UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

 

Investment Company Act file number 811-10543

 

Name of Fund: BlackRock Core Bond Trust (BHK)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Core Bond Trust, 55 East 52nd Street, New York, NY 10055

 

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

 

Date of fiscal year end: 08/31/2014

 

Date of reporting period: 05/31/2014

 

Item 1 – Schedule of Investments

 
 

 

Schedule of Investments May 31, 2014 (Unaudited) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

Common Stocks — 0.0%
Shares		   Value  
   
 
Paper & Forest Products — 0.0%  
NewPage Holdings, Inc.   1,720 $ 146,200  
  
  
 
Asset-Backed Securities Par
(000)		      
 
   
Asset-Backed Securities — 4.5%  
AmeriCredit Automobile Receivables Trust, Series 2011-5, Class C, 3.44%, 10/08/17 USD 400   411,647  
Apidos CDO XI, Series 2012-11A, Class D, 4.48%, 1/17/23 (a)(b)   600   601,688  
Atrium CDO Corp., Series 9A, Class D, 3.73%, 2/28/24 (a)(b)   750   722,116  
Babson CLO Ltd., Series 2012-1X, Class B, 2.73%, 4/15/22 (a)   500   489,634  
Brookside Mill CLO, Ltd., Series 2013-1A, Class C1, 2.93%, 4/17/25 (a)(b)   500   487,138  
CarMax Auto Owner Trust, Series 2012-1:          
  Class B, 1.76%, 8/15/17   210   213,808  
  Class C, 2.20%, 10/16/17   125   128,155  
  Class D, 3.09%, 8/15/18   155   158,963  
CenterPoint Energy Transition Bond Co. LLC, Series 2012-1, Class A3, 3.03%, 10/15/25   1,105   1,119,959  
CIFC Funding Ltd. (a)(b):          
  Series 2012-1A, Class B1L, 5.48%, 8/14/24   750   756,049  
  Series 2013-IA, Class B, 3.04%, 4/16/25   500   492,900  
  Series 2013-IA, Class C, 3.83%, 4/16/25   500   478,643  
Countrywide Asset-Backed Certificates, Series 2006-13, Class 3AV2, 0.30%, 1/25/37 (a)   918   861,159  
Ford Credit Floorplan Master Owner Trust, Series 2012-2:          
  Class B, 2.32%, 1/15/19   245   251,119  
  Class C, 2.86%, 1/15/19   105   109,084  
  Class D, 3.50%, 1/15/19   200   210,566  
Galaxy XV CLO Ltd., Series 2013-15A, Class C, 2.83%, 4/15/25 (a)(b)   500   487,396  
ING IM CLO Ltd., Series 2012-2A, Class C, 3.68%, 10/15/22 (a)(b)   750   750,670  
Nelnet Student Loan Trust (a):          
  Series 2006-1, Class A5, 0.34%, 8/23/27   525   516,372  
  Series 2008-3, Class A4, 1.88%, 11/25/24   615   646,331  
              
Asset-Backed Securities Par
(000)		   Value  
 
Asset-Backed Securities (concluded)  
OZLM Funding III, Ltd., Series 2013-3A, Class B, 3.33%, 1/22/25 (a)(b) USD  750 $ 745,644  
Santander Consumer Acquired Receivables Trust, Series 2011-WO, Class C, 3.19%, 10/15/15 (b)   250   251,065  
Santander Drive Auto Receivables Trust:          
  Series 2010-2, Class C, 3.89%, 7/17/17   723   730,422  
  Series 2010-B, Class C, 3.02%, 10/17/16 (b)   156   156,293  
  Series 2011-1, Class D, 4.01%, 2/15/17   940   971,768  
  Series 2012-1, Class B, 2.72%, 5/16/16   198   198,574  
  Series 2012-1, Class C, 3.78%, 11/15/17   325   334,249  
SLM Private Credit Student Loan Trust, Series 2004-B, Class A2, 0.43%, 6/15/21 (a)   119   117,747  
SLM Private Education Loan Trust, Series 2012-A, Class A1, 1.55%, 8/15/25 (a)(b)   207   209,551  
SLM Student Loan Trust:          
  Series 2008-5, Class A3, 1.53%, 1/25/18 (a)   482   485,468  
  Series 2008-5, Class A4, 1.93%, 7/25/23 (a)   615   645,537  
  Series 2012-A, Class A2, 3.83%, 1/17/45 (b)   345   364,539  
  Series 2014-A, Class B, 3.50%, 11/15/44 (b)   250   242,682  
Structured Asset Securities Corp., Series 2002-AL1, Class A2, 3.45%, 2/25/32   1,051   1,046,222  
Symphony CLO VII, Ltd., Series 2011-7A, Class E, 3.83%, 7/28/21 (a)(b)   750   718,719  
United States Small Business Administration, Series 2004-P10B, Class 1, 4.75%, 8/10/14   60   60,635  
World Financial Network Credit Card Master Trust, Series 2012-C, Class C, 4.55%, 8/15/22   1,180   1,240,973  
   
    18,413,485  
 
Interest Only Asset-Backed Securities — 0.1%  
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (b)   2,700   196,604  
               

 

BLACKROCK CORE BOND TRUSTMAY 31, 20141
 
Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

Asset-Backed Securities Par
(000)		   Value  
 
Interest Only Asset-Backed Securities (concluded)  
Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (b) USD  5,060 $ 343,127  
   
    539,731  
 
Total Asset-Backed Securities — 4.6%   18,953,216  
 
 
 
Corporate Bonds  
 
Aerospace & Defense — 0.6%  
Huntington Ingalls Industries, Inc., 7.13%, 3/15/21   230   251,275  
United Technologies Corp. (c):          
  4.88%, 5/01/15   1,125   1,172,091  
  6.13%, 7/15/38   700   900,153  
   
    2,323,519  
 
Airlines — 1.8%  
American Airlines Pass-Through Trust, Series 2013-2 (b):          
  Class A, 4.95%, 7/15/24   2,285   2,465,260  
  Class B, 5.60%, 1/15/22   507   530,779  
Continental Airlines Pass-Through Trust:          
  Series 2010-1, Class B, 6.00%, 7/12/20   471   501,309  
  Series 2012-3, Class C, 6.13%, 4/29/18   500   532,500  
United Airlines Pass-Through Trust, Series 2013-1, Class A, 4.30%, 2/15/27   2,000   2,051,000  
US Airways Pass-Through Trust, Series 2012-1, Class C, 9.13%, 10/01/15   1,084   1,149,168  
   
    7,230,016  
 
Auto Components — 1.0%  
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:          
  3.50%, 3/15/17   91   92,024  
  4.88%, 3/15/19   1,330   1,361,587  
  6.00%, 8/01/20   953   1,024,475  
  5.88%, 2/01/22   911   947,440  
Jaguar Land Rover Automotive PLC, 4.13%, 12/15/18 (b)   750   777,188  
   
    4,202,714  
 
Auto Parts  — 0.0%  
PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20   161   174,283  
 
Automobiles — 0.9%  
Ford Motor Co., 4.75%, 1/15/43   2,250   2,284,243  
            
Corporate Bonds Par
(000)		   Value  
 
Automobiles (concluded)  
General Motors Co., 6.25%, 10/02/43 (b) USD  1,253 $ 1,423,721  
   
    3,707,964  
 
Building Products — 0.1%  
Cemex SAB de CV, 5.88%, 3/25/19 (b)   200   208,000  
 
Capital Markets — 3.6%  
CDP Financial, Inc., 5.60%, 11/25/39 (b)(c)   2,935   3,679,319  
The Goldman Sachs Group, Inc. (c):          
  5.38%, 3/15/20   1,220   1,382,545  
  5.25%, 7/27/21   3,165   3,557,704  
  5.75%, 1/24/22   1,800   2,082,753  
Morgan Stanley:          
  4.20%, 11/20/14   490   498,802  
  4.00%, 7/24/15   410   425,185  
  6.25%, 8/28/17 (c)   1,930   2,206,538  
Murray Street Investment Trust I, 4.65%, 3/09/17   825   894,404  
   
    14,727,250  
 
Chemicals — 1.3%  
Axiall Corp., 4.88%, 5/15/23 (b)   152   150,860  
The Dow Chemical Co., 4.13%, 11/15/21   350   373,987  
Huntsman International LLC, 4.88%, 11/15/20   298   306,940  
Methanex Corp., 3.25%, 12/15/19   2,074   2,123,929  
Nufarm Australia Ltd., 6.38%, 10/15/19 (b)   245   254,800  
Rockwood Specialties Group, Inc., 4.63%, 10/15/20   1,800   1,847,250  
U.S. Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding BV, 7.38%, 5/01/21 (b)   151   165,345  
   
    5,223,111  
 
Commercial Banks — 4.0%  
Barclays Bank PLC, 7.63%, 11/21/22   1,750   2,010,312  
CIT Group, Inc.:          
  5.50%, 2/15/19 (b)   398   429,840  
  5.38%, 5/15/20   1,650   1,765,500  
Depfa ACS Bank, 5.13%, 3/16/37 (b)   3,775   4,213,440  
HSBC Bank Brasil SA - Banco Multiplo, 4.00%, 5/11/16 (b)   1,400   1,440,250  
HSBC Bank PLC, 3.10%, 5/24/16 (b)   700   731,888  
               

 

BLACKROCK CORE BOND TRUSTMAY 31, 20142
 
Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

Corporate Bonds Par
(000)		   Value  
 
Commercial Banks (concluded)  
HSBC Holdings PLC:          
  4.25%, 3/14/24 USD  1,010 $ 1,040,345  
  6.10%, 1/14/42   305   386,073  
Rabobank Nederland (c):          
  3.88%, 2/08/22   1,390   1,475,043  
  3.95%, 11/09/22   1,500   1,526,130  
Wells Fargo & Co., 3.50%, 3/08/22 (c)   1,390   1,441,936  
   
    16,460,757  
 
Commercial Services & Supplies — 1.0%  
ADS Waste Holdings, Inc., 8.25%, 10/01/20   246   266,295  
Aviation Capital Group Corp. (b):          
  4.63%, 1/31/18   650   682,831  
  7.13%, 10/15/20   900   1,018,511  
Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (b)   217   230,020  
Mobile Mini, Inc., 7.88%, 12/01/20   320   353,600  
The ADT Corp., 4.88%, 7/15/42   539   448,717  
United Rentals North America, Inc.:          
  5.75%, 7/15/18   194   207,095  
  7.38%, 5/15/20   385   429,275  
  7.63%, 4/15/22   452   512,455  
   
    4,148,799  
 
Communications Equipment — 1.2%  
ADC Telecommunications, Inc., 3.50%, 7/15/15 (d)   4,330   4,373,300  
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20   530   579,025  
   
    4,952,325  
 
Construction & Engineering — 0.1%  
ABB Finance USA, Inc., 4.38%, 5/08/42   192   198,358  
BlueLine Rental Finance Corp., 7.00%, 2/01/19 (b)   96   102,720  
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b)   200   212,000  
   
    513,078  
 
Construction Materials — 0.9%  
HD Supply, Inc.:          
  8.13%, 4/15/19   1,815   2,001,037  
  7.50%, 7/15/20   1,544   1,675,240  
              
Corporate Bonds Par
(000)		   Value  
 
Construction Materials (concluded)  
Lafarge SA, 7.13%, 7/15/36 USD  135 $ 155,250  
   
    3,831,527  
 
Consumer Finance — 0.8%  
Discover Financial Services, 3.85%, 11/21/22   250   254,025  
Ford Motor Credit Co. LLC:          
  8.13%, 1/15/20   1,265   1,612,836  
  4.25%, 9/20/22   800   849,514  
SLM Corp., 6.25%, 1/25/16   661   707,270  
   
    3,423,645  
 
Containers & Packaging — 0.5%  
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21   91   97,825  
Sealed Air Corp. (b):          
  6.50%, 12/01/20   550   613,250  
  8.38%, 9/15/21   225   257,625  
Smurfit Kappa Acquisitions (b):          
  4.88%, 9/15/18   410   433,575  
  7.75%, 11/15/19 EUR 410   596,617  
   
    1,998,892  
 
Diversified Consumer Services — 0.1%  
APX Group, Inc., 6.38%, 12/01/19 USD 266   272,650  
 
Diversified Financial Services — 8.0%  
Aircastle Ltd., 6.25%, 12/01/19   708   766,410  
Ally Financial, Inc.:          
  5.50%, 2/15/17   1,500   1,629,375  
  6.25%, 12/01/17   160   178,800  
  8.00%, 3/15/20   560   679,000  
  8.00%, 11/01/31   300   374,625  
Bank of America Corp. (c):          
  5.63%, 7/01/20   1,100   1,268,662  
  3.30%, 1/11/23   4,990   4,913,668  
Capital One Financial Corp., 4.75%, 7/15/21   960   1,070,311  
FMR LLC, 4.95%, 2/01/33 (b)(c)   1,150   1,244,724  
General Electric Capital Corp.:          
  6.15%, 8/07/37 (c)   2,150   2,673,949  
  6.88%, 1/10/39   135   181,095  
General Motors Financial Co., Inc., 4.25%, 5/15/23   401   397,491  
IntercontinentalExchange Group, Inc., 4.00%, 10/15/23   235   248,594  
Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (b)   500   525,000  
JPMorgan Chase & Co. (c):          
  3.70%, 1/20/15   3,425   3,495,589  
  6.30%, 4/23/19   2,000   2,373,030  
               

 

BLACKROCK CORE BOND TRUSTMAY 31, 20143
 
Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

Corporate Bonds Par
(000)		   Value  
 
Diversified Financial Services (concluded)  
JPMorgan Chase Bank NA, 6.00%, 10/01/17 USD  800 $ 911,907  
Macquarie Bank Ltd./London, 10.25%, 6/20/57 (a)   900   1,022,850  
Moody's Corp., 4.50%, 9/01/22   900   947,677  
Northern Trust Corp., 3.95%, 10/30/25   4,000   4,153,760  
Reynolds Group Issuer, Inc.:          
  7.13%, 4/15/19   200   210,000  
  7.88%, 8/15/19   560   611,800  
  5.75%, 10/15/20   1,000   1,040,000  
  6.88%, 2/15/21   680   732,700  
Societe Generale SA, 7.88% (a)(b)(e)   1,000   1,053,000  
   
    32,704,017  
 
Diversified Telecommunication Services — 3.1%  
CenturyLink, Inc., Series V, 5.63%, 4/01/20   400   423,000  
Level 3 Financing, Inc.:          
  8.13%, 7/01/19   698   762,565  
  8.63%, 7/15/20   650   729,625  
Telecom Italia Capital SA, 6.00%, 9/30/34   1,550   1,530,625  
Verizon Communications, Inc. (c):          
  3.50%, 11/01/21   500   515,573  
  6.40%, 2/15/38   3,483   4,253,450  
  6.55%, 9/15/43   3,376   4,285,120  
Windstream Corp., 7.75%, 10/15/20   120   130,200  
   
    12,630,158  
 
Electric Utilities — 4.5%  
The Cleveland Electric Illuminating Co.:          
  8.88%, 11/15/18   121   154,758  
  5.95%, 12/15/36   217   247,134  
CMS Energy Corp., 5.05%, 3/15/22   915   1,042,408  
ComEd Financing III, 6.35%, 3/15/33   150   149,250  
Duke Energy Carolinas LLC:          
  6.10%, 6/01/37   315   397,122  
  6.00%, 1/15/38 (c)   825   1,057,271  
  4.25%, 12/15/41 (c)   375   386,556  
Duke Energy Florida, Inc., 6.40%, 6/15/38   430   578,408  
E.ON International Finance BV, 6.65%, 4/30/38 (b)(c)   1,525   1,961,479  
Electricite de France SA, 5.60%, 1/27/40 (b)(c)   1,400   1,606,468  
Florida Power Corp., 6.35%, 9/15/37 (c)   1,325   1,759,040  
            
Corporate Bonds Par
(000)		   Value  
 
Electric Utilities (concluded)  
Jersey Central Power & Light Co., 7.35%, 2/01/19 USD  245 $ 296,366  
Ohio Power Co., Series D, 6.60%, 3/01/33   1,500   1,928,716  
PacifiCorp, 6.25%, 10/15/37   575   752,121  
Public Service Co. of Colorado, Series 17, 6.25%, 9/01/37 (c)   1,200   1,587,871  
Southern California Edison Co.:          
  5.63%, 2/01/36   625   757,568  
  Series 08-A, 5.95%, 2/01/38 (c)   1,075   1,364,198  
Virginia Electric and Power Co., Series A, 6.00%, 5/15/37 (c)   2,000   2,543,112  
   
    18,569,846  
 
Energy Equipment & Services — 2.5%  
Calfrac Holdings LP, 7.50%, 12/01/20 (b)   470   501,725  
Ensco PLC:          
  3.25%, 3/15/16   160   166,805  
  4.70%, 3/15/21 (c)   1,745   1,906,983  
EOG Resources, Inc., 2.63%, 3/15/23 (c)   1,902   1,841,923  
Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21   71   73,485  
GrafTech International Ltd., 6.38%, 11/15/20   580   593,050  
Noble Holding International Ltd., 5.25%, 3/15/42   350   360,741  
Peabody Energy Corp.:          
  6.00%, 11/15/18   1,251   1,304,168  
  6.25%, 11/15/21   1,239   1,239,000  
Seadrill Ltd., 6.13%, 9/15/17 (b)   1,590   1,665,525  
Transocean, Inc., 6.50%, 11/15/20   350   402,559  
   
    10,055,964  
 
Food & Staples Retailing — 0.1%  
Rite Aid Corp., 6.75%, 6/15/21   279   302,018  
 
Food Products — 0.5%  
Barry Callebaut Services NV, 5.50%, 6/15/23 (b)   593   623,024  
Kraft Foods Group, Inc., 5.00%, 6/04/42   997   1,062,220  
Smithfield Foods, Inc., 5.88%, 8/01/21 (b)   169   179,562  
   
    1,864,806  
 
Health Care Equipment & Supplies — 0.4%  
Boston Scientific Corp., 6.25%, 11/15/15   1,251   1,348,371  
               

 

BLACKROCK CORE BOND TRUSTMAY 31, 20144
 
Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

Corporate Bonds Par
(000)		   Value  
 
Health Care Equipment & Supplies (concluded)  
Teleflex, Inc., 6.88%, 6/01/19 USD  385 $ 410,506  
   
    1,758,877  
 
Health Care Providers & Services — 4.2%  
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp.:          
  7.75%, 2/15/19   175   186,813  
  6.00%, 10/15/21   204   215,220  
CHS/Community Health Systems, Inc., 5.13%, 8/15/18   400   420,500  
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (b) EUR 494   711,766  
HCA Holdings, Inc., 7.75%, 5/15/21 USD 140   154,175  
HCA, Inc.:          
  3.75%, 3/15/19   130   132,275  
  6.50%, 2/15/20   2,198   2,497,477  
  4.75%, 5/01/23   1,161   1,161,000  
LifePoint Hospitals, Inc., 5.50%, 12/01/21 (b)   278   291,205  
Symbion, Inc., 8.00%, 6/15/16   455   474,338  
Tenet Healthcare Corp.:          
  6.25%, 11/01/18   859   947,048  
  6.00%, 10/01/20   622   668,650  
  4.50%, 4/01/21   383   380,128  
  4.38%, 10/01/21   1,765   1,734,112  
  8.13%, 4/01/22   1,157   1,316,087  
UnitedHealth Group, Inc., 2.88%, 3/15/22 (c)   2,000   1,996,874  
WellPoint, Inc., 4.65%, 1/15/43 (c)   4,005   4,079,565  
   
    17,367,233  
 
Hotels, Restaurants & Leisure — 2.7%  
MCE Finance Ltd., 5.00%, 2/15/21 (b)   935   932,662  
PNK Finance Corp., 6.38%, 8/01/21 (b)   274   288,385  
Six Flags Entertainment Corp., 5.25%, 1/15/21 (b)   865   882,300  
The Unique Pub Finance Co. PLC:          
  Series A3, 6.54%, 3/30/21 GBP 1,800   3,184,044  
  Series A4, 5.66%, 6/30/27   631   1,070,553  
  Series M, 7.40%, 3/28/24   1,500   2,583,441  
  Series N, 6.46%, 3/30/32   1,195   1,872,859  
Wynn Macau Ltd., 5.25%, 10/15/21 (b) USD 416   427,440  
   
    11,241,684  
 
Household Durables — 0.9%  
Beazer Homes USA, Inc., 6.63%, 4/15/18   580   620,600  
Standard Pacific Corp., 10.75%, 9/15/16   2,100   2,509,500  
            
Corporate Bonds Par
(000)		   Value  
 
Household Durables (concluded)  
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (b) USD  372 $ 375,720  
   
    3,505,820  
 
Household Products — 0.1%  
Spectrum Brands, Inc.:          
  6.38%, 11/15/20   200   216,750  
  6.63%, 11/15/22   275   301,125  
   
    517,875  
 
Independent Power Producers & Energy Traders — 0.1%  
Calpine Corp. (b):          
  7.50%, 2/15/21   48   52,200  
  6.00%, 1/15/22   137   146,932  
  5.88%, 1/15/24   194   203,215  
NRG REMA LLC, Series C, 9.68%, 7/02/26   112   122,080  
   
    524,427  
 
Industrial Conglomerates — 0.0%  
Smiths Group PLC, 3.63%, 10/12/22 (b)   180   177,792  
 
Insurance — 4.7%  
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (b)   613   648,248  
American International Group, Inc. (c):          
  3.80%, 3/22/17   5,580   5,989,795  
  5.45%, 5/18/17   800   895,267  
AXA SA, 5.25%, 4/16/40 (a) EUR 250   383,045  
Five Corners Funding Trust, 4.42%, 11/15/23 (b) USD 1,025   1,085,200  
Hartford Financial Services Group, Inc.:          
  6.00%, 1/15/19   345   403,081  
  5.13%, 4/15/22   930   1,059,302  
Hartford Life Global Funding Trusts, 0.41%, 6/16/14 (a)   425   425,002  
Liberty Mutual Group, Inc., 6.50%, 5/01/42 (b)   1,000   1,259,324  
Lincoln National Corp., 6.25%, 2/15/20   630   750,740  
Manulife Financial Corp., 3.40%, 9/17/15 (c)   1,630   1,688,202  
MetLife Global Funding I, 5.13%, 6/10/14 (b)   775   775,624  
Montpelier Re Holdings Ltd., 4.70%, 10/15/22   450   463,877  
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b)   340   367,200  
               

 

BLACKROCK CORE BOND TRUSTMAY 31, 20145
 
Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

Corporate Bonds Par
(000)		   Value  
 
Insurance (concluded)  
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (a) EUR 200 $ 325,227  
Prudential Financial, Inc. (c):          
  7.38%, 6/15/19 USD 250   311,191  
  5.38%, 6/21/20   250   288,476  
  4.50%, 11/15/20   450   499,393  
  5.90%, 3/17/36   500   600,199  
  5.70%, 12/14/36   675   797,143  
   
    19,015,536  
 
Internet Software & Services — 0.1%  
Equinix, Inc., 4.88%, 4/01/20   86   88,365  
VeriSign, Inc., 4.63%, 5/01/23   345   337,238  
   
    425,603  
 
IT Services — 0.5%  
Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (b)   440   507,100  
First Data Corp. (b):          
  7.38%, 6/15/19   775   831,187  
  6.75%, 11/01/20   680   730,150  
   
    2,068,437  
 
Life Sciences Tools & Services — 0.1%  
Agilent Technologies, Inc., 3.20%, 10/01/22   250   242,727  
 
Machinery — 0.1%  
Allegion US Holding Co., Inc., 5.75%, 10/01/21 (b)   446   471,645  
 
Marine — 0.3%  
Nakilat, Inc., Series A, 6.07%, 12/31/33 (b)(c)   1,050   1,135,260  
 
Media — 5.6%  
AMC Networks, Inc.:          
  7.75%, 7/15/21   320   357,600  
  4.75%, 12/15/22   343   342,143  
Cinemark USA, Inc., 5.13%, 12/15/22   175   177,406  
Clear Channel Communications, Inc., 9.00%, 12/15/19   305   324,825  
Clear Channel Worldwide Holdings, Inc., Series B, 6.50%, 11/15/22   2,495   2,665,438  
Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22 (c)   600   872,669  
Comcast Corp., 6.45%, 3/15/37 (c)   790   1,008,986  
Cox Communications, Inc., 8.38%, 3/01/39 (b)   1,740   2,447,065  
            
Corporate Bonds Par
(000)		   Value  
 
Media (concluded)  
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.:          
  6.38%, 3/01/41 USD  260 $ 314,010  
  5.15%, 3/15/42   700   738,107  
Gray Television, Inc., 7.50%, 10/01/20   332   356,070  
Inmarsat Finance PLC, 4.88%, 5/15/22 (b)(f)   500   505,000  
The Interpublic Group of Cos., Inc., 3.75%, 2/15/23   2,000   2,006,230  
Live Nation Entertainment, Inc., 7.00%, 9/01/20 (b)   109   119,083  
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b)   292   303,680  
NBCUniversal Media LLC (c):          
  5.15%, 4/30/20   1,983   2,280,694  
  4.38%, 4/01/21   1,015   1,122,476  
News America, Inc., 7.63%, 11/30/28   385   502,983  
Omnicom Group, Inc., 3.63%, 5/01/22 (c)   2,355   2,395,150  
Sirius XM Holdings, Inc., 4.25%, 5/15/20 (b)   559   550,615  
TCI Communications, Inc., 7.88%, 2/15/26   610   851,605  
Time Warner, Inc.:          
  4.70%, 1/15/21   350   389,502  
  6.10%, 7/15/40   215   256,960  
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.50%, 1/15/23 (b)   255   261,375  
Univision Communications, Inc., 5.13%, 5/15/23 (b)   1,153   1,184,707  
Virgin Media Secured Finance PLC, 5.38%, 4/15/21 (b)   395   406,356  
   
    22,740,735  
 
Metals & Mining — 3.7%  
Alcoa, Inc., 5.40%, 4/15/21   1,450   1,552,106  
ArcelorMittal:          
  4.25%, 8/05/15   173   177,541  
  6.13%, 6/01/18   384   420,960  
Commercial Metals Co., 4.88%, 5/15/23   534   514,643  
Corp. Nacional del Cobre de Chile, 3.00%, 7/17/22 (b)   1,565   1,514,684  
Freeport-McMoRan Copper & Gold, Inc.:          
  3.55%, 3/01/22   540   531,096  
  5.45%, 3/15/43   450   462,947  
New Gold, Inc., 6.25%, 11/15/22 (b)   440   454,300  
               

 

BLACKROCK CORE BOND TRUSTMAY 31, 20146
 
Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

Corporate Bonds Par
(000)		   Value  
 
Metals & Mining (concluded)  
Newcrest Finance Property Ltd., 4.45%, 11/15/21 (b) USD  475 $ 452,453  
Novelis, Inc., 8.75%, 12/15/20   4,120   4,578,350  
Teck Resources, Ltd., 5.38%, 10/01/15   2,359   2,492,604  
Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (b)   602   641,130  
Xstrata Canada Corp., 6.20%, 6/15/35   1,250   1,339,895  
   
    15,132,709  
 
Multiline Retail — 0.8%  
Dollar General Corp., 3.25%, 4/15/23   2,000   1,924,062  
Dufry Finance SCA, 5.50%, 10/15/20 (b)   1,260   1,316,801  
   
    3,240,863  
 
Oil, Gas & Consumable Fuels — 10.5%  
Access Midstream Partners LP/ACMP Finance Corp., 6.13%, 7/15/22   400   436,000  
Anadarko Petroleum Corp., 5.95%, 9/15/16   1,916   2,131,678  
Antero Resources Finance Corp., 5.38%, 11/01/21   153   159,311  
Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (b)   159   172,515  
Bonanza Creek Energy, Inc., 6.75%, 4/15/21   99   105,683  
BP Capital Markets PLC, 3.13%, 10/01/15   330   341,835  
Burlington Resources Finance Co., 7.40%, 12/01/31   875   1,250,483  
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20   400   438,000  
Cenovus Energy, Inc., 6.75%, 11/15/39   750   977,748  
Chesapeake Energy Corp., 5.75%, 3/15/23   615   685,725  
ConocoPhillips Canada Funding Co., 5.95%, 10/15/36 (c)   535   679,620  
Continental Resources, Inc.:          
  5.00%, 9/15/22   2,000   2,167,500  
  4.50%, 4/15/23   113   120,931  
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.13%, 3/01/22 (b)   110   115,225  
Denbury Resources, Inc., 4.63%, 7/15/23   623   599,637  
El Paso LLC, 7.80%, 8/01/31   45   48,713  
            
Corporate Bonds Par
(000)		   Value  
 
Oil, Gas & Consumable Fuels (continued)  
El Paso Natural Gas Co., 8.38%, 6/15/32 USD  275 $ 386,355  
Energy Transfer Partners LP, 7.50%, 7/01/38   500   648,367  
Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17   455   489,694  
Enterprise Products Operating LLC, 6.13%, 10/15/39   700   851,257  
KeySpan Gas East Corp., 5.82%, 4/01/41 (b)   505   630,785  
Kinder Morgan Energy Partners LP:          
  6.50%, 9/01/39 (c)   3,000   3,552,519  
  6.55%, 9/15/40   110   131,084  
  6.38%, 3/01/41   150   175,219  
Kinder Morgan, Inc., 5.63%, 11/15/23 (b)   170   171,434  
Kodiak Oil & Gas Corp.:          
  8.13%, 12/01/19   110   122,100  
  5.50%, 2/01/22   106   108,385  
Linn Energy LLC/Linn Energy Finance Corp., 7.25%, 11/01/19 (b)   237   248,850  
Marathon Petroleum Corp., 6.50%, 3/01/41   997   1,255,474  
MarkWest Energy Partners LP/MarkWest Energy Finance Corp.:          
  6.25%, 6/15/22   73   78,840  
  4.50%, 7/15/23   25   24,563  
Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21   212   219,420  
MidAmerican Energy Co., 5.80%, 10/15/36   700   870,398  
MidAmerican Energy Holdings Co. (c):          
  5.95%, 5/15/37   800   973,654  
  6.50%, 9/15/37   3,400   4,396,217  
Nexen, Inc., 7.50%, 7/30/39   1,000   1,337,402  
Pacific Drilling SA, 5.38%, 6/01/20 (b)   368   360,640  
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20   47   51,465  
PDC Energy, Inc., 7.75%, 10/15/22   260   287,300  
Petrobras International Finance Co.:          
  3.88%, 1/27/16   1,340   1,382,478  
  5.75%, 1/20/20   1,725   1,837,125  
Pioneer Natural Resources Co., 3.95%, 7/15/22   350   365,468  
Premier Oil PLC, 5.00%, 6/09/18   1,900   1,987,875  
               

 

BLACKROCK CORE BOND TRUSTMAY 31, 20147
 
Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

Corporate Bonds Par
(000)		   Value  
 
Oil, Gas & Consumable Fuels (concluded)  
Range Resources Corp.:          
  5.75%, 6/01/21 USD  107 $ 115,827  
  5.00%, 8/15/22   26   27,300  
  5.00%, 3/15/23   62   65,100  
Regency Energy Partners LP/Regency Energy Finance Corp., 4.50%, 11/01/23   249   237,172  
RKI Exploration & Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (b)   118   128,030  
Rosetta Resources, Inc., 5.63%, 5/01/21   239   245,572  
Sabine Pass Liquefaction LLC:          
  5.63%, 2/01/21   1,787   1,871,882  
  6.25%, 3/15/22 (b)   398   427,352  
  5.63%, 4/15/23   468   480,870  
SandRidge Energy, Inc.:          
  8.75%, 1/15/20   35   37,800  
  7.50%, 2/15/23   382   406,830  
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21   386   418,810  
Ultra Petroleum Corp., 5.75%, 12/15/18 (b)   357   376,635  
Western Gas Partners LP, 5.38%, 6/01/21   710   803,136  
Whiting Petroleum Corp., 5.00%, 3/15/19   821   865,129  
The Williams Cos., Inc., Series A, 7.50%, 1/15/31   2,500   2,907,200  
   
    42,789,617  
 
Paper & Forest Products — 0.3%  
International Paper Co.:          
  7.50%, 8/15/21   75   95,541  
  4.75%, 2/15/22   420   464,379  
  6.00%, 11/15/41   435   522,941  
NewPage Corp., 11.38%, 12/31/14 (g)(h)   397   —  
   
    1,082,861  
 
Pharmaceuticals — 1.1%  
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (b) EUR 200   296,826  
Forest Laboratories, Inc. (b):          
  4.38%, 2/01/19 USD 228   246,810  
  5.00%, 12/15/21   379   415,005  
Grifols Worldwide Operations Ltd., 5.25%, 4/01/22 (b)   200   207,000  
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (b)   520   572,000  
            
Corporate Bonds Par
(000)		   Value  
 
Pharmaceuticals (concluded)  
Salix Pharmaceuticals Ltd., 6.00%, 1/15/21 (b) USD  162 $ 173,745  
Valeant Pharmaceuticals International, Inc. (b):          
  6.75%, 8/15/18   1,321   1,426,680  
  6.38%, 10/15/20   575   615,250  
  5.63%, 12/01/21   376   390,100  
   
    4,343,416  
 
Real Estate Investment Trusts (REITs) — 1.1%  
ARC Properties Operating Partnership LP/Clark Acquisition LLC, 4.60%, 2/06/24 (b)   1,830   1,885,416  
Felcor Lodging LP, 5.63%, 3/01/23   247   254,719  
Simon Property Group LP, 4.75%, 3/15/42   835   900,167  
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21   275   303,705  
Vornado Realty LP, 5.00%, 1/15/22   1,185   1,296,462  
   
    4,640,469  
 
Real Estate Management & Development — 1.0%  
Lennar Corp., 4.75%, 11/15/22   440   432,850  
Northwest Florida Timber Finance LLC, 4.75%, 3/04/29 (b)   2,300   2,366,930  
Realogy Corp., 7.63%, 1/15/20 (b)(c)   520   578,500  
The Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (b)   476   483,735  
WEA Finance LLC, 4.63%, 5/10/21 (b)   305   342,771  
   
    4,204,786  
 
Road & Rail — 0.7%  
Burlington Northern Santa Fe LLC, 5.75%, 5/01/40   950   1,138,265  
The Hertz Corp.:          
  4.25%, 4/01/18   236   245,440  
  5.88%, 10/15/20   230   243,225  
  7.38%, 1/15/21   620   680,450  
  6.25%, 10/15/22   385   411,469  
   
    2,718,849  
 
Semiconductors & Semiconductor Equipment — 0.1%  
NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (b)   470   502,313  
 
Software — 0.5%  
Nuance Communications, Inc., 5.38%, 8/15/20 (b)   1,085   1,103,987  
               

 

BLACKROCK CORE BOND TRUSTMAY 31, 20148
 
Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

Corporate Bonds Par
(000)		   Value  
 
Software (concluded)  
Oracle Corp., 5.38%, 7/15/40 USD  775 $ 905,877  
   
    2,009,864  
 
Specialty Retail — 0.7%  
The Home Depot, Inc., 5.88%, 12/16/36 (c)   830   1,021,152  
New Academy Finance Co. LLC/New Academy Finance Corp., (8.00% Cash or 8.75% PIK), 8.00%, 6/15/18 (b)(i)   244   249,490  
QVC, Inc. (b):          
  7.50%, 10/01/19   395   417,002  
  7.38%, 10/15/20   975   1,050,106  
   
    2,737,750  
 
Textiles, Apparel & Luxury Goods — 0.3%  
PVH Corp., 4.50%, 12/15/22   490   482,650  
SIWF Merger Sub, Inc., 6.25%, 6/01/21 (b)   402   406,020  
The William Carter Co., 5.25%, 8/15/21 (b)   328   341,940  
   
    1,230,610  
 
Thrifts & Mortgage Finance — 0.4%  
Radian Group, Inc., 5.38%, 6/15/15   1,400   1,471,120  
 
Tobacco — 1.2%  
Altria Group, Inc.:          
  9.95%, 11/10/38   258   425,753  
  10.20%, 2/06/39   447   753,517  
  5.38%, 1/31/44 (c)   2,015   2,189,187  
Lorillard Tobacco Co., 7.00%, 8/04/41   500   608,094  
Reynolds American, Inc., 4.75%, 11/01/42   1,050   1,014,545  
   
    4,991,096  
 
Wireless Telecommunication Services — 2.2%  
America Movil SAB de C.V., 2.38%, 9/08/16   795   818,850  
Crown Castle International Corp., 5.25%, 1/15/23   465   483,600  
Crown Castle Towers LLC, 6.11%, 1/15/40 (b)   1,560   1,809,979  
Digicel Group Ltd., 8.25%, 9/30/20 (b)   460   495,650  
Digicel Ltd., 6.00%, 4/15/21 (b)   750   765,000  
Rogers Communications, Inc., 7.50%, 8/15/38 (c)   1,150   1,562,261  
SBA Tower Trust, 5.10%, 4/15/42 (b)   360   386,767  
            
Corporate Bonds Par
(000)		   Value  
 
Wireless Telecommunication Services (concluded)  
Sprint Communications, Inc. (b):          
  9.00%, 11/15/18 USD  530 $ 643,950  
  7.00%, 3/01/20   888   1,023,420  
Sprint Corp., 7.88%, 9/15/23 (b)   1,041   1,176,330  
   
    9,165,807  
 
Total Corporate Bonds — 81.0%   330,981,120  
 
 
 
Foreign Agency Obligations  
 
Iceland Government International Bond, 5.88%, 5/11/22   1,775   1,944,094  
Italian Republic, 5.38%, 6/15/33   455   518,868  
Slovenia Government International Bond, 5.85%, 5/10/23 (b)   432   482,760  
 
Total Foreign Agency Obligations — 0.7%   2,945,722  
 
 
 
Municipal Bonds  
 
City of Detroit Michigan, GO, Taxable Capital Improvement, Limited Tax, Series A-2, 8.00%, 4/01/15 (g)(h)   1,525   366,000  
City of New York New York Municipal Water Finance Authority, Refunding RB, 2nd General Resolution:          
  Series EE, 5.50%, 6/15/43   465   539,395  
  Series GG, Build America Bonds, 5.72%, 6/15/42   700   869,442  
  Water & Sewer System, Fiscal 2011, Series EE, 5.38%, 6/15/43   385   442,727  
East Bay Municipal Utility District, RB, Build America Bonds, 5.87%, 6/01/40   950   1,198,235  
Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 1/15/40   1,275   1,616,075  
Metropolitan Transportation Authority, RB, Build America Bonds, Series C, 7.34%, 11/15/39   625   910,375  
Municipal Electric Authority of Georgia, Plant Vogtle Units 3 & 4, Refunding RB, Build America Bonds, Series A, 7.06%, 4/01/57   1,000   1,118,780  
               

 

BLACKROCK CORE BOND TRUSTMAY 31, 20149
 
Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

Municipal Bonds Par
(000)		   Value  
 
New York State Dormitory Authority, RB, Build America Bonds:          
  5.63%, 3/15/39 USD  550 $ 663,377  
  5.60%, 3/15/40   950   1,140,237  
Port Authority of New York & New Jersey, RB, Consolidated, 159th Series, 6.04%, 12/01/29   385   479,791  
State of California, GO, Build America Bonds, Various Purpose:          
  , 7.55%, 4/01/39   140   204,826  
  , 7.63%, 3/01/40   860   1,253,536  
State of Illinois, GO, Pension, 5.10%, 6/01/33   1,000   1,004,150  
University of California, RB, Build America Bonds, 5.95%, 5/15/45   445   550,728  
 
Total Municipal Bonds — 3.0%   12,357,674  
 
 
 
Non-Agency Mortgage-Backed Securities  
 
Collateralized Mortgage Obligations — 1.4%  
Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 3/25/37   686   578,809  
Countrywide Alternative Loan Trust:          
  Series 2005-64CB, Class 1A15, 5.50%, 12/25/35   1,086   1,010,986  
  Series 2006-OA21, Class A1, 0.34%, 3/20/47 (a)   684   544,206  
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-OA5, Class 2A1, 0.35%, 4/25/46 (a)   283   226,251  
Credit Suisse Mortgage Capital Certificates, Series 2011-2R, Class 2A1, 2.61%, 7/27/36 (a)(b)   977   965,189  
GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 5.06%, 6/19/35 (a)   612   612,925  
GSR Mortgage Loan Trust:          
  Series 2006-4F, Class 1A1, 5.00%, 5/25/36   281   273,521  
  Series 2007-4F, Class 3A1, 6.00%, 7/25/37   465   423,956  
Homebanc Mortgage Trust, Series 2006-2, Class A1, 0.33%, 12/25/36 (a)   471   412,331  
JP Morgan Mortgage Trust, Series 2006-S3, Class 1A12, 6.50%, 8/25/36   166   147,740  
            
Non-Agency Mortgage-Backed Securities Par
(000)		   Value  
 
Collateralized Mortgage Obligations (concluded)  
Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 2.78%, 5/25/36 (a) USD  544 $ 449,434  
   
    5,645,348  
 
Commercial Mortgage-Backed Securities — 13.0%  
Banc of America Merrill Lynch Commercial Mortgage Trust, Class A4:          
  Series 2007-1, 5.45%, 1/15/49   500   548,726  
  Series 2007-2, 5.61%, 4/10/49 (a)   750   829,141  
Bear Stearns Commercial Mortgage Securities, Series 2005-PWR9, Class A4A, 4.87%, 9/11/42   695   721,475  
Citigroup Commercial Mortgage Trust (a):          
  Series 2008-C7, Class A4, 6.14%, 12/10/49   1,370   1,540,521  
  Series 2013-GC15, Class B, 5.11%, 9/10/46   3,590   3,997,501  
  Series 2013-GC15, Class XA, 1.30%, 9/10/46   13,207   949,761  
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48   1,093   1,192,939  
Commercial Mortgage Trust:          
  Series 2006-C7, Class AM, 5.78%, 6/10/46 (a)   1,750   1,888,745  
  Series 2013-CR11, Class B, 5.16%, 10/10/46 (a)   3,495   3,893,143  
  Series 2013-CR11, Class C, 5.17%, 10/10/46 (a)(b)   3,260   3,515,291  
  Series 2013-LC6, Class B, 3.74%, 1/10/46   695   699,001  
  Series 2013-LC6, Class D, 4.29%, 1/10/46 (a)(b)   835   778,533  
Credit Suisse Commercial Mortgage Trust:          
  Series 2006-C3, Class AM, 5.79%, 6/15/38 (a)   1,000   1,084,195  
  Series 2006-C5, Class AM, 5.34%, 12/15/39   1,750   1,905,104  
  Series 2010-RR2, Class 2A, 5.86%, 9/15/39 (a)(b)   1,010   1,093,838  
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C3, Class AJ, 4.77%, 7/15/37   705   720,872  
               

 

BLACKROCK CORE BOND TRUSTMAY 31, 201410
 
Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

Non-Agency Mortgage-Backed Securities Par
(000)		   Value  
 
Commercial Mortgage-Backed Securities (continued)  
DBRR Trust, Series 2011-C32, Class A3A, 5.81%, 6/17/49 (a)(b) USD  365 $ 393,504  
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4, 5.82%, 7/10/38 (a)   1,136   1,226,687  
GS Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 2/10/46 (b)   1,250   1,258,344  
Hilton USA Trust, Series 2013-HLT, 4.41%, 11/05/30 (b)   2,950   3,052,622  
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class D, 5.08%, 11/15/45 (a)(b)   800   782,634  
JPMorgan Chase Commercial Mortgage Securities Corp, Series 2004-CB8, Class A1A, 4.16%, 1/12/39 (b)   218   218,150  
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB14, Class AM, 5.44%, 12/12/44 (a)   330   351,770  
JPMorgan Chase Commercial Mortgage Securities Trust., Series 2004-LN2, Class A2, 5.12%, 7/15/41   322   321,699  
LB-UBS Commercial Mortgage Trust (a):          
  Series 2004-C8, Class C, 4.93%, 12/15/39   1,385   1,401,011  
  Series 2007-C6, Class A4, 5.86%, 7/15/40   5,006   5,366,988  
  Series 2007-C7, Class A3, 5.87%, 9/15/45   1,102   1,245,341  
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A4, 5.45%, 2/12/44 (a)   4,000   4,388,300  
Morgan Stanley Reremic Trust, Series 2011, Class A, 2.50%, 3/23/51 (b)   88   88,365  
RCMC LLC, Series 2012-CRE1, Class A, 5.62%, 11/15/44 (b)   834   853,829  
Titan Europe PLC, Series 2007-1X, Class A, 0.78%, 1/20/17 (a) GBP 1,607   2,566,301  
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, 5.94%, 2/15/51 (a) USD 2,185   2,400,080  
WF-RBS Commercial Mortgage Trust, Series 2012-C8:          
  Class B, 4.31%, 8/15/45   695   732,358  
              
Non-Agency Mortgage-Backed Securities Par
(000)		   Value  
 
Commercial Mortgage-Backed Securities (concluded)  
WF-RBS Commercial Mortgage Trust, Series 2012-C8 (concluded):          
  Class C, 4.88%, 8/15/45 (a) USD  895 $ 956,899  
   
    52,963,668  
 
Interest Only Commercial Mortgage-Backed Securities — 0.8%  
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA, 1.88%, 8/15/45 (a)(b)   15,588   1,423,538  
WF-RBS Commercial Mortgage Trust, Class XA (a)(b):          
  Series 2012-C8, 2.22%, 8/15/45   5,965   674,709  
  Series 2012-C9, 2.24%, 11/15/45   10,582   1,282,908  
   
    3,381,155  
 
Total Non-Agency Mortgage-Backed Securities — 15.2%   61,990,171  
 
 
 
U.S. Government Sponsored Agency Securities  
 
Agency Obligations — 2.5%  
Fannie Mae (c):          
  0.00%, 10/09/19 (j)   7,055   6,218,771  
  5.63%, 7/15/37   775   1,022,136  
Federal Home Loan Bank (c):          
  5.25%, 12/09/22   675   810,023  
  5.37%, 9/09/24   1,075   1,305,988  
Resolution Funding Corp., 0.00%, 7/15/18 - 10/15/18 (j)   1,050   987,419  
   
    10,344,337  
 
Collateralized Mortgage Obligations — 0.1%  
Fannie Mae Mortgage-Backed Securities, Series 2005-5, Class PK, 5.00%, 12/25/34   286   304,039  
 
Commercial Mortgage-Backed Securities — 0.7%  
Freddie Mac Mortgage-Backed Securities (a):          
  Series 2012-K706, Class C, 4.02%, 11/25/44 (b)   165   169,513  
  Series 2013-K24, Class B, 3.50%, 11/25/45 (b)   1,750   1,724,740  
               

 

BLACKROCK CORE BOND TRUSTMAY 31, 201411
 
Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

U.S. Government Sponsored Agency Securities Par
(000)		   Value  
 
Commercial Mortgage-Backed Securities (concluded)  
Freddie Mac Mortgage-Backed Securities (a) (concluded):          
  Series K013, Class A2, 3.97%, 1/25/21 USD  940 $ 1,027,880  
   
    2,922,133  
 
Interest Only Collateralized Mortgage Obligations — 2.0%  
Fannie Mae Mortgage-Backed Securities:          
  Series 2012-47, Class NI, 4.50%, 4/25/42   4,913   986,413  
  Series 2012-96, Class DI, 4.00%, 2/25/27   6,428   738,667  
  Series 2012-M9, Class X1, 4.06%, 12/25/17 (a)   12,454   1,462,265  
Freddie Mac Mortgage-Backed Securities:          
  Series 2611, Class QI, 5.50%, 9/15/32   873   88,803  
  Series K707, Class X1, 1.55%, 12/25/18 (a)   2,476   152,565  
  Series K710, Class X1, 1.78%, 5/25/19 (a)   8,567   644,235  
Ginnie Mae Mortgage-Backed Securities (a):          
  Series 2009-116, Class KS, 6.32%, 12/16/39   2,621   389,123  
  Series 2009-78, Class SD, 6.05%, 9/20/32   5,072   905,950  
  Series 2011-52, Class NS, 6.52%, 4/16/41   13,837   2,630,308  
   
    7,998,329  
 
Mortgage-Backed Securities — 7.1%  
Fannie Mae Mortgage-Backed Securities:          
  3.00%, 6/01/44 (k)   16,300   16,142,094  
  4.00%, 12/01/41   3,039   3,229,729  
  4.50%, 7/01/41 (c)   3,712   4,017,784  
  5.00%, 8/01/34   2,235   2,477,649  
  5.50%, 6/01/38   1,337   1,500,028  
  6.00%, 12/01/38   1,075   1,208,882  
Freddie Mac Mortgage-Backed Securities, 6.00%, 10/01/14 - 12/01/18   270   281,550  
Ginnie Mae Mortgage-Backed Securities, 5.50%, 8/15/33   63   70,916  
   
    28,928,632  
 
Total U.S. Government Sponsored Agency Securities — 12.4%   50,497,470  
 
         
U.S. Treasury Obligations Par
(000)		   Value  
 
U.S. Treasury Bonds (c):          
  8.13%, 8/15/21 USD  1,550 $ 2,187,921  
  6.13%, 8/15/29   5,000   7,020,310  
  3.50%, 2/15/39   330   346,191  
  4.25%, 5/15/39   6,045   7,137,821  
  4.38%, 5/15/40   6,375   7,684,865  
  4.75%, 2/15/41   1,630   2,081,306  
  4.38%, 5/15/41   800   966,500  
  3.13%, 11/15/41   9,930   9,667,788  
  3.13%, 2/15/42   6,268   6,093,674  
  3.00%, 5/15/42   2,730   2,587,101  
  3.13%, 2/15/43   2,337   2,260,199  
  3.75%, 11/15/43   1,065   1,155,525  
  3.63%, 2/15/44   6,500   6,894,063  
U.S. Treasury Notes:          
  2.25%, 7/31/18 (c)   495   515,071  
  1.75%, 5/15/22   156   150,772  
 
Total U.S. Treasury Obligations — 13.9%   56,749,107  
 
 
 
Preferred Securities  
 
Capital Trusts  
 
Capital Markets — 0.8%  
The Bank of New York Mellon Corp., Series D, 4.50% (a)(e)   1,698   1,563,009  
Credit Suisse Group AG, 7.50% (a)(b)(e)   1,500   1,636,935  
State Street Capital Trust IV, 1.23%, 6/01/77 (a)   70   58,450  
   
    3,258,394  
 
Commercial Banks — 1.1%  
BNP Paribas SA, 7.20% (a)(b)(e)   1,000   1,151,250  
Wachovia Capital Trust III, 5.57% (a)(e)   1,025   999,375  
Wells Fargo & Co., Series S, 5.90% (a)(e)   2,000   2,102,500  
   
    4,253,125  
 
Diversified Financial Services — 2.9%  
Citigroup, Inc.:          
  Series D, 5.35% (a)(e)   1,050   1,002,750  
  Series M, 6.30% (a)(e)   2,000   2,030,400  
Credit Agricole SA, 7.88% (a)(b)(e)   1,000   1,078,300  
General Electric Capital Corp., Series B, 6.25% (a)(e)   900   987,750  
               

 

BLACKROCK CORE BOND TRUSTMAY 31, 201412
 
Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

Capital Trusts Par
(000)		   Value  
 
Diversified Financial Services (concluded)  
JPMorgan Chase & Co. (a)(e):          
  Series 1, 7.90%   USD 3,500 $ 3,946,250  
  Series Q, 5.15%     1,500   1,432,500  
  Series U, 6.13%     500   503,750  
Morgan Stanley, Series H, 5.45% (a)(e) 875   905,625  
   
    11,887,325  
 
Electric Utilities — 0.5%  
Electricite de France SA, 5.25% (a)(b)(e) 2,100   2,158,800  
 
Insurance — 4.2%  
The Allstate Corp. (a):        
  5.75%, 8/15/53     1,000   1,068,750  
  6.50%, 5/15/67 (c)     1,950   2,120,625  
American International Group, Inc., 8.18%, 5/15/68 (a)   970   1,311,925  
AXA SA, 6.46% (a)(b)(e)   1,025   1,102,900  
Genworth Holdings, Inc., 6.15%, 11/15/66 (a) 1,150   1,083,875  
ING US, Inc., 5.65%, 5/15/53 (a)   2,250   2,280,937  
Liberty Mutual Group, Inc., 7.00%, 3/15/67 (a)(b)   975   1,033,500  
Lincoln National Corp., 6.05%, 4/20/67 (a)   675   685,125  
MetLife Capital Trust IV, 7.88%, 12/15/67 (b) 640   787,200  
MetLife, Inc., 6.40%, 12/15/36   3,500   3,904,425  
Swiss Re Capital I LP, 6.85% (a)(b)(e) 1,060   1,134,200  
XL Group PLC, Series E, 6.50% (a)(e) 815   807,869  
   
    17,321,331  
 
Total Capital Trusts — 9.5%   38,878,975  
 
 
 

 

Preferred Stocks

 Shares      
 
   
Capital Markets — 0.4%  
The Goldman Sachs Group, Inc., Series J, 5.50% (b)   46,000   1,104,920  
SCE Trust III, 5.75% (a)   12,657   340,853  
   
    1,445,773  
 
Commercial Banks — 1.0%  
U.S. Bancorp, 6.00% (a)   150,000   4,197,000  
 
Total Preferred Stocks — 1.4%   5,642,773  
 
   
Trust Preferreds — 0.1% Shares  

 

Value

  
 
Commercial Banks — 0.1%  
Citigroup Capital XIII, 7.88%, 10/30/40     14,773 $ 402,276  
 
Total Preferred Securities — 11.0%   44,924,024  
 
Total Long-Term Investments
(Cost — $544,961,640) — 141.8%		   579,544,704  
 
 
 
Short-Term Securities  
 
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (l)(m)   3,879,092   3,879,092  
 
Total Short-Term Securities
(Cost — $3,879,092) — 0.9%		   3,879,092  
 
 
 
Options Purchased
(Cost — $1,833,112) — 0.4%		   1,470,107  
 
Total Investments Before Options Written
(Cost — $550,673,844*) — 143.1%		    584,893,903  
 
 
 
Options Written
(Premiums Received — $3,628,732) — (0.7)%		   (2,966,616)  
 
Total Investments, Net of Options Written   581,927,287  
Liabilities in Excess of Other Assets — (42.4)%   (173,291,268)  
   
Net Assets — 100.0% $ 408,636,019  
 

 

* As of May 31, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:      
       
Tax cost $ 551,171,874  
Gross unrealized appreciation $ 39,824,749  
Gross unrealized depreciation   (6,102,720 )
Net unrealized appreciation $ 33,722,029  

 

 

Notes to Schedule of Investments

(a) Variable rate security. Rate shown is as of report date.
(b) 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.
(c) All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements.
(d) Convertible security.
(e) Security is perpetual in nature and has no stated maturity date.
BLACKROCK CORE BOND TRUSTMAY 31, 201413
 
Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)

 

(f) When-issued security. Unsettled when-issued transactions were as follows:

 

   
 
  Counterparty   Value   Unrealized
Appreciation
 
  Credit Suisse Securities (USA) LLC   $ 505,000 $ 9,045
 
                                   

 

(g) Non-income producing security.
(h) Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(i) Represents a 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.
(j) Zero-coupon bond.
(k) Represents or includes a TBA transaction. Unsettled TBA transactions as of May 31, 2014 were as follows:

 

 
  Counterparty   Value   Unrealized
Appreciation
 
  J.P. Morgan Securities LLC   $ 16,142,094  $ 231,766
 
                               

 

(l) Investments in issuers considered to be an affiliate of the Trust during the period ended May 31, 2014, 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, 2013		   Net
Activity		   Shares
Held at
May 31, 2014		   Income
 
  BlackRock Liquidity Funds, TempFund, Institutional Class   5,335,491   (1,456,399)   3,879,092 $ 1,746
 
                                         

 

(m) Represents the current yield as of report date.

 

Portfolio Abbreviations

   
CLO Collateralized Loan Obligation
EUR Euro
GBP British Pound
GO General Obligation Bonds
LIBOR London Interbank Offered Rate
OTC Over-the-Counter
PIK Payment-In-Kind
RB Revenue Bonds
TBA To Be Announced
USD U.S. Dollar
     
BLACKROCK CORE BOND TRUSTMAY 31, 201414
 
Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)

 

• Reverse repurchase agreements outstanding as of May 31, 2014 were as follows:

 

 
Counterparty Interest
Rate		 Trade
Date		 Maturity
Date1		   Face Value   Face Value
Including
Accrued
Interest
 
BNP Paribas Securities Corp. 0.35% 1/22/13 Open $ 883,000  $ 887,249
BNP Paribas Securities Corp. 0.35% 1/22/13 Open   1,243,000   1,248,982
Credit Suisse Securities (USA) LLC 0.35% 2/01/13 Open   1,875,750   1,884,595
Credit Suisse Securities (USA) LLC 0.35% 2/01/13 Open   1,797,390   1,805,865
BNP Paribas Securities Corp. 0.32% 2/08/13 Open   1,968,000   1,976,362
BNP Paribas Securities Corp. 0.32% 2/08/13 Open   505,000   507,146
BNP Paribas Securities Corp. 0.06% 2/14/13 Open   9,942,413   9,951,919
BNP Paribas Securities Corp. 0.33% 2/14/13 Open   1,020,000   1,024,413
BNP Paribas Securities Corp. 0.34% 2/28/13 Open   2,269,000   2,278,815
BNP Paribas Securities Corp. 0.34% 2/28/13 Open   1,109,000   1,113,797
BNP Paribas Securities Corp. 0.33% 3/07/13 Open   1,884,000   1,891,789
BNP Paribas Securities Corp. 0.33% 3/07/13 Open   2,313,000   2,322,562
BNP Paribas Securities Corp. 0.33% 3/11/13 Open   879,000   882,602
BNP Paribas Securities Corp. 0.33% 3/11/13 Open   983,000   987,028
BNP Paribas Securities Corp. 0.06% 4/02/13 Open   2,719,763   2,721,717
BNP Paribas Securities Corp. 0.08% 4/02/13 Open   533,362   533,763
Merrill Lynch, Pierce, Fenner & Smith, Inc. 0.05% 4/02/13 Open   7,563,806   7,569,038
Merrill Lynch, Pierce, Fenner & Smith, Inc. 0.12% 4/02/13 Open   875,812   876,788
Merrill Lynch, Pierce, Fenner & Smith, Inc. 0.12% 4/02/13 Open   1,097,844   1,099,067
BNP Paribas Securities Corp. 0.08% 4/03/13 Open   851,537   852,455
Credit Suisse Securities (USA) LLC 0.35% 4/03/13 Open   1,648,500   1,655,279
Credit Suisse Securities (USA) LLC 0.35% 4/03/13 Open   3,437,844   3,451,982
Credit Suisse Securities (USA) LLC 0.35% 4/03/13 Open   2,020,500   2,028,809
Credit Suisse Securities (USA) LLC 0.35% 4/03/13 Open   1,700,969   1,707,964
Merrill Lynch, Pierce, Fenner & Smith, Inc. 0.04% 4/25/13 Open   8,430,938   8,434,062
BNP Paribas Securities Corp. 0.04% 4/29/13 Open   1,039,000   1,039,228
BNP Paribas Securities Corp. 0.06% 4/29/13 Open   377,850   378,049
BNP Paribas Securities Corp. 0.34% 5/24/13 Open   1,342,000   1,346,728
Barclays Capital, Inc. 0.60% 6/03/13 Open   3,258,750   3,278,411
Barclays Capital, Inc. 0.35% 6/24/13 Open   3,334,398   3,345,485
BNP Paribas Securities Corp. 0.07% 6/24/13 Open   5,876,250   5,879,221
BNP Paribas Securities Corp. 0.34% 9/30/13 Open   3,569,000   3,577,225
BNP Paribas Securities Corp. 0.36% 9/30/13 Open   2,294,000   2,299,597
BNP Paribas Securities Corp. 0.36% 9/30/13 Open   871,000   873,125
BNP Paribas Securities Corp. 0.36% 9/30/13 Open   1,529,000   1,532,731
BNP Paribas Securities Corp. 0.35% 10/22/13 Open   4,540,900   4,550,657
Credit Suisse Securities (USA) LLC 0.35% 10/22/13 Open   2,125,412   2,129,979
UBS Securities LLC 0.28% 2/10/14 12/31/22   3,373,000   3,375,886
UBS Securities LLC 0.32% 2/10/14 12/31/22   2,369,000   2,371,316
UBS Securities LLC 0.32% 2/10/14 12/31/22   1,348,000   1,349,318
UBS Securities LLC 0.32% 2/10/14 12/31/22   2,289,000   2,291,238
UBS Securities LLC 0.32% 2/10/14 12/31/22   1,355,000   1,356,325
UBS Securities LLC 0.32% 2/10/14 12/31/22   1,416,000   1,417,385
UBS Securities LLC 0.33% 2/10/14 12/31/22   1,073,000   1,074,082
UBS Securities LLC 0.34% 2/10/14 12/31/22   1,233,000   1,234,281
UBS Securities LLC 0.34% 2/10/14 12/31/22   3,805,000   3,808,953
UBS Securities LLC 0.34% 2/10/14 12/31/22   1,410,000   1,411,465
UBS Securities LLC 0.34% 2/10/14 12/31/22   1,139,000   1,140,183

 

BLACKROCK CORE BOND TRUSTMAY 31, 201415
 
Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)

 

• Reverse repurchase agreements outstanding as of May 31, 2014 were as follows (concluded):

 

 
Counterparty Interest
Rate		 Trade
Date		 Maturity
Date1		   Face Value   Face Value
Including
Accrued
Interest
 
UBS Securities LLC 0.34% 2/10/14 12/31/22 $ 827,000  $ 827,859
UBS Securities LLC 0.34% 2/10/14 12/31/22   1,853,000   1,854,925
UBS Securities LLC 0.40% 2/10/14 12/31/22   496,000   496,606
Credit Suisse Securities (USA) LLC 0.08% 3/03/14 Open   2,195,000   2,195,471
BNP Paribas Securities Corp. 0.06% 3/04/14 Open   6,516,250   6,516,285
RBC Capital Markets 0.10% 3/13/14 Open   1,464,000   1,464,325
Deutsche Bank Securities, Inc. 0.03% 4/16/14 Open   2,000,000   2,000,147
Deutsche Bank Securities, Inc. 0.08% 4/16/14 Open   6,100,000   6,100,829
Deutsche Bank Securities, Inc. 0.34% 4/21/14 Open   1,896,000   1,896,718
UBS Securities LLC 0.32% 5/13/14 Open   1,610,000   1,610,258
UBS Securities LLC 0.34% 5/13/14 Open   1,172,000   1,172,199
UBS Securities LLC 0.34% 5/13/14 Open   633,000   633,108
UBS Securities LLC 0.40% 5/13/14 Open   3,880,000   3,880,776
Barclays Capital, Inc. 0.35% 5/14/14 Open   534,000   534,101
Barclays Capital, Inc. 0.35% 5/14/14 Open   556,000   556,089
Barclays Capital, Inc. 0.35% 5/14/14 Open   354,000   354,057
Barclays Capital, Inc. 0.35% 5/14/14 Open   272,000   272,044
Barclays Capital, Inc. 0.35% 5/14/14 Open   979,000   979,162
Barclays Capital, Inc. 0.35% 5/14/14 Open   468,000   468,071
Barclays Capital, Inc. 0.35% 5/14/14 Open   5,639,000   5,639,905
Barclays Capital, Inc. 0.35% 5/14/14 Open   294,000   294,047
Barclays Capital, Inc. 0.35% 5/14/14 Open   738,000   738,111
BNP Paribas Securities Corp. 0.08% 5/19/14 Open   1,148,869   1,148,902
BNP Paribas Securities Corp. 0.12% 5/20/14 6/12/14   7,002,000   7,002,280
BNP Paribas Securities Corp. 0.03% 5/20/14 Open   7,043,750   7,043,891
BNP Paribas Securities Corp. 0.07% 5/20/14 Open   697,812   697,826
Total       $ 166,888,669 $ 167,132,908
   

 

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

 

• Financial futures contracts outstanding as of May 31, 2014 were as follows:

 

 
Contracts
Purchased/
(Sold)		 Issue Exchange Expiration Notional
Value		   Unrealized
Appreciation
(Depreciation)
 
55 2-Year U.S. Treasury Note Chicago Board of Trade September
2014		 USD 12,087,109  $ 3,608
16 5-Year U.S. Treasury Note Chicago Board of Trade September
2014		 USD 1,916,125   1,228
62 Long U.S. Treasury Bond Chicago Board of Trade September
2014		 USD 8,523,063   91,944
156 Ultra Long U.S. Treasury Bond Chicago Board of Trade September
2014		 USD 23,443,875   217,946
(208) 10-Year U.S. Treasury Note Chicago Board of Trade September
2014		 USD 26,107,250   (42,074)
 
Total           $ 272,652
   
 
                         
BLACKROCK CORE BOND TRUSTMAY 31, 201416
 
Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)

 

• Forward foreign currency exchange contracts outstanding as of May 31, 2014 were as follows:

 

 
Currency
Purchased		   Currency
Sold		 Counterparty Settlement
Date		   Unrealized
Appreciation
 
USD 2,364,795   EUR 1,711,000 Barclays Bank PLC 7/23/14 $ 32,540
USD 254,387   GBP 150,000 Barclays Bank PLC 7/23/14   3,053
USD 11,096,288   GBP 6,605,000 Barclays Bank PLC 7/23/14   29,240
Total             $ 64,833
       
 

 

• OTC interest rate swaptions purchased as of May 31, 2014 were as follows:

 

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

 Credit Suisse Securities (USA) LLC Call 2.40% Receive 3-month LIBOR 9/02/14 USD 11,200 $ 42,391

5-Year Interest

Rate Swap

 Deutsche Bank Securities, Inc. Call 1.70% Receive 3-month LIBOR 11/14/14 USD 16,600   92,480

3-Year Interest

Rate Swap

 Deutsche Bank AG Call 1.68% Receive 3-month LIBOR 1/06/15 USD 1,200   16,465

30-Year Interest

Rate Swap

 Deutsche Bank Securities, Inc. Call 3.30% Receive 3-month LIBOR 5/22/17 USD 4,400   273,586

5-Year Interest

Rate Swap

 Deutsche Bank Securities, Inc. Put 2.50% Pay 3-month LIBOR 7/14/14 USD 16,600   662

10-Year Interest

Rate Swap

 Credit Suisse Securities (USA) LLC Put 3.45% Pay 3-month LIBOR 9/02/14 USD 67,100   34,430

1-Year Interest

Rate Swap

 Bank of America N.A. Put 0.60% Pay 3-month LIBOR 10/02/14 USD 11,850   604

3-Year Interest

Rate Swap

 Deutsche Bank AG Put 1.68% Pay 3-month LIBOR 1/06/15 USD 1,200   3,462

10-Year Interest

Rate Swap

 Deutsche Bank AG Put 4.50% Pay 3-month LIBOR 3/16/17 USD 6,300   134,099

10-Year Interest

Rate Swap

 Barclays Bank PLC Put 4.55% Pay 3-month LIBOR 4/25/17 USD 10,400   224,719

10-Year Interest

Rate Swap

 JPMorgan Chase Bank N.A. Put 4.60% Pay 3-month LIBOR 4/28/17 USD 10,400   216,766

30-Year Interest

Rate Swap

 Deutsche Bank Securities, Inc. Put 4.30% Pay 3-month LIBOR 5/22/17 USD 4,400   231,123

10-Year Interest

Rate Swap

 Deutsche Bank AG Put 4.50% Pay 3-month LIBOR 5/22/18 USD 6,000   199,320
Total $ 1,470,107
 
 
BLACKROCK CORE BOND TRUSTMAY 31, 201417
 
Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)

 

• OTC interest rate swaptions written as of May 31, 2014 were as follows:

 

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

 Credit Suisse Securities (USA) LLC Call 2.60% Pay 3-month LIBOR 9/02/14 USD 11,200 $ (110,435)

10-Year Interest

Rate Swap

 Barclays Bank PLC Call 3.26% Pay 3-month LIBOR 11/14/14 USD 6,200   (314,873)

10-Year Interest

Rate Swap

 JPMorgan Chase Bank N.A. Call 3.25% Pay 3-month LIBOR 11/14/14 USD 6,200   (312,469)

10-Year Interest

Rate Swap

 Deutsche Bank AG Call 2.85% Pay 3-month LIBOR 11/17/14 USD 7,500   (174,820)

10-Year Interest

Rate Swap

 Deutsche Bank AG Call 2.80% Pay 3-month LIBOR 2/10/15 USD 2,700   (56,711)

10-Year Interest

Rate Swap

JPMorgan

Chase Bank N.A.

 Call 2.50% Pay 3-month LIBOR 5/22/15 USD 12,000   (135,421)

10-Year Interest

Rate Swap

 Deutsche Bank Securities, Inc. Call 3.10% Pay 3-month LIBOR 2/26/16 USD 6,000   (199,742)

10-Year Interest

Rate Swap

 Deutsche Bank Securities, Inc. Call 3.15% Pay 3-month LIBOR 3/17/16 USD 6,000   (211,986)

10-Year Interest

Rate Swap

 Credit Suisse Securities (USA) LLC Put 3.10% Receive 3-month LIBOR 9/02/14 USD 11,200   (25,602)

10-Year Interest

Rate Swap

 Barclays Bank PLC Put 3.26% Receive 3-month LIBOR 11/14/14 USD 6,200   (27,371)

10-Year Interest

Rate Swap

 JPMorgan Chase Bank N.A. Put 3.25% Receive 3-month LIBOR 11/14/14 USD 6,200   (27,766)

10-Year Interest

Rate Swap

Deutsche

Bank AG

 Put 3.70% Receive 3-month LIBOR 11/17/14 USD 7,500   (9,536)

10-Year Interest

Rate Swap

 Barclays Bank PLC Put 3.15% Receive 3-month LIBOR 11/24/14 USD 5,000   (32,807)

10-Year Interest

Rate Swap

Deutsche

Bank AG

 Put 3.80% Receive 3-month LIBOR 2/10/15 USD 2,700   (7,862)

10-Year Interest

Rate Swap

Bank of

America N.A.

 Put 3.70% Receive 3-month LIBOR 2/25/15 USD 1,500   (6,251)

10-Year Interest

Rate Swap

 Barclays Bank PLC Put 3.65% Receive 3-month LIBOR 4/15/15 USD 1,100   (7,330)

10-Year Interest

Rate Swap

 Citibank N.A. Put 3.65% Receive 3-month LIBOR 4/15/15 USD 1,000   (6,664)

10-Year Interest

Rate Swap

 Deutsche Bank Securities, Inc. Put 3.65% Receive 3-month LIBOR 4/15/15 USD 900   (5,998)

10-Year Interest

Rate Swap

 JPMorgan Chase Bank N.A. Put 3.50% Receive 3-month LIBOR 5/22/15 USD 12,000   (131,859)

10-Year Interest

Rate Swap

Deutsche

Bank AG

 Put 4.15% Receive 3-month LIBOR 2/26/16 USD 6,000   (80,246)

10-Year Interest

Rate Swap

Citibank

N.A.

 Put 4.15% Receive 3-month LIBOR 2/29/16 USD 6,000   (80,722)

10-Year Interest

Rate Swap

 Barclays Bank PLC Put 4.05% Receive 3-month LIBOR 4/18/16 USD 1,700   (29,284)

10-Year Interest

Rate Swap

 Deutsche Bank Securities, Inc. Put 4.05% Receive 3-month LIBOR 4/18/16 USD 1,600   (27,561)

10-Year Interest

Rate Swap

 Goldman Sachs & Co. Put 4.05% Receive 3-month LIBOR 4/18/16 USD 1,700   (29,284)

 

BLACKROCK CORE BOND TRUSTMAY 31, 201418
 
Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)

 

• OTC interest rate swaptions written as of May 31, 2014 were as follows (concluded):

 

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

 BNP Paribas S.A. Put 4.10% Receive 3-month LIBOR 4/25/16 USD 3,600  $ (59,689)

10-Year Interest

Rate Swap

 Citibank N.A. Put 4.05% Receive 3-month LIBOR 4/25/16 USD 5,000   (87,626)

10-Year Interest

Rate Swap

 Barclays Bank PLC Put 4.05% Receive 3-month LIBOR 4/25/17 USD 8,500   (277,961)

10-Year Interest

Rate Swap

 JPMorgan Chase Bank N.A. Put 4.10% Receive 3-month LIBOR 4/28/17 USD 8,500   (268,083)

10-Year Interest

Rate Swap

Deutsche

Bank AG

 Put 6.00% Receive 3-month LIBOR 3/16/17 USD 12,600   (76,004)

10-Year Interest

Rate Swap

Deutsche

Bank AG

 Put 6.00% Receive 3-month LIBOR 5/22/18 USD 12,000   (144,653)
Total $ (2,966,616)
                     

 

• Centrally cleared interest rate swaps outstanding as of May 31, 2014 were as follows:

 

 
Fixed
Rate		   Floating
Rate		  
Clearinghouse		 Effective
Date		 Expiration
Date		   Notional
Amount
(000)		   Unrealized
Appreciation
(Depreciation)
 
0.56%1   3-month LIBOR   Chicago Mercantile N/A 6/25/15   USD 20,900  $ (63,669)
1.59%1    3-month LIBOR   Chicago Mercantile 10/03/142 11/30/18   USD 51,400   (88,125)
1.65%1    3-month LIBOR   Chicago Mercantile N/A 5/27/19   USD 5,100   12,330
2.75%1    3-month LIBOR   Chicago Mercantile N/A 4/16/24   USD 3,900   70,848
3.97%1    3-month LIBOR   Chicago Mercantile 4/25/192 4/25/24   USD 19,800   (274,891)
2.77%1    3-month LIBOR   Chicago Mercantile N/A 4/29/24   USD 400   (7,926)
2.63%1    3-month LIBOR   Chicago Mercantile N/A 5/19/24   USD 500   3,130
2.59%1    3-month LIBOR   Chicago Mercantile N/A 5/19/24   USD 500   1,559
3.19%1    3-month LIBOR   Chicago Mercantile 4/22/152 4/22/25   USD 2,400   61,403
2.97%1    3-month LIBOR   Chicago Mercantile 6/03/152 6/03/25   USD 1,100   2,088
3.65%1    3-month LIBOR   Chicago Mercantile N/A 2/27/44   USD 8,300   (599,899)
3.65%1    3-month LIBOR   Chicago Mercantile 4/22/152 4/22/45   USD 1,100   (47,519)
3.47%1    3-month LIBOR   Chicago Mercantile 6/03/152 6/03/45   USD 500   (1,818)
Total     $ (932,489)
                           

 

1 Trust pays the fixed rate and receives the floating rate.
2 Forward swap.
BLACKROCK CORE BOND TRUSTMAY 31, 201419
 
Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)

 

• OTC credit default swaps – buy protection outstanding as of May 31, 2014 were as follows:

 

 
  Issuer   Pay
Fixed
Rate		   Counterparty   Expiration
Date		   Notional
Amount
(000)		 Market
Value		 Premiums
Paid		   Unrealized
Depreciation
 
  Radian Group,
Inc.		   5.00%   Citibank N.A.   6/20/15   USD   1,400 $ (63,359) $ 17,128 $ (80,487)
  The New York
Times Co.		   1.00%   Barclays Bank PLC   12/20/16   USD   1,800   (23,764)   64,264   (88,028)
  Australia &
New
Zealand
Banking
Group Ltd.		   1.00%   Deutsche Bank AG   9/20/17   USD   1   (11)   10   (21)
  Westpac
Banking
Corp.		   1.00%   Deutsche Bank AG   9/20/17   USD   1   (11)   11   (22)
  Total $ (87,145)   $ 81,413   $ (168,558)
 
                                                               

 

• OTC credit default swaps – sold protection outstanding as of May 31, 2014 were as follows:

 

 
  Issuer   Receive
Fixed
Rate		   Counterparty   Expiration
Date		   Credit Rating1   Notional
Amount
(000)2		 Market
Value		 Premiums
Received		   Unrealized
Appreciation
 
  MetLife, Inc.   1.00%   Morgan Stanley Capital Services LLC   9/20/16   A-   USD   900  $ 16,098  $ (34,133)  $ 50,231
  MetLife, Inc.   1.00%   Deutsche Bank AG   9/20/16   A-   USD   730   13,057   (28,232)   41,289
  MetLife, Inc.   1.00%   Morgan Stanley Capital Services LLC   9/20/16   A-   USD   275   4,919   (9,302)   14,221
  MetLife, Inc.   1.00%   Goldman Sachs Bank USA   9/20/16   A-   USD   500   8,943   (18,820)   27,763
  MetLife, Inc.   1.00%   Credit Suisse International   9/20/16   A-   USD   535   9,569   (22,627)   32,196
  MetLife, Inc.   1.00%   Citibank N.A.   12/20/16   A-   USD   298   5,696   (11,072)   16,768
  MetLife, Inc.   1.00%   Citibank N.A.   12/20/16   A-   USD   285   5,453   (11,499)   16,952
  Total   $ 63,735   $ (135,685)   $ 199,420
                                           

 

1 Using Standard and Poor’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.

 

BLACKROCK CORE BOND TRUSTMAY 31, 201420
 
Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)

 

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

  • Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the 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 the 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, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust's policy, transfers between different levels of the fair value disclosure 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 investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust's policy regarding valuation of investments and derivative financial instruments, please refer to the Trust's most recent financial statements as contained in its semi-annual report.

The following tables summarize the Trust's investments and derivative financial instruments categorized in the disclosure hierarchy as of May 31, 2014:

 

  Level 1   Level 2   Level 3   Total
Assets:  
Investments:
 Long-Term Investments:
Common Stocks   —   —  $ 146,200  $ 146,200
Asset-Backed Securities   —  $ 17,920,585   1,032,631   18,953,216
Corporate Bonds   —   322,253,015   8,728,105   330,981,120
Foreign Agency Obligations   —   2,945,722   —   2,945,722
Municipal Bonds   —   12,357,674   —   12,357,674
Non-Agency Mortgage-Backed Securities   —   61,990,171   —   61,990,171
U.S. Government Sponsored Agency Securities   —   50,497,470   —   50,497,470
U.S. Treasury Obligations   —   56,749,107   —   56,749,107
Preferred Securities $ 6,045,049   38,878,975   —   44,924,024
Short-Term Securities   3,879,092   —   —   3,879,092
 Options Purchased                
Interest Rate Contracts   —   1,470,107   —   1,470,107
Total $ 9,924,141 $ 565,062,826 $ 9,906,936 $ 584,893,903
BLACKROCK CORE BOND TRUSTMAY 31, 201421
 
Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)

 

 
  Level 1   Level 2   Level 3   Total
 
Derivative Financial Instruments1
Assets:
Credit contracts   — $ 199,420   — $ 199,420
Foreign currency exchange contracts   —   64,833   —   64,833
Interest rate contracts $ 314,726   151,358   —   466,084
Liabilities:
Credit contracts   —   (168,558)   —   (168,558)
Interest rate contracts   (42,074)   (4,050,463)   —   (4,092,537)
Total $ 272,652 $ (3,803,410)   — $ (3,530,758)
                 
                             

 

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 or face value, including accrued interest  for financial reporting purposes. As of May 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

 
  Level 1   Level 2   Level 3   Total
 
Assets:  
  Cash pledged for centrally cleared swaps $ 1,336,000   —   — $ 1,336,000
  Cash pledged as collateral for OTC derivatives   1,200,000   —   —   1,200,000
  Cash pledged as collateral for reverse repurchase agreements   1,149,000   —   —   1,149,000
  Cash pledged for financial futures contracts   368,000   —   —   368,000
Liabilities:  
  Foreign bank overdraft   — $ (127,953)   —   (127,953)
  Cash received as collateral for reverse repurchase agreements   —   (610,000)   —   (610,000)
  Cash received as collateral for TBA commitments   —   (290,000)   —   (280,000)
  Reverse repurchase agreements   —   (167,132,908)   —   (167,132,908)
Total $ 4,053,000 $ (168,160,861)   — $ (164,097,861)
                             

 

There were no transfers between Level 1 and Level 2 during the period ended May 31, 2014.

 

BLACKROCK CORE BOND TRUSTMAY 31, 201422
 
Schedule of Investments (concluded) BlackRock Core Bond Trust (BHK)

 

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

 

 

Common

Stocks

  

Asset-Backed
Securities

  

Corporate

Bonds

    

Total

Assets:                
Opening Balance, as of August 31, 2013 $ 137,600   $ 10,951,144   $ 6,284,125     $ 17,372,869
Transfers into Level 3   –     –     –       –
Transfers out of Level 31   –     (6,210,898)     –       (6,210,898)
Accrued discounts/premiums   –     (221,395)     –       (221,395)
Net realized gain   –     53,012     –       53,012
Net change in unrealized appreciation/depreciation2   8,600     181,771     178,871       369,242
Purchases   –     –     2,265,109       2,265,109
Sales   –     (3,721,003)     –       (3,721,003)
                 

Closing Balance, as of May 31, 2014

 

$

 146,200  

 

$

 1,032,631  

 

$

 8,728,105    

 

$

 9,906,936
Net change in unrealized appreciation/depreciation on investments still held at May 31, 20143

$

 8,600  

 

$

 185,827  

 

$

 178,871    

 

$

 373,298

 

1 As of August 31, 2013, the Trust used significant unobservable inputs in determining the value of certain investments. As of May 31, 2014, the Trust used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $6,210,898 transferred from Level 3 to Level 2 in the disclosure hierarchy.
2 Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at May 31, 2014 is generally due to investments no longer held or categorized as Level 3 at period end.

 

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

 

BLACKROCK CORE BOND TRUSTMAY 31, 201423
 

Item 2 – Controls and Procedures

2(a) –     The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the ″1940 Act″)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

2(b) –     There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.

Item 3 – Exhibits

Certifications – Attached hereto

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

BlackRock Core Bond Trust

 

By: /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Core Bond Trust

 

Date: July 23, 2014

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By: /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Core Bond Trust

 

Date: July 23, 2014

 

By: /s/ Neal J. Andrews

Neal J. Andrews

Chief Financial Officer (principal financial officer) of

BlackRock Core Bond Trust

 

Date: July 23, 2014