |
28 | 29,260 | ||||||||||
|
|
|
|||||||||||
| 1,801,750 | ||||||||||||
| Household Products — 0.0% | ||||||||||||
|
ACCO Brands Corp., 5.25%, 12/15/24(a) |
59 | 61,434 | ||||||||||
|
Energizer Holdings, Inc.(a): |
||||||||||||
|
6.38%, 07/15/26 |
29 | 30,885 | ||||||||||
|
7.75%, 01/15/27 |
256 | 286,093 | ||||||||||
|
|
|
|||||||||||
| 378,412 | ||||||||||||
| Independent Power and Renewable Electricity Producers — 0.5% | ||||||||||||
|
Calpine Corp.: |
||||||||||||
|
5.50%, 02/01/24 |
39 | 39,585 | ||||||||||
|
5.75%, 01/15/25 |
293 | 300,691 | ||||||||||
|
5.25%, 06/01/26(a) |
424 | 441,490 | ||||||||||
|
4.50%, 02/15/28(a) |
367 | 370,255 | ||||||||||
|
5.13%, 03/15/28(a) |
851 | 868,616 | ||||||||||
|
Clearway Energy Operating LLC: |
||||||||||||
|
5.75%, 10/15/25 |
112 | 117,880 | ||||||||||
|
4.75%, 03/15/28(a) |
189 | 191,599 | ||||||||||
|
Genneia SA, 8.75%, 01/20/22(a) |
370 | 289,294 | ||||||||||
|
NRG Energy, Inc.: |
||||||||||||
|
6.63%, 01/15/27 |
795 | 862,575 | ||||||||||
|
5.75%, 01/15/28 |
18 | 19,530 | ||||||||||
|
5.25%, 06/15/29(a) |
474 | 512,512 | ||||||||||
|
TerraForm Power Operating LLC(a): |
||||||||||||
|
4.25%, 01/31/23 |
63 | 64,857 | ||||||||||
|
5.00%, 01/31/28 |
128 | 135,336 | ||||||||||
|
4.75%, 01/15/30 |
212 | 215,710 | ||||||||||
|
Vistra Energy Corp., 5.88%, 06/01/23 |
7 | 7,161 | ||||||||||
|
|
|
|||||||||||
| 4,437,091 | ||||||||||||
| Industrial Conglomerates — 0.1% | ||||||||||||
|
BWX Technologies, Inc., 5.38%, 07/15/26(a) |
248 | 262,880 | ||||||||||
|
General Electric Co., 6.88%, 01/10/39 |
135 | 180,433 | ||||||||||
|
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.75%, 09/15/24(a) |
49 | 50,347 | ||||||||||
|
Smiths Group PLC, 3.63%, 10/12/22(a) |
360 | 366,636 | ||||||||||
|
Vertiv Group Corp., 9.25%, 10/15/24(a) |
282 | 303,150 | ||||||||||
|
|
|
|||||||||||
| 1,163,446 | ||||||||||||
| Insurance — 2.0% | ||||||||||||
|
Acrisure LLC/Acrisure Finance, Inc., 8.13%, 02/15/24(a) |
106 | 115,275 | ||||||||||
|
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(a) |
602 | 644,712 | ||||||||||
|
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25 |
1,495 | 1,578,565 | ||||||||||
|
AmWINS Group, Inc., 7.75%, 07/01/26(a) |
143 | 158,034 | ||||||||||
|
Aon PLC: |
||||||||||||
|
3.88%, 12/15/25 |
1,445 | 1,555,349 | ||||||||||
|
4.60%, 06/14/44 |
500 | 579,588 | ||||||||||
|
Assicurazioni Generali SpA(3 mo. Euribor + 5.35%), 5.50%, 10/27/47(f) |
EUR | 100 | 137,829 | |||||||||
|
AXA SA(3 mo. Euribor +
3.05%),
|
500 | 568,927 | ||||||||||
|
Five Corners Funding Trust, 4.42%, 11/15/23(a) |
USD | 2,050 | 2,225,610 | |||||||||
|
GTCR AP Finance, Inc., 8.00%, 05/15/27(a) |
171 | 177,840 | ||||||||||
|
HUB International Ltd., 7.00%, 05/01/26(a) |
829 | 876,667 | ||||||||||
|
Liberty Mutual Group, Inc., 6.50%, 05/01/42(a) |
2,000 | 2,725,681 | ||||||||||
|
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen(3 mo. Euribor + 3.50%), 6.00%, 05/26/41(f) |
EUR | 400 | 485,596 | |||||||||
| Security |
Par
(000) |
Value | ||||||||||
| Insurance (continued) | ||||||||||||
|
Nationstar Mortgage Holdings, Inc.(a): |
||||||||||||
|
8.13%, 07/15/23 |
USD | 357 | $ | 377,892 | ||||||||
|
9.13%, 07/15/26 |
170 | 188,275 | ||||||||||
|
Nationwide Building Society(5 year USD ICE Swap + 1.85%), 4.13%, 10/18/32(a)(f) |
720 | 749,934 | ||||||||||
|
Prudential Financial, Inc.: |
||||||||||||
|
5.90%, 03/17/36 |
500 | 632,311 | ||||||||||
|
5.70%, 12/14/36 |
1,625 | 2,204,919 | ||||||||||
|
Teachers Insurance & Annuity Association of America, 4.27%, 05/15/47(a) |
700 | 796,210 | ||||||||||
|
|
|
|||||||||||
| 16,779,214 | ||||||||||||
| Interactive Media & Services — 0.3% | ||||||||||||
|
Go Daddy Operating Co. LLC/GD Finance Co., Inc., 5.25%, 12/01/27(a) |
184 | 193,660 | ||||||||||
|
Match Group, Inc., 5.63%, 02/15/29(a) |
107 | 113,955 | ||||||||||
|
Netflix, Inc.: |
||||||||||||
|
4.88%, 04/15/28 |
31 | 32,200 | ||||||||||
|
5.88%, 11/15/28 |
455 | 504,395 | ||||||||||
|
3.88%, 11/15/29 |
EUR | 100 | 118,620 | |||||||||
|
5.38%, 11/15/29(a) |
USD | 574 | 611,298 | |||||||||
|
3.63%, 06/15/30 |
EUR | 100 | 115,255 | |||||||||
|
4.88%, 06/15/30(a) |
USD | 315 | 319,922 | |||||||||
|
Rackspace Hosting, Inc., 8.63%, 11/15/24(a)(h) |
99 | 96,772 | ||||||||||
|
Twitter, Inc., 3.88%, 12/15/27(a) |
81 | 80,958 | ||||||||||
|
Uber Technologies, Inc.(a): |
||||||||||||
|
7.50%, 11/01/23(h) |
154 | 160,930 | ||||||||||
|
8.00%, 11/01/26 |
113 | 117,802 | ||||||||||
|
7.50%, 09/15/27 |
100 | 102,594 | ||||||||||
|
|
|
|||||||||||
| 2,568,361 | ||||||||||||
| IT Services — 0.5% | ||||||||||||
|
Banff Merger Sub, Inc., 9.75%, 09/01/26(a) |
1,007 | 1,019,587 | ||||||||||
|
Camelot Finance SA, 4.50%, 11/01/26(a) |
416 | 427,440 | ||||||||||
|
Fair Isaac Corp., 4.00%, 06/15/28(a) |
107 | 107,802 | ||||||||||
|
Fidelity National Information Services, Inc., 4.50%, 08/15/46 |
1,000 | 1,148,806 | ||||||||||
|
Gartner, Inc., 5.13%, 04/01/25(a) |
209 | 217,621 | ||||||||||
|
InterXion Holding NV, 4.75%, 06/15/25 |
EUR | 100 | 121,144 | |||||||||
|
Outfront Media Capital LLC/Outfront Media Capital Corp.(a): |
||||||||||||
|
5.00%, 08/15/27 |
USD | 324 | 339,390 | |||||||||
|
4.63%, 03/15/30 |
129 | 131,257 | ||||||||||
|
WEX, Inc., 4.75%, 02/01/23(a) |
105 | 105,788 | ||||||||||
|
Xerox Corp., 4.80%, 03/01/35 |
122 | 112,561 | ||||||||||
|
|
|
|||||||||||
| 3,731,396 | ||||||||||||
| Leisure Products — 0.1% | ||||||||||||
|
Mattel, Inc.(a): |
||||||||||||
|
6.75%, 12/31/25 |
530 | 569,644 | ||||||||||
|
5.88%, 12/15/27 |
199 | 209,696 | ||||||||||
|
|
|
|||||||||||
| 779,340 | ||||||||||||
| Life Sciences Tools & Services — 0.2% | ||||||||||||
|
Thermo Fisher Scientific, Inc.,
|
1,000 | 1,281,231 | ||||||||||
|
|
|
|||||||||||
| Machinery — 0.3% | ||||||||||||
|
Colfax Corp.(a): |
||||||||||||
|
6.00%, 02/15/24 |
283 | 300,688 | ||||||||||
|
6.38%, 02/15/26 |
201 | 219,090 | ||||||||||
|
Manitowoc Co., Inc., 9.00%, 04/01/26(a) |
120 | 125,700 | ||||||||||
|
Mueller Water Products,
Inc.,
|
192 | 202,320 | ||||||||||
|
Platin 1426 GmbH, 5.38%, 06/15/23 |
EUR | 100 | 112,966 | |||||||||
| SCHEDULES OF INVESTMENTS | 19 |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| Machinery (continued) | ||||||||||||
|
RBS Global, Inc./Rexnord
LLC,
|
USD | 409 | $ | 422,292 | ||||||||
|
SPX FLOW, Inc.(a): |
||||||||||||
|
5.63%, 08/15/24 |
149 | 155,146 | ||||||||||
|
5.88%, 08/15/26 |
35 | 37,013 | ||||||||||
|
Terex Corp., 5.63%, 02/01/25(a) |
214 | 220,955 | ||||||||||
|
Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26(a) |
484 | 479,160 | ||||||||||
|
Wabash National Corp., 5.50%, 10/01/25(a) |
176 | 176,000 | ||||||||||
|
|
|
|||||||||||
| 2,451,330 | ||||||||||||
| Media — 5.2% | ||||||||||||
|
Altice Financing SA(a): |
||||||||||||
|
6.63%, 02/15/23 |
203 | 206,553 | ||||||||||
|
7.50%, 05/15/26 |
792 | 851,400 | ||||||||||
|
Altice France SA(a): |
||||||||||||
|
7.38%, 05/01/26 |
1,106 | 1,187,446 | ||||||||||
|
8.13%, 02/01/27 |
678 | 763,597 | ||||||||||
|
Altice Luxembourg SA: |
||||||||||||
|
7.63%, 02/15/25(a) |
248 | 257,610 | ||||||||||
|
8.00%, 05/15/27 |
EUR | 100 | 125,630 | |||||||||
|
10.50%, 05/15/27(a) |
USD | 888 | 1,012,364 | |||||||||
|
AMC Networks, Inc.: |
||||||||||||
|
5.00%, 04/01/24 |
2 | 2,040 | ||||||||||
|
4.75%, 08/01/25 |
252 | 252,945 | ||||||||||
|
CCO Holdings LLC/CCO Holdings Capital Corp.(a): |
||||||||||||
|
5.13%, 05/01/27 |
768 | 810,240 | ||||||||||
|
5.88%, 05/01/27 |
18 | 19,035 | ||||||||||
|
5.00%, 02/01/28 |
272 | 285,415 | ||||||||||
|
5.38%, 06/01/29 |
868 | 928,760 | ||||||||||
|
4.75%, 03/01/30 |
235 | 239,237 | ||||||||||
|
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 07/23/25 |
4,700 | 5,175,534 | ||||||||||
|
Clear Channel Worldwide Holdings, Inc.(a): |
||||||||||||
|
9.25%, 02/15/24 |
878 | 972,385 | ||||||||||
|
5.13%, 08/15/27 |
1,139 | 1,186,041 | ||||||||||
|
Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22 |
2,600 | 3,142,148 | ||||||||||
|
Comcast Corp.: |
||||||||||||
|
6.45%, 03/15/37 |
790 | 1,118,206 | ||||||||||
|
4.60%, 08/15/45 |
2,000 | 2,404,641 | ||||||||||
|
4.70%, 10/15/48 |
3,000 | 3,704,298 | ||||||||||
|
Connect Finco Sarl/Connect US Finco LLC, 6.75%, 10/01/26(a) |
893 | 951,045 | ||||||||||
|
CSC Holdings LLC: |
||||||||||||
|
6.75%, 11/15/21 |
137 | 147,446 | ||||||||||
|
5.38%, 07/15/23(a) |
340 | 348,500 | ||||||||||
|
5.25%, 06/01/24 |
240 | 258,600 | ||||||||||
|
6.63%, 10/15/25(a) |
200 | 212,750 | ||||||||||
|
10.88%, 10/15/25(a) |
654 | 730,845 | ||||||||||
|
5.50%, 05/15/26(a) |
200 | 211,748 | ||||||||||
|
5.38%, 02/01/28(a) |
200 | 213,250 | ||||||||||
|
5.75%, 01/15/30(a) |
443 | 472,902 | ||||||||||
|
Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 08/15/26(a) |
406 | 410,690 | ||||||||||
|
Discovery Communications LLC: |
||||||||||||
|
3.25%, 04/01/23 |
1,850 | 1,903,707 | ||||||||||
|
3.45%, 03/15/25 |
210 | 218,157 | ||||||||||
|
DISH DBS Corp.: |
||||||||||||
|
6.75%, 06/01/21 |
443 | 466,235 | ||||||||||
|
5.88%, 07/15/22 |
718 | 761,080 | ||||||||||
|
5.00%, 03/15/23 |
284 | 291,341 | ||||||||||
|
5.88%, 11/15/24 |
44 | 44,963 | ||||||||||
| Security |
Par
(000) |
Value | ||||||||||
| Media (continued) | ||||||||||||
|
eircom Finance DAC, 3.50%, 05/15/26 |
EUR | 100 | $ | 118,196 | ||||||||
|
Entercom Media Corp., 6.50%, 05/01/27(a) |
USD | 173 | 185,110 | |||||||||
|
Entertainment One Ltd., 4.63%, 07/15/26 |
GBP | 100 | 143,038 | |||||||||
|
Gray Television, Inc., 5.13%, 10/15/24(a) |
USD | 3 | 3,113 | |||||||||
|
Hughes Satellite Systems Corp., 5.25%, 08/01/26 |
110 | 120,725 | ||||||||||
|
iHeartCommunications, Inc.: |
||||||||||||
|
6.38%, 05/01/26 |
104 | 113,013 | ||||||||||
|
5.25%, 08/15/27(a) |
127 | 132,880 | ||||||||||
|
4.75%, 01/15/28(a) |
50 | 51,250 | ||||||||||
|
Intelsat Jackson Holdings SA: |
||||||||||||
|
5.50%, 08/01/23 |
314 | 269,739 | ||||||||||
|
9.75%, 07/15/25(a) |
554 | 512,450 | ||||||||||
|
Interpublic Group of Cos., Inc., 3.75%, 02/15/23 |
2,000 | 2,090,538 | ||||||||||
|
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(a) |
200 | 212,000 | ||||||||||
|
Live Nation Entertainment,
Inc.,
|
121 | 125,235 | ||||||||||
|
Meredith Corp., 6.88%, 02/01/26 |
40 | 41,588 | ||||||||||
|
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27(a) |
108 | 114,210 | ||||||||||
|
Qualitytech LP/QTS Finance Corp., 4.75%, 11/15/25(a) |
104 | 107,770 | ||||||||||
|
Radiate Holdco LLC/Radiate Finance, Inc., 6.63%, 02/15/25(a) |
74 | 74,740 | ||||||||||
|
Sable International Finance
Ltd.,
|
200 | 212,000 | ||||||||||
|
Sirius XM Radio, Inc.(a): |
||||||||||||
|
4.63%, 07/15/24 |
92 | 96,600 | ||||||||||
|
5.38%, 04/15/25 |
3 | 3,100 | ||||||||||
|
5.38%, 07/15/26 |
2 | 2,124 | ||||||||||
|
5.00%, 08/01/27 |
497 | 524,335 | ||||||||||
|
5.50%, 07/01/29 |
308 | 333,022 | ||||||||||
|
TCI Communications, Inc., 7.88%, 02/15/26 |
610 | 794,421 | ||||||||||
|
TEGNA, Inc., 5.50%, 09/15/24(a) |
45 | 46,575 | ||||||||||
|
Telenet Finance Luxembourg Notes Sarl, 5.50%, 03/01/28(a) |
200 | 213,500 | ||||||||||
|
Univision Communications, Inc.(a): |
||||||||||||
|
5.13%, 05/15/23 |
202 | 201,495 | ||||||||||
|
5.13%, 02/15/25 |
52 | 51,415 | ||||||||||
|
ViacomCBS, Inc., 5.85%, 09/01/43 |
645 | 808,129 | ||||||||||
|
Videotron Ltd., 5.13%, 04/15/27(a) |
227 | 242,890 | ||||||||||
|
Virgin Media Finance PLC, 5.75%, 01/15/25(a) |
515 | 529,806 | ||||||||||
|
Virgin Media Secured Finance PLC: |
||||||||||||
|
4.88%, 01/15/27 |
GBP | 100 | 137,813 | |||||||||
|
5.50%, 05/15/29(a) |
USD | 200 | 211,750 | |||||||||
|
Walt Disney Co., 7.63%, 11/30/28 |
385 | 533,224 | ||||||||||
|
Ziggo Bond Co. BV(a): |
||||||||||||
|
5.88%, 01/15/25 |
260 | 267,964 | ||||||||||
|
6.00%, 01/15/27 |
150 | 158,250 | ||||||||||
|
Ziggo BV(a): |
||||||||||||
|
5.50%, 01/15/27 |
314 | 333,625 | ||||||||||
|
4.88%, 01/15/30 |
200 | 206,462 | ||||||||||
|
|
|
|||||||||||
| 42,612,879 | ||||||||||||
| Metals & Mining — 1.0% | ||||||||||||
|
Allegheny Technologies, Inc., 5.88%, 12/01/27 |
177 | 185,850 | ||||||||||
|
Big River Steel LLC/BRS Finance Corp., 7.25%, 09/01/25(a) |
197 | 207,835 | ||||||||||
|
Constellium SE(a): |
||||||||||||
|
5.75%, 05/15/24 |
832 | 854,880 | ||||||||||
|
6.63%, 03/01/25 |
264 | 273,926 | ||||||||||
| 20 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| Metals & Mining (continued) | ||||||||||||
|
5.88%, 02/15/26 |
USD | 519 | $ | 548,842 | ||||||||
|
Freeport-McMoRan, Inc.: |
||||||||||||
|
3.55%, 03/01/22 |
416 | 421,200 | ||||||||||
|
3.88%, 03/15/23 |
924 | 940,845 | ||||||||||
|
5.00%, 09/01/27 |
140 | 147,000 | ||||||||||
|
5.25%, 09/01/29 |
151 | 161,766 | ||||||||||
|
5.40%, 11/14/34 |
245 | 256,638 | ||||||||||
|
5.45%, 03/15/43 |
752 | 778,320 | ||||||||||
|
Gold Fields Orogen Holdings BVI Ltd., 5.13%, 05/15/24(a) |
200 | 213,500 | ||||||||||
|
Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23(a) |
164 | 167,075 | ||||||||||
|
Joseph T Ryerson & Son,
Inc.,
|
84 | 88,620 | ||||||||||
|
Kaiser Aluminum Corp., 4.63%, 03/01/28(a) |
90 | 92,340 | ||||||||||
|
Nexa Resources SA, 5.38%, 05/04/27(a) |
299 | 318,061 | ||||||||||
|
Novelis Corp.(a): |
||||||||||||
|
6.25%, 08/15/24 |
881 | 923,949 | ||||||||||
|
5.88%, 09/30/26 |
551 | 586,322 | ||||||||||
|
Rio Tinto Finance USA PLC, 4.75%, 03/22/42 |
400 | 489,994 | ||||||||||
|
thyssenkrupp AG, 2.88%, 02/22/24 |
EUR | 51 | 58,983 | |||||||||
|
Vale Overseas Ltd., 6.25%, 08/10/26 |
USD | 237 | 277,290 | |||||||||
|
|
|
|||||||||||
| 7,993,236 | ||||||||||||
| Multi-Utilities — 0.0% | ||||||||||||
|
Superior Plus LP/Superior General Partner, Inc., 7.00%, 07/15/26(a) |
187 | 200,791 | ||||||||||
|
|
|
|||||||||||
| Multiline Retail — 0.0% | ||||||||||||
|
Dufry One BV, 2.00%, 02/15/27 |
EUR | 100 | 113,662 | |||||||||
|
|
|
|||||||||||
| Offshore Drilling & Other Services — 0.0% | ||||||||||||
|
Entegris, Inc., 4.63%, 02/10/26(a) |
USD | 135 | 139,725 | |||||||||
|
|
|
|||||||||||
| Oil, Gas & Consumable Fuels — 5.5% | ||||||||||||
|
Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.38%, 09/15/24 |
35 | 32,463 | ||||||||||
|
Antero Resources Corp., 5.38%, 11/01/21 |
100 | 95,219 | ||||||||||
|
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.00%, 04/01/22(a) |
172 | 171,076 | ||||||||||
|
Berry Petroleum Co. LLC, 7.00%, 02/15/26(a) |
106 | 98,183 | ||||||||||
|
Bioceanico Sovereign Certificate Ltd., 0.00%, 06/05/34(i) |
150 | 103,751 | ||||||||||
|
Callon Petroleum Co.: |
||||||||||||
|
6.13%, 10/01/24 |
129 | 131,443 | ||||||||||
|
Series WI, 6.38%, 07/01/26 |
210 | 213,067 | ||||||||||
|
Carrizo Oil & Gas, Inc.: |
||||||||||||
|
6.25%, 04/15/23 |
205 | 208,044 | ||||||||||
|
8.25%, 07/15/25 |
128 | 130,880 | ||||||||||
|
Cenovus Energy, Inc., 4.25%, 04/15/27 |
400 | 423,787 | ||||||||||
|
Centennial Resource Production LLC, 6.88%, 04/01/27(a) |
156 | 162,240 | ||||||||||
|
Cheniere Energy Partners LP: |
||||||||||||
|
5.63%, 10/01/26 |
141 | 149,107 | ||||||||||
|
4.50%, 10/01/29(a) |
395 | 405,902 | ||||||||||
|
Series WI, 5.25%, 10/01/25 |
33 | 34,389 | ||||||||||
|
Chesapeake Energy Corp.: |
||||||||||||
|
6.63%, 08/15/20 |
179 | 177,210 | ||||||||||
|
4.88%, 04/15/22 |
388 | 306,520 | ||||||||||
|
5.75%, 03/15/23 |
134 | 90,702 | ||||||||||
|
11.50%, 01/01/25(a) |
338 | 319,410 | ||||||||||
|
Citgo Holding, Inc., 9.25%, 08/01/24(a) |
98 | 105,105 | ||||||||||
|
CNX Resources Corp., 5.88%, 04/15/22 |
504 | 504,353 | ||||||||||
|
Comstock Resources, Inc., 9.75%, 08/15/26 |
136 | 123,420 | ||||||||||
|
ConocoPhillips, 6.50%, 02/01/39 |
600 | 874,419 | ||||||||||
| Security |
Par
(000) |
Value | ||||||||||
| Oil, Gas & Consumable Fuels (continued) | ||||||||||||
|
ConocoPhillips Canada Funding Co., 5.95%, 10/15/36 |
USD | 685 | $ | 929,130 | ||||||||
|
CONSOL Energy, Inc., 11.00%, 11/15/25(a) |
284 | 241,934 | ||||||||||
|
Covey Park Energy LLC/Covey Park Finance Corp., 7.50%, 05/15/25(a) |
175 | 150,500 | ||||||||||
|
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: |
||||||||||||
|
6.25%, 04/01/23 |
11 | 11,220 | ||||||||||
|
5.63%, 05/01/27(a) |
238 | 241,272 | ||||||||||
|
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(a) |
697 | 710,940 | ||||||||||
|
DCP Midstream Operating LP: |
||||||||||||
|
5.38%, 07/15/25 |
118 | 128,325 | ||||||||||
|
5.13%, 05/15/29 |
65 | 67,438 | ||||||||||
|
6.45%, 11/03/36(a) |
148 | 155,400 | ||||||||||
|
6.75%, 09/15/37(a) |
222 | 233,100 | ||||||||||
|
Denbury Resources, Inc.(a): |
||||||||||||
|
9.00%, 05/15/21 |
241 | 233,167 | ||||||||||
|
9.25%, 03/31/22 |
42 | 39,585 | ||||||||||
|
Devon Energy Corp., 5.85%, 12/15/25 |
1,000 | 1,185,858 | ||||||||||
|
eG Global Finance PLC: |
||||||||||||
|
6.75%, 02/07/25(a) |
241 | 244,615 | ||||||||||
|
6.25%, 10/30/25 |
EUR | 142 | 168,440 | |||||||||
|
8.50%, 10/30/25(a) |
USD | 200 | 212,250 | |||||||||
|
Enbridge, Inc.(3 mo. LIBOR US + 3.64%), 6.25%, 03/01/78(f) |
1,935 | 2,098,682 | ||||||||||
|
Endeavor Energy Resources LP/EER Finance, Inc.(a): |
||||||||||||
|
5.50%, 01/30/26 |
352 | 363,440 | ||||||||||
|
5.75%, 01/30/28 |
314 | 330,092 | ||||||||||
|
Energy Transfer Operating LP: |
||||||||||||
|
4.05%, 03/15/25 |
500 | 525,690 | ||||||||||
|
4.75%, 01/15/26 |
1,250 | 1,353,701 | ||||||||||
|
5.30%, 04/15/47 |
540 | 576,469 | ||||||||||
|
EnLink Midstream LLC, 5.38%, 06/01/29 |
50 | 47,000 | ||||||||||
|
EnLink Midstream Partners LP: |
||||||||||||
|
4.40%, 04/01/24 |
144 | 139,694 | ||||||||||
|
4.15%, 06/01/25 |
10 | 9,400 | ||||||||||
|
4.85%, 07/15/26 |
20 | 18,750 | ||||||||||
|
5.60%, 04/01/44 |
122 | 98,820 | ||||||||||
|
5.05%, 04/01/45 |
19 | 15,010 | ||||||||||
|
EOG Resources, Inc., 5.10%, 01/15/36 |
200 | 245,790 | ||||||||||
|
Extraction Oil & Gas, Inc.(a): |
||||||||||||
|
7.38%, 05/15/24 |
213 | 133,125 | ||||||||||
|
5.63%, 02/01/26 |
306 | 183,600 | ||||||||||
|
Genesis Energy LP/Genesis Energy Finance Corp.: |
||||||||||||
|
6.00%, 05/15/23 |
48 | 47,520 | ||||||||||
|
5.63%, 06/15/24 |
23 | 22,195 | ||||||||||
|
6.50%, 10/01/25 |
59 | 57,083 | ||||||||||
|
6.25%, 05/15/26 |
74 | 70,670 | ||||||||||
|
Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 09/30/21(a) |
390 | 348,562 | ||||||||||
|
Hess Corp., 4.30%, 04/01/27 |
1,100 | 1,173,066 | ||||||||||
|
Hess Midstream Operations LP, 5.63%, 02/15/26(a) |
128 | 133,233 | ||||||||||
|
Impulsora Pipeline LLC, 6.05%, 12/31/42(d) |
1,762 | 1,873,382 | ||||||||||
|
Indigo Natural Resources
LLC,
|
199 | 187,060 | ||||||||||
|
KeySpan Gas East Corp., 5.82%, 04/01/41(a) |
1,010 | 1,306,898 | ||||||||||
|
Kinder Morgan, Inc.: |
||||||||||||
|
4.30%, 06/01/25 |
1,750 | 1,898,724 | ||||||||||
|
5.05%, 02/15/46 |
1,750 | 1,963,837 | ||||||||||
| SCHEDULES OF INVESTMENTS | 21 |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| Oil, Gas & Consumable Fuels (continued) | ||||||||||||
|
Marathon Petroleum Corp., 6.50%, 03/01/41 |
USD | 2,049 | $ | 2,661,379 | ||||||||
|
Matador Resources Co., 5.88%, 09/15/26 |
243 | 243,607 | ||||||||||
|
MEG Energy Corp.(a): |
||||||||||||
|
6.38%, 01/30/23 |
156 | 156,390 | ||||||||||
|
7.00%, 03/31/24 |
48 | 48,300 | ||||||||||
|
6.50%, 01/15/25 |
465 | 483,646 | ||||||||||
|
MPLX LP, 4.25%, 12/01/27(a) |
250 | 263,228 | ||||||||||
|
Murphy Oil Corp.: |
||||||||||||
|
5.75%, 08/15/25 |
65 | 67,987 | ||||||||||
|
5.88%, 12/01/27 |
90 | 94,500 | ||||||||||
|
5.88%, 12/01/42 |
63 | 57,960 | ||||||||||
|
Nabors Industries, Inc., 4.63%, 09/15/21 |
116 | 115,275 | ||||||||||
|
New Enterprise Stone & Lime Co., Inc., 6.25%, 03/15/26(a) |
53 | 55,518 | ||||||||||
|
NGPL PipeCo LLC, 7.77%, 12/15/37(a) |
138 | 178,183 | ||||||||||
|
Noble Holding International Ltd.: |
||||||||||||
|
7.75%, 01/15/24(h) |
14 | 7,273 | ||||||||||
|
7.88%, 02/01/26(a) |
108 | 78,300 | ||||||||||
|
NuStar Logistics LP, 6.00%, 06/01/26 |
99 | 104,692 | ||||||||||
|
Occidental Petroleum Corp., 5.55%, 03/15/26 |
1,500 | 1,701,167 | ||||||||||
|
Pacific Drilling SA, 8.38%, 10/01/23(a) |
380 | 346,750 | ||||||||||
|
Parsley Energy LLC/Parsley Finance Corp.(a): |
||||||||||||
|
6.25%, 06/01/24 |
94 | 97,760 | ||||||||||
|
5.38%, 01/15/25 |
107 | 110,210 | ||||||||||
|
5.25%, 08/15/25 |
40 | 41,100 | ||||||||||
|
5.63%, 10/15/27 |
195 | 206,212 | ||||||||||
|
PBF Holding Co. LLC/PBF Finance Corp., 7.25%, 06/15/25 |
79 | 84,333 | ||||||||||
|
PDC Energy, Inc.: |
||||||||||||
|
6.13%, 09/15/24 |
69 | 69,863 | ||||||||||
|
5.75%, 05/15/26 |
79 | 78,803 | ||||||||||
|
Petrobras Global Finance BV: |
||||||||||||
|
5.30%, 01/27/25 |
178 | 193,263 | ||||||||||
|
8.75%, 05/23/26 |
222 | 285,159 | ||||||||||
|
6.00%, 01/27/28 |
239 | 272,161 | ||||||||||
|
7.25%, 03/17/44 |
220 | 266,819 | ||||||||||
|
Petroleos Mexicanos, 6.50%, 03/13/27 |
148 | 156,802 | ||||||||||
|
QEP Resources, Inc.: |
||||||||||||
|
6.88%, 03/01/21 |
113 | 116,955 | ||||||||||
|
5.38%, 10/01/22 |
198 | 198,990 | ||||||||||
|
5.25%, 05/01/23 |
93 | 92,070 | ||||||||||
|
5.63%, 03/01/26 |
146 | 142,386 | ||||||||||
|
Range Resources Corp.: |
||||||||||||
|
5.75%, 06/01/21 |
76 | 75,810 | ||||||||||
|
5.88%, 07/01/22 |
79 | 78,408 | ||||||||||
|
5.00%, 08/15/22 |
100 | 98,000 | ||||||||||
|
Rowan Cos., Inc., 4.88%, 06/01/22 |
318 | 232,140 | ||||||||||
|
Sabine Pass Liquefaction LLC, 5.88%, 06/30/26 |
1,750 | 2,011,667 | ||||||||||
|
Saudi Arabian Oil Co., 3.50%, 04/16/29 |
200 | 207,375 | ||||||||||
|
SM Energy Co.: |
||||||||||||
|
6.13%, 11/15/22 |
84 | 84,840 | ||||||||||
|
5.00%, 01/15/24 |
170 | 161,925 | ||||||||||
|
5.63%, 06/01/25 |
35 | 33,221 | ||||||||||
|
6.75%, 09/15/26 |
54 | 52,920 | ||||||||||
|
6.63%, 01/15/27 |
31 | 30,469 | ||||||||||
|
Southwestern Energy Co.: |
||||||||||||
|
6.20%, 01/23/25 |
19 | 17,427 | ||||||||||
|
7.75%, 10/01/27 |
12 | 11,114 | ||||||||||
|
SRC Energy, Inc., 6.25%, 12/01/25 |
34 | 34,255 | ||||||||||
|
Suncor Energy, Inc., 6.50%, 06/15/38 |
1,000 | 1,392,070 | ||||||||||
|
Sunoco Logistics Partners Operations LP, 3.90%, 07/15/26 |
310 | 322,057 | ||||||||||
| Security |
Par
(000) |
Value | ||||||||||
| Oil, Gas & Consumable Fuels (continued) | ||||||||||||
|
Sunoco LP/Sunoco Finance Corp.: |
||||||||||||
|
6.00%, 04/15/27 |
USD | 85 | $ | 90,738 | ||||||||
|
Series WI, 4.88%, 01/15/23 |
127 | 129,860 | ||||||||||
|
Series WI, 5.50%, 02/15/26 |
21 | 21,788 | ||||||||||
|
Series WI, 5.88%, 03/15/28 |
4 | 4,247 | ||||||||||
|
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(a): |
||||||||||||
|
4.75%, 10/01/23 |
15 | 14,963 | ||||||||||
|
5.50%, 09/15/24 |
238 | 239,190 | ||||||||||
|
5.50%, 01/15/28 |
139 | 136,220 | ||||||||||
|
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: |
||||||||||||
|
5.13%, 02/01/25 |
95 | 98,563 | ||||||||||
|
5.88%, 04/15/26 |
254 | 269,875 | ||||||||||
|
5.38%, 02/01/27 |
2 | 2,075 | ||||||||||
|
6.50%, 07/15/27(a) |
195 | 213,525 | ||||||||||
|
5.00%, 01/15/28 |
98 | 99,960 | ||||||||||
|
6.88%, 01/15/29(a) |
511 | 567,210 | ||||||||||
|
5.50%, 03/01/30(a) |
230 | 236,325 | ||||||||||
|
TransCanada PipeLines Ltd., 4.63%, 03/01/34 |
500 | 570,340 | ||||||||||
|
Viper Energy Partners LP, 5.38%, 11/01/27(a) |
75 | 78,000 | ||||||||||
|
Western Midstream Operating LP,
|
1,425 | 1,470,345 | ||||||||||
|
Williams Cos., Inc.: |
||||||||||||
|
3.90%, 01/15/25 |
1,150 | 1,211,098 | ||||||||||
|
4.00%, 09/15/25 |
750 | 795,783 | ||||||||||
|
WPX Energy, Inc.: |
||||||||||||
|
8.25%, 08/01/23 |
43 | 49,450 | ||||||||||
|
5.25%, 09/15/24 |
75 | 79,688 | ||||||||||
|
5.75%, 06/01/26 |
16 | 17,080 | ||||||||||
|
5.25%, 10/15/27 |
81 | 85,455 | ||||||||||
|
YPF SA, 8.50%, 07/28/25 |
316 | 297,336 | ||||||||||
|
|
|
|||||||||||
| 45,735,210 | ||||||||||||
| Paper & Forest Products — 0.1% | ||||||||||||
|
International Paper Co., 6.00%, 11/15/41 |
870 | 1,086,014 | ||||||||||
|
Norbord, Inc., 6.25%, 04/15/23(a) |
111 | 118,770 | ||||||||||
|
|
|
|||||||||||
| 1,204,784 | ||||||||||||
| Pharmaceuticals — 2.4% | ||||||||||||
|
AbbVie, Inc.: |
||||||||||||
|
3.60%, 05/14/25 |
870 | 919,133 | ||||||||||
|
3.20%, 05/14/26 |
500 | 518,146 | ||||||||||
|
4.45%, 05/14/46 |
2,095 | 2,243,928 | ||||||||||
|
Allergan Funding SCS: |
||||||||||||
|
3.80%, 03/15/25 |
3,250 | 3,415,450 | ||||||||||
|
4.55%, 03/15/35 |
2,140 | 2,339,485 | ||||||||||
|
Allergan Sales LLC, 5.00%, 12/15/21(a) |
758 | 792,815 | ||||||||||
|
Bausch Health Americas,
Inc.,
|
745 | 848,406 | ||||||||||
|
Bausch Health Cos., Inc.: |
||||||||||||
|
5.50%, 03/01/23(a) |
131 | 131,655 | ||||||||||
|
4.50%, 05/15/23 |
EUR | 276 | 313,459 | |||||||||
|
5.88%, 05/15/23(a)(j) |
USD | 12 | 12,105 | |||||||||
|
7.00%, 03/15/24(a) |
312 | 324,480 | ||||||||||
|
6.13%, 04/15/25(a) |
247 | 255,208 | ||||||||||
|
5.50%, 11/01/25(a) |
661 | 690,745 | ||||||||||
|
9.00%, 12/15/25(a) |
362 | 411,666 | ||||||||||
|
5.75%, 08/15/27(a) |
248 | 269,080 | ||||||||||
|
7.00%, 01/15/28(a) |
145 | 160,051 | ||||||||||
|
5.00%, 01/30/28(a) |
394 | 404,398 | ||||||||||
|
7.25%, 05/30/29(a) |
341 | 389,592 | ||||||||||
|
5.25%, 01/30/30(a) |
389 | 403,393 | ||||||||||
| 22 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| Pharmaceuticals (continued) | ||||||||||||
|
Catalent Pharma Solutions,
Inc.,
|
USD | 254 | $ | 266,065 | ||||||||
|
Charles River Laboratories
International,
|
||||||||||||
|
5.50%, 04/01/26 |
234 | 251,550 | ||||||||||
|
4.25%, 05/01/28 |
136 | 138,550 | ||||||||||
|
CVS Health Corp.: |
||||||||||||
|
5.13%, 07/20/45 |
700 | 830,421 | ||||||||||
|
5.05%, 03/25/48(h) |
1,221 | 1,446,917 | ||||||||||
|
Eagle Holding Co. II LLC, (7.750% Cash or 8.50% PIK), 7.75%, 05/15/22(a)(e) |
209 | 212,214 | ||||||||||
|
Elanco Animal Health, Inc., 4.90%, 08/28/28 |
173 | 188,262 | ||||||||||
|
MEDNAX, Inc., 6.25%, 01/15/27(a) |
349 | 357,725 | ||||||||||
|
Mylan NV, 3.95%, 06/15/26 |
750 | 781,893 | ||||||||||
|
Par Pharmaceutical, Inc., 7.50%, 04/01/27(a) |
475 | 472,625 | ||||||||||
|
Rossini Sarl, 6.75%, 10/30/25 |
EUR | 112 | 139,764 | |||||||||
|
|
|
|||||||||||
| 19,929,181 | ||||||||||||
| Professional Services — 0.1% | ||||||||||||
|
ASGN, Inc., 4.63%, 05/15/28(a) |
USD | 181 | 186,046 | |||||||||
|
Dun & Bradstreet Corp., 10.25%, 02/15/27(a) |
314 | 361,100 | ||||||||||
|
|
|
|||||||||||
| 547,146 | ||||||||||||
| Real Estate Management & Development — 0.1% | ||||||||||||
|
ADLER Real Estate AG, 3.00%, 04/27/26 |
EUR | 100 | 118,299 | |||||||||
|
Greystar Real Estate Partners LLC, 5.75%, 12/01/25(a) |
USD | 126 | 130,725 | |||||||||
|
Howard Hughes Corp., 5.38%, 03/15/25(a) |
89 | 92,782 | ||||||||||
|
Newmark Group, Inc., 6.13%, 11/15/23 |
64 | 70,580 | ||||||||||
|
Residomo SRO, 3.38%, 10/15/24 |
EUR | 100 | 116,446 | |||||||||
|
|
|
|||||||||||
| 528,832 | ||||||||||||
| Road & Rail — 0.8% | ||||||||||||
|
Burlington Northern Santa Fe LLC,
|
USD | 1,890 | 2,551,932 | |||||||||
|
CSX Corp., 4.75%, 05/30/42 |
350 | 412,627 | ||||||||||
|
Flexi-Van Leasing, Inc., 10.00%, 02/15/23(a) |
122 | 115,595 | ||||||||||
|
Herc Holdings, Inc., 5.50%, 07/15/27(a) |
253 | 266,282 | ||||||||||
|
Hertz Corp.(a): |
||||||||||||
|
7.63%, 06/01/22 |
86 | 89,440 | ||||||||||
|
6.00%, 01/15/28 |
206 | 206,000 | ||||||||||
|
Lima Metro Line 2 Finance
Ltd.,
|
2,751 | 3,143,319 | ||||||||||
|
United Rentals North America, Inc., 5.88%, 09/15/26 |
53 | 56,856 | ||||||||||
|
|
|
|||||||||||
| 6,842,051 | ||||||||||||
| Semiconductors & Semiconductor Equipment — 0.6% | ||||||||||||
|
Advanced Micro Devices, Inc., 7.50%, 08/15/22 |
51 | 57,439 | ||||||||||
|
Analog Devices, Inc., 3.90%, 12/15/25 |
470 | 505,296 | ||||||||||
|
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27 |
2,850 | 2,960,460 | ||||||||||
|
Microchip Technology,
Inc.,
|
53 | 114,016 | ||||||||||
|
ON Semiconductor Corp., 1.00%, 12/01/20(k) |
168 | 228,311 | ||||||||||
|
Qorvo, Inc.: |
||||||||||||
|
5.50%, 07/15/26 |
204 | 217,260 | ||||||||||
|
4.38%, 10/15/29(a) |
50 | 52,375 | ||||||||||
|
QUALCOMM, Inc., 4.65%, 05/20/35 |
250 | 297,218 | ||||||||||
|
Sensata Tech, Inc., 4.38%, 02/15/30(a) |
128 | 130,486 | ||||||||||
|
Sensata Technologies BV, 5.00%, 10/01/25(a) |
370 | 401,912 | ||||||||||
|
|
|
|||||||||||
| 4,964,773 | ||||||||||||
| Software — 2.0% | ||||||||||||
|
ACI Worldwide, Inc., 5.75%, 08/15/26(a) |
433 | 466,557 | ||||||||||
|
CA, Inc., 3.60%, 08/15/22 |
705 | 721,301 | ||||||||||
| Security |
Par
(000) |
Value | ||||||||||
| Software (continued) | ||||||||||||
|
CDK Global, Inc.: |
||||||||||||
|
4.88%, 06/01/27 |
USD | 440 | $ | 464,750 | ||||||||
|
5.25%, 05/15/29(a) |
84 | 90,090 | ||||||||||
|
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho, 10.00%, 11/30/24(a) |
691 | 747,144 | ||||||||||
|
Infor (US), Inc., 6.50%, 05/15/22 |
1,519 | 1,541,785 | ||||||||||
|
Informatica LLC, 7.13%, 07/15/23(a) |
589 | 597,835 | ||||||||||
|
Microsoft Corp., 3.50%, 11/15/42 |
4,000 | 4,341,108 | ||||||||||
|
MSCI, Inc., 4.00%, 11/15/29(a) |
51 | 51,701 | ||||||||||
|
Nuance Communications, Inc., 5.63%, 12/15/26 |
169 | 180,109 | ||||||||||
|
Oracle Corp., 5.38%, 07/15/40 |
3,025 | 3,932,023 | ||||||||||
|
PTC, Inc., 6.00%, 05/15/24 |
125 | 130,469 | ||||||||||
|
RP Crown Parent LLC, 7.38%, 10/15/24(a) |
461 | 478,864 | ||||||||||
|
Solera LLC/Solera Finance, Inc., 10.50%, 03/01/24(a) |
1,120 | 1,188,387 | ||||||||||
|
Sophia LP/Sophia Finance,
Inc.,
|
177 | 181,867 | ||||||||||
|
SS&C Technologies, Inc., 5.50%, 09/30/27(a) |
910 | 971,425 | ||||||||||
|
TIBCO Software, Inc., 11.38%, 12/01/21(a) |
408 | 422,810 | ||||||||||
|
|
|
|||||||||||
| 16,508,225 | ||||||||||||
| Specialty Retail — 0.6% | ||||||||||||
|
Asbury Automotive Group, Inc., 6.00%, 12/15/24 |
159 | 164,167 | ||||||||||
|
Catalent Pharma Solutions,
Inc.,
|
234 | 242,190 | ||||||||||
|
Group 1 Automotive, Inc.: |
||||||||||||
|
5.00%, 06/01/22 |
40 | 40,550 | ||||||||||
|
5.25%, 12/15/23(a) |
13 | 13,358 | ||||||||||
|
Home Depot, Inc., 5.88%, 12/16/36 |
1,660 | 2,291,600 | ||||||||||
|
IAA, Inc., 5.50%, 06/15/27(a) |
225 | 239,062 | ||||||||||
|
L Brands, Inc.: |
||||||||||||
|
6.88%, 11/01/35 |
215 | 192,425 | ||||||||||
|
6.75%, 07/01/36 |
49 | 42,998 | ||||||||||
|
Lowe’s Cos., Inc., 4.38%, 09/15/45 |
1,000 | 1,116,247 | ||||||||||
|
Penske Automotive Group, Inc., 5.50%, 05/15/26 |
22 | 23,045 | ||||||||||
|
PetSmart, Inc.(a): |
||||||||||||
|
7.13%, 03/15/23 |
31 | 30,380 | ||||||||||
|
5.88%, 06/01/25 |
285 | 290,344 | ||||||||||
|
Staples, Inc., 7.50%, 04/15/26(a) |
663 | 687,862 | ||||||||||
|
|
|
|||||||||||
| 5,374,228 | ||||||||||||
| Technology Hardware, Storage & Peripherals — 0.7% | ||||||||||||
|
Apple, Inc., 4.65%, 02/23/46 |
2,400 | 3,011,406 | ||||||||||
|
Hewlett Packard Enterprise Co., 4.90%, 10/15/25 |
1,500 | 1,667,369 | ||||||||||
|
NCR Corp.(a): |
||||||||||||
|
5.75%, 09/01/27 |
137 | 145,905 | ||||||||||
|
6.13%, 09/01/29 |
159 | 172,534 | ||||||||||
|
Western Digital Corp., 4.75%, 02/15/26 |
387 | 403,448 | ||||||||||
|
|
|
|||||||||||
| 5,400,662 | ||||||||||||
| Textiles, Apparel & Luxury Goods — 0.0% | ||||||||||||
|
William Carter Co., 5.63%, 03/15/27(a) |
97 | 104,275 | ||||||||||
|
|
|
|||||||||||
| Thrifts & Mortgage Finance — 0.0% | ||||||||||||
|
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(a): |
||||||||||||
|
5.25%, 03/15/22 |
17 | 17,659 | ||||||||||
|
5.25%, 10/01/25 |
145 | 150,437 | ||||||||||
|
|
|
|||||||||||
| 168,096 | ||||||||||||
| SCHEDULES OF INVESTMENTS | 23 |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| Tobacco — 1.1% | ||||||||||||
|
Altria Group, Inc.: |
||||||||||||
|
9.95%, 11/10/38 |
USD | 516 | $ | 829,621 | ||||||||
|
10.20%, 02/06/39 |
894 | 1,440,150 | ||||||||||
|
5.38%, 01/31/44 |
2,000 | 2,259,836 | ||||||||||
|
3.88%, 09/16/46 |
1,250 | 1,153,988 | ||||||||||
|
Reynolds American, Inc.: |
||||||||||||
|
4.45%, 06/12/25 |
635 | 683,822 | ||||||||||
|
7.00%, 08/04/41 |
1,000 | 1,223,642 | ||||||||||
|
5.85%, 08/15/45 |
1,500 | 1,721,539 | ||||||||||
|
|
|
|||||||||||
| 9,312,598 | ||||||||||||
| Transportation Infrastructure — 0.2% | ||||||||||||
|
Ferrovial Netherlands BV(5 year EUR Swap + 2.13%), 2.12%(f)(g) |
EUR | 100 | 109,590 | |||||||||
|
I 595 Express LLC, 3.31%, 12/31/31(d) |
USD | 798 | 813,285 | |||||||||
|
Transurban Finance Co. Property Ltd., 4.13%, 02/02/26(a) |
580 | 612,851 | ||||||||||
|
|
|
|||||||||||
| 1,535,726 | ||||||||||||
| Utilities — 0.2% | ||||||||||||
|
AES Argentina Generacion
SA,
|
370 | 310,800 | ||||||||||
|
AES Panama SRL, 6.00%, 06/25/22(a) |
228 | 234,840 | ||||||||||
|
Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, 07/27/23(a) |
370 | 229,053 | ||||||||||
|
Stoneway Capital Corp., 10.00%, 03/01/27(a) |
469 | 296,430 | ||||||||||
|
Vistra Operations Co. LLC(a): |
||||||||||||
|
5.50%, 09/01/26 |
56 | 59,360 | ||||||||||
|
5.63%, 02/15/27 |
196 | 206,535 | ||||||||||
|
5.00%, 07/31/27 |
107 | 111,813 | ||||||||||
|
|
|
|||||||||||
| 1,448,831 | ||||||||||||
| Wireless Telecommunication Services — 1.1% | ||||||||||||
|
Altice France SA, 5.50%, 01/15/28(a) |
613 | 629,888 | ||||||||||
|
C&W Senior Financing DAC, 6.88%, 09/15/27(a) |
423 | 452,327 | ||||||||||
|
Comunicaciones Celulares SA Via Comcel Trust, 6.88%, 02/06/24(a) |
1,000 | 1,028,750 | ||||||||||
|
Equinix, Inc., 2.88%, 03/15/24 |
EUR | 100 | 115,816 | |||||||||
|
Matterhorn Telecom SA, 4.00%, 11/15/27 |
100 | 119,461 | ||||||||||
|
Radiate Holdco LLC/Radiate Finance, Inc., 6.88%, 02/15/23(a) |
USD | 43 | 43,752 | |||||||||
|
Rogers Communications, Inc., 7.50%, 08/15/38 |
2,325 | 3,396,031 | ||||||||||
|
Sprint Capital Corp.: |
||||||||||||
|
6.88%, 11/15/28 |
496 | 534,440 | ||||||||||
|
8.75%, 03/15/32 |
126 | 152,932 | ||||||||||
|
Sprint Corp.: |
||||||||||||
|
7.88%, 09/15/23 |
252 | 278,039 | ||||||||||
|
7.13%, 06/15/24 |
307 | 331,176 | ||||||||||
|
7.63%, 02/15/25 |
197 | 216,178 | ||||||||||
|
7.63%, 03/01/26 |
397 | 437,812 | ||||||||||
|
T-Mobile USA, Inc.: |
||||||||||||
|
6.50%, 01/15/26 |
42 | 45,033 | ||||||||||
|
4.50%, 02/01/26 |
402 | 412,050 | ||||||||||
|
4.75%, 02/01/28 |
320 | 335,299 | ||||||||||
|
VICI Properties LP/VICI Note Co., Inc., 4.25%, 12/01/26(a) |
861 | 886,830 | ||||||||||
|
|
|
|||||||||||
| 9,415,814 | ||||||||||||
|
|
|
|||||||||||
|
Total Corporate Bonds — 62.5%
|
|
516,503,192 | ||||||||||
|
|
|
|||||||||||
| Security |
Par
(000) |
Value | ||||||||||
|
Floating Rate Loan Interests — 2.6% |
|
|||||||||||
|
Aerospace & Defense — 0.0% |
|
|||||||||||
|
Atlantic Aviation FBO, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 5.55%, 12/06/25(b) |
USD | 33 | $ | 33,017 | ||||||||
|
|
|
|||||||||||
| Auto Components — 0.1% | ||||||||||||
|
Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 5.30%, 04/30/26(b) |
415 | 415,923 | ||||||||||
|
|
|
|||||||||||
| Banks — 0.0% | ||||||||||||
|
Capri Finance LLC, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 4.93%, 11/01/24(b) |
107 | 105,716 | ||||||||||
|
|
|
|||||||||||
| Building Products — 0.0% | ||||||||||||
|
CPG International, Inc., 2017 Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.93%, 05/05/24(b) |
73 | 72,766 | ||||||||||
|
|
|
|||||||||||
| Capital Markets — 0.0% | ||||||||||||
|
Jefferies Finance LLC, 2019 Term Loan, (1 mo. LIBOR + 3.75%), 5.50%, 06/03/26(b) |
248 | 247,253 | ||||||||||
|
|
|
|||||||||||
| Chemicals — 0.1% | ||||||||||||
|
Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.94%, 01/31/24(b) |
336 | 336,285 | ||||||||||
|
Charter NEX US, Inc., Incremental Term Loan, (1 mo. LIBOR + 3.50%), 5.30%, 05/16/24(b) |
134 | 134,205 | ||||||||||
|
Invictus US LLC, 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 8.68%, 03/30/26(b) |
37 | 34,086 | ||||||||||
|
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%),
|
124 | 123,606 | ||||||||||
|
|
|
|||||||||||
| 628,182 | ||||||||||||
| Commercial Services & Supplies — 0.2% | ||||||||||||
|
Aramark Services, Inc., 2019 Term Loan B4, 01/27/27(b)(l) |
30 | 30,141 | ||||||||||
|
Asurion LLC, 2017 2nd Lien Term Loan,
|
261 | 264,001 | ||||||||||
|
Diamond (BC) BV, Term Loan, (3 mo. LIBOR + 3.00%), 4.93%, 09/06/24(b) |
287 | 280,333 | ||||||||||
|
GFL Environmental, Inc., 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 05/30/25(b) |
368 | 368,425 | ||||||||||
|
KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 4.06%, 09/19/26(b) |
34 | 34,674 | ||||||||||
|
Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 6.30%, 08/27/25(b) |
662 | 666,169 | ||||||||||
|
|
|
|||||||||||
| 1,643,743 | ||||||||||||
| Construction & Engineering — 0.2% | ||||||||||||
|
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.29%, 06/21/24(b) |
1,314 | 1,308,770 | ||||||||||
|
|
|
|||||||||||
| Containers & Packaging — 0.0% | ||||||||||||
|
BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 5.23%, 04/03/24(b) |
231 | 229,890 | ||||||||||
|
|
|
|||||||||||
| Diversified Consumer Services — 0.0% | ||||||||||||
|
Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 07/12/24(b) |
144 | 144,441 | ||||||||||
|
BidFair MergerRight, Inc., Term Loan B, (1 mo. LIBOR + 5.50%, 1.00% Floor), 7.24%, 01/15/27(b) |
210 | 207,790 | ||||||||||
|
|
|
|||||||||||
| 352,231 | ||||||||||||
| 24 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| Diversified Telecommunication Services — 0.1% | ||||||||||||
|
CenturyLink, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.55%, 01/31/25(b) |
USD | 640 | $ | 642,608 | ||||||||
|
Iridium Satellite LLC, Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.55%, 11/04/26(b) |
75 | 75,891 | ||||||||||
|
Telesat Canada, 2019 Term Loan, (3 mo. LIBOR + 2.75%), 4.63%, 12/07/26(b) |
44 | 44,128 | ||||||||||
|
|
|
|||||||||||
| 762,627 | ||||||||||||
| Energy Equipment & Services — 0.1% | ||||||||||||
|
Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 9.55%, 11/08/22(b)(d) |
516 | 495,360 | ||||||||||
|
|
|
|||||||||||
| Food & Staples Retailing — 0.0% | ||||||||||||
|
US Foods, Inc., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 09/13/26(b) |
61 | 61,057 | ||||||||||
|
|
|
|||||||||||
| Food Products — 0.0% | ||||||||||||
|
Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.30%, 10/10/23(b) |
147 | 146,586 | ||||||||||
|
|
|
|||||||||||
| Health Care Equipment & Supplies — 0.1% | ||||||||||||
|
Immucor, Inc., Extended Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.94%, 06/15/21(b) |
762 | 758,382 | ||||||||||
|
|
|
|||||||||||
| Health Care Providers & Services — 0.1% | ||||||||||||
|
AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.30%, 06/30/25(b) |
204 | 205,822 | ||||||||||
|
Da Vinci Purchaser Corp., 2019 Term Loan, 12/03/26(b)(l) |
121 | 121,000 | ||||||||||
|
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.55%, 10/10/25(b) |
595 | 506,468 | ||||||||||
|
Gentiva Health Services, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.56%, 07/02/25(b) |
307 | 308,029 | ||||||||||
|
|
|
|||||||||||
| 1,141,319 | ||||||||||||
| Health Care Services — 0.0% | ||||||||||||
|
Emerald TopCo., Inc., Term Loan, (1 mo. LIBOR + 3.50%), 5.30%, 07/24/26(b) |
395 | 396,863 | ||||||||||
|
|
|
|||||||||||
| Health Care Technology — 0.1% | ||||||||||||
|
Athenahealth, Inc., 2019 Term Loan B, (3 mo. LIBOR + 4.50%), 6.40%, 02/11/26(b) |
741 | 744,167 | ||||||||||
|
|
|
|||||||||||
| Hotels, Restaurants & Leisure — 0.0% | ||||||||||||
|
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 3.50%), 5.44%, 07/10/25(b) |
287 | 289,272 | ||||||||||
|
|
|
|||||||||||
| Independent Power and Renewable Electricity Producers — 0.0% | ||||||||||||
|
Calpine Corp., 2019 Term Loan B10, (1 mo. LIBOR + 2.50%), 4.30%, 08/12/26(b) |
131 | 131,471 | ||||||||||
|
|
|
|||||||||||
| Industrial Conglomerates — 0.1% | ||||||||||||
|
Cortes NP Acquisition Corp., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.93%, 11/30/23(b) |
536 | 534,501 | ||||||||||
|
PSAV Holdings LLC, 2018 2nd Lien Term Loan, 09/01/25(b)(l) |
219 | 205,585 | ||||||||||
|
Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.90%, 11/28/21(b) |
112 | 112,090 | ||||||||||
|
|
|
|||||||||||
| 852,176 | ||||||||||||
| Security |
Par
(000) |
Value | ||||||||||
| Insurance — 0.1% | ||||||||||||
|
Alliant Holdings I, Inc., 2018 Term Loan B, 05/09/25(b)(l) |
USD | 126 | $ | 125,611 | ||||||||
|
Hub International Ltd., 2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.90%, 04/25/25(b) |
287 | 289,635 | ||||||||||
|
Sedgwick Claims Management Services, Inc.(b): |
||||||||||||
|
2019 Term Loan B, (1 mo. LIBOR + 4.00%), 5.80%, 09/03/26 |
143 | 144,445 | ||||||||||
|
Term Loan B, (1 mo. LIBOR + 3.25%), 5.05%, 12/31/25 |
549 | 548,933 | ||||||||||
|
|
|
|||||||||||
| 1,108,624 | ||||||||||||
| IT Services — 0.0% | ||||||||||||
|
Camelot U.S. Acquisition 1 Co., Term Loan B, (1 mo. LIBOR + 3.25%), 5.05%, 10/31/26(b) |
106 | 106,583 | ||||||||||
|
|
|
|||||||||||
| Life Sciences Tools & Services — 0.1% | ||||||||||||
|
Sotera Health Holdings LLC, 2019 Term Loan, (3 mo. LIBOR + 4.50%, 1.00% Floor), 6.29%, 12/11/26(b) |
460 | 461,006 | ||||||||||
|
|
|
|||||||||||
| Machinery — 0.1% | ||||||||||||
|
MHI Holdings LLC, Term Loan B, (1 mo. LIBOR + 5.00%), 6.80%, 09/21/26(b) |
132 | 131,835 | ||||||||||
|
Titan Acquisition Ltd., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.80%, 03/28/25(b) |
734 | 720,948 | ||||||||||
|
|
|
|||||||||||
| 852,783 | ||||||||||||
| Media — 0.4% | ||||||||||||
|
Altice France SA, 2018 Term Loan B13, (1 mo. LIBOR + 4.00%), 5.74%, 08/14/26(b) |
270 | 270,544 | ||||||||||
|
Clear Channel Outdoor Holdings, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 5.30%, 08/21/26(b) |
506 | 508,079 | ||||||||||
|
Connect Finco Sarl, Term Loan B, 12/11/26(b)(l) |
422 | 424,070 | ||||||||||
|
Intelsat Jackson Holdings SA(b): |
||||||||||||
|
2017 Term Loan B3, (6 mo. LIBOR + 3.75%, 1.00% Floor), 5.68%, 11/27/23 |
64 | 64,457 | ||||||||||
|
2017 Term Loan B4, (6 mo. LIBOR + 4.50%, 1.00% Floor), 6.43%, 01/02/24 |
198 | 199,483 | ||||||||||
|
2017 Term Loan B5, (Fixed + 6.62%), 6.63%, 01/02/24 |
1,070 | 1,081,779 | ||||||||||
|
Terrier Media Buyer, Inc., Term Loan B,
|
476 | 480,465 | ||||||||||
|
|
|
|||||||||||
| 3,028,877 | ||||||||||||
| Oil & Gas Equipment & Services — 0.0% | ||||||||||||
|
McDermott Technology Americas, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 10.00%), 12.00%, 10/21/21(b) |
88 | 89,999 | ||||||||||
|
|
|
|||||||||||
| Oil, Gas & Consumable Fuels — 0.2% | ||||||||||||
|
California Resources Corp., Second Out Term Loan, (1 mo. LIBOR + 10.37%, 1.00% Floor), 12.18%, 12/31/21(b) |
312 | 231,054 | ||||||||||
|
Chesapeake Energy Corp., 2019 Last Out Term Loan, 06/09/24(b)(l) |
823 | 846,316 | ||||||||||
|
CITGO Holding, Inc., 2019 Term Loan B, (1 mo. LIBOR + 7.00%, 1.00% Floor), 8.80%, 08/01/23(b) |
159 | 161,311 | ||||||||||
|
CONSOL Energy, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.30%, 09/27/24(b) |
126 | 111,237 | ||||||||||
|
|
|
|||||||||||
| 1,349,918 | ||||||||||||
| SCHEDULES OF INVESTMENTS | 25 |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| Pharmaceuticals — 0.1% | ||||||||||||
|
Endo Luxembourg Finance Co. I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%), 6.06%, 04/29/24(b) |
USD | 290 | $ | 276,477 | ||||||||
|
Jaguar Holding Co. II, 2018 Term Loan, 08/18/22(b)(l) |
126 | 126,142 | ||||||||||
|
|
|
|||||||||||
| 402,619 | ||||||||||||
| Professional Services — 0.0% | ||||||||||||
|
Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR + 5.00%), 6.79%, 02/06/26(b) |
184 | 185,457 | ||||||||||
|
|
|
|||||||||||
| Road & Rail — 0.0% | ||||||||||||
|
Genesee & Wyoming, Inc., Term Loan, 11/06/26(b)(l) |
96 | 96,823 | ||||||||||
|
|
|
|||||||||||
| Semiconductors & Semiconductor Equipment — 0.0% | ||||||||||||
|
ON Semiconductor Corp., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 09/19/26(b) |
70 | 70,136 | ||||||||||
|
|
|
|||||||||||
| Software — 0.3% | ||||||||||||
|
Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.25%), 5.05%, 10/01/25(b) |
826 | 832,996 | ||||||||||
|
Infor (US), Inc., Term Loan B6, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.69%, 02/01/22(b) |
82 | 82,666 | ||||||||||
|
Kronos, Inc., 2nd Lien Term Loan,
|
353 | 358,961 | ||||||||||
|
Mitchell International, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.05%, 11/29/24(b) |
283 | 280,189 | ||||||||||
|
Renaissance Holding Corp., 2018 Add On Term Loan, (1 mo. LIBOR + 3.25%), 5.05%, 05/30/25(b) |
106 | 105,014 | ||||||||||
|
Tibco Software, Inc., 2019 Term Loan B, (1 mo. LIBOR + 4.00%), 5.71%, 06/30/26(b) |
266 | 267,249 | ||||||||||
|
Ultimate Software Group, Inc., Term Loan B, (1 mo. LIBOR + 3.75%), 5.55%, 05/04/26(b) |
143 | 143,343 | ||||||||||
|
|
|
|||||||||||
| 2,070,418 | ||||||||||||
| Specialty Retail — 0.1% | ||||||||||||
|
PetSmart, Inc., Term Loan B2, 03/11/22(b)(l) |
421 | 415,836 | ||||||||||
|
|
|
|||||||||||
| Textiles, Apparel & Luxury Goods — 0.0% | ||||||||||||
|
Ascend Performance Materials Operations LLC, 2019 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 7.19%, 08/27/26(b)(d) |
256 | 258,280 | ||||||||||
|
|
|
|||||||||||
| Wireless Telecommunication Services — 0.0% | ||||||||||||
|
Xplornet Communications, Inc., Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.94%, 09/09/21(b)(d) |
92 | 91,954 | ||||||||||
|
|
|
|||||||||||
|
Total Floating Rate Loan Interests — 2.6%
|
|
21,406,084 | ||||||||||
|
|
|
|||||||||||
|
Foreign Agency Obligations — 2.5% |
|
|||||||||||
|
Argentina — 0.0% |
|
|||||||||||
|
Argentine Republic Government International Bond: |
|
|||||||||||
|
6.88%, 04/22/21 |
150 | 80,391 | ||||||||||
|
4.63%, 01/11/23 |
67 | 33,416 | ||||||||||
|
|
|
|||||||||||
| 113,807 | ||||||||||||
| Bahrain — 0.0% | ||||||||||||
|
CBB International Sukuk Co. 7 SPC |
200 | 232,750 | ||||||||||
|
|
|
|||||||||||
| Colombia — 0.1% | ||||||||||||
|
Colombia Government International Bond: |
||||||||||||
|
8.13%, 05/21/24 |
290 | 356,066 | ||||||||||
| Security |
Par
(000) |
Value | ||||||||||
| Colombia (continued) | ||||||||||||
|
4.50%, 01/28/26 |
USD | 200 | $ | 218,000 | ||||||||
|
3.88%, 04/25/27 |
268 | 284,080 | ||||||||||
|
|
|
|||||||||||
| 858,146 | ||||||||||||
| Cyprus — 0.2% | ||||||||||||
|
Cyprus Government International Bond(a) |
EUR | 1,210 | 1,359,480 | |||||||||
|
|
|
|||||||||||
| Dominican Republic — 0.0% | ||||||||||||
|
Dominican Republic International Bond |
USD | 179 | 192,984 | |||||||||
|
|
|
|||||||||||
| Egypt — 0.1% | ||||||||||||
|
Egypt Government Bond: |
||||||||||||
|
16.00%, 06/11/22 |
EGP | 2,967 | 190,996 | |||||||||
|
14.30%, 09/03/22 |
6,430 | 402,463 | ||||||||||
|
Egypt Government International Bond |
USD | 626 | 631,869 | |||||||||
|
|
|
|||||||||||
| 1,225,328 | ||||||||||||
| Iceland — 0.5% | ||||||||||||
|
Iceland Government International Bond |
3,555 | 3,848,424 | ||||||||||
|
|
|
|||||||||||
| Indonesia — 0.1% | ||||||||||||
|
Indonesia Government International Bond |
380 | 422,156 | ||||||||||
|
Indonesia Treasury Bond |
IDR | 6,679,000 | 453,205 | |||||||||
|
|
|
|||||||||||
| 875,361 | ||||||||||||
| Italy — 0.4% | ||||||||||||
|
Italian Government International Bond |
USD | 2,925 | 3,406,931 | |||||||||
|
|
|
|||||||||||
| Mexico — 0.1% | ||||||||||||
|
Mexico Government International Bond: |
||||||||||||
|
4.15%, 03/28/27 |
260 | 278,444 | ||||||||||
|
3.75%, 01/11/28 |
200 | 207,750 | ||||||||||
|
|
|
|||||||||||
| 486,194 | ||||||||||||
| Nigeria — 0.1% | ||||||||||||
|
Nigeria Government International Bond |
400 | 442,000 | ||||||||||
|
|
|
|||||||||||
| Portugal — 0.5% | ||||||||||||
|
Portugal Government International Bond(a) |
|
3,970 | 4,452,990 | |||||||||
|
|
|
|||||||||||
| Qatar — 0.2% | ||||||||||||
|
Qatar Government International Bond: |
||||||||||||
|
4.50%, 04/23/28 |
660 | 756,525 | ||||||||||
|
4.00%, 03/14/29(a) |
440 | 491,837 | ||||||||||
|
|
|
|||||||||||
| 1,248,362 | ||||||||||||
| Russia — 0.1% | ||||||||||||
|
Russian Foreign Bond — Eurobond: |
||||||||||||
|
4.75%, 05/27/26 |
400 | 446,750 | ||||||||||
|
4.25%, 06/23/27 |
400 | 436,800 | ||||||||||
|
|
|
|||||||||||
| 883,550 | ||||||||||||
| Saudi Arabia — 0.0% | ||||||||||||
|
Saudi Government International Bond |
278 | 314,835 | ||||||||||
|
|
|
|||||||||||
| South Africa — 0.0% | ||||||||||||
|
Republic of South Africa Government International Bond |
220 | 235,813 | ||||||||||
|
|
|
|||||||||||
| Turkey — 0.0% | ||||||||||||
|
Turkey Government International Bond |
200 | 208,938 | ||||||||||
|
|
|
|||||||||||
| Ukraine — 0.1% | ||||||||||||
|
Ukraine Government International Bond: |
||||||||||||
|
7.75%, 09/01/23 |
100 | 108,375 | ||||||||||
|
7.75%, 09/01/25 |
185 | 201,557 | ||||||||||
|
9.75%, 11/01/28 |
200 | 243,250 | ||||||||||
|
|
|
|||||||||||
| 553,182 | ||||||||||||
|
|
|
|||||||||||
|
Total Foreign Agency Obligations — 2.5%
|
|
20,939,075 | ||||||||||
|
|
|
|||||||||||
| 26 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| Municipal Bonds — 3.1% | ||||||||||||
| California — 0.8% | ||||||||||||
|
State of California, GO, Build America Bonds: |
||||||||||||
|
7.55%, 04/01/39 |
USD | 280 | $ | 448,008 | ||||||||
|
Various Purpose, 7.63%, 03/01/40 |
1,720 | 2,741,852 | ||||||||||
|
East Bay Municipal Utility District Water System Revenue, RB, Build America Bonds, 5.87%, 06/01/40 |
1,900 | 2,600,245 | ||||||||||
|
University of California, RB, Build America Bonds, 5.95%, 05/15/45 |
885 | 1,192,998 | ||||||||||
|
|
|
|||||||||||
| 6,983,103 | ||||||||||||
| Georgia — 0.3% | ||||||||||||
|
Municipal Electric Authority of Georgia, Refunding RB, Build America Bonds, Series A, 7.06%, 04/01/57 |
1,989 | 2,689,486 | ||||||||||
|
|
|
|||||||||||
| Illinois — 0.3% | ||||||||||||
|
State of Illinois, GO,
Pension,
|
2,000 | 2,154,200 | ||||||||||
|
|
|
|||||||||||
| Indiana — 0.4% | ||||||||||||
|
Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 01/15/40 |
2,535 | 3,424,481 | ||||||||||
|
|
|
|||||||||||
| New York — 1.3% | ||||||||||||
|
New York City Water & Sewer System, RB, 2nd General Resolution: |
||||||||||||
|
5.38%, 12/15/20(m) |
510 | 530,895 | ||||||||||
|
5.38%, 06/15/43 |
260 | 269,399 | ||||||||||
|
New York State Dormitory Authority, RB, Build America Bonds, 5.63%, 03/15/39 |
1,100 | 1,388,552 | ||||||||||
|
Metropolitan Transportation Authority, RB, Build America Bonds, 7.34%, 11/15/39 |
1,295 | 2,024,085 | ||||||||||
|
City of New York Water & Sewer System, Refunding RB, 2nd General Resolution, Series GG, Build America Bonds, 5.72%, 06/15/42 |
1,390 | 1,941,594 | ||||||||||
|
City of New York Municipal Water Finance Authority, Refunding RB, 2nd General Resolution, Series EE, 5.50%, 12/15/20(m) |
930 | 968,939 | ||||||||||
|
New York State Dormitory Authority, RB, Build America Bonds, 5.60%, 03/15/40 |
1,900 | 2,455,845 | ||||||||||
|
Port Authority of New York & New Jersey, RB, 159th Series, 6.04%, 12/01/29 |
780 | 1,003,618 | ||||||||||
|
|
|
|||||||||||
| 10,582,927 | ||||||||||||
|
|
|
|||||||||||
|
Total Municipal Bonds — 3.1%
|
|
25,834,197 | ||||||||||
|
|
|
|||||||||||
|
Non-Agency Mortgage-Backed Securities — 4.4% |
|
|||||||||||
|
Collateralized Mortgage Obligations — 0.3% |
|
|||||||||||
|
Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 03/25/37 |
423 | 376,682 | ||||||||||
|
Countrywide Alternative Loan Trust: |
||||||||||||
|
Series 2005-64CB, Class 1A15, 5.50%, 12/25/35 |
811 | 801,238 | ||||||||||
|
Series 2006-OA21, Class A1, (1 mo. LIBOR US + 0.19%), 1.95%, 03/20/47(b) |
656 | 564,297 | ||||||||||
|
GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 4.30%, 06/19/35(c) |
236 | 241,606 | ||||||||||
|
GSR Mortgage Loan Trust: |
||||||||||||
|
Series 2006-4F, Class 1A1, 5.00%, 05/25/36 |
28 | 64,421 | ||||||||||
| Security |
Par
(000) |
Value | ||||||||||
| Collateralized Mortgage Obligations (continued) | ||||||||||||
|
Series 2007-4F, Class 3A1, 6.00%, 07/25/37 |
USD | 138 | $ | 121,149 | ||||||||
|
JPMorgan Mortgage Trust, Series 2006-S3, Class 1A12, 6.50%, 08/25/36 |
57 | 39,388 | ||||||||||
|
Merrill Lynch Mortgage Investors, Inc., Series 2006-A3,
Class 3A1,
|
349 | 315,902 | ||||||||||
|
WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, (12 mo. MTA + 0.77%), 3.01%, 05/25/47(b) |
151 | 145,881 | ||||||||||
|
|
|
|||||||||||
| 2,670,564 | ||||||||||||
| Commercial Mortgage-Backed Securities — 4.1% | ||||||||||||
|
Banc of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.60%, 04/14/33(a)(c) |
4,170 | 4,326,039 | ||||||||||
|
Citigroup Commercial Mortgage Trust, Series 2013-GC15, Class B, 5.21%, 09/10/46(c) |
7,183 | 7,750,692 | ||||||||||
|
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48 |
1,010 | 1,034,186 | ||||||||||
|
Commercial Mortgage Trust(c): |
||||||||||||
|
Series 2013-CR11, Class B, 5.11%, 08/10/50 |
7,000 | 7,486,353 | ||||||||||
|
Series 2015-CR22, Class C, 4.12%, 03/10/48 |
5,000 | 5,223,463 | ||||||||||
|
Series 2015-LC19, Class C, 4.25%, 02/10/48 |
3,500 | 3,639,675 | ||||||||||
|
CSAIL Commercial Mortgage Trust, Series 2015-C1, Class C, 4.27%, 04/15/50(c) |
1,000 | 1,042,428 | ||||||||||
|
Morgan Stanley Capital I Trust, Series 2014-CPT,
Class G,
|
3,200 | 3,186,549 | ||||||||||
|
|
|
|||||||||||
| 33,689,385 | ||||||||||||
|
|
|
|||||||||||
|
Total Non-Agency Mortgage-Backed Securities —
4.4%
|
|
36,359,949 | ||||||||||
|
|
|
|||||||||||
|
Preferred Securities — 10.7% |
|
|||||||||||
|
Capital Trusts — 10.0% |
|
|||||||||||
| Banks — 2.3% | ||||||||||||
|
Banco Bilbao Vizcaya Argentaria
SA,
|
2,000 | 2,057,500 | ||||||||||
|
Bankia SA, 6.38%(f)(g) |
EUR | 200 | 243,128 | |||||||||
|
BNP Paribas SA, 7.20%(a)(f)(g) |
USD | 2,000 | 2,220,000 | |||||||||
|
Capital One Financial Corp.,
Series E,
|
3,500 | 3,552,045 | ||||||||||
|
CIT Group, Inc., Series A, 5.80%(f)(g) |
163 | 167,483 | ||||||||||
|
Credit Agricole SA, 7.88%(a)(f)(g) |
1,000 | 1,139,800 | ||||||||||
|
Nordea Bank AB, 6.13%(a)(f)(g) |
2,960 | 3,150,535 | ||||||||||
|
Wells Fargo & Co.,(f)(g): |
||||||||||||
|
Series Q, 5.85% |
75 | 2,054,250 | ||||||||||
|
Series S, 5.90% |
3,390 | 3,691,100 | ||||||||||
|
Series U, 5.88% |
645 | 717,562 | ||||||||||
|
|
|
|||||||||||
| 18,993,403 | ||||||||||||
| Building Materials — 0.0% | ||||||||||||
|
Holcim Finance Luxembourg SA, 3.00%(f)(g) |
EUR | 100 | 118,339 | |||||||||
|
|
|
|||||||||||
| Capital Markets — 0.6% | ||||||||||||
|
Goldman Sachs Group, Inc.,
Series P,
|
USD | 74 | 74,555 | |||||||||
| SCHEDULES OF INVESTMENTS | 27 |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| Security |
Par
(000) |
Value | ||||||||||
| Capital Markets (continued) | ||||||||||||
|
Morgan Stanley, Series H, 5.61%(f)(g) |
USD | 2,627 | $ | 2,650,118 | ||||||||
|
State Street Corp., Series F, 5.25%(f)(g) |
2,000 | 2,050,960 | ||||||||||
|
|
|
|||||||||||
| 4,775,633 | ||||||||||||
| Diversified Financial Services — 4.2% | ||||||||||||
|
Bank of America Corp.,(f)(g): |
||||||||||||
|
Series AA, 6.10% |
409 | 455,544 | ||||||||||
|
Series DD, 6.30% |
45 | 51,975 | ||||||||||
|
Series FF, 5.88% |
3,500 | 3,880,800 | ||||||||||
|
Series X, 6.25% |
4,620 | 5,133,975 | ||||||||||
|
Series Z, 6.50% |
87 | 98,745 | ||||||||||
|
Bank of New York Mellon Corp.,(f)(g): |
||||||||||||
|
Series D, 4.50% |
2,000 | 2,020,000 | ||||||||||
|
Series E, 4.95% |
2,000 | 2,020,000 | ||||||||||
|
Credit Suisse Group AG, 6.38%(a)(f)(g) |
300 | 323,400 | ||||||||||
|
HBOS Capital Funding LP, 6.85%(g) |
100 | 102,100 | ||||||||||
|
HSBC Holdings PLC(f)(g): |
||||||||||||
|
6.00% |
435 | 463,275 | ||||||||||
|
6.50% |
1,090 | 1,199,000 | ||||||||||
|
JPMorgan Chase & Co.,(f)(g): |
||||||||||||
|
Series 1, 5.41% |
3,462 | 3,493,158 | ||||||||||
|
Series FF, 5.00% |
820 | 852,800 | ||||||||||
|
Series Q, 5.15% |
3,000 | 3,135,000 | ||||||||||
|
Series R, 6.00% |
70 | 75,163 | ||||||||||
|
Series S, 6.75% |
90 | 101,632 | ||||||||||
|
Series U, 6.13% |
500 | 546,250 | ||||||||||
|
Series V, 5.23% |
6,430 | 6,478,225 | ||||||||||
|
Royal Bank of Scotland Group
PLC,
|
200 | 214,500 | ||||||||||
|
Societe Generale SA(a)(f)(g): |
||||||||||||
|
6.00% |
3,000 | 3,005,028 | ||||||||||
|
7.88% |
1,000 | 1,123,750 | ||||||||||
|
|
|
|||||||||||
| 34,774,320 | ||||||||||||
| Diversified Telecommunication Services — 0.0% | ||||||||||||
|
Telefonica Europe BV, 5.88%(f)(g) |
EUR | 100 | 130,826 | |||||||||
|
|
|
|||||||||||
| Electric Utilities — 1.0% | ||||||||||||
|
ComEd Financing III, 6.35%, 03/15/33 |
USD | 300 | 319,875 | |||||||||
|
Electricite de France SA, 5.25%(a)(f)(g) |
4,200 | 4,410,000 | ||||||||||
|
NextEra Energy Capital Holdings, Inc., 5.65%, 05/01/79(f) |
2,750 | 3,048,426 | ||||||||||
|
RWE AG, 2.75%, 04/21/75(f) |
EUR | 10 | 11,375 | |||||||||
|
|
|
|||||||||||
| 7,789,676 | ||||||||||||
| Insurance — 1.9% | ||||||||||||
|
Allstate Corp.(f): |
||||||||||||
|
6.50%, 05/15/67 |
USD | 4,100 | 5,176,250 | |||||||||
|
Series B, 5.75%, 08/15/53 |
2,000 | 2,150,140 | ||||||||||
|
MetLife, Inc., 6.40%, 12/15/66 |
2,554 | 3,128,650 | ||||||||||
|
Voya Financial, Inc., 5.65%, 05/15/53(f) |
4,500 | 4,784,445 | ||||||||||
|
|
|
|||||||||||
| 15,239,485 | ||||||||||||
| Oil, Gas & Consumable Fuels — 0.0% | ||||||||||||
|
Naturgy Finance BV, 3.38%(f)(g) |
EUR | 100 | 120,291 | |||||||||
|
|
|
|||||||||||
| Utilities — 0.0% | ||||||||||||
|
Electricite de France SA, 4.00%(f)(g) |
100 | 122,365 | ||||||||||
|
|
|
|||||||||||
| Wireless Telecommunication Services — 0.0% | ||||||||||||
|
Vodafone Group PLC, 3.10%, 01/03/79(c) |
100 | 117,779 | ||||||||||
|
|
|
|||||||||||
|
Total Capital Trusts — 10.0%
|
|
82,182,117 | ||||||||||
|
|
|
|||||||||||
| Security |
Shares |
Value | ||||||||||
| Preferred Stocks — 0.6% | ||||||||||||
|
Capital Markets — 0.6% |
|
|||||||||||
|
Goldman Sachs Group, Inc., Series J, 5.50%(f)(g) |
92,000 | $ | 2,467,440 | |||||||||
|
Morgan Stanley, Series K, 5.85%(f)(g) |
66,567 | 1,887,840 | ||||||||||
|
SCE Trust III, Series H, 5.75%(f)(g) |
25,314 | 617,409 | ||||||||||
|
|
|
|||||||||||
| 4,972,689 | ||||||||||||
| Thrifts & Mortgage Finance — 0.0% | ||||||||||||
|
Federal Home Loan Mortgage Corp., Series S, 8.25%(c)(g) |
10,000 | 119,500 | ||||||||||
|
|
|
|||||||||||
|
Total Preferred Stocks — 0.6%
|
|
5,092,189 | ||||||||||
|
|
|
|||||||||||
|
Trust Preferred — 0.1% |
|
|||||||||||
|
Diversified Financial Services — 0.1% |
|
|||||||||||
|
Citigroup Capital XIII, 8.31%, 01/30/20(f) |
29,583 | 822,407 | ||||||||||
|
|
|
|||||||||||
|
Total Trust Preferreds — 0.1%
|
|
822,407 | ||||||||||
|
|
|
|||||||||||
|
Total Preferred Securities— 10.7%
|
|
88,096,713 | ||||||||||
|
|
|
|||||||||||
|
Par
(000) |
||||||||||||
| U.S. Government Sponsored Agency Securities — 28.9% | ||||||||||||
|
Agency Obligations — 1.6% |
|
|||||||||||
|
Fannie Mae, 5.63%, 07/15/37(h) |
USD | 1,600 | $ | 2,341,318 | ||||||||
|
Federal Home Loan Bank(h): |
||||||||||||
|
5.25%, 12/09/22 |
1,375 | 1,517,556 | ||||||||||
|
5.37%, 09/09/24 |
4,025 | 4,676,826 | ||||||||||
|
Residual Funding Corp., 0.00%, 04/15/30(i) |
6,055 | 4,727,987 | ||||||||||
|
|
|
|||||||||||
| 13,263,687 | ||||||||||||
| Collateralized Mortgage Obligations — 4.3% | ||||||||||||
|
Fannie Mae Mortgage-Backed Securities: |
||||||||||||
|
Series 2015-47, Class GL, 3.50%, 07/25/45 |
1,636 | 1,767,196 | ||||||||||
|
Series 1991-87, Class S, (1 mo. LIBOR US +
26.68%), 21.93%,
|
— | (n) | 413 | |||||||||
|
Series G-17, Class S, 905.41%, 06/25/21(b) |
— | (n) | — | |||||||||
|
Series G-07, Class S, (1 mo. LIBOR US + 1144.57%), 951.92%, 03/25/21(b) |
— | (n) | 5 | |||||||||
|
Series G-33, Class PV, 1,078.42%, 10/25/21 |
— | (n) | — | |||||||||
|
Series 1991-46, Class S, (1 mo. LIBOR US +
2519.00%), 2,108.63%,
|
— | (n) | — | |||||||||
|
Freddie Mac Mortgage-Backed Securities: |
||||||||||||
|
Series 4350, Class DY, 4.00%, 06/15/44 |
2,830 | 3,094,825 | ||||||||||
|
Series 4480, Class ZX, 4.00%, 11/15/44 |
6,583 | 7,278,516 | ||||||||||
|
Series 4549, Class TZ, 4.00%, 11/15/45 |
2,884 | 3,137,121 | ||||||||||
|
Series 4398, Class ZX, 4.00%, 09/15/54 |
9,464 | 10,583,648 | ||||||||||
|
Series 1057, Class J, 1,008.00%, 03/15/21 |
— | (n) | — | |||||||||
|
Series 0192, Class U, (1 mo. LIBOR US + 17.25%), 1,009.03%, 02/15/22(b) |
— | (n) | — | |||||||||
|
Ginnie Mae Mortgage-Backed Securities, Series 2014-72, Class MQ, 4.00%, 02/20/44 |
8,858 | 9,812,708 | ||||||||||
|
|
|
|||||||||||
| 35,674,432 | ||||||||||||
| Interest Only Collateralized Mortgage Obligations — 0.3% | ||||||||||||
|
Fannie Mae Mortgage-Backed Securities: |
||||||||||||
|
Series 1997-50, Class SI, (1 mo. LIBOR US + 9.20%), 1.20%, 04/25/23(b) |
15 | 220 | ||||||||||
| 28 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
|
Par
(000) |
Value | |||||||||||
| Interest Only Collateralized Mortgage Obligations (continued) | ||||||||||||
|
Series 2012-96, Class DI, 4.00%, 02/25/27 |
USD | 2,386 | $ | 108,059 | ||||||||
|
Series 2012-47, Class NI, 4.50%, 04/25/42 |
3,440 | 521,443 | ||||||||||
|
Series G92-05, Class H, 9.00%, 01/25/22 |
— | (n) | 1 | |||||||||
|
Series 094, Class 2, 9.50%, 08/25/21 |
— | (n) | 3 | |||||||||
|
Series 1990-136, Class S, (1 mo. LIBOR US + 17.60%), 18.29%, 11/25/20(b) |
— | (n) | — | |||||||||
|
Series 1991-139, Class PT, 648.35%, 10/25/21 |
— | (n) | — | |||||||||
|
Series G-10, Class S, (1 mo. LIBOR US + 1107.27%), 920.95%, 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 |
7 | 438 | ||||||||||
|
Series 1043, Class H, (1 mo. LIBOR US + 45.00%), 37.17%, 02/15/21(b) |
— | (n) | — | |||||||||
|
Series 1054, Class I, (1 mo. LIBOR US + 881.40%), 729.97%,
|
— | (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 US + 6.20%), 4.44%, 09/20/32 |
2,100 | 177,377 | ||||||||||
|
Series 2009-116, Class KS, (1 mo. LIBOR US + 6.47%), 4.73%, 12/16/39 |
1,274 | 178,873 | ||||||||||
|
Series 2011-52, Class NS, (1 mo. LIBOR US + 6.67%), 4.93%, 04/16/41 |
10,592 | 1,905,489 | ||||||||||
|
|
|
|||||||||||
| 2,891,903 | ||||||||||||
| Mortgage-Backed Securities — 22.7% | ||||||||||||
|
Fannie Mae Mortgage-Backed Securities(h): |
||||||||||||
|
3.00%, 09/01/43 |
11,390 | 11,689,424 | ||||||||||
|
3.50%, 08/01/49 |
7,851 | 8,193,679 | ||||||||||
|
4.00%, 01/14/20 — 04/01/56(o) |
124,060 | 129,934,004 | ||||||||||
|
4.50%, 07/01/41 — 07/01/55 |
13,121 | 14,241,709 | ||||||||||
|
5.00%, 08/01/34 |
1,255 | 1,382,487 | ||||||||||
|
5.50%, 06/01/38 |
613 | 687,856 | ||||||||||
|
6.00%, 12/01/38 |
491 | 562,703 | ||||||||||
|
Freddie Mac Mortgage-Backed Securities(h): |
||||||||||||
|
3.00%, 04/01/33 |
6,698 | 6,888,312 | ||||||||||
|
3.50%, 07/01/49 |
11,450 | 11,945,109 | ||||||||||
|
4.50%, 03/01/47 |
1,510 | 1,634,396 | ||||||||||
|
Ginnie Mae Mortgage-Backed Securities: |
||||||||||||
|
5.50%, 08/15/33(h) |
42 | 44,845 | ||||||||||
|
8.00%, 07/15/24 |
— | (n) | 58 | |||||||||
|
|
|
|||||||||||
| 187,204,582 | ||||||||||||
| Principal Only Collateralized Mortgage Obligations — 0.0% | ||||||||||||
|
Fannie Mae Mortgage-Backed Securities(i): |
||||||||||||
|
Series 1993-51, Class E, 0.00%, 02/25/23 |
3 | 2,596 | ||||||||||
|
Series 203, Class 1, 0.00%, 02/25/23 |
1 | 794 | ||||||||||
|
Series 1993-70, Class A, 0.00%, 05/25/23 |
— | (n) | 464 | |||||||||
|
Series 0228, Class 1, 0.00%, 06/25/23 |
1 | 709 | ||||||||||
|
|
|
|||||||||||
| 4,563 | ||||||||||||
|
Total U.S. Government Sponsored Agency Securities — 28.9%
|
|
239,039,167 | ||||||||||
|
|
|
|||||||||||
|
U.S. Treasury Obligations — 22.1% |
|
|||||||||||
|
U.S. Treasury Bonds(h): |
||||||||||||
|
3.00%, 11/15/44 |
61,400 | 68,595,313 | ||||||||||
|
2.50%, 02/15/46(p) |
66,500 | 68,061,191 | ||||||||||
|
2.75%, 11/15/47 |
2,000 | 2,150,234 | ||||||||||
|
U.S. Treasury Note, 3.00%, 09/30/25(h) |
2,400 | 2,563,687 | ||||||||||
| (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. |
| SCHEDULES OF INVESTMENTS | 29 |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) |
| (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) |
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. |
| (f) |
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. |
| (g) |
Perpetual security with no stated maturity date. |
| (h) |
All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
| (i) |
Zero-coupon bond. |
| (j) |
All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
| (k) |
Convertible security. |
| (l) |
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. |
| (m) |
U.S. Government securities held in escrow, are used to pay interest on this security as well as to retire the bond in full at the date indicated, typically at a premium to par. |
| (n) |
Amount is less than 500. |
| (o) |
Represents or includes a TBA transaction. |
| (p) |
All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives. |
| (q) |
Annualized 7-day yield as of period end. |
| (r) |
During the period ended December 31, 2019, investments in issuers considered to be an affiliate/affiliates 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 08/31/19 |
Net
Activity |
Shares
Held at 12/31/19 |
Value at
12/31/19 |
Income |
Net
Realized Gain (Loss) (a) |
Change in
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
|
BlackRock Liquidity Funds, T-Fund, Institutional Class |
17,476,265 | (3,959,291 | ) | 13,516,974 | $ | 13,516,974 | $ | 113,272 | $ | 31 | $ | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (a) |
Includes net capital gain distributions, if applicable. |
For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
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. |
1.61 | % | 05/30/19 | Open | $ | 65,544,500 | $ | 66,438,454 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||
|
BNP Paribas S.A. |
1.65 | 05/30/19 | Open | 2,547,469 | 2,584,923 | U.S. Government Sponsored Agency Securities | Open/Demand | |||||||||||||||||
|
BNP Paribas S.A. |
1.65 | 05/30/19 | Open | 2,250,000 | 2,283,081 | U.S. Government Sponsored Agency Securities | Open/Demand | |||||||||||||||||
|
BNP Paribas S.A. |
1.65 | 05/30/19 | Open | 1,555,469 | 1,578,338 | U.S. Government Sponsored Agency Securities | Open/Demand | |||||||||||||||||
|
Nomura Securities International, Inc. |
1.80 | 07/17/19 | Open | 2,077,500 | 2,097,452 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
|
Nomura Securities International, Inc. |
1.80 | 07/17/19 | Open | 2,574,000 | 2,598,720 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
|
Nomura Securities International, Inc. |
1.80 | 07/17/19 | Open | 1,778,625 | 1,795,706 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
|
Nomura Securities International, Inc. |
1.80 | 07/17/19 | Open | 753,830 | 761,069 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
|
Nomura Securities International, Inc. |
1.80 | 07/17/19 | Open | 14,578,988 | 14,718,998 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
|
Nomura Securities International, Inc. |
1.80 | 07/17/19 | Open | 3,288,750 | 3,320,334 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
|
Nomura Securities International, Inc. |
1.80 | 07/17/19 | Open | 1,081,250 | 1,091,634 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
|
Nomura Securities International, Inc. |
1.80 | 07/17/19 | Open | 10,639,500 | 10,741,678 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
|
Nomura Securities International, Inc. |
1.80 | 07/17/19 | Open | 2,880,500 | 2,908,163 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
|
Nomura Securities International, Inc. |
1.80 | 07/17/19 | Open | 40,632,056 | 41,022,271 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
|
Barclays Bank PLC |
0.25 | 08/27/19 | Open | 2,030,000 | 2,031,762 | Municipal Bonds | Open/Demand | |||||||||||||||||
|
Barclays Capital, Inc. |
0.42 | 08/29/19 | Open | 7,560 | 7,577 | Corporate Bonds | Open/Demand | |||||||||||||||||
|
Barclays Capital, Inc. |
0.75 | 08/29/19 | Open | 75,983 | 75,645 | Corporate Bonds | Open/Demand | |||||||||||||||||
|
Barclays Capital, Inc. |
1.50 | 08/29/19 | Open | 252,225 | 253,503 | Corporate Bonds | Open/Demand | |||||||||||||||||
|
Barclays Capital, Inc. |
1.55 | 08/29/19 | Open | 63,363 | 63,754 | Corporate Bonds | Open/Demand | |||||||||||||||||
|
BNP Paribas S.A. |
1.61 | 10/21/19 | Open | 26,125,000 | 26,227,018 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
|
BNP Paribas S.A. |
1.61 | 10/29/19 | Open | 2,940,000 | 2,949,284 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
|
BNP Paribas S.A. |
1.61 | 10/29/19 | Open | 2,912,400 | 2,921,597 | U.S. Treasury Obligations | Open/Demand | |||||||||||||||||
|
Barclays Capital, Inc. |
(0.50 | ) | 12/05/19 | Open | 25,830 | 25,821 | Corporate Bonds | Open/Demand | ||||||||||||||||
|
Citigroup Global Markets, Inc. |
2.15 | 12/10/19 | 1/16/20 | 6,663,937 | 6,667,892 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
|
Citigroup Global Markets, Inc. |
2.15 | 12/10/19 | 1/16/20 | 43,587 | 43,626 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
|
Cantor Fitzgerald & Company |
2.02 | 12/11/19 | 1/14/20 | 16,287,311 | 16,305,589 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
| 30 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) December 31, 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) |
|||||||||||||||||
|
Cantor Fitzgerald & Company |
2.02 | % | 12/11/19 | 1/14/20 | $ | 11,591,970 | $ | 11,604,979 | U.S. Government Sponsored Agency Securities | Up to 30 Days | ||||||||||||||
|
Citigroup Global Markets, Inc. |
2.08 | 12/11/19 | 1/14/20 | 1,944,197 | 1,946,444 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
|
Citigroup Global Markets, Inc. |
2.08 | 12/11/19 | 1/14/20 | 2,203,231 | 2,205,777 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
|
Citigroup Global Markets, Inc. |
2.08 | 12/11/19 | 1/14/20 | 4,038,668 | 4,043,335 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
|
Citigroup Global Markets, Inc. |
2.08 | 12/11/19 | 1/14/20 | 5,884,290 | 5,891,090 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
|
HSBC Securities (USA), Inc. |
2.05 | 12/11/19 | 1/14/20 | 11,353,671 | 11,366,601 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
|
HSBC Securities (USA), Inc. |
2.05 | 12/11/19 | 1/14/20 | 663,135 | 663,890 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
|
HSBC Securities (USA), Inc. |
2.05 | 12/11/19 | 1/14/20 | 6,002,828 | 6,009,665 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
|
HSBC Securities (USA), Inc. |
2.05 | 12/11/19 | 1/14/20 | 7,979,667 | 7,988,755 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
|
HSBC Securities (USA), Inc. |
2.05 | 12/11/19 | 1/14/20 | 1,930,092 | 1,932,290 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
|
HSBC Securities (USA), Inc. |
2.05 | 12/11/19 | 1/14/20 | 543,763 | 544,382 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
|
HSBC Securities (USA), Inc. |
2.05 | 12/11/19 | 1/14/20 | 1,353,608 | 1,355,149 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
|
HSBC Securities (USA), Inc. |
2.05 | 12/11/19 | 1/14/20 | 1,701,649 | 1,703,590 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
|
HSBC Securities (USA), Inc. |
2.05 | 12/11/19 | 1/14/20 | 1,591,476 | 1,593,288 | U.S. Government Sponsored Agency Securities | Up to 30 Days | |||||||||||||||||
|
J.P. Morgan Securities LLC |
1.75 | 12/12/19 | Open | 1,384,309 | 1,385,587 | Corporate Bonds | Open/Demand | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| $ | 269,776,187 | $ | 271,748,711 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| (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 |
||||||||||||||||
|
Euro-Bund Future |
20 | 02/21/20 | $ | 33 | $ | 15,572 | ||||||||||
|
10-Year U.S. Ultra Long Treasury Note |
349 | 03/20/20 | 49,105 | (616,122 | ) | |||||||||||
|
Euro Stoxx 600 Index |
1 | 03/20/20 | 8 | (36 | ) | |||||||||||
|
Ultra Long U.S. Treasury Bond |
248 | 03/20/20 | 45,051 | (1,347,943 | ) | |||||||||||
|
2-Year U.S. Treasury Note |
1,168 | 03/31/20 | 251,704 | 32,904 | ||||||||||||
|
5-Year U.S. Treasury Note |
473 | 03/31/20 | 56,102 | (188,641 | ) | |||||||||||
|
|
|
|||||||||||||||
| (2,104,266 | ) | |||||||||||||||
|
|
|
|||||||||||||||
|
Short Contracts |
||||||||||||||||
|
10-Year U.S. Treasury Note |
741 | 03/20/20 | 95,161 | 853,675 | ||||||||||||
|
Long U.S. Treasury Bond |
19 | 03/20/20 | 2,962 | 60,033 | ||||||||||||
|
|
|
|||||||||||||||
| 913,708 | ||||||||||||||||
|
|
|
|||||||||||||||
| $ | (1,190,558 | ) | ||||||||||||||
|
|
|
|||||||||||||||
| SCHEDULES OF INVESTMENTS | 31 |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) |
Forward Foreign Currency Exchange Contracts
|
Currency
Purchased |
Currency
Sold |
Counterparty | Settlement Date |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||
| CAD | 8,200,000 | NOK | 55,264,720 | Morgan Stanley & Co. International PLC | 03/18/20 | $ | 20,117 | |||||||||||||
| NOK | 57,112,300 | CAD | 8,300,000 | Bank of America N.A. | 03/18/20 | 113,348 | ||||||||||||||
| NOK | 56,610,364 | CAD | 8,260,000 | JPMorgan Chase Bank N.A. | 03/18/20 | 86,975 | ||||||||||||||
| NOK | 55,689,685 | CAD | 8,200,000 | Morgan Stanley & Co. International PLC | 03/18/20 | 28,299 | ||||||||||||||
| NZD | 9,636,335 | AUD | 9,190,000 | JPMorgan Chase Bank N.A. | 03/18/20 | 32,906 | ||||||||||||||
|
|
|
|||||||||||||||||||
| 281,645 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| USD | 54,211 | EUR | 49,000 | Bank of America N.A. | 02/05/20 | (865 | ) | |||||||||||||
| USD | 104,909 | EUR | 94,000 | Bank of America N.A. | 02/05/20 | (747 | ) | |||||||||||||
| USD | 16,610 | EUR | 15,000 | Canadian Imperial Bank of Commerce | 02/05/20 | (250 | ) | |||||||||||||
| USD | 2,073,787 | EUR | 1,876,000 | Natwest Markets PLC | 02/05/20 | (34,838 | ) | |||||||||||||
| USD | 5,188,888 | EUR | 4,694,000 | Natwest Markets PLC | 02/05/20 | (87,169 | ) | |||||||||||||
| USD | 5,665,564 | GBP | 4,383,000 | BNP Paribas S.A. | 02/05/20 | (145,637 | ) | |||||||||||||
| USD | 807,360 | GBP | 625,000 | State Street Bank and Trust Co. | 02/05/20 | (21,296 | ) | |||||||||||||
| USD | 223,070 | JPY | 24,320,000 | Barclays Bank PLC | 02/05/20 | (1,114 | ) | |||||||||||||
| USD | 127,537 | NZD | 198,000 | Westpac Banking Corp. | 02/05/20 | (5,814 | ) | |||||||||||||
| AUD | 9,090,000 | NZD | 9,496,232 | Bank of America N.A. | 03/18/20 | (8,796 | ) | |||||||||||||
| AUD | 9,190,000 | NZD | 9,601,896 | Bank of America N.A. | 03/18/20 | (9,698 | ) | |||||||||||||
| CAD | 8,260,000 | NOK | 56,314,086 | JPMorgan Chase Bank N.A. | 03/18/20 | (53,220 | ) | |||||||||||||
| CAD | 8,300,000 | NOK | 56,802,851 | JPMorgan Chase Bank N.A. | 03/18/20 | (78,093 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| (447,537 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized depreciation | $ | (165,892 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||
Interest Rate Caps / Floors — Purchased
| Description |
Exercise
Rate |
Counterparty |
Expiration
Date |
Notional
Amount (000) |
Value |
Premiums
Paid (Received) |
Unrealized
Depreciation |
|||||||||||||||||||||||
|
Call |
||||||||||||||||||||||||||||||
|
5Y-30Y CMS Index Cap |
0.37 | % | Nomura International PLC | 2/12/20 | USD | 19,160 | $ | 5,771 | $ | 13,347 | $ | (7,576 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
|
Put |
||||||||||||||||||||||||||||||
|
5Y-30Y CMS Index Floor |
0.40 | Nomura International PLC | 6/29/20 | USD | 19,780 | $ | 30,036 | $ | 21,233 | $ | 8,803 | |||||||||||||||||||
|
5Y-30Y CMS Index Floor |
0.35 | Nomura International PLC | 7/08/20 | USD | 20,060 | 22,179 | 18,054 | 4,125 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| $ | 52,215 | $ | 39,287 | $ | 12,928 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| $ | 57,986 | $ | 52,634 | $ | 5,352 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Exchange-Traded Options Purchased
| Description |
Number of
Contracts |
Expiration
Date |
Exercise
Price |
Notional
Amount (000) |
Value | |||||||||||||||||||
|
Call |
||||||||||||||||||||||||
|
90-Day Euro Future |
158 | 01/10/20 | USD | 99.00 | USD | 38,817 | $ | 988 | ||||||||||||||||
|
90-Day Euro Future |
332 | 03/16/20 | USD | 97.75 | USD | 81,564 | 427,450 | |||||||||||||||||
|
90-Day Euro Future |
488 | 12/13/21 | USD | 99.75 | USD | 119,889 | 30,500 | |||||||||||||||||
|
|
|
|||||||||||||||||||||||
| 458,938 | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
|
Put |
||||||||||||||||||||||||
|
10-Year U.S. Treasury Note |
17 | 01/24/20 | USD | 127.50 | USD | 2,183 | 3,187 | |||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $ | 462,125 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
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 |
||||||||||||||||||||||||||||||||||
|
5-Year Interest Rate Swap, 02/28/25 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.52% | Semi-Annual | Citibank N.A. | 02/26/20 | 2.52 | % | USD | 9,630 | $ | 365,570 | ||||||||||||||||||||
|
1-Year Interest Rate Swap, 05/15/21 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.09 | Semi-Annual | UBS AG | 05/13/20 | 2.09 | USD | 42,093 | 178,149 | ||||||||||||||||||||||
| 32 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) December 31, 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 (continued) |
||||||||||||||||||||||||||||||||||
|
10-Year Interest Rate Swap, 05/21/30 |
|
3-Month
LIBOR,1.91% |
|
Quarterly | 1.72 % | Semi-Annual | Citibank N.A. | 05/19/20 | 1.72 | % | USD | 5,280 | $ | 42,069 | ||||||||||||||||||||
|
2-Year Interest Rate Swap, 06/03/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.50 | Semi-Annual | Barclays Bank PLC | 06/01/20 | 1.50 | USD | 29,393 | 47,062 | ||||||||||||||||||||||
|
15-Year Interest Rate Swap, 06/10/35 |
|
6-Month JPY LIBOR,
(0.02)% |
|
Semi-Annual | 0.65 | Semi-Annual | Barclays Bank PLC | 06/08/20 | 0.65 | JPY | 125,000 | 64,979 | ||||||||||||||||||||||
|
30-Year Interest Rate Swap, 06/13/50 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.60 | Semi-Annual | Barclays Bank PLC | 06/11/20 | 1.60 | USD | 3,292 | 23,847 | ||||||||||||||||||||||
|
2-Year Interest Rate Swap, 08/12/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.25 | Semi-Annual | Bank of America N.A. | 08/10/20 | 1.25 | USD | 42,990 | 47,240 | ||||||||||||||||||||||
|
15-Year Interest Rate Swap, 09/16/35 |
|
6-Month JPY LIBOR,
(0.02)% |
|
Semi-Annual | 0.66 | Semi-Annual | Morgan Stanley & Co. International PLC | 09/14/20 | 0.66 | JPY | 50,000 | 26,203 | ||||||||||||||||||||||
|
15-Year Interest Rate Swap, 09/16/35 |
|
6-Month JPY LIBOR,
(0.02)% |
|
Semi-Annual | 0.66 | Semi-Annual | Barclays Bank PLC | 09/14/20 | 0.66 | JPY | 50,000 | 26,203 | ||||||||||||||||||||||
|
2-Year Interest Rate Swap, 09/25/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.20 | Semi-Annual | Barclays Bank PLC | 09/23/20 | 1.20 | USD | 42,770 | 52,785 | ||||||||||||||||||||||
|
1-Year Interest Rate Swap, 11/25/21 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.25 | Semi-Annual | Morgan Stanley & Co. International PLC | 11/23/20 | 1.25 | USD | 170,600 | 136,195 | ||||||||||||||||||||||
|
20-Year Interest Rate Swap, 04/18/41 |
|
6-Month JPY LIBOR,
(0.02)% |
|
Semi-Annual | 0.78 | Semi-Annual | JPMorgan Chase Bank N.A. | 04/16/21 | 0.78 | JPY | 105,700 | 78,359 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 08/18/31 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.46 | Semi-Annual | Citibank N.A. | 08/16/21 | 1.46 | USD | 4,430 | 55,504 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 03/09/34 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.98 | Semi-Annual | Barclays Bank PLC | 03/07/24 | 2.98 | USD | 3,511 | 315,050 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 03/14/34 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.95 | Semi-Annual | Barclays Bank PLC | 03/12/24 | 2.95 | USD | 3,510 | 308,684 | ||||||||||||||||||||||
|
1-Year Interest Rate Swap, 11/07/25 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.77 | Semi-Annual | JPMorgan Chase Bank N.A. | 11/05/24 | 1.77 | USD | 23,790 | 111,161 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 06/29/38(a) |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.05 | Semi-Annual | Deutsche Bank AG | 06/27/28 | 3.05 | USD | 3,125 | 96,649 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 01/12/39 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.04 | Semi-Annual | Nomura International PLC | 01/10/29 | 3.04 | USD | 1,000 | 91,441 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 01/13/39 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.04 | Semi-Annual | Morgan Stanley & Co. International PLC | 01/11/29 | 3.04 | USD | 1,000 | 91,289 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 01/31/39 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.08 | Semi-Annual | Barclays Bank PLC | 01/29/29 | 3.08 | USD | 1,020 | 95,657 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 04/29/48 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.99 | Semi-Annual | JPMorgan Chase Bank N.A. | 04/27/38 | 2.99 | USD | 910 | 80,223 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 02/24/49 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.86 | Semi-Annual | JPMorgan Chase Bank N.A. | 02/22/39 | 2.86 | USD | 933 | 78,110 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||
| 2,412,429 | ||||||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||
|
Put |
||||||||||||||||||||||||||||||||||
|
30-Year Interest Rate Swap, 02/05/50 |
4.00% | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Goldman Sachs Bank USA | 02/03/20 | 4.00 | USD | 1,600 | — | ||||||||||||||||||||||
|
5-Year Interest Rate Swap, 02/28/25 |
2.52 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Citibank N.A. | 02/26/20 | 2.52 | USD | 9,630 | 103 | ||||||||||||||||||||||
|
1-Year Interest Rate Swap, 05/15/21 |
2.09 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | UBS AG | 05/13/20 | 2.09 | USD | 42,093 | 740 | ||||||||||||||||||||||
|
15-Year Interest Rate Swap, 05/17/35 |
1.10 | Semi-Annual |
|
6-Month JPY LIBOR,
(0.02)% |
|
Semi-Annual | Barclays Bank PLC | 05/15/20 | 1.10 | JPY | 250,000 | 40 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 05/21/30 |
1.72 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Citibank N.A. | 05/19/20 | 1.72 | USD | 5,280 | 130,703 | ||||||||||||||||||||||
|
15-Year Interest Rate Swap, 06/10/35 |
0.65 | Semi-Annual |
|
6-Month JPY LIBOR,
(0.02)% |
|
Semi-Annual | Barclays Bank PLC | 06/08/20 | 0.65 | JPY | 125,000 | 447 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 07/15/30 |
2.35 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Citibank N.A. | 07/13/20 | 2.35 | USD | 13,120 | 56,443 | ||||||||||||||||||||||
|
15-Year Interest Rate Swap, 09/16/35 |
0.66 | Semi-Annual |
|
6-Month JPY LIBOR,
(0.02)% |
|
Semi-Annual | Barclays Bank PLC | 09/14/20 | 0.66 | JPY | 50,000 | 425 | ||||||||||||||||||||||
|
15-Year Interest Rate Swap, 09/16/35 |
0.66 | Semi-Annual |
|
6-Month JPY LIBOR,
(0.02)% |
|
Semi-Annual | Morgan Stanley & Co. International PLC | 09/14/20 | 0.66 | JPY | 50,000 | 426 | ||||||||||||||||||||||
| SCHEDULES OF INVESTMENTS | 33 |
|
Schedule of Investments (continued) December 31, 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 (continued) |
||||||||||||||||||||||||||||||||||
|
20-Year Interest Rate Swap, 04/18/41 |
0.78 % | Semi-Annual |
|
6-Month JPY
LIBOR,(0.02)% |
|
Semi-Annual | JPMorgan Chase Bank N.A. | 04/16/21 | 0.78 | % | JPY | 105,700 | $ | 4,037 | ||||||||||||||||||||
|
30-Year Interest Rate Swap, 06/09/51 |
3.80 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Barclays Bank PLC | 06/07/21 | 3.80 | USD | 3,780 | 9,169 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 08/18/31 |
1.46 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Citibank N.A. | 08/16/21 | 1.46 | USD | 4,430 | 263,026 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 01/13/32 |
1.25 | Semi-Annual |
|
6-Month JPY LIBOR,
(0.02)% |
|
Semi-Annual | Credit Suisse International | 01/11/22 | 1.25 | JPY | 250,000 | 661 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 02/24/32 |
1.55 | Semi-Annual |
|
6-Month JPY LIBOR,
(0.02)% |
|
Semi-Annual | Credit Suisse International | 02/22/22 | 1.55 | JPY | 250,000 | 386 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 03/18/32 |
1.60 | Semi-Annual |
|
6-Month JPY LIBOR,
(0.02)% |
|
Semi-Annual | JPMorgan Chase Bank N.A. | 03/16/22 | 1.60 | JPY | 250,000 | 383 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 04/06/32 |
1.45 | Semi-Annual |
|
6-Month JPY LIBOR,
(0.02)% |
|
Semi-Annual | JPMorgan Chase Bank N.A. | 04/04/22 | 1.45 | JPY | 250,000 | 582 | ||||||||||||||||||||||
|
15-Year Interest Rate Swap, 05/05/37 |
3.25 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Goldman Sachs Bank USA | 05/03/22 | 3.25 | USD | 4,050 | 30,254 | ||||||||||||||||||||||
|
30-Year Interest Rate Swap, 05/11/52 |
2.85 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Nomura International PLC | 05/09/22 | 2.85 | USD | 4,750 | 113,400 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 08/04/32 |
2.25 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | JPMorgan Chase Bank N.A. | 08/02/22 | 2.25 | USD | 4,160 | 114,534 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 08/10/32 |
2.25 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Barclays Bank PLC | 08/08/22 | 2.25 | USD | 4,270 | 118,138 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 03/09/34 |
2.98 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Barclays Bank PLC | 03/07/24 | 2.98 | USD | 3,511 | 61,508 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 03/14/34 |
2.95 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Barclays Bank PLC | 03/12/24 | 2.95 | USD | 3,510 | 63,688 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 06/15/34 |
2.50 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Morgan Stanley & Co. International PLC | 06/13/24 | 2.50 | USD | 3,950 | 124,323 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 06/22/34 |
2.50 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Morgan Stanley & Co. International PLC | 06/20/24 | 2.50 | USD | 3,950 | 124,725 | ||||||||||||||||||||||
|
1-Year Interest Rate Swap, 11/07/25 |
1.77 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | JPMorgan Chase Bank N.A. | 11/05/24 | 1.77 | USD | 23,790 | 140,771 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 04/14/37 |
3.00 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | JPMorgan Chase Bank N.A. | 04/12/27 | 3.00 | USD | 2,590 | 74,432 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 01/12/39 |
3.04 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Nomura International PLC | 01/10/29 | 3.04 | USD | 1,000 | 31,268 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 01/13/39 |
3.04 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Morgan Stanley & Co. International PLC | 01/11/29 | 3.04 | USD | 1,000 | 31,367 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 01/31/39 |
3.08 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Barclays Bank PLC | 01/29/29 | 3.08 | USD | 1,020 | 30,948 | ||||||||||||||||||||||
|
20-Year Interest Rate Swap, 08/11/53 |
4.00 | Semi-Annual |
|
3-Month EURIBOR,
(0.39)% |
|
Quarterly | Barclays Bank PLC | 08/09/33 | 4.00 | EUR | 2,410 | 41,386 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 04/29/48 |
2.99 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | JPMorgan Chase Bank N.A. | 04/27/38 | 2.99 | USD | 910 | 35,008 | ||||||||||||||||||||||
|
10-Year Interest Rate Swap, 02/24/49 |
2.86 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | JPMorgan Chase Bank N.A. | 02/22/39 | 2.86 | USD | 933 | 37,728 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||
| 1,641,049 | ||||||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||
| $ | 4,053,478 | |||||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||
| (a) |
Forward settling swaption. |
| 34 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) |
Interest Rate Caps / Floors — Sold
| Description |
Exercise
Rate |
Counterparty |
Expiration
Date |
Notional
Amount (000) |
Value |
Premiums
Paid (Received) |
Unrealized
Appreciation |
|||||||||||||||||||||||
|
Call |
|
|||||||||||||||||||||||||||||
|
5Y-30Y CMS Index Cap |
0.47 | % | Nomura International PLC | 2/12/20 | USD | 19,160 | $ | (874 | ) | $ | (6,591 | ) | $ | 5,717 | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
|
Put |
|
|||||||||||||||||||||||||||||
|
5Y-30Y CMS Index Floor |
0.30 | Nomura International PLC | 6/29/20 | USD | 39,570 | $ | (9,746 | ) | $ | (26,112 | ) | $ | 16,366 | |||||||||||||||||
|
5Y-30Y CMS Index Floor |
0.25 | Nomura International PLC | 7/08/20 | USD | 40,130 | (5,745 | ) | (20,065 | ) | 14,320 | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| $ | (15,491 | ) | $ | (46,177 | ) | $ | 30,686 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| $ | (16,365 | ) | $ | (52,768 | ) | $ | 36,403 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Exchange-Traded Options Written
| Description |
Number of
Contracts |
Expiration
Date |
Exercise
Price |
Notional
Amount (000) |
Value | |||||||||||||||||||
|
Call |
|
|||||||||||||||||||||||
|
90-Day Euro Future |
158 | 01/10/20 | USD | 99.38 | USD | 38,817 | $ | (987 | ) | |||||||||||||||
|
90-Day Euro Future |
332 | 03/16/20 | USD | 97.88 | USD | 81,564 | (323,700 | ) | ||||||||||||||||
|
90-Day Euro Future |
244 | 12/13/21 | USD | 99.38 | USD | 59,945 | (42,700 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $ | (367,387 | ) | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
OTC Interest Rate Swaptions Written
|
Description |
Paid by the Trust | Received by the Trust | Counterparty |
Expiration
Date |
Exercise
Rate |
Notional
Amount (000) |
Value | |||||||||||||||||||||||||||
| Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||
|
Call |
||||||||||||||||||||||||||||||||||
|
2-Year Interest Rate Swap, 02/23/22 |
2.35% | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | UBS AG | 02/21/20 | 2.35 | % | USD | 10,600 | $ | (142,989 | ) | |||||||||||||||||||
|
2-Year Interest Rate Swap, 02/28/22 |
2.46 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Citibank N.A. | 02/26/20 | 2.46 | USD | 23,260 | (365,963 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 04/16/22 |
2.88 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Deutsche Bank AG | 04/14/20 | 2.88 | USD | 16,840 | (408,422 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 04/19/22 |
2.94 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Bank of America N.A. | 04/17/20 | 2.94 | USD | 16,540 | (421,029 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 06/03/22 |
1.00 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Barclays Bank PLC | 06/01/20 | 1.00 | USD | 58,785 | (14,858 | ) | |||||||||||||||||||||
|
1-Year Interest Rate Swap, 06/12/21 |
1.76 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Nomura International PLC | 06/10/20 | 1.76 | USD | 48,320 | (77,999 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 06/13/30 |
2.20 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Barclays Bank PLC | 06/11/20 | 2.20 | USD | 5,250 | (171,052 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 07/08/30 |
2.01 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Morgan Stanley & Co. International PLC | 07/06/20 | 2.01 | USD | 2,653 | (56,253 | ) | |||||||||||||||||||||
|
1-Year Interest Rate Swap, 08/07/21 |
1.33 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | JPMorgan Chase Bank N.A. | 08/05/20 | 1.33 | USD | 4,190 | (1,951 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 08/12/22 |
0.75 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Bank of America N.A. | 08/10/20 | 0.75 | USD | 85,970 | (22,714 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 08/15/30 |
1.61 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Barclays Bank PLC | 08/13/20 | 1.61 | USD | 4,390 | (35,403 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 08/19/30 |
1.20 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | JPMorgan Chase Bank N.A. | 08/17/20 | 1.20 | USD | 5,570 | (15,462 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 08/19/30 |
1.42 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Citibank N.A. | 08/17/20 | 1.42 | USD | 4,430 | (22,068 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 08/21/30 |
1.25 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Bank of America N.A. | 08/19/20 | 1.25 | USD | 5,560 | (17,835 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 09/16/30 |
1.61 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Bank of America N.A. | 09/14/20 | 1.61 | USD | 2,690 | (24,914 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 09/18/30 |
1.76 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Bank of America N.A. | 09/16/20 | 1.76 | USD | 5,260 | (70,583 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 09/25/22 |
0.70 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Barclays Bank PLC | 09/23/20 | 0.70 | USD | 85,550 | (30,798 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 11/04/30 |
1.63 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Bank of America N.A. | 11/02/20 | 1.63 | USD | 2,680 | (29,233 | ) | |||||||||||||||||||||
| SCHEDULES OF INVESTMENTS | 35 |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) |
OTC Interest Rate Swaptions Written (continued)
|
Description |
Paid by the Trust | Received by the Trust | Counterparty |
Expiration
Date |
Exercise
Rate |
Notional
Amount (000) |
Value | |||||||||||||||||||||||||||
| Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||
|
Call (continued) |
||||||||||||||||||||||||||||||||||
|
10-Year Interest Rate Swap, 11/04/30 |
1.64 % | Semi-Annual | 3-Month LIBOR,1.91% | Quarterly | UBS AG | 11/02/20 | 1.64 | % | USD | 2,680 | $ | (29,895 | ) | |||||||||||||||||||||
|
1-Year Interest Rate Swap, 11/07/21 |
1.58 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | JPMorgan Chase Bank N.A. | 11/05/20 | 1.58 | USD | 23,790 | (39,688 | ) | |||||||||||||||||||||
|
1-Year Interest Rate Swap, 11/25/21 |
0.75 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Morgan Stanley & Co. International PLC | 11/23/20 | 0.75 | USD | 170,600 | (43,285 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 12/13/22 |
1.54 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Goldman Sachs Bank USA | 12/11/20 | 1.54 | USD | 12,580 | (44,288 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 12/16/22 |
1.53 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Citibank N.A. | 12/14/20 | 1.53 | USD | 12,580 | (44,129 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 03/10/31 |
2.79 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Barclays Bank PLC | 03/08/21 | 2.79 | USD | 5,266 | (421,973 | ) | |||||||||||||||||||||
|
5-Year Interest Rate Swap, 09/14/27 |
(0.14) | Annual |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | Barclays Bank PLC | 09/12/22 | (0.14 | ) | EUR | 2,720 | (20,853 | ) | ||||||||||||||||||||
|
5-Year Interest Rate Swap, 09/15/27 |
(0.04) | Annual |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | Barclays Bank PLC | 09/13/22 | (0.04 | ) | EUR | 2,720 | (26,225 | ) | ||||||||||||||||||||
|
30-Year Interest Rate Swap, 11/29/56 |
1.91 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Bank of America N.A. | 11/27/26 | 1.91 | USD | 890 | (80,905 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 03/15/39 |
3.05 | Semi-Annual |
|
3-Month LIBOR,
1.91% |
|
Quarterly | Barclays Bank PLC | 03/12/29 | 3.05 | USD | 2,840 | (261,168 | ) | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||
| (2,941,935 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||
|
Put |
||||||||||||||||||||||||||||||||||
|
2-Year Interest Rate Swap, 01/04/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.90% | Semi-Annual | JPMorgan Chase Bank N.A. | 01/02/20 | 2.90 | USD | 10,000 | — | ||||||||||||||||||||||
|
2-Year Interest Rate Swap, 01/05/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.80 | Semi-Annual | Goldman Sachs Bank USA | 01/03/20 | 2.80 | USD | 8,790 | — | ||||||||||||||||||||||
|
2-Year Interest Rate Swap, 01/23/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.85 | Semi-Annual | JPMorgan Chase Bank N.A. | 01/21/20 | 2.85 | USD | 18,900 | — | ||||||||||||||||||||||
|
2-Year Interest Rate Swap, 01/25/22 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | 0.20 | Annual | Barclays Bank PLC | 01/23/20 | 0.20 | EUR | 10,300 | — | ||||||||||||||||||||||
|
2-Year Interest Rate Swap, 02/05/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.15 | Semi-Annual | Barclays Bank PLC | 02/03/20 | 3.15 | USD | 35,510 | — | ||||||||||||||||||||||
|
2-Year Interest Rate Swap, 02/09/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.20 | Semi-Annual | Deutsche Bank AG | 02/07/20 | 3.20 | USD | 10,790 | — | ||||||||||||||||||||||
|
2-Year Interest Rate Swap, 02/16/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.35 | Semi-Annual | Deutsche Bank AG | 02/14/20 | 3.35 | USD | 10,690 | — | ||||||||||||||||||||||
|
2-Year Interest Rate Swap, 02/23/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.35 | Semi-Annual | UBS AG | 02/21/20 | 3.35 | USD | 10,600 | — | ||||||||||||||||||||||
|
2-Year Interest Rate Swap, 02/28/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.46 | Semi-Annual | Citibank N.A. | 02/26/20 | 2.46 | USD | 23,260 | (1 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 03/18/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.95 | Semi-Annual | Barclays Bank PLC | 03/16/20 | 1.95 | USD | 35,910 | (4,325 | ) | |||||||||||||||||||||
|
1-Year Interest Rate Swap, 04/08/21 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.32 | Semi-Annual | Goldman Sachs Bank USA | 04/06/20 | 2.32 | USD | 46,770 | (8 | ) | |||||||||||||||||||||
|
1-Year Interest Rate Swap, 04/08/21 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.35 | Semi-Annual | Goldman Sachs Bank USA | 04/06/20 | 2.35 | USD | 46,770 | (6 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 04/16/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.88 | Semi-Annual | Deutsche Bank AG | 04/14/20 | 2.88 | USD | 16,840 | (2 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 04/19/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.94 | Semi-Annual | Bank of America N.A. | 04/17/20 | 2.94 | USD | 16,540 | (1 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 05/07/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.15 | Semi-Annual | Goldman Sachs Bank USA | 05/05/20 | 3.15 | USD | 8,800 | (1 | ) | |||||||||||||||||||||
|
15-Year Interest Rate Swap, 05/17/35 |
|
6-Month JPY LIBOR,
(0.02)% |
|
Semi-Annual | 2.10 | Semi-Annual | Barclays Bank PLC | 05/15/20 | 2.10 | JPY | 250,000 | (1 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 05/20/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.50 | Semi-Annual | JPMorgan Chase Bank N.A. | 05/18/20 | 3.50 | USD | 10,000 | — | ||||||||||||||||||||||
|
2-Year Interest Rate Swap, 05/24/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.55 | Semi-Annual | Deutsche Bank AG | 05/22/20 | 3.55 | USD | 16,000 | — | ||||||||||||||||||||||
|
2-Year Interest Rate Swap, 05/31/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.90 | Semi-Annual | Deutsche Bank AG | 05/29/20 | 2.90 | USD | 9,270 | (7 | ) | |||||||||||||||||||||
| 36 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) |
OTC Interest Rate Swaptions Written (continued)
|
Description |
Paid by the Trust | Received by the Trust | Counterparty |
Expiration
Date |
Exercise
Rate |
Notional
Amount (000) |
Value | |||||||||||||||||||||||||||
| Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||
|
Put (continued) |
||||||||||||||||||||||||||||||||||
|
2-Year Interest Rate Swap, 05/31/22 |
3-Month LIBOR,1.91% | Quarterly | 3.35 % | Semi-Annual | Goldman Sachs Bank USA | 05/29/20 | 3.35 | % | USD | 13,040 | $ | (1 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 06/10/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.45 | Semi-Annual | Goldman Sachs Bank USA | 06/08/20 | 3.45 | USD | 13,000 | (1 | ) | |||||||||||||||||||||
|
1-Year Interest Rate Swap, 06/12/21 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.76 | Semi-Annual | Nomura International PLC | 06/10/20 | 1.76 | USD | 48,320 | (28,260 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 06/13/30 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.20 | Semi-Annual | Barclays Bank PLC | 06/11/20 | 2.20 | USD | 5,250 | (30,798 | ) | |||||||||||||||||||||
|
30-Year Interest Rate Swap, 06/13/50 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.85 | Semi-Annual | Barclays Bank PLC | 06/11/20 | 2.85 | USD | 3,950 | (8,468 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 06/17/30 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.30 | Semi-Annual | Citibank N.A. | 06/15/20 | 2.30 | USD | 3,950 | (16,650 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 06/17/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.35 | Semi-Annual | Goldman Sachs Bank USA | 06/15/20 | 3.35 | USD | 8,300 | (1 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 07/01/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.20 | Semi-Annual | Nomura International PLC | 06/29/20 | 3.20 | USD | 23,185 | (7 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 07/08/30 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.01 | Semi-Annual | Morgan Stanley & Co. International PLC | 07/06/20 | 2.01 | USD | 2,653 | (33,744 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 07/12/30 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.35 | Semi-Annual | Nomura International PLC | 07/10/20 | 2.35 | USD | 2,870 | (12,087 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 07/12/30 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.35 | Semi-Annual | Nomura International PLC | 07/10/20 | 2.35 | USD | 2,870 | (12,087 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 07/15/30 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.95 | Semi-Annual | Citibank N.A. | 07/13/20 | 1.95 | USD | 4,370 | (67,333 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 07/29/30 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.30 | Semi-Annual | Goldman Sachs Bank USA | 07/27/20 | 2.30 | USD | 4,040 | (22,519 | ) | |||||||||||||||||||||
|
5-Year Interest Rate Swap, 07/29/25 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | 0.00 | Annual | Barclays Bank PLC | 07/27/20 | 0.00 | EUR | 7,510 | (31,474 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 08/05/30 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.00 | Semi-Annual | Barclays Bank PLC | 08/03/20 | 2.00 | USD | 2,250 | (32,266 | ) | |||||||||||||||||||||
|
1-Year Interest Rate Swap, 08/07/21 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.33 | Semi-Annual | JPMorgan Chase Bank N.A. | 08/05/20 | 1.33 | USD | 4,190 | (14,769 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 08/09/30 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.75 | Semi-Annual | Bank of America N.A. | 08/07/20 | 1.75 | USD | 2,040 | (55,266 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 08/15/30 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.61 | Semi-Annual | Barclays Bank PLC | 08/13/20 | 1.61 | USD | 4,390 | (161,488 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 08/19/30 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.42 | Semi-Annual | Citibank N.A. | 08/17/20 | 1.42 | USD | 4,430 | (223,984 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 08/19/30 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.60 | Semi-Annual | JPMorgan Chase Bank N.A. | 08/17/20 | 1.60 | USD | 5,570 | (207,538 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 08/21/30 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.65 | Semi-Annual | Bank of America N.A. | 08/19/20 | 1.65 | USD | 5,560 | (188,749 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 08/26/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.50 | Semi-Annual | Barclays Bank PLC | 08/24/20 | 3.50 | USD | 16,370 | (20 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 09/16/30 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.61 | Semi-Annual | Bank of America N.A. | 09/14/20 | 1.61 | USD | 2,690 | (100,832 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 09/18/30 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.76 | Semi-Annual | Bank of America N.A. | 09/16/20 | 1.76 | USD | 5,260 | (148,062 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 11/04/30 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.63 | Semi-Annual | Bank of America N.A. | 11/02/20 | 1.63 | USD | 2,680 | (103,920 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 11/04/30 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.64 | Semi-Annual | UBS AG | 11/02/20 | 1.64 | USD | 2,680 | (102,148 | ) | |||||||||||||||||||||
|
1-Year Interest Rate Swap, 11/07/21 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.58 | Semi-Annual | JPMorgan Chase Bank N.A. | 11/05/20 | 1.58 | USD | 23,790 | (46,351 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 11/29/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.00 | Semi-Annual | Barclays Bank PLC | 11/27/20 | 2.00 | USD | 25,750 | (39,062 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 12/13/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.54 | Semi-Annual | Goldman Sachs Bank USA | 12/11/20 | 1.54 | USD | 12,580 | (69,166 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 12/16/22 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | 0.60 | Annual | JPMorgan Chase Bank N.A. | 12/14/20 | 0.60 | EUR | 17,280 | (231 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 12/16/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.53 | Semi-Annual | Citibank N.A. | 12/14/20 | 1.53 | USD | 12,580 | (70,243 | ) | |||||||||||||||||||||
| SCHEDULES OF INVESTMENTS | 37 |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) |
OTC Interest Rate Swaptions Written (continued)
|
Description |
Paid by the Trust | Received by the Trust | Counterparty |
Expiration
Date |
Exercise
Rate |
Notional
Amount (000) |
Value | |||||||||||||||||||||||||||
| Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||
|
Put (continued) |
||||||||||||||||||||||||||||||||||
|
2-Year Interest Rate Swap, 12/23/22 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | 0.55 % | Annual | Barclays Bank PLC | 12/21/20 | 0.55 | % | EUR | 8,130 | $ | (155 | ) | |||||||||||||||||||
|
2-Year Interest Rate Swap, 12/23/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.05 | Semi-Annual | Nomura International PLC | 12/21/20 | 3.05 | USD | 9,510 | (855 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 12/31/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.25 | Semi-Annual | Citibank N.A. | 12/29/20 | 3.25 | USD | 14,110 | (894 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 03/10/31 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.79 | Semi-Annual | Barclays Bank PLC | 03/08/21 | 2.79 | USD | 5,266 | (25,215 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 03/10/23 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | 0.30 | Annual | JPMorgan Chase Bank N.A. | 03/08/21 | 0.30 | EUR | 12,880 | (2,346 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 03/31/23 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | 0.10 | Annual | Barclays Bank PLC | 03/29/21 | 0.10 | EUR | 18,360 | (11,279 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 04/10/23 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | 0.12 | Annual | Barclays Bank PLC | 04/08/21 | 0.12 | % | EUR | 28,360 | (16,860 | ) | ||||||||||||||||||||
|
2-Year Interest Rate Swap, 04/14/23 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | 0.10 | Annual | Citibank N.A. | 04/12/21 | 0.10 | EUR | 14,250 | (9,594 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 04/14/23 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | 0.16 | Annual | Goldman Sachs Bank USA | 04/12/21 | 0.16 | EUR | 14,250 | (7,088 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 04/21/31 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | 2.15 | Annual | JPMorgan Chase Bank N.A. | 04/19/21 | 2.15 | EUR | 4,400 | (1,305 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 04/21/23 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | 0.15 | Annual | Morgan Stanley & Co. International PLC | 04/19/21 | 0.15 | EUR | 14,050 | (7,710 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 05/06/31 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | 2.00 | Annual | Barclays Bank PLC | 05/04/21 | 2.00 | EUR | 2,700 | (1,183 | ) | |||||||||||||||||||||
|
1-Year Interest Rate Swap, 05/19/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.35 | Semi-Annual | Citibank N.A. | 05/17/21 | 2.35 | USD | 45,470 | (19,388 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 05/19/23 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | 0.11 | Annual | Barclays Bank PLC | 05/17/21 | 0.11 | EUR | 9,299 | (7,387 | ) | |||||||||||||||||||||
|
1-Year Interest Rate Swap, 05/29/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.15 | Semi-Annual | Barclays Bank PLC | 05/27/21 | 2.15 | USD | 62,210 | (47,168 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 06/02/23 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | 0.08 | Annual | Morgan Stanley & Co. International PLC | 05/31/21 | 0.08 | EUR | 6,270 | (6,184 | ) | |||||||||||||||||||||
|
1-Year Interest Rate Swap, 06/03/22 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.40 | Semi-Annual | Morgan Stanley & Co. International PLC | 06/01/21 | 2.40 | USD | 77,400 | (31,154 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 06/09/31 |
|
3-Month LIBOR,
1.91% |
|
Semi-Annual | 3.87 | Quarterly | Barclays Bank PLC | 06/07/21 | 3.87 | USD | 8,000 | (7,597 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 06/12/23 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | 0.05 | Annual | Barclays Bank PLC | 06/10/21 | 0.05 | EUR | 9,800 | (11,676 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 06/16/23 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | 0.00 | Annual | Barclays Bank PLC | 06/14/21 | 0.00 | EUR | 4,310 | (6,500 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 06/16/23 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | 0.00 | Annual | Bank of America N.A. | 06/14/21 | 0.00 | EUR | 4,430 | (6,681 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 06/20/23 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | 0.00 | Annual | Goldman Sachs Bank USA | 06/18/21 | 0.00 | EUR | 4,460 | (6,864 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 06/23/23 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | 0.00 | Annual | Citibank N.A. | 06/21/21 | 0.00 | EUR | 5,200 | (8,084 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 06/27/23 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | 0.00 | Annual | Nomura International PLC | 06/25/21 | 0.00 | EUR | 4,880 | (7,738 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 07/03/23 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | 0.00 | Annual | Barclays Bank PLC | 07/01/21 | 0.00 | EUR | 5,230 | (8,503 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 07/04/23 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | (0.05) | Annual | Barclays Bank PLC | 07/02/21 | (0.05 | ) | EUR | 5,120 | (10,284 | ) | ||||||||||||||||||||
|
2-Year Interest Rate Swap, 07/21/23 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | 0.00 | Annual | Barclays Bank PLC | 07/19/21 | 0.00 | EUR | 5,270 | (9,192 | ) | |||||||||||||||||||||
|
2-Year Interest Rate Swap, 08/11/23 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | (0.15) | Annual | Barclays Bank PLC | 08/09/21 | (0.15 | ) | EUR | 12,480 | (41,271 | ) | ||||||||||||||||||||
|
2-Year Interest Rate Swap, 08/11/23 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | (0.15) | Annual | Barclays Bank PLC | 08/09/21 | (0.15 | ) | EUR | 6,990 | (23,116 | ) | ||||||||||||||||||||
|
2-Year Interest Rate Swap, 09/05/23 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | (0.25) | Annual | Barclays Bank PLC | 09/03/21 | (0.25 | ) | EUR | 22,950 | (111,668 | ) | ||||||||||||||||||||
|
5-Year Interest Rate Swap, 05/05/27 |
|
3-Month LIBOR,
1.91% |
|
Semi-Annual | 3.25 | Quarterly | Goldman Sachs Bank USA | 05/03/22 | 3.25 | USD | 10,130 | (20,871 | ) | |||||||||||||||||||||
| 38 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) |
OTC Interest Rate Swaptions Written (continued)
|
Description |
Paid by the Trust | Received by the Trust | Counterparty |
Expiration
Date |
Exercise
Rate |
Notional
Amount (000) |
Value | |||||||||||||||||||||||||||
| Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||
|
Put (continued) |
||||||||||||||||||||||||||||||||||
|
10-Year Interest Rate Swap, 05/11/32 |
|
3-Month
LIBOR,1.91% |
|
Quarterly | 2.75 % | Semi-Annual | Nomura International PLC | 05/09/22 | 2.75 | % | USD | 10,350 | $ | (123,368 | ) | |||||||||||||||||||
|
10-Year Interest Rate Swap, 08/04/32 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.75 | Semi-Annual | JPMorgan Chase Bank N.A. | 08/02/22 | 2.75 | USD | 4,160 | (55,882 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 08/04/32 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.25 | Semi-Annual | JPMorgan Chase Bank N.A. | 08/02/22 | 3.25 | USD | 4,160 | (25,302 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 08/10/32 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.75 | Semi-Annual | Barclays Bank PLC | 08/08/22 | 2.75 | USD | 4,270 | (57,808 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 08/10/32 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.25 | Semi-Annual | Barclays Bank PLC | 08/08/22 | 3.25 | USD | 4,270 | (26,262 | ) | |||||||||||||||||||||
|
5-Year Interest Rate Swap, 09/14/27 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | (0.14) | Annual | Barclays Bank PLC | 09/12/22 | (0.14 | ) | EUR | 2,720 | (74,052 | ) | ||||||||||||||||||||
|
5-Year Interest Rate Swap, 09/15/27 |
|
6-Month EURIBOR,
(0.32)% |
|
Semi-Annual | (0.04) | Annual | Barclays Bank PLC | 09/13/22 | (0.04 | ) | EUR | 2,720 | (63,556 | ) | ||||||||||||||||||||
|
10-Year Interest Rate Swap, 06/15/34 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.00 | Semi-Annual | Morgan Stanley & Co. International PLC | 06/13/24 | 3.00 | USD | 3,950 | (72,085 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 06/15/34 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.50 | Semi-Annual | Morgan Stanley & Co. International PLC | 06/13/24 | 3.50 | USD | 3,950 | (40,129 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 06/22/34 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.00 | Semi-Annual | Morgan Stanley & Co. International PLC | 06/20/24 | 3.00 | USD | 3,950 | (72,413 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 06/22/34 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.50 | Semi-Annual | Morgan Stanley & Co. International PLC | 06/20/24 | 3.50 | USD | 3,950 | (40,366 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 08/22/34 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 2.25 | Semi-Annual | Morgan Stanley & Co. International PLC | 08/20/24 | 2.25 | USD | 4,410 | (182,882 | ) | |||||||||||||||||||||
|
30-Year Interest Rate Swap, 11/29/56 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 1.91 | Semi-Annual | Bank of America N.A. | 11/27/26 | 1.91 | USD | 890 | (126,554 | ) | |||||||||||||||||||||
|
10-Year Interest Rate Swap, 03/14/39 |
|
3-Month LIBOR,
1.91% |
|
Quarterly | 3.05 | Semi-Annual | Barclays Bank PLC | 03/12/29 | 3.05 | USD | 2,840 | (89,001 | ) | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||
| (3,357,347 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||
| $ | (6,299,282 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||
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.33.V1 |
1.00 | % | Quarterly | 12/20/24 | USD | 91,800 | $ | (2,413,157 | ) | $ | (1,634,470 | ) | $ | (778,687 | ) | |||||||||||||||||
|
CDX.NA.IG.33.V1 |
5.00 | Quarterly | 12/20/24 | USD | 3,564 | (349,773 | ) | (219,264 | ) | (130,509 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | (2,762,930 | ) | $ | (1,853,734 | ) | $ | (909,196 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Centrally Cleared Interest Rate Swaps
| Paid by the Trust |
Received by the Trust |
Effective
Date |
Termination
Date |
Notional
Amount (000) |
Value |
Upfront
Premium Paid (Received) |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||||||||
| Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 1.53% | Quarterly | N/A | 11/22/20 | USD | 11,880 | $ | (31,927 | ) | $ | 113 | $ | (32,040 | ) | |||||||||||||||||
| 1.56 | Semi-Annual | 6-Month LIBOR, 1.91% | Semi-Annual | 03/27/20 | (a) | 03/27/21 | USD | 5,660 | 7,244 | 61 | 7,183 | |||||||||||||||||||||
| 1.77 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | N/A | 06/15/21 | USD | 8,210 | (9,247 | ) | 88 | (9,335 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 1.85 | Semi-Annual | N/A | 06/20/21 | USD | 6,130 | 11,516 | 53 | 11,463 | ||||||||||||||||||||||
| 2.15 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | N/A | 07/10/21 | USD | 4,060 | (49,411 | ) | 36 | (49,447 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 1.88 | Semi-Annual | N/A | 08/01/21 | USD | 6,000 | 43,619 | 56 | 43,563 | ||||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 1.61 | Semi-Annual | N/A | 08/07/21 | USD | 6,340 | 13,119 | 60 | 13,059 | ||||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 1.53 | Semi-Annual | N/A | 08/09/21 | USD | 1,635 | 954 | 15 | 939 | ||||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 1.53 | Quarterly | N/A | 08/09/21 | USD | 1,635 | 1,067 | 15 | 1,052 | ||||||||||||||||||||||
| 2.58 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | N/A | 08/29/21 | USD | 180 | (3,854 | ) | 2 | (3,856 | ) | ||||||||||||||||||||
| 2.25 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | N/A | 08/29/21 | USD | 4,973 | (73,838 | ) | 48 | (73,886 | ) | ||||||||||||||||||||
| 2.15 | Semi-Annual | 3-Month LIBOR, 1.91% | Semi-Annual | N/A | 09/05/21 | USD | 9,280 | (120,061 | ) | 91 | (120,152 | ) | ||||||||||||||||||||
| SCHEDULES OF INVESTMENTS | 39 |
|
Schedule of Investments (continued) December 31, 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 | |||||||||||||||||||||||||||||
| 2.00 % | Semi-Annual | 3-Month LIBOR, 1.91% | Semi-Annual | N/A | 09/25/21 | USD | 12,400 | $ | (125,448 | ) | $ | 126 | $ | (125,574 | ) | |||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 1.36 | Quarterly | 09/28/20 | (a) | 09/28/21 | USD | 3,500 | (8,916 | ) | 37 | (8,953 | ) | |||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 2.31 | Semi-Annual | N/A | 11/04/21 | USD | 1,550 | 18,330 | 17 | 18,313 | ||||||||||||||||||||||
| 3.30 | Semi-Annual | 3-Month LIBOR, 1.91% | Semi-Annual | N/A | 11/12/21 | USD | 11,440 | (357,202 | ) | 125 | (357,327 | ) | ||||||||||||||||||||
| 1.31 | Annual | 6-Month LIBOR, 1.91% | Annual | 04/03/20 | (a) | 12/15/21 | USD | 73,570 | 160,920 | (3,600 | ) | 164,520 | ||||||||||||||||||||
| 1.41 | Annual | 6-Month LIBOR, 1.91% | Quarterly | 04/03/20 | (a) | 12/15/21 | USD | 30,510 | 11,962 | 359 | 11,603 | |||||||||||||||||||||
| (0.45) | Annual | 6-Month EURIBOR, (0.32)% | Annual | N/A | 12/16/21 | EUR | 5,440 | 18,563 | 73 | 18,490 | ||||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 1.59 | Semi-Annual | N/A | 12/24/21 | USD | 1,950 | (4,199 | ) | 23 | (4,222 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 2.53 | Semi-Annual | 01/06/20 | (a) | 01/06/22 | USD | 9,195 | 152,975 | 107 | 152,868 | |||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 2.34 | Semi-Annual | 01/07/20 | (a) | 01/07/22 | USD | 14,500 | 188,560 | 169 | 188,391 | |||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 1.76 | Semi-Annual | 01/10/20 | (a) | 01/10/22 | USD | 3,140 | 5,132 | 37 | 5,095 | |||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 2.51 | Semi-Annual | 02/11/20 | (a) | 02/11/22 | USD | 1,855 | 30,589 | 22 | 30,567 | |||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 2.48 | Semi-Annual | 02/11/20 | (a) | 02/11/22 | USD | 1,855 | 29,680 | 22 | 29,658 | |||||||||||||||||||||
| 2.56 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | 02/14/20 | (a) | 02/14/22 | USD | 640 | (11,210 | ) | 7 | (11,217 | ) | |||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 2.03 | Semi-Annual | 03/30/20 | (a) | 03/30/22 | USD | 10,454 | 79,327 | 122 | 79,205 | |||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 2.25 | Semi-Annual | 04/27/20 | (a) | 04/27/22 | USD | 21,850 | 259,966 | 256 | 259,710 | |||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 2.01 | Semi-Annual | 05/17/21 | (a) | 05/17/22 | USD | 756 | 2,884 | 2,243 | 641 | |||||||||||||||||||||
| 1.87 | Semi-Annual | 6-Month LIBOR, 1.91% | Quarterly | 06/03/21 | (a) | 06/03/22 | USD | 3,450 | (8,453 | ) | 37 | (8,490 | ) | |||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 1.74 | Semi-Annual | 06/16/20 | (a) | 06/16/22 | USD | 7,810 | 16,175 | 91 | 16,084 | |||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 1.71 | Semi-Annual | 07/13/21 | (a) | 07/13/22 | USD | 39,790 | 32,750 | 425 | 32,325 | |||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 1.34 | Semi-Annual | 09/28/20 | (a) | 09/28/22 | USD | 6,240 | (35,963 | ) | 73 | (36,036 | ) | |||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 1.25 | Quarterly | 10/06/20 | (a) | 10/06/22 | USD | 7,335 | (55,493 | ) | 86 | (55,579 | ) | |||||||||||||||||||
| 1.66 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | 12/22/20 | (a) | 12/22/22 | USD | 2,985 | (735 | ) | 35 | (770 | ) | |||||||||||||||||||
| 1.66 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | 12/22/20 | (a) | 12/22/22 | USD | 2,985 | (966 | ) | 35 | (1,001 | ) | |||||||||||||||||||
| 1.77 | Semi-Annual | 6-Month LIBOR, 1.91% | Quarterly | 07/12/22 | (a) | 07/12/23 | USD | 40,440 | (13,954 | ) | 432 | (14,386 | ) | |||||||||||||||||||
| (0.30) | Annual | 6-Month EURIBOR, (0.32)% | Semi-Annual | 07/26/21 | (a) | 07/25/23 | EUR | 12,900 | 48,861 | 202 | 48,659 | |||||||||||||||||||||
| (0.29) | Annual | 6-Month EURIBOR, (0.32)% | Semi-Annual | 07/26/21 | (a) | 07/26/23 | EUR | 14,350 | 51,207 | 226 | 50,981 | |||||||||||||||||||||
| 6-Month EURIBOR, (0.32)% | Semi-Annual | (0.45) | Quarterly | 08/11/21 | (a) | 08/11/23 | EUR | 1,730 | (12,811 | ) | 27 | (12,838 | ) | |||||||||||||||||||
| 6-Month EURIBOR, (0.32)% | Semi-Annual | (0.58) | Semi-Annual | 08/17/21 | (a) | 08/17/23 | EUR | 1,760 | (18,025 | ) | 28 | (18,053 | ) | |||||||||||||||||||
| 1.61 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | 11/01/21 | (a) | 11/01/23 | USD | 3,260 | 6,558 | 38 | 6,520 | |||||||||||||||||||||
| (0.17) | Annual | 6-Month EURIBOR, (0.32)% | Quarterly | 12/13/21 | (a) | 12/13/23 | EUR | 5,190 | 9,470 | 81 | 9,389 | |||||||||||||||||||||
| (0.12) | Annual | 6-Month EURIBOR, (0.32)% | Semi-Annual | 12/27/21 | (a) | 12/27/23 | EUR | 770 | 585 | 12 | 573 | |||||||||||||||||||||
| (0.05) | Annual | 6-Month EURIBOR, (0.32)% | Quarterly | 01/03/22 | (a) | 01/03/24 | EUR | 2,735 | (1,849 | ) | 43 | (1,892 | ) | |||||||||||||||||||
| (0.06) | Annual | 6-Month EURIBOR, (0.32)% | Semi-Annual | 01/03/22 | (a) | 01/03/24 | EUR | 2,735 | (1,445 | ) | 43 | (1,488 | ) | |||||||||||||||||||
| 1.79 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | N/A | 06/20/24 | USD | 2,510 | (7,151 | ) | 29 | (7,180 | ) | ||||||||||||||||||||
| 1.80 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | N/A | 10/10/24 | USD | 1,280 | (3,497 | ) | 16 | (3,513 | ) | ||||||||||||||||||||
| (0.17) | Annual | 6-Month EURIBOR, (0.32)% | Quarterly | N/A | 11/11/24 | EUR | 1,160 | 1,959 | 18 | 1,941 | ||||||||||||||||||||||
| (0.22) | Annual | 6-Month EURIBOR, (0.32)% | Quarterly | N/A | 11/21/24 | EUR | 3,890 | 16,592 | 59 | 16,533 | ||||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 3.09 | Quarterly | N/A | 11/29/24 | USD | 18,950 | 1,230,706 | 245 | 1,230,461 | ||||||||||||||||||||||
| 6-Month EURIBOR, (0.32)% | Semi-Annual | (0.23) | Semi-Annual | N/A | 12/02/24 | EUR | 6,710 | (32,711 | ) | 112 | (32,823 | ) | ||||||||||||||||||||
| 2.95 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | N/A | 12/05/24 | USD | 1,429 | (83,423 | ) | 19 | (83,442 | ) | ||||||||||||||||||||
| 2.86 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | N/A | 12/13/24 | USD | 4,520 | (242,911 | ) | 59 | (242,970 | ) | ||||||||||||||||||||
| 1.87 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | N/A | 12/16/24 | USD | 3,180 | (20,644 | ) | 41 | (20,685 | ) | ||||||||||||||||||||
| 2.57 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | 01/06/20 | (a) | 01/06/25 | USD | 3,810 | (151,358 | ) | 49 | (151,407 | ) | |||||||||||||||||||
| 2.56 | Semi-Annual | 6-Month LIBOR, 1.91% | Quarterly | 01/06/20 | (a) | 01/06/25 | USD | 3,810 | (150,718 | ) | 49 | (150,767 | ) | |||||||||||||||||||
| (0.18) | Annual | 6-Month EURIBOR, (0.32)% | Quarterly | 03/18/20 | (a) | 03/18/25 | EUR | 270 | 1,049 | 5 | 1,044 | |||||||||||||||||||||
| 2.16 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | 03/31/20 | (a) | 03/31/25 | USD | 780 | (15,884 | ) | 10 | (15,894 | ) | |||||||||||||||||||
| 2.35 | Semi-Annual | 6-Month LIBOR, 1.91% | Quarterly | 04/27/20 | (a) | 04/27/25 | USD | 5,870 | (171,868 | ) | 77 | (171,945 | ) | |||||||||||||||||||
| 1.76 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | 03/31/20 | (a) | 11/15/26 | USD | 5,860 | 13,561 | 83 | 13,478 | |||||||||||||||||||||
| 6-Month JPY LIBOR, 0.02% | Semi-Annual | 0.37 | Semi-Annual | N/A | 01/29/28 | JPY | 181,730 | 40,675 | 23 | 40,652 | ||||||||||||||||||||||
| 6-Month JPY LIBOR, 0.02% | Semi-Annual | 0.36 | Semi-Annual | N/A | 07/31/28 | JPY | 113,000 | 25,299 | 15 | 25,284 | ||||||||||||||||||||||
| 0.19 | Semi-Annual | 6-Month JPY LIBOR, 0.02% | Semi-Annual | N/A | 01/04/29 | JPY | 100,000 | (7,735 | ) | 14 | (7,749 | ) | ||||||||||||||||||||
| 1.37 | Annual | 6-Month EURIBOR, (0.32)% | Semi-Annual | N/A | 02/20/29 | EUR | 1,970 | (281,235 | ) | 41 | (281,276 | ) | ||||||||||||||||||||
| 1.38 | Annual | 6-Month EURIBOR, (0.32)% | Semi-Annual | N/A | 02/22/29 | EUR | 590 | (84,854 | ) | 12 | (84,866 | ) | ||||||||||||||||||||
| 6-Month EURIBOR, (0.32)% | Semi-Annual | 0.56 | Annual | N/A | 03/12/29 | EUR | 1,640 | 82,517 | 30 | 82,487 | ||||||||||||||||||||||
| 1.83 | Semi-Annual | 3-Month LIBOR, 1.91% | Semi-Annual | N/A | 05/15/29 | USD | 1,850 | 8,740 | 29 | 8,711 | ||||||||||||||||||||||
| 6-Month EURIBOR, (0.32)% | Semi-Annual | 0.06 | Annual | N/A | 07/26/29 | EUR | 930 | (8,406 | ) | 17 | (8,423 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 1.65 | Semi-Annual | N/A | 08/08/29 | USD | 1,740 | (31,922 | ) | 26 | (31,948 | ) | ||||||||||||||||||||
| 1.67 | Semi-Annual | 6-Month LIBOR, 1.91% | Annual | 03/31/20 | (a) | 08/15/29 | USD | 13,160 | 254,354 | 3,769 | 250,585 | |||||||||||||||||||||
| 1.76 | Semi-Annual | 3-Month LIBOR, 1.91% | Semi-Annual | 03/31/20 | (a) | 08/15/29 | USD | 4,225 | 47,088 | 66 | 47,022 | |||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 1.85 | Quarterly | 03/31/20 | (a) | 08/15/29 | USD | 4,290 | (17,507 | ) | 67 | (17,574 | ) | |||||||||||||||||||
| 40 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) December 31, 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 | |||||||||||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 1.86% | Semi-Annual | 03/31/20 | (a) | 08/15/29 | USD | 4,290 | $ | (13,585 | ) | $ | 67 | $ | (13,652 | ) | ||||||||||||||||
| 1.72 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | N/A | 10/24/29 | USD | 1,920 | 32,307 | 29 | 32,278 | ||||||||||||||||||||||
| 2.30 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | N/A | 11/05/29 | USD | 2,600 | (94,998 | ) | 40 | (95,038 | ) | ||||||||||||||||||||
| 1.87 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | N/A | 11/12/29 | USD | 1,458 | 5,454 | 22 | 5,432 | ||||||||||||||||||||||
| 1.83 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | N/A | 11/12/29 | USD | 729 | 4,850 | 11 | 4,839 | ||||||||||||||||||||||
| 1.86 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | N/A | 11/12/29 | USD | 1,710 | 7,190 | 26 | 7,164 | ||||||||||||||||||||||
| 1.77 | Semi-Annual | 3-Month LIBOR, 1.91% | Semi-Annual | N/A | 12/11/29 | USD | 2,710 | 35,450 | 42 | 35,408 | ||||||||||||||||||||||
| 1.85 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | N/A | 12/16/29 | USD | 670 | 3,485 | 10 | 3,475 | ||||||||||||||||||||||
| 1.85 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | N/A | 12/17/29 | USD | 1,360 | 7,783 | 21 | 7,762 | ||||||||||||||||||||||
| 1.85 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | N/A | 12/17/29 | USD | 40 | 228 | 1 | 227 | ||||||||||||||||||||||
| 1.85 | Semi-Annual | 3-Month LIBOR, 1.91% | Semi-Annual | N/A | 12/17/29 | USD | 670 | 3,803 | 10 | 3,793 | ||||||||||||||||||||||
| 1.84 | Semi-Annual | 3-Month LIBOR, 1.91% | Semi-Annual | N/A | 12/19/29 | USD | 1,060 | 6,232 | 17 | 6,215 | ||||||||||||||||||||||
| 1.91 | Semi-Annual | 3-Month LIBOR, 1.91% | Semi-Annual | N/A | 12/23/29 | USD | 1,060 | 136 | 17 | 119 | ||||||||||||||||||||||
| 1.91 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | N/A | 12/23/29 | USD | 1,060 | (255 | ) | 17 | (272 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 2.45 | Semi-Annual | 05/18/21 | (a) | 05/18/31 | USD | 860 | 35,930 | 13 | 35,917 | |||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 2.10 | Semi-Annual | 06/22/21 | (a) | 06/22/31 | USD | 430 | 4,349 | 7 | 4,342 | |||||||||||||||||||||
| 0.52 | Semi-Annual | 6-Month JPY LIBOR, (0.02)% | Semi-Annual | 11/30/21 | (a) | 11/30/31 | JPY | 95,000 | (26,830 | ) | 16 | (26,846 | ) | |||||||||||||||||||
| 0.36 | Semi-Annual | 6-Month JPY LIBOR, 0.02% | Semi-Annual | N/A | 02/04/34 | JPY | 30,720 | (5,178 | ) | 4 | (5,182 | ) | ||||||||||||||||||||
| 0.34 | Semi-Annual | 6-Month JPY LIBOR, 0.02% | Semi-Annual | N/A | 02/08/34 | JPY | 50,250 | (7,187 | ) | 9 | (7,196 | ) | ||||||||||||||||||||
| 0.34 | Semi-Annual | 6-Month JPY LIBOR, 0.02% | Semi-Annual | N/A | 03/14/34 | JPY | 24,760 | (3,420 | ) | 4 | (3,424 | ) | ||||||||||||||||||||
| 2.33 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | 06/24/24 | (a) | 06/24/34 | USD | 310 | (4,202 | ) | 5 | (4,207 | ) | |||||||||||||||||||
| 1.65 | Semi-Annual | 6-Month LIBOR, 1.91% | Semi-Annual | 08/22/24 | (a) | 08/22/34 | USD | 1,355 | 60,534 | 21 | 60,513 | |||||||||||||||||||||
| 1.98 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | 10/23/24 | (a) | 10/23/34 | USD | 660 | 11,345 | 10 | 11,335 | |||||||||||||||||||||
| 1.98 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | 10/23/24 | (a) | 10/23/34 | USD | 660 | 11,038 | 10 | 11,028 | |||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 3.18 | Semi-Annual | 05/09/28 | (a) | 05/09/38 | USD | 1,590 | 112,285 | 24 | 112,261 | |||||||||||||||||||||
| 3.08 | Semi-Annual | 6-Month LIBOR, 1.91% | Quarterly | 06/29/28 | (a) | 06/29/38 | USD | 230 | (14,382 | ) | 3 | (14,385 | ) | |||||||||||||||||||
| 0.66 | Semi-Annual | 6-Month JPY LIBOR, 0.02% | Semi-Annual | N/A | 12/06/38 | JPY | 40,000 | (22,470 | ) | 8 | (22,478 | ) | ||||||||||||||||||||
| 0.62 | Semi-Annual | 6-Month JPY LIBOR, 0.02% | Semi-Annual | N/A | 12/14/38 | JPY | 25,000 | (12,242 | ) | 5 | (12,247 | ) | ||||||||||||||||||||
| 0.41 | Semi-Annual | 6-Month JPY LIBOR, 0.02% | Semi-Annual | N/A | 04/03/39 | JPY | 26,190 | (3,500 | ) | 5 | (3,505 | ) | ||||||||||||||||||||
| 2.82 | Semi-Annual | 6-Month LIBOR, 1.91% | Quarterly | 04/04/29 | (a) | 04/04/39 | USD | 3,000 | (123,058 | ) | 46 | (123,104 | ) | |||||||||||||||||||
| 0.33 | Semi-Annual | 6-Month JPY LIBOR, 0.02% | Semi-Annual | N/A | 06/10/39 | JPY | 27,540 | 583 | 6 | 577 | ||||||||||||||||||||||
| 0.30 | Semi-Annual | 6-Month JPY LIBOR, 0.02% | Semi-Annual | N/A | 06/17/39 | JPY | 25,860 | 2,147 | 6 | 2,141 | ||||||||||||||||||||||
| 0.17 | Semi-Annual | 6-Month JPY LIBOR, 0.02% | Quarterly | N/A | 08/08/39 | JPY | 22,870 | 7,103 | 5 | 7,098 | ||||||||||||||||||||||
| 0.72 | Semi-Annual | 6-Month JPY LIBOR, (0.02)% | Semi-Annual | 03/21/24 | (a) | 03/21/44 | JPY | 19,000 | (7,873 | ) | 4 | (7,877 | ) | |||||||||||||||||||
| 0.20 | Semi-Annual | 6-Month JPY LIBOR, (0.02)% | Quarterly | 08/28/24 | (a) | 08/28/44 | JPY | 12,720 | 6,761 | 3 | 6,758 | |||||||||||||||||||||
| 3.02 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | 12/08/38 | (a) | 12/08/48 | USD | 400 | (20,753 | ) | 6 | (20,759 | ) | |||||||||||||||||||
| 2.38 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | 07/05/39 | (a) | 07/05/49 | USD | 620 | (7,156 | ) | 10 | (7,166 | ) | |||||||||||||||||||
| 1.89 | Semi-Annual | 3-Month LIBOR, 1.91% | Semi-Annual | N/A | 08/08/49 | USD | 670 | 29,731 | 15 | 29,716 | ||||||||||||||||||||||
| 1.86 | Semi-Annual | 3-Month LIBOR, 1.91% | Annual | N/A | 08/12/49 | USD | 705 | 37,091 | 15 | 37,076 | ||||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 1.73 | Quarterly | N/A | 08/15/49 | USD | 600 | (50,167 | ) | 13 | (50,180 | ) | ||||||||||||||||||||
| 1.78 | Semi-Annual | 6-Month LIBOR, 1.91% | Semi-Annual | 08/16/39 | (a) | 08/16/49 | USD | 500 | 12,801 | 8 | 12,793 | |||||||||||||||||||||
| 1.71 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | 08/16/39 | (a) | 08/16/49 | USD | 600 | 18,181 | 9 | 18,172 | |||||||||||||||||||||
| 1.64 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | N/A | 08/16/49 | USD | 170 | 17,666 | 4 | 17,662 | ||||||||||||||||||||||
| 1.63 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | N/A | 08/16/49 | USD | 570 | 59,629 | 57 | 59,572 | ||||||||||||||||||||||
| 1.67 | Semi-Annual | 6-Month LIBOR, 1.91% | Annual | 08/17/39 | (a) | 08/17/49 | USD | 460 | 15,162 | 7 | 15,155 | |||||||||||||||||||||
| 1.54 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | N/A | 08/30/49 | USD | 170 | 21,508 | 4 | 21,504 | ||||||||||||||||||||||
| 1.57 | Semi-Annual | 3-Month LIBOR, 1.91% | Quarterly | N/A | 09/03/49 | USD | 500 | 59,665 | 11 | 59,654 | ||||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 1.86 | Semi-Annual | N/A | 11/07/49 | USD | 370 | (20,910 | ) | 8 | (20,918 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 1.77 | Quarterly | N/A | 12/12/49 | USD | 870 | (67,859 | ) | 19 | (67,878 | ) | ||||||||||||||||||||
| 2.37 | Semi-Annual | 6-Month LIBOR, 1.91% | Quarterly | N/A | 06/15/50 | USD | 1,580 | (92,773 | ) | 35 | (92,808 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 1.91% | Quarterly | 1.93 | Semi-Annual | 12/01/26 | (a) | 12/01/56 | USD | 110 | (5,718 | ) | 2 | (5,720 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | 693,633 | $ | 8,444 | $ | 685,189 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (a) |
Forward swap. |
| SCHEDULES OF INVESTMENTS | 41 |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) |
OTC Credit Default Swaps — Buy Protection
| Reference Obligation/Index |
Financing
Rate Paid by the Trust |
Payment
Frequency |
Counterparty |
Termination
Date |
Notional
Amount (000) |
Value |
Upfront
Premium Paid (Received) |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||||||||
|
UPC Holding BV |
5.00 | % | Quarterly | JPMorgan Chase Bank N.A. | 06/20/24 | EUR | 20 | $ | (3,824 | ) | $ | (4,258 | ) | $ | 434 | |||||||||||||||||
|
UPC Holding BV |
5.00 | Quarterly | BNP Paribas S.A. | 06/20/24 | EUR | 2 | (395 | ) | (465 | ) | 70 | |||||||||||||||||||||
|
UPC Holding BV |
5.00 | Quarterly | Bank of America N.A. | 06/20/24 | EUR | 10 | (1,912 | ) | (2,221 | ) | 309 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | (6,131 | ) | $ | (6,944 | ) | $ | 813 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
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 | Barclays Bank PLC | 12/20/23 | B | EUR | 30 | $ | (5,777 | ) | $ | (3,873 | ) | $ | (1,904 | ) | |||||||||||||||||||
|
Chesapeake Energy Corp. |
5.00 | Quarterly | Barclays Bank PLC | 12/20/23 | B+ | USD | 48 | (18,443 | ) | 74 | (18,517 | ) | ||||||||||||||||||||||||
|
Chesapeake Energy Corp. |
5.00 | Quarterly | Barclays Bank PLC | 12/20/23 | B+ | USD | 208 | (79,918 | ) | 1,618 | (81,536 | ) | ||||||||||||||||||||||||
|
Casino Guichard Perrachon SA |
5.00 | Quarterly | Credit Suisse International | 06/20/24 | B | EUR | 5 | (358 | ) | (356 | ) | (2 | ) | |||||||||||||||||||||||
|
Casino Guichard Perrachon SA |
5.00 | Quarterly | Credit Suisse International | 06/20/24 | B | EUR | 5 | (317 | ) | (363 | ) | 46 | ||||||||||||||||||||||||
|
Telecom Italia SpA |
1.00 | Quarterly | Citibank N.A. | 06/20/24 | BB+ | EUR | 3 | (15 | ) | (80 | ) | 65 | ||||||||||||||||||||||||
|
Telecom Italia SpA |
1.00 | Quarterly | Bank of America N.A. | 06/20/24 | BB+ | EUR | 2 | (16 | ) | (79 | ) | 63 | ||||||||||||||||||||||||
|
Telecom Italia SpA |
1.00 | Quarterly | Citibank N.A. | 06/20/24 | BB+ | EUR | 3 | (15 | ) | (82 | ) | 67 | ||||||||||||||||||||||||
|
Telecom Italia SpA |
1.00 | Quarterly | Morgan Stanley & Co. International PLC | 06/20/24 | BB+ | EUR | 2 | (15 | ) | (81 | ) | 66 | ||||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | Credit Suisse International | 12/20/24 | B- | EUR | 10 | 285 | (133 | ) | 418 | |||||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | Credit Suisse International | 12/20/24 | B- | EUR | 20 | 568 | — | 568 | ||||||||||||||||||||||||||
|
Telecom Italia SpA |
1.00 | Quarterly | Citibank N.A. | 06/20/26 | BB+ | EUR | 5 | (281 | ) | (708 | ) | 427 | ||||||||||||||||||||||||
|
Virgin Media Finance PLC |
5.00 | Quarterly | Credit Suisse International | 12/20/26 | B | EUR | 10 | 2,243 | 2,440 | (197 | ) | |||||||||||||||||||||||||
|
Tesco PLC |
1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/28 | B | EUR | 30 | (1,388 | ) | (2,765 | ) | 1,377 | ||||||||||||||||||||||||
|
CMBX.NA.8 |
3.00 | Monthly | Barclays Bank PLC | 10/17/57 | BB+ | USD | 5,000 | (104,603 | ) | (503,599 | ) | 398,996 | ||||||||||||||||||||||||
|
CMBX.NA.8 |
3.00 | Monthly | Credit Suisse International | 10/17/57 | N/R | USD | 2,500 | (52,301 | ) | (249,067 | ) | 196,766 | ||||||||||||||||||||||||
|
CMBX.NA.8 |
3.00 | Monthly | Morgan Stanley & Co. International PLC | 10/17/57 | N/R | USD | 5,550 | (116,110 | ) | (734,310 | ) | 618,200 | ||||||||||||||||||||||||
|
CMBX.NA.9 |
3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | N/R | USD | 9,450 | (49,622 | ) | (1,156,817 | ) | 1,107,195 | ||||||||||||||||||||||||
|
CMBX.NA.9 |
3.00 | Monthly | Credit Suisse International | 09/17/58 | N/R | USD | 5,000 | (26,255 | ) | (539,090 | ) | 512,835 | ||||||||||||||||||||||||
|
CMBX.NA.9 |
3.00 | Monthly | Credit Suisse International | 09/17/58 | N/R | USD | 5,000 | (26,255 | ) | (539,090 | ) | 512,835 | ||||||||||||||||||||||||
|
CMBX.NA.9 |
3.00 | Monthly | Credit Suisse International | 09/17/58 | N/R | USD | 5,000 | (26,255 | ) | (533,201 | ) | 506,946 | ||||||||||||||||||||||||
|
CMBX.NA.9 |
3.00 | Monthly | Credit Suisse International | 09/17/58 | N/R | USD | 5,000 | (26,254 | ) | (539,038 | ) | 512,784 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| $ | (531,102 | ) | $ | (4,798,600 | ) | $ | 4,267,498 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| (a) |
Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
| (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) |
$ | 12,044 | $ | (1,857,334 | ) | $ | 3,549,035 | $ | (3,773,042 | ) | $ | — | ||||||||
|
OTC Swaps |
4,132 | (4,809,676 | ) | 4,370,467 | (102,156 | ) | — | |||||||||||||
|
Options Written |
N/A | N/A | 4,945,883 | (2,475,834 | ) | (6,683,034 | ) | |||||||||||||
| (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. |
| 42 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) |
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 |
||||||||||||||||||||||||||||
|
Unrealized appreciation on futures contracts(a) |
$ | — | $ | — | $ | — | $ | — | $ | 962,184 | $ | — | $ | 962,184 | ||||||||||||||
|
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
|
Unrealized appreciation on forward foreign currency exchange contracts |
— | — | — | 281,645 | — | — | 281,645 | |||||||||||||||||||||
|
Options purchased(b) |
||||||||||||||||||||||||||||
|
Investments at value — unaffiliated(c) |
— | — | — | — | 4,573,589 | — | 4,573,589 | |||||||||||||||||||||
|
Swaps — centrally cleared |
||||||||||||||||||||||||||||
|
Unrealized appreciation on centrally cleared swaps(a) |
— | — | — | — | 3,549,035 | — | 3,549,035 | |||||||||||||||||||||
|
Swaps — OTC |
||||||||||||||||||||||||||||
|
Unrealized appreciation on OTC swaps; Swap premiums paid |
— | 4,374,599 | — | — | — | — | 4,374,599 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | 4,374,599 | $ | — | $ | 281,645 | $ | 9,084,808 | $ | — | $ | 13,741,052 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
|
Liabilities — Derivative Financial Instruments |
||||||||||||||||||||||||||||
|
Futures contracts |
||||||||||||||||||||||||||||
|
Unrealized depreciation on futures contracts(a) |
$ | — | $ | — | $ | 36 | $ | — | $ | 2,152,706 | $ | — | $ | 2,152,742 | ||||||||||||||
|
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
|
Unrealized depreciation on forward foreign currency exchange contracts |
— | — | — | 447,537 | — | — | 447,537 | |||||||||||||||||||||
|
Options written |
||||||||||||||||||||||||||||
|
Options written at value |
— | — | — | — | 6,683,034 | — | 6,683,034 | |||||||||||||||||||||
|
Swaps — centrally cleared |
||||||||||||||||||||||||||||
|
Unrealized depreciation on centrally cleared swaps(a) |
— | 909,196 | — | — | 2,863,846 | — | 3,773,042 | |||||||||||||||||||||
|
Swaps — OTC |
||||||||||||||||||||||||||||
|
Unrealized depreciation on OTC swaps; Swap premiums received |
— | 4,911,832 | — | — | — | — | 4,911,832 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | 5,821,028 | $ | 36 | $ | 447,537 | $ | 11,699,586 | $ | — | $ | 17,968,187 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| (a) |
Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
| (b) |
Includes forward settling swaptions. |
| (c) |
Includes options purchased at value as reported in the Schedule of Investments. |
For the period ended December 31, 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 |
$ | — | $ | — | $ | 841 | $ | — | $ | (4,063,407 | ) | $ | — | $ | (4,062,566 | ) | ||||||||||||
|
Forward foreign currency exchange contracts |
— | — | — | (267,448 | ) | — | — | (267,448 | ) | |||||||||||||||||||
|
Options purchased(a) |
— | — | — | — | (17,985 | ) | — | (17,985 | ) | |||||||||||||||||||
|
Options written |
— | — | — | — | 534,796 | — | 534,796 | |||||||||||||||||||||
|
Swaps |
— | (13,565 | ) | — | — | (321,515 | ) | — | (335,080 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | (13,565 | ) | $ | 841 | $ | (267,448 | ) | $ | (3,868,111 | ) | $ | — | $ | (4,148,283 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
|
Net Change in Unrealized Appreciation (Depreciation) on: |
|
|||||||||||||||||||||||||||
|
Futures contracts |
$ | — | $ | — | $ | 472 | $ | — | (1,814,104 | ) | $ | — | $ | (1,813,632 | ) | |||||||||||||
|
Forward foreign currency exchange contracts |
— | — | — | (368,112 | ) | — | — | (368,112 | ) | |||||||||||||||||||
|
Options purchased(b) |
— | — | — | — | (3,568,898 | ) | — | (3,568,898 | ) | |||||||||||||||||||
|
Options written |
— | — | — | — | 2,515,994 | — | 2,515,994 | |||||||||||||||||||||
|
Swaps |
— | 661,055 | — | — | 1,804,643 | — | 2,465,698 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | 661,055 | $ | 472 | $ | (368,112 | ) | $ | (1,062,365 | ) | $ | — | $ | (768,950 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| (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. |
| SCHEDULES OF INVESTMENTS | 43 |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
|
Futures contracts: |
||||
|
Average notional value of contracts — long |
$ | 325,646,314 | ||
|
Average notional value of contracts — short |
$ | 101,341,821 | ||
|
Forward foreign currency exchange contracts: |
||||
|
Average amounts purchased — in USD |
$ | 77,062,937 | ||
|
Average amounts sold — in USD |
$ | 62,418,756 | ||
|
Options: |
||||
|
Average value of option contracts purchased |
$ | 576,311 | ||
|
Average value of option contracts written |
$ | 441,230 | ||
|
Average notional value of swaption contracts purchased |
$ | 560,706,427 | ||
|
Average notional value of swaption contracts written |
$ | 1,836,158,349 | ||
|
Credit default swaps: |
||||
|
Average notional value — buy protection |
$ | 95,417,648 | ||
|
Average notional value — sell protection |
$ | 42,938,563 | ||
|
Interest rate swaps: |
||||
|
Average notional value — pays fixed rate |
$ | 348,306,330 | ||
|
Average notional value — receives fixed rate |
$ | 239,354,006 |
For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Trust’s derivative assets and liabilities (by type) were as follows:
| Assets | Liabilities | |||||||
|
Derivative Financial Instruments: |
||||||||
|
Futures contracts |
$ | 142,327 | $ | 358,270 | ||||
|
Forward foreign currency exchange contracts |
281,645 | 447,537 | ||||||
|
Options(a) |
4,573,589 | (b) | 6,683,034 | |||||
|
Swaps — Centrally cleared |
192,195 | — | ||||||
|
Swaps — OTC(c) |
4,374,599 | 4,911,832 | ||||||
|
|
|
|
|
|||||
|
Total derivative assets and liabilities in the Statements of Assets and Liabilities |
$ | 9,564,355 | $ | 12,400,673 | ||||
|
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
(796,647 | ) | (725,657 | ) | ||||
|
|
|
|
|
|||||
|
Total derivative assets and liabilities subject to an MNA |
$ | 8,767,708 | $ | 11,675,016 | ||||
|
|
|
|
|
|||||
| (a) |
Includes forward settling swaptions. |
| (b) |
Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments. |
| (c) |
Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities. |
The following table presents the Trust’s derivative assets (and liabilities) by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Trust:
| Counterparty |
Derivative
Assets Subject to an MNA by Counterparty |
Derivatives
Available for Offset (a) |
Non-cash
Collateral Received |
Cash
Collateral Received (b) |
Net Amount
of Derivative Assets (c) |
|||||||||||||||
|
Bank of America N.A. |
$ | 160,960 | $ | (160,960 | ) | $ | — | $ | — | $ | — | |||||||||
|
Barclays Bank PLC |
1,660,704 | (1,660,704 | ) | — | — | — | ||||||||||||||
|
BNP Paribas S.A. |
70 | (70 | ) | — | — | — | ||||||||||||||
|
Citibank N.A. |
913,977 | (849,201 | ) | — | — | 64,776 | ||||||||||||||
|
Credit Suisse International |
2,246,685 | (2,246,685 | ) | — | — | — | ||||||||||||||
|
Deutsche Bank AG |
96,649 | (96,649 | ) | — | — | — | ||||||||||||||
|
Goldman Sachs Bank USA |
30,254 | (30,254 | ) | — | — | — | ||||||||||||||
|
JPMorgan Chase Bank N.A. |
875,642 | (546,395 | ) | — | (329,247 | ) | — | |||||||||||||
|
Morgan Stanley & Co. International PLC |
2,309,782 | (2,309,782 | ) | — | — | — | ||||||||||||||
|
Nomura International PLC |
294,096 | (278,766 | ) | — | — | 15,330 | ||||||||||||||
|
UBS AG |
178,889 | (178,889 | ) | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 8,767,708 | $ | (8,358,355 | ) | $ | — | $ | (329,247 | ) | $ | 80,106 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| 44 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) |
| Counterparty |
Derivative
Liabilities Subject to an MNA by Counterparty |
Derivatives
Available for Offset (a) |
Non-cash
Collateral Pledged (d) |
Cash
Collateral Pledged (d) |
Net Amount
of Derivative Liabilities (e),(f) |
|||||||||||||||
|
Bank of America N.A. |
$ | 1,419,684 | $ | (160,960 | ) | $ | — | $ | (1,130,000 | ) | $ | 128,724 | ||||||||
|
Barclays Bank PLC |
2,550,508 | (1,660,704 | ) | (335,242 | ) | (108,000 | ) | 446,562 | ||||||||||||
|
BNP Paribas S.A. |
146,102 | (70 | ) | — | — | 146,032 | ||||||||||||||
|
Canadian Imperial Bank of Commerce |
250 | — | — | — | 250 | |||||||||||||||
|
Citibank N.A. |
849,201 | (849,201 | ) | — | — | — | ||||||||||||||
|
Credit Suisse International |
2,400,538 | (2,246,685 | ) | — | (153,853 | ) | — | |||||||||||||
|
Deutsche Bank AG |
408,431 | (96,649 | ) | (311,782 | ) | — | — | |||||||||||||
|
Goldman Sachs Bank USA |
170,814 | (30,254 | ) | — | — | 140,560 | ||||||||||||||
|
JPMorgan Chase Bank N.A. |
546,395 | (546,395 | ) | — | — | — | ||||||||||||||
|
Morgan Stanley & Co. International PLC |
2,480,178 | (2,309,782 | ) | — | — | 170,396 | ||||||||||||||
|
Natwest Markets PLC |
122,007 | — | — | — | 122,007 | |||||||||||||||
|
Nomura International PLC |
278,766 | (278,766 | ) | — | — | — | ||||||||||||||
|
State Street Bank and Trust Co. |
21,296 | — | — | — | 21,296 | |||||||||||||||
|
UBS AG |
275,032 | (178,889 | ) | — | — | 96,143 | ||||||||||||||
|
Westpac Banking Corp. |
5,814 | — | — | — | 5,814 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 11,675,016 | $ | (8,358,355 | ) | $ | (647,024 | ) | $ | (1,391,853 | ) | $ | 1,277,784 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (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) |
Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
| (e) |
Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities. |
| (f) |
Net amount may also include forward foreign currency exchange contracts and currency options that are not required to be collateralized. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
|
Assets: |
||||||||||||||||
|
Investments: |
||||||||||||||||
|
Long-Term Investments: |
||||||||||||||||
|
Asset-Backed Securities |
$ | — | $ | 50,361,666 | $ | 1,640,060 | $ | 52,001,726 | ||||||||
|
Corporate Bonds |
— | 507,885,107 | 8,618,085 | 516,503,192 | ||||||||||||
|
Floating Rate Loan Interests |
— | 20,560,490 | 845,594 | 21,406,084 | ||||||||||||
|
Foreign Agency Obligations |
— | 20,939,075 | — | 20,939,075 | ||||||||||||
|
Municipal Bonds |
— | 25,834,197 | — | 25,834,197 | ||||||||||||
|
Non-Agency Mortgage-Backed Securities |
— | 36,359,949 | — | 36,359,949 | ||||||||||||
|
Preferred Securities(a) |
7,849,346 | 80,247,367 | — | 88,096,713 | ||||||||||||
|
U.S. Government Sponsored Agency Securities |
— | 239,039,167 | — | 239,039,167 | ||||||||||||
|
U.S. Treasury Obligations |
— | 182,191,648 | — | 182,191,648 | ||||||||||||
|
Short-Term Securities: |
||||||||||||||||
|
Foreign Agency Obligations |
— | 270,979 | — | 270,979 | ||||||||||||
|
Money Market Funds |
13,516,974 | — | — | 13,516,974 | ||||||||||||
|
Options Purchased |
||||||||||||||||
|
Interest Rate Contracts(a) |
462,125 | 4,111,464 | — | 4,573,589 | ||||||||||||
|
Unfunded Floating Rate Loan Interests(b) |
7,384 | 7,384 | ||||||||||||||
|
Liabilities: |
||||||||||||||||
|
TBA Sale Commitments |
— | (24,025,805 | ) | — | (24,025,805 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 21,828,445 | $ | 1,143,782,688 | $ | 11,103,739 | $ | 1,176,714,872 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| SCHEDULES OF INVESTMENTS | 45 |
|
Schedule of Investments (continued) December 31, 2019 |
BlackRock Core Bond Trust (BHK) |
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
|
Derivative Financial Instruments(c) |
||||||||||||||||
|
Assets: |
||||||||||||||||
|
Credit contracts |
$ | — | $ | 4,370,467 | $ | — | $ | 4,370,467 | ||||||||
|
Forward foreign currency contracts |
— | 281,645 | — | 281,645 | ||||||||||||
|
Interest rate contracts |
946,612 | 3,564,606 | — | 4,511,218 | ||||||||||||
|
Liabilities: |
||||||||||||||||
|
Credit contracts |
— | (1,011,352 | ) | — | (1,011,352 | ) | ||||||||||
|
Equity contracts |
(36 | ) | — | — | (36 | ) | ||||||||||
|
Forward foreign currency contracts |
— | (447,537 | ) | — | (447,537 | ) | ||||||||||
|
Interest rate contracts |
(2,520,093 | ) | (9,179,492 | ) | — | (11,699,585 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | (1,573,517 | ) | $ | (2,421,663 | ) | $ | — | $ | (3,995,180 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) |
See above Schedule of Investments for values in each industry. |
| (b) |
Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
| (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. |
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 $271,748,711 are categorized within as Level 2 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:
|
Asset-Backed
Securities |
Corporate
Bonds |
Floating Rate Loan
Interests |
Total | |||||||||||||
|
Assets: |
||||||||||||||||
|
Opening balance, as of August 31, 2019 |
$ | 3,916,040 | $ | 8,958,424 | $ | 617,363 | $ | 13,491,827 | ||||||||
|
Transfers into Level 3 |
— | — | 256,679 | 256,679 | ||||||||||||
|
Transfers out of Level 3 |
— | — | (32,999 | ) | (32,999 | ) | ||||||||||
|
Accrued discounts/premiums |
(46,712 | ) | (1 | ) | 513 | (46,200 | ) | |||||||||
|
Net realized gain (loss) |
— | — | 22 | 22 | ||||||||||||
|
Net change in unrealized appreciation (depreciation)(a)(b) |
(337 | ) | (329,769 | ) | 7,101 | (323,005 | ) | |||||||||
|
Purchases |
1,500,000 | — | — | 1,500,000 | ||||||||||||
|
Sales |
(3,728,931 | ) | (10,569 | ) | (3,085 | ) | (3,742,585 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
|
Closing balance, as of December 31, 2019 |
$ | 1,640,060 | $ | 8,618,085 | $ | 845,594 | $ | 11,103,739 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
|
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2019(b) |
$ | 18,308 | $ | (329,769 | ) | $ | 7,101 | $ | (304,360 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) |
Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
| (b) |
Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 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 $2,485,654. A significant change in the third party information could result in a significantly lower or higher value of such Level 3 investments.
| Value | Valuation Approach |
Unobservable
Inputs |
Range
of
unobservable Inputs Utilized (a) |
Weighted
Average of Unobservable Inputs Based on Fair Value |
||||||||||||||||
|
Assets: |
||||||||||||||||||||
|
Corporate Bonds |
$ | 8,618,085 | Income | Credit Spread | 135-323 | 269 | ||||||||||||||
| (a) |
A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value. |
See notes to financial statements.
| 46 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Consolidated Schedule of Investments December 31, 2019 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| Security |
Shares |
Value | ||||||||||
|
Common Stocks — 1.5% |
|
|||||||||||
|
Aerospace & Defense — 0.1% |
|
|||||||||||
|
Bombardier, Inc., Class B(a) |
740,267 | $ | 1,100,239 | |||||||||
|
|
|
|||||||||||
| Chemicals — 0.4% | ||||||||||||
|
Element Solutions, Inc.(a) |
572,739 | 6,689,591 | ||||||||||
|
|
|
|||||||||||
| Consumer Finance — 0.0% | ||||||||||||
|
Ally Financial, Inc. |
1 | 31 | ||||||||||
|
|
|
|||||||||||
| Diversified Financial Services — 0.1% | ||||||||||||
|
Arrow Global Group PLC |
17,831 | 60,512 | ||||||||||
|
Kcad Holdings I Ltd.(a)(b) |
2,223,465,984 | 1,511,957 | ||||||||||
|
|
|
|||||||||||
| 1,572,469 | ||||||||||||
| Diversified Telecommunication Services — 0.0% | ||||||||||||
|
Telecom Italia SpA |
213,385 | 130,680 | ||||||||||
|
|
|
|||||||||||
| Energy Equipment & Services — 0.1% | ||||||||||||
|
Osum Oil Sands Corp.(a)(b)(c) |
400,000 | 785,491 | ||||||||||
|
|
|
|||||||||||
| Equity Real Estate Investment Trusts (REITs) — 0.2% | ||||||||||||
|
Gaming and Leisure Properties, Inc. |
57,580 | 2,478,819 | ||||||||||
|
|
|
|||||||||||
| Media — 0.1% | ||||||||||||
|
Clear Channel Outdoor Holdings, Inc.(a) |
527,174 | 1,507,718 | ||||||||||
|
Emmis Communications Corp., Class A(a) |
7,210 | 29,056 | ||||||||||
|
|
|
|||||||||||
| 1,536,774 | ||||||||||||
| Metals & Mining — 0.3% | ||||||||||||
|
Constellium SE(a) |
285,624 | 3,827,362 | ||||||||||
|
|
|
|||||||||||
| Pharmaceuticals — 0.2% | ||||||||||||
|
Bausch Health Cos., Inc.(a) |
98,545 | 2,948,466 | ||||||||||
|
|
|
|||||||||||
| Semiconductors & Semiconductor Equipment — 0.0% | ||||||||||||
|
SunPower Corp.(a) |
1,025 | 7,995 | ||||||||||
|
|
|
|||||||||||
|
Total Common Stocks — 1.5%
|
|
21,077,917 | ||||||||||
|
|
|
|||||||||||
|
Par
(000) |
||||||||||||
| Asset-Backed Securities — 1.3% | ||||||||||||
|
AIMCO CLO, Series 2017-AA, Class C, (3 mo. LIBOR US + 2.45%), 4.42%, 07/20/29(d)(e) |
USD | 250 | 246,254 | |||||||||
|
Allegro CLO II-S Ltd., Series 2014-1RA, Class B, (3 mo. LIBOR US + 2.15%), 4.12%, 10/21/28(d)(e) |
250 | 245,448 | ||||||||||
|
Allegro CLO VIII Ltd., Series 2018-2A, Class C, (3 mo. LIBOR US + 2.15%), 4.15%, 07/15/31(d)(e) |
250 | 240,886 | ||||||||||
|
ALM VII R Ltd.(d)(e): |
||||||||||||
|
Series 2013-7R2A, Class BR2, (3 mo. LIBOR US + 2.20%), 4.19%, 10/15/27 |
250 | 245,515 | ||||||||||
|
Series 2013-7RA, Class BR, (3 mo. LIBOR US + 2.70%), 4.70%, 10/15/28 |
500 | 493,583 | ||||||||||
|
ALM VIII Ltd., Series 2013-8A, Class CR, (3 mo. LIBOR US + 3.95%), 5.95%, 10/15/28(d)(e) |
1,400 | 1,390,731 | ||||||||||
|
ALM XVI Ltd./ALM XVI LLC, Series 2015-16A(d)(e): |
||||||||||||
|
Class BR2, (3 mo. LIBOR US + 1.90%), 3.90%, 07/15/27 |
500 | 497,741 | ||||||||||
|
Class CR2, (3 mo. LIBOR US + 2.70%), 4.70%, 07/15/27 |
743 | 719,001 | ||||||||||
|
Par
(000) |
Value | |||||||||||
| Asset-Backed Securities (continued) | ||||||||||||
|
AMMC CLO Ltd., Series 2018-22A, Class D, (3 mo. LIBOR US + 2.70%), 4.64%, 04/25/31(d)(e) |
USD | 250 | $ | 240,086 | ||||||||
|
Anchorage Capital CLO Ltd., Series 2X, Class E, (3 mo. Euribor + 5.66%), 5.66%, 05/15/31(e) |
EUR | 203 | 224,016 | |||||||||
|
Apidos CLO XX, Series 2015-20A, Class BRR,
(3 mo. LIBOR US + 1.95%),
|
USD | 250 | 240,599 | |||||||||
|
Apidos CLO XXIII, Series 2015-23A, Class D2,
(3 mo. LIBOR US + 5.95%),
|
750 | 720,197 | ||||||||||
|
Ares XXXIIR CLO Ltd., Series 2014-32RA, Class B, (3 mo. LIBOR US +
1.80%),
|
500 | 473,254 | ||||||||||
|
Atlas Senior Loan Fund X Ltd., Series 2018-10A, Class B, (3 mo. LIBOR US + 1.50%), 3.50%, 01/15/31(d)(e) |
400 | 390,922 | ||||||||||
|
Atrium XIV LLC, Series 14A, Class C, (3 mo. LIBOR US + 1.95%), 3.95%, 08/23/30(d)(e) |
266 | 255,701 | ||||||||||
|
Cairn CLO IV BV, Series 2014-4X, Class ERR, (3 mo. Euribor + 5.88%), 5.88%, 04/30/31(e) |
EUR | 1,000 | 1,116,559 | |||||||||
|
Cairn CLO VII BV, Series 2016-7X, Class E, (3 mo. Euribor + 6.35%), 6.35%, 01/31/30(e) |
900 | 1,010,138 | ||||||||||
|
Carlyle Global Market Strategies CLO Ltd., Series 2016-1A, Class BR, (3 mo. LIBOR US + 1.85%), 3.82%, 04/20/27(d)(e) |
USD | 250 | 244,292 | |||||||||
|
Carlyle US CLO Ltd., Series 2016-4A, Class BR,
(3 mo. LIBOR US + 2.10%),
|
250 | 239,728 | ||||||||||
|
CBAM Ltd., Series 2017-2A, Class C1, (3 mo. LIBOR US
+ 2.40%),
|
500 | 491,528 | ||||||||||
|
CIFC Funding I Ltd., Series 2017-1A, Class D,
(3 mo. LIBOR US + 3.50%),
|
500 | 500,012 | ||||||||||
|
CIFC Funding Ltd., Series 2014-4RA, Class B,
(3 mo. LIBOR US + 2.20%),
|
250 | 244,673 | ||||||||||
|
Dryden Senior Loan Fund, Series 2017-50A, Class C, (3 mo. LIBOR US + 2.25%), 4.25%, 07/15/30(d)(e) |
500 | 493,008 | ||||||||||
|
Galaxy XVIII CLO Ltd., Series 2018-28A, Class C, (3 mo. LIBOR US + 1.95%), 3.95%, 07/15/31(d)(e) |
250 | 238,201 | ||||||||||
|
Galaxy XXVI CLO Ltd., Series 2018-26A, Class B,
(3 mo. LIBOR US + 1.70%),
|
250 | 248,216 | ||||||||||
|
Goldentree Loan Management US CLO 3 Ltd., Series 2018-3A, Class C, (3 mo. LIBOR US + 1.90%), 3.87%, 04/20/30(d)(e) |
550 | 528,419 | ||||||||||
|
Greene King Finance PLC: |
||||||||||||
|
Series B1, 5.70%, 12/15/34 |
GBP | 100 | 118,994 | |||||||||
|
Series B2, (3 mo. LIBOR GBP + 2.08%), 2.88%, 03/15/36(e) |
100 | 120,257 | ||||||||||
|
Madison Park Funding XV Ltd., Series 2014-15A, Class CR, (3 mo. LIBOR US + 3.45%), 5.39%, 01/27/26(d)(e) |
USD | 500 | 500,010 | |||||||||
| SCHEDULES OF INVESTMENTS | 47 |
|
Consolidated Schedule of Investments (continued) December 31, 2019 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
|
Par
(000) |
Value | |||||||||||
| Asset-Backed Securities (continued) | ||||||||||||
|
Madison Park Funding XXV Ltd., Series 2017-25A, Class B, (3 mo. LIBOR US + 2.35%), 4.29%, 04/25/29(d)(e) |
USD | 550 | $ | 547,248 | ||||||||
|
Madison Park Funding XXXI Ltd., Series 2018-31A, Class B, (3 mo. LIBOR US + 1.70%), 3.63%, 01/23/31(d)(e) |
250 | 249,100 | ||||||||||
|
Neuberger Berman CLO XXIII Ltd., Series 2016-23A, Class CR, (3 mo. LIBOR US + 2.15%), 4.15%, 10/17/27(d)(e) |
500 | 488,943 | ||||||||||
|
Oak Hill Credit Partners X-R Ltd., Series 2014-10RA, Class C, (3 mo. LIBOR US + 2.20%), 4.17%, 12/12/30(d)(e) |
508 | 490,234 | ||||||||||
|
Octagon Investment Partners XXIII Ltd., Series 2015-1A, Class CR, (3 mo. LIBOR US + 1.85%), 3.85%, 07/15/27(d)(e) |
250 | 244,581 | ||||||||||
|
OHA Credit Partners XI Ltd., Series 2015-11A, Class DR, (3 mo. LIBOR US + 2.95%), 4.92%, 01/20/32(d)(e) |
266 | 252,697 | ||||||||||
|
OZLM VI Ltd., Series 2014-6A, Class B1S, (3 mo. LIBOR
US + 2.10%),
|
500 | 478,008 | ||||||||||
|
OZLM XIX Ltd., Series 2017-19A, Class C, (3 mo. LIBOR
US + 3.10%),
|
500 | 493,847 | ||||||||||
|
Palmer Square CLO Ltd., Series 2015-1A, Class BR2, (3 mo. LIBOR US + 2.25%), 4.14%, 05/21/29(d)(e) |
500 | 494,394 | ||||||||||
|
Regatta VII Funding Ltd., Series 2016-1A(d)(e): |
||||||||||||
|
Class CR, (3 mo. LIBOR US + 2.00%), 3.91%, 12/20/28 |
250 | 243,414 | ||||||||||
|
Class DR, (3 mo. LIBOR US + 2.75%), 4.66%, 12/20/28 |
500 | 476,431 | ||||||||||
|
Rockford Tower CLO Ltd.(d)(e): |
||||||||||||
|
Series 2018-2A, Class C, (3 mo. LIBOR US + 2.20%), 4.17%, 10/20/31 |
250 | 244,253 | ||||||||||
|
Series 2019-1A, Class C, (3 mo. LIBOR US + 2.75%), 4.72%, 04/20/32 |
334 | 328,227 | ||||||||||
|
Series 2019-1A, Class D, (3 mo. LIBOR US + 3.85%), 5.82%, 04/20/32 |
522 | 524,299 | ||||||||||
|
TIAA CLO IV Ltd., Series 2018-1A, Class A2,
(3 mo. LIBOR US + 1.70%),
|
500 | 487,867 | ||||||||||
|
Treman Park CLO Ltd., Series 2015-1A, Class C3RR, (3 mo. LIBOR US + 2.00%), 3.97%, 10/20/28(d)(e) |
250 | 245,951 | ||||||||||
|
York CLO 1 Ltd., Series 2014-1A, Class CRR,
(3 mo. LIBOR US + 2.10%),
|
500 | 485,363 | ||||||||||
|
|
|
|||||||||||
|
Total Asset-Backed Securities — 1.3%
|
|
19,492,826 | ||||||||||
|
|
|
|||||||||||
|
Corporate Bonds — 118.1% |
|
|||||||||||
|
Aerospace & Defense — 6.1% |
|
|||||||||||
|
Amsted Industries, Inc., 5.63%, 07/01/27(d) |
890 | 943,400 | ||||||||||
|
Arconic, Inc.: |
||||||||||||
|
6.15%, 08/15/20 |
1,540 | 1,574,712 | ||||||||||
|
5.40%, 04/15/21 |
45 | 46,392 | ||||||||||
|
5.87%, 02/23/22 |
1,363 | 1,455,442 | ||||||||||
|
5.13%, 10/01/24 |
5,851 | 6,377,590 | ||||||||||
|
Bombardier, Inc.(d): |
||||||||||||
|
8.75%, 12/01/21 |
2,292 | 2,511,173 | ||||||||||
|
5.75%, 03/15/22 |
404 | 417,256 | ||||||||||
|
Par
(000) |
Value | |||||||||||
| Aerospace & Defense (continued) | ||||||||||||
|
6.13%, 01/15/23 |
USD | 1,200 | $ | 1,230,600 | ||||||||
|
7.50%, 12/01/24 |
857 | 900,390 | ||||||||||
|
7.50%, 03/15/25 |
2,232 | 2,301,728 | ||||||||||
|
7.88%, 04/15/27 |
9,812 | 10,094,095 | ||||||||||
|
Global Aircraft Leasing Co. Ltd., (6.5% Cash or 7.25% PIK), 6.50%, 09/15/24(d)(f) |
3,717 | 3,891,811 | ||||||||||
|
Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(d) |
1,810 | 1,936,700 | ||||||||||
|
Moog, Inc., 4.25%, 12/15/27(d) |
887 | 902,611 | ||||||||||
|
Signature Aviation US Holdings, Inc.(d): |
||||||||||||
|
5.38%, 05/01/26 |
1,733 | 1,824,173 | ||||||||||
|
4.00%, 03/01/28 |
2,251 | 2,220,161 | ||||||||||
|
SSL Robotics LLC, 9.75%, 12/31/23(d) |
876 | 952,650 | ||||||||||
|
TransDigm UK Holdings PLC, 6.88%, 05/15/26 |
1,953 | 2,079,945 | ||||||||||
|
TransDigm, Inc.(d): |
||||||||||||
|
6.25%, 03/15/26 |
33,945 | 36,749,196 | ||||||||||
|
5.50%, 11/15/27 |
3,005 | 3,038,746 | ||||||||||
|
Triumph Group, Inc., 6.25%, 09/15/24(d) |
2,775 | 2,917,219 | ||||||||||
|
Wolverine Escrow LLC(d): |
||||||||||||
|
8.50%, 11/15/24 |
1,296 | 1,341,360 | ||||||||||
|
9.00%, 11/15/26 |
2,354 | 2,465,815 | ||||||||||
|
|
|
|||||||||||
| 88,173,165 | ||||||||||||
| Air Freight & Logistics — 0.0% | ||||||||||||
|
XPO Logistics, Inc., 6.75%, 08/15/24(d) |
110 | 119,499 | ||||||||||
|
|
|
|||||||||||
| Auto Components — 2.3% | ||||||||||||
|
Allison Transmission, Inc.(d): |
||||||||||||
|
5.00%, 10/01/24 |
827 | 846,641 | ||||||||||
|
5.88%, 06/01/29 |
2,367 | 2,591,865 | ||||||||||
|
GKN Holdings Ltd., 4.63%, 05/12/32 |
GBP | 105 | 143,214 | |||||||||
|
Goodyear Tire & Rubber Co., 5.00%, 05/31/26 |
USD | 471 | 489,840 | |||||||||
|
Grupo Antolin-Irausa SA, 3.38%, 04/30/26 |
EUR | 100 | 105,193 | |||||||||
|
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: |
||||||||||||
|
6.25%, 02/01/22 |
USD | 1,452 | 1,479,588 | |||||||||
|
6.75%, 02/01/24 |
890 | 923,375 | ||||||||||
|
6.38%, 12/15/25 |
798 | 836,903 | ||||||||||
|
6.25%, 05/15/26 |
4,159 | 4,429,335 | ||||||||||
|
5.25%, 05/15/27(d) |
2,187 | 2,236,492 | ||||||||||
|
IHO Verwaltungs GmbH(f): |
||||||||||||
|
6.00%, 05/15/27(d) |
200 | 212,000 | ||||||||||
|
(3.63% Cash or 4.38% PIK), 3.63%, 05/15/25 |
EUR | 125 | 146,696 | |||||||||
|
(4.63% PIK), 3.88%, 05/15/27 |
152 | 180,302 | ||||||||||
|
Jaguar Land Rover Automotive PLC, Series DEC, 6.88%, 11/15/26 |
189 | 222,601 | ||||||||||
|
Panther BF Aggregator 2 LP/Panther Finance Co., Inc.: |
||||||||||||
|
4.38%, 05/15/26 |
401 | 471,482 | ||||||||||
|
6.25%, 05/15/26(d) |
USD | 7,070 | 7,617,925 | |||||||||
|
8.50%, 05/15/27(d) |
8,366 | 8,888,875 | ||||||||||
|
Tesla, Inc., 5.30%, 08/15/25(d) |
1,571 | 1,523,870 | ||||||||||
|
ZF Europe Finance BV: |
||||||||||||
|
1.25%, 10/23/23 |
EUR | 100 | 114,573 | |||||||||
|
2.50%, 10/23/27 |
200 | 231,251 | ||||||||||
|
|
|
|||||||||||
| 33,692,021 | ||||||||||||
| Banks — 0.7% | ||||||||||||
|
Banco BPM SpA: |
||||||||||||
|
1.75%, 04/24/23 |
150 | 169,727 | ||||||||||
|
2.50%, 06/21/24 |
300 | 347,672 | ||||||||||
| 48 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Consolidated Schedule of Investments (continued) December 31, 2019 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
|
Par
(000) |
Value | |||||||||||
| Banks (continued) | ||||||||||||
|
Banco Espirito Santo SA(a)(g): |
||||||||||||
|
4.75%, 01/15/20 |
EUR | 1,900 | $ | 362,309 | ||||||||
|
4.00%, 01/21/20 |
1,100 | 209,758 | ||||||||||
|
Barclays PLC: |
||||||||||||
|
4.38%, 09/11/24 |
USD | 3,020 | 3,172,950 | |||||||||
|
5.20%, 05/12/26 |
800 | 874,994 | ||||||||||
|
CIT Group, Inc.: |
||||||||||||
|
5.00%, 08/15/22 |
278 | 294,680 | ||||||||||
|
5.00%, 08/01/23 |
404 | 435,310 | ||||||||||
|
6.00%, 04/01/36 |
3,261 | 3,407,745 | ||||||||||
|
Deutsche Pfandbriefbank AG, 4.60%, 02/22/27 |
EUR | 100 | 123,565 | |||||||||
|
Intesa Sanpaolo SpA, 0.75%, 12/04/24 |
100 | 112,643 | ||||||||||
|
|
|
|||||||||||
| 9,511,353 | ||||||||||||
| Building Materials — 0.1% | ||||||||||||
|
Cemex SAB de CV, 3.13%, 03/19/26 |
150 | 174,565 | ||||||||||
|
Jeld-Wen, Inc., 4.63%, 12/15/25(d) |
USD | 823 | 847,278 | |||||||||
|
|
|
|||||||||||
| 1,021,843 | ||||||||||||
| Building Products — 0.9% | ||||||||||||
|
Advanced Drainage Systems, Inc., 5.00%, 09/30/27(d) |
1,464 | 1,509,750 | ||||||||||
|
Beacon Roofing Supply, Inc.(d): |
||||||||||||
|
4.88%, 11/01/25 |
78 | 78,390 | ||||||||||
|
4.50%, 11/15/26 |
543 | 559,290 | ||||||||||
|
CPG Merger Sub LLC, 8.00%, 10/01/21(d) |
2,165 | 2,170,412 | ||||||||||
|
Jeld-Wen, Inc., 4.88%, 12/15/27(d) |
129 | 131,903 | ||||||||||
|
Masonite International Corp.(d): |
||||||||||||
|
5.75%, 09/15/26 |
701 | 744,812 | ||||||||||
|
5.38%, 02/01/28 |
342 | 361,238 | ||||||||||
|
Standard Industries, Inc.: |
||||||||||||
|
5.50%, 02/15/23(d) |
768 | 780,480 | ||||||||||
|
5.38%, 11/15/24(d) |
2,374 | 2,439,285 | ||||||||||
|
6.00%, 10/15/25(d) |
3,311 | 3,480,689 | ||||||||||
|
2.25%, 11/21/26 |
EUR | 109 | 125,869 | |||||||||
|
|
|
|||||||||||
| 12,382,118 | ||||||||||||
| Cable Television Services — 0.1% | ||||||||||||
|
Cincinnati Bell, Inc., 8.00%, 10/15/25(d) |
USD | 1,557 | 1,650,420 | |||||||||
|
|
|
|||||||||||
| Capital Markets — 0.5% | ||||||||||||
|
Goldman Sachs Group, Inc., Series R, (5 year CMT + 3.22%), 4.95%(h)(i) |
1,190 | 1,232,840 | ||||||||||
|
Intertrust Group BV, 3.38%, 11/15/25 |
EUR | 100 | 117,779 | |||||||||
|
LABL Escrow Issuer LLC, 6.75%, 07/15/26(d) |
USD | 2,464 | 2,618,000 | |||||||||
|
LPL Holdings, Inc., 5.75%, 09/15/25(d) |
323 | 337,939 | ||||||||||
|
Owl Rock Capital Corp.: |
||||||||||||
|
5.25%, 04/15/24 |
658 | 698,247 | ||||||||||
|
4.00%, 03/30/25 |
715 | 717,838 | ||||||||||
|
Stevens Holding Co., Inc., 6.13%, 10/01/26(d) |
813 | 888,202 | ||||||||||
|
|
|
|||||||||||
| 6,610,845 | ||||||||||||
| Chemicals — 2.8% | ||||||||||||
|
Atotech Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23(d)(f) |
1,632 | 1,664,640 | ||||||||||
|
Atotech Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 02/01/25(d) |
8,925 | 9,148,125 | ||||||||||
|
Axalta Coating Systems LLC, 4.88%, 08/15/24(d) |
1,701 | 1,760,535 | ||||||||||
|
Blue Cube Spinco LLC: |
||||||||||||
|
9.75%, 10/15/23 |
3,228 | 3,471,133 | ||||||||||
|
10.00%, 10/15/25 |
2,292 | 2,534,425 | ||||||||||
|
Chemours Co.: |
||||||||||||
|
6.63%, 05/15/23 |
1,667 | 1,673,385 | ||||||||||
|
5.38%, 05/15/27 |
915 | 809,775 | ||||||||||
|
Par
(000) |
Value | |||||||||||
| Chemicals (continued) | ||||||||||||
|
Element Solutions,
Inc.,
|
USD | 5,478 | $ | 5,731,357 | ||||||||
|
GCP Applied Technologies,
Inc.,
|
791 | 830,550 | ||||||||||
|
INEOS Group Holdings SA,
|
EUR | 150 | 174,565 | |||||||||
|
Monitchem HoldCo 2 SA, 9.50%, 09/15/26 |
100 | 113,123 | ||||||||||
|
Monitchem HoldCo 3 SA, 5.25%, 03/15/25 |
222 | 260,721 | ||||||||||
|
NOVA Chemicals
Corp.,
|
USD | 456 | 470,820 | |||||||||
|
OCI NV, 5.25%, 11/01/24(d) |
1,218 | 1,263,675 | ||||||||||
|
PQ Corp.(d): |
||||||||||||
|
6.75%, 11/15/22 |
2,477 | 2,560,599 | ||||||||||
|
5.75%, 12/15/25 |
3,618 | 3,780,810 | ||||||||||
|
TPC Group, Inc., 10.50%, 08/01/24(d) |
1,274 | 1,283,555 | ||||||||||
|
WR Grace & Co-Conn(d): |
||||||||||||
|
5.13%, 10/01/21 |
2,483 | 2,587,733 | ||||||||||
|
5.63%, 10/01/24 |
559 | 617,695 | ||||||||||
|
|
|
|||||||||||
| 40,737,221 | ||||||||||||
| Commercial Services & Supplies — 3.2% | ||||||||||||
|
ADT Security Corp.: |
||||||||||||
|
3.50%, 07/15/22 |
424 | 431,687 | ||||||||||
|
4.13%, 06/15/23 |
293 | 302,156 | ||||||||||
|
4.88%, 07/15/32(d) |
3,409 | 3,127,758 | ||||||||||
|
Advanced Disposal Services,
Inc.,
|
1,104 | 1,148,160 | ||||||||||
|
Allied Universal Holdco LLC/Allied Universal Finance Corp., 9.75%, 07/15/27(d) |
550 | 587,549 | ||||||||||
|
Ashtead Capital, Inc.(d): |
||||||||||||
|
4.00%, 05/01/28 |
1,245 | 1,257,450 | ||||||||||
|
4.25%, 11/01/29 |
1,425 | 1,455,281 | ||||||||||
|
Booz Allen Hamilton,
Inc.,
|
1,792 | 1,841,280 | ||||||||||
|
Clean Harbors, Inc.(d): |
||||||||||||
|
4.88%, 07/15/27 |
1,570 | 1,652,425 | ||||||||||
|
5.13%, 07/15/29 |
1,069 | 1,146,609 | ||||||||||
|
Core & Main LP, 6.13%, 08/15/25(d) |
4,715 | 4,915,387 | ||||||||||
|
Diocle SpA(3 mo. Euribor + 3.88%), 3.88%, 06/30/26(e) |
EUR | 109 | 123,946 | |||||||||
|
Fortress Transportation & Infrastructure Investors LLC(d): |
||||||||||||
|
6.75%, 03/15/22 |
USD | 444 | 462,870 | |||||||||
|
6.50%, 10/01/25 |
745 | 786,348 | ||||||||||
|
GFL Environmental, Inc.(d): |
||||||||||||
|
5.38%, 03/01/23 |
152 | 156,560 | ||||||||||
|
5.13%, 12/15/26 |
2,346 | 2,466,537 | ||||||||||
|
8.50%, 05/01/27 |
2,937 | 3,230,700 | ||||||||||
|
GW B-CR Security Corp.,
|
379 | 404,583 | ||||||||||
|
Harland Clarke Holdings Corp., 8.38%, 08/15/22(d) |
2,648 | 2,158,120 | ||||||||||
|
KAR Auction Services, Inc., 5.13%, 06/01/25(d) |
3,235 | 3,364,400 | ||||||||||
|
Mobile Mini, Inc., 5.88%, 07/01/24 |
3,503 | 3,643,120 | ||||||||||
|
Ritchie Bros Auctioneers, Inc., 5.38%, 01/15/25(d) |
1,289 | 1,343,783 | ||||||||||
|
Summer BC Holdco B Sarl,
|
EUR | 500 | 583,845 | |||||||||
|
United Rentals North America, Inc.: |
||||||||||||
|
4.63%, 10/15/25 |
USD | 2,930 | 3,012,333 | |||||||||
|
5.50%, 05/15/27 |
2,464 | 2,639,609 | ||||||||||
|
3.88%, 11/15/27 |
1,494 | 1,525,299 | ||||||||||
| SCHEDULES OF INVESTMENTS | 49 |
|
Consolidated Schedule of Investments (continued) December 31, 2019 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
|
Par
(000) |
Value | |||||||||||
| Commercial Services & Supplies (continued) | ||||||||||||
|
Waste Pro USA, Inc., 5.50%, 02/15/26(d) |
USD | 2,200 | $ | 2,293,500 | ||||||||
|
|
|
|||||||||||
| 46,061,295 | ||||||||||||
| Commercial Services & Supplies — 0.0% | ||||||||||||
|
United Rentals North America, Inc.,
|
496 | 533,845 | ||||||||||
|
|
|
|||||||||||
| Communications Equipment — 2.3% | ||||||||||||
|
CommScope, Inc.(d): |
||||||||||||
|
5.50%, 03/01/24 |
4,304 | 4,486,920 | ||||||||||
|
6.00%, 03/01/26 |
1,306 | 1,389,257 | ||||||||||
|
Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc., 9.88%, 05/01/24(d) |
3,407 | 3,598,644 | ||||||||||
|
Nokia OYJ: |
||||||||||||
|
3.38%, 06/12/22 |
714 | 722,925 | ||||||||||
|
4.38%, 06/12/27 |
439 | 457,658 | ||||||||||
|
6.63%, 05/15/39 |
3,731 | 4,320,602 | ||||||||||
|
ViaSat, Inc., 5.63%, 04/15/27(d) |
4,254 | 4,551,780 | ||||||||||
|
Zayo Group LLC/Zayo Capital, Inc.: |
||||||||||||
|
6.00%, 04/01/23 |
2,128 | 2,175,880 | ||||||||||
|
6.38%, 05/15/25 |
3,684 | 3,797,578 | ||||||||||
|
5.75%, 01/15/27(d) |
8,103 | 8,234,674 | ||||||||||
|
|
|
|||||||||||
| 33,735,918 | ||||||||||||
| Construction & Engineering — 0.4% | ||||||||||||
|
Aldesa Financial Services SA, 7.25%, 04/01/21 |
EUR | 100 | 97,924 | |||||||||
|
Brand Industrial Services, Inc., 8.50%, 07/15/25(d) |
USD | 2,640 | 2,706,000 | |||||||||
|
frontdoor, Inc., 6.75%, 08/15/26(d) |
1,729 | 1,884,610 | ||||||||||
|
SPIE SA, 2.63%, 06/18/26 |
EUR | 100 | 117,218 | |||||||||
|
SRS Distribution, Inc., 8.25%, 07/01/26(d) |
USD | 1,268 | 1,309,210 | |||||||||
|
|
|
|||||||||||
| 6,114,962 | ||||||||||||
| Construction Materials — 1.9% | ||||||||||||
|
American Builders & Contractors Supply Co., Inc.(d): |
||||||||||||
|
5.88%, 05/15/26 |
3,113 | 3,307,562 | ||||||||||
|
4.00%, 01/15/28 |
2,048 | 2,078,720 | ||||||||||
|
Core & Main Holdings LP, (8.625% Cash or 9.38% PIK), 8.63%, 09/15/24(d)(f) |
2,605 | 2,709,200 | ||||||||||
|
HD Supply, Inc., 5.38%, 10/15/26(d) |
10,942 | 11,598,520 | ||||||||||
|
Navistar International Corp., 6.63%, 11/01/25(d) |
3,199 | 3,258,981 | ||||||||||
|
New Enterprise Stone & Lime Co., Inc., 10.13%, 04/01/22(d) |
1,002 | 1,060,868 | ||||||||||
|
Williams Scotsman International, Inc.(d): |
||||||||||||
|
7.88%, 12/15/22 |
694 | 723,495 | ||||||||||
|
6.88%, 08/15/23 |
2,344 | 2,467,060 | ||||||||||
|
|
|
|||||||||||
| 27,204,406 | ||||||||||||
| Consumer Discretionary — 1.0% | ||||||||||||
|
Dun & Bradstreet
Corp.,
|
4,266 | 4,708,597 | ||||||||||
|
Live Nation Entertainment, Inc., 4.88%, 11/01/24(d) |
296 | 306,360 | ||||||||||
|
Nielsen Co. Luxembourg Sarl, 5.00%, 02/01/25(d) |
500 | 515,000 | ||||||||||
|
ServiceMaster Co.
LLC,
|
2,307 | 2,393,513 | ||||||||||
|
Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 07/30/26 |
EUR | 200 | 242,007 | |||||||||
|
Viking Cruises Ltd., 5.88%, 09/15/27(d) |
USD | 5,990 | 6,401,812 | |||||||||
|
|
|
|||||||||||
| 14,567,289 | ||||||||||||
|
Par
(000) |
Value | |||||||||||
| Consumer Finance — 3.1% | ||||||||||||
|
Ally Financial, Inc., 8.00%, 11/01/31 |
USD | 8,130 | $ | 11,285,253 | ||||||||
|
Iron Mountain UK PLC, 3.88%, 11/15/25 |
GBP | 200 | 270,550 | |||||||||
|
Mulhacen Pte Ltd., (6.5% Cash or 7.25% PIK), 6.50%, 08/01/23(f) |
EUR | 252 | 232,399 | |||||||||
|
Navient Corp.: |
||||||||||||
|
6.63%, 07/26/21 |
USD | 1,454 | 1,537,605 | |||||||||
|
7.25%, 09/25/23 |
550 | 621,516 | ||||||||||
|
6.13%, 03/25/24 |
1,359 | 1,474,515 | ||||||||||
|
5.88%, 10/25/24 |
1,017 | 1,088,190 | ||||||||||
|
Refinitiv US Holdings, Inc.: |
||||||||||||
|
4.50%, 05/15/26(d) |
EUR | 2,465 | 3,009,001 | |||||||||
|
4.50%, 05/15/26 |
595 | 726,311 | ||||||||||
|
6.25%, 05/15/26(d) |
USD | 107 | 116,764 | |||||||||
|
8.25%, 11/15/26(d) |
5,980 | 6,734,975 | ||||||||||
|
Springleaf Finance Corp.: |
||||||||||||
|
6.13%, 05/15/22 |
490 | 526,137 | ||||||||||
|
6.88%, 03/15/25 |
2,077 | 2,362,587 | ||||||||||
|
7.13%, 03/15/26 |
3,024 | 3,496,349 | ||||||||||
|
6.63%, 01/15/28 |
2,324 | 2,623,331 | ||||||||||
|
5.38%, 11/15/29 |
900 | 939,420 | ||||||||||
|
Verscend Escrow
Corp.,
|
7,930 | 8,673,437 | ||||||||||
|
|
|
|||||||||||
| 45,718,340 | ||||||||||||
| Containers & Packaging — 2.9% | ||||||||||||
|
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(d)(f) |
3,194 | 3,302,436 | ||||||||||
|
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.: |
||||||||||||
|
4.13%, 08/15/26(d) |
1,449 | 1,485,225 | ||||||||||
|
4.75%, 07/15/27(d) |
GBP | 427 | 593,319 | |||||||||
|
4.75%, 07/15/27 |
212 | 294,575 | ||||||||||
|
Ball Corp., 0.88%, 03/15/24 |
EUR | 100 | 113,011 | |||||||||
|
Berry Global, Inc.: |
||||||||||||
|
1.00%, 01/15/25(j) |
100 | 112,578 | ||||||||||
|
4.88%, 07/15/26(d) |
USD | 2,642 | 2,786,517 | |||||||||
|
1.50%, 01/15/27(j) |
EUR | 100 | 113,110 | |||||||||
|
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26 |
USD | 1,290 | 1,352,888 | |||||||||
|
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26 |
3,052 | 3,223,675 | ||||||||||
|
Crown European Holdings SA, 3.38%, 05/15/25 |
EUR | 100 | 123,421 | |||||||||
|
Greif, Inc., 6.50%, 03/01/27(d) |
USD | 268 | 289,440 | |||||||||
|
Intertape Polymer Group, Inc., 7.00%, 10/15/26(d) |
747 | 789,953 | ||||||||||
|
Mauser Packaging Solutions Holding Co.: |
||||||||||||
|
4.75%, 04/15/24 |
EUR | 123 | 142,771 | |||||||||
|
5.50%, 04/15/24(d) |
USD | 6,637 | 6,836,774 | |||||||||
|
OI European Group BV, 2.88%, 02/15/25 |
EUR | 194 | 225,476 | |||||||||
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu(d): |
||||||||||||
|
5.13%, 07/15/23 |
USD | 749 | 766,789 | |||||||||
|
7.00%, 07/15/24 |
1,847 | 1,909,336 | ||||||||||
|
Sealed Air Corp.(d): |
||||||||||||
|
5.13%, 12/01/24 |
142 | 153,005 | ||||||||||
|
6.88%, 07/15/33 |
700 | 826,000 | ||||||||||
|
Silgan Holdings, Inc., 4.13%, 02/01/28(d) |
1,588 | 1,588,476 | ||||||||||
|
Trivium Packaging Finance BV: |
||||||||||||
|
3.75%, 08/15/26 |
EUR | 220 | 261,198 | |||||||||
|
5.50%, 08/15/26(d) |
USD | 6,408 | 6,752,430 | |||||||||
|
8.50%, 08/15/27(d) |
6,698 | 7,451,525 | ||||||||||
|
|
|
|||||||||||
| 41,493,928 | ||||||||||||
| 50 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Consolidated Schedule of Investments (continued) December 31, 2019 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
|
Par
(000) |
Value | |||||||||||
| County/City/Special District/School District — 0.0% | ||||||||||||
|
European TopSoho Sarl, Series SMCP, 4.00%, 09/21/21(k) |
EUR | 200 | $ | 188,412 | ||||||||
|
|
|
|||||||||||
| Diversified Consumer Services — 1.5% | ||||||||||||
|
APX Group, Inc.: |
||||||||||||
|
8.75%, 12/01/20 |
USD | 1,281 | 1,281,000 | |||||||||
|
7.88%, 12/01/22 |
1,649 | 1,663,429 | ||||||||||
|
8.50%, 11/01/24(d) |
274 | 282,220 | ||||||||||
|
Ascend Learning LLC, 6.88%, 08/01/25(d) |
5,710 | 5,995,500 | ||||||||||
|
Graham Holdings Co., 5.75%, 06/01/26(d) |
1,199 | 1,279,933 | ||||||||||
|
Laureate Education,
Inc.,
|
591 | 636,064 | ||||||||||
|
Pinewood Finance Co. Ltd.,
|
GBP | 106 | 143,918 | |||||||||
|
Prime Security Services Borrower LLC/Prime Finance, Inc.(d): |
||||||||||||
|
5.25%, 04/15/24 |
USD | 2,278 | 2,410,124 | |||||||||
|
5.75%, 04/15/26 |
2,240 | 2,434,611 | ||||||||||
|
RBS Global, Inc./Rexnord LLC, 4.88%, 12/15/25(d) |
1,737 | 1,793,452 | ||||||||||
|
Service Corp. International,
|
2,101 | 2,232,312 | ||||||||||
|
Sotheby’s, 7.38%, 10/15/27(d) |
2,000 | 2,025,000 | ||||||||||
|
|
|
|||||||||||
| 22,177,563 | ||||||||||||
| Diversified Financial Services — 1.7% | ||||||||||||
|
Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, 07/15/26(d) |
8,501 | 9,136,025 | ||||||||||
|
Arrow Global Finance PLC,
|
GBP | 225 | 303,102 | |||||||||
|
Cabot Financial Luxembourg II SA(3 mo. Euribor + 6.38%), 6.38%, 06/14/24(e) |
EUR | 148 | 172,237 | |||||||||
|
Cabot Financial Luxembourg SA, 7.50%, 10/01/23 |
GBP | 100 | 137,443 | |||||||||
|
F-Brasile SpA/F-Brasile US LLC, Series XR, 7.38%, 08/15/26(d) |
USD | 2,095 | 2,210,225 | |||||||||
|
Fairstone Financial,
Inc.,
|
852 | 915,900 | ||||||||||
|
Ford Motor Credit Co. LLC,
|
EUR | 175 | 199,972 | |||||||||
|
Garfunkelux Holdco 3 SA,
|
330 | 369,236 | ||||||||||
|
Intrum AB: |
||||||||||||
|
2.75%, 07/15/22 |
69 | 77,875 | ||||||||||
|
3.50%, 07/15/26 |
201 | 230,365 | ||||||||||
|
Lehman Brothers Holding Escrow, 1.00%, 09/22/18(a)(g) |
USD | 430 | 5,375 | |||||||||
|
Lehman Brothers Holdings, Inc.(a)(g)(l): |
||||||||||||
|
5.38%, 10/17/17 |
EUR | 350 | 4,633 | |||||||||
|
4.75%, 01/16/18(b) |
1,890 | 25,016 | ||||||||||
|
1.00%, 02/05/18 |
3,950 | 52,282 | ||||||||||
|
1.00%, 12/31/49 |
USD | 1,535 | 19,188 | |||||||||
|
LHC3 PLC, (4.13% Cash or 4.88% PIK), 4.13%, 08/15/24(f) |
EUR | 320 | 370,595 | |||||||||
|
MSCI, Inc., 5.25%, 11/15/24(d) |
USD | 256 | 263,009 | |||||||||
|
Murphy Oil USA, Inc., 4.75%, 09/15/29 |
1,028 | 1,085,640 | ||||||||||
|
Novafives SAS, 5.00%, 06/15/25 |
EUR | 200 | 200,223 | |||||||||
|
Pershing Square Holdings Ltd., 5.50%, 07/15/22(d) |
USD | 2,100 | 2,219,175 | |||||||||
|
Spectrum Brands, Inc., 5.00%, 10/01/29(d) |
621 | 641,183 | ||||||||||
|
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 06/01/25(d) |
4,471 | 4,616,307 | ||||||||||
|
Verisure Midholding AB, 5.75%, 12/01/23 |
EUR | 100 | 115,395 | |||||||||
|
Par
(000) |
Value | |||||||||||
| Diversified Financial Services (continued) | ||||||||||||
|
VZ Vendor Financing BV,
|
EUR | 318 | $ | 363,835 | ||||||||
|
WMG Acquisition Corp.: |
||||||||||||
|
4.13%, 11/01/24 |
180 | 208,367 | ||||||||||
|
5.50%, 04/15/26(d) |
USD | 918 | 966,195 | |||||||||
|
|
|
|||||||||||
| 24,908,798 | ||||||||||||
| Diversified Telecommunication Services — 3.6% | ||||||||||||
|
CenturyLink, Inc.: |
||||||||||||
|
5.63%, 04/01/25 |
1,160 | 1,232,558 | ||||||||||
|
5.13%, 12/15/26(d) |
4,676 | 4,758,438 | ||||||||||
|
Series P, 7.60%, 09/15/39 |
1,114 | 1,164,130 | ||||||||||
|
Series U, 7.65%, 03/15/42 |
2,098 | 2,197,655 | ||||||||||
|
Series W, 6.75%, 12/01/23 |
3,694 | 4,123,427 | ||||||||||
|
Series Y, 7.50%, 04/01/24 |
3,764 | 4,243,910 | ||||||||||
|
Cincinnati Bell, Inc., 7.00%, 07/15/24(d) |
2,391 | 2,507,561 | ||||||||||
|
DKT Finance ApS, 7.00%, 06/17/23 |
EUR | 300 | 356,158 | |||||||||
|
Frontier Communications Corp., 8.00%, 04/01/27(d) |
USD | 9,972 | 10,420,740 | |||||||||
|
GCI LLC, 6.63%, 06/15/24(d) |
869 | 940,693 | ||||||||||
|
Level 3 Financing, Inc.: |
||||||||||||
|
5.38%, 08/15/22 |
204 | 204,755 | ||||||||||
|
5.63%, 02/01/23 |
969 | 971,907 | ||||||||||
|
5.13%, 05/01/23 |
1,292 | 1,300,075 | ||||||||||
|
5.38%, 05/01/25 |
760 | 786,600 | ||||||||||
|
5.25%, 03/15/26 |
3,067 | 3,189,680 | ||||||||||
|
4.63%, 09/15/27(d) |
809 | 828,254 | ||||||||||
|
Qwest Corp., 6.75%, 12/01/21 |
680 | 732,163 | ||||||||||
|
SoftBank Group Corp.: |
||||||||||||
|
4.00%, 04/20/23 |
EUR | 300 | 358,965 | |||||||||
|
4.75%, 07/30/25 |
515 | 633,934 | ||||||||||
|
3.13%, 09/19/25 |
300 | 344,081 | ||||||||||
|
5.00%, 04/15/28 |
300 | 370,936 | ||||||||||
|
4.00%, 09/19/29 |
100 | 116,354 | ||||||||||
|
Telecom Italia Capital SA: |
||||||||||||
|
6.38%, 11/15/33 |
USD | 1,153 | 1,279,830 | |||||||||
|
6.00%, 09/30/34 |
2,179 | 2,336,977 | ||||||||||
|
7.20%, 07/18/36 |
116 | 137,437 | ||||||||||
|
7.72%, 06/04/38 |
371 | 456,330 | ||||||||||
|
Telecom Italia Finance SA,
|
EUR | 83 | 139,080 | |||||||||
|
Telecom Italia SpA: |
||||||||||||
|
4.00%, 04/11/24 |
639 | 792,923 | ||||||||||
|
5.30%, 05/30/24(d) |
USD | 2,504 | 2,691,800 | |||||||||
|
2.75%, 04/15/25 |
EUR | 439 | 519,842 | |||||||||
|
Telecom Italia SpA/Milano,
|
100 | 119,935 | ||||||||||
|
Telesat Canada/Telesat LLC, 4.88%, 06/01/27(d) |
USD | 1,827 | 1,858,973 | |||||||||
|
|
|
|||||||||||
| 52,116,101 | ||||||||||||
| Electric Utilities — 0.3% | ||||||||||||
|
EDP — Energias de Portugal SA(5 year EUR Swap + 4.29%), 4.50%, 04/30/79(h) |
EUR | 100 | 125,350 | |||||||||
|
NextEra Energy Operating Partners LP(d): |
||||||||||||
|
4.25%, 07/15/24 |
USD | 3,007 | 3,131,039 | |||||||||
|
4.25%, 09/15/24 |
617 | 641,680 | ||||||||||
|
4.50%, 09/15/27 |
547 | 570,247 | ||||||||||
|
Talen Energy Supply LLC: |
||||||||||||
|
6.50%, 06/01/25 |
294 | 250,908 | ||||||||||
|
10.50%, 01/15/26(d) |
294 | 279,668 | ||||||||||
|
|
|
|||||||||||
| 4,998,892 | ||||||||||||
| SCHEDULES OF INVESTMENTS | 51 |
|
Consolidated Schedule of Investments (continued) December 31, 2019 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
|
Par
(000) |
Value | |||||||||||
| Electronic Equipment, Instruments & Components — 0.5% | ||||||||||||
|
Belden, Inc., 3.88%, 03/15/28 |
EUR | 100 | $ | 119,180 | ||||||||
|
CDW LLC/CDW Finance Corp.: |
||||||||||||
|
5.50%, 12/01/24 |
USD | 5,622 | 6,240,420 | |||||||||
|
5.00%, 09/01/25 |
714 | 746,130 | ||||||||||
|
4.25%, 04/01/28 |
592 | 620,860 | ||||||||||
|
Itron, Inc., 5.00%, 01/15/26(d) |
231 | 239,374 | ||||||||||
|
|
|
|||||||||||
| 7,965,964 | ||||||||||||
| Energy Equipment & Services — 0.9% | ||||||||||||
|
Apergy Corp., 6.38%, 05/01/26 |
1,109 | 1,169,995 | ||||||||||
|
Archrock Partners LP/Archrock Partners Finance Corp., 6.88%, 04/01/27(d) |
932 | 985,590 | ||||||||||
|
Gates Global LLC/Gates Global Co., 6.25%, 01/15/26(d) |
1,305 | 1,327,459 | ||||||||||
|
Pattern Energy Group, Inc., 5.88%, 02/01/24(d) |
935 | 961,881 | ||||||||||
|
Transocean, Inc.: |
||||||||||||
|
8.38%, 12/15/21 |
275 | 281,875 | ||||||||||
|
9.00%, 07/15/23(d) |
4,287 | 4,528,144 | ||||||||||
|
USA Compression Partners LP/USA Compression Finance Corp.: |
||||||||||||
|
6.88%, 04/01/26 |
1,837 | 1,928,850 | ||||||||||
|
6.88%, 09/01/27 |
1,624 | 1,691,558 | ||||||||||
|
|
|
|||||||||||
| 12,875,352 | ||||||||||||
| Environmental, Maintenance, & Security Service — 0.6% | ||||||||||||
|
GFL Environmental,
Inc.,
|
5,699 | 6,020,423 | ||||||||||
|
Tervita Corp., 7.63%, 12/01/21(d) |
2,775 | 2,792,344 | ||||||||||
|
|
|
|||||||||||
| 8,812,767 | ||||||||||||
| Equity Real Estate Investment Trusts (REITs) — 3.5% | ||||||||||||
|
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 5.75%, 05/15/26(d) |
1,758 | 1,854,690 | ||||||||||
|
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(d) |
2,131 | 2,146,578 | ||||||||||
|
GLP Capital LP/GLP Financing II, Inc., 5.38%, 04/15/26 |
602 | 665,451 | ||||||||||
|
Hilton Domestic Operating Co., Inc.,
|
2,468 | 2,514,275 | ||||||||||
|
Iron Mountain, Inc.(d): |
||||||||||||
|
4.88%, 09/15/27 |
1,763 | 1,820,297 | ||||||||||
|
4.88%, 09/15/29 |
1,960 | 1,990,968 | ||||||||||
|
iStar, Inc., 5.25%, 09/15/22 |
596 | 611,645 | ||||||||||
|
Marriott Ownership Resorts, Inc./ILG LLC, 6.50%, 09/15/26 |
386 | 420,258 | ||||||||||
|
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.: |
||||||||||||
|
5.63%, 05/01/24 |
8,108 | 8,868,044 | ||||||||||
|
4.50%, 09/01/26 |
2,274 | 2,393,385 | ||||||||||
|
5.75%, 02/01/27(d) |
117 | 130,455 | ||||||||||
|
4.50%, 01/15/28 |
1,964 | 2,047,470 | ||||||||||
|
MPT Operating Partnership LP/MPT Finance Corp.: |
||||||||||||
|
5.50%, 05/01/24 |
271 | 278,114 | ||||||||||
|
5.00%, 10/15/27 |
4,828 | 5,117,680 | ||||||||||
|
4.63%, 08/01/29 |
3,215 | 3,311,450 | ||||||||||
|
Ryman Hospitality Properties, Inc., 4.75%, 10/15/27(d) |
3,261 | 3,366,982 | ||||||||||
|
SBA Communications Corp., 4.88%, 09/01/24 |
6,011 | 6,236,412 | ||||||||||
|
Starwood Property Trust, Inc., 5.00%, 12/15/21 |
1,695 | 1,758,563 | ||||||||||
|
Par
(000) |
Value | |||||||||||
| Equity Real Estate Investment Trusts (REITs) (continued) | ||||||||||||
|
VICI Properties LP/VICI Note Co., Inc., 4.63%, 12/01/29(d) |
USD | 5,198 | $ | 5,418,915 | ||||||||
|
|
|
|||||||||||
| 50,951,632 | ||||||||||||
| Equity Real Estate Investment Trusts (REITs) — 0.1% | ||||||||||||
|
GLP Capital LP/GLP Financing II, Inc., 5.25%, 06/01/25 |
1,008 | 1,106,381 | ||||||||||
|
|
|
|||||||||||
| Food & Staples Retailing — 0.7% | ||||||||||||
|
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertson’s LLC: |
||||||||||||
|
6.63%, 06/15/24 |
285 | 298,298 | ||||||||||
|
5.75%, 03/15/25 |
606 | 627,210 | ||||||||||
|
4.63%, 01/15/27(d) |
2,237 | 2,234,315 | ||||||||||
|
5.88%, 02/15/28(d) |
3,694 | 3,924,875 | ||||||||||
|
Casino Guichard Perrachon SA, 3.58%, 02/07/25 |
EUR | 100 | 96,186 | |||||||||
|
Distribuidora Internacional de Alimentacion SA, 1.00%, 04/28/21 |
300 | 288,557 | ||||||||||
|
Iceland Bondco PLC, 4.63%, 03/15/25 |
GBP | 100 | 115,418 | |||||||||
|
Nomad Foods Bondco PLC,
|
EUR | 100 | 114,952 | |||||||||
|
Ocado Group PLC, 0.88%, 12/09/25(k) |
GBP | 100 | 134,871 | |||||||||
|
Picard Groupe SAS(3 mo. Euribor + 3.00%), 3.00%, 11/30/23(e) |
EUR | 100 | 109,927 | |||||||||
|
Post Holdings, Inc., 5.50%, 12/15/29(d) |
USD | 1,937 | 2,065,423 | |||||||||
|
Premier Foods Finance PLC, 6.25%, 10/15/23 |
GBP | 100 | 138,712 | |||||||||
|
Quatrim SASU, 5.88%, 01/15/24 |
EUR | 100 | 118,199 | |||||||||
|
Sigma Holdco BV, 7.88%, 05/15/26(d) |
USD | 300 | 300,015 | |||||||||
|
|
|
|||||||||||
| 10,566,958 | ||||||||||||
| Food Products — 2.4% | ||||||||||||
|
Aramark Services, Inc.: |
||||||||||||
|
5.00%, 04/01/25(d) |
148 | 154,290 | ||||||||||
|
4.75%, 06/01/26 |
140 | 145,600 | ||||||||||
|
5.00%, 02/01/28(d) |
5,467 | 5,760,851 | ||||||||||
|
Chobani LLC/Chobani Finance Corp., Inc., 7.50%, 04/15/25(d) |
2,258 | 2,269,290 | ||||||||||
|
Darling Ingredients,
Inc.,
|
1,742 | 1,853,053 | ||||||||||
|
Graphic Packaging International LLC, 4.75%, 07/15/27(d) |
574 | 614,180 | ||||||||||
|
JBS USA LUX SA/JBS USA Finance, Inc.(d): |
||||||||||||
|
5.88%, 07/15/24 |
1,419 | 1,459,356 | ||||||||||
|
5.75%, 06/15/25 |
5,571 | 5,772,949 | ||||||||||
|
6.75%, 02/15/28 |
1,924 | 2,127,824 | ||||||||||
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.(d): |
||||||||||||
|
6.50%, 04/15/29 |
4,690 | 5,211,903 | ||||||||||
|
5.50%, 01/15/30 |
3,115 | 3,345,821 | ||||||||||
|
Performance Food Group, Inc., 5.50%, 10/15/27(d) |
1,545 | 1,651,219 | ||||||||||
|
Post Holdings, Inc.(d): |
||||||||||||
|
5.50%, 03/01/25 |
2,014 | 2,109,665 | ||||||||||
|
5.75%, 03/01/27 |
207 | 222,008 | ||||||||||
|
5.63%, 01/15/28 |
484 | 521,510 | ||||||||||
|
Simmons Foods, Inc., 7.75%, 01/15/24(d) |
1,306 | 1,407,215 | ||||||||||
|
|
|
|||||||||||
| 34,626,734 | ||||||||||||
| Health Care Equipment & Supplies — 2.3% | ||||||||||||
|
Avantor, Inc.: |
||||||||||||
|
4.75%, 10/01/24 |
EUR | 126 | 150,344 | |||||||||
|
6.00%, 10/01/24(d) |
USD | 9,338 | 9,956,456 | |||||||||
|
9.00%, 10/01/25(d) |
7,516 | 8,399,355 | ||||||||||
| 52 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Consolidated Schedule of Investments (continued) December 31, 2019 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
|
Par
(000) |
Value | |||||||||||
| Health Care Equipment & Supplies (continued) | ||||||||||||
|
Hill-Rom Holdings, Inc.,
|
USD | 562 | $ | 578,158 | ||||||||
|
Hologic, Inc.(d): |
||||||||||||
|
4.38%, 10/15/25 |
344 | 355,180 | ||||||||||
|
4.63%, 02/01/28 |
714 | 756,840 | ||||||||||
|
Immucor, Inc., 11.13%, 02/15/22(d) |
1,380 | 1,376,550 | ||||||||||
|
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA, 6.63%, 05/15/22(d) |
10,433 | 10,367,794 | ||||||||||
|
Teleflex, Inc.: |
||||||||||||
|
4.88%, 06/01/26 |
826 | 863,170 | ||||||||||
|
4.63%, 11/15/27 |
214 | 226,799 | ||||||||||
|
|
|
|||||||||||
| 33,030,646 | ||||||||||||
| Health Care Providers & Services — 6.8% | ||||||||||||
|
Acadia Healthcare Co., Inc.,
|
782 | 787,865 | ||||||||||
|
AHP Health Partners,
Inc.,
|
1,346 | 1,478,918 | ||||||||||
|
Centene Corp.(d): |
||||||||||||
|
5.38%, 06/01/26 |
2,063 | 2,189,359 | ||||||||||
|
4.25%, 12/15/27 |
3,419 | 3,517,296 | ||||||||||
|
4.63%, 12/15/29 |
8,978 | 9,439,020 | ||||||||||
|
CHS/Community Health Systems, Inc.(d): |
||||||||||||
|
8.63%, 01/15/24 |
3,585 | 3,800,100 | ||||||||||
|
8.00%, 03/15/26 |
5,172 | 5,327,160 | ||||||||||
|
Eagle Holding Co. II LLC, (7.63% Cash or 8.38% PIK), 7.63%, 05/15/22(d)(f) |
601 | 610,460 | ||||||||||
|
Encompass Health Corp.,
|
682 | 689,673 | ||||||||||
|
Envision Healthcare
Crop.,
|
1,158 | 717,960 | ||||||||||
|
HCA, Inc.: |
||||||||||||
|
5.38%, 02/01/25 |
2,604 | 2,879,581 | ||||||||||
|
5.88%, 02/15/26 |
142 | 161,472 | ||||||||||
|
5.38%, 09/01/26 |
2,391 | 2,662,976 | ||||||||||
|
5.63%, 09/01/28 |
5,155 | 5,874,638 | ||||||||||
|
5.88%, 02/01/29 |
4,548 | 5,258,625 | ||||||||||
|
MEDNAX, Inc., 5.25%, 12/01/23(d) |
933 | 953,993 | ||||||||||
|
Molina Healthcare, Inc.: |
||||||||||||
|
5.38%, 11/15/22 |
774 | 822,747 | ||||||||||
|
4.88%, 06/15/25(d) |
1,466 | 1,506,315 | ||||||||||
|
MPH Acquisition Holdings LLC, 7.13%, 06/01/24(d) |
4,556 | 4,407,930 | ||||||||||
|
NVA Holdings, Inc., 6.88%, 04/01/26(d) |
1,005 | 1,086,656 | ||||||||||
|
Polaris Intermediate Corp., (8.50% Cash), 8.50%, 12/01/22(d)(f) |
2,406 | 2,240,148 | ||||||||||
|
Regional Care Hospital Partners Holdings, Inc., 8.25%, 05/01/23(d) |
3,351 | 3,543,682 | ||||||||||
|
Surgery Center Holdings, Inc.(d): |
||||||||||||
|
6.75%, 07/01/25 |
1,193 | 1,193,000 | ||||||||||
|
10.00%, 04/15/27 |
2,771 | 3,041,172 | ||||||||||
|
Tenet Healthcare Corp.: |
||||||||||||
|
8.13%, 04/01/22 |
4,717 | 5,218,181 | ||||||||||
|
4.63%, 07/15/24 |
4,241 | 4,341,724 | ||||||||||
|
4.63%, 09/01/24(d) |
2,078 | 2,166,523 | ||||||||||
|
4.88%, 01/01/26(d) |
8,318 | 8,712,273 | ||||||||||
|
6.25%, 02/01/27(d) |
1,778 | 1,913,573 | ||||||||||
|
5.13%, 11/01/27(d) |
5,463 | 5,770,294 | ||||||||||
|
Vizient, Inc., 6.25%, 05/15/27(d) |
2,585 | 2,765,950 | ||||||||||
|
WellCare Health Plans, Inc.: |
||||||||||||
|
5.25%, 04/01/25 |
1,404 | 1,460,160 | ||||||||||
|
5.38%, 08/15/26(d) |
2,015 | 2,145,975 | ||||||||||
|
|
|
|||||||||||
| 98,685,399 | ||||||||||||
|
Par
(000) |
Value | |||||||||||
| Health Care Technology — 0.7% | ||||||||||||
|
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25(d) |
USD | 4,444 | $ | 4,566,210 | ||||||||
|
IQVIA, Inc.: |
||||||||||||
|
3.25%, 03/15/25 |
EUR | 1,000 | 1,144,008 | |||||||||
|
3.25%, 03/15/25(d) |
100 | 114,401 | ||||||||||
|
5.00%, 10/15/26(d) |
USD | 1,504 | 1,586,720 | |||||||||
|
5.00%, 05/15/27(d) |
2,482 | 2,625,596 | ||||||||||
|
|
|
|||||||||||
| 10,036,935 | ||||||||||||
| Hotels, Restaurants & Leisure — 6.4% | ||||||||||||
|
1011778 BC ULC/New Red Finance, Inc.(d): |
||||||||||||
|
4.25%, 05/15/24 |
1,311 | 1,343,775 | ||||||||||
|
5.00%, 10/15/25 |
8,040 | 8,301,300 | ||||||||||
|
3.88%, 01/15/28 |
2,398 | 2,403,995 | ||||||||||
|
4.38%, 01/15/28 |
1,701 | 1,705,253 | ||||||||||
|
Boyne USA, Inc., 7.25%, 05/01/25(d) |
1,014 | 1,102,725 | ||||||||||
|
Cedar Fair LP, 5.25%, 07/15/29(d) |
1,687 | 1,817,743 | ||||||||||
|
Churchill Downs, Inc.(d): |
||||||||||||
|
5.50%, 04/01/27 |
5,108 | 5,414,480 | ||||||||||
|
4.75%, 01/15/28 |
1,464 | 1,511,580 | ||||||||||
|
Cirsa Finance International Sarl, 7.88%, 12/20/23(d) |
200 | 211,434 | ||||||||||
|
Codere Finance 2 Luxembourg SA, 7.63%, 11/01/21(d) |
200 | 181,776 | ||||||||||
|
CPUK Finance Ltd., 4.25%, 08/28/22 |
GBP | 174 | 234,101 | |||||||||
|
Eldorado Resorts, Inc.: |
||||||||||||
|
6.00%, 04/01/25 |
USD | 812 | 852,600 | |||||||||
|
6.00%, 09/15/26 |
717 | 789,596 | ||||||||||
|
Golden Nugget, Inc., 6.75%, 10/15/24(d) |
7,472 | 7,733,520 | ||||||||||
|
Hilton Domestic Operating Co., Inc.: |
||||||||||||
|
5.13%, 05/01/26 |
1,114 | 1,172,485 | ||||||||||
|
4.88%, 01/15/30 |
6,327 | 6,702,855 | ||||||||||
|
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.: |
||||||||||||
|
4.63%, 04/01/25 |
350 | 359,625 | ||||||||||
|
4.88%, 04/01/27 |
529 | 562,063 | ||||||||||
|
International Game Technology PLC, 3.50%, 06/15/26 |
EUR | 115 | 137,380 | |||||||||
|
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC(d): |
||||||||||||
|
5.00%, 06/01/24 |
USD | 255 | 264,244 | |||||||||
|
5.25%, 06/01/26 |
1,878 | 1,981,290 | ||||||||||
|
4.75%, 06/01/27 |
790 | 831,475 | ||||||||||
|
LHMC Finco 2 Sarl, (7.25% Cash or 8.00% PIK), 7.25%, 10/02/25(f) |
EUR | 247 | 287,103 | |||||||||
|
Lions Gate Capital Holdings LLC(d): |
||||||||||||
|
6.38%, 02/01/24 |
USD | 147 | 153,618 | |||||||||
|
5.88%, 11/01/24 |
1,039 | 1,044,195 | ||||||||||
|
MGM Resorts International: |
||||||||||||
|
7.75%, 03/15/22 |
3,677 | 4,113,644 | ||||||||||
|
6.00%, 03/15/23 |
1,243 | 1,364,193 | ||||||||||
|
5.75%, 06/15/25 |
490 | 548,800 | ||||||||||
|
4.63%, 09/01/26 |
3,124 | 3,311,440 | ||||||||||
|
Motion Bondco DAC: |
||||||||||||
|
4.50%, 11/15/27 |
EUR | 100 | 117,722 | |||||||||
|
6.63%, 11/15/27(d) |
USD | 526 | 556,245 | |||||||||
|
Sabre GLBL, Inc.(d): |
||||||||||||
|
5.38%, 04/15/23 |
1,516 | 1,553,142 | ||||||||||
|
5.25%, 11/15/23 |
882 | 905,153 | ||||||||||
|
Scientific Games International, Inc.: |
||||||||||||
|
5.00%, 10/15/25(d) |
4,139 | 4,330,429 | ||||||||||
|
3.38%, 02/15/26 |
EUR | 800 | 928,588 | |||||||||
|
8.25%, 03/15/26(d) |
USD | 5,619 | 6,194,947 | |||||||||
| SCHEDULES OF INVESTMENTS | 53 |
|
Consolidated Schedule of Investments (continued) December 31, 2019 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
|
Par
(000) |
Value | |||||||||||
| Hotels, Restaurants & Leisure (continued) | ||||||||||||
|
7.00%, 05/15/28(d) |
USD | 1,541 | $ | 1,652,723 | ||||||||
|
7.25%, 11/15/29(d) |
1,522 | 1,651,370 | ||||||||||
|
Sisal Group SpA, 7.00%, 07/31/23 |
EUR | 69 | 79,816 | |||||||||
|
Six Flags Entertainment Corp.(d): |
||||||||||||
|
4.88%, 07/31/24 |
USD | 4,025 | 4,170,906 | |||||||||
|
5.50%, 04/15/27 |
1,506 | 1,605,773 | ||||||||||
|
Station Casinos LLC, 5.00%, 10/01/25(d) |
1,500 | 1,526,250 | ||||||||||
|
Stonegate Pub Co. Financing PLC(3 mo. LIBOR GBP + 6.25%), 7.05%, 03/15/22(e) |
GBP | 100 | 133,122 | |||||||||
|
Unique Pub Finance Co. PLC, Series N, 6.46%, 03/30/32 |
500 | 841,156 | ||||||||||
|
William Hill PLC, 4.75%, 05/01/26 |
200 | 274,246 | ||||||||||
|
Wyndham Destinations, Inc.: |
||||||||||||
|
5.40%, 04/01/24 |
USD | 100 | 105,875 | |||||||||
|
5.75%, 04/01/27 |
306 | 332,010 | ||||||||||
|
Wyndham Hotels & Resorts, Inc., 5.38%, 04/15/26(d) |
527 | 555,985 | ||||||||||
|
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27(d) |
2,033 | 2,160,062 | ||||||||||
|
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29(d) |
2,980 | 3,196,050 | ||||||||||
|
Yum! Brands, Inc.: |
||||||||||||
|
3.88%, 11/01/23 |
721 | 742,630 | ||||||||||
|
4.75%, 01/15/30(d) |
2,342 | 2,453,245 | ||||||||||
|
5.35%, 11/01/43 |
30 | 29,700 | ||||||||||
|
|
|
|||||||||||
| 92,535,433 | ||||||||||||
| Household Durables — 1.3% | ||||||||||||
|
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.25%, 09/15/27(d) |
1,351 | 1,425,305 | ||||||||||
|
Installed Building Products, Inc., 5.75%, 02/01/28(d) |
723 | 772,706 | ||||||||||
|
Lennar Corp.: |
||||||||||||
|
6.63%, 05/01/20 |
1,160 | 1,175,950 | ||||||||||
|
8.38%, 01/15/21 |
2,810 | 2,971,575 | ||||||||||
|
4.88%, 12/15/23 |
968 | 1,035,760 | ||||||||||
|
5.25%, 06/01/26 |
302 | 330,690 | ||||||||||
|
4.75%, 11/29/27 |
2,510 | 2,704,525 | ||||||||||
|
Mattamy Group Corp., 5.25%, 12/15/27(d) |
830 | 863,200 | ||||||||||
|
MDC Holdings, Inc., 6.00%, 01/15/43 |
716 | 744,640 | ||||||||||
|
Meritage Homes Corp., 5.13%, 06/06/27 |
286 | 305,305 | ||||||||||
|
PulteGroup, Inc., 6.38%, 05/15/33 |
2,805 | 3,274,837 | ||||||||||
|
Taylor Morrison Communities, Inc., 5.88%, 06/15/27(d) |
1,505 | 1,655,500 | ||||||||||
|
Tempur Sealy International, Inc., 5.50%, 06/15/26 |
822 | 866,183 | ||||||||||
|
TRI Pointe Group, Inc., 4.88%, 07/01/21 |
292 | 299,300 | ||||||||||
|
|
|
|||||||||||
| 18,425,476 | ||||||||||||
| Household Products — 0.1% | ||||||||||||
|
Energizer Holdings, Inc.(d): |
||||||||||||
|
6.38%, 07/15/26 |
365 | 388,725 | ||||||||||
|
7.75%, 01/15/27 |
1,584 | 1,770,199 | ||||||||||
|
|
|
|||||||||||
| 2,158,924 | ||||||||||||
| Independent Power and Renewable Electricity Producers — 2.8% | ||||||||||||
|
Calpine Corp.: |
||||||||||||
|
5.50%, 02/01/24 |
420 | 426,300 | ||||||||||
|
5.75%, 01/15/25 |
4,264 | 4,375,930 | ||||||||||
|
5.25%, 06/01/26(d) |
3,154 | 3,284,102 | ||||||||||
|
4.50%, 02/15/28(d) |
3,458 | 3,488,672 | ||||||||||
|
5.13%, 03/15/28(d) |
8,079 | 8,246,235 | ||||||||||
| 54 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Consolidated Schedule of Investments (continued) December 31, 2019 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
|
Par
(000) |
Value | |||||||||||
| IT Services — 1.9% | ||||||||||||
|
Banff Merger Sub, Inc.: |
||||||||||||
|
8.38%, 09/01/26 |
EUR | 200 | $ | 211,764 | ||||||||
|
9.75%, 09/01/26(d) |
USD | 10,692 | 10,825,650 | |||||||||
|
Camelot Finance SA, 4.50%, 11/01/26(d) |
3,771 | 3,874,703 | ||||||||||
|
Fair Isaac Corp., 4.00%, 06/15/28(d) |
915 | 921,863 | ||||||||||
|
Gartner, Inc., 5.13%, 04/01/25(d) |
1,176 | 1,224,510 | ||||||||||
|
InterXion Holding NV, 4.75%, 06/15/25 |
EUR | 164 | 198,675 | |||||||||
|
Nexi SpA, 1.75%, 10/31/24 |
140 | 161,370 | ||||||||||
|
Outfront Media Capital LLC/Outfront Media Capital Corp.(d): |
||||||||||||
|
5.00%, 08/15/27 |
USD | 3,738 | 3,915,555 | |||||||||
|
4.63%, 03/15/30 |
1,117 | 1,136,548 | ||||||||||
|
WEX, Inc., 4.75%, 02/01/23(d) |
3,891 | 3,920,182 | ||||||||||
|
Xerox Corp., 4.80%, 03/01/35 |
1,375 | 1,268,616 | ||||||||||
|
|
|
|||||||||||
| 27,659,436 | ||||||||||||
| Leisure Products — 0.5% | ||||||||||||
|
Mattel, Inc.(d): |
||||||||||||
|
6.75%, 12/31/25 |
4,430 | 4,761,364 | ||||||||||
|
5.88%, 12/15/27 |
1,700 | 1,791,375 | ||||||||||
|
|
|
|||||||||||
| 6,552,739 | ||||||||||||
| Machinery — 1.4% | ||||||||||||
|
Capitol Investment Merger Sub 2 LLC, 10.00%, 08/01/24(d) |
1,139 | 1,181,712 | ||||||||||
|
Colfax Corp.(d): |
||||||||||||
|
6.00%, 02/15/24 |
2,626 | 2,790,125 | ||||||||||
|
6.38%, 02/15/26 |
1,416 | 1,543,440 | ||||||||||
|
EnPro Industries, Inc., 5.75%, 10/15/26 |
2,192 | 2,334,480 | ||||||||||
|
Manitowoc Co., Inc., 9.00%, 04/01/26(d) |
764 | 800,290 | ||||||||||
|
Mueller Water Products, Inc., 5.50%, 06/15/26(d) |
1,246 | 1,312,972 | ||||||||||
|
Platin 1426 GmbH, 5.38%, 06/15/23 |
EUR | 158 | 178,487 | |||||||||
|
SPX FLOW, Inc.(d): |
||||||||||||
|
5.63%, 08/15/24 |
USD | 727 | 756,989 | |||||||||
|
5.88%, 08/15/26 |
623 | 658,823 | ||||||||||
|
Terex Corp., 5.63%, 02/01/25(d) |
2,154 | 2,224,005 | ||||||||||
|
Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26(d) |
4,467 | 4,422,330 | ||||||||||
|
Wabash National
Corp.,
|
2,154 | 2,154,000 | ||||||||||
|
|
|
|||||||||||
| 20,357,653 | ||||||||||||
| Media — 13.8% | ||||||||||||
|
Altice Financing SA(d): |
||||||||||||
|
6.63%, 02/15/23 |
3,538 | 3,599,915 | ||||||||||
|
7.50%, 05/15/26 |
4,703 | 5,055,725 | ||||||||||
|
Altice Finco SA: |
||||||||||||
|
7.63%, 02/15/25(d) |
270 | 279,450 | ||||||||||
|
4.75%, 01/15/28 |
EUR | 100 | 113,180 | |||||||||
|
Altice France SA: |
||||||||||||
|
2.50%, 01/15/25 |
169 | 191,719 | ||||||||||
|
7.38%, 05/01/26(d) |
USD | 8,792 | 9,439,443 | |||||||||
|
5.88%, 02/01/27 |
EUR | 300 | 378,574 | |||||||||
|
8.13%, 02/01/27(d) |
USD | 5,777 | 6,506,346 | |||||||||
|
3.38%, 01/15/28 |
EUR | 140 | 161,749 | |||||||||
|
Altice Luxembourg SA: |
||||||||||||
|
7.63%, 02/15/25(d) |
USD | 1,992 | 2,069,190 | |||||||||
|
8.00%, 05/15/27 |
EUR | 300 | 376,891 | |||||||||
|
10.50%, 05/15/27(d) |
USD | 6,819 | 7,774,001 | |||||||||
|
AMC Networks, Inc.: |
||||||||||||
|
5.00%, 04/01/24 |
140 | 142,800 | ||||||||||
|
4.75%, 08/01/25 |
1,813 | 1,819,799 | ||||||||||
|
Block Communications, Inc., 6.88%, 02/15/25(d) |
685 | 710,688 | ||||||||||
|
Par
(000) |
Value | |||||||||||
| Media (continued) | ||||||||||||
|
CCO Holdings LLC/CCO Holdings Capital Corp.(d): |
||||||||||||
|
4.00%, 03/01/23 |
USD | 1,937 | $ | 1,963,634 | ||||||||
|
5.13%, 05/01/27 |
10,501 | 11,078,555 | ||||||||||
|
5.88%, 05/01/27 |
142 | 150,165 | ||||||||||
|
5.00%, 02/01/28 |
262 | 274,922 | ||||||||||
|
5.38%, 06/01/29 |
7,827 | 8,374,890 | ||||||||||
|
4.75%, 03/01/30 |
2,199 | 2,238,648 | ||||||||||
|
Clear Channel Worldwide Holdings, Inc.(d): |
||||||||||||
|
9.25%, 02/15/24 |
6,160 | 6,822,200 | ||||||||||
|
5.13%, 08/15/27 |
10,806 | 11,252,288 | ||||||||||
|
Connect Finco Sarl/Connect US Finco LLC, 6.75%, 10/01/26(d) |
8,486 | 9,037,590 | ||||||||||
|
CSC Holdings LLC: |
||||||||||||
|
5.38%, 07/15/23(d) |
5,009 | 5,134,225 | ||||||||||
|
5.25%, 06/01/24 |
3,213 | 3,462,007 | ||||||||||
|
7.75%, 07/15/25(d) |
1,484 | 1,582,256 | ||||||||||
|
6.63%, 10/15/25(d) |
892 | 948,865 | ||||||||||
|
10.88%, 10/15/25(d) |
11,138 | 12,446,715 | ||||||||||
|
5.50%, 05/15/26(d) |
2,620 | 2,773,899 | ||||||||||
|
5.38%, 02/01/28(d) |
1,000 | 1,066,250 | ||||||||||
|
6.50%, 02/01/29(d) |
1,389 | 1,548,735 | ||||||||||
|
5.75%, 01/15/30(d) |
4,148 | 4,427,990 | ||||||||||
|
Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 08/15/26(d) |
3,666 | 3,708,350 | ||||||||||
|
DISH DBS Corp.: |
||||||||||||
|
6.75%, 06/01/21 |
2,590 | 2,725,845 | ||||||||||
|
5.88%, 07/15/22 |
4,962 | 5,259,720 | ||||||||||
|
5.00%, 03/15/23 |
1,948 | 1,998,356 | ||||||||||
|
5.88%, 11/15/24 |
3,333 | 3,405,909 | ||||||||||
|
Entercom Media Corp., 6.50%, 05/01/27(d) |
2,322 | 2,484,540 | ||||||||||
|
Entertainment One Ltd., 4.63%, 07/15/26 |
GBP | 191 | 273,203 | |||||||||
|
Hughes Satellite Systems Corp., 5.25%, 08/01/26 |
USD | 916 | 1,005,310 | |||||||||
|
iHeartCommunications, Inc.: |
||||||||||||
|
6.38%, 05/01/26 |
1,042 | 1,130,776 | ||||||||||
|
5.25%, 08/15/27(d) |
913 | 955,272 | ||||||||||
|
4.75%, 01/15/28(d) |
442 | 453,050 | ||||||||||
|
Intelsat Jackson Holdings SA: |
||||||||||||
|
5.50%, 08/01/23 |
2,571 | 2,208,592 | ||||||||||
|
9.75%, 07/15/25(d) |
5,210 | 4,819,250 | ||||||||||
|
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(d) |
2,000 | 2,120,000 | ||||||||||
|
Live Nation Entertainment, Inc., 4.75%, 10/15/27(d) |
1,143 | 1,183,005 | ||||||||||
|
Meredith Corp., 6.88%, 02/01/26 |
382 | 397,165 | ||||||||||
|
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27(d) |
972 | 1,027,890 | ||||||||||
|
Qualitytech LP/QTS Finance Corp., 4.75%, 11/15/25(d) |
1,450 | 1,502,562 | ||||||||||
|
Radiate Holdco LLC/Radiate Finance, Inc., 6.63%, 02/15/25(d) |
1,435 | 1,449,350 | ||||||||||
|
Sable International Finance Ltd., 5.75%, 09/07/27(d) |
600 | 636,000 | ||||||||||
|
SES SA(5 year EUR Swap + 5.40%), 5.63%(h)(i) |
EUR | 200 | 251,261 | |||||||||
|
Sirius XM Radio, Inc.(d): |
||||||||||||
|
4.63%, 05/15/23 |
USD | 230 | 233,450 | |||||||||
|
4.63%, 07/15/24 |
953 | 1,000,650 | ||||||||||
|
5.00%, 08/01/27 |
1,904 | 2,008,720 | ||||||||||
|
5.50%, 07/01/29 |
4,498 | 4,863,418 | ||||||||||
|
Summer BC Holdco A Sarl,
|
EUR | 200 | 229,500 | |||||||||
| SCHEDULES OF INVESTMENTS | 55 |
|
Consolidated Schedule of Investments (continued) December 31, 2019 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
|
Par
(000) |
Value | |||||||||||
| Media (continued) | ||||||||||||
|
Summer BidCo BV, (9.0% Cash or 9.75% PIK), 9.00%, 11/15/25(f) |
EUR | 175 | $ | 209,280 | ||||||||
|
TEGNA, Inc., 5.50%, 09/15/24(d) |
USD | 344 | 356,040 | |||||||||
|
Telenet Finance Luxembourg Notes Sarl, 5.50%, 03/01/28(d) |
2,400 | 2,562,000 | ||||||||||
|
Terrier Media Buyer,
Inc.,
|
2,910 | 3,077,325 | ||||||||||
|
United Group BV, 4.88%, 07/01/24 |
EUR | 299 | 349,642 | |||||||||
|
Univision Communications, Inc.(d): |
||||||||||||
|
5.13%, 05/15/23 |
USD | 2,007 | 2,001,982 | |||||||||
|
5.13%, 02/15/25 |
1,200 | 1,186,500 | ||||||||||
|
UPC Holding BV, 3.88%, 06/15/29 |
EUR | 100 | 117,200 | |||||||||
|
UPCB Finance VII Ltd., 3.63%, 06/15/29 |
160 | 190,438 | ||||||||||
|
Videotron Ltd., 5.13%, 04/15/27(d) |
USD | 2,383 | 2,549,810 | |||||||||
|
Virgin Media Finance PLC, 5.75%, 01/15/25(d) |
4,988 | 5,131,405 | ||||||||||
|
Virgin Media Secured Finance PLC: |
||||||||||||
|
5.00%, 04/15/27 |
GBP | 200 | 280,153 | |||||||||
|
6.25%, 03/28/29 |
360 | 507,832 | ||||||||||
|
5.50%, 05/15/29(d) |
USD | 3,476 | 3,680,215 | |||||||||
|
Ziggo Bond Co. BV: |
||||||||||||
|
4.63%, 01/15/25 |
EUR | 100 | 114,974 | |||||||||
|
5.88%, 01/15/25(d) |
USD | 2,643 | 2,723,955 | |||||||||
|
6.00%, 01/15/27(d) |
640 | 675,200 | ||||||||||
|
Ziggo BV: |
||||||||||||
|
4.25%, 01/15/27 |
EUR | 257 | 310,258 | |||||||||
|
5.50%, 01/15/27(d) |
USD | 2,575 | 2,735,937 | |||||||||
|
2.88%, 01/15/30 |
EUR | 106 | 123,567 | |||||||||
|
4.88%, 01/15/30(d) |
USD | 1,250 | 1,290,388 | |||||||||
|
|
|
|||||||||||
| 200,708,549 | ||||||||||||
| Metals & Mining — 3.7% | ||||||||||||
|
Allegheny Technologies, Inc., 5.88%, 12/01/27 |
1,524 | 1,600,200 | ||||||||||
|
ArcelorMittal SA, 1.75%, 11/19/25 |
EUR | 100 | 113,738 | |||||||||
|
Big River Steel LLC/BRS Finance Corp., 7.25%, 09/01/25(d) |
USD | 1,823 | 1,923,265 | |||||||||
|
CONSOL Energy,
Inc.,
|
2,852 | 2,429,562 | ||||||||||
|
Constellium SE(d): |
||||||||||||
|
5.75%, 05/15/24 |
1,060 | 1,089,150 | ||||||||||
|
6.63%, 03/01/25 |
941 | 976,382 | ||||||||||
|
5.88%, 02/15/26 |
5,703 | 6,030,922 | ||||||||||
|
Freeport-McMoRan, Inc.: |
||||||||||||
|
3.55%, 03/01/22 |
3,348 | 3,389,850 | ||||||||||
|
3.88%, 03/15/23 |
6,500 | 6,618,495 | ||||||||||
|
5.00%, 09/01/27 |
662 | 695,100 | ||||||||||
|
5.25%, 09/01/29 |
975 | 1,044,517 | ||||||||||
|
5.45%, 03/15/43 |
8,663 | 8,966,205 | ||||||||||
|
Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23(d) |
2,648 | 2,697,650 | ||||||||||
|
Joseph T Ryerson & Son, Inc., 11.00%, 05/15/22(d) |
791 | 834,505 | ||||||||||
|
Kaiser Aluminum
Corp.,
|
784 | 804,384 | ||||||||||
|
New Gold, Inc., 6.25%, 11/15/22(d) |
3,031 | 3,016,794 | ||||||||||
|
Novelis Corp.(d): |
||||||||||||
|
6.25%, 08/15/24 |
8,499 | 8,913,326 | ||||||||||
|
5.88%, 09/30/26 |
2,046 | 2,177,159 | ||||||||||
|
thyssenkrupp AG: |
||||||||||||
|
1.88%, 03/06/23 |
EUR | 127 | 142,768 | |||||||||
|
2.88%, 02/22/24 |
737 | 852,362 | ||||||||||
|
ThyssenKrupp AG, 2.50%, 02/25/25 |
1 | 1,141 | ||||||||||
|
|
|
|||||||||||
| 54,317,475 | ||||||||||||
|
Par
(000) |
Value | |||||||||||
| Multi-Utilities — 0.1% | ||||||||||||
|
Superior Plus LP/Superior General Partner, Inc., 7.00%, 07/15/26(d) |
USD | 1,963 | $ | 2,107,771 | ||||||||
|
|
|
|||||||||||
| Multiline Retail — 0.0% | ||||||||||||
|
Dufry One BV, 2.00%, 02/15/27 |
EUR | 194 | 220,504 | |||||||||
|
|
|
|||||||||||
| Offshore Drilling & Other Services — 0.1% | ||||||||||||
|
Entegris, Inc., 4.63%, 02/10/26(d) |
USD | 1,250 | 1,293,750 | |||||||||
|
|
|
|||||||||||
| Oil, Gas & Consumable Fuels — 9.6% | ||||||||||||
|
Aker BP ASA, 4.75%, 06/15/24(d) |
684 | 709,650 | ||||||||||
|
Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.38%, 09/15/24 |
385 | 357,088 | ||||||||||
|
Antero Resources Corp., 5.38%, 11/01/21 |
987 | 939,809 | ||||||||||
|
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.00%, 04/01/22(d) |
1,610 | 1,601,354 | ||||||||||
|
Berry Petroleum Co.
LLC,
|
1,058 | 979,973 | ||||||||||
|
Callon Petroleum Co.: |
||||||||||||
|
6.13%, 10/01/24 |
2,070 | 2,109,206 | ||||||||||
|
Series WI, 6.38%, 07/01/26 |
1,366 | 1,385,950 | ||||||||||
|
Carrizo Oil & Gas, Inc.: |
||||||||||||
|
6.25%, 04/15/23 |
1,952 | 1,980,987 | ||||||||||
|
8.25%, 07/15/25 |
739 | 755,628 | ||||||||||
|
Centennial Resource Production LLC, 6.88%, 04/01/27(d) |
1,284 | 1,335,360 | ||||||||||
|
Cheniere Energy Partners LP: |
||||||||||||
|
5.63%, 10/01/26 |
2,096 | 2,216,520 | ||||||||||
|
4.50%, 10/01/29(d) |
3,609 | 3,708,608 | ||||||||||
|
Series WI, 5.25%, 10/01/25 |
329 | 342,848 | ||||||||||
|
Chesapeake Energy Corp.: |
||||||||||||
|
6.63%, 08/15/20 |
958 | 948,420 | ||||||||||
|
4.88%, 04/15/22 |
5,001 | 3,950,790 | ||||||||||
|
5.75%, 03/15/23 |
1,548 | 1,047,810 | ||||||||||
|
11.50%, 01/01/25(d) |
3,309 | 3,127,005 | ||||||||||
|
CNX Resources Corp., 5.88%, 04/15/22 |
4,756 | 4,759,329 | ||||||||||
|
Comstock Resources, Inc.,
|
1,236 | 1,121,670 | ||||||||||
|
Covey Park Energy LLC/Covey Park Finance Corp., 7.50%, 05/15/25(d) |
1,724 | 1,482,640 | ||||||||||
|
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: |
||||||||||||
|
6.25%, 04/01/23 |
385 | 392,700 | ||||||||||
|
5.63%, 05/01/27(d) |
1,695 | 1,718,306 | ||||||||||
|
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(d) |
4,997 | 5,096,940 | ||||||||||
|
DCP Midstream Operating LP: |
||||||||||||
|
5.38%, 07/15/25 |
1,417 | 1,540,987 | ||||||||||
|
5.13%, 05/15/29 |
68 | 70,550 | ||||||||||
|
6.45%, 11/03/36(d) |
1,282 | 1,346,100 | ||||||||||
|
6.75%, 09/15/37(d) |
2,344 | 2,461,200 | ||||||||||
|
Denbury Resources, Inc.(d): |
||||||||||||
|
9.00%, 05/15/21 |
2,079 | 2,011,432 | ||||||||||
|
9.25%, 03/31/22 |
364 | 343,070 | ||||||||||
|
eG Global Finance PLC: |
||||||||||||
|
4.38%, 02/07/25 |
EUR | 133 | 149,186 | |||||||||
|
6.75%, 02/07/25(d) |
USD | 1,987 | 2,016,805 | |||||||||
|
6.25%, 10/30/25 |
EUR | 463 | 549,210 | |||||||||
|
8.50%, 10/30/25(d) |
USD | 1,386 | 1,470,892 | |||||||||
|
Endeavor Energy Resources LP/EER Finance, Inc.(d): |
||||||||||||
|
5.50%, 01/30/26 |
2,899 | 2,993,217 | ||||||||||
|
5.75%, 01/30/28 |
2,542 | 2,672,277 | ||||||||||
|
EnLink Midstream LLC, 5.38%, 06/01/29 |
474 | 445,560 | ||||||||||
| 56 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Consolidated Schedule of Investments (continued) December 31, 2019 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
|
Par
(000) |
Value | |||||||||||
| Oil, Gas & Consumable Fuels (continued) | ||||||||||||
|
EnLink Midstream Partners LP: |
||||||||||||
|
4.40%, 04/01/24 |
USD | 1,638 | $ | 1,589,024 | ||||||||
|
4.15%, 06/01/25 |
108 | 101,520 | ||||||||||
|
4.85%, 07/15/26 |
297 | 278,438 | ||||||||||
|
5.60%, 04/01/44 |
1,228 | 994,680 | ||||||||||
|
5.05%, 04/01/45 |
207 | 163,530 | ||||||||||
|
Extraction Oil & Gas, Inc.(d): |
||||||||||||
|
7.38%, 05/15/24 |
2,593 | 1,620,625 | ||||||||||
|
5.63%, 02/01/26 |
2,937 | 1,762,200 | ||||||||||
|
Genesis Energy LP/Genesis Energy Finance Corp.: |
||||||||||||
|
6.00%, 05/15/23 |
350 | 346,500 | ||||||||||
|
5.63%, 06/15/24 |
190 | 183,350 | ||||||||||
|
6.50%, 10/01/25 |
716 | 692,730 | ||||||||||
|
6.25%, 05/15/26 |
735 | 701,925 | ||||||||||
|
Great Western Petroleum LLC/Great Western Finance, Inc.,
|
1,813 | 1,620,369 | ||||||||||
|
Hess Midstream Operations LP, 5.63%, 02/15/26(d) |
1,075 | 1,118,951 | ||||||||||
|
Hess Midstream Partners LP, 5.13%, 06/15/28(d) |
862 | 872,775 | ||||||||||
|
Indigo Natural Resources LLC, 6.88%, 02/15/26(d) |
1,844 | 1,733,360 | ||||||||||
|
Ithaca Energy North Sea PLC, 9.38%, 07/15/24(d) |
200 | 209,000 | ||||||||||
|
Matador Resources Co., 5.88%, 09/15/26 |
2,271 | 2,276,677 | ||||||||||
|
MEG Energy Corp.(d): |
||||||||||||
|
6.38%, 01/30/23 |
1,443 | 1,446,607 | ||||||||||
|
7.00%, 03/31/24 |
338 | 340,113 | ||||||||||
|
6.50%, 01/15/25 |
4,133 | 4,298,733 | ||||||||||
|
Murphy Oil Corp.: |
||||||||||||
|
5.75%, 08/15/25 |
955 | 998,882 | ||||||||||
|
5.88%, 12/01/27 |
782 | 821,100 | ||||||||||
|
5.88%, 12/01/42 |
507 | 466,440 | ||||||||||
|
Nabors Industries, Inc.: |
||||||||||||
|
4.63%, 09/15/21 |
1,110 | 1,103,062 | ||||||||||
|
5.50%, 01/15/23 |
306 | 293,760 | ||||||||||
|
New Enterprise Stone & Lime Co., Inc., 6.25%, 03/15/26(d) |
480 | 502,800 | ||||||||||
|
NGPL PipeCo LLC, 7.77%, 12/15/37(d) |
1,640 | 2,117,540 | ||||||||||
|
Noble Holding International Ltd.: |
||||||||||||
|
7.75%, 01/15/24 |
113 | 58,704 | ||||||||||
|
7.88%, 02/01/26(d) |
1,277 | 925,825 | ||||||||||
|
NuStar Logistics LP, 6.00%, 06/01/26 |
931 | 984,532 | ||||||||||
|
Pacific Drilling SA, 8.38%, 10/01/23(d) |
3,608 | 3,292,300 | ||||||||||
|
Parkland Fuel Corp., 5.88%, 07/15/27(d) |
1,241 | 1,334,522 | ||||||||||
|
Parsley Energy LLC/Parsley Finance Corp.(d): |
||||||||||||
|
6.25%, 06/01/24 |
696 | 723,840 | ||||||||||
|
5.38%, 01/15/25 |
1,934 | 1,992,020 | ||||||||||
|
5.25%, 08/15/25 |
408 | 419,220 | ||||||||||
|
5.63%, 10/15/27 |
937 | 990,877 | ||||||||||
|
PBF Holding Co. LLC/PBF Finance Corp., 7.25%, 06/15/25 |
1,036 | 1,105,930 | ||||||||||
|
PDC Energy, Inc.: |
||||||||||||
|
1.13%, 09/15/21(k) |
40 | 37,558 | ||||||||||
|
6.13%, 09/15/24 |
263 | 266,288 | ||||||||||
|
5.75%, 05/15/26 |
957 | 954,608 | ||||||||||
|
QEP Resources, Inc.: |
||||||||||||
|
6.88%, 03/01/21 |
482 | 498,870 | ||||||||||
|
5.38%, 10/01/22 |
2,639 | 2,652,195 | ||||||||||
|
5.25%, 05/01/23 |
746 | 738,540 | ||||||||||
|
5.63%, 03/01/26 |
986 | 961,597 | ||||||||||
|
Par
(000) |
Value | |||||||||||
| Oil, Gas & Consumable Fuels (continued) | ||||||||||||
|
Range Resources Corp.: |
||||||||||||
|
5.75%, 06/01/21 |
USD | 1,230 | $ | 1,226,925 | ||||||||
|
5.88%, 07/01/22 |
611 | 606,418 | ||||||||||
|
5.00%, 08/15/22 |
845 | 828,100 | ||||||||||
|
Rowan Cos., Inc., 4.88%, 06/01/22 |
3,132 | 2,286,360 | ||||||||||
|
SM Energy Co.: |
||||||||||||
|
1.50%, 07/01/21(k) |
1,407 | 1,331,990 | ||||||||||
|
6.13%, 11/15/22 |
1,855 | 1,873,550 | ||||||||||
|
5.00%, 01/15/24 |
440 | 419,100 | ||||||||||
|
5.63%, 06/01/25 |
304 | 288,548 | ||||||||||
|
6.75%, 09/15/26 |
490 | 480,200 | ||||||||||
|
6.63%, 01/15/27 |
141 | 138,583 | ||||||||||
|
Southwestern Energy Co.: |
||||||||||||
|
6.20%, 01/23/25 |
115 | 105,478 | ||||||||||
|
7.75%, 10/01/27 |
173 | 160,233 | ||||||||||
|
SRC Energy, Inc., 6.25%, 12/01/25 |
298 | 300,235 | ||||||||||
|
Sunoco LP/Sunoco Finance Corp.: |
||||||||||||
|
6.00%, 04/15/27 |
791 | 844,393 | ||||||||||
|
Series WI, 4.88%, 01/15/23 |
1,170 | 1,196,348 | ||||||||||
|
Series WI, 5.50%, 02/15/26 |
200 | 207,500 | ||||||||||
|
Series WI, 5.88%, 03/15/28 |
808 | 857,938 | ||||||||||
|
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(d): |
||||||||||||
|
4.75%, 10/01/23 |
158 | 157,605 | ||||||||||
|
5.50%, 09/15/24 |
2,321 | 2,332,605 | ||||||||||
|
5.50%, 01/15/28 |
1,526 | 1,495,480 | ||||||||||
|
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: |
||||||||||||
|
4.25%, 11/15/23 |
637 | 643,370 | ||||||||||
|
5.13%, 02/01/25 |
245 | 254,188 | ||||||||||
|
5.88%, 04/15/26 |
1,406 | 1,493,875 | ||||||||||
|
5.38%, 02/01/27 |
188 | 195,050 | ||||||||||
|
6.50%, 07/15/27(d) |
2,173 | 2,379,435 | ||||||||||
|
5.00%, 01/15/28 |
2,359 | 2,406,180 | ||||||||||
|
6.88%, 01/15/29(d) |
3,479 | 3,861,690 | ||||||||||
|
5.50%, 03/01/30(d) |
1,992 | 2,046,780 | ||||||||||
|
Viper Energy Partners
LP,
|
753 | 783,120 | ||||||||||
|
WPX Energy, Inc.: |
||||||||||||
|
8.25%, 08/01/23 |
1,006 | 1,156,900 | ||||||||||
|
5.75%, 06/01/26 |
326 | 348,005 | ||||||||||
|
5.25%, 10/15/27 |
536 | 565,480 | ||||||||||
|
|
|
|||||||||||
| 140,002,856 | ||||||||||||
| Paper & Forest Products — 0.1% | ||||||||||||
|
Norbord, Inc., 6.25%, 04/15/23(d) |
1,566 | 1,675,620 | ||||||||||
|
WEPA Hygieneprodukte GMB: |
||||||||||||
|
(3 mo. Euribor + 2.88%), 2.88%, 12/15/26(e) |
EUR | 100 | 114,554 | |||||||||
|
2.88%, 12/15/27 |
172 | 199,482 | ||||||||||
|
|
|
|||||||||||
| 1,989,656 | ||||||||||||
| Personal Products — 0.0% | ||||||||||||
|
Coty, Inc.: |
||||||||||||
|
4.00%, 04/15/23 |
100 | 114,985 | ||||||||||
|
6.50%, 04/15/26(d) |
USD | 100 | 105,250 | |||||||||
|
|
|
|||||||||||
| 220,235 | ||||||||||||
| Pharmaceuticals — 4.8% | ||||||||||||
|
Bausch Health Americas, Inc.(d): |
||||||||||||
|
8.50%, 01/31/27 |
4,211 | 4,795,487 | ||||||||||
|
9.25%, 04/01/26 |
306 | 351,472 | ||||||||||
|
Bausch Health Cos., Inc.: |
||||||||||||
|
5.50%, 03/01/23(d) |
1,642 | 1,650,210 | ||||||||||
|
4.50%, 05/15/23 |
EUR | 2,715 | 3,083,483 | |||||||||
| SCHEDULES OF INVESTMENTS | 57 |
|
Consolidated Schedule of Investments (continued) December 31, 2019 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
|
Par
(000) |
Value | |||||||||||
| Pharmaceuticals (continued) | ||||||||||||
|
5.88%, 05/15/23(d) |
USD | 128 | $ | 129,120 | ||||||||
|
7.00%, 03/15/24(d) |
1,839 | 1,912,560 | ||||||||||
|
6.13%, 04/15/25(d) |
3,890 | 4,019,265 | ||||||||||
|
5.50%, 11/01/25(d) |
6,744 | 7,047,480 | ||||||||||
|
9.00%, 12/15/25(d) |
1,408 | 1,601,178 | ||||||||||
|
5.75%, 08/15/27(d) |
1,922 | 2,085,370 | ||||||||||
|
7.00%, 01/15/28(d) |
1,746 | 1,927,235 | ||||||||||
|
5.00%, 01/30/28(d) |
3,645 | 3,741,191 | ||||||||||
|
7.25%, 05/30/29(d) |
3,501 | 3,999,892 | ||||||||||
|
5.25%, 01/30/30(d) |
3,594 | 3,726,978 | ||||||||||
|
Bayer AG(5 year EUR Swap + 2.55%), 3.75%, 07/01/74(h) |
EUR | 200 | 241,435 | |||||||||
|
Catalent Pharma Solutions, Inc., 5.00%, 07/15/27(d) |
USD | 2,407 | 2,521,332 | |||||||||
|
Charles River Laboratories International, Inc.(d): |
||||||||||||
|
5.50%, 04/01/26 |
1,963 | 2,110,225 | ||||||||||
|
4.25%, 05/01/28 |
1,573 | 1,602,494 | ||||||||||
|
Eagle Holding Co. II LLC, (7.750% Cash or 8.50% PIK), 7.75%, 05/15/22(d)(f) |
1,972 | 2,002,329 | ||||||||||
|
Elanco Animal Health, Inc.,
|
1,026 | 1,116,516 | ||||||||||
|
Grifols SA, 2.25%, 11/15/27 |
EUR | 100 | 115,928 | |||||||||
|
Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 08/01/23(d) |
USD | 8,068 | 8,327,689 | |||||||||
|
MEDNAX, Inc., 6.25%, 01/15/27(d) |
4,868 | 4,989,700 | ||||||||||
|
Nidda BondCo GmbH: |
||||||||||||
|
7.25%, 09/30/25 |
EUR | 337 | 405,230 | |||||||||
|
5.00%, 09/30/25 |
100 | 117,218 | ||||||||||
|
Nidda Healthcare Holding GmbH, Series NOV, 3.50%, 09/30/24 |
222 | 256,799 | ||||||||||
|
Par Pharmaceutical,
Inc.,
|
USD | 5,260 | 5,233,700 | |||||||||
|
Rossini Sarl, 6.75%, 10/30/25 |
EUR | 401 | 500,404 | |||||||||
|
Team Health Holdings, Inc., 6.38%, 02/01/25(d) |
USD | 667 | 445,222 | |||||||||
|
Teva Pharmaceutical Finance Netherlands II BV, 6.00%, 01/31/25 |
EUR | 100 | 118,690 | |||||||||
|
|
|
|||||||||||
| 70,175,832 | ||||||||||||
| Professional Services — 0.4% | ||||||||||||
|
ASGN, Inc., 4.63%, 05/15/28(d) |
USD | 1,587 | 1,631,246 | |||||||||
|
Dun & Bradstreet
Corp.,
|
3,998 | 4,597,700 | ||||||||||
|
House of Finance NV, 4.38%, 07/15/26 |
EUR | 166 | 191,277 | |||||||||
|
|
|
|||||||||||
| 6,420,223 | ||||||||||||
| Real Estate Management & Development — 0.3% | ||||||||||||
|
ADLER Real Estate AG, 3.00%, 04/27/26 |
200 | 236,598 | ||||||||||
|
Consus Real Estate AG, 9.63%, 05/15/24 |
100 | 120,583 | ||||||||||
|
Greystar Real Estate Partners LLC, 5.75%, 12/01/25(d) |
USD | 1,198 | 1,242,925 | |||||||||
|
Heimstaden Bostad AB(5 year EUR Swap + 3.67%), 3.25%(h)(i) |
EUR | 100 | 112,450 | |||||||||
|
Howard Hughes Corp., 5.38%, 03/15/25(d) |
USD | 1,566 | 1,632,555 | |||||||||
|
Newmark Group, Inc., 6.13%, 11/15/23 |
642 | 708,003 | ||||||||||
|
Peach Property Finance GmbH, 3.50%, 02/15/23 |
EUR | 179 | 207,808 | |||||||||
|
Residomo SRO, 3.38%, 10/15/24 |
220 | 256,182 | ||||||||||
|
Summit Properties Ltd., 2.00%, 01/31/25 |
145 | 158,580 | ||||||||||
|
|
|
|||||||||||
| 4,675,684 | ||||||||||||
| Restaurants — 0.1% | ||||||||||||
|
IRB Holding Corp., 6.75%, 02/15/26(d) |
USD | 829 | 868,378 | |||||||||
|
|
|
|||||||||||
|
Par
(000) |
Value | |||||||||||
| Road & Rail — 0.6% | ||||||||||||
|
Avis Budget Finance PLC,
|
EUR | 107 | $ | 128,423 | ||||||||
|
Flexi-Van Leasing, Inc.,
|
USD | 1,094 | 1,036,565 | |||||||||
|
Herc Holdings, Inc., 5.50%, 07/15/27(d) |
2,911 | 3,063,827 | ||||||||||
|
Hertz Corp.(d): |
||||||||||||
|
7.63%, 06/01/22 |
838 | 871,520 | ||||||||||
|
6.00%, 01/15/28 |
1,830 | 1,830,000 | ||||||||||
|
Hertz Holdings Netherlands BV, 5.50%, 03/30/23 |
EUR | 243 | 283,558 | |||||||||
|
Kapla Holding SAS: |
||||||||||||
|
(3 mo. Euribor + 3.25%), 3.25%, 12/15/26(e) |
100 | 112,718 | ||||||||||
|
3.38%, 12/15/26 |
200 | 228,807 | ||||||||||
|
Loxam SAS: |
||||||||||||
|
4.25%, 04/15/24 |
100 | 115,815 | ||||||||||
|
3.25%, 01/14/25 |
268 | 310,055 | ||||||||||
|
3.75%, 07/15/26 |
115 | 135,665 | ||||||||||
|
United Rentals North America, Inc.,
|
USD | 341 | 365,808 | |||||||||
|
|
|
|||||||||||
| 8,482,761 | ||||||||||||
| Semiconductors & Semiconductor Equipment — 0.7% | ||||||||||||
|
Advanced Micro Devices, Inc., 7.50%, 08/15/22 |
422 | 475,277 | ||||||||||
|
Infineon Technologies AG(h)(i): |
||||||||||||
|
(5 year EUR Swap + 3.39%), 2.88% |
EUR | 200 | 231,160 | |||||||||
|
(5 year EUR Swap + 4.00%), 3.63% |
100 | 117,218 | ||||||||||
|
Qorvo, Inc.: |
||||||||||||
|
5.50%, 07/15/26 |
USD | 2,418 | 2,575,170 | |||||||||
|
4.38%, 10/15/29(d) |
484 | 506,990 | ||||||||||
|
Sensata Tech, Inc., 4.38%, 02/15/30(d) |
994 | 1,013,303 | ||||||||||
|
Sensata Technologies BV(d): |
||||||||||||
|
5.63%, 11/01/24 |
1,400 | 1,557,500 | ||||||||||
|
5.00%, 10/01/25 |
3,439 | 3,735,614 | ||||||||||
|
|
|
|||||||||||
| 10,212,232 | ||||||||||||
| Software — 4.9% | ||||||||||||
|
ACI Worldwide, Inc., 5.75%, 08/15/26(d) |
4,105 | 4,423,137 | ||||||||||
|
CDK Global, Inc.: |
||||||||||||
|
4.88%, 06/01/27 |
3,962 | 4,184,862 | ||||||||||
|
5.25%, 05/15/29(d) |
795 | 852,638 | ||||||||||
|
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho, 10.00%, 11/30/24(d) |
5,304 | 5,734,950 | ||||||||||
|
Infor (US), Inc., 6.50%, 05/15/22 |
12,873 | 13,066,095 | ||||||||||
|
Informatica LLC, 7.13%, 07/15/23(d) |
5,754 | 5,840,310 | ||||||||||
|
MSCI, Inc.(d): |
||||||||||||
|
4.75%, 08/01/26 |
181 | 189,598 | ||||||||||
|
4.00%, 11/15/29 |
455 | 461,256 | ||||||||||
|
Nuance Communications, Inc., 5.63%, 12/15/26 |
1,550 | 1,651,889 | ||||||||||
|
PTC, Inc., 6.00%, 05/15/24 |
1,996 | 2,083,325 | ||||||||||
|
Rackspace Hosting,
Inc.,
|
1,189 | 1,162,248 | ||||||||||
|
RP Crown Parent LLC, 7.38%, 10/15/24(d) |
4,370 | 4,539,337 | ||||||||||
|
Solera LLC/Solera Finance, Inc., 10.50%, 03/01/24(d) |
11,061 | 11,736,385 | ||||||||||
|
Sophia LP/Sophia Finance, Inc., 9.00%, 09/30/23(d) |
1,440 | 1,479,600 | ||||||||||
|
SS&C Technologies,
Inc.,
|
6,904 | 7,370,020 | ||||||||||
|
TIBCO Software, Inc., 11.38%, 12/01/21(d) |
6,024 | 6,242,671 | ||||||||||
| 58 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Consolidated Schedule of Investments (continued) December 31, 2019 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
|
Par
(000) |
Value | |||||||||||
| Software (continued) | ||||||||||||
|
Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 02/01/23(d) |
USD | 707 | $ | 705,233 | ||||||||
|
|
|
|||||||||||
| 71,723,554 | ||||||||||||
| Specialty Retail — 1.3% | ||||||||||||
|
Asbury Automotive Group, Inc.,
|
2,505 | 2,586,412 | ||||||||||
|
Catalent Pharma Solutions,
Inc.,
|
1,907 | 1,973,745 | ||||||||||
|
Group 1 Automotive,
Inc.,
|
264 | 271,260 | ||||||||||
|
IAA, Inc., 5.50%, 06/15/27(d) |
1,961 | 2,083,563 | ||||||||||
|
L Brands, Inc.: |
||||||||||||
|
6.88%, 11/01/35 |
2,579 | 2,308,205 | ||||||||||
|
6.75%, 07/01/36 |
384 | 336,960 | ||||||||||
|
Penske Automotive Group, Inc.,
|
299 | 313,203 | ||||||||||
|
PetSmart, Inc.(d): |
||||||||||||
|
7.13%, 03/15/23 |
477 | 467,460 | ||||||||||
|
5.88%, 06/01/25 |
2,054 | 2,092,513 | ||||||||||
|
Staples, Inc., 7.50%, 04/15/26(d) |
6,365 | 6,603,687 | ||||||||||
|
|
|
|||||||||||
| 19,037,008 | ||||||||||||
| Technology Hardware, Storage & Peripherals — 0.8% | ||||||||||||
|
Dell International LLC/EMC
Corp.,
|
5,762 | 6,078,910 | ||||||||||
|
NCR Corp.(d): |
||||||||||||
|
5.75%, 09/01/27 |
761 | 810,465 | ||||||||||
|
6.13%, 09/01/29 |
1,634 | 1,773,086 | ||||||||||
|
Western Digital Corp., 4.75%, 02/15/26 |
3,230 | 3,367,275 | ||||||||||
|
|
|
|||||||||||
| 12,029,736 | ||||||||||||
| Textiles, Apparel & Luxury Goods — 0.1% | ||||||||||||
|
William Carter Co., 5.63%, 03/15/27(d) |
932 | 1,001,900 | ||||||||||
|
|
|
|||||||||||
| Thrifts & Mortgage Finance — 0.2% | ||||||||||||
|
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(d): |
||||||||||||
|
5.25%, 03/15/22 |
264 | 274,230 | ||||||||||
|
5.25%, 10/01/25 |
2,866 | 2,973,475 | ||||||||||
|
|
|
|||||||||||
| 3,247,705 | ||||||||||||
| Transportation Infrastructure — 0.1% | ||||||||||||
|
CMA CGM SA, 6.50%, 07/15/22 |
EUR | 100 | 101,389 | |||||||||
|
Ferrovial Netherlands BV(5 year EUR Swap + 2.13%), 2.12%(h)(i) |
400 | 438,360 | ||||||||||
|
Heathrow Finance PLC, 4.13%, 09/01/29 |
GBP | 215 | 289,118 | |||||||||
|
|
|
|||||||||||
| 828,867 | ||||||||||||
| Utilities — 0.1% | ||||||||||||
|
ContourGlobal Power Holdings SA: |
||||||||||||
|
3.38%, 08/01/23 |
EUR | 100 | 115,518 | |||||||||
|
4.13%, 08/01/25 |
227 | 266,822 | ||||||||||
|
Electricite de France SA, 4.50%, 12/04/69 |
USD | 400 | 407,764 | |||||||||
|
Vistra Operations Co. LLC, 3.55%, 07/15/24(d) |
140 | 141,823 | ||||||||||
|
|
|
|||||||||||
| 931,927 | ||||||||||||
| Wireless Telecommunication Services — 3.6% | ||||||||||||
|
Altice France SA, 5.50%, 01/15/28(d) |
5,855 | 6,016,305 | ||||||||||
|
Matterhorn Telecom SA, 4.00%, 11/15/27 |
EUR | 200 | 238,922 | |||||||||
|
Radiate Holdco LLC/Radiate Finance, Inc., 6.88%, 02/15/23(d) |
USD | 390 | 396,825 | |||||||||
|
SBA Communications Corp., 4.00%, 10/01/22 |
2,644 | 2,693,575 | ||||||||||
|
Sprint Capital Corp.: |
||||||||||||
|
6.88%, 11/15/28 |
4,417 | 4,759,318 | ||||||||||
|
8.75%, 03/15/32 |
4,750 | 5,765,313 | ||||||||||
|
Par
(000) |
Value | |||||||||||
| Wireless Telecommunication Services (continued) | ||||||||||||
|
Sprint Corp.: |
||||||||||||
|
7.88%, 09/15/23 |
USD | 4,484 | $ | 4,947,332 | ||||||||
|
7.13%, 06/15/24 |
3,111 | 3,355,991 | ||||||||||
|
7.63%, 02/15/25 |
1,642 | 1,801,849 | ||||||||||
|
7.63%, 03/01/26 |
1,050 | 1,157,940 | ||||||||||
|
T-Mobile USA, Inc.: |
||||||||||||
|
4.00%, 04/15/22 |
591 | 605,036 | ||||||||||
|
6.50%, 01/15/24 |
2,638 | 2,713,895 | ||||||||||
|
6.38%, 03/01/25 |
994 | 1,027,130 | ||||||||||
|
6.50%, 01/15/26 |
1,549 | 1,660,853 | ||||||||||
|
4.50%, 02/01/26 |
1,674 | 1,715,850 | ||||||||||
|
4.75%, 02/01/28 |
3,328 | 3,487,112 | ||||||||||
|
VICI Properties 1 LLC/VICI FC, Inc., 8.00%, 10/15/23 |
1,327 | 1,436,576 | ||||||||||
|
VICI Properties LP/VICI Note Co., Inc., 4.25%, 12/01/26(d) |
7,313 | 7,532,390 | ||||||||||
|
Xplornet Communications, Inc., (9.63% Cash or 10.63% PIK), 9.63%, 06/01/22(d)(f) |
785 | 780,655 | ||||||||||
|
|
|
|||||||||||
| 52,092,867 | ||||||||||||
|
|
|
|||||||||||
|
Total Corporate Bonds — 118.1%
|
|
1,715,914,048 | ||||||||||
|
|
|
|||||||||||
|
Floating Rate Loan Interests(e) — 12.5% |
|
|||||||||||
|
Aerospace & Defense — 0.0% |
|
|||||||||||
|
Atlantic Aviation FBO, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 5.55%, 12/06/25 |
251 | 254,133 | ||||||||||
|
WP CPP Holdings LLC, 2018 Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.68%, 04/30/25 |
327 | 323,024 | ||||||||||
|
|
|
|||||||||||
| 577,157 | ||||||||||||
| Auto Components — 0.1% | ||||||||||||
|
Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 5.30%, 04/30/26 |
1,859 | 1,862,936 | ||||||||||
|
|
|
|||||||||||
| Building Products — 0.1% | ||||||||||||
|
CPG International, Inc., 2017 Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.93%, 05/05/24 |
669 | 668,688 | ||||||||||
|
|
|
|||||||||||
| Capital Markets — 0.1% | ||||||||||||
|
Jefferies Finance LLC, 2019 Term Loan, (1 mo. LIBOR + 3.75%), 5.50%, 06/03/26 |
1,110 | 1,106,722 | ||||||||||
|
|
|
|||||||||||
| Chemicals — 0.5% | ||||||||||||
|
Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.94%, 01/31/24 |
3,311 | 3,316,068 | ||||||||||
|
Ascend Performance Materials Operations LLC, 2019 Term Loan B, (3 mo. LIBOR +
5.25%, 1.00% Floor),
|
2,380 | 2,397,885 | ||||||||||
|
Charter NEX US, Inc., Incremental Term Loan, (1 mo. LIBOR + 3.50%), 5.30%, 05/16/24 |
478 | 479,988 | ||||||||||
|
Invictus US LLC, 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 8.68%, 03/30/26 |
327 | 303,524 | ||||||||||
|
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 5.05%, 05/15/24 |
466 | 462,388 | ||||||||||
|
|
|
|||||||||||
| 6,959,853 | ||||||||||||
| SCHEDULES OF INVESTMENTS | 59 |
|
Consolidated Schedule of Investments (continued) December 31, 2019 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
|
Par
(000) |
Value | |||||||||||
| Commercial Services & Supplies — 1.0% | ||||||||||||
|
Aramark Services, Inc., 2019 Term Loan B4, 01/27/27(m) |
USD | 277 | $ | 278,299 | ||||||||
|
Asurion LLC, 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%),
|
2,968 | 3,002,132 | ||||||||||
|
Diamond (BC) BV, Term Loan, (3 mo. LIBOR + 3.00%), 4.93%, 09/06/24 |
1,240 | 1,211,163 | ||||||||||
|
GFL Environmental, Inc., 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 05/30/25 |
1,737 | 1,738,613 | ||||||||||
|
KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 4.06%, 09/19/26 |
325 | 326,533 | ||||||||||
|
Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR +
4.50%),
|
8,160 | 8,207,463 | ||||||||||
|
|
|
|||||||||||
| 14,764,203 | ||||||||||||
| Construction & Engineering — 0.8% | ||||||||||||
|
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, 06/21/24(m) |
10,402 | 10,363,090 | ||||||||||
|
SRS Distribution, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.05%, 05/23/25 |
1,798 | 1,781,595 | ||||||||||
|
|
|
|||||||||||
| 12,144,685 | ||||||||||||
| Containers & Packaging — 0.1% | ||||||||||||
|
BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%),
|
1,589 | 1,581,836 | ||||||||||
|
|
|
|||||||||||
| Diversified Consumer Services — 0.6% | ||||||||||||
|
Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.80%, 07/12/24 |
594 | 597,711 | ||||||||||
|
BidFair MergerRight, Inc., Term Loan B, (1 mo. LIBOR + 5.50%, 1.00% Floor), 7.24%, 01/15/27 |
754 | 745,838 | ||||||||||
|
Gol LuxCo SA, 1st Lien Term Loan, (Fixed + 6.50%), 6.50%, 08/31/20(b) |
3,885 | 3,923,850 | ||||||||||
|
Uber Technologies, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.00%, 1.00%
Floor),
|
2,845 | 2,836,544 | ||||||||||
|
|
|
|||||||||||
| 8,103,943 | ||||||||||||
| Diversified Telecommunication Services — 0.4% | ||||||||||||
|
CenturyLink, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%),
|
4,031 | 4,045,541 | ||||||||||
|
Iridium Satellite LLC, Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.54%, 11/04/26 |
675 | 683,019 | ||||||||||
|
Telesat Canada, 2019 Term Loan, (3 mo. LIBOR + 2.75%),
|
360 | 361,051 | ||||||||||
|
|
|
|||||||||||
| 5,089,611 | ||||||||||||
| Energy Equipment & Services — 0.3% | ||||||||||||
|
Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 9.55%, 11/08/22(b) |
4,819 | 4,626,240 | ||||||||||
|
|
|
|||||||||||
| Food & Staples Retailing — 0.0% | ||||||||||||
|
US Foods, Inc., 2019 Term Loan B, (1 mo. LIBOR + 2.00%),
|
430 | 431,401 | ||||||||||
|
|
|
|||||||||||
| 60 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Consolidated Schedule of Investments (continued) December 31, 2019 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
|
Par
(000) |
Value | |||||||||||
| Interactive Media & Services — 0.1% | ||||||||||||
|
TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00%
Floor),
|
USD | 918 | $ | 891,914 | ||||||||
|
|
|
|||||||||||
| IT Services — 0.1% | ||||||||||||
|
Camelot U.S. Acquisition 1 Co., Term Loan B, (1 mo. LIBOR + 3.25%), 5.05%, 10/31/26 |
928 | 933,104 | ||||||||||
|
Flexential Intermediate Corp.: |
||||||||||||
|
2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50%), 5.44%, 08/01/24 |
876 | 727,146 | ||||||||||
|
2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor),
|
420 | 257,951 | ||||||||||
|
|
|
|||||||||||
| 1,918,201 | ||||||||||||
| Life Sciences Tools & Services — 0.3% | ||||||||||||
|
Sotera Health Holdings LLC, 2019 Term Loan, (3 mo. LIBOR + 4.50%, 1.00% Floor), 6.29%, 12/11/26 |
4,025 | 4,033,801 | ||||||||||
|
|
|
|||||||||||
| Machinery — 0.4% | ||||||||||||
|
MHI Holdings LLC, Term Loan B, (1 mo. LIBOR + 5.00%),
|
1,218 | 1,216,477 | ||||||||||
|
Titan Acquisition Ltd., 2018 Term Loan B, (1 mo. LIBOR +
3.00%),
|
3,896 | 3,825,956 | ||||||||||
|
|
|
|||||||||||
| 5,042,433 | ||||||||||||
| Media — 1.7% | ||||||||||||
|
Altice France SA, 2018 Term Loan B13, (1 mo. LIBOR + 4.00%),
|
1,377 | 1,377,696 | ||||||||||
|
Clear Channel Outdoor Holdings, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 5.30%, 08/21/26 |
4,687 | 4,709,001 | ||||||||||
|
Connect Finco Sarl, Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.29%, 12/11/26 |
3,503 | 1,438,353 | ||||||||||
|
Intelsat Jackson Holdings SA: |
||||||||||||
|
2017 Term Loan B3, (6 mo. LIBOR + 3.75%, 1.00% Floor),
|
559 | 559,097 | ||||||||||
|
2017 Term Loan B4, (6 mo. LIBOR + 4.50%, 1.00% Floor),
|
1,820 | 1,832,331 | ||||||||||
|
2017 Term Loan B5, (Fixed + 6.63%), 6.63%, 01/02/24 |
10,040 | 10,145,553 | ||||||||||
|
Terrier Media Buyer, Inc., Term Loan B, (3 mo. LIBOR +
4.25%),
|
4,228 | 4,267,659 | ||||||||||
|
|
|
|||||||||||
| 24,329,690 | ||||||||||||
| Oil & Gas Equipment & Services — 0.1% | ||||||||||||
|
McDermott Technology Americas, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 10.00%), 12.00%, 10/21/21 |
1,065 | 1,085,057 | ||||||||||
|
|
|
|||||||||||
| Oil, Gas & Consumable Fuels — 0.8% | ||||||||||||
|
California Resources Corp., Second Out Term Loan, (1 mo. LIBOR + 10.37%, 1.00%
Floor),
|
2,433 | 1,804,347 | ||||||||||
|
Chesapeake Energy Corp., 2019 Last Out Term Loan, 06/09/24(m) |
8,813 | 9,062,673 | ||||||||||
|
Par
(000) |
Value | |||||||||||
| Oil, Gas & Consumable Fuels (continued) | ||||||||||||
|
CONSOL Energy, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.30%, 09/27/24 |
USD | 1,336 | $ | 1,178,936 | ||||||||
|
|
|
|||||||||||
| 12,045,956 | ||||||||||||
| Pharmaceuticals — 0.2% | ||||||||||||
|
Endo Luxembourg Finance Co. I Sarl, 2017 Term Loan B, (1 mo. LIBOR +
4.25%),
|
1,144 | 1,092,121 | ||||||||||
|
Jaguar Holding Co. II, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00%
Floor),
|
414 | 415,762 | ||||||||||
|
Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.74%, 06/02/25 |
1,776 | 1,784,966 | ||||||||||
|
|
|
|||||||||||
| 3,292,849 | ||||||||||||
| Professional Services — 0.1% | ||||||||||||
|
Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR +
5.00%),
|
1,366 | 1,376,819 | ||||||||||
|
|
|
|||||||||||
| Road & Rail — 0.1% | ||||||||||||
|
Genesee & Wyoming, Inc., Term Loan, 11/06/26(m) |
883 | 890,567 | ||||||||||
|
|
|
|||||||||||
| Semiconductors & Semiconductor Equipment — 0.0% | ||||||||||||
|
ON Semiconductor Corp., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.80%, 09/19/26 |
646 | 650,557 | ||||||||||
|
|
|
|||||||||||
| Software — 1.5% | ||||||||||||
|
Cypress Intermediate Holdings III, Inc.: |
||||||||||||
|
2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%., 1.00% Floor),
|
860 | 861,271 | ||||||||||
|
2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%., 1.00% Floor),
|
212 | 212,318 | ||||||||||
|
Digicel International Finance Ltd., 2017 Term Loan B, 05/28/24(m) |
1,734 | 1,542,237 | ||||||||||
|
Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR +
3.25%),
|
7,832 | 7,898,786 | ||||||||||
|
Infor (US), Inc., Term Loan B6, (3 mo. LIBOR + 2.75%, 1.00%
Floor),
|
988 | 991,743 | ||||||||||
|
Kronos, Inc., 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 1.00% Floor), 10.16%, 11/01/24 |
3,635 | 3,701,120 | ||||||||||
|
Mitchell International, Inc.: |
||||||||||||
|
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.05%, 11/29/24 |
1,539 | 1,523,655 | ||||||||||
|
2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 9.05%, 12/01/25(b) |
613 | 587,267 | ||||||||||
|
Renaissance Holding Corp., 2018 Add On Term Loan, (1 mo. LIBOR + 3.25%), 5.05%, 05/30/25 |
502 | 498,280 | ||||||||||
|
Severin Acquisition LLC, 2018 Term Loan B, (3 mo. LIBOR +
3.00%),
|
721 | 716,228 | ||||||||||
|
SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, (1 mo. LIBOR + 2.25%), 4.05%, 04/16/25 |
640 | 644,453 | ||||||||||
|
SS&C Technologies, Inc., 2018 Term Loan B3, (1 mo. LIBOR + 2.25%), 4.05%, 04/16/25 |
1,004 | 1,010,853 | ||||||||||
| SCHEDULES OF INVESTMENTS | 61 |
|
Consolidated Schedule of Investments (continued) December 31, 2019 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
|
Par
(000) |
Value | |||||||||||
| Software (continued) | ||||||||||||
|
Tibco Software, Inc., 2019 Term Loan B, (1 mo. LIBOR +
4.00%),
|
USD | 1,161 | $ | 1,165,084 | ||||||||
|
Ultimate Software Group, Inc., Term Loan B, (1 mo. LIBOR +
3.75%),
|
573 | 575,985 | ||||||||||
|
|
|
|||||||||||
| 21,929,280 | ||||||||||||
| Specialty Retail — 0.2% | ||||||||||||
|
PetSmart, Inc., Term Loan B2, 03/11/22(m) |
3,153 | 3,002,051 | ||||||||||
|
|
|
|||||||||||
| Wireless Telecommunication Services — 0.4% | ||||||||||||
|
Ligado Networks LLC: |
||||||||||||
|
2015 2nd Lien Term Loan, 0.00%, 12/07/20(g) |
8,889 | 1,762,952 | ||||||||||
|
PIK Exit Term Loan (9.75% PIK), 0.00%, 12/07/20(f) |
3,416 | 2,186,094 | ||||||||||
|
Xplornet Communications, Inc.,
|
1,171 | 1,172,496 | ||||||||||
|
|
|
|||||||||||
| 5,121,542 | ||||||||||||
|
|
|
|||||||||||
|
Total Floating Rate Loan Interests — 12.5%
|
|
180,338,998 | ||||||||||
|
|
|
|||||||||||
| Shares | ||||||||||||
|
Investment Companies — 2.6% |
|
|||||||||||
|
Equity Funds — 2.6% |
|
|||||||||||
|
iShares iBoxx USD High Yield Corporate Bond ETF(p) |
427,751 | 37,616,423 | ||||||||||
|
|
|
|||||||||||
|
Total Investment Companies — 2.6%
|
|
37,616,423 | ||||||||||
|
|
|
|||||||||||
|
Beneficial
Interest
|
||||||||||||
|
Other Interests(n) — 0.0% |
|
|||||||||||
|
Auto Components — 0.0% |
|
|||||||||||
|
Lear Corp. Escrow(b) |
1,250 | 12 | ||||||||||
|
|
|
|||||||||||
|
Total Other Interests — 0.0%
|
|
12 | ||||||||||
|
|
|
|||||||||||
|
Par
(000) |
||||||||||||
| Preferred Securities — 5.5% | ||||||||||||
|
Capital Trusts — 5.2% |
|
|||||||||||
| Auto Components — 0.0% | ||||||||||||
|
Volkswagen International Finance NV, Series NC6, 3.38%(h)(i) |
EUR | 200 | 239,416 | |||||||||
|
|
|
|||||||||||
| Banks — 0.9% | ||||||||||||
|
ABN AMRO Bank NV, 5.75%(h)(i) |
200 | 231,934 | ||||||||||
|
AIB Group PLC, 5.25%(h)(i) |
400 | 486,818 | ||||||||||
|
Allied Irish Banks PLC, 7.38%(h)(i) |
210 | 249,960 | ||||||||||
|
Banco Bilbao Vizcaya Argentaria SA, 8.88%(h)(i) |
200 | 245,910 | ||||||||||
|
Banco de Sabadell SA, 6.50%(h)(i) |
400 | 468,871 | ||||||||||
|
Banco Santander SA, 6.75%(h)(i) |
200 | 247,290 | ||||||||||
|
Bankia SA(h)(i): |
||||||||||||
|
6.00% |
200 | 236,828 | ||||||||||
|
6.38% |
200 | 243,128 | ||||||||||
|
Par
(000) |
Value | |||||||||||
| Banks (continued) | ||||||||||||
|
CaixaBank SA(h)(i): |
||||||||||||
|
5.25% |
EUR | 200 | $ | 228,995 | ||||||||
|
6.75% |
400 | 503,643 | ||||||||||
|
CIT Group, Inc., Series A, 5.80%(h)(i) |
USD | 1,647 | 1,692,293 | |||||||||
|
Erste Group Bank AG, 6.50%(h)(i) |
EUR | 200 | 260,578 | |||||||||
|
Hongkong & Shanghai Banking Corp. Ltd., Series 3H, 1.93%(e)(i) |
USD | 200 | 154,012 | |||||||||
|
ING Groep NV, 6.75%(h)(i) |
200 | 216,990 | ||||||||||
|
Intesa Sanpaolo SpA, 7.75%(h)(i) |
EUR | 200 | 271,606 | |||||||||
|
National Westminster Bank PLC, Series C, 2.16%(i)(l) |
USD | 200 | 172,060 | |||||||||
|
Nordea Bank Abp, 6.63%(h)(i) |
200 | 221,750 | ||||||||||
|
Wells Fargo & Co., Series U, 5.88%(h)(i) |
5,517 | 6,137,663 | ||||||||||
|
|
|
|||||||||||
| 12,270,329 | ||||||||||||
| Building Materials — 0.0% | ||||||||||||
|
Holcim Finance Luxembourg SA, 3.00%(h)(i) |
EUR | 100 | 118,339 | |||||||||
|
|
|
|||||||||||
| Capital Markets — 0.3% | ||||||||||||
|
Goldman Sachs Group, Inc., Series P, 5.00%(h)(i) |
USD | 712 | 717,340 | |||||||||
|
Morgan Stanley,(h)(i): |
||||||||||||
|
Series H, 5.61% |
3,309 | 3,338,119 | ||||||||||
|
Series J, 5.55% |
440 | 448,730 | ||||||||||
|
UBS Group AG, 5.75%(h)(i) |
EUR | 250 | 305,663 | |||||||||
|
|
|
|||||||||||
| 4,809,852 | ||||||||||||
| Chemicals — 0.0% | ||||||||||||
|
Solvay SA, 4.25%(h)(i) |
100 | 124,484 | ||||||||||
|
|
|
|||||||||||
| Diversified Financial Services — 3.6% | ||||||||||||
|
Bank of America Corp.,(h)(i): |
||||||||||||
|
Series AA, 6.10% |
USD | 8,987 | 10,009,721 | |||||||||
|
Series DD, 6.30% |
815 | 941,325 | ||||||||||
|
Series X, 6.25% |
3,534 | 3,927,157 | ||||||||||
|
Series Z, 6.50% |
2,650 | 3,007,750 | ||||||||||
|
Credit Agricole SA, 6.50%(h)(i) |
EUR | 200 | 242,242 | |||||||||
|
Credit Suisse Group AG(d)(h)(i): |
||||||||||||
|
6.25% |
USD | 200 | 217,550 | |||||||||
|
6.38% |
3,145 | 3,390,310 | ||||||||||
|
7.50% |
750 | 820,763 | ||||||||||
|
HBOS Capital Funding LP, 6.85%(i) |
800 | 816,800 | ||||||||||
|
HSBC Holdings PLC, 6.00%(h)(i) |
2,298 | 2,447,370 | ||||||||||
|
JPMorgan Chase & Co.,(h)(i): |
||||||||||||
|
Series 1, 5.41% |
1,046 | 1,055,414 | ||||||||||
|
Series FF, 5.00% |
7,650 | 7,956,000 | ||||||||||
|
Series Q, 5.15% |
850 | 888,250 | ||||||||||
|
Series S, 6.75% |
5,589 | 6,311,378 | ||||||||||
|
Series U, 6.13% |
4,228 | 4,619,090 | ||||||||||
|
Series V, 5.23% |
3,075 | 3,098,062 | ||||||||||
|
Series X, 6.10% |
640 | 698,432 | ||||||||||
|
Royal Bank of Scotland Group
PLC,
|
607 | 651,008 | ||||||||||
|
Societe Generale SA, 8.00%(h)(i) |
200 | 235,000 | ||||||||||
|
UniCredit SpA(h)(i): |
||||||||||||
|
6.75% |
EUR | 400 | 479,437 | |||||||||
|
7.50% |
200 | 262,178 | ||||||||||
|
9.25% |
225 | 292,723 | ||||||||||
|
|
|
|||||||||||
| 52,367,960 | ||||||||||||
| Diversified Telecommunication Services — 0.1% | ||||||||||||
|
Koninklijke KPN NV, 2.00%(h)(i) |
300 | 342,668 | ||||||||||
|
Telefonica Europe BV(h)(i): |
||||||||||||
|
2.63% |
300 | 347,266 | ||||||||||
|
3.75% |
100 | 118,061 | ||||||||||
|
3.88% |
100 | 121,893 | ||||||||||
| 62 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Consolidated Schedule of Investments (continued) December 31, 2019 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
|
Par
(000) |
Value | |||||||||||
| Diversified Telecommunication Services (continued) | ||||||||||||
|
4.38% |
EUR | 600 | $ | 750,417 | ||||||||
|
5.88% |
200 | 261,652 | ||||||||||
|
|
|
|||||||||||
| 1,941,957 | ||||||||||||
| Electric Utilities — 0.0% | ||||||||||||
|
NGG Finance PLC, 1.63%, 12/05/79(h) |
200 | 227,162 | ||||||||||
|
RWE AG, 2.75%, 04/21/75(h) |
200 | 227,490 | ||||||||||
|
|
|
|||||||||||
| 454,652 | ||||||||||||
| Electronic Equipment, Instruments & Components — 0.0% | ||||||||||||
|
Belden, Inc., 4.13%, 10/15/26 |
320 | 383,998 | ||||||||||
|
|
|
|||||||||||
| Insurance — 0.0% | ||||||||||||
|
Achmea BV, 4.63%(h)(i) |
200 | 233,223 | ||||||||||
|
Generali Finance BV, 4.60%(h)(i) |
100 | 126,040 | ||||||||||
|
|
|
|||||||||||
| 359,263 | ||||||||||||
| Media — 0.1% | ||||||||||||
|
NBCUniversal Enterprise, Inc., 5.25%(d)(i) |
USD | 400 | 413,000 | |||||||||
|
SES SA, 4.63%(h)(i) |
EUR | 100 | 119,040 | |||||||||
|
|
|
|||||||||||
| 532,040 | ||||||||||||
| Oil, Gas & Consumable Fuels — 0.0% | ||||||||||||
|
Naturgy Finance BV(h)(i): |
||||||||||||
|
3.38% |
100 | 120,291 | ||||||||||
|
4.13% |
100 | 121,424 | ||||||||||
|
Repsol International Finance BV, 4.50%, 03/25/75(h) |
178 | 230,091 | ||||||||||
|
|
|
|||||||||||
| 471,806 | ||||||||||||
| Real Estate Management & Development — 0.0% | ||||||||||||
|
Citycon OYJ, 4.50%(h)(i) |
100 | 112,871 | ||||||||||
|
TLG Finance Sarl, 3.38%(h)(i) |
200 | 236,746 | ||||||||||
|
|
|
|||||||||||
| 349,617 | ||||||||||||
| Utilities — 0.1% | ||||||||||||
|
Electricite de France SA(h)(i): |
||||||||||||
|
3.00% |
200 | 231,070 | ||||||||||
|
4.00% |
100 | 122,365 | ||||||||||
|
6.00% |
GBP | 100 | 146,865 | |||||||||
|
|
|
|||||||||||
| 500,300 | ||||||||||||
| Wireless Telecommunication Services — 0.1% | ||||||||||||
|
Vodafone Group PLC: |
||||||||||||
|
4.20%, 10/03/78(h) |
EUR | 200 | 252,943 | |||||||||
|
3.10%, 01/03/79(l) |
300 | 353,336 | ||||||||||
|
|
|
|||||||||||
| 606,279 | ||||||||||||
|
|
|
|||||||||||
|
Total Capital Trusts — 5.2%
|
|
75,530,292 | ||||||||||
|
|
|
|||||||||||
|
Shares |
||||||||||||
|
Preferred Stocks — 0.2% |
|
|||||||||||
| Auto Components — 0.2% | ||||||||||||
|
UCI International, Inc., 0.00%(b) |
109,729 | 2,496,335 | ||||||||||
|
|
|
|||||||||||
| Banks — 0.0% | ||||||||||||
|
CF-B L2(d) LLC, (Aquired 04/08/15, cost $649,293), 0.00%(o) |
663,678 | 208,196 | ||||||||||
|
|
|
|||||||||||
|
Total Preferred Stocks — 0.2%
|
|
2,704,531 | ||||||||||
|
|
|
|||||||||||
|
Shares |
Value | |||||||||||
|
Trust Preferred — 0.1% |
|
|||||||||||
|
Diversified Financial Services — 0.1% |
|
|||||||||||
|
GMAC Capital Trust I, Series 2, 7.69%(h) |
56,879 | $ | 1,481,698 | |||||||||
|
|
|
|||||||||||
|
Total Trust Preferred — 0.1%
|
|
1,481,698 | ||||||||||
|
|
|
|||||||||||
|
Total Preferred Securities— 5.5%
|
|
79,716,521 | ||||||||||
|
|
|
|||||||||||
|
Total Long-Term Investments — 141.5%
|
|
2,054,156,745 | ||||||||||
|
|
|
|||||||||||
|
Options Purchased — 0.0%
|
|
441,301 | ||||||||||
|
|
|
|||||||||||
|
Total Investments Before Options Written — 141.5%
|
|
2,054,598,046 | ||||||||||
|
|
|
|||||||||||
|
Options Written — (0.0)%
|
|
(52,881 | ) | |||||||||
|
|
|
|||||||||||
|
Total Investments, Net of Options Written — 141.5%
|
|
2,054,545,165 | ||||||||||
|
Liabilities in Excess of Other Assets — (41.5)% |
|
(602,677,400 | ) | |||||||||
|
|
|
|||||||||||
|
Net Assets — 100.0% |
|
$ | 1,451,867,765 | |||||||||
|
|
|
|||||||||||
| (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 Consolidated Financial Statements for details on the wholly-owned subsidiary. |
| (d) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| (e) |
Variable rate security. Rate shown is the rate in effect as of period end. |
| (f) |
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. |
| (g) |
Issuer filed for bankruptcy and/or is in default. |
| (h) |
Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
| (i) |
Perpetual security with no stated maturity date. |
| (j) |
When-issued security. |
| (k) |
Convertible security. |
| (l) |
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. |
| (m) |
Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
| (n) |
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
| (o) |
Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $208,196, representing less than 0.05% of its net assets as of period end, and an original cost of $649,293. |
| SCHEDULES OF INVESTMENTS | 63 |
|
Consolidated Schedule of Investments (continued) December 31, 2019 |
BlackRock Corporate High Yield Fund, Inc. (HYT) |
| (p) |
During the period ended December 31, 2019, investments in issuers considered to be an affiliate/affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, and/or related parties of the Trust were as follows: |
| Affiliated Persons and/or Related Parties |
Shares
Held at 08/31/19 |
Shares
Purchased |
Shares
Sold |
Shares
Held at 12/31/19 |
Value at
12/31/19 |
Income |
Net
Realized Gain (Loss) (a) |
Change in
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
|
BlackRock Liquidity Funds, T-Fund, Institutional Class(b)(c) |
— | — | — | — | $ | — | $ | 13,217 | $ | 11 | $ | — | ||||||||||||||||||||
|
iShares iBoxx USD High Yield Corporate Bond ETF |
— | 593,951 | (166,200 | ) | 427,751 | 37,616,423 | 415,546 | (229,461 | ) | 426,425 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| $ | 37,616,423 | $ | 428,763 | $ | (229,450 | ) | $ | 426,425 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| (a) |
Includes net capital gain distributions, if applicable. |
| (b) |
Represents net shares purchased (sold). |
| (c) |
As of period end, the entity is no longer held by the Trust. |
For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings 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 |
3 | 03/20/20 | $ | 125 | $ | (623 | ) | |||||||||
|
Euro Stoxx 600 Index |
6 | 03/20/20 | 48 | (230 | ) | |||||||||||
|
|
|
|||||||||||||||
| (853 | ) | |||||||||||||||
|
|
|
|||||||||||||||
|
Short Contracts |
||||||||||||||||
|
Euro Bund Futures |
3 | 03/06/20 | 574 | 8,040 | ||||||||||||
|
U.S. Treasury Ultra Bond |
2 | 03/20/20 | 363 | 12,838 | ||||||||||||
|
Long Gilt Future |
5 | 03/27/20 | 870 | 14,301 | ||||||||||||
|
|
|
|||||||||||||||
| 35,179 | ||||||||||||||||
|
|
|
|||||||||||||||
| $ | 34,326 | |||||||||||||||
|
|
|
|||||||||||||||
Forward Foreign Currency Exchange Contracts
|
Currency
Purchased |
Currency
Sold |
Counterparty |
Settlement
Date |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||
| USD | 649,484 | AUD | 957,000 | National Australia Bank Ltd. | 02/05/20 | $ | (22,650 | ) | ||||||||||||
| USD | 1,508,079 | CAD | 2,005,000 | BNP Paribas S.A. | 02/05/20 | (36,208 | ) | |||||||||||||
| USD | 68,846 | CAD | 91,000 | Citibank N.A. | 02/05/20 | (1,244 | ) | |||||||||||||
| USD | 111,740 | CAD | 148,000 | Citibank N.A. | 02/05/20 | (2,252 | ) | |||||||||||||
| USD | 119,924 | EUR | 108,000 | Canadian Imperial Bank of Commerce | 02/05/20 | (1,468 | ) | |||||||||||||
| USD | 49,227,109 | EUR | 44,552,000 | Citibank N.A. | 02/05/20 | (849,357 | ) | |||||||||||||
| USD | 4,562,800 | GBP | 3,532,000 | Barclays Bank PLC | 02/05/20 | (120,102 | ) | |||||||||||||
| USD | 221,376 | GBP | 168,000 | Natwest Markets PLC | 02/05/20 | (1,367 | ) | |||||||||||||
| USD | 129,869 | GBP | 99,000 | State Street Bank and Trust Co. | 02/05/20 | (1,391 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized depreciation | $ | (1,036,039 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||
| 64 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Consolidated Schedule of Investments (continued) December 31, 2019 |
BlackRock Corporate High Yield Fund, Inc. (HYT) |
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 | ||||||||||||||||||||||||||||||
|
Put |
|
|||||||||||||||||||||||||||||||||
|
10-Year Interest Rate Swap, 03/22/30 |
2.20 | % | Semi-Annual | 3-Month LIBOR, 1.91 | % | Quarterly | Barclays Bank PLC | 03/20/20 | 2.20 | % | USD | 44,610 | $ | 115,162 | ||||||||||||||||||||
|
10-Year Interest Rate Swap, 06/24/30 |
2.20 | Semi-Annual | 3-Month LIBOR, 1.91 | % | Quarterly | Bank of America N.A. | 06/22/20 | 2.20 | USD | 51,610 | 326,139 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||
| $ | 441,301 | |||||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||
|
Put |
|
|||||||||||||||||||||||||||||||
|
10-Year Interest Rate Swap, 06/24/2030 |
3-Month LIBOR,
1.91% |
Quarterly | 2.70 | % | Semi-Annual | Bank of America N.A. | 06/22/20 | 2.70 | % | USD | 51,610 | $ | (52,881 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
Centrally Cleared Credit Default Swaps — Sell Protection
| Reference Obligation/Index |
Financing
Rate Received by the Trust |
Payment
Frequency |
Termination
Date |
Credit Rating (a) |
Notional
Amount (000) (b) |
Value |
Upfront
Premium Paid (Received) |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||||
|
CDX.NA.HY.33.V1 |
5.00% | Quarterly | 12/20/24 | B | USD | 25,892 | $ | 2,548,293 | $ | 1,713,001 | $ | 835,292 | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (a) |
Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
| (b) |
The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. |
OTC Credit Default Swaps — Buy Protection
| Reference Obligation/Index |
Financing
Rate Paid by the Trust |
Payment Frequency |
Counterparty |
Termination
Date |
Notional
Amount (000) |
Value |
Upfront
Premium Paid (Received) |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||||
|
UPC Holding BV |
5.00% | Quarterly | JPMorgan Chase Bank N.A. | 06/20/24 | EUR | 130 | $ | (24,854 | ) | $ | (27,675 | ) | $ | 2,821 | ||||||||||||||
|
UPC Holding BV |
5.00 | Quarterly | Bank of America N.A. | 06/20/24 | EUR | 80 | (15,294 | ) | (17,768 | ) | 2,474 | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | (40,148 | ) | $ | (45,443 | ) | $ | 5,295 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
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 | B | EUR | 90 | $ | (14,490 | ) | $ | (6,552 | ) | $ | (7,938 | ) | |||||||||||||||||||||
|
Casino Guichard Perrachon SA |
1.00 | Quarterly | Citibank N.A. | 06/20/23 | B | EUR | 88 | (14,222 | ) | (9,339 | ) | (4,883 | ) | |||||||||||||||||||||||||
|
Casino Guichard Perrachon SA |
1.00 | Quarterly | Barclays Bank PLC | 06/20/23 | B | EUR | 124 | (19,980 | ) | (11,791 | ) | (8,189 | ) | |||||||||||||||||||||||||
|
Casino Guichard Perrachon SA |
1.00 | Quarterly | Goldman Sachs International | 12/20/23 | B | EUR | 60 | (11,555 | ) | (7,747 | ) | (3,808 | ) | |||||||||||||||||||||||||
|
CenturyLink, Inc. |
1.00 | Quarterly | Barclays Bank PLC | 12/20/23 | B+ | USD | 856 | (15,910 | ) | (53,025 | ) | 37,115 | ||||||||||||||||||||||||||
|
Chesapeake Energy Corp. |
5.00 | Quarterly | Barclays Bank PLC | 12/20/23 | B+ | USD | 368 | (141,395 | ) | 568 | (141,963 | ) | ||||||||||||||||||||||||||
|
Chesapeake Energy Corp. |
5.00 | Quarterly | Barclays Bank PLC | 12/20/23 | B+ | USD | 332 | (127,562 | ) | 2,582 | (130,144 | ) | ||||||||||||||||||||||||||
|
Casino Guichard Perrachon SA |
5.00 | Quarterly | Credit Suisse International | 06/20/24 | B | EUR | 53 | (3,583 | ) | (3,558 | ) | (25 | ) | |||||||||||||||||||||||||
|
Casino Guichard Perrachon SA |
5.00 | Quarterly | Credit Suisse International | 06/20/24 | B | EUR | 47 | (3,167 | ) | (3,629 | ) | 462 | ||||||||||||||||||||||||||
|
Telecom Italia SpA |
1.00 | Quarterly | Goldman Sachs International | 06/20/24 | BB+ | EUR | 50 | (309 | ) | (4,139 | ) | 3,830 | ||||||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | Credit Suisse International | 12/20/24 | B- | EUR | 50 | 1,420 | (669 | ) | 2,089 | |||||||||||||||||||||||||||
|
Garfunkelux Holdco 2 SA |
5.00 | Quarterly | Credit Suisse International | 12/20/24 | B- | EUR | 140 | 3,977 | — | 3,977 | ||||||||||||||||||||||||||||
|
CenturyLink, Inc. |
1.00 | Quarterly | Barclays Bank PLC | 06/20/25 | B+ | USD | 1,221 | (81,172 | ) | (180,858 | ) | 99,686 | ||||||||||||||||||||||||||
|
Tesco PLC |
1.00 | Quarterly | Barclays Bank PLC | 12/20/25 | BB+ | EUR | 200 | (970 | ) | (5,176 | ) | 4,206 | ||||||||||||||||||||||||||
|
Telecom Italia SpA |
1.00 | Quarterly | Citibank N.A. | 06/20/26 | BB+ | EUR | 51 | (2,807 | ) | (7,081 | ) | 4,274 | ||||||||||||||||||||||||||
|
Virgin Media Finance PLC |
5.00 | Quarterly | Credit Suisse International | 12/20/26 | B | EUR | 100 | 22,428 | 24,396 | (1,968 | ) | |||||||||||||||||||||||||||
|
Tesco PLC |
1.00 | Quarterly |
|
Morgan Stanley & Co.
International PLC |
|
12/20/28 | BB+ | EUR | 290 | (13,415 | ) | (26,725 | ) | 13,310 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| $ | (422,712 | ) | $ | (292,743 | ) | $ | (129,969 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| (a) |
Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
| (b) |
The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. |
| SCHEDULES OF INVESTMENTS | 65 |
|
Consolidated Schedule of Investments (continued) December 31, 2019 |
BlackRock Corporate High Yield Fund, Inc. (HYT) |
Balances Reported in the Consolidated Statement 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) |
$ | 1,713,001 | $ | — | $ | 835,292 | $ | — | $ | — | ||||||||||
|
OTC Swaps |
27,546 | (365,732 | ) | 174,244 | (298,918 | ) | — | |||||||||||||
|
Options Written |
N/A | N/A | — | (1,271 | ) | (52,881 | ) | |||||||||||||
| (a) |
Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Consolidated 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 |
||||||||||||||||||||||||||||
|
Unrealized appreciation on futures contracts(a) |
$ | — | $ | — | $ | — | $ | — | $ | 35,179 | $ | — | $ | 35,179 | ||||||||||||||
|
Options purchased |
||||||||||||||||||||||||||||
|
Investments at value — unaffiliated(b) |
— | — | — | — | 441,301 | — | 441,301 | |||||||||||||||||||||
|
Swaps — centrally cleared |
||||||||||||||||||||||||||||
|
Unrealized appreciation on centrally cleared swaps(a) |
— | 835,292 | — | — | — | — | 835,292 | |||||||||||||||||||||
|
Swaps — OTC |
||||||||||||||||||||||||||||
|
Unrealized appreciation on OTC swaps; Swap premiums paid |
— | 201,790 | — | — | — | — | 201,790 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | 1,037,082 | $ | — | $ | — | $ | 476,480 | $ | — | $ | 1,513,562 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
|
Futures contracts |
||||||||||||||||||||||||||||
|
Unrealized depreciation on futures contracts(a) |
$ | — | $ | — | $ | 853 | $ | — | $ | — | $ | — | $ | 853 | ||||||||||||||
|
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
|
Unrealized depreciation on forward foreign currency exchange contracts |
— | — | — | 1,036,039 | — | — | 1,036,039 | |||||||||||||||||||||
|
Options written |
||||||||||||||||||||||||||||
|
Options written at value |
— | — | — | — | 52,881 | — | 52,881 | |||||||||||||||||||||
|
Swaps — OTC |
||||||||||||||||||||||||||||
|
Unrealized depreciation on OTC swaps; Swap premiums received |
— | 664,650 | — | — | — | — | 664,650 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | 664,650 | $ | 853 | $ | 1,036,039 | $ | 52,881 | $ | — | $ | 1,754,423 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| (a) |
Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Consolidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
| (b) |
Includes options purchased at value as reported in the Consolidated Schedule of Investments. |
For the period ended December 31, 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 |
$ | — | $ | — | $ | (321,935 | ) | $ | — | $ | (46,354 | ) | $ | — | $ | (368,289 | ) | |||||||||||
|
Forward foreign currency exchange contracts |
— | — | — | 414,429 | — | — | 414,429 | |||||||||||||||||||||
|
Options purchased(a) |
— | 48,750 | (392,283 | ) | — | — | — | (343,533 | ) | |||||||||||||||||||
|
Options written |
— | 77,500 | 229,033 | — | — | — | 306,533 | |||||||||||||||||||||
|
Swaps |
— | 459,682 | 27,685 | — | — | — | 487,367 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | 585,932 | $ | (457,500 | ) | $ | 414,429 | $ | (46,354 | ) | $ | — | $ | 496,507 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| (a) |
Options purchased are included in net realized gain (loss) from investments. |
| 66 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Consolidated Schedule of Investments (continued) December 31, 2019 |
BlackRock Corporate High Yield Fund, Inc. (HYT) |
|
Commodity
Contracts |
Credit Contracts |
Equity Contracts |
Foreign
Currency Exchange Contracts |
Interest
Rate Contracts |
Other Contracts |
Total | ||||||||||||||||||||||
|
Net Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||||||||||||||||||
|
Futures contracts |
$ | — | $ | — | $ | 216,371 | $ | — | $ | 105,266 | $ | — | $ | 321,637 | ||||||||||||||
|
Forward foreign currency exchange contracts |
— | — | — | (1,885,102 | ) | — | — | (1,885,102 | ) | |||||||||||||||||||
|
Options purchased(b) |
— | — | 4,316 | — | (13,957 | ) | — | (9,641 | ) | |||||||||||||||||||
|
Options written |
— | — | — | — | (1,271 | ) | — | (1,271 | ) | |||||||||||||||||||
|
Swaps |
— | 496,769 | — | — | — | — | 496,769 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | 496,769 | $ | 220,687 | $ | (1,885,102 | ) | $ | 90,038 | $ | — | $ | (1,077,608 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| (b) |
Options purchased are included in net change in unrealized appreciation (depreciation) on investments. |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
|
Futures contracts: |
|
|||
|
Average notional value of contracts — long |
$ | 170,693 | ||
|
Average notional value of contracts — short |
$ | 1,803,271 | ||
|
Forward foreign currency exchange contracts: |
|
|||
|
Average amounts purchased — in USD |
$ | 86,662,569 | ||
|
Average amounts sold — in USD |
$ | 29,282,410 | ||
|
Options: |
|
|||
|
Average value of option contracts purchased |
$ | 766 | ||
|
Average value of option contracts written |
$ | — | (a) | |
|
Average notional value of swaption contracts purchased |
$ | 48,110,000 | ||
|
Average notional value of swaption contracts written |
$ | 25,805,000 | ||
|
Credit default swaps: |
|
|||
|
Average notional value — buy protection |
$ | 233,467 | ||
|
Average notional value — sell protection |
$ | 30,663,395 | ||
|
Total return swaps: |
|
|||
|
Average notional value |
$ | — | (a) | |
| (a) |
Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. |
For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Consolidated Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Trust’s derivative assets and liabilities (by type) were as follows:
| Assets | Liabilities | |||||||
|
Derivative Financial Instruments: |
||||||||
|
Futures contracts |
$ | 2,313 | $ | 3,827 | ||||
|
Forward foreign currency exchange contracts |
— | 1,036,039 | ||||||
|
Options(a) |
441,301 | (a) | 52,881 | |||||
|
Swaps — Centrally cleared |
— | 2,395 | ||||||
|
Swaps — OTC(b) |
201,790 | 664,650 | ||||||
|
|
|
|
|
|||||
|
Total derivative assets and liabilities in the Consolidated Statement of Assets and Liabilities |
$ | 645,404 | $ | 1,759,792 | ||||
|
|
|
|
|
|||||
|
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
(2,313 | ) | (6,222 | ) | ||||
|
|
|
|
|
|||||
|
Total derivative assets and liabilities subject to an MNA |
$ | 643,091 | $ | 1,753,570 | ||||
|
|
|
|
|
|||||
| (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. |
| SCHEDULES OF INVESTMENTS | 67 |
|
Consolidated Schedule of Investments (continued) December 31, 2019 |
BlackRock Corporate High Yield Fund, Inc. (HYT) |
Derivative Financial Instruments — Offsetting as of Period End (continued)
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 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 |
Net
Amount of Derivative Assets (b)(c) |
|||||||||||||||
|
Bank of America N.A. |
$ | 328,613 | $ | (70,649 | ) | $ | — | $ | — | $ | 257,964 | |||||||||
|
Barclays Bank PLC |
259,319 | (259,319 | ) | — | — | — | ||||||||||||||
|
Citibank N.A. |
4,274 | (4,274 | ) | — | — | — | ||||||||||||||
|
Credit Suisse International |
30,924 | (9,849 | ) | — | — | 21,075 | ||||||||||||||
|
Goldman Sachs International |
3,830 | (3,830 | ) | — | — | — | ||||||||||||||
|
JPMorgan Chase Bank N.A. |
2,821 | (2,821 | ) | — | — | — | ||||||||||||||
|
Morgan Stanley & Co. International PLC |
13,310 | (13,310 | ) | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 643,091 | $ | (364,052 | ) | $ | — | $ | — | $ | 279,039 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Counterparty |
Derivative
Liabilities Subject to an MNA by Counterparty |
Derivatives
Available for Offset (a) |
Non-cash
Collateral Pledged |
Cash
Collateral Pledged (d) |
Net
Amount
of Derivative Liabilities (c)(e) |
|||||||||||||||
|
Bank of America N.A. |
$ | 70,649 | $ | (70,649 | ) | $ | — | $ | — | $ | — | |||||||||
|
Barclays Bank PLC |
651,248 | (259,319 | ) | — | (391,929 | ) | — | |||||||||||||
|
BNP Paribas S.A. |
36,208 | — | — | — | 36,208 | |||||||||||||||
|
Canadian Imperial Bank of Commerce |
1,468 | — | — | — | 1,468 | |||||||||||||||
|
Citibank N.A. |
874,156 | (4,274 | ) | — | — | 869,882 | ||||||||||||||
|
Credit Suisse International |
9,849 | (9,849 | ) | — | — | — | ||||||||||||||
|
Goldman Sachs International |
15,694 | (3,830 | ) | — | — | 11,864 | ||||||||||||||
|
JPMorgan Chase Bank N.A. |
42,165 | (2,821 | ) | — | — | 39,344 | ||||||||||||||
|
Morgan Stanley & Co. International PLC |
26,725 | (13,310 | ) | — | — | 13,415 | ||||||||||||||
|
National Australia Bank Ltd. |
22,650 | — | — | — | 22,650 | |||||||||||||||
|
Natwest Markets PLC |
1,367 | — | — | — | 1,367 | |||||||||||||||
|
State Street Bank and Trust Co. |
1,391 | — | — | — | 1,391 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 1,753,570 | $ | (364,052 | ) | $ | — | $ | (391,929 | ) | $ | 997,589 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (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) |
Net amount represents the net amount receivable from the counterparty in the event of default. |
| (c) |
Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
| (d) |
Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
| (e) |
Net amount represents the net amount payable due to the counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Consolidated Statement of Assets and Liabilities. |
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 Consolidated 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 |
$ | — | $ | 19,492,826 | $ | — | $ | 19,492,826 | ||||||||
|
Common Stocks(a) |
18,649,789 | 130,680 | 2,297,448 | 21,077,917 | ||||||||||||
|
Corporate Bonds(a) |
323,283 | 1,715,565,749 | 25,016 | 1,715,914,048 | ||||||||||||
|
Floating Rate Loan Interests(a) |
— | 167,631,260 | 12,707,738 | 180,338,998 | ||||||||||||
|
Investment Companies |
37,616,423 | — | — | 37,616,423 | ||||||||||||
|
Other Interests |
— | — | 12 | 12 | ||||||||||||
|
Preferred Securities(a) |
1,481,698 | 75,530,292 | 2,496,335 | 79,508,325 | ||||||||||||
|
Options Purchased |
||||||||||||||||
|
Interest rate contracts |
— | 441,301 | — | 441,301 | ||||||||||||
|
Unfunded Floating Rate Loan Interests(b) |
— | 80,000 | — | 80,000 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
|
Subtotal |
$ | 58,071,193 | $ | 1,978,872,108 | $ | 17,526,549 | $ | 2,054,469,850 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
|
Investments Valued at NAV(c) |
208,196 | |||||||||||||||
|
|
|
|||||||||||||||
|
Total Investments |
$ | 2,054,678,046 | ||||||||||||||
|
|
|
|||||||||||||||
| 68 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
|
Consolidated Schedule of Investments (continued) December 31, 2019 |
BlackRock Corporate High Yield Fund, Inc. (HYT) |
Fair Value Hierarchy as of Period End (continued)
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
|
Derivative Financial Instruments (d) |
|
|||||||||||||||
|
Assets: |
|
|||||||||||||||
|
Credit contracts |
$ | — | $ | 1,009,536 | $ | — | $ | 1,009,536 | ||||||||
|
Interest rate contracts |
35,179 | — | — | 35,179 | ||||||||||||
|
Liabilities: |
|
|||||||||||||||
|
Credit contracts |
— | (298,918 | ) | — | (298,918 | ) | ||||||||||
|
Equity contracts |
(853 | ) | — | — | (853 | ) | ||||||||||
|
Forward foreign currency contracts |
— | (1,036,039 | ) | — | (1,036,039 | ) | ||||||||||
|
Interest rate contracts |
— | (52,881 | ) | — | (52,881 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 34,326 | $ | (378,302 | ) | $ | — | $ | (343,976 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) |
See above Consolidated Schedule of Investments for values in each industry. |
| (b) |
Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
| (c) |
Certain investments of the Trust were fair valued using NAV per share or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
| (d) |
Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts, and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $607,000,000 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 |
Corporate Bonds |
Floating Rate Loan Interests |
Other Interests |
Preferred Securities |
Total | |||||||||||||||||||
|
Assets: |
||||||||||||||||||||||||
|
Opening Balance, as of August 31, 2019 |
$ | 2,187,341 | $ | 8,973,581 | $ | 9,956,568 | $ | 12 | $ | 2,496,335 | $ | 23,613,837 | ||||||||||||
|
Transfers into Level 3 |
— | — | 2,954,951 | — | — | 2,954,951 | ||||||||||||||||||
|
Transfers out of Level 3 |
— | — | (253,994 | ) | — | — | (253,994 | ) | ||||||||||||||||
|
Accrued discounts/premiums |
— | 15,521 | 4,761 | — | — | 20,282 | ||||||||||||||||||
|
Net realized gain (loss) |
— | (25,738 | ) | 233 | — | — | (25,505 | ) | ||||||||||||||||
|
Net change in unrealized appreciation (depreciation)(a)(b) |
110,107 | (299,758 | ) | 82,328 | — | — | (107,323 | ) | ||||||||||||||||
|
Purchases |
— | — | — | — | — | — | ||||||||||||||||||
|
Sales |
— | (8,638,590 | ) | (37,109 | ) | — | — | (8,675,699 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
Closing Balance, as of December 31, 2019 |
$ | 2,297,448 | $ | 25,016 | $ | 12,707,738 | $ | 12 | $ | 2,496,335 | $ | 17,526,549 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2019(b) |
$ | 110,107 | $ | (4,065 | ) | $ | 82,328 | $ | — | $ | — | $ | 188,370 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| (a) |
Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statement of Operations. |
| (b) |
Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 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.
| SCHEDULES OF INVESTMENTS | 69 |
Statements of Assets and Liabilities
December 31, 2019
See notes to financial statements.
| 70 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
| (a) |
Consolidated Statements of Operations. |
See notes to financial statements.
| FINANCIAL STATEMENTS | 71 |
Statements of Changes in Net Assets
| (a) |
Consolidated Statements of Changes in Net Assets. |
| (b) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| 72 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
| FINANCIAL STATEMENTS | 73 |
Statements of Cash Flows (continued)
| (a) |
Consolidated Statements of Cash Flows |
See notes to financial statements.
| 74 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
(For a share outstanding throughout each period)
| BHK | ||||||||||||||||||||||||||||
|
Period from
09/01/19 to 12/31/19 |
Year Ended August 31, | |||||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ | 15.79 | $ | 14.08 | $ | 14.96 | $ | 15.25 | $ | 14.29 | $ | 15.24 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Net investment income(a) |
0.22 | 0.66 | 0.72 | 0.76 | 0.79 | 0.86 | ||||||||||||||||||||||
|
Net realized and unrealized gain (loss) |
(0.36 | ) | 1.82 | (0.82 | ) | (0.27 | ) | 1.01 | (0.73 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Net increase (decrease) from investment operations |
(0.14 | ) | 2.48 | (0.10 | ) | 0.49 | 1.80 | 0.13 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Distributions(b) |
||||||||||||||||||||||||||||
|
From net investment income |
(0.27 | ) | (0.73 | ) | (0.78 | ) | (0.78 | ) | (0.84 | ) | (1.04 | ) | ||||||||||||||||
|
From net realized gain |
(0.04 | ) | (0.04 | ) | — | — | — | — | ||||||||||||||||||||
|
From return of capital |
(0.02 | ) | — | — | — | — | — | |||||||||||||||||||||
|
In excess of net investment income(c) |
— | — | — | — | — | (0.04 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Total distributions |
(0.33 | ) | (0.77 | ) | (0.78 | ) | (0.78 | ) | (0.84 | ) | (1.08 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Net asset value, end of period |
$ | 15.32 | $ | 15.79 | $ | 14.08 | $ | 14.96 | $ | 15.25 | $ | 14.29 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Market price, end of period |
$ | 14.58 | $ | 14.56 | $ | 12.85 | $ | 14.10 | $ | 14.33 | $ | 12.63 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Total Return(d) |
||||||||||||||||||||||||||||
|
Based on net asset value |
(0.75 | )%(e) | 18.86 | % | (0.24 | )% | 3.88 | % | 13.67 | % | 1.62 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Based on market price |
2.43 | %(e) | 20.09 | % | (3.40 | )% | 4.20 | % | 20.85 | % | 0.35 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Ratios to Average Net Assets |
||||||||||||||||||||||||||||
|
Total expenses |
1.42 | %(f)(g) | 1.72 | % | 1.60 | % | 1.16 | % | 0.97 | % | 0.95 | %(h) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Total expenses after fees waived and/or reimbursed |
1.42 | %(f) | 1.72 | % | 1.60 | % | 1.16 | % | 0.97 | % | 0.95 | %(h) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Total expenses after fees waived and/or reimbursed and excluding interest expense |
0.79 | %(f) | 0.77 | % | 0.82 | % | 0.78 | % | 0.78 | % | 0.82 | %(h) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Net investment income |
4.15 | %(f) | 4.63 | % | 4.99 | % | 5.19 | % | 5.48 | % | 5.83 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Supplemental Data |
||||||||||||||||||||||||||||
|
Net assets, end of period (000) |
$ | 826,349 | $ | 851,650 | $ | 759,385 | $ | 806,848 | $ | 822,549 | $ | 770,822 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Borrowings outstanding, end of period (000) |
$ | 271,749 | $ | 273,621 | $ | 316,216 | $ | 289,078 | $ | 288,239 | $ | 303,651 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Portfolio turnover rate(i) |
21 | % | 27 | % | 28 | % | 32 | % | 35 | % | 55 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| (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) |
Annualized. |
| (g) |
Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 1.45%. |
| (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. |
| (i) |
Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
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Period from
09/01/19 to 12/31/19 |
Year Ended August 31, | |||||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||
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Portfolio turnover rate (excluding MDRs) |
11 | % | 27 | % | 28 | % | 32 | % | 35 | % | 51 | % | ||||||||||||||||
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See notes to financial statements.
| FINANCIAL HIGHLIGHTS | 75 |
Consolidated Financial Highlights (continued)
(For a share outstanding throughout each period)
| HYT | ||||||||||||||||||||||||||||
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Period from
09/01/19 to 12/31/19 |
Year Ended August 31, | |||||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||
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Net asset value, beginning of period |
$ | 11.82 | $ | 11.90 | $ | 12.22 | $ | 11.79 | $ | 12.06 | $ | 13.47 | ||||||||||||||||
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Net investment income(a) |
0.25 | 0.79 | 0.83 | 0.85 | 0.82 | 0.87 | ||||||||||||||||||||||
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Net realized and unrealized gain (loss) |
0.22 | (0.01 | ) | (0.31 | ) | 0.47 | (0.10 | ) | (1.31 | ) | ||||||||||||||||||
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Net increase (decrease) from investment operations |
0.47 | 0.78 | 0.52 | 1.32 | 0.72 | (0.44 | ) | |||||||||||||||||||||
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Distributions(b) |
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From net investment income |
(0.35 | ) | (0.86 | ) | (0.84 | ) | (0.89 | ) | (0.99 | ) | (0.97 | ) | ||||||||||||||||
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From return of capital |
(0.03 | ) | — | — | — | — | — | |||||||||||||||||||||
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Total distributions |
(0.38 | ) | (0.86 | ) | (0.84 | ) | (0.89 | ) | (0.99 | ) | (0.97 | ) | ||||||||||||||||
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Net asset value, end of period |
$ | 11.91 | $ | 11.82 | $ | 11.90 | $ | 12.22 | $ | 11.79 | $ | 12.06 | (c) | |||||||||||||||
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Market price, end of period |
$ | 11.20 | $ | 10.51 | $ | 10.70 | $ | 11.13 | $ | 10.88 | $ | 9.97 | ||||||||||||||||
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Total Return(d) |
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Based on net asset value |
4.28 | %(e) | 8.06 | % | 5.25 | % | 12.41 | %(f) | 7.76 | % | (2.40 | )%(c) | ||||||||||||||||
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Based on market price |
10.28 | %(e) | 6.86 | % | 3.91 | % | 10.94 | % | 20.29 | % | (9.96 | )% | ||||||||||||||||
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Ratios to Average Net Assets(g) |
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Total expenses |
1.92 | %(h)(i) | 2.19 | % | 1.99 | % | 1.54 | % | 1.39 | %(j) | 1.37 | % | ||||||||||||||||
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Total expenses after fees waived and/or reimbursed |
1.92 | %(h) | 2.19 | % | 1.99 | % | 1.54 | % | 1.39 | % | 1.37 | % | ||||||||||||||||
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Total expenses after fees waived and/or reimbursed and excluding interest expense |
0.93 | %(h) | 0.92 | % | 0.94 | % | 0.91 | % | 0.93 | % | 0.96 | % | ||||||||||||||||
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Net investment income |
6.39 | %(h) | 6.87 | % | 6.88 | % | 7.04 | % | 7.30 | % | 6.88 | % | ||||||||||||||||
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Supplemental Data |
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Net assets, end of period (000) |
$ | 1,451,868 | $ | 1,440,436 | $ | 1,482,422 | $ | 1,545,622 | $ | 1,492,948 | $ | 1,527,307 | ||||||||||||||||
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Borrowings outstanding, end of period (000) |
$ | 607,000 | $ | 486,000 | $ | 647,000 | $ | 649,000 | $ | 604,000 | $ | 631,000 | ||||||||||||||||
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Asset coverage, end of period per $1,000 of bank borrowings |
$ | 3,392 | $ | 3,965 | $ | 3,292 | $ | 3,382 | $ | 3,472 | $ | 3,419 | ||||||||||||||||
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Portfolio turnover rate |
20 | % | 64 | % | 65 | % | 75 | % | 66 | % | 57 | % | ||||||||||||||||
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| (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: |
|
Period from
09/01/19 to 12/31/19 |
Year Ended August 31, | |||||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||||
|
Investments in underlying funds |
0.01 | % | — | % | 0.01 | % | 0.04 | % | 0.11 | % | — | % | ||||||||||||||||
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| (h) |
Annualized. |
| (i) |
Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 1.95%. |
| (j) |
Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.34%, 1.34% and 0.97%, respectively. |
See notes to financial statements.
| 76 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
| 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.
On September 5, 2019, the Board approved a change in the fiscal year end of BHK and HYT, effective as of December 31, 2019, from August 31 to December 31.
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 holds shares of private Canadian companies. 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 for HYT. 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 $596,674, 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. 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, TBA sale commitments, futures contracts, forward foreign currency exchange contracts, options written and swaps) 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 borrowings 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 paid by the Trusts are recorded on the ex-dividend date. Subject to the Trusts’ managed distribution plan, the Trusts intend to make monthly cash distributions to shareholders, which may consist of net investment income and net realized and unrealized gains on investments and/or return of capital.
The character of distributions is 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. See Note 8, Income Tax Information, for the tax character of each Trust’s distributions paid during the period.
| NOTES TO FINANCIAL STATEMENTS | 77 |
Notes to Financial Statements (continued)
Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by the Board, the trustees who are not “interested persons” of the Trusts, as defined in the 1940 Act, (“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.
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: The Trusts have adopted Financial Accounting Standards Board Accounting Standards Update 2017-08 to amend the amortization period for certain purchased callable debt securities held at a premium. Under the new standard, the Trusts have changed the amortization period for the premium on certain purchased callable debt securities with non-contingent call features to the earliest call date. In accordance with the transition provisions of the standard, the Trusts applied the amendments on a modified retrospective basis beginning with the fiscal period ended August 31, 2019. The adjusted cost basis of securities at August 31, 2019 are as follows:
|
BHK |
$ | 1,022,001,236 | ||
|
HYT |
1,900,517,552 |
This change in accounting policy has been made to comply with the newly issued accounting standard and had no impact on accumulated earnings (loss) or the net asset value of 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 funds, including other funds managed by the Manager, are prorated among those funds 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 fund 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 and 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. |
| 78 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
| • |
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. |
| • |
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 based on that day’s prevailing forward exchange rate for the underlying currencies. 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. |
| • |
To-be-announced (“TBA”) commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services. |
If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
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 the Global Valuation Committee and third party pricing services utilize one or a combination of, but not limited to, the following inputs.
| Standard Inputs Generally Considered By Third Party Pricing Services | ||
|
Market approach |
(i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii) market multiples of comparable issuers. |
|
|
Income approach |
(i) future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. |
|
|
Cost approach |
(i) audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii) relevant news and other public sources; and (iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company. |
Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Trust. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Trust is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Trust could receive upon the sale of the investment.
Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:
| • |
Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Trust has the ability to access |
| • |
Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
| NOTES TO FINANCIAL STATEMENTS | 79 |
Notes to Financial Statements (continued)
| • |
Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies. There may not be a secondary market, and/or there are a limited number of investors. 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 December 31, 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 fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund 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.
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.
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.
| 80 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.
Floating Rate Loan Interests: 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 fund 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 fund 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 fund’s investment policies.
When a fund 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 fund 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 fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund 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 fund 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 fund having a contractual relationship only with the lender, not with the borrower. A fund 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 fund 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 fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’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 fund 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 fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.
In connection with floating rate loan interests, certain trusts may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a trust earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the Trusts had the following unfunded floating rate loan interests:
| Borrower | Par |
Commitment Amount |
Value |
Unrealized
Appreciation |
||||||||||||||
|
BHK |
Connect Finco Sarl | $ | 221,645 | $ | 218,142 | $ | 222,545 | $ | 4,403 | |||||||||
| McDermott Technology Americas Inc. | 156,902 | 156,902 | 159,883 | 2,981 | ||||||||||||||
|
HYT |
Connect Finco Sarl | 2,070,463 | 2,029,053 | 2,078,869 | 49,816 | |||||||||||||
| McDermott Technology Americas Inc. | 1,588,647 | 1,588,647 | 1,618,831 | 30,184 | ||||||||||||||
Forward Commitments, When-Issued and Delayed Delivery Securities: Certain funds 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 fund 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 fund may be required to pay more at settlement than the security is worth. In addition, a fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a fund 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 fund’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.
TBA Commitments: TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.
In order to better define contractual rights and to secure rights that will help a fund mitigate their counterparty risk, TBA commitments may be entered into by a fund under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. The collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such
| NOTES TO FINANCIAL STATEMENTS | 81 |
Notes to Financial Statements (continued)
agreement and comparing that amount to the value of the collateral currently pledged by a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a fund, if any, is noted in the Schedules of Investments. Typically, a fund is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund are not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty non-performance.
Mortgage Dollar Roll Transactions: Certain funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and realize gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.
Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third party broker dealers in which a fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a fund 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 fund 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 fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a fund would still be required to pay the full repurchase price. Further, a fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a fund 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 fund 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 fund may receive a fee for the use of the security by the counterparty, which may result in interest income to a fund.
For the period ended December 31, 2019, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for BHK were $269,385,412 and 2.02%, respectively.
Reverse repurchase transactions are entered into by a fund under Master Repurchase Agreements (each, an “MRA”), which permit a fund, 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 fund. With reverse repurchase transactions, typically a fund 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 fund 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 fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a fund 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 (b) | ||||||||||||
|
Barclays Bank PLC |
$ | 2,031,762 | $ | (2,031,762 | ) | $ | — | $ | — | |||||||
|
Barclays Capital, Inc. |
426,300 | (426,300 | ) | — | — | |||||||||||
|
BNP Paribas S.A. |
104,982,695 | (104,982,695 | ) | — | — | |||||||||||
|
Cantor Fitzgerald & Company |
27,910,568 | (27,910,568 | ) | — | — | |||||||||||
|
Citigroup Global Markets, Inc. |
20,798,164 | (20,798,164 | ) | — | — | |||||||||||
|
HSBC Securities (USA), Inc. |
33,157,610 | (33,157,610 | ) | — | — | |||||||||||
|
J.P. Morgan Securities LLC |
1,385,587 | (1,385,587 | ) | — | — | |||||||||||
|
Nomura Securities International, Inc. |
81,056,025 | (81,056,025 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 271,748,711 | $ | (271,748,711 | ) | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) |
Net collateral, including accrued interest, with a value of $273,386,150 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes |
| (b) |
Net amount represents the net amount payable due to the counterparty in the event of default. |
In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a fund’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 fund’s obligation to repurchase the securities.
| 82 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
| 5. |
DERIVATIVE FINANCIAL INSTRUMENTS |
The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) 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, and such value may exceed the amounts reflected in the Statements of Assets and Liabilities. 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, cash is segregated 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 and floors — Interest rate caps and floors 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. |
| NOTES TO FINANCIAL STATEMENTS | 83 |
Notes to Financial Statements (continued)
| • |
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 they otherwise would not, or at a price different from the current market value.
Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Trusts and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).
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 fund 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 security or market (e.g., fixed-income) with another security or 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 of underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instruments 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.
| 84 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
Master Netting Arrangements: In order to define their contractual rights and to secure rights that will help them mitigate their counterparty risk, the Trusts may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each Trust and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Trust may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events.
Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the 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 and 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” are determined as total assets of the Trust (including any assets attributable to money borrowed for investment purposes) less the sum of its accrued liabilities (other than money borrowed for investment purposes).
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 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.
Effective November 21, 2019, with respect to each Trust, the Manager entered into separate sub-advisory agreements with BlackRock International Limited (“BIL”) and, with respect to BHK, BlackRock (Singapore) Limited (“BRS”) (together, the “Sub-Advisers”), each an affiliate of the Manager. The Manager pays BIL and BRS for services they provide for that portion of each Trust for which BIL and BRS, as applicable, acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by each Trust to the Manager.
Expense Waivers and Reimbursements: With respect to each Trust, the Manager contractually 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”) through June 30, 2021. Prior to December 1, 2019, this waiver and/or reimbursement was voluntary. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. The amounts waived were as follows:
| BHK | HYT | |||||||||||||||
|
Period from
09/01/19 to 12/31/19 |
Year Ended
08/31/19 |
Period from
09/01/19 to 12/31/19 |
Year Ended
08/31/19 |
|||||||||||||
|
Amounts waived |
$ | 4,963 | $ | 8,714 | $ | 501 | $ | 1,773 | ||||||||
| NOTES TO FINANCIAL STATEMENTS | 85 |
Notes to Financial Statements (continued)
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, 2021. 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. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. The amounts waived for HYT were as follows:
|
Period from
09/01/19 to 12/31/19 |
Year Ended
08/31/19 |
|||||||
|
Amounts waived |
$ | 38,680 | $ | 15,996 | ||||
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 period ended December 31, 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 (Loss) | ||||||||||
|
HYT |
$ | 10,813,963 | $ | — | $ | — | ||||||
| 7. |
PURCHASES AND SALES |
For the period ended December 31, 2019, purchases and sales of investments, including paydowns and mortgage dollar rolls and excluding short-term securities, were as follows:
| BHK | HYT | |||||||
|
Purchases |
$ | 305,641,822 | $ | 522,271,630 | ||||
|
Sales |
230,862,170 | 401,363,927 | ||||||
For the period ended December 31, 2019, purchases and sales related to mortgage dollar rolls were as follows:
| Purchases | Sales | |||||||
|
BHK |
$ | 102,713,291 | $ | 102,643,190 | ||||
| 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, 2019 and period ended December 31, 2019. 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 December 31, 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 Trusts’ financial statements.
The tax character of distributions paid was as follows:
| BHK | HYT | |||||||
|
Ordinary income |
||||||||
|
12/31/2019 |
$ | 16,633,478 | $ | 43,177,944 | ||||
|
8/31/2019 |
41,530,051 | 106,289,272 | ||||||
|
8/31/2018 |
42,069,401 | 106,302,838 | ||||||
|
Return of Capital |
||||||||
|
12/31/2019 |
1,186,687 | 3,584,451 | ||||||
|
8/31/2019 |
— | — | ||||||
|
8/31/2018 |
— | — | ||||||
|
|
|
|
|
|||||
|
12/31/2019 |
$ | 17,820,165 | $ | 46,762,395 | ||||
|
|
|
|
|
|||||
|
8/31/2019 |
$ | 41,530,051 | $ | 106,289,272 | ||||
|
|
|
|
|
|||||
|
8/31/2018 |
$ | 42,069,401 | $ | 106,302,838 | ||||
|
|
|
|
|
|||||
| 86 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
As of period end, the tax components of accumulated earnings (loss) were as follows:
| BHK | HYT | |||||||
|
Non-expiring Capital loss carryforwards(a) |
(5,785,613 | ) | (143,923,343 | ) | ||||
|
Net unrealized gains (losses)(b) |
77,777,307 | 19,765,334 | ||||||
|
|
|
|
|
|||||
| $ | 71,991,694 | $ | (124,158,009 | ) | ||||
|
|
|
|
|
|||||
| (a) |
Amounts available to offset future realized capital gains. |
| (b) |
The differences between book-basis and tax-basis net unrealized gains (losses) were attributable primarily to the tax deferral of losses on wash sales and straddles, the accrual of income on securities in default, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency contracts, the timing and recognition of partnership income, the accounting for swap agreements, deferral of compensation to trustees, the classification of investments, the investment in a wholly owned subsidiary and dividends recognized for tax purposes. |
As of December 31, 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 |
$ | 1,125,314,333 | $ | 2,023,719,394 | ||||
|
|
|
|
|
|||||
|
Gross unrealized appreciation |
97,280,082 | 87,241,953 | ||||||
|
Gross unrealized depreciation |
(15,289,213 | ) | (55,531,636 | ) | ||||
|
|
|
|
|
|||||
|
Net unrealized appreciation |
$ | 81,990,869 | $ | 31,710,317 | ||||
|
|
|
|
|
|||||
| 9. |
BANK BORROWINGS |
HYT is party to a senior committed secured, 360-day rolling line of credit facility and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). SSB may elect to terminate its commitment upon 360-days written notice to HYT. As of period end, HYT has not received any notice to terminate. HYT has granted a security interest in substantially all of its assets to SSB.
The SSB Agreement allows for the maximum commitment of $732,000,000 for HYT.
Advances will be made by SSB to HYT, at HYT’s option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR. Overnight LIBOR and LIBOR rates are subject to a 0% floor.
In addition, HYT paid a commitment fee (based on the daily unused portion of the commitments). The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs, if any. Advances to HYT as of period end, if any, 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 period ended December 31, 2019, the average amount of bank borrowings and the daily weighted average interest rates for HYT for loans under the revolving credit agreements were $555,491,803 and 2.65%, respectively.
| 10. |
PRINCIPAL RISKS |
Many municipalities insure repayment of their bonds, which may reduce the potential for loss due to credit risk. The market value of these bonds may fluctuate for other reasons, including market perception of the value of such insurance, and there is no guarantee that the insurer will meet its obligation.
Inventories of municipal bonds held by brokers and dealers may decrease, which would lessen their ability to make a market in these securities. Such a reduction in market making capacity could potentially decrease a Trust’s ability to buy or sell bonds. As a result, a Trust may sell a security at a lower price, sell other securities to raise cash, or give up an investment opportunity, any of which could have a negative impact on performance. If a Trust needed to sell large blocks of bonds, those sales could further reduce the bonds’ prices and impact performance.
In the normal course of business, the 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.
| NOTES TO FINANCIAL STATEMENTS | 87 |
Notes to Financial Statements (continued)
Each Trust may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. A Trust may not be able to readily dispose of such investments at prices that approximate those at which the Trust could sell such investments if they were more widely traded and, as a result of such illiquidity, the Trust may have to sell other investments or engage in borrowing transactions if necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting the Trust’s net asset value and ability to make dividend distributions. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.
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 a 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 deposit 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 Trusts may be subject to a greater risk of rising interest rates due to the current period of historically low rates.
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.
| 88 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
| 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, 2018 through November 30, 2019, each Trust 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, 2018, subject to certain conditions. From December 1, 2019 through November 30, 2020, each Trust 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, 2019, subject to certain conditions. There is no assurance that the Trusts will purchase shares in any particular amounts.
The total cost of the shares repurchased is reflected in HYT’s Consolidated Statements of Changes in Net Assets. For the periods shown, shares repurchased and cost, including transaction costs were as follows:
| HYT | ||||||||
| Shares | Amount | |||||||
|
Year Ended August 31, 2019 |
2,645,529 | $ | 26,449,511 | |||||
|
Year Ended August 31, 2018 |
1,909,403 | $ | 20,246,228 | |||||
During the period from September 1, 2019 to December 31, 2019 HYT did not repurchase any shares.
For the period ended December 31, 2019, the year ended August 31, 2019, and year ended August 31, 2018, shares issued and outstanding remained constant for BHK.
| 12. |
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 |
$ | 0.0676 | $ | 0.0676 | ||||
|
HYT |
0.0779 | 0.0779 | ||||||
| (a) |
Net investment income dividend paid on January 9, 2020 to Common Shareholders of record on December 31, 2019. |
| (b) |
Net investment income dividend declared on February 3, 2020, payable to shareholders of record on February 14, 2020. |
| NOTES TO FINANCIAL STATEMENTS | 89 |
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees/Directors of BlackRock Core Bond Trust and BlackRock Corporate High Yield Fund, Inc.:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of BlackRock Core Bond Trust, including the schedule of investments, as of December 31, 2019, the related statements of operations and cash flows for the period from September 1, 2019 through December 31, 2019 and for the year ended August 31, 2019, the statements of changes in net assets for the period from September 1, 2019 through December 31, 2019 and for each of the two years in the period ended August 31, 2019, the financial highlights for the period from September 1, 2019 through December 31, 2019 and for each of the five years in the period ended August 31, 2019, and the related notes. We have also audited the accompanying consolidated statement of assets and liabilities of BlackRock Corporate High Yield Fund, Inc. (collectively with the BlackRock Core Bond Trust, the “Funds”), including the consolidated schedule of investments, as of December 31, 2019, the related consolidated statements of operations and cash flows for the period from September 1, 2019 through December 31, 2019 and for the year ended August 31, 2019, the consolidated statements of changes in net assets for the period from September 1, 2019 through December 31, 2019 and for each of the two years in the period ended August 31, 2019, the consolidated financial highlights for the period from September 1, 2019 through December 31, 2019 and for each of the five years in the period ended August 31, 2019, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of December 31, 2019, and the results of their operations and their cash flows for the period from September 1, 2019 through December 31, 2019 and for the year ended August 31, 2019, the changes in their net assets for the period from September 1, 2019 through December 31, 2019 and for each of the two years in the period ended August 31, 2019, and the financial highlights for the period from September 1, 2019 through December 31, 2019 and each of the five years in the period ended August 31, 2019, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2019, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Deloitte &Touche LLP
Boston, Massachusetts
February 25, 2020
We have served as the auditor of one or more BlackRock investment companies since 1992.
| 90 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Important Tax Information (unaudited)
During the fiscal period ended December 31, 2019, the following information is provided with respect to the ordinary income distributions paid:
| Payable Dates | BHK | HYT | ||||||||
|
Qualified Dividend Income for Individuals(a) |
September 2019 | 12.64 | % | 3.95 | % | |||||
| October 2019 — December 2019 | 13.84 | 3.95 | ||||||||
|
Dividends Qualifying for the Dividends Received Deduction for Corporations(a) |
September 2019 — December 2019 | 8.84 | 2.80 | |||||||
|
Interest-Related Dividends and Qualified Short-Term Gains for Non-U.S. Residents(b) |
September 2019 | 92.78 | 77.77 | |||||||
| October 2019 — December 2019 | 76.56 | 78.05 | ||||||||
|
Federal Obligation Interest(c) |
September 2019 — December 2019 | 9.23 | 0.00 | |||||||
| (a) |
The Fund hereby designates the percentage indicated above or the maximum amount allowable by law. |
| (b) |
Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations. |
| (c) |
The law varies in each state as to whether and what percentage of dividend income attributable to federal obligations is exempt from state income tax. We recommend that you consult your tax advisor to determine if any portion of the dividends you received is exempt from state income taxes. |
| IMPORTANT TAX INFORMATION | 91 |
| Disclosure of Sub-Advisory Agreements | BlackRock Core Bond Trust |
The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of BlackRock Core Bond Trust (the “Fund”), met in person on November 14-15, 2019 (the “November Meeting”) to consider the initial approval of the sub-advisory agreements (the “Sub-Advisory Agreements”) among the Fund, BlackRock Advisors, LLC (the “Manager”), the Fund’s investment advisor, (a) BlackRock International Limited and (b) BlackRock (Singapore) Limited. The Sub-Advisory Agreements were substantially similar to the sub-advisory agreements previously approved with respect to certain other portfolios in the BlackRock Fixed-Income Complex.
On the date of the November Meeting, the Board consisted of eleven individuals, nine of whom were not “interested persons” of the Fund as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). Pursuant to the 1940 Act, the Board is required to consider the initial approval of the Sub-Advisory Agreements.
At the November Meeting, the Board reviewed materials relating to its consideration of the proposed Sub-Advisory Agreements. The Fund’s investment advisory agreement with the Manager was most recently approved by the Board at in-person meetings on May 1, 2019 (the “May Meeting”) and June 5-6, 2019 (the “June Meeting”). A discussion of the basis for the Board’s approval of this agreement at the May and June Meetings is included in the Fund’s annual shareholder report for the fiscal year ended August 31, 2019. The factors considered by the Board at the November Meeting in connection with approval of the proposed Sub-Advisory Agreements were substantially the same as the factors considered at the May and June Meetings.
Following discussion, all the Board Members present at the November Meeting, including all the Independent Board Members present, approved the Sub-Advisory Agreements among the Fund, the Manager, (a) BlackRock International Limited and (b) BlackRock (Singapore) Limited for a two-year term beginning on the effective date of the Sub-Advisory Agreements. Based upon its evaluation of all of the aforementioned factors in their totality, the Board, including the Independent Board Members, was satisfied that the terms of the Sub-Advisory Agreements were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at its decision to approve the Sub-Advisory Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.
| 92 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
| Disclosure of Sub-Advisory Agreement | BlackRock Corporate High Yield Fund, Inc. |
The Board of Directors (the “Board,” and the members of which are referred to as “Board Members”) of BlackRock Corporate High Yield Fund, Inc. (the “Fund”), met in person on November 14-15, 2019 (the “November Meeting”) to consider the initial approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) among the Fund, BlackRock Advisors, LLC (the “Manager”), the Fund’s investment advisor, and BlackRock International Limited. The Sub-Advisory Agreement was substantially similar to the sub-advisory agreements previously approved with respect to certain other portfolios in the BlackRock Fixed-Income Complex.
On the date of the November Meeting, the Board consisted of eleven individuals, nine of whom were not “interested persons” of the Fund as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). Pursuant to the 1940 Act, the Board is required to consider the initial approval of the Sub-Advisory Agreement.
At the November Meeting, the Board reviewed materials relating to its consideration of the proposed Sub-Advisory Agreement. The Fund’s investment advisory agreement with the Manager was most recently approved by the Board at in-person meetings on May 1, 2019 (the “May Meeting”) and June 5-6, 2019 (the “June Meeting”). A discussion of the basis for the Board’s approval of this agreement at the May and June Meetings is included in the Fund’s annual shareholder report for the fiscal year ended August 31, 2019. The factors considered by the Board at the November Meeting in connection with approval of the proposed Sub-Advisory Agreement were substantially the same as the factors considered at the May and June Meetings.
Following discussion, all the Board Members present at the November Meeting, including all the Independent Board Members present, approved the Sub-Advisory Agreement among the Fund, the Manager and BlackRock International Limited for a two-year term beginning on the effective date of the Sub-Advisory Agreement. Based upon its evaluation of all of the aforementioned factors in their totality, the Board, including the Independent Board Members, was satisfied that the terms of the Sub-Advisory Agreement were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at its decision to approve the Sub-Advisory Agreement, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.
| DISCLOSURE OF SUB-ADVISORY AGREEMENT | 93 |
Automatic Dividend Reinvestment Plan
Pursuant to each Trust’s Dividend Reinvestment Plan (the “Reinvestment Plan”), Common Shareholders are automatically enrolled to have all distributions of dividends and capital gains and other distributions reinvested by Computershare Trust Company, N.A. (the “Reinvestment Plan Agent”) in the respective Trust’s Common Shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street name or other nominee name, then to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.
After the Trusts declare a dividend or determine to make a capital gain or other distribution, the Reinvestment Plan Agent will acquire shares for the participants’ accounts, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Trusts (“newly issued shares”) or (ii) by purchase of outstanding shares on the open market or on the Trust’s primary exchange (“open-market purchases”). If, on the dividend payment date, the net asset value per share (“NAV”) is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market premium”), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares acquired on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the dividend payment date, the dollar amount of the dividend will be divided by 95% of the market price on the dividend payment date. If, on the dividend payment date, the NAV is greater than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market discount”), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment Plan Agent is unable to invest the full dividend amount in open-market purchases, or if the market discount shifts to a market premium during the purchase period, the Reinvestment Plan Agent will invest any un-invested portion in newly issued shares. Investments in newly issued shares made in this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.
You may elect not to participate in the Reinvestment Plan and to receive all dividends in cash by contacting the Reinvestment Plan Agent, at the address set forth below.
Participation in the Reinvestment Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend record date. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.
The Reinvestment Plan Agent’s fees for the handling of the reinvestment of distributions will be paid by each Trust. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Reinvestment Plan Agent’s open-market purchases in connection with the reinvestment of all distributions. The automatic reinvestment of all distributions will not relieve participants of any U.S. federal, state or local income tax that may be payable on such dividends or distributions.
Each Trust reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan; however, each Trust reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants that request a sale of shares are subject to a $2.50 sales fee and a $0.15 per share sold brokerage commission fee. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N.A. through the internet at computershare.com/blackrock, or in writing to Computershare, P.O. Box 505000, Louisville, KY 40233, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at Computershare, 462 South 4th Street, Suite 1600, Louisville, KY 40202.
| 94 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Trustee and Officer Information
| Independent Trustees (a) | ||||||||
|
Name
Year of Birth (b) |
Position(s) Held
(Length of Service) (c) |
Principal Occupation(s) During Past Five Years |
Number of BlackRock-Advised
Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen (d) |
Public Company and Other
Investment Company Directorships Held During Past Five Years |
||||
|
Richard E. Cavanagh 1946 |
Co-Chair of the Board and Trustee
(Since 2007) |
Director, The Guardian Life Insurance Company of America since 1998; Board Chair, Volunteers of America (a not-for-profit organization) from 2015 to 2018 (board member since 2009); Director, Arch Chemicals (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007 and Executive Dean from 1987 to 1995; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007. | 86 RICs consisting of 110 Portfolios | None | ||||
|
Karen P. Robards 1950 |
Co-Chair of the Board and Trustee
(Since 2007) |
Principal of Robards & Company, LLC (consulting and private investing) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Director of Enable Injections, LLC (medical devices) since 2019; Investment Banker at Morgan Stanley from 1976 to 1987. | 86 RICs consisting of 110 Portfolios | Greenhill & Co., Inc.; AtriCure, Inc. (medical devices) from 2000 until 2017 | ||||
|
Michael J. Castellano 1946 |
Trustee
(Since 2011) |
Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non-profit) from 2009 to June 2015 and since 2017; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012; Director, CircleBlack Inc. (financial technology company) since 2015. | 86 RICs consisting of 110 Portfolios | None | ||||
|
Cynthia L. Egan 1955 |
Trustee
(Since 2016) |
Advisor, U.S. Department of the Treasury from 2014 to 2015; President, Retirement Plan Services, for T. Rowe Price Group, Inc. from 2007 to 2012; executive positions within Fidelity Investments from 1989 to 2007. | 86 RICs consisting of 110 Portfolios | Unum (insurance); The Hanover Insurance Group (insurance); Envestnet (investment platform) from 2013 until 2016 | ||||
|
Frank J. Fabozzi (d) 1948 |
Trustee
(Since 2007) |
Editor of The Journal of Portfolio Management since 1986; Professor of Finance, EDHEC Business School (France) since 2011; Visiting Professor, Princeton University for the 2013 to 2014 academic year and Spring 2017 semester; Professor in the Practice of Finance, Yale University School of Management from 1994 to 2011 and currently a Teaching Fellow in Yale’s Executive Programs; Board Member, BlackRock Equity-Liquidity Funds from 2014 to 2016; affiliated professor Karlsruhe Institute of Technology from 2008 to 2011. | 87 RICs consisting of 111 Portfolios | None | ||||
|
Henry Gabbay 1947 |
Trustee
(Since 2019) |
Board Member, BlackRock Equity-Bond Board from 2007 to 2018; Board Member, BlackRock Equity-Liquidity and BlackRock Closed-End Fund Boards from 2007 through 2014; Consultant, BlackRock, Inc. from 2007 to 2008; Managing Director, BlackRock, Inc. from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Allocation Target Shares (formerly, BlackRock Bond Allocation Target Shares) from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006. | 86 RICs consisting of 110 Portfolios | None | ||||
| TRUSTEE AND OFFICER INFORMATION | 95 |
Trustee and Officer Information (continued)
| Independent Trustees (a) (continued) | ||||||||
|
Name
Year of Birth (b) |
Position(s) Held
(Length of Service) (c) |
Principal Occupation(s) During Past Five Years |
Number of BlackRock-Advised
Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen (d) |
Public Company and Other
Investment Company Directorships Held During Past Five Years |
||||
|
R. Glenn Hubbard 1958 |
Trustee
(Since 2007) |
Dean, Columbia Business School from 2004 to 2019; Faculty member, Columbia Business School since 1988. | 86 RICs consisting of 110 Portfolios | ADP (data and information services); Metropolitan Life Insurance Company (insurance); KKR Financial Corporation (finance) from 2004 until 2014 | ||||
|
W. Carl Kester (d) 1951 |
Trustee
(Since 2007) |
George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008; Deputy Dean for Academic Affairs from 2006 to 2010; Chairman of the Finance Unit, from 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981. | 87 RICs consisting of 111 Portfolios | None | ||||
|
Catherine A. Lynch (d) 1961 |
Trustee
(Since 2016) |
Chief Executive Officer, Chief Investment Officer and various other positions, National Railroad Retirement Investment Trust from 2003 to 2016; Associate Vice President for Treasury Management, The George Washington University from 1999 to 2003; Assistant Treasurer, Episcopal Church of America from 1995 to 1999. | 87 RICs consisting of 111 Portfolios | None | ||||
| Interested Trustees (a)(e) | ||||||||
|
Name
Year of Birth (b) |
Position(s) Held
(Length of Service) (c) |
Principal Occupation(s) During Past Five Years |
Number of BlackRock-Advised
Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen (d) |
Public Company and
Other Investment Company Directorships Held During Past Five Years |
||||
|
Robert Fairbairn 1965 |
Trustee
(Since 2018) |
Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock’s Global Executive and Global Operating Committees; Co-Chair of BlackRock’s Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock’s Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock’s Retail and iShares® businesses from 2012 to 2016. | 123 RICs consisting of 287 Portfolios | None | ||||
|
John M. Perlowski (d) 1964 |
Trustee
(Since 2015); President and Chief Executive Officer (Since 2010) |
Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009. | 124 RICs consisting of 288 Portfolios | None | ||||
|
(a) The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. |
||||||||
|
(b) Each Independent Trustee holds office until his or her successor is duly elected and qualifies or until his or her earlier death, resignation, retirement or removal as provided by the Trust’s by-laws or charter or statute, or until December 31 of the year in which he or she turns 75. Trustees who are “interested persons,” as defined in the Investment Company Act serve until their successor is duly elected and qualifies or until their earlier death, resignation, retirement or removal as provided by the Trust’s by-laws or statute, or until December 31 of the year in which they turn 72. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. |
||||||||
|
(c) Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. Certain Independent Trustees first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; R. Glenn Hubbard, 2004; W. Carl Kester, 1995; and Karen P. Robards, 1998. Mr. Gabbay became a member of the boards of the open-end funds in the BlackRock Fixed-Income Complex in 2007. |
||||||||
|
(d) Dr. Fabozzi, Dr. Kester, Ms. Lynch and Mr. Perlowski are also trustees of the BlackRock Credit Strategies Fund. |
||||||||
|
(e) Mr. Fairbairn and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Trusts based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Multi-Asset Complex. |
||||||||
| 96 | 2019 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS |
Trustee and Officer Information (continued)
| Officers Who Are Not Trustees (a) | ||||
|
Name
Year of Birth (b) |
Position(s) Held
(Length of Service) |
Principal Occupation(s) During Past Five Years | ||
|
Jonathan Diorio 1980 |
Vice President
(Since 2015) |
Managing Director of BlackRock, Inc. since 2015; Director of BlackRock, Inc. from 2011 to 2015. | ||
|
Neal J. Andrews 1966 |
Chief Financial Officer
(Since 2007) |
Chief Financial Officer of the iShares® exchange traded funds since 2019; Managing Director of BlackRock, Inc. since 2006. | ||
|
Jay M. Fife 1970 |
Treasurer
(Since 2007) |
Managing Director of BlackRock, Inc. since 2007. | ||
|
Charles Park 1967 |
Chief Compliance Officer
(Since 2014) |
Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012. | ||
|
Janey Ahn 1975 |
Secretary
(Since 2012) |
Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017. | ||
|
(a) The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. |
||||
|
(b) Officers of the Trusts serve at the pleasure of the Board. |
||||
Effective February 19, 2020, Henry Gabbay resigned as a Trustee of the Trusts.
Investment Adviser
BlackRock Advisors, LLC
Wilmington, DE 19809
Sub-Advisers
BlackRock International Limited
Edinburgh EH3 8BL
United Kingdom
BlackRock (Singapore) Limited(a)
079912 Singapore
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
| (a) |
For BHK only. |
| TRUSTEE AND OFFICER INFORMATION | 97 |
