Edgar Filing: BLACKROCK CORPORATE HIGH YIELD FUND, INC.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT

FEBRUARY 29, 2016

BLACKROCK CORPORATE HIGH YIELD FUND, INC.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-21318

Name of Fund: BlackRock Corporate High Yield Fund, Inc. (HYT)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Corporate High Yield Fund, Inc., 55 East 52^nd Street, New York, NY 10055

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

Date of fiscal year end: 08/31/2016

Date of reporting period: 02/29/2016

Item 1 – Report to Stockholders

FEBRUARY 29, 2016

SEMI-ANNUAL REPORT (UNAUDITED)

BlackRock Core Bond Trust (BHK)

BlackRock Corporate High Yield Fund, Inc. (HYT)

BlackRock Income Trust, Inc. (BKT)

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents


	Page
The Markets in Review		3
Semi-Annual Report:
Trust Summaries		4
The Benefits and Risks of Leveraging		10
Derivative Financial Instruments		10
Financial Statements:
Schedules of Investments		11
Statements of Assets and Liabilities		59
Statements of Operations		61
Statements of Changes in Net Assets		62
Statements of Cash Flows		65
Financial Highlights		67
Notes to Financial Statements		70
Officers and Trustees		85
Additional Information		86



2	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016

The Markets in Review

Dear Shareholder,

Diverging monetary policies and shifting economic outlooks across regions have been the overarching themes driving financial markets over the past couple of years. With U.S. growth outpacing the global economic recovery while inflationary pressures remained low, investors spent most of 2015 anticipating the curtailment of the Federal Reserve’s near-zero interest rate policy, which ultimately came in December. In contrast, the European Central Bank and the Bank of Japan took measures to stimulate growth. In this environment, the U.S. dollar strengthened considerably, causing profit challenges for U.S. exporters and high levels of volatility in emerging market currencies and commodities.

Global market volatility increased in the latter part of 2015 and continued into early 2016. Oil prices collapsed in mid-2015 due to excess supply, and remained precarious while the world’s largest oil producers sought to negotiate a deal. Developing countries, many of which rely heavily on oil exports to sustain their economies, were particularly affected by falling oil prices. Meanwhile, China, one of the world’s largest oil consumers, exhibited further signs of slowing economic growth. This, combined with a depreciating yuan and declining confidence in the country’s policymakers, stoked worries about the potential impact of China’s weakness on the broader global economy.

Toward the end of the period, volatility abated as investors were relieved to find that conditions were not as bad as previously feared. While the recent selloff in risk assets has resulted in more reasonable valuations and some appealing entry points, investors continue to face mixed economic data and uncertainty relating to oil prices, corporate earnings and an unusual U.S. presidential election season.

For the 12-month period, higher quality assets such as U.S. Treasuries, municipal bonds and investment grade corporate bonds generated positive returns, while risk assets such as equities and high yield bonds broadly declined.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to move freely as market conditions change over time. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC


Total Returns as of February 29, 2016
	6-month			12-month
U.S. large cap equities (S&P 500^® Index)		(0.92	)%		(6.19	)%
U.S. small cap equities (Russell 2000^® Index)		(10.16	)		(14.97	)
International equities (MSCI Europe, Australasia, Far East Index)		(9.48	)		(15.18	)
Emerging market equities (MSCI Emerging Markets Index)		(8.85	)		(23.41	)
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.06			0.08
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		5.01			4.11
U.S. investment-grade bonds (Barclays U.S. Aggregate Bond Index)		2.20			1.50
Tax-exempt municipal bonds (S&P Municipal Bond Index)		3.56			3.78
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		(5.57	)		(8.26	)
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.



		THIS PAGE NOT PART OF YOUR FUND REPORT				3


Trust Summary as of February 29, 2016				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 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 directly in such securities or synthetically through the use of derivatives.

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


Trust Information
Symbol on New York Stock Exchange (“NYSE”)		BHK
Initial Offering Date		November 27, 2001
Current Distribution Rate on Closing Market Price as of February 29, 2016 ($12.96)¹		6.57%
Current Monthly Distribution per Common Share²		$0.071
Current Annualized Distribution per Common Share²		$0.852
Economic Leverage as of February 29, 2016³		27%

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results.

The distribution rate is not constant and is subject to change.

Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 10.


Performance and Portfolio Management Commentary

Returns for the six months ended February 29, 2016 were as follows:


	Returns Based On
	Market Price			NAV
BHK^1,2		6.09	%		0.86	%
Lipper Corporate BBB-Rated Debt Funds (Leveraged)³		1.21	%		(1.42	)%

All returns reflect reinvestment of dividends and/or distributions.

The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV.

Average return.

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

What factors influenced performance?

•

The main contributor to the Trust’s absolute performance was its allocation to U.S. Treasuries. An allocation to global sovereign/supranational/agency issues and investment grade corporate securities also contributed to performance.

•

The largest detractor from performance was the Trust’s allocation to asset-backed securities (“ABS”). Allocations to U.S. high yield corporate and commercial mortgage-backed securities (“CMBS”) also detracted from results.

•

The use of swaps on U.S. Treasuries as a hedge of portfolio duration and risk management detracted from performance during the reporting period. The use of U.S. Treasury futures contributed to performance as interest rates drifted lower in the United States during the reporting period due to higher market volatility and a general risk-off environment.

Describe recent portfolio activity.

•

During the six-month period, the Trust maintained a low level of risk on expectations of increased volatility. This was in light of a high level of market volatility following the depreciation of the Chinese yuan by the People’s Bank of China in August 2015 and concerns over slowing global economic growth. At the beginning of the reporting period, the Trust maintained a consistent allocation, favoring agency mortgage backed securities (“MBS”), high yield corporates and structured products (ABS and CMBS). However, volatility increased near year-end 2015 in the wake of the first U.S. Federal Reserve interest rate hike in nine years and another depreciation of the yuan. As a result, the Trust’s risk level was further reduced by decreasing exposure to structured products, corporate credit and sovereign securities in favor of U.S. Treasuries.

Describe portfolio positioning at period end.

•

At period end, the Trust maintained diversified exposure to non-government spread sectors, including investment grade credit, high yield credit, CMBS, ABS and non-agency residential MBS. The Trust also held exposure to government-related sectors such as U.S. Treasury securities, agency debt and agency MBS. The Trust ended the period with a long duration profile.

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.



4	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


		BlackRock Core Bond Trust


Market Price and Net Asset Value Per Share Summary


	2/29/16		8/31/15		Change			High		Low
Market Price	$	12.96	$	12.63		2.61	%	$	13.13	$	12.34
Net Asset Value	$	13.94	$	14.29		(2.45	)%	$	14.39	$	13.74


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

LOGO

Overview of the Trust’s Total Investments


Portfolio Composition	2/29/16			8/31/15
Corporate Bonds		47	%		49	%
Non-Agency Mortgage-Backed Securities		12			12
U.S. Treasury Obligations		11			6
Asset-Backed Securities		9			11
Preferred Securities		9			10
U.S. Government Sponsored Agency Securities		7			8
Municipal Bonds		2			2
Foreign Agency Obligations		2			2
Short-Term Securities		1			1
Floating Rate Loan Interests		1			—
Options Written		(1	)		(1	)
Other¹		—			—

Representing less than 1% of the Trust’s total investments and may include Common Stocks and Options Purchased.


Credit Quality Allocation^2,3	2/29/16			8/31/15
AAA/Aaa⁴		22	%		18	%
AA/Aa		7			7
A		18			18
BBB/Baa		30			33
BB/Ba		11			13
B		7			7
CCC/Caa		1			1
N/R		4			3

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

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

⁴

The investment advisor 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 advisor has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	5


Trust Summary as of February 29, 2016				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 objectives by investing primarily in a diversified portfolio of fixed income securities which are rated below investment grade or, if unrated, are considered by the Investment Advisor to be of comparable quality. The Trust may invest directly in fixed income securities or synthetically through the use of derivatives.

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


Trust Information
Symbol on NYSE		HYT
Initial Offering Date		May 30, 2003
Current Distribution Rate on Closing Market Price as of February 29, 2016 ($9.77)¹		8.60%
Current Monthly Distribution per Common Share²		$0.07
Current Annualized Distribution per Common Share²		$0.84
Economic Leverage as of February 29, 2016³		27%

The distribution rate is not constant and is subject to change.

Represents bank borrowings as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 10.

Performance and Portfolio Management Commentary

Returns for the six months ended February 29, 2016 were as follows:


	Returns Based On
	Market Price			NAV
HYT^1,2		3.77	%		(6.75	)%
Lipper High Yield Funds (Leveraged)³		(3.57	)%		(8.51	)%

All returns reflect reinvestment of dividends and/or distributions.

The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV.

Average return.

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

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

What factors influenced performance?

•

Credit markets were in negative territory for the six months ended February 29, 2016, driven in large part by a continued decline in commodity prices. Following a brief recovery entering the period, energy prices were the hardest hit as crude oil slid to below $30 a barrel. The Trust’s moderate exposure to the energy sector was the most notable detractor from returns. Holdings within the banking and transportation services industries were also significant contributors to the Trust’s negative return. Positions in floating rate loan interests (bank loans) and convertible bonds hurt performance as well.

•

The Trust’s exposure to issues in the health care, gaming and wirelines segments aided performance, as did holdings of preferred securities.

•

A derivative strategy commonly used by the Trust is to assume short positions in equity futures in order to reduce overall risk in the portfolio and manage the volatility of its equity holdings. This strategy added to returns as equities in aggregate declined modestly over the six months.

Describe recent portfolio activity.

•

The Trust began the period somewhat conservatively positioned and continued to reduce risk as volatility increased. In this vein, the Trust increased its net equity short position. The Trust also continued to trim exposure to energy-related issues, selling down positions across independent energy, midstream, and oil field services companies. Finally, the Trust maintained meaningful exposure to bank loans, which are higher in an issuer’s capital structure and generally less volatile than high yield bonds. The Trust added to names in the technology and packaging industries over the period.

Describe portfolio positioning at period end.

•

At period end, the Trust held the majority of its total portfolio in corporate bonds, with the next most significant allocation in floating rate loan interests (bank loans). Within high yield corporates, the Trust had modest exposure to BB-rated bonds and a meaningful allocation to high conviction CCC-rated issues. The largest individual positions included Ally Financial (banking), First Data Corp. (technology) and Altice NV (cable & satellite). The Trust also maintained exposure to equity and equity-like assets in seeking to improve the overall risk/reward profile of the portfolio, while managing equity risk. Overall, the Trust was positioned with a moderate risk profile on the view that commodity weakness and broader macroeconomic uncertainty could drive further volatility in credit markets.



6	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


		BlackRock Corporate High Yield Fund, Inc.


Market Price and Net Asset Value Per Share Summary


	2/29/16		8/31/15		Change			High		Low
Market Price	$	9.77	$	9.97		(2.01	)%	$	10.45	$	9.13
Net Asset Value	$	10.62	$	12.06		(11.94	)%	$	12.06	$	10.13


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

LOGO

Overview of the Trust’s Total Investments


Portfolio Composition	2/29/16			8/31/15
Corporate Bonds		77	%		79	%
Floating Rate Loan Interests		10			9
Preferred Securities		6			5
Common Stocks		4			5
Asset-Backed Securities		2			2
Investment Companies		1			—
Other¹		—			—

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


Credit Quality Allocation²	2/29/16			8/31/15
A		1	%		1	%
BBB/Baa		7			6
BB/Ba		38			37
B		38			40
CCC/Caa		7			8
N/R		9			8

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



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	7


Trust Summary as of February 29, 2016				BlackRock Income Trust, Inc.

Trust Overview

BlackRock Income Trust, Inc.’s (BKT) (the “Trust”) investment objective is to manage a portfolio of high-quality securities to achieve both preservation of capital and high monthly income. The Trust seeks to achieve its investment objective by investing at least 65% of its assets in mortgage-backed securities. The Trust invests at least 80% of its assets in securities that are (i) issued or guaranteed by the U.S. government or one of its agencies or instrumentalities or (ii) rated at the time of investment either AAA by S&P or Aaa by Moody’s. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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


Trust Information
Symbol on NYSE		BKT
Initial Offering Date		July 22, 1988
Current Distribution Rate on Closing Market Price as of February 29, 2016 ($6.54)¹		5.69%
Current Monthly Distribution per Common Share²		$0.031
Current Annualized Distribution per Common Share²		$0.372
Economic Leverage as of February 29, 2016³		26%

The monthly distribution per Common Share, declared on March 1, 2016, was decreased to $0.0265 per share. The current distribution rate on closing market price, current monthly distribution per Common Share and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

Performance and Portfolio Management Commentary

Returns for the six months ended February 29, 2016 were as follows:


	Returns Based On
	Market Price			NAV
BKT^1, 2		6.84	%		2.20	%
Lipper US Mortgage Funds³		4.18	%		(0.94	)%

All returns reflect reinvestment of dividends and/or distributions.

The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV.

Average return.

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

What factors influenced performance?

•

The largest positive contributor to performance was the Trust’s allocation in well-structured agency collateralized mortgage obligations (“CMOs”) that offered call protection and seasoned collateral with favorable risk/reward characteristics and attractive income.

•

The Trust’s duration positioning and swap strategies, as well as its allocations to 15- and 30-year pass-throughs, detracted from performance.

•

The Trust may use derivatives including futures, options, swaps and swaptions, mainly for the purpose of managing duration, convexity

(the rate at which duration changes in response to interest rate movements) and yield curve positioning. During the period, the Trust primarily used financial futures contracts that did not have a significant impact on performance.

Describe recent portfolio activity.

•

During the six-month period, the Trust marginally decreased long exposure to agency CMOs, non-agency adjustable rate mortgages and CMOs, and increased its short exposure to 15- and 30-year pass-through mortgage-backed securities (“MBS”). In addition, the Trust marginally increased its long exposure to U.S. Treasuries, as well as commercial mortgage-backed securities (“CMBS”).

Describe portfolio positioning at period end.

•

As of period end, the Trust continued to be overweight in agency CMOs. In addition, the Trust continued to maintain allocations to 30-year MBS and some 15-year MBS with higher coupons. The Trust had a reduced allocation to non-agency MBS and slightly increased exposure to CMBS.



8	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


		BlackRock Income Trust, Inc.


Market Price and Net Asset Value Per Share Summary


	2/29/16		8/31/15		Change			High		Low
Market Price	$	6.54	$	6.30		3.81	%	$	6.60	$	6.26
Net Asset Value	$	7.03	$	7.08		(0.71	)%	$	7.10	$	6.92


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

LOGO

Overview of the Trust’s Total Investments


Portfolio Composition	2/29/16			8/31/15
U.S. Government Sponsored Agency Securities		97	%		98	%
U.S. Treasury Obligations		4			2
Non-Agency Mortgage-Backed Securities		1			1
Short-Term Securities		1			4
Asset-Backed Securities¹		—			—
Borrowed Bonds¹		—			—
TBA Sale Commitments		(3	)		(5	)

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


Credit Quality Allocation^2,3	2/29/16			8/31/15
AAA/Aaa⁴		97	%		100	%
AA		1			—
BBB		1			—
NR		1			—

Excludes Money Market Funds.

⁴



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	9


The Benefits and Risks of Leveraging

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

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

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

However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Trusts’ return on assets purchased with leverage proceeds, income to shareholders is lower than if the Trusts had not used leverage. Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the value of the Trusts’ obligations under their respective leverage arrangements generally does not fluctuate in relation to interest rates. As a result, changes in interest

rates can influence the Trusts’ NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that the Trusts’ intended leveraging strategy will be successful.

Leverage also generally causes greater changes in the Trusts’ NAVs, market prices 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 Trusts’ shares than if the Trusts were not leveraged. In addition, the Trusts 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 Trusts to incur losses. The use of leverage may limit the Trusts’ ability to invest in certain types of securities or use certain types of hedging strategies. The Trusts incur 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 advisor will be higher than if the Trusts did not use leverage.

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

Under the Investment Company Act of 1940, as amended (the “1940 Act”), the Trusts are permitted to issue debt up to 33¹/₃% of their 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 values not less than the value of a Trust’s obligations under the reverse repurchase agreement (including accrued interest) or the treasury roll transaction, then such transaction is not considered a senior security and is not subject to the foregoing limitations and requirements under the 1940 Act.


Derivative Financial Instruments

The Trusts may invest in various derivative financial instruments. Derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities 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. Derivative financial instruments also 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

derivative financial instrument. The Trusts’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial 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 are discussed in detail in the Notes to Financial Statements.



10	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016

Schedule of Investments February 29, 2016 (Unaudited)

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)


Asset-Backed Securities	Par (000)			Value

Asset-Backed Securities — 12.3%
ALM VI Ltd., Series 2012-6A, Class B2R, 3.42%, 7/15/26 (a)(b)		USD	1,000	$	943,500
AMMC CLO IX Ltd., Series 2011-9A, Class D, 5.12%, 1/15/22 (a)(b)			2,000		1,939,942
Apidos CDO, Series 2012-9AR, Class DR, 4.52%, 7/15/23 (a)(b)			1,400		1,298,360
Apidos CDO XI, Series 2012-11A, Class D, 4.87%, 1/17/23 (a)(b)			1,200		1,047,600
Apidos CLO XIX, Series 2014-19A, Class D, 4.37%, 10/17/26 (a)(b)			1,000		878,860
Ares CLO Ltd., Series 2014-32A, Class C, 4.82%, 11/15/25 (a)(b)			1,250		1,063,482
Ares XXIII CLO Ltd., Series 2012-1AR (a)(b):
Class CR, 3.82%, 4/19/23			4,000		3,944,608
Class DR, 4.77%, 4/19/23			3,000		2,807,333
Atrium CDO Corp., Series 9A, Class D, 4.14%, 2/28/24 (a)(b)			1,500		1,281,117
Babson CLO Ltd. (b):
Series 2012-1X, Class B, 3.12%, 4/15/22			1,000		968,111
Series 2014-3A, Class D1, 4.12%, 1/15/26 (a)			1,500		1,237,500
Battalion CLO VII Ltd., Series 2014-7A, Class C, 4.52%, 10/17/26 (a)(b)			2,000		1,602,664
Benefit Street Partners CLO III Ltd., Series 2013-IIIA, Class C, 3.87%, 1/20/26 (a)(b)			1,000		796,241
Bowman Park CLO Ltd., Series 2014-1A, Class D2, 4.57%, 11/23/25 (a)(b)			3,000		2,613,692
CenterPoint Energy Transition Bond Co. LLC, Series 2012-1, Class A3, 3.03%, 10/15/25			2,210		2,354,857
CIFC Funding Ltd. (a)(b):
Series 2012-1AR, Class B1R, 4.46%, 8/14/24			1,500		1,384,778
Series 2013-IA, Class B, 3.44%, 4/16/25			1,000		940,995
Series 2014-4A, Class D, 4.02%, 10/17/26			2,000		1,618,292
Series 2015-1A, Class C, 3.62%, 1/22/27			1,000		945,807
Countrywide Asset-Backed Certificates, Series 2006-13, Class 3AV2, 0.59%, 1/25/37 (b)			615		585,779
DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44 (a)			3,940		3,851,845
Dryden 34 Senior Loan Fund, Series 2014-34A, Class C, 3.42%, 10/15/26 (a)(b)			1,000		942,446
Ford Credit Floorplan Master Owner Trust, Series 2012-2:
Class B, 2.32%, 1/15/19			490		493,939
Class C, 2.86%, 1/15/19			210		211,903
Class D, 3.50%, 1/15/19			400		405,543
Galaxy XV CLO Ltd., Series 2013-15A, Class C, 3.22%, 4/15/25 (a)(b)			1,000		943,882
GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class D, 4.12%, 10/29/26 (a)(b)			1,000		872,700
Highbridge Loan Management Ltd., Series 5A-2015, Class C1, 3.82%, 1/29/26 (a)(b)			4,000		3,880,000


Asset-Backed Securities	Par (000)			Value

Asset-Backed Securities (continued)
Limerock CLO III LLC, Series 2014-3A, Class C, 4.22%, 10/20/26 (a)(b)		USD	3,750	$	3,076,297
Madison Park Funding IX Ltd., Series 2012-9AR, Class DR, 4.47%, 8/15/22 (a)(b)			1,200		1,111,876
Madison Park Funding XV Ltd., Series 2014-15A, Class B1, 3.87%, 1/27/26 (a)(b)			1,800		1,731,959
Nelnet Student Loan Trust, Series 2006-1, Class A5, 0.73%, 8/23/27 (b)			1,050		1,020,501
Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class C, 4.37%, 11/14/25 (b)			2,250		1,817,276
Oaktree EIF II Ltd., Class C (b):
Series 2014-A2, 3.82%, 11/15/25			2,250		2,090,794
Series 2015-B1A, 3.72%, 2/15/26 (a)			1,000		899,645
Octagon Investment Partners XX Ltd., Series 2014-1A (a)(b):
Class C, 3.42%, 8/12/26			750		697,525
Class D, 4.27%, 8/12/26			1,000		870,790
Octagon Investment Partners XXI Ltd., Series 2014-1A, Class C, 4.27%, 11/14/26 (a)(b)			2,000		1,646,190
Octagon Investment Partners XXII Ltd., Series 2014-1A, Class C1, 3.87%, 11/25/25 (b)			2,000		1,906,360
OneMain Financial Issuance Trust (a):
Series 2015-1A, Class D, 6.63%, 3/18/26			1,075		1,079,418
Series 2015-2A, Class C, 4.32%, 7/18/25			5,000		4,860,750
Series 2015-2A, Class D, 5.64%, 7/18/25			2,500		2,434,900
OZLM Funding III Ltd., Series 2013-3A (a)(b):
Class B, 3.72%, 1/22/25			1,500		1,433,762
Class C, 4.52%, 1/22/25			500		433,021
OZLM VII Ltd., Series 2014-7A, Class C, 4.22%, 7/17/26 (a)(b)			470		384,913
OZLM VIII Ltd., Series 2014-8A, Class C, 4.12%, 10/17/26 (a)(b)			1,750		1,425,174
Regatta V Funding Ltd., Series 2014-1A, Class C, 4.07%, 10/25/26 (a)(b)			2,000		1,594,710
SLM Private Credit Student Loan Trust, Series 2004-B, Class A2, 0.83%, 6/15/21 (b)			98		97,277
SLM Private Education Loan Trust, Series 2012-A, Class A1, 1.84%, 8/15/25 (a)(b)			158		158,035
SLM Student Loan Trust:
Series 2008-5, Class A3, 1.92%, 1/25/18 (b)			5		5,312
Series 2012-A, Class A2, 3.83%, 1/17/45 (a)			690		708,470
Series 2014-A, Class B, 3.50%, 11/15/44 (a)			500		490,842
Small Business Administration Participation Certificates, Series 1996-20K, Class 1, 6.95%, 11/01/16			18		17,951
SMB Private Education Loan Trust, Series 2015-C, Class C, 4.50%, 9/17/46 (a)			5,900		5,762,658

Portfolio Abbreviations


ADS	American Depositary Shares	EUR	Euro	NZD	New Zealand Dollar
AUD	Australian Dollar	GBP	British Pound	OTC	Over-the-Counter
CAD	Canadian Dollar	GO	General Obligation Bonds	PIK	Payment-In-Kind
CHF	Swiss Franc	ISDA	International Swaps and Derivatives Association, Inc.	RB	Revenue Bonds
CLO	Collateralized Loan Obligation	JPY	Japanese Yen	SEK	Swedish Krona
CMO	Collateralized Mortgage Obligation	LIBOR	London Interbank Offered Rate	SGD	Singapore Dollar
CR	Custodian Receipt	MBS	Mortgage-Backed Security	SPDR	Standard & Poor’s Depository Receipts
DIP	Debtor-In-Possession	MSCI	Morgan Stanley Capital International	USD	U.S. Dollar
ETF	Exchange-Traded Fund	NOK	Norwegian Krone

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	11


Schedule of Investments (continued)		BlackRock Core Bond Trust (BHK)


Asset-Backed Securities	Par (000)			Value

Asset-Backed Securities (continued)
Sound Point CLO Ltd., Series 2014-3A, Class D, 4.22%, 1/23/27 (a)(b)		USD	1,250	$	996,203
Steele Creek CLO Ltd., Series 2014-1A, Class C, 3.82%, 8/21/26 (a)(b)			2,500		2,457,513
Stewart Park CLO Ltd., Series 2015-1A, Class D, 4.07%, 4/15/26 (a)(b)			1,000		895,300
Structured Asset Securities Corp., Series 2002-AL1, Class A2, 3.45%, 2/25/32			842		838,581
Symphony CLO Ltd., Series 2012-10AR, Class DR, 4.17%, 7/23/23 (a)(b)			1,000		921,282
Symphony CLO VII Ltd., Series 2011-7A, Class E, 4.22%, 7/28/21 (a)(b)			1,500		1,388,741
Venture XIX CLO Ltd., Series 2014-19A, Class C, 3.92%, 1/15/27 (a)(b)			555		548,675
Voya CLO Ltd. (a)(b):
Series 2012-2AR, Class CR, 3.57%, 10/15/22			1,500		1,462,725
Series 2014-3A, Class C, 4.22%, 7/25/26			1,250		1,051,969
World Financial Network Credit Card Master Trust, Series 2012-C, Class C, 4.55%, 8/15/22			2,360		2,429,798

					92,602,969
Interest Only Asset-Backed Securities — 0.1%
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (a)			3,638		258,097
Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29			8,267		568,372

					826,469
Total Asset-Backed Securities — 12.4%					93,429,438


Corporate Bonds
Aerospace — 0.0%
Frontier Communications Corp., 7.13%, 3/15/19			115		115,575
Aerospace & Defense — 0.5%
Accudyne Industries Borrower/Accudyne Industries LLC, 7.75%, 12/15/20 (a)			220		157,850
Bombardier, Inc., 5.50%, 9/15/18 (a)			117		105,300
Moog, Inc., 5.25%, 12/01/22 (a)			180		176,400
TransDigm, Inc.:
7.50%, 7/15/21			175		179,813
6.00%, 7/15/22			1,079		1,052,025
6.50%, 7/15/24			363		353,925
United Technologies Corp., 6.13%, 7/15/38 (c)			1,450		1,804,020

					3,829,333
Air Freight & Logistics — 0.0%
XPO Logistics, Inc., 6.50%, 6/15/22 (a)			185		175,056
Airlines — 2.4%
Air Canada Pass-Through Trust, Series 2015-1, Class B, 3.88%, 9/15/24 (a)			2,000		1,865,000
American Airlines Pass-Through Trust:
Series 2013-2, Class A, 4.95%, 7/15/24 (c)			3,958		4,170,721
Series 2013-2, Class B, 5.60%, 7/15/20 (a)			868		872,709
Series 2015-2, Class A, 4.00%, 9/22/27			1,500		1,498,125
Series 2015-2, Class AA, 3.60%, 9/22/27			1,500		1,518,750
Continental Airlines Pass-Through Trust:
Series 2010-1, Class B, 6.00%, 7/12/20			570		588,436
Series 2012-3, Class C, 6.13%, 4/29/18			1,000		1,032,500
United Airlines Pass-Through Trust:
4.30%, 2/15/27			3,708		3,782,453
Series 2014-2, Class B, 4.63%, 3/03/24			2,750		2,763,750

					18,092,444


Corporate Bonds	Par (000)			Value

Auto Components — 0.3%
Goodyear Tire & Rubber Co., 6.50%, 3/01/21		USD	650	$	684,534
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.88%, 3/15/19			530		491,575
Schaeffler Holding Finance BV, (6.75% Cash), 6.75%, 11/15/22 (a)(d)			950		1,007,000

					2,183,109
Automobiles — 0.8%
Ford Motor Co., 4.75%, 1/15/43 (c)			4,255		3,906,294
General Motors Co., 6.25%, 10/02/43			2,506		2,451,896

					6,358,190
Banks — 2.8%
Barclays PLC, 3.65%, 3/16/25			4,320		3,969,445
CIT Group, Inc.:
5.50%, 2/15/19 (a)			3,786		3,918,510
5.38%, 5/15/20			3,300		3,407,250
HSBC Holdings PLC, 6.10%, 1/14/42			610		753,921
Rabobank Nederland (c):
3.88%, 2/08/22			2,780		2,928,722
3.95%, 11/09/22			1,500		1,493,358
Santander Holdings USA, Inc., 4.50%, 7/17/25			2,000		1,991,346
Wells Fargo & Co., 3.50%, 3/08/22 (c)			2,780		2,917,724

					21,380,276
Beverages — 0.2%
Anheuser-Busch InBev Finance, Inc., 4.90%, 2/01/46			1,320		1,414,504
Building Products — 0.3%
American Builders & Contractors Supply Co., Inc., 5.75%, 12/15/23 (a)			97		99,910
Building Materials Corp. of America, 6.00%, 10/15/25 (a)			380		386,175
CPG Merger Sub LLC, 8.00%, 10/01/21 (a)			520		478,400
Masonite International Corp., 5.63%, 3/15/23 (a)			200		207,000
Standard Industries, Inc. (a):
5.13%, 2/15/21			94		95,880
5.50%, 2/15/23			153		154,912
USG Corp., 9.75%, 1/15/18			500		556,875

					1,979,152
Capital Markets — 2.4%
CDP Financial, Inc., 5.60%, 11/25/39 (a)(c)			5,890		7,453,695
E*Trade Financial Corp.:
5.38%, 11/15/22			480		498,907
4.63%, 9/15/23			275		269,500
Goldman Sachs Group, Inc., 3.75%, 5/22/25 (c)			8,965		9,077,959
Morgan Stanley, 4.00%, 7/23/25			905		933,598

					18,233,659
Chemicals — 0.5%
Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding BV, 7.38%, 5/01/21 (a)			302		320,875
Dow Chemical Co., 4.13%, 11/15/21			700		739,469
Huntsman International LLC, 4.88%, 11/15/20			101		95,192
Methanex Corp., 3.25%, 12/15/19			1,650		1,559,263
NOVA Chemicals Corp., 5.25%, 8/01/23 (a)			23		22,655
PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20			322		332,465
Platform Specialty Products Corp. (a):
10.38%, 5/01/21			37		33,763
6.50%, 2/01/22			511		413,910
WR Grace & Co-Conn (a):
5.13%, 10/01/21			27		28,080
5.63%, 10/01/24			170		177,225

					3,722,897

See Notes to Financial Statements.



12	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Schedule of Investments (continued)		BlackRock Core Bond Trust (BHK)


Corporate Bonds	Par (000)			Value

Commercial Services & Supplies — 0.9%
ADS Waste Holdings, Inc., 8.25%, 10/01/20		USD	166	$	162,680
ADT Corp., 3.50%, 7/15/22			125		104,687
Aviation Capital Group Corp. (a):
4.63%, 1/31/18			1,300		1,319,604
7.13%, 10/15/20			1,800		1,971,900
Iron Mountain, Inc., 6.00%, 10/01/20 (a)			215		227,900
Mobile Mini, Inc., 7.88%, 12/01/20			1,640		1,668,700
United Rentals North America, Inc.:
7.38%, 5/15/20			613		642,884
7.63%, 4/15/22			907		964,250

					7,062,605
Communications Equipment — 0.4%
Alcatel-Lucent USA, Inc., 6.45%, 3/15/29			1,000		1,017,500
CommScope Technologies Finance LLC, 6.00%, 6/15/25 (a)			340		336,600
CommScope, Inc., 4.38%, 6/15/20 (a)			250		254,375
Nokia OYJ, 6.63%, 5/15/39			135		137,700
Zayo Group LLC/Zayo Capital, Inc., 6.00%, 4/01/23			1,045		1,029,325

					2,775,500
Construction & Engineering — 0.6%
BlueLine Rental Finance Corp., 7.00%, 2/01/19 (a)			192		140,640
ITR Concession Co. LLC, 4.20%, 7/15/25 (a)			4,000		4,150,624
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (a)			505		511,312

					4,802,576
Construction Materials — 0.4%
American Tire Distributors, Inc., 10.25%, 3/01/22 (a)			390		335,400
Beacon Roofing Supply, Inc., 6.38%, 10/01/23 (a)			53		55,915
HD Supply, Inc.:
7.50%, 7/15/20			988		1,039,870
5.25%, 12/15/21 (a)			1,170		1,225,575
Lafarge SA, 7.13%, 7/15/36			270		315,675
PulteGroup, Inc., 5.50%, 3/01/26 (e)			224		226,520

					3,198,955
Consumer Finance — 2.0%
Ally Financial, Inc.:
6.25%, 12/01/17			320		333,200
8.00%, 3/15/20			900		1,001,250
8.00%, 11/01/31			2,150		2,367,688
Capital One Financial Corp., 4.75%, 7/15/21 (c)			1,935		2,083,186
Corvias Campus Living LLC, 5.30%, 7/01/50			5,700		6,000,960
Ford Motor Credit Co. LLC:
8.13%, 1/15/20			1,530		1,781,030
4.25%, 9/20/22			1,600		1,629,813

					15,197,127
Containers & Packaging — 0.4%
Ardagh Packaging Finance PLC, 9.13%, 10/15/20 (a)			780		805,350
Ball Corp.:
4.38%, 12/15/20			152		158,840
5.00%, 3/15/22			250		260,312
Crown Americas LLC/Crown Americas Capital Corp. IV, 4.50%, 1/15/23			80		81,600
Sealed Air Corp. (a):
6.50%, 12/01/20			480		537,600
4.88%, 12/01/22			55		56,650
Smurfit Kappa Acquisitions, 4.88%, 9/15/18 (a)			820		847,060

					2,747,412


Corporate Bonds	Par (000)			Value

Diversified Consumer Services — 0.1%
Service Corp. International:
4.50%, 11/15/20		USD	410	$	420,250
5.38%, 5/15/24			160		170,200

					590,450
Diversified Financial Services — 5.3%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:
4.63%, 10/30/20			435		442,069
5.00%, 10/01/21			500		513,125
4.63%, 7/01/22			230		230,288
Aircastle Ltd., 6.25%, 12/01/19			1,413		1,496,084
Bank of America Corp.:
5.63%, 7/01/20 (c)			2,200		2,434,835
3.30%, 1/11/23			10,000		9,974,680
FMR LLC, 4.95%, 2/01/33 (a)(c)			2,300		2,375,111
General Electric Capital Corp.:
6.75%, 3/15/32 (c)			2,500		3,332,290
6.15%, 8/07/37 (c)			2,150		2,776,299
6.88%, 1/10/39			135		189,175
General Motors Financial Co., Inc., 4.25%, 5/15/23			807		784,195
IntercontinentalExchange Group, Inc., 4.00%, 10/15/23			470		492,310
International Lease Finance Corp., 8.25%, 12/15/20			150		173,438
Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (a)			595		458,150
Moody’s Corp., 4.50%, 9/01/22 (c)			1,800		1,938,722
MSCI, Inc., 5.75%, 8/15/25 (a)			125		134,844
Northern Trust Corp., 3.95%, 10/30/25 (c)			8,000		8,579,672
Reynolds Group Issuer, Inc.:
7.88%, 8/15/19			1,120		1,167,600
5.75%, 10/15/20			194		199,335
6.88%, 2/15/21			1,935		2,002,725

					39,694,947
Diversified Telecommunication Services — 3.0%
AT&T, Inc., 4.75%, 5/15/46			2,710		2,473,723
CenturyLink, Inc.:
6.45%, 6/15/21			80		81,250
Series V, 5.63%, 4/01/20			200		202,500
Frontier Communications Corp.:
7.13%, 1/15/23			50		43,485
7.63%, 4/15/24			200		175,000
6.88%, 1/15/25			596		502,130
Level 3 Financing, Inc.:
5.38%, 8/15/22			165		169,537
5.63%, 2/01/23			670		691,775
5.13%, 5/01/23			80		81,600
5.38%, 1/15/24 (a)			165		169,125
Telecom Italia Capital SA:
6.38%, 11/15/33			70		64,400
6.00%, 9/30/34			470		405,375
7.20%, 7/18/36			105		97,650
Verizon Communications, Inc. (c):
3.50%, 11/01/21			1,000		1,042,096
6.40%, 2/15/38			6,879		7,844,364
6.55%, 9/15/43			6,751		8,231,299

					22,275,309
Electric Utilities — 5.8%
AES Corp., 8.00%, 6/01/20			150		164,625
Berkshire Hathaway Energy Co., 6.50%, 9/15/37 (c)			5,515		6,878,032

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	13


Schedule of Investments (continued)		BlackRock Core Bond Trust (BHK)


Corporate Bonds	Par (000)			Value

Electric Utilities (continued)
Cleveland Electric Illuminating Co., 5.95%, 12/15/36		USD	434	$	468,696
CMS Energy Corp., 5.05%, 3/15/22 (c)			1,832		2,027,315
ComEd Financing III, 6.35%, 3/15/33			300		314,003
Duke Energy Carolinas LLC:
6.10%, 6/01/37			640		794,351
6.00%, 1/15/38 (c)			1,675		2,128,691
4.25%, 12/15/41 (c)			750		781,700
Duke Energy Florida LLC, 6.40%, 6/15/38 (c)			770		1,019,058
E.ON International Finance BV, 6.65%, 4/30/38 (a)			3,100		3,570,769
Electricite de France SA, 5.60%, 1/27/40 (a)(c)			2,800		3,023,740
Florida Power Corp., 6.35%, 9/15/37			2,775		3,636,149
Jersey Central Power & Light Co., 7.35%, 2/01/19			490		552,110
Ohio Power Co., Series D, 6.60%, 3/01/33 (c)			3,000		3,726,690
PacifiCorp, 6.25%, 10/15/37 (c)			1,225		1,577,437
Public Service Co. of Colorado, Series 17, 6.25%, 9/01/37			2,550		3,395,346
Southern California Edison Co. (c):
5.63%, 2/01/36			1,300		1,586,607
Series A, 5.95%, 2/01/38			2,175		2,760,980
Virginia Electric and Power Co., Series A, 6.00%, 5/15/37 (c)			3,920		4,888,017

					43,294,316
Electronic Equipment, Instruments & Components — 0.2%
CDW LLC/CDW Finance Corp.:
6.00%, 8/15/22			480		510,000
5.00%, 9/01/23			780		799,500

					1,309,500
Energy Equipment & Services — 0.7%
Enterprise Products Operating LLC, 6.13%, 10/15/39 (c)			1,400		1,332,323
EOG Resources, Inc., 2.63%, 3/15/23			3,800		3,429,766
Genesis Energy LP/Genesis Energy Finance Corp.:
5.75%, 2/15/21			142		117,150
6.75%, 8/01/22			65		54,275
GrafTech International Ltd., 6.38%, 11/15/20			600		348,000

					5,281,514
Food & Staples Retailing — 0.2%
Diamond Foods, Inc., 7.00%, 3/15/19 (a)			410		424,350
Rite Aid Corp.:
6.75%, 6/15/21			258		273,480
6.13%, 4/01/23 (a)			905		966,088

					1,663,918
Food Products — 0.3%
Acosta, Inc., 7.75%, 10/01/22 (a)			270		238,275
Aramark Services, Inc., 5.13%, 1/15/24 (a)			401		420,048
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.88%, 1/15/24 (a)			42		44,310
Post Holdings, Inc.:
6.75%, 12/01/21 (a)			68		72,165
7.38%, 2/15/22			78		82,680
7.75%, 3/15/24 (a)			308		337,260
8.00%, 7/15/25 (a)			162		178,605
Smithfield Foods, Inc., 5.88%, 8/01/21 (a)			338		343,810
TreeHouse Foods, Inc., 6.00%, 2/15/24 (a)			94		98,935
WhiteWave Foods Co., 5.38%, 10/01/22			119		127,330

					1,943,418
Forest Products — 0.0%
JBS USA LLC/JBS USA Finance, Inc., 5.75%, 6/15/25 (a)			325		279,500


Corporate Bonds	Par (000)			Value

Health Care Equipment & Supplies — 0.2%
Crimson Merger Sub, Inc., 6.63%, 5/15/22 (a)		USD	185	$	133,200
DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21 (a)			785		657,437
Kinetic Concepts, Inc./KCI USA, Inc., 7.88%, 2/15/21 (a)			73		75,190
Mallinckrodt International Finance SA/Mallinckrodt CB LLC, 5.63%, 10/15/23 (a)			199		195,518
Teleflex, Inc., 5.25%, 6/15/24			170		172,125

					1,233,470
Health Care Providers & Services — 1.9%
Acadia Healthcare Co., Inc.:
5.63%, 2/15/23			125		126,250
6.50%, 3/01/24 (a)			41		42,333
Alere, Inc., 7.25%, 7/01/18			650		680,875
Amsurg Corp., 5.63%, 7/15/22			680		700,400
Centene Escrow Corp. (a):
5.63%, 2/15/21			241		251,845
6.13%, 2/15/24			143		151,759
CHS/Community Health Systems, Inc., 5.13%, 8/15/18			500		501,875
DaVita HealthCare Partners, Inc., 5.13%, 7/15/24			860		875,050
HCA, Inc.:
3.75%, 3/15/19			264		268,924
6.50%, 2/15/20			652		722,220
4.75%, 5/01/23			2,322		2,359,732
5.88%, 2/15/26			284		292,520
HealthSouth Corp.:
5.75%, 11/01/24 (a)			122		123,220
5.75%, 11/01/24			434		438,340
5.75%, 9/15/25 (a)			181		179,643
Hologic, Inc., 5.25%, 7/15/22 (a)			580		607,492
MEDNAX, Inc., 5.25%, 12/01/23 (a)			134		138,858
Tenet Healthcare Corp.:
6.25%, 11/01/18			1,609		1,693,472
6.00%, 10/01/20			324		344,088
4.50%, 4/01/21			766		761,212
4.38%, 10/01/21			112		110,460
8.13%, 4/01/22			1,647		1,619,199
UnitedHealth Group, Inc., 3.75%, 7/15/25			1,375		1,462,865

					14,452,632
Hotels, Restaurants & Leisure — 2.6%
Boyd Gaming Corp., 6.88%, 5/15/23			620		637,050
Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Property, 8.00%, 10/01/20			1,735		1,695,962
ESH Hospitality, Inc., 5.25%, 5/01/25 (a)			260		252,200
McDonald’s Corp., 3.70%, 1/30/26			510		530,977
MGM Resorts International:
5.25%, 3/31/20			55		56,100
6.75%, 10/01/20			110		117,700
6.63%, 12/15/21			870		924,375
6.00%, 3/15/23			295		302,375
New Red Finance, Inc., 6.00%, 4/01/22 (a)			640		667,200
Pinnacle Entertainment, Inc., 6.38%, 8/01/21			400		424,500
RHP Hotel Properties LP / RHP Finance Corp., 5.00%, 4/15/21			420		422,100
Sabre GLBL, Inc. (a):
5.38%, 4/15/23			165		166,238
5.25%, 11/15/23			85		86,275
Six Flags Entertainment Corp., 5.25%, 1/15/21 (a)			334		341,465
Station Casinos LLC, 7.50%, 3/01/21			570		594,937
Unique Pub Finance Co. PLC:
Series A3, 6.54%, 3/30/21		GBP	2,844		4,030,452
Series A4, 5.66%, 6/30/27			1,152		1,576,249

See Notes to Financial Statements.



14	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Schedule of Investments (continued)		BlackRock Core Bond Trust (BHK)


Corporate Bonds	Par (000)			Value

Hotels, Restaurants & Leisure (continued)
Unique Pub Finance Co. PLC (continued):
Series M, 7.40%, 3/28/24		GBP	3,000	$	4,101,439
Series N, 6.46%, 3/30/32			2,390		2,814,657

					19,742,251
Household Durables — 0.7%
Beazer Homes USA, Inc., 6.63%, 4/15/18		USD	580		582,900
Century Communities, Inc., 6.88%, 5/15/22			460		408,250
DR Horton, Inc., 4.00%, 2/15/20			340		345,950
Lennar Corp.:
4.88%, 12/15/23			145		141,375
4.75%, 5/30/25			180		174,150
Meritage Homes Corp., 4.50%, 3/01/18			340		339,150
Project Homestake Merger Co., 8.88%, 3/01/23 (a)			155		137,950
PulteGroup, Inc., 6.38%, 5/15/33			330		333,300
Shea Homes LP/Shea Homes Funding Corp., 5.88%, 4/01/23 (a)			250		244,375
Standard Pacific Corp., 10.75%, 9/15/16			2,100		2,189,250
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (a)			182		169,260
TRI Pointe Holdings, Inc.:
4.38%, 6/15/19			10		9,650
5.88%, 6/15/24			250		237,500
William Lyon Homes, Inc., 8.50%, 11/15/20			240		238,800

					5,551,860
Household Products — 0.2%
Prestige Brands, Inc., 6.38%, 3/01/24 (a)			89		91,670
Spectrum Brands, Inc.:
6.38%, 11/15/20			400		421,500
6.63%, 11/15/22			695		747,994
5.75%, 7/15/25 (a)			20		21,075

					1,282,239
Independent Power and Renewable Electricity Producers — 0.2%
Calpine Corp.:
6.00%, 1/15/22 (a)			274		280,850
5.88%, 1/15/24 (a)			194		197,395
5.50%, 2/01/24			525		472,500
5.75%, 1/15/25			105		94,500
Dynegy, Inc., 6.75%, 11/01/19			470		435,631
NRG Energy, Inc.:
6.25%, 7/15/22			137		115,765
6.25%, 5/01/24			176		146,080
NRG Yield Operating LLC, 5.38%, 8/15/24			75		66,000
QEP Resources, Inc., 5.25%, 5/01/23			48		33,600

					1,842,321
Industrial Conglomerates — 0.0%
Smiths Group PLC, 3.63%, 10/12/22 (a)			360		358,634
Insurance — 2.4%
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25			1,495		1,497,371
American International Group, Inc., 3.75%, 7/10/25			3,380		3,316,557
Aon PLC, 3.88%, 12/15/25 (e)			1,445		1,460,910
AXA SA, 5.25%, 4/16/40 (b)		EUR	500		595,431
Five Corners Funding Trust, 4.42%, 11/15/23 (a)(c)		USD	2,050		2,121,469
Hartford Financial Services Group, Inc., 5.13%, 4/15/22			1,860		2,059,459
HUB International Ltd., 9.25%, 2/15/21 (a)			87		88,958
Liberty Mutual Group, Inc., 6.50%, 5/01/42 (a)(c)			2,000		2,317,984
Lincoln National Corp., 3.35%, 3/09/25 (c)			1,045		993,515


Corporate Bonds	Par (000)			Value

Insurance (continued)
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b)		EUR	400	$	511,599
Prudential Financial, Inc. (c):
5.90%, 3/17/36		USD	500		551,198
5.70%, 12/14/36			1,625		1,745,612
Trader Corp., 9.88%, 8/15/18 (a)			680		707,200
Wayne Merger Sub LLC, 8.25%, 8/01/23 (a)			10		9,000

					17,976,263
Internet Software & Services — 0.1%
Blue Coat Holdings, Inc., 8.38%, 6/01/23 (a)			176		174,240
Equinix, Inc., 4.88%, 4/01/20			173		179,488
Netflix, Inc., 5.75%, 3/01/24			250		262,187

					615,915
IT Services — 0.6%
Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (a)			155		127,875
First Data Corp. (a):
5.38%, 8/15/23			671		697,840
7.00%, 12/01/23			1,306		1,306,000
5.00%, 1/15/24			577		586,019
5.75%, 1/15/24			1,489		1,498,306

					4,216,040
Life Sciences Tools & Services — 0.1%
Agilent Technologies, Inc., 3.20%, 10/01/22			500		499,264
Marine — 0.3%
Nakilat, Inc., Series A, 6.07%, 12/31/33 (a)(c)			2,150		2,343,500
Media — 6.3%
21st Century Fox America, Inc., 7.63%, 11/30/28			385		506,533
Altice US Finance I Corp., 5.38%, 7/15/23 (a)			770		779,625
Altice US Finance II Corp., 7.75%, 7/15/25 (a)			400		373,000
Altice US Finance SA, 7.75%, 7/15/25 (a)			360		333,900
AMC Networks, Inc., 4.75%, 12/15/22			686		696,290
CCO Holdings LLC/CCO Holdings Capital Corp.:
5.25%, 9/30/22			740		748,325
5.13%, 5/01/23 (a)			100		99,250
5.88%, 4/01/24 (a)			524		535,135
5.88%, 5/01/27 (a)			770		770,000
CCO Safari II LLC, 4.91%, 7/23/25 (a)			4,000		4,103,604
CCOH Safari LLC, 5.75%, 2/15/26 (a)			258		258,679
Cinemark USA, Inc., 5.13%, 12/15/22			350		355,688
Clear Channel International BV, 8.75%, 12/15/20 (a)			284		286,840
Clear Channel Worldwide Holdings, Inc., 6.50%, 11/15/22			5,260		5,018,137
Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22 (c)			2,600		3,635,460
Comcast Corp. (c):
3.38%, 8/15/25			4,500		4,725,310
6.45%, 3/15/37			790		998,884
Cox Communications, Inc. (a):
6.95%, 6/01/38			1,000		955,352
8.38%, 3/01/39 (c)			3,475		3,792,295
CSC Holdings LLC, 5.25%, 6/01/24			480		410,400
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.:
6.38%, 3/01/41			520		558,562
5.15%, 3/15/42			1,400		1,298,440
Discovery Communications LLC:
3.25%, 4/01/23			1,850		1,698,960
3.45%, 3/15/25			210		188,954
DISH DBS Corp.:
5.13%, 5/01/20			220		217,800
6.75%, 6/01/21			365		371,844
5.88%, 11/15/24			335		301,014
Gray Television, Inc., 7.50%, 10/01/20			506		531,932

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	15


Schedule of Investments (continued)		BlackRock Core Bond Trust (BHK)


Corporate Bonds	Par (000)			Value

Media (continued)
iHeartCommunications, Inc.:
9.00%, 12/15/19		USD	371	$	261,555
9.00%, 3/01/21			9		6,131
Intelsat Jackson Holdings SA:
7.25%, 10/15/20			95		65,550
5.50%, 8/01/23			575		373,750
Interpublic Group of Cos., Inc., 3.75%, 2/15/23			2,000		1,955,490
Lamar Media Corp., 5.75%, 2/01/26 (a)			50		51,781
Live Nation Entertainment, Inc., 7.00%, 9/01/20 (a)			218		228,628
Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (a)			340		343,400
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (a)			117		118,170
Neptune Finco Corp. (a):
10.13%, 1/15/23			300		322,875
6.63%, 10/15/25			512		540,160
Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (a)			685		693,562
Numericable Group SA (a):
6.00%, 5/15/22			790		782,100
6.25%, 5/15/24			200		195,000
Outfront Media Capital LLC/Outfront Media Capital Corp., 5.25%, 2/15/22			415		424,338
Sirius XM Radio, Inc. (a):
4.25%, 5/15/20			893		906,395
5.38%, 4/15/25			25		24,938
TCI Communications, Inc., 7.88%, 2/15/26 (c)			610		827,042
TEGNA, Inc., 4.88%, 9/15/21 (a)			50		51,250
Time Warner, Inc.:
3.60%, 7/15/25 (c)			750		737,191
6.10%, 7/15/40			830		874,606
Tribune Media Co., 5.88%, 7/15/22 (a)			514		514,000
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.50%, 1/15/23 (a)			705		738,487
Univision Communications, Inc., 5.13%, 5/15/23 (a)			1,176		1,167,180
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (a)			520		495,300
Ziggo Bond Finance BV, 5.88%, 1/15/25 (a)			260		252,200

					47,501,292
Metals & Mining — 1.7%
Alcoa, Inc., 5.40%, 4/15/21			2,900		2,842,000
ArcelorMittal, 6.13%, 6/01/18			200		196,272
Constellium NV (a):
8.00%, 1/15/23			650		552,500
5.75%, 5/15/24			500		380,000
Freeport-McMoRan Copper & Gold, Inc., 3.10%, 3/15/20			50		36,110
Freeport-McMoRan, Inc.:
2.30%, 11/14/17			189		172,935
2.38%, 3/15/18			468		403,650
Novelis, Inc., 8.75%, 12/15/20			7,443		6,903,382
Steel Dynamics, Inc.:
5.13%, 10/01/21			380		370,500
5.25%, 4/15/23			295		276,562
5.50%, 10/01/24			48		45,000
Teck Resources Ltd., 3.00%, 3/01/19			114		86,925
Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (a)			371		311,640

					12,577,476
Multiline Retail — 0.6%
Dollar Tree Inc., 5.75%, 3/01/23 (a)			1,640		1,744,550
Dufry Finance SCA, 5.50%, 10/15/20 (a)			2,520		2,627,100

					4,371,650


Corporate Bonds	Par (000)			Value

Offshore Drilling & Other Services — 0.1%
Sensata Technologies BV, 5.00%, 10/01/25 (a)		USD	420	$	412,650
Oil, Gas & Consumable Fuels — 2.4%
Anadarko Finance Co., Series B, 7.50%, 5/01/31			24		21,509
Anadarko Petroleum Corp., 3.45%, 7/15/24			191		154,803
Bonanza Creek Energy, Inc., 6.75%, 4/15/21			31		9,223
California Resources Corp., 8.00%, 12/15/22 (a)			157		39,250
Cenovus Energy, Inc.:
3.00%, 8/15/22			25		18,257
3.80%, 9/15/23			35		25,426
Concho Resources, Inc., 5.50%, 4/01/23			350		325,500
ConocoPhillips Canada Funding Co., 5.95%, 10/15/36 (c)			685		652,060
Continental Resources, Inc., 3.80%, 6/01/24			460		311,773
CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (a)			610		521,550
Denbury Resources, Inc.:
6.38%, 8/15/21			17		5,440
5.50%, 5/01/22			22		6,875
4.63%, 7/15/23			627		181,830
Diamondback Energy, Inc., 7.63%, 10/01/21			328		331,280
Energy Transfer Equity LP:
5.88%, 1/15/24			27		22,275
5.50%, 6/01/27			28		21,140
Freeport-McMoRan Oil & Gas LLC/FCX Oil & Gas, Inc.:
6.50%, 11/15/20			50		36,875
6.63%, 5/01/21			50		36,875
KeySpan Gas East Corp., 5.82%, 4/01/41 (a)(c)			1,010		1,233,841
Marathon Petroleum Corp., 6.50%, 3/01/41 (c)			2,049		1,608,002
MEG Energy Corp. (a):
6.50%, 3/15/21			560		270,200
7.00%, 3/31/24			880		404,800
Memorial Resource Development Corp., 5.88%, 7/01/22			526		357,680
MidAmerican Energy Co., 5.80%, 10/15/36 (c)			1,500		1,871,952
MidAmerican Energy Holdings Co., 5.95%, 5/15/37 (c)			1,750		2,052,671
Newfield Exploration Co., 5.63%, 7/01/24			77		69,878
NGPL PipeCo LLC (a):
7.12%, 12/15/17			140		130,550
7.77%, 12/15/37			107		75,970
Noble Energy, Inc., 5.63%, 5/01/21			309		279,038
ONEOK, Inc., 7.50%, 9/01/23			90		77,850
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20			94		95,128
PDC Energy, Inc., 7.75%, 10/15/22			520		483,600
Range Resources Corp.:
5.75%, 6/01/21			213		179,985
5.00%, 8/15/22			53		44,255
Rockies Express Pipeline LLC, 5.63%, 4/15/20 (a)			530		472,429
RSP Permian, Inc., 6.63%, 10/01/22 (a)			59		52,805
Sabine Pass Liquefaction LLC:
5.63%, 2/01/21			948		904,747
6.25%, 3/15/22			796		758,190
5.63%, 4/15/23			937		864,382
Seven Generations Energy Ltd., 8.25%, 5/15/20 (a)			700		670,250
SM Energy Co., 6.13%, 11/15/22			540		234,900
Weatherford International LLC, 6.35%, 6/15/17			125		118,125
Weatherford International Ltd., 6.00%, 3/15/18			54		46,170
Western Gas Partners LP, 5.38%, 6/01/21			1,425		1,220,069
Whiting Petroleum Corp.:
1.25%, 4/01/20 (a)(f)			881		321,014
6.25%, 4/01/23			1		458
Williams Cos., Inc.:
3.70%, 1/15/23			67		49,580
4.55%, 6/24/24			38		28,500

					17,698,960

See Notes to Financial Statements.



16	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Schedule of Investments (continued)		BlackRock Core Bond Trust (BHK)


Corporate Bonds	Par (000)			Value

Paper & Forest Products — 0.1%
International Paper Co., 6.00%, 11/15/41		USD	870	$	848,742
Unifrax I LLC/Unifrax Holding Co., 7.50%, 2/15/19 (a)			180		138,600

					987,342
Pharmaceuticals — 2.0%
AbbVie, Inc., 3.60%, 5/14/25			870		888,195
Actavis Funding SCS, 4.55%, 3/15/35			2,140		2,152,861
Actavis, Inc., 3.25%, 10/01/22			4,000		4,016,316
DPx Holdings BV, 7.50%, 2/01/22 (a)			75		71,625
Endo Finance LLC, 5.75%, 1/15/22 (a)			255		257,550
Endo Finance LLC/Endo Finco, Inc. (a):
5.88%, 1/15/23			440		437,800
6.00%, 7/15/23			720		727,200
Forest Laboratories, Inc., 5.00%, 12/15/21 (a)			758		831,760
Grifols Worldwide Operations Ltd., 5.25%, 4/01/22			200		206,750
Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 8/01/23 (a)			653		666,060
Valeant Pharmaceuticals International, Inc. (a):
6.75%, 8/15/18			2,643		2,550,495
5.38%, 3/15/20			270		244,350
6.38%, 10/15/20			1,150		1,055,125
5.63%, 12/01/21			754		645,138

					14,751,225
Real Estate — 0.2%
AvalonBay Communities, Inc., 3.45%, 6/01/25 (c)			1,535		1,566,038
Prologis LP, 3.75%, 11/01/25			315		321,014

					1,887,052
Real Estate Investment Trusts (REITs) — 1.6%
ERP Operating LP:
3.38%, 6/01/25			1,245		1,266,342
4.50%, 6/01/45			1,155		1,180,165
FelCor Lodging LP:
5.63%, 3/01/23			494		502,645
6.00%, 6/01/25			150		153,750
HCP, Inc. (c):
3.88%, 8/15/24			3,000		2,817,171
4.00%, 6/01/25			2,000		1,890,250
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.63%, 10/15/21			955		990,813
Simon Property Group LP, 4.75%, 3/15/42 (c)			1,670		1,785,126
Ventas Realty LP, 4.13%, 1/15/26			870		882,031
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21			550		591,981

					12,060,274
Real Estate Management & Development — 0.7%
Lennar Corp., 4.75%, 11/15/22			430		424,625
Northwest Florida Timber Finance LLC, 4.75%, 3/04/29 (a)(c)			4,600		4,147,599
Realogy Group LLC/Realogy Co-Issuer Corp., 5.25%, 12/01/21 (a)			863		877,024

					5,449,248
Road & Rail — 1.1%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. (a):
5.13%, 6/01/22			55		51,425
5.25%, 3/15/25			545		482,325
Burlington Northern Santa Fe LLC, 5.75%, 5/01/40 (c)			1,890		2,221,334
Hertz Corp.:
5.88%, 10/15/20			460		446,200
7.38%, 1/15/21			150		148,875
Lima Metro Line 2 Finance Ltd., 5.88%, 7/05/34 (a)			5,000		4,712,500

					8,062,659


Corporate Bonds	Par (000)			Value

Semiconductors & Semiconductor Equipment — 0.8%
Analog Devices, Inc., 3.90%, 12/15/25		USD	470	$	494,781
Applied Materials, Inc., 3.90%, 10/01/25			1,155		1,198,681
NXP BV/NXP Funding LLC (a):
4.13%, 6/15/20			420		424,767
5.75%, 2/15/21			940		977,600
QUALCOMM, Inc., 3.45%, 5/20/25			1,950		1,962,273
Seagate HDD Cayman, 4.88%, 6/01/27 (a)			1,000		693,315

					5,751,417
Software — 0.4%
ACI Worldwide, Inc., 6.38%, 8/15/20 (a)			320		326,800
Ensemble S Merger Sub, Inc., 9.00%, 9/30/23 (a)			210		194,250
Informatica LLC, 7.13%, 7/15/23 (a)			325		299,000
Nuance Communications, Inc., 5.38%, 8/15/20 (a)			160		163,600
Oracle Corp., 5.38%, 7/15/40 (c)			1,575		1,803,841
Solera LLC/Solera Finance, Inc., 10.50%, 3/01/24 (a)			459		436,050

					3,223,541
Specialty Retail — 0.5%
Asbury Automotive Group, Inc., 6.00%, 12/15/24			320		316,800
Home Depot, Inc., 5.88%, 12/16/36 (c)			1,660		2,071,214
L Brands, Inc., 6.88%, 11/01/35 (a)			332		352,750
Michaels Stores, Inc., 5.88%, 12/15/20 (a)			250		257,500
Party City Holdings, Inc., 6.13%, 8/15/23 (a)			90		88,200
Penske Automotive Group, Inc., 5.38%, 12/01/24			186		180,420
Sally Holdings LLC/Sally Capital, Inc., 5.50%, 11/01/23			160		167,200

					3,434,084
Technology Hardware, Storage & Peripherals — 0.4%
Hewlett Packard Enterprise Co., 4.90%, 10/15/25 (a)			2,995		2,842,387
Textiles, Apparel & Luxury Goods — 0.1%
Levi Strauss & Co., 5.00%, 5/01/25			90		90,009
Springs Industries, Inc., 6.25%, 6/01/21			806		795,925
William Carter Co., 5.25%, 8/15/21			77		78,540

					964,474
Thrifts & Mortgage Finance — 0.0%
Radian Group, Inc., 5.25%, 6/15/20			260		245,700
Tobacco — 1.4%
Altria Group, Inc.:
9.95%, 11/10/38			516		844,849
10.20%, 2/06/39			894		1,504,526
5.38%, 1/31/44 (c)			4,030		4,550,402
BAT International Finance PLC, 3.95%, 6/15/25 (a)			2,000		2,145,628
Reynolds American, Inc.:
4.45%, 6/12/25			635		689,527
7.00%, 8/04/41			1,000		1,146,515

					10,881,447
Transportation Infrastructure — 0.3%
I 595 Express LLC, 3.31%, 12/31/31			1,609		1,634,419
Transurban Finance Co., 4.13%, 2/02/26 (a)			580		582,439

					2,216,858
Wireless Telecommunication Services — 2.3%
America Movil SAB de CV, 2.38%, 9/08/16 (c)			1,595		1,601,925
Communications Sales & Leasing, Inc./CSL Capital LLC, 8.25%, 10/15/23			80		71,400
Crown Castle International Corp., 5.25%, 1/15/23			930		984,637
Crown Castle Towers LLC, 6.11%, 1/15/40 (a)			3,155		3,476,704
Digicel Ltd., 6.00%, 4/15/21 (a)			1,550		1,326,800
Equinix, Inc., 5.88%, 1/15/26			350		365,750
Rogers Communications, Inc., 7.50%, 8/15/38 (c)			2,325		3,022,377

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	17


Schedule of Investments (continued)		BlackRock Core Bond Trust (BHK)


Corporate Bonds	Par (000)			Value

Wireless Telecommunication Services (continued)
SBA Communications Corp., 4.88%, 7/15/22		USD	765	$	778,388
SBA Tower Trust, 5.10%, 4/17/17 (a)			720		728,205
Sprint Capital Corp.:
6.90%, 5/01/19			140		119,350
6.88%, 11/15/28			565		409,625
8.75%, 3/15/32			110		84,700
Sprint Communications, Inc.:
9.00%, 11/15/18 (a)			1,360		1,411,816
7.00%, 3/01/20 (a)			236		231,870
7.00%, 8/15/20			280		219,800
Sprint Corp.:
7.25%, 9/15/21			240		180,600
7.13%, 6/15/24			123		87,638
T-Mobile USA, Inc.:
6.63%, 4/28/21			570		595,650
6.73%, 4/28/22			130		135,993
6.84%, 4/28/23			40		41,600
6.50%, 1/15/24			240		246,600
6.38%, 3/01/25			555		560,550
6.50%, 1/15/26			444		449,936

					17,131,914
Total Corporate Bonds - 62.8%					472,167,281



Floating Rate Loan Interests (b)
Chemicals — 0.0%
MacDermid, Inc., Term Loan B3, 5.50%, 6/07/20			104		94,274
Commercial Services & Supplies — 0.0%
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 12/01/18			120		110,119
Diversified Financial Services — 0.0%
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.50%, 12/01/18			144		143,593
Energy Equipment & Services — 0.0%
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20			58		41,096
Food & Staples Retailing — 0.0%
US Foods, Inc., Refinancing Term Loan, 4.50%, 3/31/19			209		206,053
Health Care Equipment & Supplies — 0.0%
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18			25		24,335
Health Care Providers & Services — 0.1%
Envision Healthcare Corp., Term Loan:
5.13%, 7/01/22 (a)			115		115,575
B2, 4.50%, 10/28/22			112		111,328
Vizient, Inc., 1st Lien Term Loan, 6.25%, 2/13/23			145		144,094

					370,997
Hotels, Restaurants & Leisure — 0.1%
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20			385		349,068
Media — 0.0%
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19			111		99,052
Pharmaceuticals — 0.0%
DPx Holdings BV, 2014 Incremental Term Loan, 4.25%, 3/11/21			23		22,171
Semiconductors & Semiconductor Equipment — 0.2%
Avago Technologies Cayman Ltd., 2016 Term Loan B1, 4.25%, 11/06/22			1,008		993,354
Microsemi Corp., 2015 Term Loan B, 5.25%, 1/15/23			63		62,983


Floating Rate Loan Interests (b)	Par (000)			Value

Semiconductors & Semiconductor Equipment (continued)
NXP BV, 2015 Term Loan B, 3.75%, 10/30/20		USD	305	$	304,095

					1,360,432
Software — 0.0%
Solera Holdings, Inc., Term Loan B, 5.75%, 2/10/23			268		261,635
Specialty Retail — 0.0%
CNT Holdings III Corp., Term Loan B, 5.25%, 1/22/23			121		120,092
Wireless Telecommunication Services — 0.1%
T-Mobile USA, Inc., Term Loan B, 3.50%, 10/30/22			304		304,192
Total Floating Rate Loan Interests — 0.5%					3,507,109



Foreign Agency Obligations
Cyprus Government International Bond, 4.63%, 2/03/20 (a)		EUR	1,210		1,368,872
Iceland Government International Bond, 5.88%, 5/11/22		USD	3,555		4,068,285
Italian Government International Bond, 5.38%, 6/15/33			2,925		3,368,950
Portugal Government International Bond, 5.13%, 10/15/24 (a)			5,870		5,778,440
Slovenia Government International Bond, 5.85%, 5/10/23 (a)			864		987,120
Total Foreign Agency Obligations — 2.1%					15,571,667



Municipal Bonds
City of Detroit Michigan, GO, Financial Recovery (b):
Series B-1, 4.00%, 4/01/44			251		115,324
Series B-2, 4.00%, 4/01/44			80		35,581
City of New York New York Municipal Water Finance Authority, Refunding RB, 2nd General Resolution:
Series EE, 5.50%, 6/15/43			930		1,094,684
Series GG, Build America Bonds, 5.72%, 6/15/42			1,390		1,829,059
Water & Sewer System, Series EE, 5.38%, 6/15/43			770		901,932
East Bay Municipal Utility District, RB, Build America Bonds, 5.87%, 6/01/40			1,900		2,494,149
Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 1/15/40			2,535		3,332,764
Metropolitan Transportation Authority, RB, Build America Bonds, Series C, 7.34%, 11/15/39			1,295		1,958,662
Municipal Electric Authority of Georgia Plant Vogtle Units 3 & 4, Refunding RB, Build America Bonds, Series A, 7.06%, 4/01/57			2,000		2,267,320
New York State Dormitory Authority, RB, Build America Bonds:
5.63%, 3/15/39			1,100		1,363,527
5.60%, 3/15/40			1,900		2,393,753
Port Authority of New York & New Jersey, RB, 159th Series, 6.04%, 12/01/29			780		987,917
State of California, GO, Build America Bonds, Various Purposes:
7.55%, 4/01/39			280		417,234
7.63%, 3/01/40			1,720		2,555,782
State of Illinois, GO, Pension, 5.10%, 6/01/33			2,000		1,862,580
University of California, RB, Build America Bonds, 5.95%, 5/15/45			885		1,110,657
Total Municipal Bonds — 3.3%					24,720,925

See Notes to Financial Statements.



18	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Schedule of Investments (continued)		BlackRock Core Bond Trust (BHK)


Non-Agency Mortgage-Backed Securities	Par (000)			Value

Collateralized Mortgage Obligations — 0.9%
Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 3/25/37		USD	1,005	$	859,248
Collateralized Mortgage Obligation Trust, Series 40, Class R, 580.50%, 4/01/18			6		6
Countrywide Alternative Loan Trust:
Series 2005-64CB, Class 1A15, 5.50%, 12/25/35			1,663		1,584,862
Series 2006-OA21, Class A1, 0.62%, 3/20/47 (b)			1,241		877,722
Credit Suisse Mortgage Capital Certificates, Series 2011-2R, Class 2A1, 2.78%, 7/27/36 (a)(b)			1,254		1,247,106
GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 3.18%, 6/19/35 (b)			780		767,231
GSR Mortgage Loan Trust:
Series 2006-4F, Class 1A1, 5.00%, 5/25/36			138		127,924
Series 2007-4F, Class 3A1, 6.00%, 7/25/37			313		281,019
JPMorgan Mortgage Trust, Series 2006-S3, Class 1A12, 6.50%, 8/25/36			114		96,818
Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 2.90%, 5/25/36 (b)			837		667,971
WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, 1.09%, 5/25/47 (b)			268		220,495

					6,730,402
Commercial Mortgage-Backed Securities — 14.1%
Banc of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.60%, 4/14/33 (a)(b)			4,170		4,076,875
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2007-2, Class A4, 5.61%, 4/10/49 (b)			1,500		1,521,328
Citigroup Commercial Mortgage Trust, Series 2013-GC15, Class B, 5.10%, 9/10/46 (b)			7,183		7,738,563
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48			2,193		2,210,658
Commercial Mortgage Loan Trust, Series 2008-LS1, Class A4B, 6.10%, 12/10/49 (b)			1,026		1,074,297
Commercial Mortgage Trust:
Series 2006-C7, Class AM, 5.87%, 6/10/46 (b)			3,500		3,517,178
Series 2013-CR11, Class B, 5.16%, 10/10/46 (b)			7,000		7,636,686
Series 2013-LC6, Class B, 3.74%, 1/10/46			1,390		1,388,598
Series 2013-LC6, Class D, 4.29%, 1/10/46 (a)(b)			1,670		1,450,266
Series 2015-3BP, Class A, 3.18%, 2/10/35 (a)			7,570		7,609,800
Series 2015-CR22, Class C, 4.13%, 3/10/48 (b)			5,000		4,321,241
Series 2015-LC19, Class C, 4.26%, 2/10/48 (b)			3,500		3,129,900
Core Industrial Trust, Series 2015-TEXW, Class D, 3.85%, 2/10/34 (a)(b)			4,585		4,396,275
Credit Suisse Commercial Mortgage Trust:
Series 2006-C3, Class AM, 5.81%, 6/15/38 (b)			2,000		2,010,166
Series 2006-C5, Class AM, 5.34%, 12/15/39			3,500		3,549,814


Non-Agency Mortgage-Backed Securities	Par (000)			Value

Commercial Mortgage-Backed Securities (continued)
Credit Suisse Commercial Mortgage Trust (continued):
Series 2010-RR2, Class 2A, 5.95%, 9/15/39 (a)(b)		USD	1,116	$	1,151,469
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C3, Class AJ, 4.77%, 7/15/37			22		22,121
CSAIL Commercial Mortgage Trust, Series 2015-C1:
Class B, 4.04%, 4/15/50			1,110		1,101,847
Class C, 4.30%, 4/15/50 (b)			1,000		924,663
Class D, 3.80%, 4/15/50 (a)(b)			1,000		739,013
DBRR Trust, Series 2011-C32, Class A3A, 5.72%, 6/17/49 (a)(b)			730		750,707
GAHR Commercial Mortgage Trust, Series 2015-NRF, Class DFX, 3.38%, 12/15/19 (a)(b)			6,170		5,834,430
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4, 5.89%, 7/10/38 (b)			646		647,102
GS Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 2/10/46 (a)			2,505		2,458,474
Hilton USA Trust, Series 2013- HLT, 4.41%, 11/05/30 (a)			5,900		5,882,204
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class D, 5.08%, 11/15/45 (a)(b)			1,600		1,435,798
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-LN2, Class A2, 5.12%, 7/15/41			45		44,826
LB-UBS Commercial Mortgage Trust (b):
Series 2007-C6, Class A4, 5.86%, 7/15/40			8,136		8,314,372
Series 2007-C7, Class A3, 5.87%, 9/15/45			2,148		2,262,494
Morgan Stanley Capital I Trust (b):
Series 2007-HQ11, Class A4, 5.45%, 2/12/44			8,000		8,150,922
Series 2014-CPT, Class G, 3.45%, 7/13/29 (a)			3,200		2,890,946
RCMC LLC, Series 2012-CRE1, Class A, 5.62%, 11/15/44 (a)			610		615,099
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, 5.95%, 2/15/51 (b)			4,196		4,333,354
WF-RBS Commercial Mortgage Trust, Series 2012-C8:
Class B, 4.31%, 8/15/45			1,395		1,426,729
Class C, 4.87%, 8/15/45 (b)			1,795		1,821,241

					106,439,456
Interest Only Collateralized Mortgage Obligations — 0.0%
GSMPS Mortgage Loan Trust, Series 1998-5, 0.00%, 6/19/27 (a)(b)			1,153		12
Interest Only Commercial Mortgage-Backed Securities — 0.3%
Commercial Mortgage Loan Trust, Series 2015-LC21, Class XA, 0.88%, 7/10/48 (b)			19,569		1,017,853
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class XA, 2.16%, 8/15/45 (a)(b)			11,561		951,175

					1,969,028
Total Non-Agency Mortgage-Backed Securities — 15.3%					115,138,898

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	19


Schedule of Investments (continued)		BlackRock Core Bond Trust (BHK)


Preferred Securities	Par (000)			Value


Capital Trusts
Banks — 4.9%
BNP Paribas SA, 7.20% (a)(b)(g)		USD	2,000	$	2,150,000
Capital One Financial Corp., Series E, 5.55% (b)(g)			3,500		3,386,250
Citigroup, Inc.,:
Series D, 5.95% (b)(g)			2,100		1,974,000
Series M, 6.30% (b)(g)			4,000		3,740,000
Series Q, 5.95% (b)(g)			100		94,000
Series R, 6.13% (b)(g)			605		595,925
Credit Agricole SA:
6.63% (a)(b)(g)			1,400		1,233,503
7.88% (a)(b)(g)			1,000		880,998
JPMorgan Chase & Co.:
Series 1, 7.90% (b)(g)			7,000		6,982,500
Series Q, 5.15% (b)(g)			3,000		2,805,960
Series U, 6.13% (b)(g)			500		497,500
Series V, 5.00% (b)(g)			6,710		6,273,850
Nordea Bank AB, 6.13% (a)(b)(g)			2,960		2,641,800
Wells Fargo & Co.:
Series S, 5.90% (b)(g)			3,390		3,398,475
Series U, 5.88% (b)(g)			530		561,164

					37,215,925
Capital Markets — 0.7%
Goldman Sachs Group, Inc., Series L, 5.70% (b)(g)			792		758,340
Morgan Stanley, Series H, 5.45% (b)(g)			2,627		2,456,245
State Street Capital Trust IV, 1.63%, 6/15/37 (b)			140		98,000
State Street Corp., Series F, 5.25% (b)(g)			2,000		1,987,600

					5,300,185
Diversified Financial Services — 2.5%
Bank of America Corp.:
Series V, 5.13% (b)(g)			385		356,125
Series X, 6.25% (b)(g)			3,570		3,453,975
Bank of New York Mellon Corp.:
Series D, 4.50% (b)(c)(g)			8,400		7,434,000
Series E, 4.95% (b)(g)			2,000		1,956,000
Macquarie Bank Ltd., 10.25%, 6/20/57 (b)			1,800		1,882,566
Societe Generale SA:
6.00% (a)(b)(g)			3,000		2,526,744
7.88% (a)(b)(g)			1,000		890,000

					18,499,410
Electric Utilities — 0.5%
Electricite de France SA, 5.25% (a)(b)(g)			4,200		3,648,750
Industrial Conglomerates — 0.3%
General Electric Co., Series D, 5.00% (b)(g)			2,131		2,162,965
Insurance — 2.4%
Allstate Corp:
5.75%, 8/15/53 (b)			2,000		1,992,500
6.50%, 5/15/57 (b)			4,100		4,407,500
Liberty Mutual Group, Inc., 7.00%, 3/07/67 (a)(b)			1,950		1,725,750
MetLife, Inc., 6.40%, 12/15/36			5,585		5,461,907
Voya Financial, Inc., 5.65%, 5/15/53 (b)			4,500		4,179,105

					17,766,762
Total Capital Trusts — 11.3%					84,593,997


Preferred Stocks			Shares			Value

Banks — 1.3%
U.S. Bancorp, 6.00% (b)(g)				300,000		$	7,923,000
Wells Fargo & Co., 5.85% (b)(g)				75,000			1,911,750

							9,834,750
Capital Markets — 0.4%
Goldman Sachs Group, Inc., Series J, 5.50% (b)(g)				92,000			2,267,800
SCE Trust III, 5.75% (b)(g)				25,314			668,543

							2,936,343
Thrifts & Mortgage Finance — 0.0%
Fannie Mae, Series S, 8.25% (b)(g)				10,000			31,200
Total Preferred Stocks — 1.7%							12,802,293



Trust Preferred — 0.1%
Banks — 0.1%
Citigroup Capital XIII, 6.99%				29,583			750,653
Total Preferred Securities — 13.1%							98,146,943



U.S. Government Sponsored Agency Securities	Par (000)
Agency Obligations — 1.6%
Fannie Mae, 5.63%, 7/15/37 (c)		USD		1,600			2,244,200
Federal Home Loan Bank (c):
5.25%, 12/09/22				1,375			1,682,335
5.37%, 9/09/24				2,175			2,732,287
Resolution Funding Corp., 0.00%, 7/15/18 - 4/15/30 (h)				7,105			5,098,290

							11,757,112
Collateralized Mortgage Obligations — 0.0%
Fannie Mae Mortgage-Backed Securities:
Series 2005-5, Class PK, 5.00%, 12/25/34				270			283,684
Series 1991-87, Class S, 25.53%, 8/25/21 (b)				6			8,576
Series G-49, Class S, 989.48%, 12/25/21 (b)				—	(i)		84
Series G-17, Class S, 1,036.08%, 6/25/21 (b)				22			257
Series G-33, Class PV, 1,078.42%, 10/25/21				19			100
Series G-07, Class S, 1,095.42%, 3/25/21 (b)				—	(i)		424
Series 1991-46, Class S, 2,419.20%, 5/25/21 (b)				18			795
Freddie Mac Mortgage-Backed Securities:
Series 0173, Class R, 9.00%, 11/15/21				2			2
Series 0173, Class RS, 9.95%, 11/15/21 (b)				—	(i)		2
Series 1057, Class J, 1,008.00%, 3/15/21				14			129
Series 0019, Class R, 15,954.13%, 3/15/20 (b)				1			111

							294,164
Commercial Mortgage-Backed Securities — 0.8%
Freddie Mac Mortgage-Backed Securities:
Series 2013-K24, Class B, 3.50%, 11/25/45 (a)(b)				3,500			3,427,789

See Notes to Financial Statements.



20	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Schedule of Investments (continued)		BlackRock Core Bond Trust (BHK)


U.S. Government Sponsored Agency Securities	Par (000)				Value

Commercial Mortgage-Backed Securities (continued)
Freddie Mac Mortgage-Backed Securities (continued):
Series K013, Class A2, 3.97%, 1/25/21		USD	1,870		$	2,065,478
Series 2012-K706, Class C, 4.03%, 11/25/44 (a)(b)			335			340,266

						5,833,533
Interest Only Collateralized Mortgage Obligations — 1.2%
Fannie Mae Mortgage-Backed Securities:
Series 1997-50, Class SI, 1.20%, 4/25/23 (b)			57			1,723
Series 2012-96, Class DI, 4.00%, 2/25/27			8,271			687,831
Series 2012-M9, Class X1, 4.02%, 12/25/17 (b)			17,523			824,520
Series 2012-47, Class NI, 4.50%, 4/25/42			7,220			1,120,770
Series 089, Class 2, 8.00%, 10/25/18			—	(i)		15
Series 007, Class 2, 8.50%, 4/25/17			—	(i)		9
Series G92-05, Class H, 9.00%, 1/25/22			2			117
Series 094, Class 2, 9.50%, 8/25/21			—	(i)		56
Series 1990-136, Class S, 19.64%, 11/25/20 (b)			1,912			2,567
Series 1991-139, Class PT, 648.35%, 10/25/21			36			532
Series 1991-099, Class L, 930.00%, 8/25/21			16			115
Series G-10, Class S, 1,059.73%, 5/25/21 (b)			81			1,311
Series G-12, Class S, 1,124.81%, 5/25/21 (b)			52			721
Freddie Mac Mortgage-Backed Securities:
Series K707, Class X1, 1.54%, 12/25/18 (b)			4,823			177,131
Series 2611, Class QI, 5.50%, 9/15/32			877			59,296
Series 1254, Class Z, 8.50%, 4/15/22			25			5,230
Series 1043, Class H, 43.04%, 2/15/21 (b)			1,734			2,781
Series 1054, Class I, 843.43%, 3/15/21 (b)			12			169
Series 0176, Class M, 1,010.00%, 7/15/21			5			97
Series 1056, Class KD, 1,084.50%, 3/15/21			9			104
Series 1148, Class E, 1,145.42%, 10/15/21 (b)			11			140
Series 0200, Class R, 192,309.80%, 12/15/22 (b)			—	(i)		171
Ginnie Mae Mortgage-Backed Securities (b):
Series 2009-78, Class SD, 5.77%, 9/20/32			7,268			1,459,747
Series 2009-116, Class KS, 6.04%, 12/16/39			3,080			510,704
Series 2011-52, Class NS, 6.24%, 4/16/41			19,725			3,951,410

						8,807,267


U.S. Government Sponsored Agency Securities	Par (000)					Value

Mortgage-Backed Securities — 6.1%
Fannie Mae Mortgage-Backed Securities:
3.00%, 8/01/43		USD		12,284		$	12,623,391
4.00%, 12/01/41 - 12/01/43				7,743			8,329,313
4.50%, 7/01/41 - 4/01/42 (c)				17,005			18,521,567
5.00%, 8/01/34				2,831			3,150,188
5.50%, 7/01/16 - 6/01/38				1,523			1,724,976
6.00%, 3/01/16 - 12/01/38				1,266			1,444,917
Freddie Mac Mortgage-Backed Securities, 6.00%, 6/1/16 - 12/1/18				85			86,582
Ginnie Mae Mortgage-Backed Securities:
5.50%, 8/15/33				60			67,186
8.00%, 7/15/24				—	(i)		255

							45,948,375
Principal Only Collateralized Mortgage Obligations — 0.0%
Fannie Mae Mortgage-Backed Securities, 0.00%, 2/25/23 - 6/25/23 (h)				19			17,224
Total U.S. Government Sponsored Agency Securities — 9.7%							72,657,675



U.S. Treasury Obligations
U.S. Treasury Bonds, 3.00%, 11/15/44 (c)				65,500			70,732,336
U.S. Treasury Notes, 2.25%, 11/15/25 (c)				34,500			36,036,320
Total U.S. Treasury Obligations — 14.2%							106,768,656
Total Long-Term Investments (Cost — $995,969,544) — 133.4%							1,002,108,592



Short-Term Securities — 1.3%			Shares
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.37% (j)(k)				9,946,997			9,946,997
Total Short-Term Securities (Cost — $9,946,997) — 1.3%							9,946,997
Options Purchased (Cost — $4,351,992) — 0.6%							4,667,410
Total Investments Before Options Written (Cost — $1,010,268,533) — 135.3%							1,016,722,999



Options Written (Premiums Received — $10,264,926) — (1.6)%							(11,871,655	)
Total Investments, Net of Options Written (Cost — $1,000,003,607) — 133.7%							1,004,851,344
Liabilities in Excess of Other Assets — (33.7)%							(253,054,668	)

Net Assets — 100.0%						$	751,796,676

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	21


Schedule of Investments (continued)		BlackRock Core Bond Trust (BHK)

Notes to Schedule of Investments

(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 as of period end.

(c)

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

(d)

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.

(e)

When-issued security.

(f)

Convertible security.

(g)

Perpetual security with no stated maturity date.

(h)

Zero-coupon bond.

(i)

Amount is less than $500.

(j)

During the period ended February 29, 2016, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


Affiliate	Shares Held at August 31, 2015		Net Activity		Shares Held at February 29, 2016		Income
BlackRock Liquidity Funds, TempFund, Institutional Class		9,920,365		26,632		9,946,997	$	12,895

(k)

Current yield as of period end.

•

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by investment advisor. 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 Date¹		Face Value		Face Value Including Accrued Interest		Type of Underlying Collateral	Remaining Contractual Maturity of the Agreements
BNP Paribas Securities Corp.		0.10	%		5/07/15		Open	$	67,112,500	$	67,168,054	U.S. Treasury Obligations	Open/Demand¹
Merrill Lynch, Pierce, Fenner & Smith, Inc.		0.22	%		6/02/15		Open		1,323,000		1,325,199	U.S. Government Sponsored Agency Obligations	Open/Demand¹
Merrill Lynch, Pierce, Fenner & Smith, Inc.		0.22	%		6/02/15		Open		830,000		831,380	U.S. Government Sponsored Agency Obligations	Open/Demand¹
BNP Paribas Securities Corp.		0.21	%		6/10/15		Open		1,366,000		1,368,104	U.S. Government Sponsored Agency Obligations	Open/Demand¹
BNP Paribas Securities Corp.		0.21	%		6/10/15		Open		807,000		808,243	U.S. Government Sponsored Agency Obligations	Open/Demand¹
BNP Paribas Securities Corp.		0.21	%		6/10/15		Open		1,128,000		1,129,737	U.S. Government Sponsored Agency Obligations	Open/Demand¹
BNP Paribas Securities Corp.		0.21	%		6/10/15		Open		839,000		840,292	U.S. Government Sponsored Agency Obligations	Open/Demand¹
Barclays Capital, Inc.		0.55	%		12/17/15		Open		546,875		547,493	Corporate Bonds	Open/Demand¹
Barclays Capital, Inc.		0.55	%		12/17/15		Open		518,150		518,736	Corporate Bonds	Open/Demand¹
Barclays Capital, Inc.		0.55	%		12/17/15		Open		994,500		995,624	Corporate Bonds	Open/Demand¹
Barclays Capital, Inc.		0.55	%		12/17/15		Open		355,781		356,183	Corporate Bonds	Open/Demand¹
Barclays Capital, Inc.		0.55	%		12/17/15		Open		1,014,125		1,015,271	Corporate Bonds	Open/Demand¹
Barclays Capital, Inc.		0.55	%		12/17/15		Open		971,438		972,536	Corporate Bonds	Open/Demand¹
Barclays Capital, Inc.		0.55	%		12/17/15		Open		4,831,250		4,836,712	Corporate Bonds	Open/Demand¹
Barclays Capital, Inc.		0.55	%		12/17/15		Open		718,875		719,688	Corporate Bonds	Open/Demand¹
Barclays Capital, Inc.		0.55	%		12/17/15		Open		2,973,750		2,977,112	Corporate Bonds	Open/Demand¹
Credit Suisse Securities (USA) LLC		0.65	%		12/17/15		Open		950,950		952,221	Corporate Bonds	Open/Demand¹
Credit Suisse Securities (USA) LLC		0.65	%		12/17/15		Open		1,454,375		1,456,318	Corporate Bonds	Open/Demand¹
Credit Suisse Securities (USA) LLC		0.65	%		12/17/15		Open		1,104,688		1,106,163	Corporate Bonds	Open/Demand¹
Credit Suisse Securities (USA) LLC		0.75	%		12/17/15		Open		1,509,269		1,511,596	Corporate Bonds	Open/Demand¹
RBC Capital Markets LLC		0.64	%		12/17/15		Open		1,713,750		1,716,004	Corporate Bonds	Open/Demand¹
RBC Capital Markets LLC		0.64	%		12/17/15		Open		3,131,250		3,135,369	Corporate Bonds	Open/Demand¹
RBC Capital Markets LLC		0.64	%		12/17/15		Open		1,228,500		1,230,116	Corporate Bonds	Open/Demand¹
RBC Capital Markets LLC		0.64	%		12/17/15		Open		2,028,510		2,031,179	Corporate Bonds	Open/Demand¹
RBC Capital Markets LLC		0.64	%		12/17/15		Open		1,693,125		1,695,352	Corporate Bonds	Open/Demand¹
RBC Capital Markets LLC		0.64	%		12/17/15		Open		1,435,225		1,437,113	Corporate Bonds	Open/Demand¹
RBC Capital Markets LLC		0.64	%		12/17/15		Open		2,019,250		2,021,906	Corporate Bonds	Open/Demand¹

See Notes to Financial Statements.



22	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Schedule of Investments (continued)		BlackRock Core Bond Trust (BHK)

Reverse Repurchase Agreements (concluded)


Counterparty	Interest Rate			Trade Date		Maturity Date¹		Face Value		Face Value Including Accrued Interest		Type of Underlying Collateral	Remaining Contractual Maturity of the Agreements
RBC Capital Markets LLC		0.64	%		12/17/15		Open	$	2,175,000	$	2,177,861	Corporate Bonds	Open/Demand¹
RBC Capital Markets LLC		0.64	%		12/17/15		Open		2,002,725		2,005,360	Corporate Bonds	Open/Demand¹
RBC Capital Markets LLC		0.64	%		12/17/15		Open		1,448,563		1,450,468	Corporate Bonds	Open/Demand¹
RBC Capital Markets LLC		0.64	%		12/17/15		Open		4,725,000		4,731,216	Corporate Bonds	Open/Demand¹
RBC Capital Markets LLC		0.64	%		12/17/15		Open		4,342,500		4,348,213	Corporate Bonds	Open/Demand¹
RBC Capital Markets LLC		0.64	%		12/17/15		Open		1,822,500		1,824,898	Corporate Bonds	Open/Demand¹
RBC Capital Markets LLC		0.64	%		12/17/15		Open		2,036,475		2,039,154	Corporate Bonds	Open/Demand¹
RBC Capital Markets LLC		0.64	%		12/17/15		Open		1,909,860		1,912,372	Corporate Bonds	Open/Demand¹
RBC Capital Markets LLC		0.64	%		12/17/15		Open		1,835,000		1,837,414	Corporate Bonds	Open/Demand¹
HSBC Securities (USA), Inc.		0.65	%		12/18/15		Open		7,342,000		7,351,412	Capital Trusts	Open/Demand¹
HSBC Securities (USA), Inc.		0.65	%		12/18/15		Open		3,698,000		3,702,741	Corporate Bonds	Open/Demand¹
HSBC Securities (USA), Inc.		0.65	%		12/18/15		Open		4,884,000		4,890,261	Corporate Bonds	Open/Demand¹
HSBC Securities (USA), Inc.		0.65	%		12/18/15		Open		3,995,000		4,000,121	Corporate Bonds	Open/Demand¹
HSBC Securities (USA), Inc.		0.65	%		12/18/15		Open		2,857,000		2,860,662	Corporate Bonds	Open/Demand¹
HSBC Securities (USA), Inc.		0.65	%		12/18/15		Open		3,930,000		3,935,038	Corporate Bonds	Open/Demand¹
HSBC Securities (USA), Inc.		0.65	%		12/18/15		Open		3,529,000		3,533,524	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		1,746,000		1,748,546	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		3,680,000		3,685,367	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		874,000		875,275	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		1,409,000		1,411,055	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		1,038,000		1,039,514	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		479,000		479,698	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		784,000		785,143	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		2,024,000		2,026,952	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		3,799,000		3,804,540	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		1,379,000		1,381,011	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		2,212,000		2,215,226	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		783,000		784,142	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		4,650,000		4,656,781	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		953,000		954,390	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		934,000		935,362	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		4,631,000		4,637,754	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		1,158,000		1,159,689	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		2,720,000		2,723,967	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		2,463,000		2,466,592	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		2,615,000		2,618,814	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		1,680,000		1,682,450	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		479,000		479,698	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		1,158,000		1,159,689	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		953,000		954,390	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		1,846,000		1,848,692	Corporate Bonds	Open/Demand¹
BNP Paribas Securities Corp.		0.75	%		12/21/15		Open		2,024,000		2,026,952	Corporate Bonds	Open/Demand¹
UBS Ltd.		0.75	%		2/02/16		Open		2,856,450		2,858,063	Corporate Bonds	Open/Demand¹
UBS Ltd.		0.75	%		2/02/16		Open		2,780,000		2,781,570	Corporate Bonds	Open/Demand¹
UBS Ltd.		0.75	%		2/02/16		Open		2,176,875		2,178,104	Corporate Bonds	Open/Demand¹
UBS Ltd.		0.75	%		2/02/16		Open		2,610,000		2,611,474	Corporate Bonds	Open/Demand¹
UBS Ltd.		0.75	%		2/02/16		Open		2,323,000		2,324,312	Corporate Bonds	Open/Demand¹
UBS Ltd.		0.75	%		2/02/16		Open		7,670,085		7,674,416	Corporate Bonds	Open/Demand¹
UBS Ltd.		0.75	%		2/02/16		Open		2,682,125		2,683,639	Corporate Bonds	Open/Demand¹
UBS Ltd.		0.75	%		2/02/16		Open		1,729,125		1,730,101	Corporate Bonds	Open/Demand¹
UBS Ltd.		0.75	%		2/02/16		Open		626,775		627,129	Corporate Bonds	Open/Demand¹
UBS Ltd.		0.75	%		2/02/16		Open		6,979,650		6,983,591	Corporate Bonds	Open/Demand¹
UBS Ltd.		0.75	%		2/02/16		Open		2,912,000		2,913,644	Corporate Bonds	Open/Demand¹
HSBC Securities (USA), Inc.		0.59	%		2/10/16		3/14/16		13,044,000		13,048,062	U.S. Government Sponsored Agency Obligations	Up to 30 Days
BNP Paribas Securities Corp.		0.40	%		2/11/16		Open		21,225,000		21,229,481	U.S. Treasury Obligations	Open/Demand¹
RBC Capital Markets LLC		0.64	%		2/11/16		Open		687,375		687,595	Corporate Bonds	Open/Demand¹
UBS Ltd.		0.75	%		2/12/16		Open		1,464,375		1,464,924	Corporate Bonds	Open/Demand¹
Total								$	277,369,594	$	277,642,210

¹ Certain agreements have no stated maturity and can be terminated by either party at any time.

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	23


Schedule of Investments (continued)		BlackRock Core Bond Trust (BHK)

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts


Contracts Long (Short)		Issue	Expiration	Notional Value			Unrealized Appreciation (Depreciation)
	(110)	90-Day Euro-Dollar	March 2016		USD	27,317,813	$	(106,563	)
	396	2-Year U.S. Treasury Note	June 2016		USD	86,544,563		(75,861	)
	581	5-Year U.S. Treasury Note	June 2016		USD	70,291,922		(17,165	)
	(534)	10-Year U.S. Treasury Note	June 2016		USD	69,695,344		(11,763	)
	(58)	10-Year U.S. Ultra Long Treasury Note	June 2016		USD	8,184,344		5,191
	(42)	Long U.S. Treasury Bond	June 2016		USD	6,910,312		33,392
	475	Ultra Long U.S. Treasury Bond	June 2016		USD	82,249,219		(115,831	)
	143	90-Day Euro-Dollar	September 2016		USD	35,469,363		(18,105	)
	(43)	90-Day Euro Future	December 2016		USD	10,660,238		2,618
	(100)	90-Day Euro-Dollar	December 2017		USD	24,745,000		(187,880	)
	4	90-Day Euro-Dollar	March 2018		USD	989,300		(1,917	)
	Total						$	(493,884	)

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
GBP	1,302,500	USD	1,834,953	Northern Trust Co.		3/01/16	$	(22,068	)
EUR	524,000	USD	581,426	Morgan Stanley & Co. International PLC		3/03/16		(11,378	)
USD	380,394	EUR	340,000	Citibank N.A.		3/03/16		10,516
USD	335,468	EUR	307,000	UBS AG		3/03/16		1,490
USD	12,032,550	GBP	8,423,000	UBS AG		3/03/16		308,982
SEK	16,096,223	USD	1,892,500	Citibank N.A.		3/07/16		(12,196	)
SEK	16,196,144	USD	1,892,500	Morgan Stanley & Co. International PLC		3/07/16		(523	)
USD	3,785,000	SEK	32,068,223	Morgan Stanley & Co. International PLC		3/07/16		38,903
EUR	1,660,000	USD	1,842,617	BNP Paribas Securities Corp.		3/08/16		(36,515	)
EUR	3,410,000	USD	3,734,594	BNP Paribas Securities Corp.		3/08/16		(24,469	)
EUR	1,660,000	USD	1,848,689	UBS AG		3/08/16		(42,587	)
USD	3,846,139	EUR	3,410,000	BNP Paribas Securities Corp.		3/08/16		136,014
AUD	1,592,660	EUR	1,035,000	Goldman Sachs Bank USA		3/15/16		9,756
USD	11,661,723	GBP	8,416,000	Royal Bank of Scotland PLC		4/05/16		(53,637	)
SEK	16,034,785	CHF	1,860,000	Morgan Stanley & Co. International PLC		4/12/16		9,157
SEK	15,717,600	CHF	1,820,000	Royal Bank of Scotland PLC		4/12/16		12,195
SEK	15,730,450	EUR	1,660,000	Morgan Stanley & Co. International PLC		4/12/16		32,112
SEK	15,786,685	EUR	1,680,000	Morgan Stanley & Co. International PLC		4/12/16		16,907
Total							$	372,659

OTC Interest Rate Swaptions Purchased

Description

Counterparty

Put/
Call

Exercise
Rate

Pay/Receive
Exercise Rate

Floating Rate
Index

Expiration
Date

Notional
Amount
(000)

Value

10-Year Interest Rate Swap

JPMorgan Chase Bank N.A.

Call

2.25

Receive

3-Month LIBOR

2/17/17

USD

3,000

188,017

2-Year Interest Rate Swap

Citibank N.A.

Call

1.55

Receive

3-Month LIBOR

1/25/18

USD

40,000

511,856

10-Year Interest Rate Swap

JPMorgan Chase Bank N.A.

Call

1.80

Receive

3-Month LIBOR

2/08/18

USD

2,000

83,574

10-Year Interest Rate Swap

UBS AG

Call

1.75

Receive

3-Month LIBOR

2/09/18

USD

2,000

79,247

10-Year Interest Rate Swap

Barclays Bank PLC

Call

1.65

Receive

3-Month LIBOR

1/07/19

USD

4,920

194,885

10-Year Interest Rate Swap

Deutsche Bank AG

Call

1.65

Receive

3-Month LIBOR

1/07/19

USD

4,920

194,885

30-Year Interest Rate Swap

Goldman Sachs Bank USA

Call

2.47

Receive

3-Month LIBOR

1/22/19

USD

1,300

193,896

10-Year Interest Rate Swap

Citibank N.A.

Call

1.50

Receive

3-Month LIBOR

2/04/19

USD

5,000

173,611

30-Year Interest Rate Swap

JPMorgan Chase Bank N.A.

Call

3.12

Receive

3-Month LIBOR

9/17/20

USD

800

198,545

30-Year Interest Rate Swap

Deutsche Bank AG

Call

3.12

Receive

3-Month LIBOR

9/17/20

USD

800

198,545

30-Year Interest Rate Swap

Goldman Sachs Bank USA

Call

2.40

Receive

3-Month LIBOR

2/08/21

USD

670

103,448

30-Year Interest Rate Swap

JPMorgan Chase Bank N.A.

Call

2.42

Receive

3-Month LIBOR

2/08/21

USD

670

104,919

30-Year Interest Rate Swap

Deutsche Bank AG

Call

2.40

Receive

3-Month LIBOR

2/09/21

USD

1,000

154,437

10-Year Interest Rate Swap

JPMorgan Chase Bank N.A.

Call

3.03

Receive

3-Month LIBOR

12/10/25

USD

2,000

209,840

10-Year Interest Rate Swap

Barclays Bank PLC

Call

2.83

Receive

3-Month LIBOR

1/13/26

USD

2,000

190,889

30-Year Interest Rate Swap

JPMorgan Chase Bank N.A.

Put

3.30

Pay

3-Month LIBOR

9/21/16

USD

4,020

14,445

See Notes to Financial Statements.



24	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Schedule of Investments (continued)		BlackRock Core Bond Trust (BHK)

OTC Interest Rate Swaptions Purchased (concluded)

Description

Counterparty

Put/
Call

Exercise
Rate

Pay/Receive
Exercise Rate

Floating Rate
Index

Expiration
Date

Notional
Amount
(000)

Value

10-Year Interest Rate Swap

JPMorgan Chase Bank N.A.

Put

1.80

Pay

3-Month LIBOR

2/08/18

USD

2,000

98,930

10-Year Interest Rate Swap

UBS AG

Put

1.75

Pay

3-Month LIBOR

2/09/18

USD

2,000

103,875

10-Year Interest Rate Swap

Barclays Bank PLC

Put

3.65

Pay

3-Month LIBOR

1/07/19

USD

4,920

57,786

10-Year Interest Rate Swap

Deutsche Bank AG

Put

3.65

Pay

3-Month LIBOR

1/07/19

USD

4,920

57,786

30-Year Interest Rate Swap

Goldman Sachs Bank USA

Put

2.47

Pay

3-Month LIBOR

1/22/19

USD

1,300

128,045

10-Year Interest Rate Swap

Citibank N.A.

Put

3.00

Pay

3-Month LIBOR

2/04/19

USD

5,000

111,319

30-Year Interest Rate Swap

JPMorgan Chase Bank N.A.

Put

3.12

Pay

3-Month LIBOR

9/17/20

USD

800

56,273

30-Year Interest Rate Swap

Deutsche Bank AG

Put

3.12

Pay

3-Month LIBOR

9/17/20

USD

800

56,273

10-Year Interest Rate Swap

Bank of America N.A.

Put

3.50

Pay

3-Month LIBOR

2/01/21

USD

4,000

121,099

30-Year Interest Rate Swap

Goldman Sachs Bank USA

Put

2.40

Pay

3-Month LIBOR

2/08/21

USD

670

91,309

30-Year Interest Rate Swap

JPMorgan Chase Bank N.A.

Put

2.42

Pay

3-Month LIBOR

2/08/21

USD

670

89,873

30-Year Interest Rate Swap

Deutsche Bank AG

Put

2.40

Pay

3-Month LIBOR

2/09/21

USD

1,000

136,327

10-Year Interest Rate Swap

JPMorgan Chase Bank N.A.

Put

3.03

Pay

3-Month LIBOR

12/10/25

USD

2,000

114,649

10-Year Interest Rate Swap

Barclays Bank PLC

Put

2.83

Pay

3-Month LIBOR

1/13/26

USD

2,000

127,367

Total

4,145,950

OTC Options Purchased

Description

Put/
Call

Counterparty

Expiration
Date

Strike
Price

Notional
Amount
(000)

Value

USD Currency

Call

Citibank N.A.

3/03/2016

SEK

8.75

USD

7,520

1,429

EUR Currency

Call

HSBC Bank PLC

3/04/2016

USD

1.13

EUR

6,810

156

EUR Currency

Call

Credit Suisse International

3/11/2016

AUD

1.53

EUR

3,630

39,734

EUR Currency

Call

Deutsche Bank AG

3/11/2016

AUD

1.60

EUR

3,630

4,707

USD Currency

Put

Citibank N.A.

3/03/2016

SEK

8.46

USD

7,520

3,888

EUR Currency

Put

HSBC Bank PLC

3/04/2016

USD

1.10

EUR

6,810

67,319

EUR Currency

Put

Deutsche Bank AG

3/11/2016

AUD

1.44

EUR

3,630

963

EUR Currency

Put

Citibank N.A.

4/01/2016

JPY

121.30

EUR

6,925

90,325

NZD Currency

Put

Deutsche Bank AG

4/28/2016

USD

0.65

NZD

11,220

124,392

USD Currency

Put

UBS AG

4/28/2016

NOK

8.39

USD

7,420

49,818

AUD Currency

Put

HSBC Bank PLC

6/01/2016

USD

0.70

AUD

10,465

138,729

Total

521,460

Exchange-Traded Options Written


Description	Put/ Call	Expiration Date		Strike Price		Contracts		Value
90-Day Euro Future	Call		12/19/16	USD	99.25		110	$	(39,187	)
90-Day Euro Future	Put		12/19/16	USD	99.25		110		(62,563	)
Total								$	(101,750	)

OTC Interest Rate Swaptions Written

Description

Counterparty

Put/
Call

Exercise
Rate

Pay/Receive
Exercise Rate

Floating Rate

Index

Expiration
Date

Notional
Amount
(000)

Market
Value

10-Year Interest Rate Swap

Deutsche Bank AG

Call

2.50

Pay

3-Month LIBOR

3/17/16

USD

12,000

(1,038,150

)

10-Year Interest Rate Swap

Deutsche Bank AG

Call

2.60

Pay

3-Month LIBOR

3/17/16

USD

12,000

(1,152,051

)

5-Year Interest Rate Swap

Barclays Bank PLC

Call

0.23

Pay

3-Month LIBOR

7/27/16

EUR

6,900

(100,347

)

10-Year Interest Rate Swap

Barclays Bank PLC

Call

1.40

Pay

3-Month LIBOR

8/30/16

USD

5,000

(68,875

)

5-Year Interest Rate Swap

Deutsche Bank AG

Call

2.10

Pay

3-Month LIBOR

12/05/16

USD

6,700

(285,252

)

10-Year Interest Rate Swap

Credit Suisse International

Call

2.35

Pay

3-Month LIBOR

1/09/17

USD

2,500

(174,282

)

10-Year Interest Rate Swap

Citibank N.A.

Call

2.10

Pay

3-Month LIBOR

1/27/17

USD

4,400

(231,745

)

5-Year Interest Rate Swap

Barclays Bank PLC

Call

0.01

Pay

3-Month LIBOR

2/10/17

EUR

39,800

(310,219

)

10-Year Interest Rate Swap

Deutsche Bank AG

Call

2.35

Pay

3-Month LIBOR

2/13/17

USD

6,900

(481,908

)

5-Year Interest Rate Swap

Barclays Bank PLC

Call

0.01

Pay

3-Month LIBOR

2/17/17

EUR

4,500

(35,302

)

10-Year Interest Rate Swap

JPMorgan Chase Bank N.A.

Call

1.50

Pay

3-Month LIBOR

2/17/17

USD

4,500

(101,549

)

10-Year Interest Rate Swap

Deutsche Bank AG

Call

2.10

Pay

3-Month LIBOR

3/06/17

USD

1,800

(95,420

)

5-Year Interest Rate Swap

Citibank N.A.

Call

0.50

Pay

3-Month LIBOR

10/23/17

EUR

3,340

(78,102

)

5-Year Interest Rate Swap

UBS AG

Call

0.10

Pay

3-Month LIBOR

10/26/17

EUR

6,200

(67,167

)

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	25


Schedule of Investments (continued)		BlackRock Core Bond Trust (BHK)

OTC Interest Rate Swaptions Written (continued)


Description	Counterparty	Put/ Call		Exercise Rate			Pay/Receive Exercise Rate	Floating Rate Index	Expiration Date		Notional Amount (000)		Market Value
5-Year Interest Rate Swap	Goldman Sachs Bank USA		Call		0.50	%	Pay	3-Month LIBOR		10/30/17	EUR	7,000	$	(163,363	)
10-Year Interest Rate Swap	Goldman Sachs Bank USA		Call		0.15	%	Pay	3-Month LIBOR		12/04/17	EUR	10,000		(120,789	)
2-Year Interest Rate Swap	Barclays Bank PLC		Call		1.95	%	Pay	3-Month LIBOR		12/15/17	USD	39,800		(736,284	)
10-Year Interest Rate Swap	Deutsche Bank AG		Call		2.58	%	Pay	3-Month LIBOR		12/18/17	USD	9,100		(777,845	)
2-Year Interest Rate Swap	Credit Suisse International		Call		2.02	%	Pay	3-Month LIBOR		12/18/17	USD	19,900		(387,640	)
2-Year Interest Rate Swap	Barclays Bank PLC		Call		1.88	%	Pay	3-Month LIBOR		1/08/18	USD	8,200		(142,801	)
2-Year Interest Rate Swap	Citibank N.A.		Call		1.05	%	Pay	3-Month LIBOR		1/25/18	USD	60,000		(433,457	)
10-Year Interest Rate Swap	Goldman Sachs Bank USA		Call		1.40	%	Pay	3-Month LIBOR		2/09/18	USD	8,200		(217,504	)
2-Year Interest Rate Swap	JPMorgan Chase Bank N.A.		Call		1.25	%	Pay	3-Month LIBOR		2/09/18	USD	10,000		(92,404	)
2-Year Interest Rate Swap	Barclays Bank PLC		Call		1.24	%	Pay	3-Month LIBOR		2/12/18	USD	17,600		(161,040	)
10-Year Interest Rate Swap	JPMorgan Chase Bank N.A.		Call		2.51	%	Pay	3-Month LIBOR		4/09/18	USD	2,400		(194,417	)
10-Year Interest Rate Swap	Barclays Bank PLC		Call		2.50	%	Pay	3-Month LIBOR		1/07/19	USD	4,100		(327,199	)
10-Year Interest Rate Swap	Deutsche Bank AG		Call		2.50	%	Pay	3-Month LIBOR		1/07/19	USD	4,100		(327,199	)
10-Year Interest Rate Swap	Citibank N.A.		Call		2.15	%	Pay	3-Month LIBOR		2/04/19	USD	4,000		(244,283	)
7-Year Interest Rate Swap	Goldman Sachs Bank USA		Put		0.70	%	Receive	3-Month LIBOR		3/10/16	EUR	3,000		—
10-Year Interest Rate Swap	Citibank N.A.		Put		2.70	%	Receive	3-Month LIBOR		3/21/16	USD	5,000		(1	)
5-Year Interest Rate Swap	Citibank N.A.		Put		0.50	%	Receive	3-Month LIBOR		3/21/16	EUR	5,000		(6	)
5-Year Interest Rate Swap	JPMorgan Chase Bank N.A.		Put		0.60	%	Receive	3-Month LIBOR		4/26/16	EUR	15,000		(1,003	)
5-Year Interest Rate Swap	Barclays Bank PLC		Put		1.70	%	Receive	3-Month LIBOR		7/15/16	USD	4,000		(11,383	)
5-Year Interest Rate Swap	Barclays Bank PLC		Put		0.23	%	Receive	3-Month LIBOR		7/27/16	EUR	6,900		(19,816	)
10-Year Interest Rate Swap	Barclays Bank PLC		Put		1.90	%	Receive	3-Month LIBOR		8/30/16	USD	5,000		(70,736	)
5-Year Interest Rate Swap	Deutsche Bank AG		Put		1.70	%	Receive	3-Month LIBOR		8/31/16	USD	53,700		(231,523	)
5-Year Interest Rate Swap	Deutsche Bank AG		Put		0.75	%	Receive	3-Month LIBOR		9/02/16	EUR	10,400		(5,751	)
5-Year Interest Rate Swap	JPMorgan Chase Bank N.A.		Put		2.45	%	Receive	3-Month LIBOR		9/21/16	USD	16,900		(15,470	)
5-Year Interest Rate Swap	Goldman Sachs Bank USA		Put		2.00	%	Receive	3-Month LIBOR		10/03/16	USD	1,000		(2,775	)
5-Year Interest Rate Swap	Deutsche Bank AG		Put		2.10	%	Receive	3-Month LIBOR		12/05/16	USD	6,700		(22,917	)
10-Year Interest Rate Swap	Credit Suisse International		Put		2.75	%	Receive	3-Month LIBOR		1/09/17	USD	2,500		(12,761	)
5-Year Interest Rate Swap	JPMorgan Chase Bank N.A.		Put		2.20	%	Receive	3-Month LIBOR		1/09/17	USD	3,600		(12,360	)
10-Year Interest Rate Swap	Citibank N.A.		Put		2.10	%	Receive	3-Month LIBOR		1/27/17	USD	4,400		(77,309	)
10-Year Interest Rate Swap	Barclays Bank PLC		Put		2.75	%	Receive	3-Month LIBOR		1/30/17	USD	6,800		(38,616	)
10-Year Interest Rate Swap	Deutsche Bank AG		Put		2.75	%	Receive	3-Month LIBOR		1/30/17	USD	4,000		(22,715	)
10-Year Interest Rate Swap	Deutsche Bank AG		Put		2.75	%	Receive	3-Month LIBOR		1/30/17	USD	2,000		(11,358	)
10-Year Interest Rate Swap	Deutsche Bank AG		Put		2.75	%	Receive	3-Month LIBOR		1/30/17	USD	2,000		(11,358	)
5-Year Interest Rate Swap	Barclays Bank PLC		Put		0.50	%	Receive	3-Month LIBOR		2/10/17	EUR	49,800		(205,927	)
10-Year Interest Rate Swap	Deutsche Bank AG		Put		2.90	%	Receive	3-Month LIBOR		2/13/17	USD	6,900		(32,062	)
10-Year Interest Rate Swap	JPMorgan Chase Bank N.A.		Put		3.50	%	Receive	3-Month LIBOR		2/17/17	USD	3,000		(5,080	)
5-Year Interest Rate Swap	Barclays Bank PLC		Put		0.51	%	Receive	3-Month LIBOR		2/17/17	EUR	6,000		(25,044	)
5-Year Interest Rate Swap	Deutsche Bank AG		Put		0.45	%	Receive	3-Month LIBOR		2/23/17	EUR	14,200		(70,797	)
5-Year Interest Rate Swap	Barclays Bank PLC		Put		0.45	%	Receive	3-Month LIBOR		2/23/17	EUR	12,100		(60,327	)
10-Year Interest Rate Swap	Deutsche Bank AG		Put		3.10	%	Receive	3-Month LIBOR		3/06/17	USD	1,800		(6,571	)
5-Year Interest Rate Swap	Goldman Sachs Bank USA		Put		1.15	%	Receive	3-Month LIBOR		9/11/17	EUR	10,800		(31,012	)
5-Year Interest Rate Swap	Royal Bank of Scotland PLC		Put		1.10	%	Receive	3-Month LIBOR		9/25/17	EUR	10,000		(33,251	)
5-Year Interest Rate Swap	Goldman Sachs Bank USA		Put		2.20	%	Receive	3-Month LIBOR		10/02/17	USD	1,200		(10,607	)
5-Year Interest Rate Swap	Citibank N.A.		Put		1.00	%	Receive	3-Month LIBOR		10/23/17	EUR	6,670		(29,378	)
5-Year Interest Rate Swap	UBS AG		Put		0.50	%	Receive	3-Month LIBOR		10/26/17	EUR	6,200		(64,763	)
5-Year Interest Rate Swap	UBS AG		Put		1.00	%	Receive	3-Month LIBOR		10/26/17	EUR	12,300		(54,966	)
5-Year Interest Rate Swap	Goldman Sachs Bank USA		Put		1.00	%	Receive	3-Month LIBOR		10/30/17	EUR	14,000		(63,287	)
5-Year Interest Rate Swap	Goldman Sachs Bank USA		Put		0.65	%	Receive	3-Month LIBOR		12/04/17	EUR	10,000		(90,444	)
2-Year Interest Rate Swap	Barclays Bank PLC		Put		1.95	%	Receive	3-Month LIBOR		12/15/17	USD	39,800		(134,843	)
10-Year Interest Rate Swap	Deutsche Bank AG		Put		2.58	%	Receive	3-Month LIBOR		12/18/17	USD	9,100		(177,750	)
2-Year Interest Rate Swap	Credit Suisse International		Put		2.02	%	Receive	3-Month LIBOR		12/18/17	USD	19,900		(62,771	)
2-Year Interest Rate Swap	Barclays Bank PLC		Put		1.88	%	Receive	3-Month LIBOR		1/08/18	USD	8,200		(32,231	)
5-Year Interest Rate Swap	UBS AG		Put		1.00	%	Receive	3-Month LIBOR		1/08/18	EUR	7,200		(41,358	)
2-Year Interest Rate Swap	Citibank N.A.		Put		2.30	%	Receive	3-Month LIBOR		1/25/18	USD	20,000		(49,939	)
10-Year Interest Rate Swap	Goldman Sachs Bank USA		Put		2.40	%	Receive	3-Month LIBOR		2/09/18	USD	8,200		(214,793	)
2-Year Interest Rate Swap	JPMorgan Chase Bank N.A.		Put		1.25	%	Receive	3-Month LIBOR		2/09/18	USD	10,000		(86,336	)
2-Year Interest Rate Swap	Barclays Bank PLC		Put		1.24	%	Receive	3-Month LIBOR		2/12/18	USD	17,600		(153,997	)
10-Year Interest Rate Swap	JPMorgan Chase Bank N.A.		Put		2.51	%	Receive	3-Month LIBOR		4/09/18	USD	2,400		(60,308	)
10-Year Interest Rate Swap	Barclays Bank PLC		Put		2.80	%	Receive	3-Month LIBOR		1/07/19	USD	4,100		(107,166	)
10-Year Interest Rate Swap	Deutsche Bank AG		Put		2.80	%	Receive	3-Month LIBOR		1/07/19	USD	4,100		(107,166	)
10-Year Interest Rate Swap	Citibank N.A.		Put		2.35	%	Receive	3-Month LIBOR		2/04/19	USD	4,000		(163,332	)
10-Year Interest Rate Swap	Bank of America N.A.		Put		5.50	%	Receive	3-Month LIBOR		2/01/21	USD	10,000		(124,481	)
Total													$	(11,414,439	)

See Notes to Financial Statements.



26	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Schedule of Investments (continued)		BlackRock Core Bond Trust (BHK)

OTC Options Written

Description

Put/
Call

Counterparty

Expiration
Date

Strike
Price

Notional
Amount
(000)

Value

EUR Currency

Call

Deutsche Bank AG

3/11/2016

AUD

1.53

EUR

3,630

(39,734

)

AUD Currency

Call

HSBC Bank PLC

6/01/2016

USD

0.74

AUD

10,465

(63,789

)

EUR Currency

Put

Credit Suisse International

3/11/2016

AUD

1.44

EUR

3,630

(963

)

EUR Currency

Put

Deutsche Bank AG

3/11/2016

AUD

1.48

EUR

3,630

(6,859

)

EUR Currency

Put

Citibank N.A.

4/01/2016

JPY

119.00

EUR

10,390

(76,407

)

NZD Currency

Put

Deutsche Bank AG

4/28/2016

USD

0.63

NZD

22,440

(131,356

)

USD Currency

Put

UBS AG

4/28/2016

NOK

8.14

USD

14,840

(36,358

)

Total

(355,466

)

Centrally Cleared Interest Rate Swaps

Fixed Rate

Floating
Rate

Effective
Date

Expiration
Date

Notional
Amount

Unrealized
Appreciation
(Depreciation)

0.77%¹

3-Month LIBOR

N/A

2/05/18

USD

107,000

159,892

1.40%¹

Overnight USD LIBOR

4/05/16²

5/31/20

USD

10,590

(281,268

)

1.48%¹

Overnight USD LIBOR

4/05/16²

5/31/20

USD

10,030

(300,137

)

1.09%¹

3-Month LIBOR

7/06/16²

8/31/20

USD

23,590

36,726

1.37%¹

3-Month LIBOR

N/A

1/19/21

USD

1,300

(14,275

)

2.11%³

3-Month LIBOR

N/A

1/08/26

USD

2,700

136,178

2.13%³

3-Month LIBOR

N/A

1/08/26

USD

1,100

57,490

2.07%³

3-Month LIBOR

N/A

1/11/26

USD

1,600

74,968

2.08%³

3-Month LIBOR

N/A

1/11/26

USD

1,600

75,043

2.08%³

3-Month LIBOR

N/A

1/11/26

USD

1,300

61,095

2.09%³

3-Month LIBOR

N/A

1/11/26

USD

1,000

48,450

2.04%³

3-Month LIBOR

N/A

1/13/26

USD

1,300

56,678

1.85%³

3-Month LIBOR

N/A

1/19/26

USD

2,000

50,654

1.89%³

3-Month LIBOR

N/A

1/19/26

USD

1,300

37,690

1.91%³

3-Month LIBOR

N/A

1/19/26

USD

1,000

31,389

1.94%³

3-Month LIBOR

N/A

1/19/26

USD

2,100

70,852

1.90%³

3-Month LIBOR

N/A

1/29/26

USD

500

15,054

1.89%³

3-Month LIBOR

N/A

2/01/26

USD

1,500

44,512

1.92%³

3-Month LIBOR

N/A

2/01/26

USD

7,000

222,240

1.83%³

3-Month LIBOR

N/A

2/02/26

USD

450

10,678

1.84%³

3-Month LIBOR

N/A

2/02/26

USD

700

17,303

1.78%³

3-Month LIBOR

N/A

2/04/26

USD

2,000

36,930

1.79%³

3-Month LIBOR

N/A

2/04/26

USD

2,600

52,179

1.72%³

3-Month LIBOR

N/A

2/05/26

USD

1,000

12,888

1.73%³

3-Month LIBOR

N/A

2/05/26

USD

1,000

14,115

1.78%³

3-Month LIBOR

N/A

2/05/26

USD

1,000

18,975

1.77%³

3-Month LIBOR

N/A

2/08/26

USD

500

8,989

1.67%³

3-Month LIBOR

N/A

2/10/26

USD

800

7,311

1.69%³

3-Month LIBOR

N/A

2/10/26

USD

800

8,750

1.60%³

3-Month LIBOR

N/A

2/12/26

USD

500

1,109

1.62%³

3-Month LIBOR

N/A

2/12/26

USD

500

1,747

1.41%³

3-Month LIBOR

N/A

2/16/26

USD

1,000

(16,121

)

1.43%³

3-Month LIBOR

N/A

2/16/26

USD

1,000

(14,560

)

1.46%³

3-Month LIBOR

N/A

2/16/26

USD

1,000

(11,217

)

1.47%³

3-Month LIBOR

N/A

2/16/26

USD

1,000

(10,017

)

1.48%³

3-Month LIBOR

N/A

2/16/26

USD

1,500

(14,812

)

1.48%³

3-Month LIBOR

N/A

2/16/26

USD

750

(7,371

)

1.48%³

3-Month LIBOR

N/A

2/16/26

USD

750

(7,335

)

1.71%¹

3-Month LIBOR

N/A

2/19/26

USD

1,000

(11,957

)

1.71%¹

3-Month LIBOR

N/A

2/19/26

USD

1,000

(12,667

)

1.66%³

3-Month LIBOR

N/A

2/22/26

USD

500

3,718

1.60%³

3-Month LIBOR

N/A

2/23/26

USD

500

890

1.61%¹

3-Month LIBOR

N/A

2/26/26

USD

1,000

(2,379

)

1.61%¹

3-Month LIBOR

N/A

3/01/26

USD

500

(1,322

)

1.62%¹

3-Month LIBOR

N/A

3/01/26

USD

500

(1,773

)

2.08%¹

3-Month LIBOR

6/30/16²

8/15/41

USD

4,590

(43,032

)

2.41%¹

3-Month LIBOR

N/A

1/19/46

USD

300

(22,911

)

2.33%¹

3-Month LIBOR

N/A

1/25/46

USD

300

(17,454

)

2.25%¹

3-Month LIBOR

N/A

2/05/46

USD

400

(16,118

)

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	27


Schedule of Investments (continued)		BlackRock Core Bond Trust (BHK)

Centrally Cleared Interest Rate Swaps (concluded)

Fixed Rate

Floating
Rate

Effective
Date

Expiration
Date

Notional
Amount

Unrealized
Appreciation
(Depreciation)

2.06%¹

3-Month LIBOR

N/A

2/12/46

USD

200

1,297

2.16%¹

3-Month LIBOR

N/A

2/12/46

USD

500

(9,450

)

1.95%¹

3-Month LIBOR

N/A

2/16/46

USD

200

6,284

1.99%¹

3-Month LIBOR

N/A

2/16/46

USD

200

4,469

2.04%¹

3-Month LIBOR

N/A

2/16/46

USD

200

1,984

2.05%¹

3-Month LIBOR

N/A

2/28/46

USD

388

2.10%¹

3-Month LIBOR

N/A

3/02/46

USD

100

(434

)

Total

$572,305

¹ Trust pays the fixed rate and receives the floating rate.

²Forward swap.

³Trust pays the floating rate and receives the fixed rate.

OTC Interest Rate Swaps

Fixed Rate

Floating
Rate

Counterparty

Effective
Date

Expiration
Date

Notional Amount
(000)

Value

Premiums
Paid
(Received)

Unrealized
Appreciation

0.00%¹

3-Month LIBOR

JPMorgan Chase Bank N.A.

9/26/17

9/26/19

USD

21,000

58,052

—

58,052

0.00%¹

3-Month LIBOR

JPMorgan Chase Bank N.A.

5/19/25

5/19/35

USD

5,000

30,387

—

30,387

0.00%¹

3-Month LIBOR

JPMorgan Chase Bank N.A.

5/21/25

5/21/35

USD

2,500

23,289

—

23,289

0.00%¹

3-Month LIBOR

Citibank, N.A.

6/09/25

6/09/35

USD

1,500

14,456

—

14,456

0.00%¹

3-Month LIBOR

Citibank N.A.

6/09/25

6/09/35

USD

1,500

14,805

—

14,805

Total

140,989

—

140,989

¹Trust pays the floating rate and receives the fixed rate.

² Forward swap.

OTC Credit Default Swaps — Buy Protection


Issuer/Index	Pay Fixed Rate	Counterparty	Expiration Date	Notional Amount (000)		Value			Premiums Paid		Unrealized Depreciation
New York Times Co.	1.00%	Barclays Bank PLC	12/20/16	USD	3,600	$	(26,461	)	$	40,661	$	(67,122	)
Australia & New Zealand Banking Group Ltd.	1.00%	Deutsche Bank AG	9/20/17	USD	1		(3	)		5		(8	)
Westpac Banking Corp.	1.00%	Deutsche Bank AG	9/20/17	USD	1		(2	)		5		(7	)
Total						$	(26,466	)	$	40,671	$	(67,137	)

OTC Credit Default Swaps — Sell Protection


Issuer/Index	Receive Fixed Rate			Counterparty	Expiration Date	Credit Rating¹	Notional Amount (000)²		Value			Premiums Received			Unrealized Appreciation (Depreciation)
MetLife, Inc.		1.00	%	Credit Suisse International	9/20/16	A-	USD	1,080	$	4,271		$	(11,022	)	$	15,293
MetLife, Inc.		1.00	%	Morgan Stanley Capital Services LLC	9/20/16	A-	USD	1,810		7,158			(16,563	)		23,721
MetLife, Inc.		1.00	%	Deutsche Bank AG	9/20/16	A-	USD	1,460		5,774			(13,624	)		19,398
MetLife, Inc.		1.00	%	Morgan Stanley Capital Services LLC	9/20/16	A-	USD	550		2,175			(4,489	)		6,664
MetLife, Inc.		1.00	%	Goldman Sachs Bank USA	9/20/16	A-	USD	1,000		3,956			(9,082	)		13,038
MetLife, Inc.		1.00	%	Citibank N.A.	12/20/16	A-	USD	575		3,161			(7,382	)		10,543
MetLife, Inc.		1.00	%	Citibank N.A.	12/20/16	A-	USD	595		3,269			(6,997	)		10,266
Markit CMBX North America, Series 8		3.00	%	Barclays Bank PLC	10/17/57	NR	USD	5,000		(1,307,465	)		(531,296	)		(776,169	)
Markit CMBX North America, Series 8		3.00	%	Credit Suisse International	10/17/57	NR	USD	2,500		(653,733	)		(262,465	)		(391,268	)
Total									$	(1,931,434	)	$	(862,920	)	$	(1,068,514	)

¹ Using Standard & Poor’s (“S&P’s”) rating of the issuer.
² The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.

See Notes to Financial Statements.



28	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Schedule of Investments (continued)		BlackRock Core Bond Trust (BHK)

Transactions in Options Written for the Period Ended February 29, 2016


	Calls
				Notional (000)
	Contracts			AUD		EUR			NZD		USD			Premiums Received
Outstanding options, beginning of period		449			—		16,350			—		173,900		$	2,666,359
Options written		110			10,465		97,570			—		205,100			3,888,209
Options exercised		—			—		—			—		—			—
Options expired		—			—		—			—		(27,700	)		(246,530	)
Options closed		(449	)		—		(32,550	)		—		(108,100	)		(1,908,346	)

Outstanding options, end of period		110			10,465		81,370			—		243,200		$	4,399,692


	Puts
				Notional (000)
	Contracts			AUD		EUR			NZD		USD			Premiums Received
Outstanding options, beginning of period		—			—		56,000			—		208,200		$	4,126,898
Options written		110			—		197,850			22,440		341,440			5,634,503
Options exercised		—			—		—			—		—			—
Options expired		—			—		—			—		(44,700	)		(647,068	)
Options closed		—			—		(36,630	)		—		(202,200	)		(3,249,099	)

Outstanding options, end of period		110			—		217,220			22,440		302,740		$	5,865,234

Derivative Financial Instruments Categorized by Risk Exposure

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
Financial futures contracts	Net unrealized appreciation¹		—		—		—		—	$	41,201		—	$	41,201
Forward foreign currency exchange contracts	Unrealized appreciation on forward foreign currency exchange contracts		—		—		—	$	576,032		—		—		576,032
Options purchased	Investments at value — unaffiliated²		—		—		—		521,460		4,145,950		—		4,667,410
Swaps — Centrally cleared	Net unrealized appreciation¹		—		—		—		—		1,388,915		—		1,388,915
Swaps — OTC	Unrealized appreciation on OTC derivatives; Swaps premiums paid		—	$	139,594		—		—		140,989		—		280,583
Total			—	$	139,594		—	$	1,097,492	$	5,717,055		—	$	6,954,141


Liabilities — Derivative Financial Instruments
Financial futures contracts	Net unrealized depreciation¹		—		—		—		—	$	535,085		—	$	535,085
Forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts		—		—		—	$	203,373		—		—		203,373
Options written	Options written at value								355,466		11,516,189		—		11,871,655
Swaps — Centrally cleared	Net unrealized depreciation¹		—		—		—		—		816,610		—		816,610
Swaps — OTC	Unrealized depreciation on OTC derivatives; Swaps premiums received		—	$	2,097,494		—		—		—		—		2,097,494
Total			—	$	2,097,494		—	$	558,839	$	12,867,884		—	$	15,524,217

¹ Includes cumulative appreciation (depreciation) on financial futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
² Includes options purchased at value as reported in the Schedule of Investments.

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	29


Schedule of Investments (continued)		BlackRock Core Bond Trust (BHK)

For the period ended February 29, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:


	Commodity Contracts		Credit Contracts			Equity Contracts		Foreign Currency Exchange Contracts			Interest Rate Contracts			Other Contracts		Total
Net Realized Gain (Loss) from:
Financial futures contracts		—		—			—		—		$	3,002,352			—	$	3,002,352
Forward foreign currency exchange contracts		—		—			—	$	583,135			—			—		583,135
Options purchased¹		—		—			—		(91,673	)		(39,184	)		—		(130,857	)
Options written		—		—			—		12,858			2,366,782			—		2,379,640
Swaps		—	$	111,459			—		—			(2,276,092	)		—		(2,164,633	)

Total		—	$	111,459			—	$	504,320		$	3,053,858			—	$	3,669,637

¹ Options purchased are in included in net realized gain (loss) from investments.

	Commodity Contracts		Credit Contracts			Equity Contracts		Foreign Currency Exchange Contracts			Interest Rate Contracts			Other Contracts		Total
Net Change in Unrealized Appreciation (Depreciation) on:
Financial futures contracts		—		—			—		—		$	703,370			—	$	703,370
Forward foreign currency exchange contracts		—		—			—	$	176,277			—			—		176,277
Options purchased¹		—		—			—		(241,102	)		610,912			—		369,810
Options written		—		—			—		198,923			(2,925,520	)		—		(2,726,597	)
Swaps		—	$	(1,223,253	)		—		—			840,132			—		(383,121	)

Total		—	$	(1,223,253	)		—	$	134,098		$	(771,106	)		—	$	(1,860,261	)

¹ Options purchased are in included in net change in unrealized appreciation (depreciation) on investments.

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Financial futures contracts:
Average notional value of contracts — long	$	337,310,426
Average notional value of contracts — short	$	209,791,441
Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	39,423,888
Average amounts sold — in USD	$	15,902,855
Options:
Average value of option contracts purchased	$	260,730
Average value of option contracts written	$	228,608
Average notional value of swaption contracts purchased	$	63,200,000
Average notional value of swaption contracts written	$	636,136,317
Credit default swaps:
Average notional value — buy protection	$	3,601,000
Average notional value — sell protection	$	10,820,000
Interest rate swaps:
Average notional value — pays fixed rate	$	123,125,000
Average notional value — receives fixed rate	$	65,148,529

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:
Financial futures contracts	$	267,392		$	103,750
Forward foreign currency exchange contracts		576,032			203,373
Options		4,667,410	¹		11,871,655
Swaps — Centrally cleared		93,883			68,360
Swaps — OTC²		280,583			2,097,494

Total derivative assets and liabilities in the Statement of Assets and Liabilities	$	5,885,300		$	14,344,632

Derivatives not subject to a master netting agreement or similar agreement (“MNA”)		(361,275	)		(273,860	)

Total derivative assets and liabilities subject to an MNA	$	5,524,025		$	14,070,772

¹ Includes options purchased at value which is included in Investments at value—unaffiliated in the Statement of Assets and Liabilities and reported in the Schedule of Investments.
² Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statement of Assets and Liabilities.

See Notes to Financial Statements.



30	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Schedule of Investments (continued)		BlackRock Core Bond Trust (BHK)

The following table presents the Trust’s derivative assets and liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (“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 Offset¹			Non-cash Collateral Received		Cash Collateral Received			Net Amount of Derivative Assets²
Bank of America N.A.	$	121,099	$	(121,099	)		—		—			—
Barclays Bank PLC		611,588		(611,588	)		—		—			—
BNP Paribas Securities Corp.		136,014		(60,984	)		—		—		$	75,030
Citibank N.A.		953,014		(953,014	)		—		—			—
Credit Suisse International		55,027		(55,027	)		—		—			—
Deutsche Bank AG		947,723		(947,723	)		—		—			—
Goldman Sachs Bank USA		539,492		(539,492	)		—		—			—
HSBC Bank PLC		206,204		(63,789	)		—		—			142,415
JPMorgan Chase Bank N.A.		1,270,793		(568,927	)		—	$	(520,000	)		181,866
Morgan Stanley & Co. International PLC		97,079		(11,901	)		—		—			85,178
Morgan Stanley Capital Services LLC		30,385		(21,052	)		—		—			9,333
Royal Bank of Scotland PLC		12,195		(12,195	)		—		—			—
UBS AG		543,412		(307,199	)		—		—			236,213

Total	$	5,524,025	$	(4,273,990	)		—	$	(520,000	)	$	730,035


Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset			Non-cash Collateral Pledged		Cash Collateral Pledged³			Net Amount of Derivative Liabilities⁴
Bank of America N.A.	$	124,481	$	(121,099	)		—		—		$	3,382
Barclays Bank PLC		4,116,740		(611,588	)		—	$	(3,250,000	)		255,152
BNP Paribas Securities Corp.		60,984		(60,984	)		—		—			—
Citibank N.A.		1,410,534		(953,014	)		—		(457,520	)		—
Credit Suisse International		1,303,172		(55,027	)		—		(1,040,000	)		208,145
Deutsche Bank AG		5,049,381		(947,723	)		—		(3,720,000	)		381,658
Goldman Sachs Bank USA		923,656		(539,492	)		—		(384,164	)		—
HSBC Bank PLC		63,789		(63,789	)		—		—			—
JPMorgan Chase Bank N.A.		568,927		(568,927	)		—		—			—
Morgan Stanley & Co. International PLC		11,901		(11,901	)		—		—			—
Morgan Stanley Capital Services LLC		21,052		(21,052	)		—		—			—
Northern Trust Co.		22,068		—			—		—			22,068
Royal Bank of Scotland PLC		86,888		(12,195	)		—		—			74,693
UBS AG		307,199		(307,199	)		—		—			—

Total	$	14,070,772	$	(4,273,990	)		—	$	(8,851,684	)	$	945,098

¹ The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.
² Net amount represents the net amount receivable from the counterparty in the event of default.
³ Excess of collateral pledged from the individual counterparty is not shown for financial reporting purposes.
⁴ Net amount represents the net amount payable due to the counterparty in the event of default.

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		—	$	75,148,691	$	18,280,747	$	93,429,438
Corporate Bonds		—		464,531,902		7,635,379		472,167,281
Floating Rate Loan Interests		—		3,245,474		261,635		3,507,109
Foreign Agency Obligations		—		15,571,667		—		15,571,667
Municipal Bonds		—		24,720,925		—		24,720,925
Non-Agency Mortgage-Backed Securities		—		115,138,892		6		115,138,898
Preferred Securities	$	13,552,946		84,593,997		—		98,146,943
U.S. Government Sponsored Agency Securities		—		72,657,389		286		72,657,675
U.S. Treasury Obligations		—		106,768,656		—		106,768,656

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	31


Schedule of Investments (continued)		BlackRock Core Bond Trust (BHK)


	Level 1			Level 2			Level 3		Total
Assets (concluded):
Investments (concluded):
Short-Term Securities:
Money Market Funds	$	9,946,997			—			—	$	9,946,997
Options Purchased		—		$	4,667,410			—		4,667,410

Total	$	23,499,943		$	967,045,003		$	26,178,053	$	1,016,722,999


	Level 1			Level 2			Level 3		Total
Derivative Financial Instruments¹
Assets:
Credit contracts		—		$	98,923			—	$	98,923
Foreign currency exchange contracts		—			576,032			—		576,032
Interest rate contracts	$	41,201			1,529,904			—		1,571,105
Liabilities:
Credit contracts		—			(1,234,574	)		—		(1,234,574	)
Foreign currency exchange contracts		—			(558,839	)		—		(558,839	)
Interest rate contracts		(636,835	)		(12,231,049	)		—		(12,867,884	)

Total	$	(595,634	)	$	(11,819,603	)		—	$	(12,415,237	)

¹ Derivative financial instruments are swaps, financial futures contracts, forward foreign currency exchange contracts and options written. Swaps, financial 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, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:


	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	184,051		—			—	$	184,051
Cash pledged:
Collateral — OTC derivatives		9,130,000		—			—		9,130,000
Financial futures contracts		2,600,970		—			—		2,600,970
Centrally cleared swaps		551,940		—			—		551,940
Foreign currency at value		370,110		—			—		370,110
Liabilities:
Cash received as collateral for centrally cleared swaps		—	$	(520,000	)		—		(520,000	)
Reverse repurchase agreements		—		(277,642,210	)		—		(277,642,210	)

Total	$	12,837,071	$	(278,162,210	)		—	$	(265,325,139	)

During the six months ended February 29, 2016, there were no transfers between Level 1 and Level 2.

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:


	Asset-Backed Securities			Corporate Bonds			Floating Rate Loan Interests		Non-Agency Mortgage-Backed Securities			U.S. Government Sponsored Agency Securities			Total
Assets:
Opening Balance, as of August 31, 2015	$	22,613,310		$	5,716,325			—	$	8		$	357		$	28,330,000
Transfers into Level 3		—			—			—		—			—			—
Transfers out of Level 3		—			—			—		—			—			—
Accrued discounts/premiums		(96,783	)		—			—		—			—			(96,783	)
Net realized gain (loss)		(179,515	)		—			—		5			1			(179,509	)
Net change in unrealized appreciation (depreciation)^1,2		(591,059	)		310,374		$	1,675		(2	)		(71	)		(279,083	)
Purchases		—			1,621,622			259,960		—			—			1,881,582
Sales		(3,465,206	)		(12,942	)		—		(5	)		(1	)		(3,478,154	)
Closing Balance, as of February 29, 2016	$	18,280,747		$	7,635,379		$	261,635	$	6		$	286		$	26,178,053

Net change in unrealized appreciation (depreciation) on investments still held at February 29, 2016²	$	(526,184	)	$	310,374		$	1,675	$	(2	)	$	(71	)	$	(214,208	)

¹ Included in the related net change in unrealized appreciation (depreciation) in the Statement of Operations.
² Any difference between Net change in unrealized appreciation (depreciation) and Net change in unrealized appreciation (depreciation) on investments held as of February 29, 2016 is generally due to investments no longer held or categorized as Level 3 at period end.

See Notes to Financial Statements.



32	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Schedule of Investments (concluded)		BlackRock Core Bond Trust (BHK)

The following table summarizes the valuation techniques 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 $18,542,674. A significant change in third party pricing information could result in a significantly lower or higher value of such Level 3 investments.

Value

Valuation Techniques

Unobservable Inputs

Range of
Unobservable Inputs
Utilized

Weighted

Average of
Unobservable Inputs

Assets:

Corporate Bonds

7,635,379

Yield Analysis

Credit Spread¹

162.0 – 256.0

235.88

T-Bond Reference Rate¹

1.92% – 2.75%

2.57%

Weighted Average Life¹

6.4 – 24.4 years

20.57

Total

7,635,379

¹ Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease in value.

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	33

Consolidated Schedule of Investments February 29, 2016 (Unaudited)

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)


Common Stocks	Shares			Value
Capital Markets — 1.9%
American Capital Ltd. (a)			1,522,327	$	20,840,657
E*Trade Financial Corp. (a)			169,584		3,978,451
Uranium Participation Corp. (a)			176,860		643,127

					25,462,235
Chemicals — 0.1%
Advanced Emissions Solutions, Inc. (a)			168,580		800,755
Consumer Finance — 1.5%
Ally Financial, Inc.			1,101,275		19,360,415
Ally Financial, Inc. (a)			25,002		439,535

					19,799,950
Diversified Financial Services — 0.0%
Concrete Investments II S.C.A.			4,997		—
Kcad Holdings I Ltd. (a)			2,223,465,984		22,235

					22,235
Diversified Telecommunication Services — 0.0%
Broadview Networks Holdings, Inc. (a)			192,400		269,359
Energy Equipment & Services — 0.1%
Laricina Energy Ltd. (a)(b)			211,764		18,782
Osum Oil Sands Corp. (a)(b)			400,000		1,040,591

					1,059,373
Hotels, Restaurants & Leisure — 0.4%
Amaya, Inc.			118,172		1,709,258
Amaya, Inc. (a)			259,108		3,747,778

					5,457,036
Media — 0.1%
Time Warner Cable, Inc.			7,968		1,520,772
Metals & Mining — 0.1%
African Minerals Ltd. (a)			225,302		3
Peninsula Energy Ltd. (a)			2,051,920		1,200,937

					1,200,940
Oil, Gas & Consumable Fuels — 0.4%
Gener8 Maritime Corp.			965,338		5,994,749
Real Estate Investment Trusts (REITs) — 0.0%
Ovation Acquisition I, LLC (Acquired 12/29/15, cost $187,463) (c)			12,175		12,175
Semiconductors & Semiconductor Equipment — 0.0%
SunPower Corp. (a)			1,025		24,210
Wireless Telecommunication Services — 0.1%
T-Mobile U.S., Inc. (a)			59,550		2,209,305
Total Common Stocks — 4.7%					63,833,094



Asset-Backed Securities (d) — 2.4%	Par (000)
ALM Loan Funding, Series 2013-7RA (e):
Class C, 4.07%, 4/24/24		USD	2,340		2,112,126
Class D, 5.62%, 4/24/24			2,360		2,159,347
ALM XII Ltd., Series 2015-12A (e):
Class C1, 4.37%, 4/16/27			1,500		1,361,250
Class D, 6.12%, 4/16/27			250		178,769
ALM XIV Ltd., Series 2014-14A, Class C, 4.07%, 7/28/26 (e)			500		418,201
AMMC CLO Ltd., Series 2014-15A (e):
Class C1, 3.94%, 12/09/26			1,000		987,500
Class D, 4.68%, 12/09/26			1,000		927,500
Apidos CLO XVIII, Series 2014-18A, Class C, 4.27%, 7/22/26 (e)			550		459,015


Asset-Backed Securities (d) — 2.4%	Par (000)			Value
Atlas Senior Loan Fund V Ltd., Series 2014-1A (e):
Class C, 3.62%, 7/16/26		USD	250	$	234,359
Class D, 4.07%, 7/16/26			250		198,246
Avalon IV Capital Ltd., Series 2012-1AR, Class CR, 3.14%, 4/17/23 (e)			850		835,691
Benefit Street Partners CLO, Ltd., Series 2014-IVA, Class C, 4.12%, 7/20/26 (e)			500		409,156
BlueMountain CLO Ltd. (e):
Series 2014-1A, Class C, 3.37%, 4/30/26			1,000		950,767
Series 2015-1A, Class D, 6.07%, 4/13/27			750		566,675
Carlyle Global Market Strategies CLO Ltd., Series 2014-5A, Class C, 4.77%, 10/16/25 (e)			1,000		842,047
Cedar Funding, Ltd., Series 2014-3A, Class D, 4.17%, 5/20/26 (e)			535		431,035
CIFC Funding Ltd. (e):
Series 2011-1A, Class D, 5.62%, 1/19/23			750		717,944
Series 2014-2A, Class A3L, 3.47%, 5/24/26			500		463,349
Series 2014-3A, Class C1, 3.42%, 7/22/26			500		461,669
Dryden Senior Loan Fund, Series 2014-36A, Class D, 4.37%, 11/09/25 (e)			1,000		831,479
Highbridge Loan Management Ltd., Series 4A-2014, Class B, 3.62%, 7/28/25 (e)			570		533,690
LCM X LP, Series 10AR, Class ER, 5.82%, 4/15/22 (e)			1,000		832,341
LCM XIII LP, Series 13A, Class D, 4.42%, 1/19/23 (e)			500		422,756
Madison Park Funding Ltd. (e):
Series 2012-8AR, Class CR, 3.10%, 4/22/22			500		499,531
Series 2012-8AR, Class DR, 4.15%, 4/22/22			250		235,398
Series 2014-14A, Class D, 4.22%, 7/20/26			500		422,914
Neuberger Berman CLO XVII Ltd., Series 2014-17A, Class D, 4.17%, 8/04/25 (e)			500		391,802
Neuberger Berman CLO XVIII Ltd., Series 2014-18A (e):
Class B, 3.77%, 11/14/25			500		486,970
Class C, 4.37%, 11/14/25			1,500		1,211,517
Oaktree EIF II Ltd., Series 2014-A2, Class C, 3.82%, 11/15/25 (e)			2,000		1,858,483
Octagon Investment Partners XII Ltd., Series 2012-1AR, Class ER, 5.78%, 5/05/23 (e)			1,200		986,039
Octagon Investment Partners XXII Ltd., Series 2014-1A (e):
Class C1, 3.87%, 11/25/25			1,000		953,180
Class D1, 4.52%, 11/25/25			1,000		801,053
OneMain Financial Issuance Trust, Series 2015-2A:
Class C, 4.32%, 7/18/25			200		194,430
Class D, 5.64%, 7/18/25			200		194,792
OZLM Funding IV Ltd., Series 2013-4A, Class C, 3.82%, 7/22/25 (e)			250		202,841
OZLM Funding IX Ltd., Series 2014-9A, Class C, 4.22%, 1/20/27 (e)			1,250		1,020,376
OZLM Funding XII Ltd., Series 2015-12A, Class D, 6.02%, 4/30/27 (e)			250		175,824
Palmer Square CLO Ltd., Series 2014-1A, Class C, 4.47%, 10/17/22 (e)			845		757,188
Sound Point CLO Ltd., Series 2014-3A, Class D, 4.22%, 1/23/27 (e)			1,250		996,203
TICP CLO III Ltd., Series 2014-3A, Class C, 3.87%, 1/20/27 (e)			750		680,036
Venture XIII CLO Ltd., Series 2013-13A, Class D, 4.04%, 6/10/25 (e)			1,000		825,231
Venture XIX CLO Ltd., Series 2014-19A, Class C, 3.92%, 1/15/27 (e)			1,000		988,604
Voya CLO Ltd., Series 2014-4A, Class C, 4.62%, 10/14/26 (e)			1,750		1,488,337
Total Asset-Backed Securities — 2.4%					32,705,661

See Notes to Financial Statements.



34	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Consolidated Schedule of Investments (continued)		BlackRock Corporate High Yield Fund, Inc. (HYT)


Corporate Bonds	Par (000)			Value
Aerospace & Defense — 1.5%
Accudyne Industries Borrower/Accudyne Industries LLC, 7.75%, 12/15/20 (d)		USD	2,285	$	1,639,488
Bombardier, Inc. (d):
5.50%, 9/15/18			923		830,700
7.50%, 3/15/25			1,450		1,018,625
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (d)			1,140		1,214,100
TransDigm, Inc.:
5.50%, 10/15/20			2,490		2,433,975
6.00%, 7/15/22			7,563		7,373,925
6.50%, 7/15/24			5,828		5,682,300

					20,193,113
Air Freight & Logistics — 0.7%
Air Medical Merger Sub Corp., 6.38%, 5/15/23 (d)			1,321		1,149,270
National Air Cargo Group, Inc.:
11.88%, 5/02/18			696		696,121
11.88%, 5/08/18			715		714,729
XPO Logistics, Inc.:
7.88%, 9/01/19 (d)			2,958		3,054,135
5.75%, 6/15/21		EUR	150		148,505
6.50%, 6/15/22 (d)		USD	4,105		3,884,356

					9,647,116
Airlines — 2.1%
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (d)			6,336		6,462,637
Continental Airlines Pass-Through Trust, Series 1997-4, Class B, 6.90%, 7/02/18			106		107,899
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18			742		783,050
US Airways Pass-Through Trust:
Series 2012-2, Class C, 5.45%, 6/03/18			5,720		5,698,550
Series 2013-1, Class B, 5.38%, 5/15/23			4,917		4,881,628
Virgin Australia Trust, Series 2013-1 (d):
Class C, 7.13%, 10/23/18			5,527		5,554,956
Class D, 8.50%, 10/23/16			4,049		4,119,735

					27,608,455
Auto Components — 2.2%
Affinia Group, Inc., 7.75%, 5/01/21			1,854		1,909,620
Dakar Finance SA, 9.00%, 11/15/20 (f)		EUR	525		530,366
Dana Holding Corp., 6.75%, 2/15/21		USD	200		203,000
Fiat Chrysler Finance Europe, 4.75%, 7/15/22		EUR	907		1,030,339
Goodyear Tire & Rubber Co., 6.50%, 3/01/21		USD	1,110		1,168,974
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
4.88%, 3/15/19			3,012		2,793,630
5.88%, 2/01/22			2,797		2,440,383
Jaguar Land Rover Automotive PLC, 5.00%, 2/15/22		GBP	753		1,016,621
Schaeffler Finance BV, 4.75%, 5/15/23 (d)		USD	1,440		1,407,600
Schaeffler Holding Finance BV (f):
(5.75% Cash or 6.50% PIK), 5.75%, 11/15/21		EUR	600		683,714
(6.25% Cash), 6.25%, 11/15/19 (d)		USD	2,130		2,217,863
(6.75% Cash), 6.75%, 11/15/22 (d)			6,753		7,158,180
(6.88% Cash or 7.63% PIK), 6.88%, 8/15/18 (d)			2,400		2,460,000
(6.88% Cash), 6.88%, 8/15/18		EUR	1,360		1,521,790
UCI International, Inc., 8.63%, 2/15/19		USD	7,080		1,416,000
ZF North America Capital, Inc.:
4.50%, 4/29/22 (d)			321		316,586
2.75%, 4/27/23		EUR	900		915,426

					29,190,092


Corporate Bonds	Par (000)			Value
Banks — 1.5%
Allied Irish Banks PLC, 4.13%, 11/26/25 (e)		EUR	325	$	321,732
Banca Monte dei Paschi di Siena SpA, 3.63%, 4/01/19			120		124,994
Banco Espirito Santo SA (g):
4.75%, 1/15/18		USD	1,900		599,405
4.00%, 1/21/19			1,100		347,024
Bankia SA, 4.00%, 5/22/24 (e)			1,000		1,003,814
CIT Group, Inc.:
5.25%, 3/15/18			4,320		4,444,200
6.63%, 4/01/18 (d)			1,400		1,471,750
5.50%, 2/15/19 (d)			6,919		7,161,165
5.00%, 8/01/23			560		560,000
6.00%, 4/01/36			2,800		2,576,000
HSH Nordbank AG, 0.62%, 2/14/17 (e)		EUR	1,265		1,195,032
Ibercaja Banco SA, 5.00%, 7/28/25 (e)			600		557,965

					20,363,081
Beverages — 0.1%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 6.75%, 1/31/21 (d)		USD	1,258		1,180,947
Horizon Holdings I SASU, 7.25%, 8/01/23		EUR	467		516,282
Hydra Dutch Holdings 2BV, 5.36%, 4/15/19 (e)			167		168,969

					1,866,198
Biotechnology — 0.1%
Rapid Holding GmbH, 6.63%, 11/15/20			700		780,152
Building Products — 2.0%
American Builders & Contractors Supply Co., Inc. (d):
5.63%, 4/15/21		USD	1,315		1,344,588
5.75%, 12/15/23			982		1,011,460
Builders FirstSource, Inc., 7.63%, 6/01/21 (d)			1,152		1,169,280
Building Materials Corp. of America, 6.00%, 10/15/25 (d)			4,118		4,184,917
Cemex SAB de CV, 4.38%, 3/05/23		EUR	345		318,074
CPG Merger Sub LLC, 8.00%, 10/01/21 (d)		USD	4,330		3,983,600
Masonite International Corp., 5.63%, 3/15/23 (d)			2,950		3,053,250
Ply Gem Industries, Inc., 6.50%, 2/01/22			3,921		3,357,356
Standard Industries, Inc. (d):
5.13%, 2/15/21			949		967,980
5.50%, 2/15/23			1,576		1,595,700
USG Corp.:
9.75%, 1/15/18			3,935		4,382,606
5.50%, 3/01/25 (d)			1,234		1,258,680

					26,627,491
Capital Markets — 2.1%
American Capital Ltd., 6.50%, 9/15/18 (d)			3,840		3,916,800
Blackstone CQP Holdco LP, 9.30%, 3/19/19			18,948		17,811,072
E*Trade Financial Corp.:
5.38%, 11/15/22			2,857		2,969,537
4.63%, 9/15/23			2,784		2,728,320
Series A, 0.00%, 8/31/19 (h)(i)			373		850,254

					28,275,983
Chemicals — 1.1%
Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding BV, 7.38%, 5/01/21 (d)			1,760		1,870,000
Chemours Co., 7.00%, 5/15/25 (d)			1,041		754,725
Huntsman International LLC:
4.88%, 11/15/20			286		269,555
5.13%, 4/15/21		EUR	1,779		1,751,434
5.13%, 11/15/22 (d)		USD	1,254		1,147,410
Ineos Finance PLC, 4.00%, 5/01/23		EUR	248		252,183
Momentive Performance Materials, Inc., 3.88%, 10/24/21		USD	3,738		2,541,840

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	35


Consolidated Schedule of Investments (continued)		BlackRock Corporate High Yield Fund, Inc. (HYT)


Corporate Bonds	Par (000)			Value
Chemicals (continued)
Montichem Holdco 3 SA, 5.25%, 6/15/21		EUR	311	$	321,432
NOVA Chemicals Corp. (d):
5.25%, 8/01/23		USD	184		181,240
5.00%, 5/01/25			415		406,700
Platform Specialty Products Corp. (d):
10.38%, 5/01/21			468		427,050
6.50%, 2/01/22			5,892		4,772,520
PSPC Escrow Corp., 6.00%, 2/01/23		EUR	394		320,817
WR Grace & Co-Conn, 5.13%, 10/01/21 (d)		USD	232		241,280

					15,258,186
Commercial Services & Supplies — 1.9%
AA Bond Co., Ltd., 5.50%, 7/31/43		GBP	500		638,511
ADS Waste Holdings, Inc., 8.25%, 10/01/20		USD	1,341		1,314,180
ADT Corp., 3.50%, 7/15/22			984		824,100
ARAMARK Corp., 5.75%, 3/15/20			3,123		3,224,497
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.50%, 4/01/23			720		682,200
Bilbao Luxembourg SA, (10.50% Cash or 11.25% PIK), 10.50%, 12/01/18 (f)		EUR	428		386,846
Mobile Mini, Inc., 7.88%, 12/01/20		USD	2,040		2,075,700
Mustang Merger Corp., 8.50%, 8/15/21 (d)		USD	2,688		2,735,040
Silk Bidco AS, 7.50%, 2/01/22		EUR	347		378,428
United Rentals North America, Inc.:
7.38%, 5/15/20		USD	1,890		1,982,138
8.25%, 2/01/21			1,001		1,051,050
7.63%, 4/15/22			5,555		5,905,632
6.13%, 6/15/23			1,055		1,081,913
5.75%, 11/15/24			3,154		3,074,519
Verisure Holding AB, 6.00%, 11/01/22		EUR	775		864,161

					26,218,915
Communications Equipment — 2.4%
Alcatel-Lucent USA, Inc., 6.45%, 3/15/29		USD	6,018		6,123,315
CommScope Technologies Finance LLC, 6.00%, 6/15/25 (d)			2,125		2,103,750
CommScope, Inc. (d):
4.38%, 6/15/20			2,278		2,317,865
5.50%, 6/15/24			2,169		2,103,930
Nokia OYJ, 6.63%, 5/15/39			3,596		3,667,920
Zayo Group LLC/Zayo Capital, Inc.:
10.13%, 7/01/20			7,677		8,233,582
6.00%, 4/01/23			5,615		5,530,775
6.38%, 5/15/25			2,765		2,640,575

					32,721,712
Construction & Engineering — 0.7%
AECOM Technology Corp.:
5.75%, 10/15/22			716		723,160
5.88%, 10/15/24			2,662		2,648,690
Aldesa Financial Services SA, 7.25%, 4/01/21		EUR	960		715,370
BlueLine Rental Finance Corp., 7.00%, 2/01/19 (d)		USD	2,187		1,601,977
Novafives SAS, 4.50%, 6/30/21		EUR	120		104,695
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (d)		USD	2,412		2,442,150
Swissport Investments SA, 6.75%, 12/15/21		EUR	927		1,038,285
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23		USD	862		802,738

					10,077,065
Construction Materials — 2.7%
American Tire Distributors, Inc., 10.25%, 3/01/22 (d)			4,335		3,728,100
Beacon Roofing Supply, Inc., 6.38%, 10/01/23 (d)			566		597,130


Corporate Bonds	Par (000)			Value
Construction Materials (continued)
HD Supply, Inc.:
7.50%, 7/15/20		USD	16,335	$	17,192,587
5.25%, 12/15/21 (d)			10,967		11,487,932
Officine MaccaFerri SpA, 5.75%, 6/01/21		EUR	675		613,013
PulteGroup, Inc., 5.50%, 3/01/26		USD	2,278		2,303,628

					35,922,390
Consumer Finance — 1.9%
Ally Financial, Inc.:
5.13%, 9/30/24			1,636		1,648,270
4.63%, 3/30/25			2,029		1,968,130
8.00%, 11/01/31			19,553		21,532,741
Navient Corp.:
5.50%, 1/25/23			165		136,538
6.13%, 3/25/24			165		138,088
5.88%, 10/25/24			280		226,800

					25,650,567
Containers & Packaging — 1.3%
Ardagh Packaging Finance PLC, 9.13%, 10/15/20 (d)			825		851,813
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:
6.25%, 1/31/19 (d)			1,504		1,470,160
6.00%, 6/30/21 (d)			1,752		1,603,080
4.25%, 1/15/22		EUR	955		1,023,418
Ball Corp.:
4.38%, 12/15/20		USD	843		880,935
4.00%, 11/15/23			1,374		1,336,215
4.38%, 12/15/23		EUR	577		643,382
Beverage Packaging Holdings Luxembourg II SA (d):
5.63%, 12/15/16		USD	978		976,778
6.00%, 6/15/17			1,642		1,635,842
Crown European Holdings SA:
4.00%, 7/15/22		EUR	758		849,345
3.38%, 5/15/25			503		513,673
JH-Holding Finance SA, (8.25% Cash), 8.25%, 12/01/22 (f)			300		334,285
Sealed Air Corp.:
4.88%, 12/01/22 (d)		USD	709		730,270
4.50%, 9/15/23		EUR	560		628,995
5.13%, 12/01/24 (d)		USD	3,431		3,559,662
SGD Group SAS, 5.63%, 5/15/19		EUR	205		217,947

					17,255,800
Diversified Consumer Services — 0.3%
Cognita Financing PLC, 7.75%, 8/15/21		GBP	225		311,601
Laureate Education, Inc., 9.25%, 9/01/19 (d)		USD	1,205		614,550
Service Corp. International, 5.38%, 5/15/24			2,450		2,606,187

					3,532,338
Diversified Financial Services — 3.4%
AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust:
4.63%, 10/30/20			3,053		3,102,611
4.50%, 5/15/21			780		785,850
5.00%, 10/01/21			4,340		4,453,925
4.63%, 7/01/22			691		691,864
Aircastle Ltd.:
7.63%, 4/15/20			128		140,160
5.13%, 3/15/21			1,572		1,575,930
5.50%, 2/15/22			2,040		2,037,450
DFC Finance Corp., 10.50%, 6/15/20 (d)			2,045		1,273,012
Gala Group Finance PLC, 8.88%, 9/01/18		GBP	681		852,536
Garfunkelux Holdco 3 SA, 8.50%, 11/01/22			325		428,151
HRG Group, Inc., 7.88%, 7/15/19 (j)		USD	2,745		2,861,662

See Notes to Financial Statements.



36	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Consolidated Schedule of Investments (continued)		BlackRock Corporate High Yield Fund, Inc. (HYT)


Corporate Bonds	Par (000)			Value
Diversified Financial Services (continued)
HSH Nordbank AG, 0.66%, 2/14/17 (e)		EUR	103	$	97,281
International Lease Finance Corp.:
5.88%, 4/01/19		USD	160		169,000
8.25%, 12/15/20			150		173,438
4.63%, 4/15/21			687		693,870
5.88%, 8/15/22			4,010		4,265,637
Jarden Corp., 1.88%, 9/15/18 (i)			100		169,063
Jefferies Finance LLC/JFIN Co-Issuer Corp. (d):
7.38%, 4/01/20			2,695		2,075,150
6.88%, 4/15/22			2,552		1,799,160
Lehman Brother Holding Escrow, 1.00%, 9/22/18			430		33,755
Lehman Brothers Holdings, Inc.:
5.38%, 10/17/16		EUR	350		39,979
4.75%, 1/16/17			1,890		215,884
1.00%, 2/05/17			3,950		429,701
1.00%, 12/31/49		USD	1,535		120,037
Mercury Bondco PLC, (8.25% Cash or 9.00% PIK), 8.25%, 5/30/21 (f)		EUR	1,803		1,909,770
MSCI, Inc., 5.75%, 8/15/25 (d)		USD	1,667		1,798,276
Pershing Square Holdings, Ltd., 5.50%, 7/15/22 (d)			2,100		1,831,515
ProGroup AG, 5.13%, 5/01/22		EUR	206		229,980
Reynolds Group Issuer, Inc.:
8.50%, 5/15/18		USD	1,700		1,700,000
9.88%, 8/15/19			899		925,970
5.75%, 10/15/20			6,454		6,631,485
8.25%, 2/15/21			1,681		1,651,582
UniCredit SpA, 6.95%, 10/31/22		EUR	475		570,412

					45,734,096
Diversified Telecommunication Services — 3.7%
CenturyLink, Inc.:
6.45%, 6/15/21		USD	2,678		2,719,830
Series V, 5.63%, 4/01/20			3,867		3,915,337
Cequel Communications Holdings I LLC/Cequel Capital Corp., 5.13%, 12/15/21 (d)			1,025		940,438
Consolidated Communications, Inc., 6.50%, 10/01/22			1,020		831,300
Frontier Communications Corp.:
8.50%, 4/15/20			2,275		2,314,813
6.25%, 9/15/21			3,005		2,663,181
7.13%, 1/15/23			1,330		1,156,688
7.63%, 4/15/24			1,927		1,686,125
6.88%, 1/15/25			3,871		3,261,318
Level 3 Financing, Inc.:
7.00%, 6/01/20			1,647		1,727,291
5.63%, 2/01/23			2,617		2,702,053
5.13%, 5/01/23			3,232		3,296,640
5.38%, 1/15/24 (d)			1,771		1,815,275
5.38%, 5/01/25			7,872		8,009,760
SoftBank Group Corp., 4.75%, 7/30/25		EUR	200		204,929
Telecom Italia Capital SA:
6.38%, 11/15/33		USD	745		685,400
6.00%, 9/30/34			2,890		2,492,625
7.20%, 7/18/36			690		641,700
Telecom Italia Finance SA, 7.75%, 1/24/33		EUR	380		503,793
Telecom Italia SpA:
6.38%, 6/24/19		GBP	900		1,337,909
3.25%, 1/16/23		EUR	300		324,051
5.88%, 5/19/23		GBP	1,900		2,773,838
Telenet Finance V Luxembourg SCA:
6.25%, 8/15/22		EUR	1,362		1,568,699
6.75%, 8/15/24			1,982		2,328,609

					49,901,602


Corporate Bonds	Par (000)			Value
Electric Utilities — 0.1%
Homer City Generation LP, (8.14% Cash), 8.14%, 10/01/19 (f)		USD	689	$	447,691
Texas Competitive Electric Holdings Co., 10.50%, 11/01/16 (a)(g)			379		16,108
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Series A, 10.25%, 11/01/15 (a)(g)			568		24,140
Viridian Group FundCo II Ltd., 7.50%, 3/01/20		EUR	624		705,971

					1,193,910
Electrical Equipment — 0.3%
Areva SA, 4.88%, 9/23/24			50		42,426
Belden, Inc., 5.50%, 4/15/23			672		700,149
International Wire Group Holdings, Inc., 8.50%, 10/15/17 (d)		USD	1,421		1,406,790
Trionista Holdco GmbH, 5.00%, 4/30/20		EUR	1,405		1,566,641
Trionista TopCo GmbH, 6.88%, 4/30/21			418		474,727

					4,190,733
Electronic Equipment, Instruments & Components — 0.8%
CDW LLC/CDW Finance Corp.:
5.00%, 9/01/23		USD	4,354		4,462,850
5.50%, 12/01/24			6,477		6,687,503

					11,150,353
Energy Equipment & Services — 0.4%
Gates Global LLC/Gates Global Co., 5.75%, 7/15/22		EUR	110		86,756
Genesis Energy LP/Genesis Energy Finance Corp.:
5.75%, 2/15/21		USD	283		233,475
6.75%, 8/01/22			811		677,185
MEG Energy Corp., 6.38%, 1/30/23 (d)			575		271,688
Transocean, Inc.:
3.00%, 10/15/17			1,914		1,722,600
6.00%, 3/15/18			2,520		2,028,600
6.50%, 11/15/20			1,019		601,210

					5,621,514
Environmental, Maintenance, & Security Service — 0.0%
Befesa Zinc SAU Via Zinc Capital SA, 8.88%, 5/15/18		EUR	300		298,615
Food & Staples Retailing — 1.6%
Bakkavor Finance 2 PLC:
8.25%, 2/15/18		GBP	503		1,168,527
8.75%, 6/15/20			665		973,017
Brakes Capital, 7.13%, 12/15/18			830		1,199,539
Dollar Tree Inc., 5.25%, 3/01/20 (d)		USD	817		857,850
Family Dollar Stores, Inc., 5.00%, 2/01/21			1,434		1,499,333
Labeyrie Fine Foods SAS, 5.63%, 3/15/21		EUR	540		604,769
R&R Ice Cream PLC:
4.75%, 5/15/20			745		822,605
(9.25% Cash or 10.00% PIK), 9.25%, 5/15/18 (f)			823		894,757
Rite Aid Corp.:
9.25%, 3/15/20		USD	2,080		2,194,400
6.75%, 6/15/21			1,091		1,156,460
6.13%, 4/01/23 (d)			9,022		9,630,985

					21,002,242
Food Products — 1.3%
Acosta, Inc., 7.75%, 10/01/22 (d)			3,385		2,987,263
Aramark Services, Inc., 5.13%, 1/15/24 (d)			1,712		1,793,320
Boparan Finance PLC:
4.38%, 7/15/21		EUR	249		236,338
5.50%, 7/15/21		GBP	422		507,920
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.88%, 1/15/24 (d)		USD	445		469,475

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	37


Consolidated Schedule of Investments (continued)		BlackRock Corporate High Yield Fund, Inc. (HYT)


Corporate Bonds	Par (000)			Value
Food Products (continued)
Post Holdings, Inc. (d):
7.75%, 3/15/24		USD	4,599	$	5,035,905
8.00%, 7/15/25			1,826		2,013,165
Smithfield Foods, Inc.:
5.88%, 8/01/21 (d)			891		906,316
6.63%, 8/15/22			1,516		1,599,380
TreeHouse Foods, Inc., 6.00%, 2/15/24 (d)			976		1,027,240
WhiteWave Foods Co., 5.38%, 10/01/22			1,255		1,342,850

					17,919,172
Forest Products — 0.1%
JBS USA LLC/JBS USA Finance, Inc., 5.75%, 6/15/25 (d)			1,610		1,384,600
Health Care Equipment & Supplies — 1.0%
Crimson Merger Sub, Inc., 6.63%, 5/15/22 (d)			3,373		2,428,560
DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21 (d)			6,387		5,349,112
Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/21 (d)			1,580		1,706,400
IDH Finance PLC:
6.00%, 12/01/18		GBP	414		568,159
6.00%, 12/01/18 (d)			200		274,473
Kinetic Concepts, Inc./KCI USA, Inc., 7.88%, 2/15/21 (d)		USD	767		790,010
Mallinckrodt International Finance SA (d):
4.88%, 4/15/20			980		970,200
5.75%, 8/01/22			1,250		1,234,375

					13,321,289
Health Care Providers & Services — 7.7%
Acadia Healthcare Co., Inc.:
5.13%, 7/01/22			1,145		1,135,268
5.63%, 2/15/23			1,825		1,843,250
6.50%, 3/01/24 (d)			434		448,105
Alere, Inc.:
7.25%, 7/01/18			2,449		2,565,327
6.38%, 7/01/23 (d)			2,013		2,209,268
Amsurg Corp., 5.63%, 7/15/22			6,938		7,146,140
Care UK Health & Social Care PLC, 5.59%, 7/15/19 (e)		GBP	531		625,440
Centene Corp., 4.75%, 5/15/22		USD	2,427		2,445,202
Centene Escrow Corp. (d):
5.63%, 2/15/21			2,516		2,629,220
6.13%, 2/15/24			1,484		1,574,895
CHS/Community Health Systems, Inc.:
5.13%, 8/15/18			2,125		2,132,969
6.88%, 2/01/22			3,948		3,385,410
DaVita HealthCare Partners, Inc.:
5.13%, 7/15/24			2,991		3,043,342
5.00%, 5/01/25			6,156		6,140,610
ExamWorks Group, Inc., 5.63%, 4/15/23			1,741		1,749,705
HCA Holdings, Inc., 6.25%, 2/15/21			1,805		1,908,788
HCA, Inc.:
3.75%, 3/15/19			2,911		2,965,290
6.50%, 2/15/20			4,735		5,244,959
7.50%, 2/15/22			4,261		4,814,078
5.88%, 3/15/22			2,105		2,257,612
4.75%, 5/01/23			1,487		1,511,164
5.88%, 5/01/23			4,096		4,300,800
5.00%, 3/15/24			1,955		1,994,100
5.38%, 2/01/25			6,690		6,815,437
5.88%, 2/15/26			3,125		3,218,750
HealthSouth Corp.:
5.13%, 3/15/23			2,840		2,797,400
5.75%, 11/01/24			1,282		1,294,820
5.75%, 11/01/24 (d)			1,428		1,442,280


Corporate Bonds	Par (000)			Value
Health Care Providers & Services (continued)
HealthSouth Corp. (continued):
5.75%, 9/15/25 (d)		USD	2,065	$	2,049,513
Hologic, Inc., 5.25%, 7/15/22 (d)			2,620		2,744,188
MEDNAX, Inc., 5.25%, 12/01/23 (d)			1,134		1,175,108
MPH Acquisition Holdings LLC, 6.63%, 4/01/22 (d)			1,280		1,289,600
Sterigenics-Nordion Holdings LLC, 6.50%, 5/15/23 (d)			424		398,560
Surgical Care Affiliates, Inc., 6.00%, 4/01/23 (d)			2,641		2,568,372
Tenet Healthcare Corp.:
6.25%, 11/01/18			1,308		1,376,670
4.75%, 6/01/20			1,805		1,823,050
4.01%, 6/15/20 (d)(e)			1,432		1,410,520
6.00%, 10/01/20			3,835		4,072,770
4.50%, 4/01/21			74		73,538
4.38%, 10/01/21			525		517,781
8.13%, 4/01/22			1,933		1,900,371
Voyage Care Bondco PLC, 6.50%, 8/01/18		GBP	686		931,035
WellCare Health Plans, Inc., 5.75%, 11/15/20		USD	1,066		1,095,315

					103,066,020
Health Care Technology — 0.1%
IMS Health, Inc., 6.00%, 11/01/20 (d)			795		822,157
Hotels, Restaurants & Leisure — 4.0%
Boyd Gaming Corp., 6.88%, 5/15/23			3,726		3,828,465
Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Property, 8.00%, 10/01/20			4,810		4,701,775
Carlson Travel Holdings, Inc., (7.50% Cash or 8.25% PIK), 7.50%, 8/15/19 (d)(f)			654		568,980
Cedar Fair LP/Canada’s Wonderland Co., 5.38%, 6/01/24			1,070		1,102,100
Cirsa Funding Luxembourg SA, 5.88%, 5/15/23		EUR	656		660,108
CPUK Finance Ltd., 7.00%, 2/28/42		GBP	375		525,858
Enterprise Funding Ltd., Series ETI, 3.50%, 9/10/20 (i)			400		423,679
ESH Hospitality, Inc., 5.25%, 5/01/25 (d)		USD	1,268		1,229,960
Gala Electric Casinos PLC, 11.50%, 6/01/19		GBP	426		617,448
International Game Technology PLC:
6.25%, 2/15/22 (d)		USD	400		377,750
4.75%, 2/15/23		EUR	310		320,962
Intralot Capital Luxembourg SA, 6.00%, 5/15/21			201		188,811
Intralot Finance Luxembourg SA, 9.75%, 8/15/18			1,370		1,509,134
MGM Resorts International:
6.75%, 10/01/20		USD	5,110		5,467,700
6.63%, 12/15/21			1,130		1,200,625
6.00%, 3/15/23			5,212		5,342,300
New Red Finance, Inc., 6.00%, 4/01/22 (d)			4,455		4,644,338
Pinnacle Entertainment, Inc., 6.38%, 8/01/21			2,405		2,552,306
PortAventura Entertainment Barcelona BV, 7.25%, 12/01/20		EUR	339		370,598
Regal Entertainment Group, 5.75%, 2/01/25		USD	489		474,330
RHP Hotel Properties LP/RHP Finance Corp., 5.00%, 4/15/23			1,032		1,029,420
Sabre GLBL, Inc. (d):
5.38%, 4/15/23			1,516		1,527,370
5.25%, 11/15/23			807		819,105
Six Flags Entertainment Corp., 5.25%, 1/15/21 (d)			3,247		3,319,570
Snai SpA, 7.63%, 6/15/18		EUR	866		927,947
Station Casinos LLC, 7.50%, 3/01/21		USD	6,110		6,377,313
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/16 (a)(g)			1,850		—
Unique Pub Finance Co. PLC:
Series A3, 6.54%, 3/30/21		GBP	823		1,166,710
Series A4, 5.66%, 6/30/27			796		1,089,326
Series N, 6.46%, 3/30/32			1,000		1,177,681
Vougeot Bidco PLC, 7.88%, 7/15/20			320		455,191

					53,996,860

See Notes to Financial Statements.



38	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Consolidated Schedule of Investments (continued)		BlackRock Corporate High Yield Fund, Inc. (HYT)


Corporate Bonds	Par (000)			Value
Household Durables — 2.5%
Beazer Homes USA, Inc., 6.63%, 4/15/18		USD	215	$	216,075
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (d)			1,604		1,339,340
DR Horton, Inc., 4.00%, 2/15/20			2,408		2,450,140
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (d)			387		301,860
Lennar Corp.:
4.50%, 11/15/19			2,482		2,557,999
4.75%, 4/01/21			1,909		1,918,545
4.88%, 12/15/23			1,728		1,684,800
Project Homestake Merger Co., 8.88%, 3/01/23 (d)			1,502		1,336,780
PulteGroup, Inc., 6.38%, 5/15/33			2,805		2,833,050
Ryland Group, Inc., 6.63%, 5/01/20			1,160		1,247,000
Shea Homes LP/Shea Homes Funding Corp., 5.88%, 4/01/23 (d)			2,283		2,231,632
Standard Pacific Corp.:
10.75%, 9/15/16			3,420		3,565,350
8.38%, 1/15/21			4,270		4,867,800
5.88%, 11/15/24			1,480		1,550,300
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (d)			366		340,380
TRI Pointe Holdings, Inc.:
4.38%, 6/15/19			1,060		1,022,900
5.88%, 6/15/24			1,540		1,463,000
William Lyon Homes, Inc., 8.50%, 11/15/20			2,304		2,292,480

					33,219,431
Household Products — 0.6%
Prestige Brands, Inc., 6.38%, 3/01/24 (d)			896		922,880
Spectrum Brands, Inc.:
6.38%, 11/15/20			2,125		2,239,219
6.63%, 11/15/22			1,385		1,490,606
6.13%, 12/15/24			1,290		1,364,175
5.75%, 7/15/25			2,521		2,656,504

					8,673,384
Independent Power and Renewable Electricity Producers — 1.4%
Calpine Corp.:
6.00%, 1/15/22 (d)			991		1,015,775
5.38%, 1/15/23			629		586,543
5.88%, 1/15/24 (d)			1,999		2,033,982
5.50%, 2/01/24			1,985		1,786,500
5.75%, 1/15/25			2,301		2,070,900
Dynegy, Inc.:
6.75%, 11/01/19			4,240		3,929,950
7.38%, 11/01/22			476		397,460
MPM Escrow LLC, 8.88%, 10/15/20			3,738		—
NRG Energy, Inc.:
7.88%, 5/15/21			760		717,250
6.25%, 7/15/22			1,129		954,005
6.25%, 5/01/24			1,801		1,494,830
NRG Yield Operating LLC, 5.38%, 8/15/24			645		567,600
QEP Resources, Inc.:
5.38%, 10/01/22			1,528		1,039,040
5.25%, 5/01/23			2,005		1,403,500
TerraForm Power Operating LLC, 6.13%, 6/15/25 (d)			709		521,115

					18,518,450
Insurance — 0.8%
HUB International Ltd. (d):
9.25%, 2/15/21			874		893,665
7.88%, 10/01/21			3,920		3,508,400
Pension Insurance Corp. PLC, 6.50%, 7/03/24		GBP	775		956,784
TMF Group Holding BV, 9.88%, 12/01/19		EUR	570		660,504


Corporate Bonds	Par (000)			Value
Insurance (continued)
Trader Corp., 9.88%, 8/15/18 (d)		USD	3,650	$	3,796,000
UNIQA Insurance Group AG, 6.00%, 7/27/46 (e)		EUR	200		201,413
Wayne Merger Sub LLC, 8.25%, 8/01/23 (d)		USD	95		85,500

					10,102,266
Internet Software & Services — 0.5%
Blue Coat Holdings, Inc., 8.38%, 6/01/23 (d)			2,707		2,679,930
Equinix, Inc.:
5.38%, 1/01/22			1,110		1,151,625
5.75%, 1/01/25			1,172		1,213,020
Netflix, Inc., 5.50%, 2/15/22			1,992		2,091,600

					7,136,175
IT Services — 3.5%
Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (d)			1,349		1,112,925
First Data Corp. (d):
5.38%, 8/15/23			6,630		6,895,200
7.00%, 12/01/23			14,344		14,344,000
5.00%, 1/15/24			4,285		4,351,975
5.75%, 1/15/24			16,685		16,789,281
WEX, Inc., 4.75%, 2/01/23 (d)			4,804		4,203,500

					47,696,881
Media — 15.3%
Altice Financing SA:
6.50%, 1/15/22 (d)			1,945		1,959,588
5.25%, 2/15/23		EUR	385		401,232
Altice SA:
7.25%, 5/15/22			1,358		1,407,129
7.75%, 5/15/22 (d)		USD	2,525		2,442,938
6.25%, 2/15/25		EUR	742		690,143
7.63%, 2/15/25 (d)		USD	2,576		2,357,040
Altice US Finance I Corp., 5.38%, 7/15/23 (d)			7,360		7,452,000
Altice US Finance II Corp., 7.75%, 7/15/25 (d)			2,704		2,521,480
Altice US Finance SA, 7.75%, 7/15/25 (d)			3,325		3,083,937
AMC Networks, Inc.:
7.75%, 7/15/21			480		507,600
4.75%, 12/15/22			1,613		1,637,195
CCO Holdings LLC/CCO Holdings Capital Corp.:
5.25%, 9/30/22			1,505		1,521,931
5.88%, 4/01/24 (d)			5,213		5,323,776
5.88%, 5/01/27 (d)			6,267		6,267,000
CCOH Safari LLC, 5.75%, 2/15/26 (d)			2,400		2,406,312
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (g)			3,439		—
Clear Channel International BV, 8.75%, 12/15/20 (d)			3,146		3,177,460
Clear Channel Worldwide Holdings, Inc.:
6.50%, 11/15/22			14,509		13,895,793
Series B, 7.63%, 3/15/20			5,090		4,479,200
Columbus International, Inc., 7.38%, 3/30/21 (d)			2,647		2,747,586
CSC Holdings LLC, 5.25%, 6/01/24			4,895		4,185,225
DISH DBS Corp.:
4.25%, 4/01/18			3,209		3,233,067
5.13%, 5/01/20			74		73,260
6.75%, 6/01/21			155		157,906
5.00%, 3/15/23			5,022		4,444,470
5.88%, 11/15/24			3,338		2,999,360
DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (d)			541		543,705
Gray Television, Inc., 7.50%, 10/01/20			1,318		1,385,548
Harron Communications LP/Harron Finance Corp., 9.13%, 4/01/20 (d)			4,510		4,729,862
iHeartCommunications, Inc.:
9.00%, 12/15/19			1,749		1,233,045
9.00%, 3/01/21			241		164,181
9.00%, 9/15/22			3,845		2,576,150

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	39


Consolidated Schedule of Investments (continued)		BlackRock Corporate High Yield Fund, Inc. (HYT)


Corporate Bonds	Par (000)			Value
Media (continued)
Intelsat Jackson Holdings SA:
7.25%, 10/15/20		USD	945	$	652,050
6.63%, 12/15/22			595		298,988
5.50%, 8/01/23			5,865		3,812,250
Lamar Media Corp., 5.75%, 2/01/26 (d)			526		544,736
LGE HoldCo VI BV, 7.13%, 5/15/24		EUR	300		350,473
Live Nation Entertainment, Inc., 7.00%, 9/01/20 (d)		USD	987		1,035,116
Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (d)			3,901		3,940,010
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (d)			2,039		2,059,390
Neptune Finco Corp. (d):
10.13%, 1/15/23			4,515		4,859,269
6.63%, 10/15/25			4,158		4,386,690
10.88%, 10/15/25			880		950,400
Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (d)			5,232		5,297,400
Numericable Group SA:
5.38%, 5/15/22		EUR	280		304,415
6.00%, 5/15/22 (d)		USD	9,615		9,518,850
5.63%, 5/15/24		EUR	894		960,382
6.25%, 5/15/24 (d)		USD	2,275		2,218,125
Outfront Media Capital LLC/Outfront Media Capital Corp.:
5.25%, 2/15/22			650		664,625
5.63%, 2/15/24			1,064		1,107,220
Play Finance 2 SA, 5.25%, 2/01/19		EUR	1,070		1,188,153
Radio One, Inc., 7.38%, 4/15/22 (d)		USD	805		710,413
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (d)			1,130		1,090,450
Sirius XM Radio, Inc. (d):
4.25%, 5/15/20			2,204		2,237,060
5.75%, 8/01/21			1,811		1,878,913
4.63%, 5/15/23			345		336,375
6.00%, 7/15/24			1,400		1,470,000
5.38%, 4/15/25			770		768,075
Sterling Entertainment Corp., 9.75%, 12/15/19			4,810		4,713,800
TEGNA, Inc.:
5.13%, 10/15/19			857		908,420
4.88%, 9/15/21 (d)			1,827		1,872,675
5.50%, 9/15/24 (d)			1,308		1,340,700
Townsquare Media, Inc., 6.50%, 4/01/23 (d)			517		483,395
Tribune Media Co., 5.88%, 7/15/22 (d)			3,434		3,434,000
Unitymedia GmbH, 3.75%, 1/15/27		EUR	100		92,685
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:
5.50%, 1/15/23 (d)		USD	4,302		4,506,345
5.63%, 4/15/23		EUR	166		189,356
4.00%, 1/15/25			2,311		2,400,891
5.00%, 1/15/25 (d)		USD	1,354		1,358,224
4.63%, 2/15/26		EUR	100		107,425
3.50%, 1/15/27			100		98,252
Univision Communications, Inc. (d):
8.50%, 5/15/21		USD	1,597		1,604,985
5.13%, 5/15/23			11,242		11,157,685
5.13%, 2/15/25			9,535		9,332,381
UPCB Finance IV Ltd., 4.00%, 1/15/27		EUR	400		401,961
Virgin Media Finance PLC, 5.75%, 1/15/25 (d)		USD	2,405		2,392,975
Virgin Media Secured Finance PLC:
6.00%, 4/15/21		GBP	4,952		6,978,317
6.25%, 3/28/29			829		1,097,594
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (d)		USD	4,428		4,217,670
Wind Acquisition Finance SA, 7.00%, 4/23/21		EUR	100		103,346


Corporate Bonds	Par (000)			Value
Media (continued)
Ziggo Bond Finance BV:
4.63%, 1/15/25		EUR	902	$	919,914
5.88%, 1/15/25 (d)		USD	3,233		3,136,010

					205,493,953
Metals & Mining — 3.6%
Alcoa, Inc.:
6.15%, 8/15/20			1,330		1,343,300
5.13%, 10/01/24			4,589		4,147,309
5.90%, 2/01/27			215		195,650
6.75%, 1/15/28			477		432,878
5.95%, 2/01/37			264		205,920
Anglo American Capital PLC:
1.75%, 11/20/17		EUR	100		104,156
2.88%, 11/20/20			200		175,323
ArcelorMittal, 6.13%, 6/01/18		USD	1,742		1,709,529
Constellium NV (d):
8.00%, 1/15/23			6,525		5,546,250
5.75%, 5/15/24			5,916		4,496,160
First Quantum Minerals Ltd. (d):
7.00%, 2/15/21			392		201,880
7.25%, 5/15/22			1,883		932,085
Freeport-McMoRan Copper & Gold, Inc., 3.10%, 3/15/20			390		281,654
Freeport-McMoRan, Inc.:
2.30%, 11/14/17			1,337		1,223,355
2.38%, 3/15/18			4,958		4,276,275
Kaiser Aluminum Corp., 8.25%, 6/01/20			1,240		1,289,600
Novelis, Inc., 8.75%, 12/15/20			11,642		10,797,955
Ovako AB, 6.50%, 6/01/19		EUR	296		194,812
Ryerson, Inc./Joseph T Ryerson & Son, Inc., 9.00%, 10/15/17		USD	1,070		823,900
Steel Dynamics, Inc.:
5.13%, 10/01/21			3,085		3,007,875
6.38%, 8/15/22			1,345		1,345,000
5.25%, 4/15/23			949		889,688
5.50%, 10/01/24			295		276,563
Teck Resources Ltd., 3.00%, 3/01/19			1,213		924,912
Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (d)			4,160		3,494,400

					48,316,429
Multi-Utilities — 0.0%
CE Energy AS, 7.00%, 2/01/21		EUR	532		564,268
Multiline Retail — 1.5%
CST Brands, Inc., 5.00%, 5/01/23		USD	653		646,470
Dollar Tree, Inc., 5.75%, 3/01/23 (d)			13,489		14,348,924
Dufry Finance SCA, 5.50%, 10/15/20 (d)			1,927		2,008,897
Hema Bondco I BV, 6.25%, 6/15/19		EUR	592		421,864
Neiman Marcus Group Ltd., 8.00%, 10/15/21 (d)		USD	4,467		3,148,788

					20,574,943
Offshore Drilling & Other Services — 0.4%
Sensata Technologies BV (d):
5.63%, 11/01/24			903		930,090
5.00%, 10/01/25			3,923		3,854,348

					4,784,438
Oil, Gas & Consumable Fuels — 7.2%
Anadarko Finance Co., Series B, 7.50%, 5/01/31			247		221,358
Anadarko Petroleum Corp., 3.45%, 7/15/24			1,978		1,603,145
Bonanza Creek Energy, Inc., 6.75%, 4/15/21			314		93,415
California Resources Corp., 8.00%, 12/15/22 (d)			6,723		1,680,750
Carrizo Oil & Gas, Inc., 6.25%, 4/15/23			952		675,920
Cenovus Energy, Inc.:
3.00%, 8/15/22			252		184,035
3.80%, 9/15/23			340		246,991

See Notes to Financial Statements.



40	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Consolidated Schedule of Investments (continued)		BlackRock Corporate High Yield Fund, Inc. (HYT)


Corporate Bonds	Par (000)			Value
Oil, Gas & Consumable Fuels (continued)
Concho Resources, Inc.:
6.50%, 1/15/22		USD	222	$	213,120
5.50%, 10/01/22			946		876,824
5.50%, 4/01/23			1,542		1,434,060
CONSOL Energy, Inc., 5.88%, 4/15/22			7,447		4,859,167
Continental Resources, Inc., 3.80%, 6/01/24			4,375		2,965,235
CrownRock LP/CrownRock Finance, Inc. (d):
7.13%, 4/15/21			3,208		2,742,840
7.75%, 2/15/23			1,064		915,040
Denbury Resources, Inc.:
6.38%, 8/15/21			496		158,720
5.50%, 5/01/22			647		202,188
4.63%, 7/15/23			196		56,840
Diamondback Energy, Inc., 7.63%, 10/01/21			1,770		1,787,700
Energy Transfer Equity LP:
7.50%, 10/15/20			635		581,025
5.88%, 1/15/24			5,228		4,313,100
5.50%, 6/01/27			215		162,325
Freeport-McMoRan Oil & Gas LLC/FCX Oil & Gas, Inc.:
6.50%, 11/15/20			390		287,625
6.63%, 5/01/21			390		287,625
Genesis Energy LP/Genesis Energy Finance Corp., 6.00%, 5/15/23			428		329,560
Gulfport Energy Corp., 7.75%, 11/01/20			1,517		1,425,980
Hilcorp Energy I LP/Hilcorp Finance Co., 5.00%, 12/01/24 (d)			1,758		1,195,440
MEG Energy Corp. (d):
6.50%, 3/15/21			4,781		2,306,832
7.00%, 3/31/24			8,520		3,919,200
Memorial Production Partners LP/Memorial Production Finance Corp.:
7.63%, 5/01/21			635		146,050
6.88%, 8/01/22			1,212		260,580
Memorial Resource Development Corp., 5.88%, 7/01/22			7,210		4,902,800
Newfield Exploration Co., 5.63%, 7/01/24			670		608,025
NGPL PipeCo LLC (d):
7.12%, 12/15/17			3,383		3,154,647
9.63%, 6/01/19			891		837,540
7.77%, 12/15/37			1,783		1,265,930
ONEOK, Inc., 7.50%, 9/01/23			1,215		1,050,975
Parsley Energy LLC/Parsley Finance Corp., 7.50%, 2/15/22 (d)			3,361		3,268,572
PDC Energy, Inc., 7.75%, 10/15/22			995		925,350
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (d)			1,522		943,640
Range Resources Corp.:
5.75%, 6/01/21			568		479,960
5.00%, 8/15/22			530		442,550
Rockies Express Pipeline LLC (d):
6.00%, 1/15/19			2,044		1,911,140
6.88%, 4/15/40			2,350		1,645,000
RSP Permian, Inc.:
6.63%, 10/01/22			1,419		1,270,005
6.63%, 10/01/22 (d)			646		578,170
Sabine Pass Liquefaction LLC:
5.63%, 2/01/21			2,148		2,049,998
6.25%, 3/15/22			301		286,703
5.63%, 4/15/23			3,087		2,847,757
5.75%, 5/15/24			6,844		6,300,723
5.63%, 3/01/25			1,203		1,091,723
Sanchez Energy Corp., 6.13%, 1/15/23			6,365		2,259,575
Seven Generations Energy Ltd. (d):
8.25%, 5/15/20			6,541		6,263,007
6.75%, 5/01/23			765		657,900


Corporate Bonds	Par (000)			Value
Oil, Gas & Consumable Fuels (continued)
SM Energy Co.:
6.13%, 11/15/22		USD	4,045	$	1,759,575
6.50%, 1/01/23			951		378,023
5.00%, 1/15/24			23		9,143
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.38%, 8/01/22			3,593		3,089,980
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.25%, 10/15/22 (d)			3,154		2,901,680
Weatherford International LLC, 6.35%, 6/15/17			1,290		1,219,050
Weatherford International Ltd., 6.00%, 3/15/18			663		566,865
Whiting Petroleum Corp.:
1.25%, 4/01/20 (d)(i)			9,388		3,420,752
6.25%, 4/01/23			623		285,023
Williams Cos., Inc.:
3.70%, 1/15/23			529		391,460
4.55%, 6/24/24			2,118		1,588,500

					96,784,431
Paper & Forest Products — 0.3%
Norbord, Inc., 6.25%, 4/15/23 (d)			1,605		1,538,794
Pfleiderer GmbH, 7.88%, 8/01/19		EUR	430		477,122
Unifrax I LLC/Unifrax Holding Co., 7.50%, 2/15/19 (d)		USD	2,865		2,206,050

					4,221,966
Pharmaceuticals — 5.0%
Concordia Healthcare Corp., 7.00%, 4/15/23 (d)			504		438,480
DPx Holdings BV, 7.50%, 2/01/22 (d)			2,670		2,549,850
Endo Finance LLC/Endo Finco, Inc. (d):
7.75%, 1/15/22			696		722,100
6.00%, 7/15/23			4,074		4,114,740
6.00%, 2/01/25			5,806		5,776,970
Ephios Bondco PLC, 6.25%, 7/01/22		EUR	1,185		1,311,662
Ephios Holdco II PLC, 8.25%, 7/01/23			259		269,074
Grifols Worldwide Operations Ltd., 5.25%, 4/01/22		USD	4,047		4,183,586
Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 8/01/23 (d)			6,841		6,977,820
PRA Holdings, Inc., 9.50%, 10/01/23 (d)			453		502,830
Valeant Pharmaceuticals International, Inc.:
6.75%, 8/15/18 (d)			1,443		1,392,495
5.38%, 3/15/20 (d)			5,597		5,065,285
7.00%, 10/01/20 (d)			5,123		4,828,428
6.38%, 10/15/20 (d)			9,183		8,425,403
7.50%, 7/15/21 (d)			2,110		1,988,675
6.75%, 8/15/21 (d)			2,793		2,541,630
5.50%, 3/01/23 (d)			2,372		1,974,690
4.50%, 5/15/23		EUR	1,884		1,640,428
5.88%, 5/15/23 (d)		USD	5,567		4,697,156
6.13%, 4/15/25 (d)			8,725		7,323,547

					66,724,849
Professional Services — 0.2%
Truven Health Analytics, Inc., 10.63%, 6/01/20			2,840		3,042,350
Real Estate Investment Trusts (REITs) — 0.8%
Aroundtown Property Holdings PLC, 3.00%, 12/09/21		EUR	1,200		1,260,384
Corrections Corp. of America, 4.63%, 5/01/23		USD	1,550		1,557,750
FelCor Lodging LP, 6.00%, 6/01/25			1,416		1,451,400
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.63%, 10/15/21			4,911		5,095,162
iStar Financial, Inc.:
4.00%, 11/01/17			685		648,181
5.00%, 7/01/19			480		447,000

					10,459,877

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	41


Consolidated Schedule of Investments (continued)		BlackRock Corporate High Yield Fund, Inc. (HYT)


Corporate Bonds	Par (000)			Value
Real Estate Management & Development — 1.1%
Crescent Resources LLC/Crescent Ventures, Inc., 10.25%, 8/15/17 (d)		USD	1,731	$	1,713,690
Lennar Corp., 4.75%, 11/15/22			158		156,025
Punch Taverns Finance B Ltd., Series A6, 5.94%, 9/30/22		GBP	532		689,928
Punch Taverns Finance PLC, Series M3, 6.09%, 10/15/27 (d)(e)			1,202		1,419,975
Realogy Group LLC/Realogy Co-Issuer Corp. (d):
4.50%, 4/15/19		USD	1,646		1,691,265
5.25%, 12/01/21			6,327		6,429,814
Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (d)			1,065		1,049,025
Woodside Homes Co. LLC/Woodside Homes Finance, Inc., 6.75%, 12/15/21 (d)			1,195		1,015,750

					14,165,472
Road & Rail — 1.1%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. (d):
5.13%, 6/01/22			470		439,450
5.25%, 3/15/25			1,810		1,601,850
EC Finance PLC, 5.13%, 7/15/21		EUR	675		757,429
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (d)		USD	2,037		2,039,546
Hertz Corp.:
7.50%, 10/15/18			3,220		3,260,250
5.88%, 10/15/20			370		358,900
7.38%, 1/15/21			2,360		2,342,300
6.25%, 10/15/22			1,490		1,417,363
United Rentals North America, Inc., 5.50%, 7/15/25			1,225		1,162,219
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (d)			1,093		1,032,885

					14,412,192
Semiconductors & Semiconductor Equipment — 0.7%
Advanced Micro Devices, Inc.:
7.50%, 8/15/22			665		432,250
7.00%, 7/01/24			440		275,000
Micron Technology, Inc., 5.25%, 1/15/24 (d)			775		651,000
NXP BV/NXP Funding LLC (d):
4.13%, 6/15/20			2,685		2,715,475
5.75%, 2/15/21			2,065		2,147,600
4.63%, 6/15/22			1,319		1,315,702
5.75%, 3/15/23			2,180		2,256,300

					9,793,327
Software — 1.5%
Audatex North America, Inc., 6.13%, 11/01/23 (d)			3,360		3,393,600
Ensemble S Merger Sub, Inc., 9.00%, 9/30/23 (d)			1,553		1,436,525
Infor Software Parent LLC/Infor Software Parent, Inc., (7.13% Cash or 7.88% PIK), 7.13%, 5/01/21 (d)(f)			3,246		2,280,315
Infor US, Inc., 6.50%, 5/15/22 (d)			4,033		3,498,628
Informatica LLC, 7.13%, 7/15/23 (d)			1,659		1,526,280
Nuance Communications, Inc., 5.38%, 8/15/20 (d)			2,430		2,484,675
Solera LLC/Solera Finance, Inc., 10.50%, 3/01/24 (d)			4,713		4,477,350
SS&C Technologies Holdings, Inc., 5.88%, 7/15/23 (d)			1,619		1,708,045

					20,805,418
Specialty Retail — 1.6%
Asbury Automotive Group, Inc., 6.00%, 12/15/24			1,168		1,156,320
Douglas GmbH, 6.25%, 7/15/22		EUR	565		629,362


Corporate Bonds	Par (000)			Value
Specialty Retail (continued)
L Brands, Inc.:
8.50%, 6/15/19		USD	3,925	$	4,597,156
6.88%, 11/01/35 (d)			3,749		3,983,312
Magnolia BC SA, 9.00%, 8/01/20		EUR	652		749,814
New Look Secured Issuer PLC, 6.50%, 7/01/22		GBP	1,070		1,452,048
Party City Holdings, Inc., 6.13%, 8/15/23 (d)		USD	1,020		999,600
Penske Automotive Group, Inc.:
5.75%, 10/01/22			3,575		3,575,000
5.38%, 12/01/24			1,757		1,704,290
Sally Holdings LLC/Sally Capital, Inc., 5.75%, 6/01/22			1,599		1,682,948
THOM Europe SAS, 7.38%, 7/15/19		EUR	1,090		1,221,330

					21,751,180
Textiles, Apparel & Luxury Goods — 0.5%
Levi Strauss & Co.:
6.88%, 5/01/22		USD	2,430		2,606,175
5.00%, 5/01/25			1,456		1,456,146
Springs Industries, Inc., 6.25%, 6/01/21			1,744		1,722,200
William Carter Co., 5.25%, 8/15/21			788		803,760

					6,588,281
Thrifts & Mortgage Finance — 0.1%
Radian Group, Inc., 5.25%, 6/15/20			991		936,495
Trading Companies & Distributors — 0.1%
Ashtead Capital, Inc., 5.63%, 10/01/24 (d)			559		553,410
Travis Perkins PLC, 4.38%, 9/15/21		GBP	329		454,085

					1,007,495
Transportation Infrastructure — 0.2%
JCH Parent, Inc., (10.50% Cash or 11.25% PIK), 10.50%, 3/15/19 (d)(f)		USD	2,663		1,438,261
Onorato Armatori SpA, 7.75%, 2/15/23		EUR	1,000		1,063,374

					2,501,635
Wireless Telecommunication Services — 5.5%
Communications Sales & Leasing, Inc./CSL Capital LLC, 8.25%, 10/15/23		USD	2,515		2,244,637
Crown Castle International Corp.:
4.88%, 4/15/22			215		224,675
5.25%, 1/15/23			3,571		3,780,796
Digicel Group Ltd., 7.13%, 4/01/22 (d)			2,085		1,490,775
Digicel Ltd., 6.00%, 4/15/21 (d)			7,184		6,149,504
Equinix, Inc., 5.88%, 1/15/26			2,567		2,682,515
Geo Group, Inc.:
5.88%, 1/15/22			350		352,625
5.88%, 10/15/24			2,030		1,994,475
SBA Communications Corp., 4.88%, 7/15/22			4,749		4,832,107
Sprint Capital Corp.:
6.90%, 5/01/19			640		545,600
6.88%, 11/15/28			2,550		1,848,750
8.75%, 3/15/32			408		314,160
Sprint Communications, Inc.:
9.00%, 11/15/18 (d)			17,517		18,184,398
7.00%, 3/01/20 (d)			927		910,778
7.00%, 8/15/20			1,270		996,950
Sprint Corp.:
7.25%, 9/15/21			922		693,805
7.13%, 6/15/24			5,862		4,176,675
7.63%, 2/15/25			1,620		1,158,300
T-Mobile USA, Inc.:
6.63%, 4/28/21			2,535		2,649,075
6.13%, 1/15/22			367		377,093
6.73%, 4/28/22			1,227		1,283,565
6.00%, 3/01/23			2,244		2,311,320
6.50%, 1/15/24			2,638		2,710,545

See Notes to Financial Statements.



42	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Consolidated Schedule of Investments (continued)		BlackRock Corporate High Yield Fund, Inc. (HYT)


Corporate Bonds	Par (000)			Value
Wireless Telecommunication Services (continued)
T-Mobile USA, Inc. (continued):
6.38%, 3/01/25		USD	4,045	$	4,085,450
6.50%, 1/15/26			4,881		4,946,259
Wind Acquisition Finance SA, 4.00%, 7/15/20		EUR	2,674		2,814,372

					73,759,204
Total Corporate Bonds — 105.1%					1,412,826,607



Floating Rate Loan Interests (e)
Air Freight & Logistics — 0.2%
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21		USD	1,149		884,492
CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21			1,190		916,413
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21			205		158,002
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21			1,642		1,264,019

					3,222,926
Airlines — 1.0%
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18			2,319		2,314,896
Gol LuxCo SA, 1st Lien Term Loan, 6.50%, 8/31/20			3,885		3,865,575
Northwest Airlines, Inc.:
2.39%, 3/10/17			2,658		2,631,090
1.77%, 9/10/18			4,871		4,724,870

					13,536,431
Auto Components — 0.5%
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21			7,366		6,473,147
Building Products — 0.0%
Hanson Building Products Ltd., 1st Lien Term Loan, 6.50%, 3/13/22			82		74,081
Capital Markets — 0.2%
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17			2,953		2,923,698
Chemicals — 0.1%
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20			223		220,181
MacDermid, Inc., Term Loan B3, 5.50%, 6/07/20			1,154		1,048,795

					1,268,976
Commercial Services & Supplies — 0.3%
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20			3,769		3,467,594
Communications Equipment — 0.0%
CommScope, Inc., Term Loan B5, 3.83%, 12/29/22			589		583,128
Diversified Consumer Services — 0.1%
AssuredPartners, Inc., 2015 1st Lien Term Loan, 5.75%, 10/21/22			1,232		1,178,100
Diversified Financial Services — 0.1%
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.50%, 12/01/18			1,421		1,415,178
Diversified Telecommunication Services — 0.2%
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19			1,414		1,395,560
Level 3 Financing, Inc., 2019 Term Loan, 4.00%, 8/01/19			1,785		1,782,394

					3,177,954


Floating Rate Loan Interests (e)	Par (000)			Value
Electrical Equipment — 0.4%
Texas Competitive Electric Holdings Co. LLC, DIP Term Loan, 3.75%, 11/07/16		USD	5,613	$	5,559,935
Energy Equipment & Services — 0.1%
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20			920		861,619
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20			467		331,111

					1,192,730
Food & Staples Retailing — 0.2%
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20			600		598,998
US Foods, Inc., Refinancing Term Loan, 4.50%, 3/31/19			1,682		1,658,237

					2,257,235
Health Care Equipment & Supplies — 0.2%
Alere, Inc., 2015 Term Loan B, 4.25%, 6/18/22			746		743,993
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18			296		293,550
DJO Finance LLC, 2015 Term Loan, 4.25%, 6/08/20			2,099		2,018,096

					3,055,639
Health Care Providers & Services — 0.5%
Air Medical Group Holdings, Inc., Term Loan B, 4.25%, 4/28/22			1,662		1,578,568
Envision Healthcare Corp., Term Loan:
5.13%, 7/01/22 (d)			835		839,175
B2, 4.50%, 10/28/22			1,213		1,205,722
Sterigenics-Nordion Holdings LLC, 2015 Term Loan B, 4.25%, 5/15/22			444		426,132
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20			956		925,387
Vizient, Inc., 1st Lien Term Loan, 6.25%, 2/13/23			1,423		1,414,106

					6,389,090
Hotels, Restaurants & Leisure — 1.7%
Amaya Holdings BV:
1st Lien Term Loan, 5.00%, 8/01/21			3,960		3,661,843
2nd Lien Term Loan, 8.00%, 8/01/22			1,022		1,001,061
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20			1,959		1,947,847
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20			5,531		3,097,357
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20			9,331		8,459,770
MGM Resorts International, Term Loan B, 3.50%, 12/20/19			1,747		1,730,208
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20			762		760,296
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20			1,870		1,842,061

					22,500,443
Independent Power and Renewable Electricity Producers — 0.4%
Energy Future Intermediate Holding Co. LLC, DIP Term Loan, 4.25%, 12/19/16			5,103		5,075,791
IT Services — 0.5%
Blue Coat Holdings, Inc., 2015 Term Loan, 4.50%, 5/20/22			554		524,548
First Data Corp.:
2018 Extended Term Loan, 3.93%, 3/24/18			6,322		6,237,137
2018 Term Loan, 3.93%, 9/24/18			200		196,964

					6,958,649

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	43


Consolidated Schedule of Investments (continued)		BlackRock Corporate High Yield Fund, Inc. (HYT)


Floating Rate Loan Interests (e)	Par (000)			Value
Machinery — 0.4%
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20		USD	2,850	$	2,723,329
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19			3,298		2,678,014

					5,401,343
Media — 1.1%
Cengage Learning Acquisitions, Inc., Term Loan:
1st Lien, 7.00%, 3/31/20			4,001		3,837,414
0.00%, 7/03/16 (a)(g)			8,692		1
0.00%, 7/03/16 (a)(g)(h)			1,777		—
Clear Channel Communications, Inc., Term Loan D, 7.19%, 1/30/19			6,191		4,050,221
Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.00%, 5/31/21			3,373		3,276,075
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19			1,171		1,040,853
Tribune Media Co., Term Loan, 3.75%, 12/27/20			224		221,831
Univision Communications, Inc.:
Term Loan C3, 4.00%, 3/01/20			25		24,260
Term Loan C4, 4.00%, 3/01/20			1,824		1,771,325

					14,221,980
Metals & Mining — 0.1%
Novelis, Inc., 2015 Term Loan B, 4.00%, 6/02/22			1,571		1,462,315
Oil, Gas & Consumable Fuels — 0.2%
CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 5/12/18			2,947		2,899,378
Pharmaceuticals — 0.6%
DPx Holdings BV, 2014 Incremental Term Loan, 4.25%, 3/11/21			205		193,859
Jaguar Holding Co. II, 2015 Term Loan B, 4.25%, 8/18/22			4,190		4,084,294
Valeant Pharmaceuticals International, Inc.:
Series C2 Term Loan B, 3.75%, 12/11/19			703		659,152
Series E Term Loan B, 3.75%, 8/05/20			1,050		979,787
Term Loan B F1, 4.00%, 4/01/22			1,498		1,398,342

					7,315,434
Professional Services — 0.3%
Advantage Sales & Marketing, Inc.:
2014 1st Lien Term Loan, 4.25%, 7/23/21			1,679		1,591,522
2014 2nd Lien Term Loan, 7.50%, 7/25/22			2,495		2,070,850

					3,662,372
Real Estate Management & Development — 0.0%
Realogy Corp., Extended Letter of Credit, 2.43%, 10/10/16			226		223,048
Road & Rail — 0.2%
Hertz Corp., Term Loan B2, 3.00%, 3/11/18			3,335		3,267,006
Semiconductors & Semiconductor Equipment — 1.1%
Avago Technologies Cayman Ltd., 2016 Term Loan B1, 4.25%, 2/01/23			11,450		11,283,631
Microsemi Corp., 2015 Term Loan B, 5.25%, 1/15/23			727		725,757
NXP BV, 2015 Term Loan B, 3.75%, 12/07/20			3,320		3,310,809

					15,320,197
Software — 1.0%
Epicor Software Corp., 1st Lien Term Loan, 4.75%, 6/01/22			2,072		1,818,251
GCA Services Group, Inc., 2nd Lien Term Loan, 9.25%, 11/01/20			260		256,750
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20			2,678		2,466,419
Informatica Corp., Term Loan, 4.50%, 8/05/22			3,025		2,841,381


Floating Rate Loan Interests (e)	Par (000)			Value
Software (continued)
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20		USD	3,444	$	3,330,664
Solera Holdings, Inc., Term Loan B, 5.75%, 2/25/23			2,736		2,671,020

					13,384,485
Specialty Retail — 0.2%
CNT Holdings III Corp., Term Loan B, 5.25%, 1/22/23			1,337		1,326,973
Party City Holdings, Inc., 2015 Term Loan B, 4.25%, 8/19/22			1,540		1,475,839

					2,802,812
Textiles, Apparel & Luxury Goods — 0.4%
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18			6,040		5,475,339
Wireless Telecommunication Services — 1.7%
New Lightsquared LLC, 2015 2nd Lien Term Loan, 13.50%, 12/07/20			32,368		22,333,968
Total Floating Rate Loan Interests — 14.0%					188,080,402



Investment Companies	Shares
United States — 1.3%
iShares iBoxx $ High Yield Corporate Bond ETF (k)			38,500		3,083,080
SPDR Barclays High Yield Bond ETF			413,000		13,802,460
Total Investment Companies — 1.3%					16,885,540



Non-Agency Mortgage-Backed Securities	Par (000)
Collateralized Mortgage Obligations — 0.2%
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.22%, 11/05/30 (d)(e)			2,882		2,866,815
Commercial Mortgage-Backed Securities — 0.1%
GAHR Commercial Mortgage Trust 2015-NRF, Series 2015-NRF, Class FFX, 3.38%, 12/15/19 (d)(e)			1,925		1,731,831
Total Non-Agency Mortgage-Backed Securities — 0.3%					4,598,646



Other Interests — 0.0% (l)	Beneficial Interest (000)
Auto Components — 0.0%
Lear Corp. Escrow, 0.00%		USD	1,250		10,938



Preferred Securities	Par (000)

Capital Trusts
Banks — 3.5%
ABN AMRO Bank NV, 5.75% (e)(m)		EUR	700		708,172
Banco Bilbao Vizcaya Argentaria SA: (e)(m)
6.75%			400		383,115
7.00%			1,000		968,274
Banco Popular Espanol SA, 8.25% (e)(m)			800		652,710

See Notes to Financial Statements.



44	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Consolidated Schedule of Investments (continued)		BlackRock Corporate High Yield Fund, Inc. (HYT)


Capital Trusts	Par (000)			Value
Banks (continued)
Bank of America Corp.: (e)(m)
Series AA, 6.10%		USD	5,121	$	4,967,370
Series V, 5.13%			2,205		2,039,625
Series Z, 6.50%			2,791		2,846,820
Bank of Ireland, 7.38% (e)(m)		EUR	250		250,216
BNP Paribas SA, 7.38% (d)(e)(m)		USD	725		677,875
Citigroup, Inc.: (e)(m)
5.88%			2,405		2,239,656
5.95%			2,675		2,527,875
Series D, 5.95%			3,582		3,367,080
Series Q, 5.95%			1,165		1,095,100
Series R, 6.13%			615		605,775
Cooperatieve Rabobank UA, 5.50% (e)(m)			600		621,707
Intesa Sanpaolo SpA: (e)(m)
7.00%			375		377,169
7.70% (d)			200		174,000
JPMorgan Chase & Co.: (e)(m)
6.75%			5,324		5,643,440
Series Q, 5.15%			850		795,022
Series U, 6.13%			4,228		4,206,860
Series V, 5.00%			4,555		4,258,925
Santander UK Group Holdings PLC, 7.38% (e)(m)			450		559,002
Wells Fargo & Co.: (e)(m)
Series S, 5.90%			3,310		3,318,275
Series U, 5.88%			3,875		4,102,850

					47,386,913
Capital Markets — 0.9%
Goldman Sachs Group, Inc., Series L, 5.70% (e)(m)			6,658		6,375,035
Morgan Stanley: (e)(m)
Series H, 5.45%			3,309		3,093,915
Series J, 5.55%			440		426,800
UBS Group AG: (e)(m)
5.75%			800		858,314
7.00%			725		717,750

					11,471,814
Consumer Finance — 0.3%
American Express Co., Series C, 4.90% (e)(m)			4,017		3,504,832
Diversified Financial Services — 0.7%
Bank of America Corp., Series X, 6.25% (e)(m)			6,174		5,973,345
Barclays PLC, 7.88% (e)(m)			350		410,164
Orange SA, 4.00% (e)(m)			1,225		1,299,301
Telefonica Europe BV, 4.20% (e)(m)			1,500		1,516,073

					9,198,883
Electric Utilities — 0.0%
Enel SpA, 6.50%, 1/10/74 (e)			577		657,823
Food & Staples Retailing — 0.0%
Casino Guichard Perrachon SA, 4.87% (e)(m)			200		177,124
Media — 0.0%
NBCUniversal Enterprise, Inc., 5.25% (d)(m)			400		412,000
Oil, Gas & Consumable Fuels — 0.0%
Repsol International Finance BV, 4.50%, 3/25/75 (e)			100		79,348
Total Capital Trusts					72,888,737



Preferred Stocks	Shares
Banks — 0.2%
RBS Capital Funding Trust, Series F (m)			93,975		2,230,966


Preferred Stocks	Shares		Value
Capital Markets — 0.1%
CF-B L2 (D) LLC (acquired 4/08/15, cost $629,122) (c)		633,461	$	675,808
Consumer Finance — 0.0%
Ally Financial, Inc., Series A (e)(m)		17,386		438,475
Diversified Financial Services — 0.0%
Concrete Investments II		4,997		592,523
Hotels, Restaurants & Leisure — 1.2%
Amaya, Inc.		19,851		15,566,823
Media — 0.0%
Emmis Communications Corp., Series A (i)(m)		10,300		10,300
Total Preferred Stocks				19,514,895



Trust Preferreds
Banks — 0.2%
RBS Capital Funding Trust VII		107,071		2,506,175
Diversified Financial Services — 0.5%
GMAC Capital Trust I, Series 2, 8.13%		256,246		6,193,395
Total Trust Preferreds				8,699,570
Total Preferred Securities — 7.6%				101,103,202



Warrants
Metals & Mining — 0.0%
Peninsula Energy Ltd. (Expires 12/31/17)		288,820		4,309
Peninsula Energy Ltd. (Expires 12/31/18)		515,378		66,213

				70,522
Software — 0.0%
HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27), 0.00%		6,494		21,417
Total Warrants — 0.0%				91,939
Total Long-Term Investments (Cost — $2,010,163,436) — 135.4%				1,820,136,029



Short-Term Securities
Money Market Funds
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.37% (k)(n)		3,168,928		3,168,928
Total Short-Term Securities (Cost — $3,168,928) — 0.2%				3,168,928


Options Purchased (Cost — $38,133) — 0.0%				—
Total Investments (Cost — $2,013,370,497) — 135.6%				1,823,304,957
Liabilities in Excess of Other Assets — (35.6)%				(478,429,082	)

Net Assets — 100.0%			$	1,344,875,875

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	45


Consolidated Schedule of Investments (continued)		BlackRock Corporate High Yield Fund, Inc. (HYT)

Notes to Consolidated Schedule of Investments

(a)

Non-income producing security.

(b)

All or a portion of 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.

(c)

Restricted security as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $687,983 and an original cost of $816,585 which was 0.05% of its net assets.

(d)

(e)

Variable rate security. Rate 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 of interest payments.

(h)

Zero-coupon bond.

(i)

Convertible security.

(j)

When-issued security.

(k)

During the period ended February 29, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


Affiliate	Shares/ Beneficial Interest Held at August 31, 2015		Shares/ Beneficial Interest Purchased			Shares/ Beneficial Interest Sold			Shares/ Beneficial Interest Held at February 29, 2016		Value at February 29, 2016		Income		Realized Loss
BlackRock Liquidity Funds, TempFund, Institutional Class		—		3,168,928	¹		—			3,168,928	$	3,168,928	$	1,248		—
iShares iBoxx $ High Yield Corporate Bond ETF		—		1,019,443			(980,943	)		38,500	$	3,083,080	$	710,205	$	(2,564,875	)
¹ Represents net shares purchased.

(l)

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

(m)

Perpetual security with no stated maturity date.

(n)

Current yield as of period end.

•

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts


Contracts Short			Issue	Expiration	Notional Value			Unrealized Appreciation (Depreciation)
	(41	)	German Euro BOBL Futures	March 2016		USD	5,946,767	$	(66,816	)
	(18	)	German Euro-Bund Futures	March 2016		USD	3,261,854		(125,309	)
	(106	)	Russell 2000 Mini Index	March 2016		USD	10,936,020		802,490
	(1,538	)	S&P 500 E-Mini Index	March 2016		USD	148,378,550		416,103
	(12	)	10-Year U.S. Treasury Note	June 2016		USD	1,566,188		(1,365	)
	Total							$	1,025,103

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
CAD	1,893,000	USD	1,345,214	Royal Bank of Scotland PLC		3/03/16	$	53,896
EUR	1,154,000	USD	1,297,394	Citibank N.A.		3/03/16		(41,983	)
EUR	1,000,000	USD	1,092,143	Morgan Stanley & Co. International PLC		3/03/16		(4,265	)
EUR	2,500,000	USD	2,826,929	Morgan Stanley & Co. International PLC		3/03/16		(107,235	)
EUR	200,000	USD	223,859	State Street Bank and Trust Company		3/03/16		(6,283	)
GBP	250,000	USD	365,031	Citibank N.A.		3/03/16		(17,068	)
USD	1,135,545	AUD	1,605,000	Standard Chartered Bank		3/03/16		(9,971	)
USD	1,311,005	CAD	1,809,000	Morgan Stanley & Co. International PLC		3/03/16		(26,021	)
USD	19,204,025	CAD	27,024,000	Toronto-Dominion Bank		3/03/16		(769,325	)
USD	1,566,007	EUR	1,400,000	Morgan Stanley & Co. International PLC		3/03/16		42,978
USD	413,322	EUR	375,000	Morgan Stanley & Co. International PLC		3/03/16		5,368
USD	2,609,944	EUR	2,321,000	State Street Bank and Trust Company		3/03/16		84,980
USD	55,902	EUR	50,000	State Street Bank and Trust Company		3/03/16		1,508

See Notes to Financial Statements.



46	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Consolidated Schedule of Investments (continued)		BlackRock Corporate High Yield Fund, Inc. (HYT)

Forward Foreign Currency Exchange Contracts (concluded)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	1,002,954	EUR	900,000	State Street Bank and Trust Company		3/03/16	$	23,864
USD	443,861	EUR	400,000	State Street Bank and Trust Company		3/03/16		8,710
USD	76,089,045	EUR	69,632,000	UBS AG		3/03/16		337,953
USD	535,783	GBP	370,000	Morgan Stanley & Co. International PLC		3/03/16		20,798
USD	34,287,697	GBP	24,002,000	UBS AG		3/03/16		880,469
USD	1,145,877	AUD	1,605,000	UBS AG		4/05/16		2,078
USD	19,888,377	CAD	26,940,000	Westpac Group		4/05/16		(23,487	)
USD	75,836,236	EUR	69,591,000	Morgan Stanley & Co. International PLC		4/05/16		55,484
USD	33,394,430	GBP	24,100,000	Royal Bank of Scotland PLC		4/05/16		(153,595	)
Total							$	358,853

OTC Options Purchased

Description

Put/
Call

Counterparty

Expiration
Date

Strike
Price

Contracts

Value

Marsico Parent Superholdco LLC

Call

Goldman Sachs & Co.

12/14/19

USD 942.86

—

Centrally Cleared Credit Default Swaps — Sell Protection

Index

Pay
Fixed Rate

Expiration
Date

Credit

Rating¹

Notional
Amount (000)

Unrealized
Appreciation

Dow Jones CDX North America High Yield Index, Series 25, Version 2

5.00%

12/20/20

USD 48,670

643,637

¹ Using S&P’s rating of the issuer or the underlying securities of the index, as applicable.

OTC Credit Default Swaps — Sell Protection

Issuer

Receive
Fixed Rate

Counterparty

Expiration
Date

Credit
Rating¹

Notional
Amount
(000)

Value

Premiums
Paid
(Received)

Unrealized
Appreciation

CCO Holdings LLC

8.00

Deutsche Bank AG

9/20/17

BB-

USD

8,180

959,809

—

959,809

¹ Using S&P’s rating of the issuer or the underlying securities of the index, as applicable.

OTC Total Return Swaps

Reference Entity

Fixed Rate
Floating Rate

Counterparty

Expiration
Date

Notional
Amount
(000)

Value

Premiums
Paid

(Received)

Unrealized
Depreciation

iShares iBoxx High Yield Corporate Bond ETF

3-month LIBOR

JPMorgan Chase Bank N.A.

6/20/16

USD

1,000

(54,514

)

—

(54,514

)

Transactions in Options Written for the Period Ended February 29, 2016


	Calls						Puts
	Contracts		Notional (000)		Premiums Received		Contracts		Notional (000)			Premiums Received
Outstanding options, beginning of period		—		—		—		—		—			—
Options written		—		—		—		—	$	800		$	81,566
Options expired		—		—		—		—
Options closed		—		—		—		—		(800	)		(81,566	)

Outstanding options, end of period		—		—		—		—		—			—

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	47


Consolidated Schedule of Investments (continued)		BlackRock Corporate High Yield Fund, Inc. (HYT)

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Consolidated Statement of Assets and Liabilities were as follows:


		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Assets — Derivative Financial Instruments
Financial futures contracts	Net unrealized appreciation¹		—		—	$	1,218,593		—		—		—	$	1,218,593
Forward foreign currency exchange contracts	Unrealized appreciation on forward foreign currency exchange contracts		—		—		—	$	1,518,086		—		—		1,518,086
Swaps — centrally cleared	Net unrealized appreciation¹		—	$	643,637		—		—		—		—		643,637
Swaps — OTC	Unrealized appreciation on OTC swaps		—		959,809		—		—		—		—		959,809
Total			—	$	1,603,446	$	1,218,593	$	1,518,086		—		—	$	4,340,125


Liabilities — Derivative Financial Instruments
Financial futures contracts	Net unrealized depreciation¹		—		—		—		—	$	193,490		—	$	193,490
Forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts		—		—		—	$	1,159,233		—		—		1,159,233
Swaps — OTC	Unrealized depreciation on OTC swaps		—		—		$54,514		—		—		—		54,514
Total			—		—		$54,514	$	1,159,233	$	193,490		—	$	1,407,237

¹ Includes cumulative appreciation (depreciation) on financial futures contracts and 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.

For the six months ended February 29, 2016, the effect of derivative financial instruments in the Consolidated Statements of Operations was as follows:


	Commodity Contracts		Credit Contracts		Equity Contracts			Foreign Currency Exchange Contracts		Interest Rate Contracts			Other Contracts		Total
Net Realized Gain (Loss) from:
Financial futures contracts		—		—	$	7,401,252			—	$	(432,862	)		—	$	6,968,390
Forward foreign currency exchange contracts		—		—		—		$	3,785,211		—			—		3,785,211
Options purchased¹		—		—		(493,776	)		—		—			—		(493,776	)
Options written		—		—		28,734			—		—			—		28,734
Swaps		—	$	425,599		(23,114	)		—		(504,387	)		—		(101,902	)

Total		—	$	425,599	$	6,913,096		$	3,785,211	$	(937,249	)		—	$	10,186,657


	Commodity Contracts		Credit Contracts		Equity Contracts			Foreign Currency Exchange Contracts		Interest Rate Contracts			Other Contracts		Total
Net Change in Unrealized Appreciation (Depreciation) on:
Financial futures contracts		—		—	$	(4,996,777	)		—	$	(289,064	)		—	$	(5,285,841	)
Forward foreign currency exchange contracts		—		—		—		$	488,509		—			—		488,509
Swaps		—	$	575,361		274,248			—		163,186			—		1,012,795

Total		—	$	575,361	$	(4,722,529	)	$	488,509	$	(125,878	)		—	$	(3,784,537	)

¹ Options purchased are included in net realized gain (loss) from investments.

See Notes to Financial Statements.



48	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Consolidated Schedule of Investments (continued)		BlackRock Corporate High Yield Fund, Inc. (HYT)

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Financial futures contracts:
Average notional value of contracts — short	$	146,367,882
Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	295,111,294
Average amounts sold — in USD	$	6,643,121
Options:
Average value of options contracts purchased	$	0
Average value of options contracts written	$	44,800	¹
Credit default swaps:
Average notional value — buy protection	$	245,751	¹
Average notional value — sell protection	$	33,773,958
Total return rate swaps:
Average notional value	$	7,480,000
¹ Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter end.

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:
Financial futures contracts	$	1,055,360		$	22,930
Forward foreign currency exchange contracts		1,518,086			1,159,233
Options		—			—
Swaps — Centrally cleared		120,182			—
Swaps — OTC¹		959,809			54,514

Total derivative assets and liabilities in the Consolidated Statement of Assets and Liabilities	$	3,653,437		$	1,236,677

Derivatives not subject to a master netting agreement or similar agreement (“MNA”)		(1,175,542	)		(22,930	)

Total derivative assets and liabilities subject to an MNA	$	2,477,895		$	1,213,747

¹ Includes unrealized appreciation (depreciation) on OTC swaps in the Consolidated Statement of Assets and Liabilities.


Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset¹			Non-cash Collateral Received		Cash Collateral Received²			Net Amount of Derivative Assets³
Deutsche Bank AG	$	959,809		—			—	$	(959,809	)		—
Morgan Stanley & Co. International PLC		124,628	$	(124,628	)		—		—			—
State Street Bank and Trust Company		119,062		(6,283	)		—		—		$	112,779
Royal Bank of Scotland PLC		53,896		(53,896	)		—		—			—
UBS AG		1,220,500		—			—		—			1,220,500

Total	$	2,477,895	$	(184,807	)		—	$	(959,809	)	$	1,333,279


Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset¹			Non-cash Collateral Pledged		Cash Collateral Pledged		Net Amount of Derivative Liabilities⁴
Citibank N.A.	$	59,051		—			—		—	$	59,051
JPMorgan Chase Bank N.A.		54,514		—			—		—		54,514
Morgan Stanley & Co. International PLC		137,521	$	(124,628	)		—		—		12,893
Standard Chartered Bank		9,971		—			—		—		9,971
State Street Bank and Trust Company		6,283		(6,283	)		—		—		—
Royal Bank of Scotland PLC		153,595		(53,896	)		—		—		99,699
Toronto-Dominion Bank		769,325		—			—		—		769,325
Westpac Group		23,487		—			—		—		23,487

Total	$	1,213,747	$	(184,807	)		—		—	$	1,028,940

¹ The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.
² Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.
³ Net amount represents the net amount receivable from the counterparty in the event of default.
⁴ Net amount represents the net amount payable due to the counterparty in the event of default.

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	49


Consolidated Schedule of Investments (continued)		BlackRock Corporate High Yield Fund, Inc. (HYT)


Fair Value Hierarchy as of Period End

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		—	$	27,953,837	$	4,751,824	$	32,705,661
Common Stocks	$	35,674,886		27,064,422		1,093,786		63,833,094
Corporate Bonds		—		1,388,890,885		23,935,722		1,412,826,607
Floating Rate Loan Interests		—		146,945,731		41,134,671		188,080,402
Investment Companies		16,885,540		—		—		16,885,540
Non-Agency Mortgage-Backed Securities		—		4,598,646		—		4,598,646
Other Interests		—		—		10,938		10,938
Preferred Securities		11,369,011		72,899,037		16,159,346		100,427,394
Warrants		66,213		—		25,726		91,939
Short-Term Securities:
Money Market Funds		3,168,928		—		—		3,168,928

Subtotal	$	67,164,578	$	1,668,352,558	$	87,112,013	$	1,822,629,149

Investments Valued at NAV¹								675,808

Total Investments							$	1,823,304,957

¹ As of February 29, 2016, certain of the Trust’s investments were fair valued using net asset value (“NAV”) per share as no quoted market value is available and have been excluded from the fair value hierarchy.


	Level 1			Level 2			Level 3		Total
Derivative Financial Instruments¹
Assets:
Credit contracts		—		$	1,603,446			—	$	1,603,446
Equity contracts	$	1,218,593			—			—		1,218,593
Forward foreign currency contracts		—			1,518,086			—		1,518,086
Liabilities:
Equity contracts		—			(54,514	)		—		(54,514	)
Forward foreign currency contracts		—			(1,159,233	)		—		(1,159,233	)
Interest rate contracts		(193,490	)		—			—		(193,490	)

Total	$	1,025,103		$	1,907,785			—	$	2,932,888

¹ Derivative financial instruments are swaps, financial futures contracts and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.


	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	397,085		—			—	$	397,085
Cash pledged:
Centrally cleared swaps		2,268,000		—			—		2,268,000
Financial futures contracts		8,000,150		—			—		8,000,150
Foreign currency at value		955,543		—			—		955,543
Liabilities:
Loans payable		—	$	(506,000,000	)		—		(506,000,000	)
Cash received as collateral for OTC derivatives		—		(1,500,000	)		—		(1,500,000	)

Total	$	11,620,778	$	(507,500,000	)		—	$	(495,879,222	)

During the six months ended February 29, 2016, there were no transfers between Level 1 and Level 2.

See Notes to Financial Statements.



50	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Consolidated Schedule of Investments (concluded)		BlackRock Corporate High Yield Fund, Inc. (HYT)


	Asset- Backed Securities			Common Stocks			Corporate Bonds			Floating Rate Loan Interests			Other Interests			Preferred Securities			Warrants			Total
Assets:
Opening Balance, as of August 31, 2015¹	$	5,936,098		$	3,739,028		$	25,160,883		$	25,557,215		$	10,978		$	20,459,861		$	74,732		$	80,938,795
Transfers into Level 3		—			—			—			4,783,763			—			—			—			4,783,763
Transfers out of Level 3		(249,997	)		—			—			(7,467,044	)		—			—			—			(7,717,041	)
Accrued discounts/premiums		5,507			—			(1,482	)		193,027			—			—			—			197,052
Net realized gain (loss)		(5,339	)		—			9,715			175,812			(400	)		—			—			179,788
Net change in unrealized appreciation (depreciation)²^,3		(209,755	)		(2,832,704	)		(804,108	)		(9,498,356	)		360			(4,300,515	)		(49,006	)		(17,694,084	)
Purchases		—			187,462			873,167			33,267,440			—			—			—			34,328,069
Sales		(724,690	)		—			(1,302,453	)		(5,877,186	)		—			—			—			(7,904,329	)
Closing Balance, as of February 29, 2016	$	4,751,824		$	1,093,786		$	23,935,722		$	41,134,671		$	10,938		$	16,159,346		$	25,726		$	87,112,013

Net change in unrealized appreciation (depreciation) on investments still held at February 29, 2016³	$	(209,755	)	$	(2,832,704	)	$	(804,108	)	$	(9,424,166	)		—		$	(4,300,515	)	$	(49,006	)	$	(17,620,254	)

¹ The opening balance of preferred securities has been adjusted to exclude certain investments amounting to $555,106 that were valued using NAV per share as no quoted market value is available. The fair value of those investments have been excluded from the fair value hierarchy due to the adoption of the Accounting Standard Update related to Fair Value Measurement: Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
² Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statement of Operations.
³ Any difference between net change in unrealized appreciation (depreciation) on investments still held at February 29, 2016 is generally due to investments no longer held or categorized as Level 3 at period end.

The following table summarizes the valuation techniques 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 $62,109,915. A significant change in third party pricing information could result in a significantly lower or higher value of such Level 3 investments.

Value

Valuation Techniques

Unobservable Inputs

Range of

Unobservable Inputs
Utilized

Weighted

Average of
Unobservable
Inputs

Assets:

Common Stocks

1,040,650

Market Comparables

2P (Proved and Probable) Reserves +

2C (Contingent) Resources Multiple¹

$0.066x - $0.794x

PV-10 Multiple^1,2

0.04x - 0.155x

Corporate Bonds³

23,935,722

Discounted Cash Flow

Internal Rate of Return⁴

10.68% - 11.89%

11.64%

Estimated Recovery Value

—

Warrants

25,726

Last Dealer Mark — Adjusted

Delta Adjustment Based on Daily Movement in the Common Equity⁴

80.00%

Black-Scholes

Implied Volatility⁴

45.30%

Total

25,002,098

¹ Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value.

² Present value of estimated future oil and gas revenues, net of estimated direct expenses discounted at an annual discount rate of 10%.

³ For the period ended February 29, 2016, the valuation technique for an investment classified as Corporate Bonds changed to an income approach. The investment was previously valued utilizing the Last Transaction Price. An income approach was considered to be a more relevant measure of fair value for this investment.

⁴ Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	51

Schedule of Investments February 29, 2016 (Unaudited)

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)


Asset-Backed Securities	Par (000)		Value

Asset-Backed Securities — 0.4%
Securitized Asset Backed Receivables LLC Trust, Series 2005-OP2, Class M1, 0.87%, 10/25/35 (a)	$	1,875	$	1,678,669
Small Business Administration Participation Certificates, Class 1:
Series 1996-20E, 7.60%, 5/01/16		8		8,581
Series 1996-20G, 7.70%, 7/01/16		8		7,939
Series 1996-20H, 7.25%, 8/01/16		9		9,614
Series 1996-20K, 6.95%, 11/01/16		33		33,989
Series 1997-20C, 7.15%, 3/01/17		16		16,048

				1,754,840
Interest Only Asset-Backed Securities — 0.1%
Small Business Administration Participation Certificates, Series 2000-1, 1.00%, 3/15/21		439		3,842
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (b)		1,937		137,438
Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29		5,144		353,654

				494,934
Total Asset-Backed Securities — 0.5%				2,249,774



Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations — 0.6%
Collateralized Mortgage Obligation Trust, Series 40, Class R, 580.49%, 4/01/18		12		13
Deutsche Securities, Inc. Mortgage Alternate Loan Trust, Series 2006-AR5, Class 22A, 5.50%, 10/25/21		282		271,836
Homebanc Mortgage Trust, Series 2005-4, Class A1, 0.71%, 10/25/35 (a)		1,872		1,707,294
Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, 15.81%, 8/25/23 (a)		38		43,804
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-11, Class A, 2.65%, 8/25/34 (a)		862		850,659

				2,873,606
Commercial Mortgage-Backed Securities — 0.6%
Credit Suisse Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.54%, 1/15/49 (a)		2,420		2,467,983
Interest Only Collateralized Mortgage Obligations — 0.5%
Bank of America Mortgage Securities, Inc., Series 2003-3, Class 1A, 0.00%, 5/25/33 (a)		17,139		65,299
CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 5/25/37		508		136,163
GSMPS Mortgage Loan Trust, Series 1998-5, 0.00%, 6/19/27 (a)(b)		2,293		24
IndyMac INDX Mortgage Loan Trust, Series 2006-AR33, Class 4AX, 0.17%, 1/25/37		53,141		53,842
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3AX, 0.48%, 4/25/34 (c)		5,931		118,630
MASTR Alternative Loans Trust, Series 2003-9, Class 15X2, 6.00%, 1/25/19		139		9,920
Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 1AX, 5.00%, 5/25/19		123		4,103
Sequoia Mortgage Trust, Series 2005-2, Class XA, 0.79%, 3/20/35 (a)		27,426		754,226
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 3AS, 3.89%, 8/25/36 (a)		12,088		1,087,951
Vendee Mortgage Trust, Series 1999-2, Class 1, 0.00%, 5/15/29 (a)		29,546		30

				2,230,188


Non-Agency Mortgage-Backed Securities	Par (000)			Value

Principal Only Collateralized Mortgage Obligations — 0.1%
Countrywide Home Loan Mortgage Pass-Through Trust:
Series 2003-J5, 0.00%, 7/25/33	$	97		$	88,322
Series 2003-J8, 0.00%, 9/25/23		51			49,280
Drexel Burnham Lambert CMO Trust, Series K, Class 1, 0.00%, 9/23/17		—	(d)		115
Residential Asset Securitization Trust, Series 2005-A15, Class 1A8, 0.00%, 2/25/36		386			259,898
Structured Mortgage Asset Residential Trust, Series 1993-3C, Class CX, 0.00%, 4/25/24		5			4,523
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-9, Class CP, 0.00%, 11/25/35		149			105,768

					507,906
Total Non-Agency Mortgage-Backed Securities — 1.8%					8,079,683



U.S. Government Sponsored Agency Securities
Agency Obligations — 2.6%
Federal Housing Administration:
USGI Projects, Series 99, 7.43%, 6/01/21 - 10/01/23		2,907			2,783,614
Reilly Projects, Series 41, 8.28%, 3/01/20		40			38,612
Resolution Funding Corp., 0.00%, 4/15/30 (e)		13,000			8,749,884

					11,572,110
Collateralized Mortgage Obligations — 65.4%
Fannie Mae Mortgage-Backed Securities:
Series 2011-142, Class PE, 3.50%, 8/25/43		15,567			16,955,631
Series 2014-28, Class BD, 3.50%, 1/25/42		7,138			7,659,748
Series 2011-117, Class CP, 4.00%, 11/25/41		14,350			16,279,670
Series 2010-136, Class CY, 4.00%, 12/25/40		3,060			3,398,147
Series 2011-99, Class CB, 4.50%, 10/25/41		43,000			50,631,300
Series 2010-47, Class JB, 5.00%, 5/25/30		10,000			11,195,002
Series 2003-135, Class PB, 6.00%, 1/25/34		11,992			12,922,338
Series 2004-31, Class ZG, 7.50%, 5/25/34		4,440			5,523,068
Series 1993-247, Class SN, 10.00%, 12/25/23 (a)		132			166,671
Series 2005-73, Class DS, 16.42%, 8/25/35 (a)		825			1,043,870
Series 1991-87, Class S, 25.53%, 8/25/21 (a)		14			18,738
Series G-49, Class S, 989.48%, 12/25/21 (a)		—	(d)		181
Series G-17, Class S, 1,036.08%, 6/25/21 (a)		47			550
Series G-33, Class PV, 1,078.42%, 10/25/21		42			215
Series G-07, Class S, 1,095.42%, 3/25/21 (a)		—	(d)		911
Series 1991-46, Class S, 2,419.20%, 5/25/21 (a)		39			1,707
Freddie Mac Mortgage-Backed Securities:
Series T-11, Class A9, 2.86%, 1/25/28 (a)		993			1,040,968
Series K048, Class A2, 3.28%, 6/25/25 (a)		1,600			1,703,980
Series 4242, Class PA, 3.50%, 5/15/41		7,278			7,743,798
Series 4016, Class BX, 4.00%, 11/15/40 - 9/15/41		26,292			29,813,207
Series 3688, Class PB, 4.50%, 8/15/32		10,000			10,844,318
Series 4316, Class VB, 4.50%, 3/15/34		10,787			12,182,599
Series 3856, Class PB, 5.00%, 5/15/41		10,000			11,836,785
Series 2927, Class BZ, 5.50%, 5/15/23 - 2/15/35		10,313			11,038,330
Series 2542, Class UC, 6.00%, 12/15/22		2,203			2,395,041
Series 0040, Class K, 6.50%, 8/17/24		129			147,735

See Notes to Financial Statements.



52	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Schedule of Investments (continued)		BlackRock Income Trust, Inc. (BKT)


U.S. Government Sponsored Agency Securities	Par (000)			Value

Collateralized Mortgage Obligations (continued)
Freddie Mac Mortgage-Backed Securities (continued):
Series 2218, Class Z, 8.50%, 3/15/20 - 3/15/30	$	2,343		$	2,732,268
Series 0173, Class R, 9.00%, 11/15/21		3			3
Series 0173, Class RS, 9.66%, 11/15/21 (a)		—	(d)		3
Series 2861, Class AX, 10.16%, 9/15/34 (a)		4			4,416
Series 1160, Class F, 38.35%, 10/15/21 (a)		6			10,827
Series 1057, Class J, 1,008.00%, 3/15/21		30			278
Series 0192, Class U, 1,009.03%, 2/15/22 (a)		1			15
Series 0019, Class R, 15,964.69%, 3/15/20 (a)		1			239
Ginnie Mae Mortgage-Backed Securities:
Series 2010-099, Class JM, 3.75%, 12/20/38		19,300			20,359,049
Series 2011-80, Class PB, 4.00%, 10/20/39		11,489			12,402,501
Series 2010-112, Class TL, 4.00%, 1/20/39		15,000			15,979,854
Series 2011-88, Class PY, 4.00%, 6/20/41		15,402			16,855,488
Series 2012-16, Class HD, 4.00%, 9/20/40		10,000			10,989,530
Series 2004-89, Class PE, 6.00%, 10/20/34		198			206,487

					294,085,466
Interest Only Collateralized Mortgage Obligations — 2.4%
Fannie Mae Mortgage-Backed Securities:
Series 1997-50, Class SI, 1.20%, 4/25/23 (a)		114			3,446
Series G92-60, Class SB, 1.60%, 10/25/22 (a)		67			2,367
Series 2012-96, Class D1, 4.00%, 2/25/27		5,250			436,588
Series 2013-45, Class EI, 4.00%, 4/25/43		10,634			949,619
Series 2010-74, Class DI, 5.00%, 12/25/39		6,988			377,427
Series 1997-90, Class M, 6.00%, 1/25/28		1,781			266,947
Series 2011-124, Class GS, 6.26%, 3/25/37 (a)		11,198			1,233,198
Series 1999-W4, 6.50%, 12/25/28		141			14,174
Series 1993-199, Class SB, 7.06%, 10/25/23 (a)		63			2,010
Series 089, Class 2, 8.00%, 10/25/18		1			31
Series 007, Class 2, 8.50%, 4/25/17		1			18
Series G92-05, Class H, 9.00%, 1/25/22		6			300
Series 094, Class 2, 9.50%, 8/25/21		1			120
Series 1990-136, Class S, 19.64%, 11/25/20 (a)		4,104			5,512
Series 1991-139, Class PT, 648.35%, 10/25/21		78			1,142
Series 1991-099, Class L, 930.00%, 8/25/21		35			248
Series 1990-123, Class M, 1,009.50%, 10/25/20		7			64
Series G92-12, Class C, 1,016.90%, 2/25/22		51			240
Series G-10, Class S, 1,059.73%, 5/25/21 (a)		175			2,814
Series G-12, Class S, 1,124.81%, 5/25/21 (a)		111			1,548
Freddie Mac Mortgage-Backed Securities:
Series 2559, 0.86%, 8/15/30 (a)		48			341
Series 3745, Class 1N, 4.00%, 1/15/35		17,991			732,573
Series 3744, Class PI, 4.00%, 1/15/35 - 6/15/39		11,027			1,100,371
Series 4026, 4.50%, 4/15/32		3,796			468,346
Series 2611, Class QI, 5.50%, 9/15/32		800			54,112
Series 1043, Class H, 43.08%, 2/15/21 (a)		3,723			5,971
Series 1054, Class I, 844.23%, 3/15/21 (a)		25			362
Series 0176, Class M, 1,010.00%, 7/15/21		11			208
Series 1056, Class KD, 1,084.50%, 3/15/21		19			224
Series 1148, Class E, 1,146.50%, 10/15/21 (a)		24			301
Series 0200, Class R, 192,257.14%, 12/15/22 (a)		—	(d)		367
Ginnie Mae Mortgage-Backed Securities (a):
Series 2009-116, Class KS, 6.04%, 12/16/39		1,785			295,955
Series 2011-52, Class MJ, 6.22%, 4/20/41		11,646			2,388,182
Series 2011-52, Class NS, 6.24%, 4/16/41		13,008			2,605,743

					10,950,869
Mortgage-Backed Securities — 61.4%
Fannie Mae Mortgage-Backed Securities:
3.00%, 1/01/43 (f)		24,264			24,927,739
3.50%, 10/01/42 - 10/01/45 (f)		30,057			31,592,722


U.S. Government Sponsored Agency Securities	Par (000)			Value

Mortgage-Backed Securities (continued)
Fannie Mae Mortgage-Backed Securities (continued):
4.00%, 1/01/41 - 9/01/42 (f)	$	25,505		$	27,290,436
4.50%, 8/01/25 - 4/01/46 (f)(g)		73,465			80,430,691
5.00%, 1/01/23 - 10/01/41 (f)		45,275			50,554,070
5.50%, 11/01/16 - 10/01/39 (f)		22,594			25,122,356
5.97%, 8/01/16 (a)		2,860			2,892,463
6.00%, 3/01/46 (g)		21,800			24,846,042
6.50%, 12/01/37 - 10/01/39		6,630			7,670,327
7.50%, 2/01/22		—	(d)		41
9.50%, 1/01/19 - 9/01/19		1			1,300
Freddie Mac Mortgage-Backed Securities:
2.80%, 10/01/34 (a)		104			106,484
2.86%, 1/01/35 (a)		174			178,376
3.14%, 11/01/17 (a)		1			840
5.00%, 2/01/22 - 4/01/22		204			218,554
9.00%, 9/01/20		8			8,482
Ginnie Mae Mortgage-Backed Securities:
7.50%, 8/15/21 - 12/15/23		95			99,259
8.00%, 10/15/22 - 8/15/27		44			46,860
9.00%, 4/15/20 - 9/15/21		3			2,637

					275,989,679
Principal Only Collateralized Mortgage Obligations — 0.2%
Fannie Mae Mortgage-Backed Securities (e):
Series 2002-13, Class PR, 0.00%, 6/25/23 - 3/25/32		201			189,585
Series 1993-70, Class A, 0.00%, 2/25/21 - 5/25/23		104			98,935
Freddie Mac Mortgage-Backed Securities:
Series 1691, Class B, 0.00%, 3/15/24		329			304,192
Series T-8, Class A10, 0.00%, 11/15/28		41			40,601
Series 1571, Class G, 0.00%, 11/15/22 - 8/15/23		198			189,630

					822,943
Total U.S. Government Sponsored Agency Securities — 132.0%					593,421,067



U.S. Treasury Obligations
U.S. Treasury Bonds, 2.50%, 2/15/46		5,000			4,879,100
U.S. Treasury Notes:
1.00%, 11/30/19 (f)		2,965			2,955,041
1.38%, 8/31/20		4,045			4,076,919
1.63%, 11/15/22		780			786,550
2.00%, 8/15/25		2,860			2,923,343
2.25%, 11/15/25 (f)		6,500			6,789,452
1.63%, 2/15/26		2,000			1,979,062
Total U.S. Treasury Obligations — 5.4%					24,389,467
Total Long-Term Investments (Cost — $620,185,790) — 139.7%					628,139,991



Short-Term Securities	Shares
Money Market Funds — 0.8%
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.37% (j)(k)		3,646,880			3,646,880

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	53


Schedule of Investments (continued)		BlackRock Income Trust, Inc. (BKT)


Short-Term Securities	Par (000)		Value

Borrowed Bond Agreement (h)(i) — 0.2%
Credit Suisse Securities (USA) LLC, 0.01%, Open (Purchased on 11/19/15 to be repurchased at $868,025. Collateralized by U.S. Treasury Bonds, 2.75%, 11/15/42, par and fair value of $917,000 and $948,522, respectively)	$	868	$	868,000
Total Short-Term Securities (Cost — $4,514,880) — 1.0%				4,514,880
Total Investments Before Borrowed Bonds and TBA Sale Commitments (Cost — $624,700,670) — 140.7%				632,654,871


Borrowed Bonds	Par (000)			Value

U.S. Treasury Bonds, 2.75%, 11/15/42	$	(917	)	$	(948,522	)
Total Borrowed Bonds (Proceeds — $842,347) — (0.2)%					(948,522	)



TBA Sale Commitments
Fannie Mae Mortgage-Backed Securities (g):
4.50% 3/01/31 - 3/01/46		5,300			(5,623,597	)
5.00% 3/01/31 - 3/01/46		13,100			(14,491,666	)
Total TBA Sale Commitments (Proceeds — $20,052,372) — (4.5)%					(20,115,263	)
Total Investments, Net of Borrowed Bonds and TBA Sale Commitments (Cost — $603,805,951) — 136.0%					611,591,086
Liabilities in Excess of Other Assets — (36.0)%					(161,902,752	)

Net Assets — 100.0%				$	449,688,334

Notes to Schedule of Investments

(a)

Variable rate security. Rate as of period end.

(b)

(c)

Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

(d)

Amount is less than $500.

(e)

Zero-coupon bond.

(f)

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

(g)

Represents or includes a TBA transaction. Unsettled TBA transactions as of February 29, 2016 were as follows:


Counterparty	Value			Unrealized Appreciation (Depreciation)
Barclays Bank PLC	$	(6,433,770	)	$	(29,295	)
Credit Suisse Securities (USA) LLC	$	(5,326,409	)	$	(22,956	)
Goldman Sachs & Co.	$	30,691		$	2,525
JPMorgan Securities, Inc.	$	22,321,258		$	206,858

(h)

Certain agreements have no stated maturity and can be terminated by either party at any time.

(i)

The amount to be repurchased assumes the maturity will be the day after the period end.

(j)


Affiliate	Shares Held at August 31, 2015		Net Activity			Shares Held at February 29, 2016		Income
BlackRock Liquidity Funds, TempFund, Institutional Class		24,634,500		(20,987,620	)		3,646,880	$	9,817

(k)

Current yield as of period end.

•

See Notes to Financial Statements.



54	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Schedule of Investments (continued)		BlackRock Income Trust, Inc. (BKT)

Reverse Repurchase Agreements


Counterparty	Interest Rate			Trade Date	Maturity Date¹	Face Value		Face Value Including Accrued Interest		Type of Underlying Collateral	Remaining Contractual Maturity of the Agreements
BNP Paribas Securities Corp.		0.44	%	6/10/15	Open	$	2,880,000	$	2,883,910	U.S. Treasury Obligations	Open/Demand¹
Credit Suisse Securities (USA) LLC		0.17	%	11/19/15	Open		13,196,277		13,202,634	U.S. Government Sponsored Agency Securities	Open/Demand¹
Credit Suisse Securities (USA) LLC		0.05	%	11/23/15	Open		6,475,625		6,476,515	U.S. Treasury Obligations	Open/Demand¹
HSBC Securities (USA), Inc.		0.59	%	2/10/16	3/14/16		132,948,000		132,989,399	U.S. Government Sponsored Agency Securities	Up to 30 Days
Total						$	155,499,902	$	155,552,458

¹Certain agreements have no stated maturity and can be terminated by either party at any time.

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts


Contracts Long (Short)			Issue	Expiration	Notional Value		Unrealized Appreciation (Depreciation)
	(12	)	90-Day Euro-Dollar	March 2016	$	2,980,125	$	(9,023	)
	105		2-Year U.S. Treasury Note	June 2016	$	22,947,422		(34,212	)
	(112	)	5-Year U.S. Treasury Note	June 2016	$	13,550,250		16,906
	(266	)	10-Year U.S. Treasury Note	June 2016	$	34,717,156		(5,469	)
	(79	)	10-Year U.S. Ultra Long Treasury Note	June 2016	$	11,147,641		11,333
	(766	)	Long U.S. Treasury Bond	June 2016	$	126,030,938		86,868
	287		Ultra Long U.S. Treasury Bond	June 2016	$	49,695,844		(118,745	)
	Total						$	(52,342	)

OTC Interest Rate Swaps


Fixed Rate	Floating Rate	Counterparty	Expiration Date	Notional Amount (000)		Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
5.72%¹	3-Month LIBOR	JPMorgan Chase Bank N.A.	7/14/16	$	5,400	$	98,522			—		$	98,522
4.31%²	3-Month LIBOR	Deutsche Bank AG	10/01/18	$	60,000		(5,213,538	)		—			(5,213,538	)
3.43%¹	3-Month LIBOR	JPMorgan Chase Bank N.A.	3/28/21	$	6,000		676,133		$	(142,249	)		818,382
5.41%¹	3-Month LIBOR	JPMorgan Chase Bank N.A.	8/15/22	$	9,565		2,474,404			—			2,474,404
Total						$	(1,964,479	)	$	(142,249	)	$	(1,822,230	)

¹ Trust pays the floating rate and receives the fixed rate.
² Trust pays the fixed rate and receives the floating rate.

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
Financial futures contracts	Net unrealized appreciation¹		—		—		—		—	$	115,107		—	$	115,107
Swaps — OTC	Unrealized appreciation on OTC swaps		—		—		—		—		3,391,308		—		3,391,308

Total			—		—		—		—	$	3,506,415		—	$	3,506,415

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	55


Schedule of Investments (continued)		BlackRock Income Trust, Inc. (BKT)


		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Liabilities — Derivative Financial Instruments
Financial futures contracts	Net unrealized depreciation¹		—		—		—		—	$	167,449		—	$	167,449
Swaps — OTC	Unrealized depreciation on OTC Swaps; Swap premiums received		—		—		—		—		5,355,787		—		5,355,787

Total			—		—		—		—	$	5,523,236		—	$	5,523,236

Includes cumulative appreciation (depreciation) on financial futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

For the six months ended February 29, 2016, the effect of derivative financial instruments in the Statements of Operation was as follows:


	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts			Other Contracts		Total
Net Realized Gain (Loss) from:
Financial futures contracts		—		—		—		—	$	(4,108,534	)		—	$	(4,108,534	)
Swaps		—		—		—		—		(363,484	)		—		(363,484	)

Total		—		—		—		—	$	(4,472,018	)		—	$	(4,472,018	)


Net Change in Unrealized Appreciation (Depreciation) on:
Financial futures contracts		—		—		—		—	$	(2,241,398	)		—	$	(2,241,398	)
Swaps		—		—		—		—		389,056			—		389,056

Total		—		—		—		—	$	(1,852,342	)		—	$	(1,852,342	)

Average Quarterly Balances of Outstanding Derivative Financial Instruments


Financial futures contracts:
Average notional value of contracts — long	$	60,962,109
Average notional value of contracts — short	$	159,210,355
Interest rate swaps:
Average notional value — pays fixed rate	$	60,000,000
Average notional value — receives fixed rate	$	33,715,000

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:
Financial futures contracts	$	119,875		$	265,445
Swaps — OTC¹		3,391,308			5,355,787

Total derivative assets and liabilities in the Statement of Assets and Liabilities		3,511,183			5,621,232

Derivatives not subject to a master netting agreement or similar agreement (“MNA”)		(119,875	)		(265,445	)

Total derivative assets and liabilities subject to an MNA	$	3,391,308		$	5,355,787

¹ Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities.

See Notes to Financial Statements.



56	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Schedule of Investments (continued)		BlackRock Income Trust, Inc. (BKT)


Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset¹			Non-cash Collateral Received	Cash Collateral Received²			Net Amount of Derivative Assets³
JPMorgan Chase Bank N.A.	$	3,391,308	$	(142,249	)	—		$(3,249,059)			—


Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset¹			Non-cash Collateral Pledged	Cash Collateral Pledged⁴			Net Amount of Derivative Liabilities⁵
Deutsche Bank AG	$	5,213,538		—		—	$	(5,213,538	)		—
JPMorgan Chase Bank N.A.		142,249	$	(142,249	)	—		—			—

Total	$	5,355,787	$	(142,249	)	—	$	(5,213,538	)		—

¹ The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.
² Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.
³ Net amount represents the net amount receivable from the counterparty in the event of default.
⁴ Excess of collateral pledged from the individual counterparty is not shown for financial reporting purposes.
⁵Net amount represents the net amount payable due to the counterparty in the event of default.

Fair Value Hierarchy as of Period End

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:


	Level 1			Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		—		$	1,754,840		$	494,934	$	2,249,774
Non-Agency Mortgage-Backed Securities		—			6,118,863			1,960,820		8,079,683
U.S. Government Sponsored Agency Securities		—			590,598,229			2,822,838		593,421,067
U.S. Treasury Obligations		—			24,389,467			—		24,389,467
Short-Term Securities:
Money Market Funds	$	3,646,880			—			—		3,646,880
Borrowed Bond Agreement		—			868,000			—		868,000
Liabilities:
Investments:
Borrowed Bonds		—			(948,522	)		—		(948,522	)
TBA Sale Commitments		—			(20,115,263	)		—		(20,115,263	)

Total	$	3,646,880		$	602,665,614		$	5,278,592	$	611,591,086


	Level 1			Level 2			Level 3		Total
Derivative Financial Instruments¹
Assets:
Interest rate contracts	$	115,107		$	3,391,308			—	$	3,506,415
Liabilities:
Interest rate contracts		(167,449	)		(5,213,538	)		—		(5,380,987	)

Total	$	(52,342	)	$	(1,822,230	)		—	$	(1,874,572	)

¹ Derivative financial instruments are financial futures contracts and swaps, which are valued at the unrealized appreciation (depreciation) on the instrument.

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	57


Schedule of Investments (concluded)		BlackRock Income Trust, Inc. (BKT)


The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount or face amount, including accrued interest, for financial statement purposes. As of February 29, 2016, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:
	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	245,711		—			—	$	245,711
Cash pledged :
Collateral — OTC derivatives		6,040,000		—			—		6,040,000
Financial futures contracts		2,669,260		—			—		2,669,260
Liabilities:
Cash received :
Collateral — OTC derivatives		—	$	(3,330,000	)		—		(3,330,000	)
Collateral — Reverse repurchase agreements		—		(231	)		—		(231	)
Reverse repurchase agreements		—		(155,552,458	)		—		(155,552,458	)

Total	$	8,954,971	$	(158,882,689	)		—	$	(149,927,718	)

During the six months ended February 29, 2016, there were no transfers between Level 1 and Level 2.


	Asset-Backed Securities			Non-Agency Mortgage-Backed Securities			U.S. Government Sponsored Agency Securities			Total
Assets:
Opening Balance, as of August 31, 2015	$	522,965		$	2,114,419		$	3,072,791		$	5,710,175
Transfers into Level 3		—			—			—			—
Transfers out of Level 3		—			—			—			—
Accrued discounts/premiums		(69,358	)		—			(5,496	)		(74,854	)
Net realized gain (loss)		(118,374	)		4			(5,510	)		(123,880	)
Net change in unrealized appreciation (depreciation)^1,2		159,701			(153,600	)		(15,323	)		(9,222	)
Purchases		—			—			—			—
Sales		—			(3	)		(223,624	)		(223,627	)

Closing Balance, as of February 29, 2016	$	494,934		$	1,960,820		$	2,822,838		$	5,278,592

Net change in unrealized appreciation (depreciation) on investments held as of February 29, 2016²	$	159,701		$	(153,600	)	$	(15,323	)	$	(9,222	)

¹ Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.
² Any difference between Net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments held as of February 29, 2016 is generally due to investments no longer held or categorized as level 3 at period end.

Certain of the Trust’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments.

See Notes to Financial Statements.



58	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Statements of Assets and Liabilities


February 29, 2016 (Unaudited)	BlackRock Core Bond Trust (BHK)			BlackRock Corporate High Yield Fund, Inc. (HYT)¹			BlackRock Income Trust, Inc. (BKT)

Assets
Investments at value — unaffiliated²	$	1,006,776,002		$	1,817,052,949		$	629,007,991
Investments at value — affiliated³		9,946,997			6,252,008			3,646,880
Cash		184,051			397,085			245,711
Cash pledged:
Collateral — OTC derivatives		9,130,000			—			6,040,000
Financial futures contracts		2,600,970			8,000,150			2,669,260
Centrally cleared swaps		551,940			2,268,000			—
Foreign currency at value⁴		370,110			955,543			—
Receivables:
Dividends		27,422			—			—
Interest		10,798,260			29,147,179			2,212,712
Investments sold		8,346,012			26,867,572			41,724
Options written		334,946			—			—
Swaps		23,696			133,946			208,550
Variation margin on financial futures contracts		267,392			1,055,360			119,875
Variation margin on centrally cleared swaps		93,883			120,182			—
Principal paydowns		4,829			—			—
TBA sale commitments		—			—			20,052,372
Swap premiums paid		40,671			—			—
Unrealized appreciation on:
Forward foreign currency exchange contracts		576,032			1,518,086			—
OTC derivatives		239,912			959,809			3,391,308
Prepaid expenses		38,698			84,047			31,032
Other assets		10,886			—			1,482

Total assets		1,050,362,709			1,894,811,916			667,668,897


Liabilities
Bank borrowings		—			506,000,000			—
Cash received:
Collateral — OTC derivatives		520,000			1,500,000			3,330,000
Collateral — Reverse repurchase agreements		—			—			231
Borrowed bonds at value⁵		—			—			948,522
Options written at value⁶		11,871,655			—			—
TBA sale commitments at value⁷		—			—			20,115,263
Reverse repurchase agreements		277,642,210			—			155,552,458
Payables:
Administration fees		—			—			53,493
Investments purchased		4,454,189			37,883,419			30,646,553
Investment advisory fees		409,142			861,366			231,300
Income dividends		92,099			398,795			55,299
Interest expense		—			638,693			7,413
Officer’s and Trustees’ fees		174,046			428,043			153,366
Options written		381,015			—			—
Swaps		13,143			39,706			1,104,891
Variation margin on financial futures contracts		103,750			22,930			265,445
Variation margin on centrally cleared swaps		68,360			—			—
Other accrued expenses		283,357			696,917			160,542
Swap premiums received		862,920			—			142,249
Unrealized depreciation on:
Forward foreign currency exchange contracts		203,373			1,159,233			—
OTC derivatives		1,234,574			54,514			5,213,538
Other liabilities		252,200			252,425			—
Commitments and contingencies		—	⁸		—	⁸		—

Total liabilities		298,566,033			549,936,041			217,980,563

Net Assets	$	751,796,676		$	1,344,875,875		$	449,688,334


Statements of Assets and Liabilities (concluded)


February 29, 2016 (Unaudited)	BlackRock Core Bond Trust (BHK)			BlackRock Corporate High Yield Fund, Inc. (HYT)¹			BlackRock Income Trust, Inc. (BKT)

Net Assets Consist of
Paid-in capital^9,10,11	$	761,161,052		$	1,782,827,848		$	478,262,054
Undistributed (distributions in excess of) net investment income		(1,464,342	)		2,988,226			4,376,153
Accumulated net realized loss		(12,350,318	)		(253,860,362	)		(38,861,918	)
Net unrealized appreciation (depreciation)		4,450,284			(187,079,837	)		5,912,045

Net Assets	$	751,796,676		$	1,344,875,875		$	449,688,334

Net asset value, offering and redemption price per share	$	13.94		$	10.62		$	7.03

¹ Consolidated Statement of Assets and Liabilities
² Investments at cost — unaffiliated	$	1,000,321,536		$	2,007,293,860		$	621,053,790
³ Investments at cost — affiliated	$	9,946,997		$	6,076,637		$	3,646,880
⁴ Foreign currency at cost	$	375,149		$	968,839			—
⁵ Proceeds received from borrowed bonds		—			—		$	842,347
⁶ Premiums received	$	10,264,926			—			—
⁷ Proceeds from TBA sale commitments		—			—		$	20,052,372
⁸ See Note 4 and Note 12 of the Notes to Financial Statements for details of commitments and contingencies
⁹ Par value	$	0.001		$	0.100		$	0.010
¹⁰ Shares Outstanding		53,935,126			126,599,668			63,942,535
¹¹ Shares Authorized		Unlimited			200 million			200 million


Statements of Operations


Six Months Ended February 29, 2016 (Unaudited)	BlackRock Core Bond Trust (BHK)			BlackRock Corporate High Yield Fund, Inc. (HYT)¹			BlackRock Income Trust, Inc. (BKT)

Investment Income
Interest	$	24,964,450		$	61,404,707		$	11,540,998
Dividends — unaffiliated		361,289			249,647			—
Dividends — affiliated		12,895			711,453			9,817
Foreign taxes withheld		—			(2,051	)		—

Total income		25,338,634			62,363,756			11,550,815


Expenses
Investment advisory		2,630,093			5,989,285			1,451,660
Administration		—			—			334,999
Professional		67,884			167,428			50,704
Accounting services		51,474			108,448			33,115
Custodian		44,799			101,200			20,058
Transfer agent		52,447			71,888			34,804
Officer and Trustees		37,908			58,828			18,474
Printing		2,912			20,735			6,888
Registration		6,413			14,742			8,102
Miscellaneous		71,040			113,387			26,300

Total expenses excluding interest expense and income tax		2,964,970			6,645,941			1,985,104
Interest expense		604,945			3,013,261			347,466
Income tax		—			14,860			—

Total expenses		3,569,915			9,674,062			2,332,570
Less fees waived by the Manager		(3,810	)		(428	)		(2,962	)

Total expenses after fees waived		3,566,105			9,673,634			2,329,608

Net investment income		21,772,529			52,690,122			9,221,207


Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments — unaffiliated		(12,682,373	)		(83,778,489	)		79,776
Investments — affiliated		—			(2,564,875	)		—
Financial futures contracts		3,002,352			6,968,390			(4,108,534	)
Foreign currency transactions		1,197,264			7,026,677			—
Options written		2,379,640			28,734			—
Swaps		(2,164,633	)		(101,902	)		(363,484	)

		(8,267,750	)		(72,421,465	)		(4,392,242	)

Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		(7,236,302	)		(86,973,518	)		6,055,309
Investments — affiliated		—			175,371			—
Financial futures contracts		703,370			(5,285,841	)		(2,241,398	)
Foreign currency translations		331,583			543,688			—
Options written		(2,726,597	)		—			—
Swaps		(383,121	)		1,012,795			389,056
Borrowed bonds		—			—			(66,304	)

		(9,311,067	)		(90,527,505	)		4,136,663

Net realized and unrealized loss		(17,578,817	)		(162,948,970	)		(255,579	)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	4,193,712		$	(110,258,848	)	$	8,965,628

¹ Consolidated Statement of Operations.


Statements of Changes in Net Assets		BlackRock Core Bond Trust (BHK)


Increase (Decrease) in Net Assets:	Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015

Operations
Net investment income	$	21,772,529		$	42,093,223
Net realized gain (loss)		(8,267,750	)		19,284,069
Net change in unrealized appreciation (depreciation)		(9,311,067	)		(53,137,205	)

Net increase in net assets resulting from operations		4,193,712			8,240,087


Distributions to Shareholders¹
From net investment income		(23,219,073	)		(47,657,688	)
In excess of net investment income		—			(1,743,768	)

Decrease in net assets resulting from distributions to shareholders		(23,219,073	)		(49,401,456	)


Capital Share Transactions
Net proceeds from the issuance of shares due to reorganization		—			399,906,769
Cost of shares redeemed		—			(1,775	)

Net increase in net assets derived from capital transactions		—			399,904,994


Net Assets
Total increase (decrease) in net assets		(19,025,361	)		358,743,625
Beginning of period		770,822,037			412,078,412

End of period	$	751,796,676		$	770,822,037

Undistributed net investment loss, end of period	$	(1,464,342	)	$	(17,798	)

Distributions for annual periods determined in accordance with federal income tax regulations.


Consolidated Statements of Changes in Net Assets		BlackRock Corporate High Yield Fund, Inc. (HYT)


Increase (Decrease) in Net Assets:	Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015

Operations
Net investment income	$	52,690,122		$	110,710,853
Net realized gain (loss)		(72,421,465	)		3,532,873
Net change in unrealized appreciation (depreciation)		(90,527,505	)		(169,304,412	)

Net decrease in net assets resulting from operations		(110,258,848	)		(55,060,686	)


Distributions to Shareholders¹
From net investment income		(72,171,812	)		(123,054,879	)


Net Assets
Total decrease in net assets		(182,430,660	)		(178,115,565	)
Beginning of period		1,527,306,535			1,705,422,100

End of period	$	1,344,875,875		$	1,527,306,535

Undistributed net investment income, end of period	$	2,988,226		$	22,469,916

Distributions for annual periods determined in accordance with federal income tax regulations.


Statements of Changes in Net Assets		BlackRock Income Trust, Inc. (BKT)


Increase (Decrease) in Net Assets:	Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015

Operations
Net investment income	$	9,221,207		$	20,490,679
Net realized loss		(4,392,242	)		(6,803,051	)
Net change in unrealized appreciation (depreciation)		4,136,663			(682,875	)

Net increase in net assets resulting from operations		8,965,628			13,004,753


Distributions to Shareholders¹
From net investment income		(11,893,312	)		(25,321,248	)


Net Assets
Total decrease in net assets		(2,927,684	)		(12,316,495	)
Beginning of period		452,616,018			464,932,513

End of period	$	449,688,334		$	452,616,018

Undistributed net investment income, end of period	$	4,376,153		$	7,048,258

Distributions for annual periods determined in accordance with federal income tax regulations.


Statements of Cash Flows


Six Months Ended February 29, 2016 (Unaudited)	BlackRock Core Bond Trust (BHK)			BlackRock Corporate High Yield Fund, Inc. (HYT)¹			BlackRock Income Trust, Inc. (BKT)

Cash Provided by (Used for) Operating Activities
Net increase (decrease) in net assets resulting from operations	$	4,193,712		$	(110,258,848	)	$	8,965,628
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used for) operating activities:
Proceeds from sales of long term investments and principal paydowns		182,641,274			638,950,980			542,879,818
Purchases of long term investments		(157,547,366	)		(502,623,098	)		(539,572,587	)
Net proceeds from sales of short-term securities		(26,632	)		(3,168,928	)		—
Net purchases of short-term securities		—			—			20,966,620
Amortization of premium and accretion of discount on investments		2,383,185			584,552			2,540,569
Premiums paid on closing options written		(3,289,298	)		(52,832	)		—
Premiums received from options written		9,187,766			81,566			—
Net realized (gain) loss on investments, options written, borrowed bonds and short sales		10,325,917			85,887,062			393,623
Net unrealized loss on investments, options written, swaps, borrowed bonds, foreign currency translations and short sales		10,888,281			86,033,443			(6,379,813	)
(Increase) decrease in assets:
Cash Pledged:
Collateral — OTC derivatives		(3,470,000	)		80,000			460,000
Collateral — reverse repurchase agreements		2,140,000			—			1,166,000
Financial futures contracts		(1,165,920	)		(2,445,760	)		(677,950	)
Centrally cleared swaps		(442,790	)		(1,745,250	)		—
Receivables:
Dividends		—			5,087			—
Interest		788,427			4,325,144			85,522
Swaps		(8,598	)		90,298			40,248
Variation margin on financial futures contracts		(176,104	)		137,760			285,057
Variation margin on centrally cleared swaps		(57,822	)		(120,182	)		—
Swap premiums paid		25,057			100,409			—
Prepaid expenses		(28,041	)		(59,135	)		(21,156	)
Other assets		13,563			—			1,752
Increase (decrease) in liabilities:
Cash received:
Collateral — reverse repurchase agreements		—			—			231
Collateral — OTC derivatives		520,000			(100,000	)		(640,000	)
Payables:
Swaps		5,633			39,706			(6,517	)
Administration fees		—			—			(61,992	)
Interest expense		(78,284	)		119,964			11,120
Investment advisory fees		(526,049	)		(1,393,460	)		(267,634	)
Officer’s and Trustees’ fees		(9,951	)		7,174			(1,442	)
Other accrued expenses		(12,716	)		(10,654	)		(22,058	)
Variation margin on financial futures contracts		(158,012	)		22,857			164,976
Variation margin on centrally cleared swaps		48,916			(24,343	)		—
Swap premiums received		735,629			(51,384	)		(13,935	)
Other liabilities		11,440			252,425			—

Net cash provided by (used for) operating activities		56,911,217			194,664,553			30,296,080

¹ Consolidated Statement of Cash Flows.


Statements of Cash Flows (concluded)


Six Months Ended February 29, 2016 (Unaudited)	BlackRock Core Bond Trust (BHK)			BlackRock Corporate High Yield Fund, Inc. (HYT)¹			BlackRock Income Trust, Inc. (BKT)

Cash Provided by (Used for) Financing Activities
Cash dividends paid to Common Shareholders	$	(23,207,783	)	$	(72,275,359	)	$	(11,893,779	)
Payments on bank borrowings		—			(437,000,000	)		—
Proceeds from bank borrowings		—			312,000,000			—
Decrease in bank overdraft		—			—			(2,492	)
Net borrowing of reverse repurchase agreements		(33,523,032	)		—			(18,154,098	)

Net cash used for financing activities		(56,730,815	)		(197,275,359	)		(30,050,369	)


Cash Impact from Foreign Exchange Fluctuations
Cash impact from foreign exchange fluctuations	$	2,313		$	(13,184	)		—


Cash and Foreign Currency
Net increase (decrease) in cash and foreign currency at value		182,715			(2,623,990	)		245,711
Cash and foreign currency at value at beginning of period		371,446			3,976,618			—

Cash and foreign currency at value at end of period	$	554,161		$	1,352,628		$	245,711


Supplemental Disclosure of Cash Flow Information
Cash paid during the period for interest expenese	$	683,229		$	2,893,297		$	336,346

¹ Consolidated Statement of Cash Flows.


Financial Highlights		BlackRock Core Bond Trust (BHK)


	Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31,
	Six Months Ended February 29, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	14.29		$	15.24		$	14.05		$	15.21		$	13.78		$	14.19

Net investment income¹		0.40			0.86			0.87			0.89			0.88			0.83
Net realized and unrealized gain (loss)		(0.32	)		(0.73	)		1.23			(1.11	)		1.37			(0.36	)

Net increase (decrease) from investment operations		0.08			0.13			2.10			(0.22	)		2.25			0.47

Distributions:²
From net investment income		(0.43	)		(1.04	)		(0.91	)		(0.94	)		(0.82	)		(0.88	)
In excess of net investment income³		—			(0.04	)		—			—			—			—

Total distributions		(0.43	)		(1.08	)		(0.91	)		(0.94	)		(0.82	)		(0.88	)

Net asset value, end of period	$	13.94		$	14.29		$	15.24		$	14.05		$	15.21		$	13.78

Market price, end of period	$	12.96		$	12.63		$	13.64		$	12.50		$	15.41		$	12.69


Total Return⁴
Based on net asset value		0.86%	⁵		1.62%			16.09%	⁶		(1.42	)%		17.06%			4.02%

Based on market price		6.09%	⁵		0.35%			16.78%			(13.43	)%		28.78%			(2.35)%


Ratios to Average Net Assets
Total expenses		0.94%	⁷		0.95%	⁸		1.06%	⁸		1.03%			0.95%			1.02%

Total expenses after fees waived and paid indirectly		0.94%	⁷		0.95%	⁸		1.02%	⁸		0.98%			0.94%			1.02%

Total expenses after fees waived and paid indirectly and excluding interest expense		0.78%	⁷		0.82%	⁸		0.91%	⁸		0.86%			0.86%			0.93%

Net investment income		5.75%	⁷		5.83%			5.94%			5.92%			6.13%			6.05%


Supplemental Data
Net assets, end of period (000)	$	751,797		$	770,822		$	412,078		$	379,913		$	411,136		$	372,295

Borrowings outstanding, end of period (000)	$	277,642		$	303,651		$	168,301		$	172,537		$	182,679		$	152,301

Portfolio turnover rate		15%			55%	⁹		82%	⁹		100%	⁹		290%	⁹		824%	⁹

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

Taxable distribution.

⁴

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.

⁵

Aggregate total return.

⁶

Includes proceeds received from a settlement of litigation, which impacted the Trust’s total return. Excluding these proceeds, the total return would have been 16.01%.

⁷

Annualized.

⁸

Includes reorganization costs associated with the Trust’s merger. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 0.94%, 0.94% and 0.82% for the year ended August 31, 2015 and 1.00%, 0.96% and 0.85% for the year ended August 31, 2014, respectively.

⁹

Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:


	Year Ended August 31,
	2015		2014		2013		2012		2011

Portfolio turnover (excluding MDRs )		51%		48%		63%		237%		544%


Financial Highlights		BlackRock Corporate High Yield Fund, Inc. (HYT)


	Six Months Ended February 29, 2016¹ (Unaudited)			Year Ended August 31,
	Six Months Ended February 29, 2016¹ (Unaudited)			2015¹			2014¹			2013¹			2012¹			2011

Per Share Operating Performance
Net asset value, beginning of period	$	12.06		$	13.47		$	12.62		$	12.32		$	11.49		$	11.38

Net investment income²		0.42			0.87			0.98			1.00			1.04			1.06
Net realized and unrealized gain (loss)		(1.29	)		(1.31	)		0.91			0.41			0.83			0.05

Net increase (decrease) from investment operations		(0.87	)		(0.44	)		1.89			1.41			1.87			1.11

Distributions from net investment income³		(0.57	)		(0.97	)		(1.04	)		(1.11	)		(1.04	)		(1.00	)

Net asset value, end of period	$	10.62		$	12.06	⁴	$	13.47		$	12.62		$	12.32		$	11.49

Market price, end of period	$	9.77		$	9.97		$	12.07		$	11.37		$	12.96		$	11.21


Total Return⁵
Based on net asset value		(6.75)%	⁶		(2.40)%	⁴		16.21%			11.90%			17.14%			9.95%

Based on market price		3.77%	⁶		(9.96)%			15.58%			(4.16)%			26.30%			9.09%


Ratios to Average Net Assets
Total expenses		1.36%	^7,8		1.37%			1.35%	⁹		1.54%	¹⁰		1.51%			1.41%

Total expenses after fees waived and paid indirectly		1.36%	^7,8		1.37%			1.35%	⁹		1.54%	¹⁰		1.51%			1.41%

Total expenses after fees waived and paid indirectly and excluding interest expense and income tax		0.94%	^7,8		0.96%			0.98%	⁹		1.16%	^10,11		1.19%	¹²		1.12%

Net investment income		7.42%	⁷		6.88%			7.40%			7.83%			8.84%			8.80%


Supplemental Data
Net assets, end of period (000)	$	1,344,876		$	1,527,307		$	1,705,422		$	446,847		$	435,955		$	405,697

Borrowings outstanding, end of period (000)	$	506,000		$	631,000		$	723,000		$	191,000		$	181,000		$	130,000

Asset coverage, end of period $1,000 of bank borrowings	$	3,658		$	3,419		$	3,359		$	3,340		$	3,409		$	4,121

Portfolio turnover rate		27%			57%			64%			77%			61%			87%

Consolidated Financial Highlights.

Based on average shares outstanding.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

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.

⁵

⁶

Aggregate total return.

⁷

Annualized.

⁸

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.04% for the six months ending February 29, 2016.

⁹

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.

¹⁰

¹¹

For the year ended August 31, 2013, the total expense ratio after fees waived and paid indirectly and excluding interest expense, borrowing costs and income tax was 1.15%.

¹²

For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs was 1.09%.


Financial Highlights		BlackRock Income Trust, Inc. (BKT)


	Six Months Ended February 29, 2016 (Unaudited)			Year ended August 31,
	Six Months Ended February 29, 2016 (Unaudited)			2015			2014			2013			2012			2011

Per Share Operating Performance
Net asset value, beginning of period	$	7.08		$	7.27		$	7.32		$	7.94		$	7.96		$	7.76

Net investment income¹		0.14			0.32			0.35			0.32			0.39			0.35
Net realized and unrealized gain (loss)		0.00	²		(0.11	)		0.03			(0.46	)		0.06			0.19

Net increase (decrease) from investment operations		0.14			0.21			0.38			(0.14	)		0.45			0.54

Distributions:³
From net investment income		(0.19	)		(0.40	)		(0.43	)		(0.48	)		(0.27	)		(0.34	)
From net realized gain		—			—			—			—			(0.20	)		—

Total distributions		(0.19	)		(0.40	)		(0.43	)		(0.48	)		(0.47	)		(0.34	)

Net asset value, end of period	$	7.03		$	7.08		$	7.27		$	7.32		$	7.94		$	7.96

Market price, end of period	$	6.54		$	6.30		$	6.42		$	6.40		$	7.63		$	7.18


Total Return⁴
Based on net asset value		2.20%	⁵		3.56%			6.05%			(1.45	)%		6.24%			7.70%

Based on market price		6.84%	⁵		4.35%			7.12%			(10.34	)%		13.19%			8.47%


Ratios to Average Net Assets
Total expenses		1.04%	⁶		0.99%	⁷		1.02%	⁷		1.00%			0.97%			1.06%

Total expenses after fees waived and paid indirectly		1.04%	⁶		0.99%	⁷		1.02%	⁷		1.00%			0.97%			1.05%

Total expenses after fees waived and paid indirectly and excluding interest expense		0.89%	⁶		0.90%	⁷		0.96%	⁷		0.90%			0.90%			0.94%

Net investment income		4.13%	⁶		4.48%			4.74%			4.18%			4.86%			4.43%


Supplemental Data
Net assets, end of period (000)	$	449,688		$	452,616		$	464,933		$	467,948		$	507,852		$	508,765

Borrowings outstanding, end of period (000)	$	155,552		$	173,695		$	205,415		$	148,344		$	119,706		$	233,676

Portfolio turnover rate⁸		85%			191%			256%			358%			487%			899%

Based on average shares outstanding.

Amount is less than $0.005.

Distributions for annual periods determined in accordance with federal income tax regulations.

⁴

⁵

Aggregate total return.

⁶

Annualized.

⁷

⁸

Includes MDRs. Additional information regarding portfolio turnover rate is as follows:


	Six Months Ended February 29, 2016		Year Ended August 31,
	Six Months Ended February 29, 2016		2015		2014		2013		2012		2011

Portfolio turnover (excluding MDRs)		38%		78%		125%		196%		230%		387%


Notes to Financial Statements (Unaudited)

1. Organization:

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Trusts”, or individually, 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

BlackRock Income Trust, Inc.

BKT

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 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 closed-end funds referred to as the Closed-End Complex.

Reorganizations: The Board and shareholders of BHK and the Board and shareholders of BlackRock Income Opportunity Trust, Inc. (“BNA” or the “BHK Target Fund”) approved the reorganization of the BHK Target Fund into BHK. As a result BHK acquired substantially all of the assets and assumed substantially all of the liabilities of the BHK Target Fund in exchange for an equal aggregate value of newly-issued Common Shares of BHK. The purpose of this transaction was to combine two funds managed by the Manager with the same or substantially similar (but not identical) investment objectives, investment policies, strategies, risks and restrictions. The reorganization was a tax-free event and was effective on November 10, 2014.

Each Common Shareholder of the Target Fund received Common Shares of BHK in an amount equal to the aggregate net asset value of such Common Shareholder’s Target Fund Common Shares, as determined at the close of business on November 7, 2014, less the costs of the Target Fund’s reorganization. Cash was distributed for any fractional shares.

The reorganization was accomplished by a tax-free exchange of Common Shares of BHK in the following amount and at the following conversion ratio:

Target Fund

Shares Prior to
Reorganization

Conversion
Ratio

Shares of

BHK

BNA

34,456,370

0.78050585

26,893,279

The Target Fund’s net assets and composition of net assets on November 7, 2014, the valuation date of the reorganization, was as follows:


	BNA
Net assets	$	399,906,040
Paid-in capital	$	384,183,492
Distributions in excess of net investment income	$	(65,119	)
Accumulated net realized loss	$	(14,090,276	)
Net unrealized appreciation (depreciation)	$	29,877,943

For financial reporting purposes, assets received and shares issued by BHK were recorded at fair value. However, the cost basis of the investments received from BHK Target Fund was carried forward to align ongoing reporting of BHK’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.

The net assets of BHK before the acquisition were $402,115,685. The aggregate net assets of BHK immediately after the acquisition amounted to $802,021,725. The following key components of BNA prior to the reorganization were as follows:

Target Fund

Fair Value of

Investments and
Derivative Financial
Instruments

Cost of

Investments

BNA

587,550,335

557,681,213

In connection with the reorganization, BHK’s investment advisory fee was reduced by 5 basis points, from 0.55% of BHK’s average weekly net assets to 0.50% of BHK’s average weekly net assets as defined in Note 6. In addition to this reduction, BHK’s contractual investment advisory fee waiver of 0.03%, as a percentage of average weekly net assets, was discontinued in connection with the reorganization.

Assuming the acquisition had been completed on September 1, 2014, the beginning of the fiscal reporting period of BHK, the pro forma results of operations for the year ended August 31, 2015, are as follows:

•

Net investment income/loss: $46,563,761

•

Net realized and change in unrealized gain/loss on investments: $(39,413,545)

•

Net increase/decrease in net assets resulting from operations: $7,150,216



70	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Notes to Financial Statements (continued)

Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of BHK Target Fund that have been included in BHK’s Statement of Operations since November 10, 2014.

Reorganization costs incurred in connection with the reorganization were expensed by BHK.

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. (the “Taxable Subsidiaries”), which are wholly owned taxable subsidiaries of HYT which hold shares of private Canadian companies, Laricina Energy Ltd. and Osum Oil Sands Corp. Such shares are held in the Taxable Subsidiaries in order to realize benefits under the Double Tax Avoidance Convention between Canada and Luxembourg, the result of which is gains on the sale of such shares will not be subject to capital gains taxes in Canada. Income earned on the investment held by the Taxable Subsidiary may be taxable to such subsidiary in Luxembourg. A tax provision, if any, is included in expenses in the Consolidated Statement of Operations for HYT. The net assets of the Taxable Subsidiary as of period end were $867,648 which is 0.1% of HYT’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Taxable Subsidiary is 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:

Foreign Currency: Each Trust’s books and records are maintained in U.S. dollars. 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 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 federal income tax purposes.

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., dollar rolls, TBA sale commitments, financial futures contracts, forward foreign currency exchange contracts, options written, swaps and short sales) or certain borrowings (e.g., reverse repurchase transactions and treasury roll transactions) that would be treated as “senior securities” for 1940 Act purposes, a Trust may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowing to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Trust 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.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Trusts are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Distributions: Distributions from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend date. Portions of return of capital distributions under U.S. GAAP may be taxed at ordinary income rates. The character of distributions is determined in accordance with 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, as measured on a tax basis, constitute a non-taxable return of capital. Realized net capital gains can be offset by capital losses carried forward from prior years. However, certain Trusts have capital loss carryforwards from pre-2012 tax years that offset realized net capital gains but do not offset current and accumulated earnings and profits. Consequently, if distributions in any tax year are less than the Trust’s current earnings and profits but greater than net investment income and net realized capital gains (taxable income), distributions in excess of taxable income are not treated as non-taxable return of capital, but rather may be taxable to shareholders at ordinary income rates. Under certain circumstances, taxable excess distributions could be significant.



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Notes to Financial Statements (continued)

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the independent Trustees (“Independent Trustees”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, if applicable. Deferred compensation liabilities are included in officer’s and trustees’ 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 Standard: In April 2015, the Financial Accounting Standards Board issued “Fair Value Measurement: Disclosures for Investments in Certain Entities that Calculate Net Asset Value per Share (or Its Equivalent)” which eliminates the requirement to categorize investments within the fair value hierarchy when fair value is based on the NAV per share and no quoted market value is available. The new guidance also requires revised disclosures regarding these investments. As of February 29, 2016, certain investments of HYT were valued using NAV per share for fair value and have been excluded from the fair value hierarchy due to the adoption of this accounting standard.

Indemnifications: In the normal course of business, each 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.

The Trusts have an arrangement with their custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges. Effective October 2015, the custodian is imposing fees on certain uninvested cash balances.

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 New York Stock Exchange (“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 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 provide oversight of the pricing function for the Trusts for all financial instruments.

Fair Value Inputs and Methodologies: The following methods (or “techniques”) 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 close 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.

•

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business 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 business on the NYSE, which follows the close of the local markets.

•

Bond investments are valued on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. 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, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche.



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Notes to Financial Statements (continued)

•

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.

•

To-be-announced (“TBA”) commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services.

•

Financial futures contracts traded on exchanges are valued at their last sale price.

•

Investments in open-end U.S. mutual funds are valued at NAV each business day.

•

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 business on the NYSE. Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

•

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. OTC options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

•

Swap agreements are valued utilizing quotes received daily by the Trusts’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such instruments, 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”). 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 consistent with the principles of fair value measurement, which include the market approach, income approach and/or in the case of recent investments, the cost approach, as appropriate. The market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and is adjusted for liquidity as appropriate. These factors include but are not limited to: (i) attributes specific to the investment or asset; (ii) the principal market for the investment or asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an active market existed. The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of the Trusts’ pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

•

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Trust has the ability to access

•

Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs)

•

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including each Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

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,



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Notes to Financial Statements (continued)

the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for each Trust’s investments and derivative financial instruments has been included in the Schedules of Investments.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Trust’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

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, the Trusts may subsequently have to reinvest the proceeds at lower interest rates. If a Trust has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

For mortgage pass-through securities (the “Mortgage Assets”), there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”) include collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), which are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or mortgage pass-through securities (the “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, the Trusts’ initial investment in the IOs may not fully recoup.



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Notes to Financial Statements (continued)

Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. The Trusts also may invest in stripped mortgage-backed securities that are privately issued.

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, or in the case of trust preferred securities, by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities 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 the trust preferred 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. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

Preferred Stock: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Warrants: Warrants entitle a Trust to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the exercise price before the warrant expires, the warrant generally expires without any value and a Trust will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.

Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged. A Trust may invest in obligations of borrowers who are in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result to proceeds from the sale to not be readily available for a Trust to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a Trust’s investment policies.

When a Trust purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a Trust may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by the Trusts upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A Trust may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. A Trust may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a Trust having a contractual relationship only with the lender, not with the borrower. A Trust has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a Trust generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A Trust may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a Trust assumes the credit risk of both the borrower and the lender that is selling the Participation. A Trust’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a Trust may



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Notes to Financial Statements (continued)

be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a Trust having a direct contractual relationship with the borrower, and a Trust may enforce compliance by the borrower with the terms of the loan agreement.

Forward Commitments and When-Issued Delayed Delivery Securities: Certain Trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. A Trust may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, a Trust may be required to pay more at settlement than the security is worth. In addition, a Trust is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a Trust assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Trust’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

TBA Commitments: TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a Trust may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.

In order to better define contractual rights and to secure rights that will help a Trust mitigate their counterparty risk, TBA commitments may be entered into by the Trusts under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. The collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by a Trust and the counterparty. Cash collateral that has been pledged to cover the obligations of a Trust and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a Trust, if any, is noted in the Schedules of Investments. Typically, a Trust is permitted to sell, repledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a Trust are not fully collateralized, contractually or otherwise, a Trust bears the risk of loss from counterparty non-performance.

Mortgage Dollar Roll Transactions: Certain Trusts may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a Trust is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and realize gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a Trust is required to purchase may decline below the agreed upon repurchase price of those securities.

Borrowed Bond Agreements: Repurchase agreements may be referred to as borrowed bond agreements when entered into in connection with short sales of bonds. In a borrowed bond agreement, a Trust borrows a bond from a counterparty in exchange for cash collateral. The agreement contains a commitment that the security and the cash will be returned to the counterparty and a Trust at a mutually agreed upon date. Certain agreements have no stated maturity and can be terminated by either party at any time. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon rates between a Trust and the counterparty. The value of the underlying cash collateral approximates the market value and accrued interest of the borrowed bond. To the extent that a borrowed bond transaction exceeds one business day, the value of the cash collateral in the possession of the counterparty is monitored on a daily basis to ensure the adequacy of the collateral. As the market value of the borrowed bond changes, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. A Trust may also experience delays in gaining access to the collateral.

Commitments: Commitments are agreements to acquire an investment at a future date (subject to conditions) in connection with a potential public or non-public offering. Such agreements may obligate HYT to make future cash payments. As of February 29, 2016, HYT had outstanding commitments of $67,300,000 in connection with the Chapter 11 cases of Energy Future Holdings Corp., et al. The commitment is not included in the net assets of HYT as of February 29, 2016.

Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third party broker dealers in which a Trust sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A Trust receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a Trust continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A Trust may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a Trust suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a Trust would still be required to pay the full repurchase price. Further, a Trust remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a Trust would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.



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Notes to Financial Statements (continued)

Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a Trust to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a Trust may receive a fee for use of the security by the counterparty, which may result in interest income to a Trust.

Treasury Roll Transactions: In a treasury roll transaction, a Trust sells a Treasury security to a counterparty with a simultaneous agreement to repurchase the same security at an agreed upon price and future settlement date. A Trust receives cash from the sale of the Treasury security to use for other investment purposes. The difference between the sale price and repurchase price represents net interest income or net interest expense reflective of an agreed upon rate between a Trust and the counterparty over the term of the borrowing. For U.S. GAAP purposes, a treasury roll transaction is accounted for as a secured borrowing and not as a purchase or sale. During the term of the borrowing, interest income from the Treasury security and the related interest expense on the secured borrowing is recorded by a Trust on an accrual basis. A Trust will benefit from the transaction if the income earned on the investment purchased with the cash received in the treasury roll transaction exceeds the interest expense incurred by a Trust. If the interest expense exceeds the income earned, a Trust’s net investment income and dividends to shareholders may be adversely impacted. Treasury roll transactions involve leverage risk. If a Trust suffers a loss on its investment of the transaction proceeds from a Treasury roll transaction, a Trust would be required to pay the full repurchase price. Further, a Trust remains subject to the risk that the market value of the Treasury securities that a Trust is required to repurchase may decline below the agreed upon repurchase price of those securities. In such cases, a Trust would need to return a portion of the cash received from the transaction or provide additional Treasury securities to the counterparty.

For the six months ended February 29, 2016, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rates were as follows:


	Average Amount Outstanding		Daily Weighted Average Interest Rate
BHK	$	298,288,280		0.41%
BKT	$	160,541,671		0.44%

Borrowed bond agreements and reverse repurchase transactions are entered into by a Trust under Master Repurchase Agreements (each, an “MRA”), which permit a Trust, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a Trust. With borrowed bond agreements and reverse repurchase transactions, typically a Trust and the counterparty under an MRA are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a Trust receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by a Trust upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a Trust is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

As of period end, the following table is a summary of the Trusts’ open borrowed bond agreements and reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:


BHK
Counterparty	Reverse Repurchase Agreements		Fair Value of Non-cash Collateral Pledged Including Accrued Interest¹			Cash Collateral Pledged		Net Amount
Barclays Capital, Inc.	$	12,939,355	$	(12,939,355	)		—		—
BNP Paribas Securities Corp.		141,085,600		(141,085,600	)		—		—
Credit Suisse Securities (USA) LLC		5,026,298		(5,026,298	)		—		—
HSBC Securities (USA), Inc.		43,321,821		(43,321,821	)		—		—
Merrill Lynch, Pierce, Fenner & Smith, Inc		2,156,579		(2,156,579	)		—		—
RBC Capital Markets, LLC		36,281,590		(36,281,590	)		—		—
UBS Ltd.		36,830,967		(36,830,967	)		—		—

Total	$	277,642,210	$	(277,642,210	)		—		—

Net collateral with a value of $285,103,010 has been pledged in connection with open reverse repurchase agreements. Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	77


Notes to Financial Statements (continued)


BKT
Counterparty	Borrowed Bonds Agreements¹		Reverse Repurchase Agreements			Borrowed Bonds at Value including Accrued Interest²			Net Amount before Collateral			Non-cash Collateral Received		Cash Collateral Received			Non-cash Collateral Pledged		Cash Collateral Pledged		Net Collateral (Received)/ Pledged³		Net Exposure Due (to)/from Counterparty³
BNP Paribas Securities Corp		—	$	(2,883,910	)		—		$	(2,883,910	)		—		—		$	2,883,910		—	$	2,883,910		—
Credit Suisse Securities (USA) LLC	$	868,000		(19,679,149	)	$	(955,934	)		(19,767,083	)		—	$	(231	)		19,767,314		—		19,767,083		—
HSBC Securities (USA) LLC		—		(132,989,399	)		—			(132,989,399	)		—		—			132,989,399		—		132,989,399		—

Total	$	868,000	$	(155,552,458	)	$	(955,934	)	$	(155,640,392	)		—	$	(231	)	$	155,640,623		—	$	155,640,392		—

Included in Investments at value-unaffiliated in the Statements of Assets and Liabilities.

Includes accrued interest on borrowed bonds in the amount of $7,413 which is shown as interest expense payable in the Statements of Assets and Liabilities.

Net collateral with a value of $160,504,646 has been pledged in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes.

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a Trust’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a Trust’s obligation to repurchase the securities.

Short Sale Transactions: In short sale transactions, a Trust sells a security it does not hold in anticipation of a decline in the market price of that security. When a Trust makes a short sale, it will borrow the security sold short (borrowed bond) and deliver the security to the counterparty to which it sold the security short. An amount equal to the proceeds received by a Trust is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. A Trust is required to repay the counterparty interest on the security sold short, which, if applicable, is shown as interest expense in the Statements of Operations. A Trust is exposed to market risk based on the amount, if any, that the market value of the security increases beyond the market value at which the position was sold. Thus, a short sale of a security involves the risk that instead of declining, the price of the security sold short will rise. The short sale of securities involves the possibility of an unlimited loss since there is an unlimited potential for the market price of the security sold short to increase. A gain is limited to the price at which a Trust sold the security short. A realized gain or loss is recognized upon the termination of a short sale if the market price is either less than or greater than the proceeds originally received. There is no assurance that a Trust will be able to close out a short position at a particular time or at an acceptable price.

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 economically their exposure to certain risks such as credit risk, equity risk, interest rate risk and foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.

Financial Futures Contracts: Certain Trusts invest in long and/or short positions in financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk). Financial 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 the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date.

Upon entering into a financial futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited, if any, is recorded on the Statements of Assets and Liabilities as cash pledged for financial futures contracts. 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 value of the contract. Such receipts or payments are known as variation margin. Variation margin is recorded by the Trusts as unrealized appreciation (depreciation) and, if applicable, as a receivable or payable for variation margin in the Statements of Assets and Liabilities.

When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign currency exchange rates and the underlying assets.

Forward Foreign Currency Exchange Contracts: Certain Trusts enter into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, 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 future date.



78	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Notes to Financial Statements (continued)

Forward foreign currency exchange contracts, when used by the Trusts, help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The contract is marked-to-market daily and the change in market value is recorded by the Trusts as an unrealized gain or loss. When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

Options: Certain Trusts purchase and write call and put options to increase or decrease their exposure to underlying instruments including equity risk, interest rate 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. When the Trusts purchase (write) an option, an amount equal to the premium paid (received) by the Trusts are reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or the Trusts enter into a closing transaction), the Trusts realize a gain or loss on the option to the extent of the premiums received or paid (or gain or loss 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 “covered,” meaning that the Trusts hold the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, such option is covered by cash in an amount sufficient to cover the obligation.

Options on swaps (“swaptions”) are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swaptions is granting or buying 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.

Certain Trusts also purchase or sell listed or OTC foreign currency options, foreign currency futures and related options on foreign currency futures as a short or long hedge against possible variations in foreign exchange rates or to gain exposure to foreign currencies (foreign currency exchange rate risk). When foreign currency is purchased or sold through an exercise of a foreign currency option, the related premium paid (or received) is added to (or deducted from) the basis of the foreign currency acquired or deducted from (or added to) the proceeds of the foreign currency sold (receipts from the foreign currency purchased). Such transactions may be effected with respect to hedges on non-U.S. dollar denominated instruments owned by the Trusts but not yet delivered, or committed or anticipated to be purchased by the Trusts.

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 the Trusts may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security when it otherwise would not, or at a price different from the current market value.

Swaps: Certain Trusts enter into swap agreements in which the Trusts and a counterparty agree either 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”). Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation).

For OTC swaps, any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and 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 OTC swap. Payments received or made by the Trusts for OTC swaps are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, the Trusts will record a realized gain or loss 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 agreement, the swap agreement 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 a 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 on the Schedules of Investments and cash deposited is recorded on the Statements of Assets and Liabilities as cash pledged for centrally cleared swaps. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gain (loss) in the Statements of Operations.

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.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	79


Notes to Financial Statements (continued)

•

Credit default swaps — Certain Trusts enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are 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 on single-name issuers are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a guarantee 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 accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occur. 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.

•

Interest rate swaps — Certain Trusts enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds, which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, 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 swaps, the notional principal amount may decline (or amortize) over time.

•

Forward interest rate 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 either periodic net payments beginning on a specified future effective date or a net payment at termination, unless terminated earlier.

•

Total return swaps — Certain Trusts enter into total return swaps to obtain exposure to a security or market without owning such security or investing directly in that market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk). Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Trusts will receive a payment from or make a payment to the counterparty.

Master Netting Arrangements: In order to better define the Trusts’ 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. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Trusts’ net assets decline by a stated percentage or the Trusts fail to meet the terms of their ISDA Master Agreements. The result would cause the Trusts to accelerate payment of any net liability owed to the counterparty.

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 on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Trusts, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (typically either $250,000 or $500,000) 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 Trusts’ counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The Trusts 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, the Trusts may pay interest pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Trusts from their counterparties are not fully collateralized, the Trusts bear the risk of loss from counterparty non-performance. Likewise, to the extent the Trusts have delivered collateral to a counterparty and stand ready



80	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Notes to Financial Statements (continued)

to perform under the terms of their agreement with such counterparty, the Trusts bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Trusts do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Investment Advisory Fees

Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory services and administration services for BHK and HYT. 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.

Each Trust pays the Manager a monthly fee, which is determined by calculating a percentage of a Trust’s average daily net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage, based on the following annual rates:


	BHK		HYT		BKT
Investment advisory fees		0.50%		0.60%		0.65%

BKT has an Administration Agreement with the Manager. The administration fee paid to the Manager is computed weekly and payable monthly based on an annual rate of 0.15% of BKT’s average net assets.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds. These amounts are included in fees waived by the Manager in the Statements of Operations. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Trust’s investments in other affiliated investment companies, if any. For the six months ended February 29, 2016, the amounts waived were as follows:


	BHK		HYT		BKT
Amounts waived	$	3,810	$	428	$	2,962

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, which includes the assets of the Taxable Subsidiaries.

Officers and Trustees Fees

Certain officers and/or Trustees of the Trusts are officers and/or directors 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 Officer and Trustees in the Statements of Operations.

Distribution Fees

HYT has entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of HYT’s Common Shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”). Pursuant to the Distribution Agreement, HYT will compensate BRIL with respect to sales of Common Shares at a commission rate of 1.00% of the gross proceeds of the sale of HYT’s Common Shares and a portion of such commission is re-allowed to broker-dealers engaged by BRIL.

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 advisor, common officers, or common trustees. For the six months ended February 29, 2016, the purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act for HYT are $1,744,815 and $532,987, respectively.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	81


Notes to Financial Statements (continued)

7. Purchases and Sales:

For the six months ended February 29, 2016, purchases and sales of investments including paydowns, mortgage dollar rolls and TBA transactions and excluding short-term securities were as follows:


Purchases
	BHK		HYT		BKT
Non-U.S. Government Securities	$	143,948,582	$	535,727,056	$	480,867,354
U.S. Government Securities		13,392,722		—		35,339,014

Total Purchases	$	157,341,304	$	535,727,056	$	516,206,368

Sales
	BHK		HYT		BKT
Total Sales	$	190,156,736	$	658,292,065	$	530,221,873

For the six months ended February 29, 2016, purchases and sales related to mortgage dollar rolls for BKT were $282,417,226 and $282,506,393, respectively.

8. Income Tax Information:

It is the Trusts’ 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 their taxable income to their shareholders. Therefore, no federal income tax provision is required, except with respect to any taxes related to the Taxable Subsidiaries.

The Trusts file U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Trusts’ U.S. federal tax returns remains open for each of the four years ended August 31, 2015. The statutes of limitations on the Trusts’ state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Trusts as of February 29, 2016, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Trusts’ financial statements.

As of February 29, 2016, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:


Expires	BHK		HYT		BKT
No expiration date¹		—	$	21,747,079	$	32,236,680
2016		—		4,056,597		—
2017	$	5,617,079		95,246,388		—
2018		—		55,665,607		—

Total	$	5,617,079	$	176,715,671	$	32,236,680

Must be utilized prior to losses subject to expiration.

As of February 29, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:


	BHK			HYT			BKT
Tax cost	$	1,009,923,476		$	2,019,928,751		$	624,744,535

Gross unrealized appreciation	$	40,839,140		$	25,388,551		$	30,154,639
Gross unrealized depreciation		(34,039,617	)		(222,012,345	)		(22,244,303	)

Net unrealized appreciation (depreciation)	$	6,799,523		$	(196,623,794	)	$	7,910,336

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 their assets to SSB.

The SSB Agreement allows for the following maximum commitment of $798,000,000 for HYT.

Advances will be made by SSB to the HYT, at HYT’s option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above the Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR.



82	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Notes to Financial Statements (continued)

In addition, HYT paid a facility fee and may pay a commitment fee (based on the daily unused portion of the commitments). The commitment fees are waived if HYT meet certain conditions. 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 February 29, 2016 are shown in the Statements of Assets and Liabilities as bank borrowings payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.

HYT may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.

For the six months ended February 29, 2016, the average amount of bank borrowings and the daily weighted average interest rates for HYT with loans under the revolving credit agreements were $579,956,044 and 1.04%.

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 Fund’s ability to buy or sell bonds. As a result, a Fund 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 Fund 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 and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers of securities owned by the Trusts. Changes arising from the general economy, the overall market and local, regional or global political and/or social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

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 Fund portfolio’s current earnings rate.

Counterparty Credit Risk: Similar to issuer 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.

The Trusts’ 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 the Trusts.

For OTC options purchased, the Trusts bear the risk of loss of 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, though the Trusts may be exposed to counterparty credit risk with respect to options written to the extent the Trusts deposit collateral with its counterparty to a written option.

With exchange-traded options purchased and futures and centrally cleared swaps, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Trusts do 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.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	83


Notes to Financial Statements (concluded)

Concentration Risk: 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 may invest in municipal bonds below investment grade quality (sometimes called “junk bonds”), which are predominantly speculative, have greater credit risk and generally are less liquid and have more volatile prices than higher quality securities.

Certain Trusts invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Investment percentages in these securities are presented in the Schedules of Investments. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.

11. Capital Share Transactions:

HYT filed a final prospectus with the U.S. Securities and Exchange Commission (“SEC”) allowing it is issue an additional 10,425,000 Common Shares through an equity shelf program (a “Shelf Offering”). Under the Shelf Offering, HYT, subject to market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above HYT’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). HYT has not issued any Common Shares through the Shelf Offering. Please see Additional Information — Shelf Offering Program for additional information about the Shelf Offering. Costs incurred by HYT in connection with the Shelf Offering are recorded as a deferred charge and amortized over 12 months.

BHK is authorized to issue an unlimited number of shares, par value $0.001, all of which were initially classified as Common Shares. BKT is authorized to issue 200 million shares, par value $0.01, all of which were initially classified as Common Shares. 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 shares to Preferred Shares without approval of Common Shareholders.

For the six months ended February 29, 2016, shares issued and outstanding remained constant for BHK, HYT and BKT. For the year ended August 31, 2015, shares issued and outstanding increased by 26,893,279 for BHK due to the reorganization for BHK and remained constant for HYT and BKT.

12. Contingencies:

In May 2015, the Motors Liquidation Company Avoidance Action Trust, as the Trust Administrator and Trustee of the General Motors bankruptcy estate, began serving amended complaints on defendants, which include former holders of certain General Motors debt (the “Debt”), in an adversary proceeding in the United States Bankruptcy Court for the Southern District of New York. In addition to HYT, the lawsuit also names over five hundred other institutional investors as defendants, some of which are also managed by BlackRock Advisors, LLC or its affiliates. The plaintiffs are seeking an order that HYT and other defendants return proceeds received in 2009 in full payment of the principal and interest on the Debt. The holders received a full repayment of a term loan pursuant to a court order in the General Motors bankruptcy proceeding with the understanding that the Debt was fully secured at the time of repayment. The plaintiffs contend that HYT and other defendants were not secured creditors at the time of the 2009 payments and therefore not entitled to the payments in full. HYT cannot predict the outcome of the lawsuit, or the effect, if any, on HYT’s net asset value. As such, no liability for litigation related to this matter is reflected in the financial statements. Management cannot determine the amount of loss that will be realized by HYT but does not expect the loss to exceed the payment received in 2009. The amount of the proceeds received in 2009 is $3,528,671.

13. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

The Trusts paid a net investment income dividend in the following amounts per share on March 31, 2016 to shareholders of record on March 15, 2016:


	Common Dividend Per Share
BHK	$	0.0710
HYT	$	0.0700
BKT	$	0.0265

Additionally, the Trusts declared a net investment income dividend on April 1, 2016 payable to Common Shareholders of record on April 15, 2016 for the same amounts noted above.



84	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Officers and Trustees

Richard E. Cavanagh, Chair of the Board and Trustee

Karen P. Robards, Vice Chair of the Board, Chair of the Audit Committee and Trustee

Michael J. Castellano, Trustee and Member of the Audit Committee

Frank J. Fabozzi, Trustee and Member of the Audit Committee

Jerrold B. Harris, Trustee

R. Glenn Hubbard, Trustee

W. Carl Kester, Trustee and Member of the Audit Committee

Barbara G. Novick, Interested Trustee

John M. Perlowski, Interested Trustee, President and Chief Executive Officer

Jonathan Diorio, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Janey Ahn, Secretary

Effective December 31, 2015, Kathleen F. Feldstein and James T. Flynn retired as Trustees of the Trusts.

Effective March 1, 2016, Catherine A. Lynch was appointed to serve as a Trustee and a Member of the Audit Committee of the Trusts.

Effective April 1, 2016, Cynthia L. Egan was appointed to serve as a Trustee of the Trusts.

Effective April 29, 2016, Ron Sion and Matthew Kraeger became portfolio managers of BKT. The other portfolio managers are Akiva Dickstein and Thomas Musmanno.

For HYT.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	85


Additional Information

Trust Certification

The Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts filed with the SEC the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

Dividend Policy

Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the distributions paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. Distributions in excess of a Trust’s taxable income and net capital gains, but not in excess of a Trust’s earnings and profits, will be taxable to shareholders as ordinary income and will not constitute a nontaxable return of capital. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

General Information

BHK and BKT do not make available copies of their respective Statements of Additional Information because each of BHK and BKT’s shares are not continuously offered, which means that BHK and BKT’s respective Statements of Additional Information have not been updated after the completion of BHK and BKT’s respective offerings and the information contained in BHK and BKT’s Statements of Additional Information may have become outdated.

HYT’s Statement of Additional Information includes additional information about its Board and is available, without charge upon request by calling (800) 882-0052.

During the period, there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charter or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders or in the principal risk factors associated with investment in the Trusts. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the Trusts’ electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisors, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Trusts’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.



86	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


Additional Information (concluded)


General Information (concluded)

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 882-0052; and (2) on the SEC’s website at http://www.sec.gov.

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Shelf Offering Program

From time-to-time, each Trust may seek to raise additional equity capital through an equity shelf program (a “Shelf Offering”). In a Shelf Offering, a Trust may, subject to market conditions, raise additional equity capital by issuing new Common Shares from time to time in varying amounts at a net price at or above the Trust’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow a Trust to pursue additional investment opportunities without the need to sell existing portfolio investments, it could also entail risks — including that the issuance of additional Common Shares may limit the extent to which the Common Shares are able to trade at a premium to NAV in the secondary market. Each Trust, other than HYT, has not filed a registration statement with respect to any Shelf Offerings. This report is not an offer to sell Trust Common Shares and is not a solicitation of an offer to buy Trust Common Shares. If a Trust files a registration statement with respect to any Shelf Offering, the prospectus contained therein will contain more complete information about the Trust and should be read carefully before investing.

HYT has filed a final prospectus with the SEC in connection with its Shelf Offering. This report and the prospectus are not offers to sell HYT Common Shares or solicitations of an offer to buy HYT Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectus contains important information about HYT, including its investment objectives, risks, charges and expenses. Investors are urged to read the prospectus of HYT carefully and in its entirety before investing. A copy of the final prospectus for HYT can be obtained from BlackRock at http://www.blackrock.com.

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	87

This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Trusts have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

LOGO


CEFBHK-2/16-SAR


Item 2 –		Code of Ethics – Not Applicable to this semi-annual report

Item 3 –		Audit Committee Financial Expert – Not Applicable to this semi-annual report

Item 4 –		Principal Accountant Fees and Services – Not Applicable to this semi-annual report

Item 5 –		Audit Committee of Listed Registrants – Not Applicable to this semi-annual report

Item 6 –		Investments
		(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.
		(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

Item 7 –		Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report

Item 8 –		Portfolio Managers of Closed-End Management Investment Companies
		(a) Not Applicable to this semi-annual report
		(b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

Item 9 –		Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable

Item 10 –		Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

Item 11 –		Controls and Procedures

		(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

		(b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12 –		Exhibits attached hereto

		(a)(1) – Code of Ethics – Not Applicable to this semi-annual report

		(a)(2) – Certifications – Attached hereto

		(a)(3) – Not Applicable

		(b) – Certifications – Attached hereto

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock Corporate High Yield Fund, Inc.


By:		/s/ John M. Perlowski
		John M. Perlowski
		Chief Executive Officer (principal executive officer) of
		BlackRock Corporate High Yield Fund, Inc.

Date: May 2, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By:		/s/ John M. Perlowski
		John M. Perlowski
		Chief Executive Officer (principal executive officer) of
		BlackRock Corporate High Yield Fund, Inc.

Date: May 2, 2016


By:		/s/ Neal J. Andrews
		Neal J. Andrews
		Chief Financial Officer (principal financial officer) of
		BlackRock Corporate High Yield Fund, Inc.

Date: May 2, 2016