UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-10543
Name of Fund: BlackRock Core Bond Trust (BHK)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: Anne F. Ackerley, Chief Executive Officer, BlackRock Core Bond Trust, 55 East 52nd Street, New York, NY 10055.
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2010
Date of reporting period: 05/31/2010
Item 1 – Schedule of Investments
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Schedule of Investments May 31, 2010 (Unaudited) |
BlackRock Core Bond Trust (BHK) |
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(Percentages shown are based on Net Assets) |
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Asset-Backed Securities |
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Par |
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Value |
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321 Henderson Receivables I LLC, |
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USD |
1,150 |
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$ |
1,132,750 |
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Chase Issuance Trust, Series |
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3,305 |
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3,308,087 |
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Countrywide Asset-Backed |
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1,430 |
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956,432 |
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Ford Credit Auto Owner Trust, |
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Class A3B, 2.84%, |
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5,780 |
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5,902,601 |
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Class A4, 6.07%, 5/15/14 |
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2,110 |
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2,314,319 |
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Globaldrive BV, Series 2008-2, |
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EUR |
686 |
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856,186 |
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Home Equity Asset Trust, Series |
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USD |
326 |
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311,569 |
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Maryland Insurance Backed |
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2,500 |
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875,000 |
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Nissan Auto Receivables Owner |
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796 |
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799,163 |
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SLM Student Loan Trust, |
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Class A2, 1.42%, 10/25/16 |
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3,200 |
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3,249,525 |
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Class A3, 1.62%, 1/25/18 |
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810 |
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838,444 |
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Class A4, 2.02%, 7/25/23 |
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2,180 |
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2,298,368 |
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Small Business Administration, Class 1: |
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Series 2003-P10B, 5.14%, |
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443 |
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468,917 |
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Series 2004-P10B, 4.75%, |
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272 |
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286,440 |
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23,597,801 |
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Interest Only Asset-Backed Securities — 0.3% |
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Sterling Bank Trust, Series 2004- |
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5,033 |
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353,913 |
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Sterling Coofs Trust, Series 1, |
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8,055 |
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818,086 |
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1,171,999 |
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Total Asset-Backed Securities – 6.9% |
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24,769,800 |
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Common Stocks |
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Shares |
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Value |
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Machinery — 0.0% |
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Accuride Corp. (c) |
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43,487 |
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$ |
58,708 |
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Specialty Retail — 0.0% |
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Lazydays RV Center, Inc. (c) |
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2,249 |
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8,771 |
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Total Common Stocks – 0.0% |
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67,479 |
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Corporate Bonds |
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Par |
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Aerospace & Defense — 1.2% |
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Honeywell International, Inc., |
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USD |
975 |
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1,055,349 |
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Northrop-Grumman Corp., 7.88%, |
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960 |
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1,214,191 |
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United Technologies Corp.: |
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4.88%, 5/01/15 |
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1,125 |
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1,244,996 |
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6.13%, 7/15/38 |
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|
700 |
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772,922 |
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4,287,458 |
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Air Freight & Logistics — 0.5% |
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United Parcel Service, Inc., 6.20%, |
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1,650 |
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1,863,990 |
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Airlines — 0.2% |
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American Airlines Pass-Through |
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380 |
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383,800 |
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United Air Lines, Inc., 12.75%, |
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340 |
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361,250 |
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745,050 |
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Beverages — 0.5% |
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Anheuser-Busch InBev Worldwide, |
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1,475 |
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1,928,437 |
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Building Products — 0.3% |
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Associated Materials LLC, 9.88%, |
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650 |
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698,750 |
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CPG International I, Inc., 10.50%, |
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200 |
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202,000 |
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900,750 |
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Capital Markets — 4.0% |
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The Bank of New York Mellon |
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1,505 |
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1,601,678 |
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CDP Financial, Inc. (a)(e): |
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3.00%, 11/25/14 |
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1,935 |
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1,921,678 |
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5.60%, 11/25/39 |
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2,935 |
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3,042,289 |
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Credit Suisse, 5.50%, 5/01/14 |
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575 |
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620,381 |
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The Goldman Sachs Group, Inc.: |
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5.38%, 3/15/20 |
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1,200 |
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1,157,694 |
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6.00%, 6/15/20 |
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|
490 |
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495,448 |
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Portfolio Abbreviations |
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To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:
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GBP |
British Pound |
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EUR |
Euro |
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GO |
General Obligation Bonds |
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LIBOR |
London InterBank Offered Rate |
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RB |
Revenue Bonds |
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TALF |
Term Asset-Backed Securities Loan Facility |
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TBD |
To Be Determined |
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USD |
US Dollar |
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BLACKROCK CORE BOND TRUST |
MAY 31, 2010 |
1 |
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Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
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(Percentages shown are based on Net Assets) |
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Corporate Bonds |
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Par |
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Value |
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Capital Markets (concluded) |
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Morgan Stanley: |
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2.93%, 5/14/13 (b) |
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USD |
2,350 |
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$ |
2,345,746 |
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4.20%, 11/20/14 (e) |
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1,420 |
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1,374,899 |
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6.25%, 8/28/17 (d) |
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875 |
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877,257 |
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5.63%, 9/23/19 |
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630 |
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602,082 |
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Series F, 5.55%, 4/27/17 |
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140 |
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138,099 |
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14,177,251 |
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Chemicals — 1.4% |
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American Pacific Corp., 9.00%, |
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250 |
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244,688 |
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Ames True Temper, Inc., 4.30%, |
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|
650 |
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612,625 |
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Hexion Finance Escrow LLC, |
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810 |
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749,250 |
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Hexion U.S. Finance Corp., 9.75%, |
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920 |
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878,600 |
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Huntsman International LLC: |
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6.88%, 11/15/13 (a) |
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EUR |
435 |
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501,779 |
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7.88%, 11/15/14 |
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USD |
190 |
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181,450 |
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5.50%, 6/30/16 (a) |
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|
675 |
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587,250 |
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Innophos, Inc., 8.88%, 8/15/14 |
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885 |
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907,125 |
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NOVA Chemicals Corp.: |
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6.50%, 1/15/12 |
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|
115 |
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115,000 |
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3.65%, 11/15/13 (b) |
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300 |
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277,500 |
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5,055,267 |
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Commercial Banks — 2.8% |
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DEPFA ACS Bank, 5.13%, |
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3,775 |
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2,655,633 |
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Dexia Credit Local SA, 2.00%, |
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1,060 |
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1,053,004 |
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Eksportfinans ASA: |
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1.88%, 4/02/13 |
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2,835 |
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2,839,099 |
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3.00%, 11/17/14 |
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1,475 |
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1,499,535 |
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5.50%, 6/26/17 |
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|
950 |
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1,057,605 |
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HSBC Bank USA NA, 5.88%, |
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|
775 |
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749,144 |
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HSBC Holdings Plc, 6.50%, |
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|
300 |
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|
304,157 |
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10,158,177 |
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Commercial Services & Supplies — 0.4% |
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DI Finance, Series B, 9.50%, |
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598 |
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605,475 |
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Waste Services, Inc., 9.50%, |
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590 |
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604,750 |
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West Corp., 9.50%, 10/15/14 |
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305 |
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303,475 |
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1,513,700 |
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Communications Equipment — 0.5% |
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Cisco Systems, Inc., 4.45%, |
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1,875 |
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1,925,145 |
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Consumer Finance — 0.3% |
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Ford Motor Credit Co. LLC: |
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3.05%, 1/13/12 (b) |
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|
125 |
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120,000 |
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7.80%, 6/01/12 |
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|
340 |
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346,766 |
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Corporate Bonds |
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Par |
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Value |
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Consumer Finance (concluded) |
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SLM Corp., Series A, 0.62%, |
|
USD |
550 |
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$ |
464,188 |
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930,954 |
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Containers & Packaging — 1.4% |
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Ball Corp.: |
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7.38%, 9/01/19 |
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|
270 |
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273,375 |
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6.75%, 9/15/20 |
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|
675 |
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|
656,438 |
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Berry Plastics Corp., 8.88%, |
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|
690 |
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|
662,400 |
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Crown Americas LLC, 7.75%, |
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|
150 |
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|
152,625 |
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Impress Holdings BV, 2.47%, |
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|
300 |
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|
277,500 |
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Owens-Brockway Glass Container, |
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|
750 |
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|
759,375 |
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Pregis Corp., 12.38%, 10/15/13 |
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|
545 |
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|
536,825 |
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Smurfit Kappa Acquisitions (a): |
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7.25%, 11/15/17 |
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EUR |
725 |
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|
871,886 |
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7.75%, 11/15/19 |
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|
685 |
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|
832,188 |
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5,022,612 |
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Diversified Financial Services — 4.9% |
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Bank of America Corp., 7.63%, |
|
USD |
450 |
|
|
510,931 |
|
|
FCE Bank Plc: |
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|
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|
|
7.88%, 2/15/11 |
|
GBP |
550 |
|
|
801,349 |
|
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7.13%, 1/16/12 |
|
EUR |
650 |
|
|
793,656 |
|
|
GMAC, Inc., 8.30%, 2/12/15 (a) |
|
USD |
3,500 |
|
|
3,513,125 |
|
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General Electric Capital Corp.: |
|
|
|
|
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|
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6.15%, 8/07/37 (e) |
|
|
4,150 |
|
|
4,006,339 |
|
|
5.88%, 1/14/38 |
|
|
177 |
|
|
165,666 |
|
|
6.88%, 1/10/39 |
|
|
135 |
|
|
143,539 |
|
|
JPMorgan Chase & Co.: |
|
|
|
|
|
|
|
|
3.70%, 1/20/15 (e) |
|
|
3,425 |
|
|
3,457,377 |
|
|
6.00%, 1/15/18 |
|
|
125 |
|
|
134,951 |
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6.30%, 4/23/19 (d) |
|
|
2,000 |
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|
2,177,140 |
|
|
Reynolds Group DL Escrow, Inc., |
|
|
1,000 |
|
|
990,000 |
|
|
Reynolds Group Issuer, Inc., |
|
EUR |
550 |
|
|
668,180 |
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|
|
|
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|
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|
|
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|
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17,362,253 |
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Diversified Telecommunication Services — 6.0% |
|
|
|
|
|
|
|
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AT&T Inc.: |
|
|
|
|
|
|
|
|
6.45%, 6/15/34 |
|
USD |
780 |
|
|
823,117 |
|
|
6.30%, 1/15/38 |
|
|
600 |
|
|
624,751 |
|
|
6.55%, 2/15/39 (d) |
|
|
3,375 |
|
|
3,655,621 |
|
|
BellSouth Telecommunications, |
|
|
1,700 |
|
|
1,166,581 |
|
|
Comcast Cable Holdings LLC, |
|
|
10 |
|
|
11,445 |
|
|
GCI, Inc., 8.63%, 11/15/19 (a) |
|
|
1,700 |
|
|
1,649,000 |
|
|
Nordic Telephone Co. Holdings |
|
|
120 |
|
|
123,000 |
|
|
|
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2 |
BLACKROCK CORE BOND TRUST |
MAY 31, 2010 |
|
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|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services (concluded) |
|
|
|
|
|
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|
|
Qwest Communications International, |
|
|
|
|
|
|
|
|
7.50%, 2/15/14 |
|
USD |
60 |
|
$ |
59,100 |
|
|
Series B, 7.50%, 2/15/14 |
|
|
30 |
|
|
29,550 |
|
|
Qwest Corp.: |
|
|
|
|
|
|
|
|
8.88%, 3/15/12 |
|
|
120 |
|
|
128,250 |
|
|
8.38%, 5/01/16 |
|
|
180 |
|
|
195,300 |
|
|
Telecom Italia Capital SA: |
|
|
|
|
|
|
|
|
4.95%, 9/30/14 |
|
|
1,075 |
|
|
1,066,025 |
|
|
6.00%, 9/30/34 |
|
|
1,550 |
|
|
1,310,920 |
|
|
Telefonica Emisiones SAU, 7.05%, |
|
|
1,975 |
|
|
2,103,515 |
|
|
Telefonica Europe BV, 7.75%, |
|
|
725 |
|
|
738,489 |
|
|
Verizon Communications, Inc.: |
|
|
|
|
|
|
|
|
6.40%, 2/15/38 (e) |
|
|
2,125 |
|
|
2,250,205 |
|
|
8.95%, 3/01/39 |
|
|
900 |
|
|
1,234,349 |
|
|
Verizon Global Funding Corp., |
|
|
70 |
|
|
84,132 |
|
|
Verizon Maryland, Inc., Series B, |
|
|
125 |
|
|
106,570 |
|
|
Verizon New Jersey, Inc.: |
|
|
|
|
|
|
|
|
5.88%, 1/17/12 |
|
|
335 |
|
|
356,115 |
|
|
7.85%, 11/15/29 |
|
|
230 |
|
|
245,454 |
|
|
Verizon Virginia, Inc., Series A, |
|
|
3,150 |
|
|
3,329,484 |
|
|
Windstream Corp.: |
|
|
|
|
|
|
|
|
8.13%, 8/01/13 |
|
|
120 |
|
|
121,200 |
|
|
8.63%, 8/01/16 |
|
|
90 |
|
|
89,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,501,273 |
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities — 4.5% |
|
|
|
|
|
|
|
|
Alabama Power Co., 6.00%, |
|
|
1,275 |
|
|
1,362,178 |
|
|
Duke Energy Carolinas LLC: |
|
|
|
|
|
|
|
|
6.10%, 6/01/37 |
|
|
315 |
|
|
342,731 |
|
|
6.00%, 1/15/38 |
|
|
825 |
|
|
892,817 |
|
|
EDF SA, 5.60%, 1/27/40 (a) |
|
|
1,400 |
|
|
1,385,497 |
|
|
E.ON International Finance BV, |
|
|
1,525 |
|
|
1,744,403 |
|
|
Elwood Energy LLC, 8.16%, |
|
|
101 |
|
|
95,707 |
|
|
Florida Power & Light Co., 4.95%, |
|
|
950 |
|
|
900,204 |
|
|
Florida Power Corp.: |
|
|
|
|
|
|
|
|
6.35%, 9/15/37 |
|
|
1,325 |
|
|
1,488,720 |
|
|
6.40%, 6/15/38 |
|
|
875 |
|
|
997,580 |
|
|
Intergen NV, 9.00%, 6/30/17 (a) |
|
|
580 |
|
|
580,000 |
|
|
PacifiCorp., 6.25%, 10/15/37 |
|
|
575 |
|
|
638,046 |
|
|
Public Service Co. of Colorado, |
|
|
1,200 |
|
|
1,340,465 |
|
|
Southern California Edison Co.: |
|
|
|
|
|
|
|
|
5.63%, 2/01/36 |
|
|
625 |
|
|
651,288 |
|
|
Series 05-E, 5.35%, 7/15/35 |
|
|
125 |
|
|
125,474 |
|
|
Series 08-A, 5.95%, 2/01/38 |
|
|
1,075 |
|
|
1,163,880 |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
Electric Utilities (concluded) |
|
|
|
|
|
|
|
|
The Toledo Edison Co., 6.15%, |
|
USD |
350 |
|
$ |
360,665 |
|
|
Virginia Electric and Power Co., |
|
|
2,000 |
|
|
2,104,218 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,173,873 |
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services — 0.7% |
|
|
|
|
|
|
|
|
Expro Finance Luxembourg SCA, |
|
|
1,400 |
|
|
1,358,000 |
|
|
North American Energy Alliance |
|
|
985 |
|
|
1,007,163 |
|
|
Thermon Industries, Inc., 9.50%, |
|
|
180 |
|
|
178,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,543,363 |
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing — 0.9% |
|
|
|
|
|
|
|
|
Wal-Mart Stores, Inc.: |
|
|
|
|
|
|
|
|
6.50%, 8/15/37 |
|
|
1,900 |
|
|
2,205,020 |
|
|
6.20%, 4/15/38 |
|
|
850 |
|
|
949,977 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,154,997 |
|
|
|
|
|
|
|
|
|
|
|
Food Products — 0.5% |
|
|
|
|
|
|
|
|
Kraft Foods, Inc., 7.00%, 8/11/37 |
|
|
1,455 |
|
|
1,638,103 |
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies — 0.3% |
|
|
|
|
|
|
|
|
DJO Finance LLC, 10.88%, |
|
|
860 |
|
|
894,400 |
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services — 0.3% |
|
|
|
|
|
|
|
|
Tenet Healthcare Corp. (a): |
|
|
|
|
|
|
|
|
9.00%, 5/01/15 |
|
|
410 |
|
|
430,500 |
|
|
10.00%, 5/01/18 |
|
|
170 |
|
|
186,363 |
|
|
8.88%, 7/01/19 |
|
|
330 |
|
|
346,087 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
962,950 |
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure — 0.2% |
|
|
|
|
|
|
|
|
McDonald’s Corp., 5.70%, |
|
|
825 |
|
|
879,636 |
|
|
|
|
|
|
|
|
|
|
|
Household Durables — 2.5% |
|
|
|
|
|
|
|
|
Beazer Homes USA, Inc.: |
|
|
|
|
|
|
|
|
6.88%, 7/15/15 |
|
|
435 |
|
|
381,713 |
|
|
8.13%, 6/15/16 |
|
|
255 |
|
|
233,325 |
|
|
12.00%, 10/15/17 |
|
|
1,050 |
|
|
1,165,500 |
|
|
4.63%, 6/15/24 (g) |
|
|
495 |
|
|
496,856 |
|
|
Belvoir Land LLC, Series A-1, |
|
|
300 |
|
|
245,574 |
|
|
Centex Corp., 5.13%, 10/01/13 |
|
|
1,088 |
|
|
1,085,280 |
|
|
Irwin Land LLC: |
|
|
|
|
|
|
|
|
Series A-1, 5.03%, |
|
|
525 |
|
|
494,377 |
|
|
Series A-2, 5.40%, 12/15/47 |
|
|
1,500 |
|
|
1,253,730 |
|
|
KB Home, 9.10%, 9/15/17 |
|
|
350 |
|
|
354,375 |
|
|
Ohana Military Communities LLC, |
|
|
350 |
|
|
336,021 |
|
|
Pulte Homes, Inc., 5.20%, |
|
|
310 |
|
|
289,075 |
|
|
Standard Pacific Corp.: |
|
|
|
|
|
|
|
|
6.25%, 4/01/14 |
|
|
160 |
|
|
149,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORE BOND TRUST |
MAY 31, 2010 |
3 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
Household Durables (concluded) |
|
|
|
|
|
|
|
|
Standard Pacific Corp. (concluded): |
|
|
|
|
|
|
|
|
7.00%, 8/15/15 |
|
USD |
225 |
|
$ |
207,000 |
|
|
10.75%, 9/15/16 |
|
|
2,100 |
|
|
2,278,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,970,926 |
|
|
|
|
|
|
|
|
|
|
|
Household Products — 0.3% |
|
|
|
|
|
|
|
|
Kimberly-Clark, Corp., 6.63%, |
|
|
850 |
|
|
1,018,056 |
|
|
|
|
|
|
|
|
|
|
|
IT Services — 0.3% |
|
|
|
|
|
|
|
|
iPayment, Inc., 9.75%, 5/15/14 |
|
|
240 |
|
|
212,400 |
|
|
iPayment Investors LP, 11.63%, |
|
|
763 |
|
|
671,490 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
883,890 |
|
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders — 0.9% |
|
|
|
|
|
|
|
|
AES Eastern Energy LP, |
|
|
1,015 |
|
|
1,103,813 |
|
|
Calpine Construction Finance Co. |
|
|
1,000 |
|
|
1,010,000 |
|
|
Energy Future Holdings Corp.: |
|
|
|
|
|
|
|
|
10.88%, 11/01/17 |
|
|
190 |
|
|
139,650 |
|
|
10.00%, 1/15/20 (a) |
|
|
760 |
|
|
756,200 |
|
|
NRG Energy, Inc., 7.25%, 2/01/14 |
|
|
60 |
|
|
59,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,068,913 |
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates — 0.7% |
|
|
|
|
|
|
|
|
Sequa Corp. (a): |
|
|
|
|
|
|
|
|
11.75%, 12/01/15 |
|
|
690 |
|
|
690,000 |
|
|
13.50%, 12/01/15 (h) |
|
|
1,940 |
|
|
1,976,774 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,666,774 |
|
|
|
|
|
|
|
|
|
|
|
Insurance — 2.4% |
|
|
|
|
|
|
|
|
Chubb Corp., 6.00%, 5/11/37 |
|
|
1,100 |
|
|
1,162,361 |
|
|
Hartford Life Global Funding |
|
|
425 |
|
|
398,028 |
|
|
Metropolitan Life Global Funding I (a): |
|
|
|
|
|
|
|
|
2.50%, 1/11/13 (e) |
|
|
2,545 |
|
|
2,563,230 |
|
|
5.13%, 6/10/14 |
|
|
775 |
|
|
831,364 |
|
|
Monument Global Funding Ltd., |
|
|
1,810 |
|
|
1,808,149 |
|
|
Prudential Financial, Inc.: |
|
|
|
|
|
|
|
|
5.70%, 12/14/36 |
|
|
675 |
|
|
629,664 |
|
|
Series D, 5.90%, 3/17/36 |
|
|
500 |
|
|
479,522 |
|
|
Teachers Insurance & Annuity |
|
|
505 |
|
|
555,066 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,427,384 |
|
|
|
|
|
|
|
|
|
|
|
Leisure Equipment & Products — 0.4% |
|
|
|
|
|
|
|
|
Brunswick Corp., 11.25%, |
|
|
1,145 |
|
|
1,282,400 |
|
|
|
|
|
|
|
|
|
|
|
Machinery — 1.0% |
|
|
|
|
|
|
|
|
AGY Holding Corp., 11.00%, |
|
|
310 |
|
|
248,000 |
|
|
Accuride Corp., 7.50%, |
|
|
4 |
|
|
11,445 |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
Machinery (concluded) |
|
|
|
|
|
|
|
|
Navistar International Corp.: |
|
|
|
|
|
|
|
|
3.00%, 10/15/14 (g) |
|
USD |
1,130 |
|
$ |
1,395,550 |
|
|
8.25%, 11/01/21 |
|
|
1,400 |
|
|
1,400,000 |
|
|
Titan International, Inc., 5.63%, |
|
|
340 |
|
|
422,450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,477,445 |
|
|
|
|
|
|
|
|
|
|
|
Marine — 0.8% |
|
|
|
|
|
|
|
|
Horizon Lines, Inc., 4.25%, |
|
|
2,355 |
|
|
1,942,875 |
|
|
Nakilat, Inc., Series A, 6.07%, |
|
|
1,050 |
|
|
987,315 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,930,190 |
|
|
|
|
|
|
|
|
|
|
|
Media — 5.7% |
|
|
|
|
|
|
|
|
Affinion Group, Inc., 10.13%, |
|
|
695 |
|
|
707,162 |
|
|
CCH II LLC, 13.50%, 11/30/16 |
|
|
520 |
|
|
596,481 |
|
|
CMP Susquehanna Corp., 3.20%, |
|
|
52 |
|
|
1,040 |
|
|
Clear Channel Worldwide |
|
|
1,132 |
|
|
1,151,810 |
|
|
Comcast Cable Communications |
|
|
600 |
|
|
806,440 |
|
|
Comcast Cable Holdings LLC, |
|
|
200 |
|
|
215,865 |
|
|
Comcast Corp.: |
|
|
|
|
|
|
|
|
6.50%, 1/15/17 |
|
|
1,625 |
|
|
1,818,664 |
|
|
6.45%, 3/15/37 |
|
|
790 |
|
|
828,101 |
|
|
6.95%, 8/15/37 |
|
|
10 |
|
|
11,146 |
|
|
6.40%, 3/01/40 |
|
|
300 |
|
|
315,571 |
|
|
Cox Enterprises, Inc. |
|
|
|
|
|
|
|
|
Loan Close 2, 12.00%, |
|
|
900 |
|
|
900,000 |
|
|
Loan Close 3, 8/15/18 |
|
|
1,050 |
|
|
1,050,000 |
|
|
Shares Loan, 12.00%, |
|
|
1,050 |
|
|
1,050,000 |
|
|
Discovery Communications LLC, |
|
|
480 |
|
|
481,643 |
|
|
NBC Universal, Inc., 5.15%, |
|
|
680 |
|
|
694,258 |
|
|
News America Holdings, Inc.: |
|
|
|
|
|
|
|
|
7.70%, 10/30/25 |
|
|
825 |
|
|
956,420 |
|
|
8.45%, 8/01/34 |
|
|
625 |
|
|
738,870 |
|
|
News America, Inc., 7.63%, |
|
|
985 |
|
|
1,114,196 |
|
|
Nielsen Finance LLC, 10.00%, |
|
|
500 |
|
|
508,125 |
|
|
Rainbow National Services LLC (a): |
|
|
|
|
|
|
|
|
8.75%, 9/01/12 |
|
|
200 |
|
|
202,000 |
|
|
10.38%, 9/01/14 |
|
|
943 |
|
|
985,435 |
|
|
TCI Communications, Inc., 7.88%, |
|
|
610 |
|
|
710,126 |
|
|
TL Acquisitions, Inc., 10.50%, |
|
|
490 |
|
|
444,675 |
|
|
|
|
|
|
|
|
|
|
4 |
BLACKROCK CORE BOND TRUST |
MAY 31, 2010 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
Media (concluded) |
|
|
|
|
|
|
|
|
Time Warner Cable, Inc., 7.30%, |
|
USD |
930 |
|
$ |
1,062,218 |
|
|
Time Warner Cos., Inc.: |
|
|
|
|
|
|
|
|
6.95%, 1/15/28 |
|
|
70 |
|
|
76,427 |
|
|
6.63%, 5/15/29 |
|
|
90 |
|
|
95,345 |
|
|
Time Warner, Inc.: |
|
|
|
|
|
|
|
|
7.63%, 4/15/31 |
|
|
205 |
|
|
235,699 |
|
|
7.70%, 5/01/32 |
|
|
85 |
|
|
98,448 |
|
|
UPC Germany GmbH, 8.13%, |
|
|
2,600 |
|
|
2,548,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,404,165 |
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining — 1.9% |
|
|
|
|
|
|
|
|
AK Steel Corp., 7.63%, 5/15/20 |
|
|
150 |
|
|
148,125 |
|
|
AngloGold Ashanti Holdings Plc, |
|
|
270 |
|
|
265,363 |
|
|
Drummond Co., Inc.: |
|
|
|
|
|
|
|
|
9.00%, 10/15/14 (a) |
|
|
1,115 |
|
|
1,109,425 |
|
|
7.38%, 2/15/16 |
|
|
375 |
|
|
357,188 |
|
|
Falconbridge Ltd., 6.20%, |
|
|
1,250 |
|
|
1,143,312 |
|
|
GoldCorp., Inc., 2.00%, |
|
|
280 |
|
|
327,950 |
|
|
McJunkin Red Man Corp., 9.50%, |
|
|
1,000 |
|
|
970,000 |
|
|
Murray Energy Corp., 10.25%, |
|
|
395 |
|
|
393,025 |
|
|
New World Resources NV, 7.38%, |
|
EUR |
215 |
|
|
246,687 |
|
|
Novelis, Inc., 11.50%, 2/15/15 |
|
USD |
1,070 |
|
|
1,160,950 |
|
|
United States Steel Corp., 7.38%, |
|
|
715 |
|
|
698,912 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,820,937 |
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels — 7.9% |
|
|
|
|
|
|
|
|
Atlas Energy Operating Co. LLC: |
|
|
|
|
|
|
|
|
12.13%, 8/01/17 |
|
|
600 |
|
|
666,000 |
|
|
10.75%, 2/01/18 |
|
|
105 |
|
|
111,300 |
|
|
BP Capital Markets Plc, 3.13%, |
|
|
1,270 |
|
|
1,289,054 |
|
|
Bill Barrett Corp., 9.88%, 7/15/16 |
|
|
395 |
|
|
408,825 |
|
|
Burlington Resources Finance Co., |
|
|
875 |
|
|
1,080,549 |
|
|
Canadian Natural Resources, Ltd.: |
|
|
|
|
|
|
|
|
6.50%, 2/15/37 |
|
|
410 |
|
|
435,255 |
|
|
6.25%, 3/15/38 |
|
|
375 |
|
|
387,973 |
|
|
6.75%, 2/01/39 |
|
|
1,025 |
|
|
1,121,698 |
|
|
Cenovus Energy, Inc., 6.75%, |
|
|
895 |
|
|
971,223 |
|
|
Conoco Funding Co., 7.25%, |
|
|
125 |
|
|
152,104 |
|
|
ConocoPhillips Canada Funding |
|
|
535 |
|
|
571,369 |
|
|
ConocoPhillips Holding Co., |
|
|
650 |
|
|
775,139 |
|
|
Crosstex Energy LP, 8.88%, |
|
|
800 |
|
|
788,000 |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
||
|
Oil, Gas & Consumable Fuels (concluded) |
|
|
|
|
|
|
|
|
Devon Energy Corp., 7.95%, |
|
USD |
625 |
|
$ |
795,755 |
|
|
EnCana Corp.: |
|
|
|
|
|
|
|
|
6.50%, 8/15/34 |
|
|
670 |
|
|
718,487 |
|
|
6.63%, 8/15/37 |
|
|
700 |
|
|
768,044 |
|
|
Enterprise Products Operating LLC: |
|
|
|
|
|
|
|
|
6.13%, 2/01/13 |
|
|
695 |
|
|
751,319 |
|
|
6.13%, 10/15/39 |
|
|
700 |
|
|
663,969 |
|
|
Kinder Morgan Energy Partners |
|
|
520 |
|
|
513,950 |
|
|
MidAmerican Energy Co., 5.80%, |
|
|
700 |
|
|
736,840 |
|
|
MidAmerican Energy Holdings Co.: |
|
|
|
|
|
|
|
|
5.95%, 5/15/37 |
|
|
800 |
|
|
813,812 |
|
|
6.50%, 9/15/37 |
|
|
1,900 |
|
|
2,074,819 |
|
|
Nexen, Inc., 6.40%, 5/15/37 |
|
|
750 |
|
|
752,654 |
|
|
Niska Gas Storage US LLC, 8.88%, |
|
|
1,000 |
|
|
1,005,000 |
|
|
OPTI Canada, Inc., 9.00%, |
|
|
700 |
|
|
703,500 |
|
|
Petrobras International Finance Co.: |
|
|
|
|
|
|
|
|
5.88%, 3/01/18 |
|
|
75 |
|
|
77,400 |
|
|
5.75%, 1/20/20 |
|
|
1,725 |
|
|
1,711,921 |
|
|
Rockies Express Pipeline LLC, |
|
|
680 |
|
|
668,996 |
|
|
Sabine Pass LNG LP, 7.50%, |
|
|
330 |
|
|
273,900 |
|
|
Shell International Finance BV, |
|
|
1,700 |
|
|
1,933,835 |
|
|
Valero Energy Corp., 6.63%, |
|
|
1,245 |
|
|
1,188,643 |
|
|
XTO Energy, Inc.: |
|
|
|
|
|
|
|
|
6.75%, 8/01/37 |
|
|
1,925 |
|
|
2,286,657 |
|
|
6.38%, 6/15/38 |
|
|
900 |
|
|
1,044,783 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,242,773 |
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products — 1.4% |
|
|
|
|
|
|
|
|
Boise Paper Holdings LLC (a): |
|
|
|
|
|
|
|
|
9.00%, 11/01/17 |
|
|
490 |
|
|
517,562 |
|
|
8.00%, 4/01/20 |
|
|
210 |
|
|
211,575 |
|
|
Clearwater Paper Corp., 10.63%, |
|
|
620 |
|
|
680,450 |
|
|
Glatfelter, 7.13%, 5/01/16 (a) |
|
|
295 |
|
|
280,250 |
|
|
International Paper Co., 7.30%, |
|
|
750 |
|
|
800,410 |
|
|
NewPage Corp.: |
|
|
|
|
|
|
|
|
10.00%, 5/01/12 |
|
|
470 |
|
|
273,188 |
|
|
11.38%, 12/31/14 |
|
|
1,565 |
|
|
1,463,275 |
|
|
Verso Paper Holdings LLC, |
|
|
745 |
|
|
795,287 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,021,997 |
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals — 2.1% |
|
|
|
|
|
|
|
|
Eli Lilly & Co., 3.55%, 3/06/12 |
|
|
600 |
|
|
627,431 |
|
|
Novartis Capital Corp., 2.90%, |
|
|
1,175 |
|
|
1,197,802 |
|
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORE BOND TRUST |
MAY 31, 2010 |
5 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
||
|
Pharmaceuticals (concluded) |
|
|
|
|
|
|
|
|
Roche Holdings, Inc., 7.00%, |
|
USD |
850 |
|
$ |
1,048,755 |
|
|
Schering-Plough Corp., 6.55%, |
|
|
1,125 |
|
|
1,344,600 |
|
|
Teva Pharmaceutical Finance LLC, |
|
|
1,445 |
|
|
1,562,328 |
|
|
Wyeth: |
|
|
|
|
|
|
|
|
6.00%, 2/15/36 |
|
|
675 |
|
|
719,147 |
|
|
5.95%, 4/01/37 |
|
|
925 |
|
|
996,573 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,496,636 |
|
|
|
|
|
|
|
|
|
|
|
Road & Rail — 0.6% |
|
|
|
|
|
|
|
|
Avis Budget Car Rental LLC, |
|
|
715 |
|
|
715,000 |
|
|
Burlington Northern Santa Fe LLC, |
|
|
950 |
|
|
954,059 |
|
|
Canadian National Railway Co., |
|
|
350 |
|
|
397,471 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,066,530 |
|
|
|
|
|
|
|
|
|
|
|
Software — 0.0% |
|
|
|
|
|
|
|
|
BMS Holdings, Inc., 7.89%, |
|
|
123 |
|
|
2,463 |
|
|
|
|
|
|
|
|
|
|
|
Textiles, Apparel & Luxury Goods — 0.0% |
|
|
|
|
|
|
|
|
Quiksilver, Inc., 6.88%, 4/15/15 |
|
|
175 |
|
|
153,125 |
|
|
|
|
|
|
|
|
|
|
|
Thrifts & Mortgage Finance — 0.4% |
|
|
|
|
|
|
|
|
Achmea Hypotheekbank NV, |
|
|
1,305 |
|
|
1,322,616 |
|
|
|
|
|
|
|
|
|
|
|
Tobacco — 0.2% |
|
|
|
|
|
|
|
|
Philip Morris International, Inc., |
|
|
640 |
|
|
637,452 |
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services — 2.3% |
|
|
|
|
|
|
|
|
Cricket Communications, Inc., |
|
|
100 |
|
|
102,500 |
|
|
Crown Castle Towers LLC, 6.11%, |
|
|
1,420 |
|
|
1,519,842 |
|
|
Digicel Group Ltd. (a): |
|
|
|
|
|
|
|
|
9.13%, 1/15/15 (h) |
|
|
560 |
|
|
546,000 |
|
|
8.25%, 9/01/17 |
|
|
150 |
|
|
147,000 |
|
|
MetroPCS Wireless, Inc., 9.25%, |
|
|
60 |
|
|
61,800 |
|
|
Nextel Communications, Inc., |
|
|
770 |
|
|
737,275 |
|
|
Rogers Communications, Inc., |
|
|
1,150 |
|
|
1,393,542 |
|
|
SBA Tower Trust, 4.25%, |
|
|
950 |
|
|
988,426 |
|
|
Sprint Capital Corp., 6.88%, |
|
|
775 |
|
|
644,219 |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
||
|
Wireless Telecommunication Services (concluded) |
|
|
|
|
|
|
|
|
Vodafone Group Plc, 4.15%, |
|
USD |
2,050 |
|
$ |
2,125,563 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,266,167 |
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds – 63.6% |
|
|
|
|
|
226,780,478 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
Foreign Agency Obligations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hellenic Republic Government |
|
EUR |
160 |
|
|
115,244 |
|
|
Israel Government AID Bond: |
|
|
|
|
|
|
|
|
5.50%, 4/26/24 |
|
USD |
825 |
|
|
936,726 |
|
|
5.50%, 9/18/33 |
|
|
845 |
|
|
950,078 |
|
|
Italy Government International |
|
|
455 |
|
|
431,025 |
|
|
Japan Finance Corp., 2.00%, |
|
|
860 |
|
|
863,727 |
|
|
Landwirtschaftliche Rentenbank: |
|
|
|
|
|
|
|
|
4.13%, 7/15/13 |
|
|
115 |
|
|
122,987 |
|
|
Series E, 5.25%, 7/02/12 |
|
|
395 |
|
|
426,504 |
|
|
Series E, 4.38%, 1/15/13 |
|
|
250 |
|
|
267,991 |
|
|
Series E, 4.00%, 2/02/15 |
|
|
230 |
|
|
244,325 |
|
|
Province of Ontario Canada: |
|
|
|
|
|
|
|
|
4.10%, 6/16/14 |
|
|
1,205 |
|
|
1,283,728 |
|
|
Series 1, 1.88%, 11/19/12 |
|
|
1,175 |
|
|
1,183,874 |
|
|
Russian Foreign Bond Eurobond, |
|
|
1,371 |
|
|
1,531,869 |
|
|
United Mexican States, Series A, |
|
|
500 |
|
|
508,750 |
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Agency Obligations – 2.5% |
|
|
|
|
|
8,866,828 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
Non-Agency
Mortgage-Backed |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations — 5.4% |
|
|
|
|
|
|
|
|
Banc of America Funding Corp., |
|
|
1,100 |
|
|
789,984 |
|
|
Bear Stearns Adjustable Rate |
|
|
577 |
|
|
532,012 |
|
|
CS First Boston Mortgage |
|
|
1,103 |
|
|
707,959 |
|
|
Countrywide Alternative Loan Trust: |
|
|
|
|
|
|
|
|
Series
2005-64CB, Class |
|
|
1,600 |
|
|
1,216,680 |
|
|
Series
2006-0A19, Class A1, |
|
|
485 |
|
|
243,032 |
|
|
Series
2006-0A21, Class A1, |
|
|
899 |
|
|
452,292 |
|
|
|
|
|
|
|
|
|
|
6 |
BLACKROCK CORE BOND TRUST |
MAY 31, 2010 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Non-Agency
Mortgage Backed |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
||
|
Collateralized Mortgage Obligations (continued) |
|
|
|
|
|
|
|
|
Countrywide Alternative Loan Trust |
|
|
|
|
|
|
|
|
Series
2007-HY4, Class 4A1, |
|
USD |
1,054 |
|
$ |
709,917 |
|
|
Countrywide Home Loan Mortgage |
|
|
|
|
|
|
|
|
Series
2006-0A5, Class 2A1, |
|
|
374 |
|
|
195,127 |
|
|
Series
2007-10, Class A22, |
|
|
891 |
|
|
712,447 |
|
|
Credit Suisse Mortgage Capital |
|
|
708 |
|
|
579,290 |
|
|
Deutsche ALT-A Securities, Inc. |
|
|
307 |
|
|
177,260 |
|
|
GSR Mortgage Loan Trust: |
|
|
|
|
|
|
|
|
Series
2005-AR4, Class 6A1, |
|
|
493 |
|
|
454,513 |
|
|
Series
2006-4F, Class 1A1, |
|
|
941 |
|
|
787,200 |
|
|
Series
2006-AR1, Class 2A1, |
|
|
821 |
|
|
681,450 |
|
|
Series
2007-4F, Class 3A1, |
|
|
1,051 |
|
|
887,310 |
|
|
Homebanc Mortgage Trust, Series |
|
|
810 |
|
|
536,650 |
|
|
IndyMac IMJA Mortgage Loan |
|
|
1,100 |
|
|
833,597 |
|
|
JPMorgan Mortgage Trust: |
|
|
|
|
|
|
|
|
Series
2006-S3, Class 1A12, |
|
|
906 |
|
|
809,169 |
|
|
Series
2007-S1, Class 2A22, |
|
|
779 |
|
|
666,658 |
|
|
Series
2007-S2, Class 1A15, |
|
|
1,025 |
|
|
825,810 |
|
|
Merrill Lynch Mortgage Investors, |
|
|
814 |
|
|
550,877 |
|
|
Residential Funding Mortgage |
|
|
650 |
|
|
539,460 |
|
|
Station Place Securitization Trust, |
|
|
1,615 |
|
|
1,615,000 |
|
|
Structured Asset Securities Corp., |
|
|
1,754 |
|
|
1,578,208 |
|
|
WaMu Mortgage Pass-Through |
|
|
445 |
|
|
258,679 |
|
|
|
|
|
|
|
|
|
|
|
Non-Agency
Mortgage Backed |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
||
|
Collateralized Mortgage Obligations (concluded) |
|
|
|
|
|
|
|
|
Wells Fargo Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
Series
2006, Class 1A29, |
|
USD |
693 |
|
$ |
594,536 |
|
|
Series
2006-3, Class A9, |
|
|
591 |
|
|
565,093 |
|
|
Series
2007-8, Class 2A9, |
|
|
651 |
|
|
562,503 |
|
|
Series
2007-10, Class 1A21, |
|
|
570 |
|
|
424,392 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,487,105 |
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities — 11.8% |
|
|
|
|
|
|
|
|
CS First Boston Mortgage |
|
|
2,720 |
|
|
2,850,973 |
|
|
Citigroup Commercial Mortgage |
|
|
1,370 |
|
|
1,371,077 |
|
|
Commercial Mortgage Pass- |
|
|
960 |
|
|
983,882 |
|
|
First Union National Bank Commercial |
|
|
|
|
|
|
|
|
Series
2001-C3, Class A3, |
|
|
2,739 |
|
|
2,839,431 |
|
|
Series
2001-C4, Class A2, |
|
|
2,216 |
|
|
2,316,014 |
|
|
GMAC Commercial Mortgage |
|
|
2,350 |
|
|
2,463,895 |
|
|
JPMorgan Chase Commercial Mortgage |
|
|
|
|
|
|
|
|
Series
2001-C1, Class A3, |
|
|
2,132 |
|
|
2,213,772 |
|
|
Series
2004-CB8, Class A1A, |
|
|
831 |
|
|
829,808 |
|
|
Series
2004-CBX, Class A4, |
|
|
2,180 |
|
|
2,217,193 |
|
|
LB-UBS Commercial Mortgage |
|
|
931 |
|
|
899,607 |
|
|
Merrill Lynch Mortgage Trust, |
|
|
4,200 |
|
|
4,271,623 |
|
|
Morgan Stanley Capital I, Series |
|
|
2,525 |
|
|
2,583,000 |
|
|
Wachovia Bank Commercial Mortgage |
|
|
|
|
|
|
|
|
Series
2005-C21, Class A3, |
|
|
910 |
|
|
916,472 |
|
|
Series
2006-C28, Class A2, |
|
|
14,000 |
|
|
14,309,740 |
|
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORE BOND TRUST |
MAY 31, 2010 |
7 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Non-Agency
Mortgage Backed |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
||
|
Commercial Mortgage-Backed Securities (concluded) |
|
|
|
|
|
|
|
|
Wachovia Bank Commercial Mortgage |
|
|
|
|
|
|
|
|
Series
2007-C33, Class A4, |
|
USD |
995 |
|
$ |
930,376 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41,996,863 |
|
|
|
|
|
|
|
|
|
|
|
Total
Non-Agency Mortgage-Backed |
|
|
|
|
|
61,483,968 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
Other Interests (j) |
|
Beneficial |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services — 0.0% |
|
|
|
|
|
|
|
|
Critical Care Systems |
|
|
2 |
|
|
381 |
|
|
|
|
|
|
|
|
|
|
|
Total Other Interests – 0.0% |
|
|
|
|
|
381 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
Preferred Securities |
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
Capital Trusts |
|
Par |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Markets — 0.1% |
|
|
|
|
|
|
|
|
Credit Suisse Guernsey Ltd., |
|
|
494 |
|
|
424,840 |
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities — 0.2% |
|
|
|
|
|
|
|
|
PECO Energy Capital Trust IV, |
|
|
790 |
|
|
660,374 |
|
|
|
|
|
|
|
|
|
|
|
Insurance — 1.1% |
|
|
|
|
|
|
|
|
The Allstate Corp., 6.50%, |
|
|
1,950 |
|
|
1,706,250 |
|
|
Lincoln National Corp., 6.05%, |
|
|
675 |
|
|
519,750 |
|
|
Progressive Corp., 6.70%, |
|
|
605 |
|
|
551,984 |
|
|
The Travelers Cos., Inc., 6.25%, |
|
|
675 |
|
|
629,219 |
|
|
ZFS Finance (USA) Trust V, 6.50%, |
|
|
675 |
|
|
614,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,021,453 |
|
|
|
|
|
|
|
|
|
|
|
Total Capital Trusts – 1.4% |
|
|
|
|
|
5,106,667 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
Preferred Stocks |
|
Shares |
|
Value |
|
||
|
|
|
|
|
|
|
||
|
Media — 0.0% |
|
|
|
|
|
|
|
|
CMP Susquehanna Radio Holdings |
|
|
12,033 |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail — 0.0% |
|
|
|
|
|
|
|
|
Lazydays RV Center, Inc. |
|
|
48 |
|
|
47,683 |
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Stocks – 0.0% |
|
|
|
|
|
47,683 |
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Securities – 1.4% |
|
|
|
|
|
5,154,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
Taxable Municipal Bonds |
|
Par |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Board of Trustees of The |
|
USD |
435 |
|
|
458,942 |
|
|
Chicago Metropolitan Water |
|
|
485 |
|
|
536,594 |
|
|
City of Chicago Illinois, RB, Build |
|
|
250 |
|
|
269,415 |
|
|
Dallas Area Rapid Transit, RB, |
|
|
255 |
|
|
279,676 |
|
|
Metropolitan Transportation |
|
|
625 |
|
|
760,813 |
|
|
New York State Dormitory Authority, |
|
|
550 |
|
|
554,010 |
|
|
Port Authority of New York & New |
|
|
385 |
|
|
423,843 |
|
|
Princeton University, 5.70%, |
|
|
575 |
|
|
622,121 |
|
|
State of California, GO: |
|
|
|
|
|
|
|
|
Build
America Bonds, 7.30%, |
|
|
1,090 |
|
|
1,131,758 |
|
|
Build
America Bonds, 7.35%, |
|
|
540 |
|
|
555,174 |
|
|
Various
Purpose, Series 3, 5.45%, |
|
|
2,300 |
|
|
2,424,430 |
|
|
|
|
|
|
|
|
|
|
|
Total Taxable Municipal Bonds – 2.3% |
|
|
|
|
|
8,016,776 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
U.S. Government Sponsored Agency Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency Obligations — 6.2% |
|
|
|
|
|
|
|
|
Fannie Mae: |
|
|
|
|
|
|
|
|
6.45%, 10/09/19 (e)(l) |
|
|
5,875 |
|
|
3,582,399 |
|
|
7.13%, 1/15/30 (e) |
|
|
2,775 |
|
|
3,652,513 |
|
|
5.63%, 7/15/37 (m) |
|
|
775 |
|
|
866,293 |
|
|
|
|
|
|
|
|
|
|
8 |
BLACKROCK CORE BOND TRUST |
MAY 31, 2010 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Sponsored Agency |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
Agency Obligations (concluded) |
|
|
|
|
|
|
|
|
Federal Home Loan Banks: |
|
|
|
|
|
|
|
|
5.38%, 9/30/22 (e) |
|
USD |
5,400 |
|
$ |
6,005,189 |
|
|
5.25%, 12/09/22 (m) |
|
|
675 |
|
|
750,285 |
|
|
5.37%, 9/09/24 (e) |
|
|
1,075 |
|
|
1,195,749 |
|
|
Freddie Mac, 5.50%, 8/23/17 (e) |
|
|
2,425 |
|
|
2,796,289 |
|
|
Resolution Funding Corp. (l): |
|
|
|
|
|
|
|
|
6.39%, 7/15/18 |
|
|
525 |
|
|
393,850 |
|
|
6.40%, 10/15/18 |
|
|
525 |
|
|
387,927 |
|
|
Tennessee Valley Authority, 5.25%, |
|
|
2,355 |
|
|
2,461,206 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,091,700 |
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations — 0.7% |
|
|
|
|
|
|
|
|
Fannie Mae Mortgage-Backed |
|
|
1,381 |
|
|
1,478,565 |
|
|
Freddie Mac Mortgage-Backed |
|
|
925 |
|
|
1,005,905 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,484,470 |
|
|
|
|
|
|
|
|
|
|
|
Federal Deposit Insurance Corporation Guaranteed — 3.9% |
|
|
|
|
|
|
|
|
Citibank NA, 1.75%, 12/28/12 (e) |
|
|
2,285 |
|
|
2,307,176 |
|
|
Citigroup Funding, Inc. (e): |
|
|
|
|
|
|
|
|
2.13%, 7/12/12 |
|
|
1,415 |
|
|
1,442,983 |
|
|
1.88%, 10/22/12 |
|
|
2,800 |
|
|
2,836,549 |
|
|
General Electric Capital Corp. (e): |
|
|
|
|
|
|
|
|
2.00%, 9/28/12 |
|
|
1,850 |
|
|
1,880,545 |
|
|
2.13%, 12/21/12 |
|
|
2,750 |
|
|
2,804,472 |
|
|
2.63%, 12/28/12 |
|
|
2,400 |
|
|
2,476,140 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,747,865 |
|
|
|
|
|
|
|
|
|
|
|
Interest Only Collateralized Mortgage Obligations — 0.1% |
|
|
|
|
|
|
|
|
Freddie Mac Mortgage-Backed |
|
|
|
|
|
|
|
|
Series
2579, Class HI, 5.00%, |
|
|
899 |
|
|
50,911 |
|
|
Series
2611, Class QI, 5.50%, |
|
|
3,354 |
|
|
402,853 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
453,764 |
|
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed Securities — 54.8% |
|
|
|
|
|
|
|
|
Fannie Mae Mortgage-Backed |
|
|
|
|
|
|
|
|
4.00%, 6/01/25 |
|
|
1,700 |
|
|
1,743,297 |
|
|
4.50%, 5/15/40 - 6/15/40 |
|
|
73,800 |
|
|
75,320,676 |
|
|
5.00%, 6/15/25 - 6/15/40 |
|
|
22,045 |
|
|
23,090,225 |
|
|
5.50%, 6/15/25 - 6/15/40 |
|
|
19,300 |
|
|
20,592,750 |
|
|
6.00%, 8/01/29 - 6/15/40 |
|
|
40,132 |
|
|
43,353,557 |
|
|
Freddie Mac Mortgage-Backed |
|
|
|
|
|
|
|
|
4.00%, 3/01/25 - 6/01/25 (n) |
|
|
17,050 |
|
|
17,506,635 |
|
|
4.50%, 4/01/40 - 6/15/40 (n) |
|
|
12,054 |
|
|
12,310,771 |
|
|
5.00%, 7/15/40 (n) |
|
|
100 |
|
|
104,281 |
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Sponsored Agency |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed Securities (concluded) |
|
|
|
|
|
|
|
|
Freddie Mac Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
6.00%, 2/01/13 - 12/01/18 |
|
USD |
1,276 |
|
$ |
1,380,759 |
|
|
Ginnie Mae Mortgage-Backed |
|
|
142 |
|
|
153,851 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
195,556,802 |
|
|
|
|
|
|
|
|
|
|
|
Total U.S.
Government Sponsored |
|
|
|
|
|
234,334,601 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Bonds: |
|
|
|
|
|
|
|
|
8.75%, 8/15/20 |
|
|
750 |
|
|
1,095,000 |
|
|
8.13%, 8/15/21 (e) |
|
|
1,550 |
|
|
2,204,875 |
|
|
8.00%, 11/15/21 (d) |
|
|
3,250 |
|
|
4,596,719 |
|
|
U.S. Treasury Notes: |
|
|
|
|
|
|
|
|
1.00%, 4/30/12 (e) |
|
|
2,345 |
|
|
2,355,717 |
|
|
0.63%, 5/31/12 |
|
|
9,510 |
|
|
9,504,104 |
|
|
2.00%, 5/31/15 |
|
|
27,384 |
|
|
27,418,230 |
|
|
3.50%, 5/15/20 (e) |
|
|
33,870 |
|
|
34,430,887 |
|
|
8.75%, 5/15/20 (e) |
|
|
2,190 |
|
|
3,189,187 |
|
|
4.25%, 5/15/39 (e) |
|
|
6,045 |
|
|
6,069,555 |
|
|
4.50%, 8/15/39 |
|
|
290 |
|
|
303,322 |
|
|
4.63%, 2/15/40 (e) |
|
|
1,800 |
|
|
1,922,062 |
|
|
4.25%, 5/15/40 |
|
|
5,825 |
|
|
5,978,816 |
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Treasury Obligations – 27.7% |
|
|
|
|
|
99,068,474 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Warrants (o) |
|
Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media — 0.0% |
|
|
|
|
|
|
|
|
CMP Susquehanna Radio Holdings |
|
|
13,751 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
Total Warrants – 0.0% |
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
Total
Long-Term Investments |
|
|
|
|
|
668,543,135 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
BLACKROCK CORE BOND TRUST |
MAY 31, 2010 |
9 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
Short-Term Securities |
|
Shares |
|
Value |
|
||
|
|
|
|
|
|
|
||
|
Money Market Fund — 6.0% |
|
|
|
|
|
|
|
|
BlackRock Liquidity Funds, |
|
|
21,422,450 |
|
$ |
21,422,450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowed Bond Agreement — 0.8% |
|
|
|
|
|
|
|
|
JPMorgan Securities Inc., 0.01%, |
|
USD |
2,944 |
|
|
2,943,500 |
|
|
|
|
|
|
|
|
|
|
|
Total
Short-Term Securities |
|
|
|
|
|
24,365,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Purchased |
|
Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange-Traded Call Swaptions Purchased — 0.0% |
|
|
|
|
|
|
|
|
10-Year U.S. Treasury Bond Future, |
|
|
57 |
|
|
57,000 |
|
|
|
|
|
|
|
|
|
|
|
Exchange-Traded Put Swaptions Purchased — 0.0% |
|
|
|
|
|
|
|
|
Eurodollar 1-Year Mid-Curve Future: |
|
|
|
|
|
|
|
|
Strike
Price USD 98.25, expires |
|
|
367 |
|
|
11,469 |
|
|
Strike
Price USD 98.50, expires |
|
|
150 |
|
|
10,312 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,781 |
|
|
|
|
|
|
|
|
|
|
|
Over-the-Counter Call Swaptions — 1.2% |
|
|
|
|
|
|
|
|
Receive a fixed rate of 1.15% and |
|
|
25 (r) |
|
|
57,938 |
|
|
Receive a fixed rate of 3.63% and |
|
|
2 (r) |
|
|
61,131 |
|
|
Receive a fixed rate of 3.80% and |
|
|
5 (r) |
|
|
195,432 |
|
|
Receive a fixed rate of 4.19% and |
|
|
4 (r) |
|
|
284,760 |
|
|
Receive a fixed rate of 4.22% and |
|
|
9 (r) |
|
|
543,375 |
|
|
|
|
|
|
|
|
|
|
|
Options Purchased |
|
Contracts (r) |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
Over-the-Counter
Call Swaptions |
|
|
|
|
|
|
|
|
Receive a fixed rate of 4.11% and |
|
|
6 |
|
$ |
327,450 |
|
|
Receive a fixed rate of 4.02% and |
|
|
9 |
|
|
459,016 |
|
|
Receive a fixed rate of 4.01% and |
|
|
6 |
|
|
295,278 |
|
|
Receive a fixed rate of 3.86% and |
|
|
10 |
|
|
448,876 |
|
|
Receive a fixed rate of 4.39% and |
|
|
2 |
|
|
156,158 |
|
|
Receive a fixed rate of 4.21% and |
|
|
18 |
|
|
408,218 |
|
|
Receive a fixed rate of 5.20% and |
|
|
9 |
|
|
841,018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,078,650 |
|
|
|
|
|
|
|
|
|
|
|
Over-the-Counter Put Swaptions — 0.6% |
|
|
|
|
|
|
|
|
Pay a fixed rate of 1.92% and |
|
|
25 |
|
|
7,407 |
|
|
Pay a fixed rate of 1.95% and |
|
|
25 |
|
|
7,226 |
|
|
Pay a fixed rate of 3.63% and |
|
|
2 |
|
|
51,824 |
|
|
Pay a fixed rate of 4.19% and |
|
|
4 |
|
|
92,256 |
|
|
|
|
|
|
|
||
|
10 |
BLACKROCK CORE BOND TRUST |
MAY 31, 2010 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
Options Purchased |
|
Contracts (r) |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
Over-the-Counter
Put Swaptions |
|
|
|
|
|
|
|
|
Pay a fixed rate of 4.22% and |
|
|
9 |
|
$ |
208,944 |
|
|
Pay a fixed rate of 4.11% and |
|
|
6 |
|
|
159,726 |
|
|
Pay a fixed rate of 4.02% and |
|
|
9 |
|
|
272,053 |
|
|
Pay a fixed rate of 4.01% and |
|
|
6 |
|
|
185,784 |
|
|
Pay a fixed rate of 3.86% and |
|
|
10 |
|
|
393,097 |
|
|
Pay a fixed rate of 4.39% and |
|
|
2 |
|
|
107,561 |
|
|
Pay a fixed rate of 4.21% and |
|
|
18 |
|
|
201,025 |
|
|
Pay a fixed rate of 4.25% and |
|
|
9 |
|
|
488,371 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,175,274 |
|
|
|
|
|
|
|
|
|
|
|
Total
Options Purchased |
|
|
|
|
|
6,332,705 |
|
|
|
|
|
|
|
|
|
|
|
Total
Investments Before Borrowed |
|
|
|
|
|
696,293,766 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TBA Sale Commitments (n) |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
Fannie Mae Mortgage-Backed |
|
|
|
|
|
|
|
|
4.50%, 5/15/40 - 6/15/40 |
|
USD |
73,800 |
|
$ |
(75,299,025 |
) |
|
5.00%, 6/15/25 - 6/15/40 |
|
|
21,300 |
|
|
(22,295,115 |
) |
|
5.50%, 6/15/25 - 6/15/40 |
|
|
19,000 |
|
|
(20,267,661 |
) |
|
6.00%, 8/01/29 - 6/15/40 |
|
|
39,310 |
|
|
(42,338,089 |
) |
|
Freddie Mac Mortgage-Backed |
|
|
|
|
|
|
|
|
4.00%, 3/01/25 - 6/01/25 |
|
|
17,000 |
|
|
(17,430,304 |
) |
|
4.50%, 4/01/40 - 6/15/40 |
|
|
12,000 |
|
|
(12,240,000 |
) |
|
Ginnie Mae Mortgage-Backed |
|
|
100 |
|
|
(107,234 |
) |
|
|
|
|
|
|
|
|
|
|
Total TBA
Sale Commitments |
|
|
|
|
|
(189,977,428 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowed Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Notes, 3.50%, |
|
|
2,900 |
|
|
(2,948,024 |
) |
|
|
|
|
|
|
|
|
|
|
Total
Borrowed Bonds |
|
|
|
|
|
(2,948,024 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written |
|
Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Over-the-Counter Call Swaptions — (1.6)% |
|
|
|
|
|
|
|
|
Euro-Schatz, Strike Price USD |
|
|
126 |
|
|
(38,844 |
) |
|
Pay a fixed rate of 3.80% and |
|
|
11 (r) |
|
|
(411,711 |
) |
|
Pay a fixed rate of 4.92% and |
|
|
15 (r) |
|
|
(1,743,750 |
) |
|
Pay a fixed rate of 4.06% and |
|
|
6 (r) |
|
|
(353,988 |
) |
|
Pay a fixed rate of 4.06% and |
|
|
3 (r) |
|
|
(181,734 |
) |
|
|
|
|
|
|
|
|||
|
|
BLACKROCK CORE BOND TRUST |
MAY 31, 2010 |
11 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
Options Written |
|
Contracts (r) |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
Over-the-Counter
Call Swaptions |
|
|
|
|
|
|
|
|
Pay a fixed rate of 4.49% and |
|
|
4 |
|
$ |
(288,780 |
) |
|
Pay a fixed rate of 4.90% and |
|
|
4 |
|
|
(411,221 |
) |
|
Pay a fixed rate of 4.92% and |
|
|
7 |
|
|
(608,419 |
) |
|
Pay a fixed rate of 5.00% and |
|
|
6 |
|
|
(550,080 |
) |
|
Pay a fixed rate of 4.32% and |
|
|
5 |
|
|
(323,763 |
) |
|
Pay a fixed rate of 4.84% and |
|
|
2 |
|
|
(190,752 |
) |
|
Pay a fixed rate of 4.89% and |
|
|
2 |
|
|
(227,198 |
) |
|
Pay a fixed rate of 4.76% and |
|
|
3 |
|
|
(222,105 |
) |
|
Sold credit default on Dow Jones |
|
|
10 |
|
|
(16,711 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(5,530,212 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written |
|
Contracts (r) |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
Over-the-Counter Put Swaptions — (0.6)% |
|
|
|
|
|
|
|
|
Receive a fixed rate of 4.50% and |
|
|
11 |
|
$ |
(115 |
) |
|
Receive a fixed rate of 4.92% and |
|
|
15 |
|
|
(27,465 |
) |
|
Receive a fixed rate of 4.49% and |
|
|
4 |
|
|
(126,820 |
) |
|
Receive a fixed rate of 4.06% and |
|
|
6 |
|
|
(195,976 |
) |
|
Receive a fixed rate of 4.06% and |
|
|
3 |
|
|
(101,412 |
) |
|
Receive a fixed rate of 4.90% and |
|
|
4 |
|
|
(211,022 |
) |
|
Receive a fixed rate of 4.92% and |
|
|
7 |
|
|
(303,226 |
) |
|
Receive a fixed rate of 5.00% and |
|
|
6 |
|
|
(261,599 |
) |
|
Receive a fixed rate of 4.32% and |
|
|
5 |
|
|
(363,765 |
) |
|
Receive a fixed rate of 4.84% and |
|
|
2 |
|
|
(153,237 |
) |
|
Receive a fixed rate of 4.89% and |
|
|
2 |
|
|
(173,316 |
) |
|
|
|
|
|
|
||
|
12 |
BLACKROCK CORE BOND TRUST |
MAY 31, 2010 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written |
|
Contracts (r) |
|
Value |
|
||
|
|
|
|
|
|
|
||
|
Over-the-Counter Put Swaptions (concluded) |
|
|
|
|
|
|
|
|
Receive a fixed rate of 4.76% and |
|
|
3 |
|
$ |
(219,117 |
) |
|
Sold credit default on Dow Jones |
|
|
10 |
|
|
(30,065 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(2,167,135 |
) |
|
|
|
|
|
|
|
|
|
|
Total
Options Written |
|
|
|
|
|
(7,736,191 |
) |
|
|
|
|
|
|
|
|
|
|
Total
Investments, Net of Borrowed Bonds, TBA Sale |
|
|
|
|
|
498,580,147 |
|
|
Liabilities in Excess of Other Assets – (39.7)% |
|
|
|
|
|
(141,715,784 |
) |
|
|
|
|
|
|
|
|
|
|
Net Assets – 100.0% |
|
|
|
|
$ |
356,864,363 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
The cost and unrealized appreciation (depreciation) of investments as of May 31, 2010, as computed for federal income tax purposes were as follows: |
|
|
|
|
|
|
|
Aggregate cost |
|
$ |
687,602,160 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
$ |
20,941,082 |
|
|
Gross unrealized depreciation |
|
|
(12,249,476 |
) |
|
|
|
|
|
|
|
Net unrealized appreciation |
|
$ |
8,691,606 |
|
|
|
|
|
|
|
|
|
|
|
(a) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
|
|
|
|
(b) |
Variable rate security. Rate shown is as of report date. |
|
|
|
|
(c) |
Non-income producing security. |
|
|
|
|
(d) |
All or a portion of security has been pledged as collateral in connection with swaps. |
|
|
|
|
(e) |
All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements. |
|
|
|
|
(f) |
Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown reflects the current yield as of report date. |
|
|
|
|
(g) |
Convertible security. |
|
|
|
|
(h) |
Represents a payment-in-kind security which may pay interest/dividends in additional face/shares. |
|
|
|
|
(i) |
All or a portion of security has been pledged as collateral in connection with TALF Program. |
|
|
|
|
(j) |
Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing. |
|
|
|
|
(k) |
Security is perpetual in nature and has no stated maturity date. |
|
|
|
|
(l) |
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
|
|
|
|
(m) |
All or a portion of security has been pledged as collateral in connection with open financial futures contracts. |
|
|
|
|
(n) |
Represents or includes a to-be-announced (“TBA”) transaction. Unsettled TBA transactions as of report date were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Counterparty |
|
Value |
|
Unrealized |
|
||
|
|
|
|
|
|
|
||
|
BNP Paribas |
|
$ |
16,535,186 |
|
$ |
129,061 |
|
|
Bank of America Securities |
|
$ |
(5,509,685 |
) |
$ |
(52,732 |
) |
|
Citigroup Global Markets, Inc. |
|
$ |
709,015 |
|
$ |
8,140 |
|
|
Credit Suisse Securities LLC |
|
$ |
(7,930,704 |
) |
$ |
(19,563 |
) |
|
Deutsche Bank Securities, Inc. |
|
$ |
1,966,503 |
|
$ |
95,229 |
|
|
Goldman Sachs & Co. |
|
$ |
(22,081,900 |
) |
$ |
(169,132 |
) |
|
JPMorgan Securities, Inc. |
|
$ |
1,950,110 |
|
$ |
9,672 |
|
|
Morgan Stanley Capital |
|
$ |
6,857,160 |
|
$ |
(63,461 |
) |
|
Nomura Securities |
|
$ |
(16,754,145 |
) |
$ |
(99,754 |
) |
|
UBS Securities |
|
$ |
(23,550,304 |
) |
$ |
(35,070 |
) |
|
Wells Fargo Bank, NA |
|
$ |
743,313 |
|
$ |
3,828 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(o) |
Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date. |
|
|
|
|
(p) |
Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Affiliate |
|
Shares Held |
|
Net Activity |
|
Shares Held |
|
Income |
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||
|
BlackRock |
|
|
1,735,485 |
|
|
19,686,965 |
|
|
21,422,450 |
|
$ |
1,767 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(q) |
Represents the current yield as of report date. |
|
|
|
|
(r) |
One contract represents a notional amount of $1 million. |
|
|
|
|
|
|
|
|||
|
|
BLACKROCK CORE BOND TRUST |
MAY 31, 2010 |
13 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
|
|
|
• |
Reverse repurchase agreements outstanding as of May 31, 2010 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Counterparty |
|
Interest |
|
Trade |
|
Maturity |
|
Net Closing |
|
Face |
|
|||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
BNP Paribas |
|
|
|
0.43 |
% |
|
|
|
10/30/09 |
|
|
|
|
TBD |
|
|
$ |
3,574,379 |
|
$ |
3,565,265 |
|
|
Barclays Capital, Inc. |
|
|
|
0.40 |
% |
|
|
|
11/25/09 |
|
|
|
|
TBD |
|
|
|
1,802,758 |
|
|
1,799,000 |
|
|
Barclays Capital, Inc. |
|
|
|
0.40 |
% |
|
|
|
12/10/09 |
|
|
|
|
TBD |
|
|
|
3,160,062 |
|
|
3,154,000 |
|
|
Barclays Capital, Inc. |
|
|
|
0.18 |
% |
|
|
|
3/04/10 |
|
|
|
|
TBD |
|
|
|
20,024,226 |
|
|
20,015,319 |
|
|
Credit
Suisse Securities |
|
|
|
0.18 |
% |
|
|
|
3/04/10 |
|
|
|
|
TBD |
|
|
|
2,245,155 |
|
|
2,244,156 |
|
|
Credit Suisse Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(USA), Inc. |
|
|
|
0.20 |
% |
|
|
|
3/05/10 |
|
|
|
|
TBD |
|
|
|
8,372,731 |
|
|
8,368,639 |
|
|
Barclays Capital, Inc. |
|
|
|
0.40 |
% |
|
|
|
3/05/10 |
|
|
|
|
TBD |
|
|
|
11,605,004 |
|
|
11,593,667 |
|
|
Credit
Suisse Securities |
|
|
|
0.15 |
% |
|
|
|
3/05/10 |
|
|
|
|
TBD |
|
|
|
2,155,290 |
|
|
2,154,500 |
|
|
Barclays Capital, Inc. |
|
|
|
0.19 |
% |
|
|
|
3/25/10 |
|
|
|
|
TBD |
|
|
|
1,778,138 |
|
|
1,777,500 |
|
|
Barclays Capital, Inc. |
|
|
|
0.22 |
% |
|
|
|
4/07/10 |
|
|
|
|
TBD |
|
|
|
1,121,057 |
|
|
1,120,687 |
|
|
Royal Bank of Scotland Plc |
|
|
|
0.30 |
% |
|
|
|
5/14/10 |
|
|
|
|
TBD |
|
|
|
1,291,361 |
|
|
1,291,167 |
|
|
Barclays Capital, Inc. |
|
|
|
(0.03 |
)% |
|
|
|
5/27/10 |
|
|
|
|
6/02/10 |
|
|
|
42,521,603 |
|
|
42,521,744 |
|
|
Credit
Suisse Securities |
|
|
|
0.15 |
% |
|
|
|
5/27/10 |
|
|
|
|
6/02/10 |
|
|
|
2,353,833 |
|
|
2,353,794 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
102,007,081 |
|
$ |
101,959,438 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
• |
Foreign currency exchange contracts as of May 31, 2010 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Currency |
|
|
|
|
Currency |
|
Counterparty |
|
Settlement |
|
Unrealized |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
USD |
|
|
5,352,609 EUR |
|
|
4,265,000 |
|
|
BNP Paribas |
|
|
7/14/10 |
|
$ |
116,092 |
|
|
USD |
|
|
825,438 GBP |
|
|
533,500 |
|
|
Royal Bank of Scotland Plc |
|
|
7/28/10 |
|
|
53,802 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
169,894 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
• |
Financial futures contracts purchased as of May 31, 2010 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Contracts |
|
Issue |
|
Exchange |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
278 |
|
30-Year U.S. Treasury Bond |
|
Chicago |
|
June 2010 |
|
$ |
32,710,566 |
|
$ |
1,544,247 |
|
|
97 |
|
2-Year U.S. Treasury Bond |
|
Chicago |
|
September 2010 |
|
$ |
21,143,327 |
|
|
16,314 |
|
|
96 |
|
30-Year U.S. Treasury Bond |
|
Chicago |
|
September 2010 |
|
$ |
12,569,053 |
|
|
(203,053 |
) |
|
58 |
|
30-Year U.S. Treasury Ultra Bond |
|
Chicago |
|
September 2010 |
|
$ |
7,192,581 |
|
|
(78,518 |
) |
|
146 |
|
Euro Dollar Future |
|
Chicago |
|
December 2010 |
|
$ |
36,132,927 |
|
|
3,898 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
1,282,888 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
• |
Financial futures contracts sold as of May 31, 2010 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Contracts |
|
Issue |
|
Exchange |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
36 |
|
Euro-Bund Future |
|
Eurex |
|
June 2010 |
|
$ |
5,513,032 |
|
$ |
(163,738 |
) |
|
494 |
|
5-Year U.S. Treasury Bond |
|
Chicago |
|
September 2010 |
|
$ |
57,813,635 |
|
|
177,729 |
|
|
100 |
|
10-Year U.S. Treasury Bond |
|
Chicago |
|
September 2010 |
|
$ |
11,977,826 |
|
|
(9,674 |
) |
|
146 |
|
Euro Dollar Future |
|
Chicago |
|
December 2011 |
|
$ |
35,826,195 |
|
|
(33,230 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
(28,913 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
14 |
BLACKROCK CORE BOND TRUST |
MAY 31, 2010 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
|
|
|
• |
Interest rate swaps outstanding as of May 31, 2010 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed |
|
Floating |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1.09% (a) |
|
3-month LIBOR |
|
Barclays Bank Plc |
|
March 2012 |
|
USD |
40,000 |
|
$ |
44,689 |
|
|
|
1.16% (b) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
March 2012 |
|
USD |
23,700 |
|
|
2,895 |
|
|
|
1.24% (a) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
April 2012 |
|
USD |
25,200 |
|
|
(23,799 |
) |
|
|
1.21% (b) |
|
3-month LIBOR |
|
Citibank NA |
|
May 2012 |
|
USD |
29,300 |
|
|
6,528 |
|
|
|
1.21%(a) |
|
3-month LIBOR |
|
Goldman Sachs Bank USA |
|
May 2012 |
|
USD |
7,800 |
|
|
(2,451 |
) |
|
|
1.29% (a) |
|
3-month LIBOR |
|
Morgan Stanley Capital Services, Inc. |
|
May 2012 |
|
USD |
7,000 |
|
|
(8,271 |
) |
|
|
1.67% (b) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
May 2013 |
|
USD |
3,200 |
|
|
3,070 |
|
|
|
2.79% (a) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
November 2014 |
|
USD |
2,095 |
|
|
(48,583 |
) |
|
|
2.69% (b) |
|
3-month LIBOR |
|
Morgan Stanley Capital Services, Inc. |
|
February 2015 |
|
USD |
8,300 |
|
|
133,339 |
|
|
|
2.56% (a) |
|
3-month LIBOR |
|
Bank of America NA |
|
March 2015 |
|
USD |
9,800 |
|
|
(93,402 |
) |
|
|
2.62% (a) |
|
3-month LIBOR |
|
Barclays Bank Plc |
|
March 2015 |
|
USD |
7,300 |
|
|
(91,494 |
) |
|
|
2.75% (a) |
|
3-month LIBOR |
|
Morgan Stanley Capital Services, Inc. |
|
March 2015 |
|
USD |
5,000 |
|
|
(88,556 |
) |
|
|
2.60% (b) |
|
3-month LIBOR |
|
Royal Bank of Scotland Plc |
|
March 2015 |
|
USD |
15,000 |
|
|
162,333 |
|
|
|
2.67% (b) |
|
3-month LIBOR |
|
Goldman Sachs Bank USA |
|
April 2015 |
|
USD |
9,100 |
|
|
123,278 |
|
|
|
2.65% (a) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
April 2015 |
|
USD |
5,200 |
|
|
(63,270 |
) |
|
|
2.72% (a) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
April 2015 |
|
USD |
6,600 |
|
|
(105,134 |
) |
|
|
2.73% (a) |
|
3-month LIBOR |
|
Morgan Stanley Capital Services, Inc. |
|
April 2015 |
|
USD |
6,400 |
|
|
(106,373 |
) |
|
|
2.26% (b) |
|
3-month LIBOR |
|
Citibank NA |
|
May 2015 |
|
USD |
4,700 |
|
|
(35,221 |
) |
|
|
2.22% (b) |
|
3-month LIBOR |
|
Credit Suisse International |
|
May 2015 |
|
USD |
22,300 |
|
|
(204,521 |
) |
|
|
2.49% (a) |
|
3-month LIBOR |
|
Credit Suisse International |
|
May 2015 |
|
USD |
5,900 |
|
|
(25,597 |
) |
|
|
2.62% (a) |
|
3-month LIBOR |
|
Credit Suisse International |
|
May 2015 |
|
USD |
6,700 |
|
|
(70,522 |
) |
|
|
2.46% (b) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
May 2015 |
|
USD |
2,400 |
|
|
5,613 |
|
|
|
2.52% (a) |
|
3-month LIBOR |
|
Morgan Stanley Capital Services, Inc. |
|
May 2015 |
|
USD |
4,700 |
|
|
(26,336 |
) |
|
|
2.66% (a) |
|
3-month LIBOR |
|
Royal Bank of Scotland Plc |
|
May 2015 |
|
USD |
8,100 |
|
|
(98,980 |
) |
|
|
2.22% (b) |
|
3-month LIBOR |
|
Citibank NA |
|
January 2016 |
|
USD |
12,500 |
|
|
(265,824 |
) |
|
|
3.89% (b) |
|
3-month LIBOR |
|
Citibank NA |
|
July 2019 |
|
USD |
17,500 |
|
|
857,605 |
|
|
|
3.87% (b) |
|
3-month LIBOR |
|
Morgan Stanley Capital Services, Inc. |
|
February 2020 |
|
USD |
1,800 |
|
|
78,161 |
|
|
|
3.88% (b) |
|
3-month LIBOR |
|
Morgan Stanley Capital Services, Inc. |
|
February 2020 |
|
USD |
3,400 |
|
|
152,203 |
|
|
|
3.68% (b) |
|
3-month LIBOR |
|
BNP Paribas SA |
|
March 2020 |
|
USD |
5,200 |
|
|
143,454 |
|
|
|
3.73% (a) |
|
3-month LIBOR |
|
Barclays Bank Plc |
|
March 2020 |
|
USD |
1,900 |
|
|
(59,608 |
) |
|
|
3.77% (b) |
|
3-month LIBOR |
|
Citibank NA |
|
March 2020 |
|
USD |
4,400 |
|
|
151,648 |
|
|
|
3.68% (a) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
March 2020 |
|
USD |
2,000 |
|
|
(54,402 |
) |
|
|
3.70% (b) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
March 2020 |
|
USD |
12,000 |
|
|
345,539 |
|
|
|
3.75% (a) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
March 2020 |
|
USD |
2,300 |
|
|
(74,577 |
) |
|
|
3.65% (b) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
March 2020 |
|
USD |
3,800 |
|
|
94,987 |
|
|
|
3.83% (a) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
March 2020 |
|
USD |
1,900 |
|
|
(74,871 |
) |
|
|
3.67% (b) |
|
3-month LIBOR |
|
Morgan Stanley Capital Services, Inc. |
|
March 2020 |
|
USD |
4,400 |
|
|
115,022 |
|
|
|
3.70% (a) |
|
3-month LIBOR |
|
Morgan Stanley Capital Services, Inc. |
|
March 2020 |
|
USD |
4,400 |
|
|
(125,790 |
) |
|
|
3.71% (a) |
|
3-month LIBOR |
|
Morgan Stanley Capital Services, Inc. |
|
March 2020 |
|
USD |
1,900 |
|
|
(56,251 |
) |
|
|
3.64% (a) |
|
3-month LIBOR |
|
Royal Bank of Scotland Plc |
|
March 2020 |
|
USD |
6,900 |
|
|
(163,139 |
) |
|
|
3.85% (a) |
|
3-month LIBOR |
|
Bank of America NA |
|
April 2020 |
|
USD |
4,800 |
|
|
(196,198 |
) |
|
|
3.14% (b) |
|
3-month LIBOR |
|
Barclays Bank Plc |
|
April 2020 |
|
USD |
3,500 |
|
|
63,789 |
|
|
|
3.75% (b) |
|
3-month LIBOR |
|
Citibank NA |
|
April 2020 |
|
USD |
2,500 |
|
|
81,316 |
|
|
|
3.95% (a) |
|
3-month LIBOR |
|
Citibank NA |
|
April 2020 |
|
USD |
900 |
|
|
(44,834 |
) |
|
|
4.05% (a) |
|
3-month LIBOR |
|
Credit Suisse International |
|
April 2020 |
|
USD |
3,300 |
|
|
(192,246 |
) |
|
|
3.77% (b) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
April 2020 |
|
USD |
2,700 |
|
|
91,826 |
|
|
|
3.80% (b) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
April 2020 |
|
USD |
4,700 |
|
|
172,171 |
|
|
|
3.95% (a) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
April 2020 |
|
USD |
3,400 |
|
|
(170,582 |
) |
|
|
3.92% (b) |
|
3-month LIBOR |
|
Morgan Stanley Capital Services, Inc. |
|
April 2020 |
|
USD |
1,800 |
|
|
84,999 |
|
|
|
3.74% (b) |
|
3-month LIBOR |
|
Royal Bank of Scotland Plc |
|
April 2020 |
|
USD |
3,600 |
|
|
113,315 |
|
|
|
3.81% (a) |
|
3-month LIBOR |
|
UBS AG |
|
April 2020 |
|
USD |
2,800 |
|
|
(105,323 |
) |
|
|
3.47% (a) |
|
3-month LIBOR |
|
Bank of America NA |
|
May 2020 |
|
USD |
5,000 |
|
|
(37,115 |
) |
|
|
3.44% (a) |
|
3-month LIBOR |
|
Citibank NA |
|
May 2020 |
|
USD |
4,700 |
|
|
(22,158 |
) |
|
|
|
|
|
|
|
|||
|
|
BLACKROCK CORE BOND TRUST |
MAY 31, 2010 |
15 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
|
|
|
• |
Interest rate swaps outstanding as of May 31, 2010 (concluded): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed |
|
Floating |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3.75% (b) |
|
3-month LIBOR |
|
Citibank NA |
|
May 2020 |
|
USD |
6,400 |
|
$ |
11,479 |
|
|
|
3.27% (a) |
|
3-month LIBOR |
|
Credit Suisse International |
|
May 2020 |
|
USD |
6,700 |
|
|
65,682 |
|
|
|
3.48% (b) |
|
3-month LIBOR |
|
Credit Suisse International |
|
May 2020 |
|
USD |
2,800 |
|
|
24,104 |
|
|
|
2.52% (c) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
May 2020 |
|
USD |
4,300 |
|
|
(20,571 |
) |
|
|
3.28% (a) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
May 2020 |
|
USD |
2,300 |
|
|
21,073 |
|
|
|
3.39% (a) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
May 2020 |
|
USD |
9,100 |
|
|
(9,860 |
) |
|
|
3.45% (b) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
May 2020 |
|
USD |
400 |
|
|
2,321 |
|
|
|
3.48% (a) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
May 2020 |
|
USD |
2,400 |
|
|
(20,943 |
) |
|
|
3.25% (b) |
|
3-month LIBOR |
|
Goldman Sachs Bank USA |
|
May 2020 |
|
USD |
1,100 |
|
|
(13,281 |
) |
|
|
3.57% (b) |
|
3-month LIBOR |
|
Goldman Sachs Bank USA |
|
May 2020 |
|
USD |
3,500 |
|
|
59,577 |
|
|
|
3.57% (a) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
May 2020 |
|
USD |
1,500 |
|
|
(24,098 |
) |
|
|
3.60% (a) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
May 2020 |
|
USD |
2,900 |
|
|
(31,158 |
) |
|
|
3.64% (b) |
|
3-month LIBOR |
|
Morgan Stanley Capital Services, Inc. |
|
May 2020 |
|
USD |
2,300 |
|
|
52,884 |
|
|
|
3.15% (b) |
|
3-month LIBOR |
|
Royal Bank of Scotland Plc |
|
May 2020 |
|
USD |
2,000 |
|
|
(40,566 |
) |
|
|
3.25% (b) |
|
3-month LIBOR |
|
Royal Bank of Scotland Plc |
|
May 2020 |
|
USD |
4,700 |
|
|
(56,257 |
) |
|
|
3.46% (a) |
|
3-month LIBOR |
|
Royal Bank of Scotland Plc |
|
May 2020 |
|
USD |
700 |
|
|
(4,433 |
) |
|
|
3.60% (a) |
|
3-month LIBOR |
|
Morgan Stanley Capital Services, Inc. |
|
May 2020 |
|
USD |
9,500 |
|
|
(65,526 |
) |
|
|
2.62% (c) |
|
U.S. City Average All |
|
Morgan Stanley Capital Services, Inc. |
|
May 2020 |
|
USD |
7,100 |
|
|
27,995 |
|
|
|
3.39% (b) |
|
3-month LIBOR |
|
Goldman Sachs Bank USA |
|
June 2020 |
|
USD |
700 |
|
|
223 |
|
|
|
3.46% (d) |
|
3-month LIBOR |
|
BNP Paribas SA |
|
October 2020 |
|
USD |
3,400 |
|
|
31,571 |
|
|
|
5.41% (b) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
August 2022 |
|
USD |
8,545 |
|
|
1,573,979 |
|
|
|
5.37% (a) |
|
3-month LIBOR |
|
Bank of America NA |
|
September 2027 |
|
USD |
8,000 |
|
|
(1,572,535 |
) |
|
|
4.84% (a) |
|
3-month LIBOR |
|
Morgan Stanley Capital Services, Inc. |
|
January 2038 |
|
USD |
3,300 |
|
|
(464,850 |
) |
|
|
4.44% (a) |
|
3-month LIBOR |
|
Royal Bank of Scotland Plc |
|
January 2040 |
|
USD |
1,900 |
|
|
(137,675 |
) |
|
|
4.59% (a) |
|
3-month LIBOR |
|
Morgan Stanley Capital Services, Inc. |
|
February 2040 |
|
USD |
1,700 |
|
|
(168,224 |
) |
|
|
4.48% (b) |
|
3-month LIBOR |
|
Citibank NA |
|
April 2040 |
|
USD |
600 |
|
|
48,341 |
|
|
|
4.44% (a) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
April 2040 |
|
USD |
1,400 |
|
|
(103,402 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
(521,798 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Pays fixed interest rate and receives floating rate. |
|
|
||
|
|
(b) |
Pays floating interest rate and receives fixed rate. |
|
|
||
|
|
(c) |
Pays floating amount and receives fixed interest rate at expiration date. |
|
|
||
|
|
(d) |
Pays fixed interest amount and receives floating rate at expiration date. |
|
|
|
|
|
• |
Credit default swaps on single-name issues - buy protection outstanding as of May 31, 2010 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
Issuer |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NOVA Chemicals Corp. |
|
5.00% |
|
Citibank NA |
|
March 2012 |
|
USD |
50 |
|
$ |
(566 |
) |
|
|
Macy’s, Inc. |
|
7.50% |
|
Morgan Stanley Capital Services, Inc. |
|
June 2012 |
|
USD |
405 |
|
|
(52,474 |
) |
|
|
Macy’s, Inc. |
|
8.00% |
|
Morgan Stanley Capital Services, Inc. |
|
June 2012 |
|
USD |
145 |
|
|
(20,256 |
) |
|
|
NOVA Chemicals Corp. |
|
5.00% |
|
JPMorgan Chase Bank NA |
|
June 2012 |
|
USD |
65 |
|
|
(264 |
) |
|
|
K. Hovnanian |
|
5.00% |
|
Goldman Sachs Bank USA |
|
December 2012 |
|
USD |
375 |
|
|
4,437 |
|
|
|
Centex Corp. |
|
4.37% |
|
Deutsche Bank AG |
|
December 2013 |
|
USD |
940 |
|
|
(61,396 |
) |
|
|
Centex Corp. |
|
4.40% |
|
JPMorgan Chase Bank NA |
|
December 2013 |
|
USD |
550 |
|
|
(103,969 |
) |
|
|
NOVA Chemicals Corp. |
|
5.00% |
|
Goldman Sachs Bank USA |
|
December 2013 |
|
USD |
300 |
|
|
(4,637 |
) |
|
|
|
|
|
|
||
|
16 |
BLACKROCK CORE BOND TRUST |
MAY 31, 2010 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
|
|
|
• |
Credit default swaps on single-name issues - buy protection outstanding as of May 31, 2010 (concluded): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Issuer |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Seagate Technology Holdings |
|
1.00% |
|
Credit Suisse International |
|
June 2014 |
|
USD |
155 |
|
$ |
(236 |
) |
|
Seagate Technology Holdings |
|
5.00% |
|
Morgan Stanley Capital Services, Inc. |
|
June 2014 |
|
USD |
370 |
|
|
(2,338 |
) |
|
Brunswick Corp. |
|
5.00% |
|
Credit Suisse International |
|
September 2014 |
|
USD |
1,250 |
|
|
(111,903 |
) |
|
Macy’s, Inc. |
|
1.00% |
|
Morgan Stanley International |
|
September 2014 |
|
USD |
150 |
|
|
(2,964 |
) |
|
Huntsman |
|
5.00% |
|
Goldman Sachs Bank USA |
|
December 2014 |
|
USD |
265 |
|
|
(78,338 |
) |
|
Pulte Homes, Inc. |
|
3.00% |
|
JPMorgan Chase Bank NA |
|
March 2015 |
|
USD |
310 |
|
|
(10,009 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
(444,913 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
• |
Credit default swaps on traded indexes - buy protection outstanding as of May 31, 2010 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Issuer |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dow Jones CDX North America High Yield |
|
5.00% |
|
Credit Suisse International |
|
December 2014 |
|
USD |
2,871 |
|
$ |
24,305 |
|
|
Dow Jones CDX North America High Yield |
|
5.00% |
|
Credit Suisse International |
|
December 2014 |
|
USD |
1,139 |
|
|
68,089 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
92,394 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
• |
For Trust compliance purposes, the Trust’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or ratings group indexes and/or as defined by Trust management. This definition may not apply for purposes of this report, which may combine sector sub-classifications for reporting ease. |
|
|
|
|
|
|
• |
Fair Value Measurements - Various inputs are used in determining the fair value of investments, which are as follows: |
|
|
|
|
|
|
|
• |
Level 1 — price quotations in active markets/exchanges for identical assets and liabilities |
|
|
|
|
|
|
• |
Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
|
|
|
|
|
|
• |
Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments) |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to the Trust’s most recent financial statements as contained in its semi-annual report.
|
|
|
|
|
|
|
|||
|
|
BLACKROCK CORE BOND TRUST |
MAY 31, 2010 |
17 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
The following tables summarize the inputs used as of May 31, 2010 in determining the fair valuation of the Trust’s investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
||||||||||||
|
|
|
||||||||||||
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
|
— |
|
$ |
21,590,051 |
|
$ |
3,179,749 |
|
$ |
24,769,800 |
|
|
Common Stocks |
|
|
— |
|
|
58,708 |
|
|
8,771 |
|
|
67,479 |
|
|
Corporate Bonds |
|
|
— |
|
|
224,679,438 |
|
|
2,101,040 |
|
|
226,780,478 |
|
|
Foreign Agency Obligations |
|
|
— |
|
|
8,866,828 |
|
|
— |
|
|
8,866,828 |
|
|
Non-Agency Mortgage-Backed securities |
|
|
— |
|
|
59,156,521 |
|
|
2,327,447 |
|
|
61,483,968 |
|
|
Other Interests |
|
|
— |
|
|
— |
|
|
381 |
|
|
381 |
|
|
Preferred Securities |
|
|
— |
|
|
5,106,667 |
|
|
47,683 |
|
|
5,154,350 |
|
|
Taxable Municipal Bonds |
|
|
— |
|
|
8,016,776 |
|
|
— |
|
|
8,016,776 |
|
|
U.S. Government Sponsored |
|
|
— |
|
|
234,334,601 |
|
|
— |
|
|
234,334,601 |
|
|
U.S. Treasury Obligations |
|
|
— |
|
|
99,068,474 |
|
|
— |
|
|
99,068,474 |
|
|
Short-Term Securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Money Market Fund |
|
$ |
21,422,450 |
|
|
— |
|
|
— |
|
|
21,422,450 |
|
|
Borrowed Bond Agreements |
|
|
— |
|
|
2,943,500 |
|
|
— |
|
|
2,943,500 |
|
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowed Bond |
|
|
— |
|
|
(2,948,024 |
) |
|
— |
|
|
(2,948,024 |
) |
|
TBA Sale Commitments |
|
|
— |
|
|
(189,977,428 |
) |
|
— |
|
|
(189,977,428 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
21,422,450 |
|
$ |
470,896,112 |
|
$ |
7,665,071 |
|
$ |
499,983,633 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments1 |
|
||||||||||||
|
|
|
||||||||||||
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||
|
Assets |
|
$ |
1,820,969 |
|
$ |
11,467,658 |
|
|
— |
|
$ |
13,288,627 |
|
|
Liabilities |
|
|
(488,213 |
) |
|
(25,417,573 |
) |
|
— |
|
|
(25,905,786 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
1,332,756 |
|
$ |
(13,949,915 |
) |
|
— |
|
$ |
(12,617,159 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
Other financial instruments are futures contracts, swaps, foreign currency exchange contracts, TALF loan, and options. Financial futures contracts, swaps and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options and TALF loans are shown at value. |
|
|
|
|
|
|
||
|
18 |
BLACKROCK CORE BOND TRUST |
MAY 31, 2010 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (concluded) |
BlackRock Core Bond Trust (BHK) |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
|
Investments in Securities |
|
||||||||||||||||||||||||
|
|
|
||||||||||||||||||||||||
|
|
|
Asset-Backed |
|
Common |
|
Corporate |
|
Non-Agency |
|
Other |
|
Preferred |
|
U.S. |
|
Total |
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Balance as of |
|
$ |
1,198,713 |
|
|
— |
|
$ |
1,488,845 |
|
$ |
1,612,444 |
|
$ |
381 |
|
|
— |
|
$ |
2,690,595 |
|
$ |
6,990,978 |
|
|
Accrued |
|
|
(154,540 |
) |
|
— |
|
|
3,867 |
|
|
1,663 |
|
|
— |
|
|
— |
|
|
(450,172 |
) |
|
(599,182 |
) |
|
Realized gain |
|
|
— |
|
|
— |
|
|
(69,933 |
) |
|
22,920 |
|
|
— |
|
|
— |
|
|
1,504,160 |
|
|
1,457,147 |
|
|
Change in |
|
|
127,826 |
|
|
— |
|
|
2,643,844 |
|
|
30,182 |
|
|
— |
|
|
— |
|
|
(1,012,830 |
) |
|
1,789,022 |
|
|
Net purchases |
|
|
— |
|
|
— |
|
|
(2,709,387 |
) |
|
(79,762 |
) |
|
— |
|
|
— |
|
|
(2,731,753 |
) |
|
(5,520,902 |
) |
|
Net transfers |
|
|
2,007,750 |
|
$ |
8,771 |
|
|
743,804 |
|
|
740,000 |
|
|
— |
|
$ |
47,683 |
|
|
— |
|
|
3,548,008 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of |
|
$ |
3,179,749 |
|
$ |
8,771 |
|
$ |
2,101,040 |
|
$ |
2,327,447 |
|
$ |
381 |
|
$ |
47,683 |
|
|
— |
|
$ |
7,665,071 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2 |
The change in unrealized appreciation/depreciation on securities still held at May 31, 2010 was $157,469. |
The following table is a reconciliation of Level 3 other financial instruments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other
Financial |
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
Balance, as of August 31, 2009 |
|
$ |
(226,565 |
) |
|
Accrued discounts/premium |
|
|
— |
|
|
Realized gain (loss) |
|
|
(251,534 |
) |
|
Change in unrealized appreciation/depreciation |
|
|
226,565 |
|
|
Net purchases (sales) |
|
|
251,534 |
|
|
Net transfers in/out of Level 3 |
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— |
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Balance, as of May 31, 2010 |
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— |
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3 |
Other financial instruments are swaps. |
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BLACKROCK CORE BOND TRUST |
MAY 31, 2010 |
19 |
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Item 2 – |
Controls and Procedures | ||
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2(a) – |
The registrant's principal executive and principal financial officers or persons performing similar functions have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13(a)-15(b) under the Securities Exchange Act of 1934, as amended. | ||
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2(b) – |
There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. | ||
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Item 3 – |
Exhibits | ||
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Certifications – Attached hereto | ||
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. | ||
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BlackRock Core Bond Trust | ||
| By: | /s/ Anne F. Ackerley | ||
| Anne F. Ackerley | |||
| Chief Executive Officer of | |||
| BlackRock Core Bond Trust | |||
| Date: July 23, 2010 | |||
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. | |||
| By: | /s/ Anne F. Ackerley | ||
| Anne F. Ackerley | |||
| Chief Executive Officer (principal executive officer) of | |||
| BlackRock Core Bond Trust | |||
| Date: July 23, 2010 | |||
| By: | /s/ Neal J. Andrews | ||
| Neal J. Andrews | |||
| Chief Financial Officer (principal financial officer) of | |||
| BlackRock Core Bond Trust | |||
| Date: July 23, 2010 | |||