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:

811-21349

 

 

       BlackRock Limited Duration Income Trust       

(Exact name of Registrant as specified in charter)


100 Bellevue Parkway, Wilmington, DE

19809

(Address of principal executive offices)

(Zip code)


Robert S. Kapito, President

BlackRock Limited Duration Income Trust

40 East 52nd Street, New York, NY 10022

(Name and address of agent for service)


Registrant's telephone number, including area code:

           888-825-2257           


Date of fiscal year end:

           October 31, 2007                       


Date of reporting period:

           April 30, 2007                             

 



Item 1. Reports to Shareholders.

The Registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
 

 

 

ALTERNATIVES  BLACKROCK SOLUTIONS  EQUITIES  FIXED INCOME  LIQUIDITY  REAL ESTATE

 

 

 

 

 

 

 

 

 

 

BlackRock
Closed-End Funds

(BLACKROCK LOGO)

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT  |  APRIL 30, 2007 (UNAUDITED)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)

 

 

 

 

BlackRock Core Bond Trust (BHK)

 

 

 

 

BlackRock High Yield Trust (BHY)

 

 

 

 

BlackRock Income Opportunity Trust (BNA)

 

 

 

 

BlackRock Income Trust Inc. (BKT)

 

 

 

 

BlackRock Limited Duration Income Trust (BLW)

 

 

 

 

BlackRock Preferred and Equity Advantage Trust (BTZ)

 

 

 

 

BlackRock Strategic Bond Trust (BHD)

 

 

 

 

NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE


TABLE OF CONTENTS

 

 

Letter to Shareholders

1

 

 

Trusts’ Summaries

2

 

 

Financial Statements

 

 

 

     Portfolios of Investments

10

 

 

     Statements of Assets and Liabilities

54

 

 

     Statements of Operations

56

 

 

     Statements of Cash Flows

58

 

 

     Statements of Changes in Net Assets

60

 

 

Financial Highlights

63

 

 

Notes to Financial Statements

71

 

 

Dividend Reinvestment Plans

86

 

 

Additional Information

87

 

 

Section 19 Notices

88


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 website.

          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.



LETTER TO SHAREHOLDERS

April 30, 2007

Dear Shareholder:

          We are pleased to report that during the semi-annual period, the Trusts provided the opportunity to invest in various portfolios of fixed income securities. This report contains the Trusts’ unaudited financial statements and a listing of the portfolios’ holdings.

          The portfolio management team continuously monitors the fixed income markets and adjusts the Trusts’ investments in order to gain exposure to various issuers and security types. This strategy enables the Trusts to move among different sectors, credit ratings and coupon levels to capitalize on changing market conditions.

          The following table shows the Trusts’ yields, closing market prices per share and net asset values (“NAV”) per share as of April 30, 2007.

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Yield1

 

Market Price

 

NAV

 









BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)

 

 

5.94

%

 

$

15.15

 

 

$

13.65

 














BlackRock Core Bond Trust (BHK)

 

 

6.21

 

 

 

12.95

 

 

 

13.84

 














BlackRock High Yield Trust (BHY)

 

 

7.36

 

 

 

8.32

 

 

 

8.28

 














BlackRock Income Opportunity Trust (BNA)

 

 

6.17

 

 

 

10.70

 

 

 

11.17

 














BlackRock Income Trust Inc. (BKT)

 

 

5.99

 

 

 

6.21

 

 

 

6.49

 














BlackRock Limited Duration Income Trust (BLW)

 

 

7.66

 

 

 

19.57

 

 

 

19.32

 














BlackRock Preferred and Equity Advantage Trust (BTZ)

 

 

8.00

 

 

 

23.43

 

 

 

23.79

 














BlackRock Strategic Bond Trust (BHD)

 

 

7.01

 

 

 

13.19

 

 

 

14.16

 














 

 

1

Yield is based on closing market price. These yields may increase/decrease due to an increase/decrease in the monthly distribution per share. Past performance does not guarantee future results.

          BlackRock, Inc. (“BlackRock”), a world leader in asset management, has a proven commitment to managing fixed income securities. As of March 31, 2007, BlackRock managed $468 billion in fixed income securities, including 32 open-end and 90 closed-end bond funds. BlackRock is recognized for its emphasis on risk management and proprietary analytics and for its reputation managing money for the world’s largest institutional investors. BlackRock Advisors, LLC, and its affiliate, BlackRock Financial Management, Inc., which manage the Trusts, are wholly owned subsidiaries of BlackRock.

          On behalf of BlackRock, we thank you for your continued confidence and assure you that we remain committed to excellence in managing your assets.

 

 

Sincerely,

 

 

 

-s- Laurence D. Fink

-s- Ralph L. Schlosstein

 

 

Laurence D. Fink
Chief Executive Officer
BlackRock Advisors, LLC

Ralph L. Schlosstein
President
BlackRock Advisors, LLC

1



TRUST SUMMARIES (unaudited)
APRIL 30, 2007

BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)

 


Trust Information

 

 

 

 

 

 

 








Symbol on American Stock Exchange:

 

 

BCT

 

 






Initial Offering Date:

 

June 17, 1993

 





Termination Date (on or about):

 

December 31, 2009

 





Closing Market Price as of 4/30/07:

 

 

$

15.15

 

 








Net Asset Value as of 4/30/07:

 

 

$

13.65

 

 








Yield on Closing Market Price as of 4/30/07 ($15.15):1

 

 

 

5.94

%

 








Current Monthly Distribution per Share:2

 

 

$

0.075

 

 








Current Annualized Distribution per Share:2

 

 

$

0.900

 

 








 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

2

The distribution is not constant and is subject to change. A portion of the distribution may be deemed a tax return of capital or net realized gain at fiscal year end.

The table below summarizes the changes in the Trust’s market price and NAV:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

















 

 

4/30/07

 

10/31/06

 

Change

 

High

 

Low

 


















Market Price

 

$

15.15

 

$

15.08

 

 

 0.46% 

 

$

15.65

 

$

14.86

 


















NAV

 

$

13.65

 

$

13.79

 

 

(1.02)%

 

$

13.81

 

$

13.63

 


















The following chart shows the portfolio composition of the Trust’s long-term investments:

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

 

 


Composition

 

April 30, 2007

 

October 31, 2006

 


Agency Multiple Class Mortgage Pass-Through Securities

 

 

 

37

%

 

 

 

28

%

 













U.S. Government and Agency Securities

 

 

 

19

 

 

 

 

30

 

 













Taxable Municipal Bonds

 

 

 

16

 

 

 

 

11

 

 













Inverse Floating Rate Mortgage Securities

 

 

 

11

 

 

 

 

8

 

 













Corporate Bond

 

 

 

8

 

 

 

 

14

 

 













Interest Only Mortgage-Backed Securities

 

 

 

6

 

 

 

 

7

 

 













Mortgage Pass-Through Securities

 

 

 

3

 

 

 

 

2

 

 













2



TRUST SUMMARIES (unaudited)
APRIL 30, 2007

BlackRock Core Bond Trust (BHK)

 


Trust Information

 

 

 

 

 

 

 


Symbol on New York Stock Exchange:

 

BHK

 





Initial Offering Date:

 

November 27, 2001

 





Closing Market Price as of 4/30/07:

 

 

$

12.95

 

 








Net Asset Value as of 4/30/07:

 

 

$

13.84

 

 








Yield on Closing Market Price as of 4/30/07 ($12.95):1

 

 

 

6.21

%

 








Current Monthly Distribution per Share:2

 

 

$

0.067

 

 








Current Annualized Distribution per Share:2

 

 

$

0.804

 

 








Leverage as of 4/30/07:3

 

 

 

9

%

 








 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

2

The distribution is not constant and is subject to change. A portion of the distribution may be deemed a tax return of capital or net realized gain at fiscal year end.

3

As a percentage of managed assets (as defined in Note 2 of the Notes to Financial Statements).

The table below summarizes the changes in the Trust’s market price and NAV:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

4/30/07

 

10/31/06

 

Change

High

 

Low

 


Market Price

 

$

12.95

 

$

12.86

 

 

0.70

%

$

13.25

 

$

12.58

 


















NAV

 

$

13.84

 

$

13.82

 

 

0.14

%

$

14.01

 

$

13.59

 


















The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocations of the Trust’s corporate bond investments:

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

 

 


Composition

 

April 30, 2007

 

October 31, 2006

 


Corporate Bonds

 

 

 

55

%

 

 

 

58

%

 













Mortgage Pass-Through Securities

 

 

 

11

 

 

 

 

10

 

 













U.S. Government and Agency Securities

 

 

 

8

 

 

 

 

5

 

 













Agency Multiple Class Mortgage Pass-Through Securities

 

 

 

7

 

 

 

 

8

 

 













Asset-Backed Securities

 

 

 

7

 

 

 

 

8

 

 













Commercial Mortgage-Backed Securities

 

 

 

6

 

 

 

 

6

 

 













Non-Agency Multiple Class Mortgage Pass-Through Securities

 

 

 

3

 

 

 

 

2

 

 













Foreign Government Bonds

 

 

 

2

 

 

 

 

1

 

 













Interest Only Mortgage-Backed Securities

 

 

 

1

 

 

 

 

1

 

 













Interest Only Asset-Backed Securities

 

 

 

 

 

 

 

1

 

 














Corporate Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 


Credit Rating

 

April 30, 2007

 

October 31, 2006

 


AAA/Aaa

 

 

 

6

%

 

 

 

7

%

 


AA/Aa

 

 

 

27

 

 

 

 

26

 

 













A

 

 

 

11

 

 

 

 

10

 

 













BBB/Baa

 

 

 

20

 

 

 

 

17

 

 













BB/Ba

 

 

 

8

 

 

 

 

12

 

 













B

 

 

 

22

 

 

 

 

23

 

 













CCC/Caa

 

 

 

6

 

 

 

 

5

 

 














 

 

4

Using the highest of Standard & Poor’s (“S&P’s”), Moody’s Investors Service (“Moody’s”) or Fitch Rating (“Fitch’s”) ratings. Corporate bonds represented approximately 58.2% and 58.3% of net assets on April 30, 2007 and October 31, 2006, respectively.

3



TRUST SUMMARIES (unaudited)
APRIL 30, 2007

BlackRock High Yield Trust (BHY)

 


Trust Information

 

 

 

 

 

 

 


Symbol on New York Stock Exchange:

 

BHY

 





Initial Offering Date:

 

December 23, 1998

 





Closing Market Price as of 4/30/07:

 

 

$

8.32

 

 








Net Asset Value as of 4/30/07:

 

 

$

8.28

 

 








Yield on Closing Market Price as of 4/30/07 ($8.32):1

 

 

 

7.36

%

 








Current Monthly Distribution per Share:2

 

 

$

0.051

 

 








Current Annualized Distribution per Share:2

 

 

$

0.612

 

 








Leverage as of 4/30/07:3

 

 

 

28

%

 








 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

2

The distribution is not constant and is subject to change. A portion of the distribution may be deemed a tax return of capital or net realized gain at fiscal year end.

3

As a percentage of managed assets (as defined in Note 2 of the Notes to Financial Statements).

The table below summarizes the changes in the Trust’s market price and NAV:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

4/30/07

 

10/31/06

 

Change

High

 

Low

 


Market Price

 

$

8.32

 

$

7.77

 

 

7.08

%

$

8.60

 

$

7.66

 


















NAV

 

$

8.28

 

$

7.85

 

 

5.48

%

$

8.28

 

$

7.85

 


















The following charts show the portfolio composition and credit quality allocations of the Trust’s corporate bond investments:

Corporate Portfolio Composition4

 

 

 

 

 

 

 

 

 

 

 

 


Composition

 

April 30, 2007

 

October 31, 2006

 


Energy

 

 

 

15

%

 

 

 

16

%

 













Telecommunications

 

 

 

13

 

 

 

 

13

 

 













Media

 

 

 

13

 

 

 

 

11

 

 













Basic Materials

 

 

 

12

 

 

 

 

11

 

 













Financial Institutions

 

 

 

8

 

 

 

 

14

 

 













Consumer Products

 

 

 

7

 

 

 

 

6

 

 













Technology

 

 

 

6

 

 

 

 

5

 

 













Automotive

 

 

 

4

 

 

 

 

3

 

 













Entertainment & Leisure

 

 

 

4

 

 

 

 

4

 

 













Industrials

 

 

 

4

 

 

 

 

3

 

 













Health Care

 

 

 

3

 

 

 

 

3

 

 













Aerospace & Defense

 

 

 

2

 

 

 

 

3

 

 













Transportation

 

 

 

2

 

 

 

 

2

 

 













Containers & Packaging

 

 

 

2

 

 

 

 

3

 

 













Real Estate

 

 

 

2

 

 

 

 

 

 













Building & Development

 

 

 

2

 

 

 

 

3

 

 













Ecological Services & Equipment

 

 

 

1

 

 

 

 

 

 














Corporate Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

 


Credit Rating

 

April 30, 2007

 

October 31, 2006

 


BBB/Baa

 

 

 

4

%

 

 

 

3

%

 













BB/Ba

 

 

 

20

 

 

 

 

26

 

 













B

 

 

 

58

 

 

 

 

55

 

 













CCC/Caa

 

 

 

15

 

 

 

 

12

 

 













C

 

 

 

 

 

 

 

2

 

 













Not Rated

 

 

 

3

 

 

 

 

2

 

 














 

 

4

For Trust compliance purposes, the Trust’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

5

Using the highest of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 123.2% and 128.9% of net assets on April 30, 2007 and October 31, 2006, respectively.

4



TRUST SUMMARIES (unaudited)
APRIL 30, 2007

BlackRock Income Opportunity Trust (BNA)

 


Trust Information

 

 

 

 

 

 

 





Symbol on New York Stock Exchange:

 

BNA

 





Initial Offering Date:

 

December 20, 1991

 





Closing Market Price as of 4/30/07:

 

 

$

10.70

 

 








Net Asset Value as of 4/30/07:

 

 

$

11.17

 

 








Yield on Closing Market Price as of 4/30/07 ($10.70):1

 

 

 

6.17

%

 








Current Monthly Distribution per Share:2

 

 

$

0.055

 

 








Current Annualized Distribution per Share:2

 

 

$

0.660

 

 








Leverage as of 4/30/07:3

 

 

 

14

%

 








 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

2

The distribution is not constant and is subject to change. A portion of the distribution may be deemed a tax return of capital or net realized gain at fiscal year end.

3

As a percentage of managed assets (as defined in Note 2 of the Notes to Financial Statements).

The table below summarizes the changes in the Trust’s market price and NAV:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 











 

 

4/30/07

 

10/31/06

Change

 

High

 

Low

 













Market Price

 

 

$

10.70

 

 

 

$

10.58

 

 

1.13

%

 

 

$

10.76

 

 

 

$

10.27

 

 


























NAV

 

 

$

11.17

 

 

 

$

11.17

 

 

%

 

 

$

11.33

 

 

 

$

10.95

 

 


























The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocations of the Trust’s corporate bond investments:

Portfolio Composition

 

 

 

 

 

 

 

 







Composition

 

April 30, 2007

 

October 31, 2006

 







Corporate Bonds

 

47

%

 

48

%

 









Mortgage Pass-Through Securities

 

12

 

 

12

 

 









Asset-Backed Securities

 

11

 

 

13

 

 









U.S. Government and Agency Securities

 

10

 

 

7

 

 









Agency Multiple Class Mortgage Pass-Through Securities

 

8

 

 

7

 

 









Commercial Mortgage-Backed Securities

 

4

 

 

4

 

 









Non-Agency Multiple Class Mortgage Pass-Through Securities

 

4

 

 

6

 

 









Foreign Government Bonds

 

1

 

 

 

 









Federal Housing Administration Securities

 

1

 

 

1

 

 









Interest Only Mortgage-Backed Securities

 

1

 

 

1

 

 









Trust Preferred Stocks

 

1

 

 

 

 









Inverse Floating Rate Mortgage Securities

 

 

 

1

 

 










Corporate Credit Quality Allocations4

 

 

 

 

 

 

 

 









Credit Rating

 

April 30, 2007

 

October 31, 2006

 









AAA/Aaa

 

8

%

 

9

%

 









AA/Aa

 

18

 

 

17

 

 









A

 

11

 

 

10

 

 









BBB/Baa

 

21

 

 

19

 

 









BB/Ba

 

11

 

 

13

 

 









B

 

25

 

 

25

 

 









CCC/Caa

 

6

 

 

6

 

 









Not Rated

 

 

 

1

 

 










 

 

4

Using the highest of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 54.2% and 52.1% of net assets on April 30, 2007 and October 31, 2006, respectively.

5



TRUST SUMMARIES (unaudited)
APRIL 30, 2007

BlackRock Income Trust Inc. (BKT)

 


Trust Information

 

 

 

 

 

 

 





Symbol on New York Stock Exchange:

 

BKT

 





Initial Offering Date:

 

July 22, 1988

 





Closing Market Price as of 4/30/07:

 

 

$

6.21

 

 








Net Asset Value as of 4/30/07:

 

 

$

6.49

 

 








Yield on Closing Market Price as of 4/30/07 ($6.21):1

 

 

 

5.99

%

 








Current Monthly Distribution per Share:2

 

 

$

0.031

 

 








Current Annualized Distribution per Share:2

 

 

$

0.372

 

 








Leverage as of 4/30/07:3

 

 

 

8

%

 








 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

2

The distribution is not constant and is subject to change. A portion of the distribution may be deemed a tax return of capital or net realized gain at fiscal year end.

3

As a percentage of managed assets (as defined in Note 2 of the Notes to Financial Statements).

The table below summarizes the changes in the Trust’s market price and NAV:

 

 

 

 

 

 

 

 

 

 

 

 











 

 

4/30/07

 

10/31/06

 

Change

 

High

 

Low












Market Price

 

$6.21

 

$6.07

 

2.31%

 

$6.33

 

$6.03












NAV

 

$6.49

 

$6.48

 

0.15%

 

$6.52

 

$6.41












The following chart shows the portfolio composition of the Trust’s long-term investments:

Portfolio Composition

 

 

 

 

 

 

 

 







Composition

 

April 30, 2007

 

October 31, 2006

 







Agency Multiple Class Mortgage Pass-Through Securities

 

27

%

 

28

%

 









Mortgage Pass-Through Securities

 

24

 

 

22

 

 









U.S. Government and Agency Securities

 

18

 

 

20

 

 









Interest Only Mortgage-Backed Securities

 

12

 

 

10

 

 









Non-Agency Multiple Class Mortgage Pass-Through Securities

 

8

 

 

9

 

 









Principal Only Mortgage-Backed Securities

 

5

 

 

5

 

 









Inverse Floating Rate Mortgage Securities

 

3

 

 

3

 

 









Federal Housing Administration Securities

 

2

 

 

2

 

 









Corporate Bonds

 

1

 

 

1

 

 









6



TRUST SUMMARIES (unaudited)
APRIL 30, 2007

BlackRock Limited Duration Income Trust (BLW)

 


Trust Information

 

 

 

 

 

 

 








Symbol on New York Stock Exchange:

 

BLW

 








Initial Offering Date:

 

July 30, 2003

 








Closing Market Price as of 4/30/07:

 

 

$

19.57

 

 








Net Asset Value as of 4/30/07:

 

 

$

19.32

 

 








Yield on Closing Market Price as of 4/30/07 ($19.57):1

 

 

 

7.66

%

 








Current Monthly Distribution per Share:2

 

 

$

0.125

 

 








Current Annualized Distribution per Share:2

 

 

$

1.500

 

 








Leverage as of 4/30/07:3

 

 

 

20

%

 








 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

2

The distribution is not constant and is subject to change. A portion of the distribution may be deemed a tax return of capital or net realized gain at fiscal year end.

3

As a percentage of managed assets (as defined in Note 2 of the Notes to Financial Statements).

The table below summarizes the Trust’s market price and NAV:

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

4/30/07

 

10/31/06

 

Change

 

High

 

Low

 













Market Price

 

$19.57

 

$18.85

 

3.82%

 

$19.89

 

$18.42

 













NAV

 

$19.32

 

$19.01

 

1.63%

 

$19.32

 

$18.93

 













The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocations of the Trust’s corporate bond investments:

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 







Composition

 

April 30, 2007

 

October 31, 2006

 







Corporate Bonds

 

 

42

%

 

 

 

43

%

 












Bank Loans

 

 

39

 

 

 

 

36

 

 












Mortgage Pass-Through Securities

 

 

14

 

 

 

 

14

 

 












U.S. Government and Agency Securities

 

 

3

 

 

 

 

4

 

 












Foreign Government Bonds

 

 

2

 

 

 

 

2

 

 












Non-Agency Multiple Class Mortgage Pass-Through Securities

 

 

 

 

 

 

1

 

 












Corporate Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 







Credit Rating

 

April 30, 2007

 

October 31, 2006

 







AA/Aa

 

 

1

%

 

 

 

2

%

 












A

 

 

1

 

 

 

 

1

 

 












BBB/Baa

 

 

10

 

 

 

 

9

 

 












BB/Ba

 

 

24

 

 

 

 

24

 

 












B

 

 

49

 

 

 

 

51

 

 












CCC/Caa

 

 

13

 

 

 

 

11

 

 












Not Rated

 

 

2

 

 

 

 

2

 

 













 

 

4

Using the highest of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 59.0% and 64.3% of net assets on April 30, 2007 and October 31, 2006, respectively.

7


TRUST SUMMARIES (unaudited)
APRIL 30, 2007

BlackRock Preferred and Equity Advantage Trust (BTZ)

 

Trust Information

 

 

 

 

 

 

 





Symbol on New York Stock Exchange:

 

BTZ

 





Initial Offering Date:

 

December 27, 2006

 





Closing Market Price as of 4/30/07:

 

 

$

23.43

 

 





Net Asset Value as of 4/30/07:

 

 

$

23.79

 

 





Yield on Closing Market Price as of 4/30/07 ($23.43):1

 

 

 

8.00

%

 





Current Monthly Distribution per Share:2

 

 

$

0.15625

 

 





Current Annualized Distribution per Share:2

 

 

$

1.87500

 

 





Leverage as of 4/30/07:3

 

 

 

38

%

 





 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

2

The distribution is not constant and is subject to change. A portion of the distribution may be deemed a tax return of capital or net realized gain at fiscal year end.

3

As a percentage of managed assets (as defined in Note 2 of the Notes to Financial Statements).

The table below summarizes the changes in the Trust’s market price and NAV:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 







 

 

4/30/2007

 

High

 

Low








Market Price

 

 

$

23.43

 

 

 

$

25.25

 

 

 

$

22.90

 

















NAV

 

 

$

23.79

 

 

 

$

24.35

 

 

 

$

23.44

 

















The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocations of the Trust’s preferred stock, trust preferred stock and corporate bond investments:

Portfolio Composition4

 

 

 



Composition

April 30, 2007



Financial Institutions

64

%




Energy

8

 




Consumer Products

4

 




Technology

4

 




Real Estate

4

 




Health Care

4

 




Telecommunications

3

 




Industrials

3

 




Media

2

 




Automotive

1

 




Basic Materials

1

 




Building & Development

1

 




Entertainment & Leisure

1

 




Credit Quality Allocations5

 

 

 



Credit Rating

April 30, 2007



AA/Aa

18

%




A

27

 




BBB/Baa

31

 




BB/Ba

2

 




B

20

 




CCC/Caa

1

 




Not Rated

1

 




 

 


4

For Trust compliance purposes, the Trust’s sector and industry classification refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classification for reporting ease.

 

 

5

Using the higher of S&P, Moody’s or Fitch ratings.

8


TRUST SUMMARIES (unaudited)
APRIL 30, 2007

BlackRock Strategic Bond Trust (BHD)

 

Trust Information

 

 

 

 

 

 





Symbol on New York Stock Exchange:

 

BHD

 





Initial Offering Date:

 

February 26, 2002

 





Closing Market Price as of 4/30/07:

 

 

$

13.19

 

 








Net Asset Value as of 4/30/07:

 

 

$

14.16

 

 








Yield on Closing Market Price as of 4/30/07 ($13.19):1

 

 

 

7.01

%

 








Current Monthly Distribution per Share:2

 

 

$

0.077

 

 








Current Annualized Distribution per Share:2

 

 

$

0.924

 

 








Leverage as of 4/30/07:3

 

 

 

9

%

 








 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

2

The distribution is not constant and is subject to change. A portion of the distribution may be deemed a tax return of capital or net realized gain at fiscal year end.

3

As a percentage of managed assets (as defined in Note 2 of the Notes to Financial Statements).

The table below summarizes the changes in the Trust’s market price and NAV:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

4/30/07

 

10/31/06

 

Change

 

High

 

Low

 













Market Price

 

 

$

13.19

 

 

 

$

12.85

 

 

 

2.65%

 

 

$

13.29

 

 

 

$

12.66

 

 


























NAV

 

 

$

14.16

 

 

 

$

13.83

 

 

 

2.39%

 

 

$

14.17

 

 

 

$

13.83

 

 


























The following charts show the portfolio composition and credit quality allocations of the Trust’s corporate bond investments:

Corporate Portfolio Composition4

 

 

 

 

 

 

 

 









Composition

 

April 30, 2007

 

October 31, 2006

 









Financial Institutions

 

 

16

%

 

 

18

%

 











Media

 

 

16

 

 

 

14

 

 











Telecommunications

 

 

13

 

 

 

12

 

 











Energy

 

 

13

 

 

 

13

 

 











Basic Materials

 

 

7

 

 

 

6

 

 











Aerospace & Defense

 

 

7

 

 

 

6

 

 











Technology

 

 

6

 

 

 

5

 

 











Consumer Products

 

 

5

 

 

 

7

 

 











Automotive

 

 

4

 

 

 

2

 

 











Health Care

 

 

4

 

 

 

4

 

 











Ecological Services & Equipment

 

 

2

 

 

 

2

 

 











Industrials

 

 

2

 

 

 

3

 

 











Transportation

 

 

2

 

 

 

1

 

 











Entertainment & Leisure

 

 

1

 

 

 

3

 

 











Containers & Packaging

 

 

1

 

 

 

1

 

 











Building & Development

 

 

1

 

 

 

2

 

 











Real Estate

 

 

 

 

 

1

 

 











Corporate Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 











Credit Rating

 

April 30, 2007

 

October 31, 2006

 











AAA/Aaa

 

 

3

%

 

 

3

%

 











AA/Aa

 

 

5

 

 

 

6

 

 











A

 

 

13

 

 

 

12

 

 











BBB/Baa

 

 

14

 

 

 

13

 

 











BB/Ba

 

 

14

 

 

 

16

 

 











B

 

 

39

 

 

 

40

 

 











CCC/Caa

 

 

10

 

 

 

9

 

 











Not Rated

 

 

2

 

 

 

1

 

 











 

 


4

For Trust compliance purposes, the Trust’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

 

5

Using the highest of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 97.7% and 107.6% of net assets on April 30, 2007 and October 31, 2006, respectively.

9



 

PORTFOLIO OF INVESTMENTS

APRIL 30, 2007 (unaudited)

BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

LONG-TERM INVESTMENTS—32.5%

 

 

 

 

 

 

 

Mortgage Pass-Through Securities—0.9%

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

$

345

 

5.50%, 1/01/17-2/01/17

 

$

346,937

 

 

15

 

6.50%, 7/01/29

 

 

15,174

 

 

 

 

 

 



 

 

 

 

Total Mortgage Pass-Through Securities

 

 

362,111

 

 

 

 

 

 



 

 

 

 

Agency Multiple Class Mortgage Pass-Through Securities—12.0%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

1,945

 

Ser. 1510, Class G, 7.05%, 5/15/13

 

 

1,955,819

 

 

2,000

 

Ser. 1598, Class J, 6.50%, 10/15/08

 

 

1,994,320

 

 

81

 

Ser. 2564, Class NC, 5.00%, 2/15/33

 

 

77,065

 

 

792

 

Federal National Mortgage Assoc., Ser. 49, Class H, 7.00%, 4/25/13

 

 

812,832

 

 

26

1

Government National Mortgage Assoc., REMIC Trust 2000, Ser. 16, Class FD, 5.97%, 12/16/27

 

 

25,698

 

 

 

 

 

 



 

 

 

 

Total Agency Multiple Class Mortgage Pass-Through Securities

 

 

4,865,734

 

 

 

 

 

 



 

 

 

 

Inverse Floating Rate Mortgage Securities—3.6%

 

 

 

 

 

144

1

Citicorp Mortgage Securities, Inc., Ser. 14, Class A-4, 4.19%, 11/25/23

 

 

143,754

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

45

1

Ser. 1425, Class SB, 8.155%, 12/15/07

 

 

44,518

 

 

11

1

Ser. 1506, Class S, 9.727%, 5/15/08

 

 

11,209

 

 

59

1

Ser. 1515, Class S, 8.776%, 5/15/08

 

 

59,324

 

 

44

1

Ser. 1600, Class SC, 8.60%, 10/15/08

 

 

43,656

 

 

181

1

Ser. 1618, Class SA, 8.25%, 11/15/08

 

 

183,323

 

 

14

1

Ser. 1661, Class SB, 8.853%, 1/15/09

 

 

13,743

 

 

51

1

Ser. 1688, Class S, 9.549%, 12/15/13

 

 

51,769

 

 

123

1

Ser. 2412, Class SE, 5.016%, 2/15/09

 

 

121,941

 

 

310

1

Ser. 2517, Class SE, 2.95%, 10/15/09

 

 

298,543

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

15

1

Ser. 13, Class SJ, 8.75%, 2/25/09

 

 

15,486

 

 

102

1

Ser. 179, Class SB, 7.437%, 10/25/07

 

 

102,314

 

 

21

1

Ser. 187, Class SB, 11.814%, 10/25/07

 

 

21,322

 

 

183

1

Ser. 192, Class SC, 6.844%, 10/25/08

 

 

183,906

 

 

61

1

Ser. 214, Class SH, 4.359%, 12/25/08

 

 

60,707

 

 

84

1

Ser. 214, Class SK, 10.00%, 12/25/08

 

 

85,909

 

 

 

 

 

 



 

 

 

 

Total Inverse Floating Rate Mortgage Securities

 

 

1,441,424

 

 

 

 

 

 



 

 

 

 

Interest Only Mortgage-Backed Securities—2.1%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

1

 

Ser. 65, Class I, 918.03%, 8/15/20

 

 

1,199

 

 

 

Ser. 141, Class H, 1,060.00%, 5/15/21

 

 

248

 

 

1,787

 

Ser. 2523, Class EH, 5.50%, 4/15/20

 

 

109,362

 

 

378

 

Ser. 2633, Class PI, 4.50%, 3/15/12

 

 

5,384

 

 

4,909

 

Ser. 2739, Class PI, 5.00%, 3/15/22

 

 

195,428

 

 

587

 

Ser. 2775, Class UB, 5.00%, 12/15/17

 

 

5,669

 

 

1,893

 

Ser. 2976, Class KI, 5.50%, 11/15/34

 

 

228,906

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

Ser. 8, Class HA, 1,199.999%, 1/25/08

 

 

1,434

 

 

1,218

 

Ser. 13, Class IG, 5.00%, 10/25/22

 

 

47,200

 

 

66

1

Ser. 20, Class SL, 10.143%, 9/25/08

 

 

3,732

 

 

3

 

Ser. 49, Class L, 444.917%, 4/25/13

 

 

21,828

 

 

7,391

 

Ser. 70, Class ID, 5.00%, 4/25/22

 

 

195,935

 

 

3

1

Ser. 174, Class S, 97.356%, 9/25/22

 

 

11,019

 

 

 

Ser. G-21, Class L, 949.50%, 7/25/21

 

 

8,549

 

 

13,546

1

Vendee Mortgage Trust, Ser. 1, 0.043%, 10/15/31

 

 

30,160

 

 

 

 

 

 



 

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

866,053

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Principal Only Mortgage-Backed Security—0.0%

 

 

 

 

$

17

2

Salomon Brothers Mortgage Securities, Inc. VI, Ser. 3, Class A, 12.50%, 10/23/17

 

$

16,202

 

 

 

 

 

 



 

 

 

 

Asset-Backed Securities—0.0%

 

 

 

 

 

234

1,3,4,5

Global Rated Eligible Asset Trust, Ser. A, Class 1, 7.33%, 9/15/07

 

 

23

 

 

568

1,3,5

Structured Mortgage Asset Residential Trust, Ser. 2, 8.24%, 12/15/07

 

 

57

 

 

 

 

 

 



 

 

 

 

Total Asset-Backed Securities

 

 

80

 

 

 

 

 

 



 

 

 

 

Corporate Bond—2.6%

 

 

 

 

 

1,000

 

Morgan Stanley Group, Inc., 10.00%, 6/15/08

 

 

1,050,311

 

 

 

 

 

 



 

 

 

 

U.S. Government and Agency Securities—6.1%

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

2,000

 

6.00%, 8/15/09

 

 

2,061,172

 

 

385

 

6.625%, 5/15/07

 

 

385,211

 

 

 

 

 

 



 

 

 

 

Total U.S. Government and Agency Securities

 

 

2,446,383

 

 

 

 

 

 



 

 

 

 

Taxable Municipal Bonds—5.2%

 

 

 

 

 

500

 

Fresno California Pension Oblig., 7.80%, 6/01/14

 

 

547,130

 

 

500

 

Kern County California Pension Oblig., 6.98%, 8/15/09

 

 

521,830

 

 

500

 

Los Angeles County California Pension Oblig., Ser. D, 6.97%, 6/30/08

 

 

510,735

 

 

500

 

Orleans Parish Louisiana School Board, Ser. A, 6.60%, 2/01/08

 

 

505,430

 

 

 

 

 

 



 

 

 

 

Total Taxable Municipal Bonds

 

 

2,085,125

 

 

 

 

 

 



 

 

 

 

Total Long-Term Investments
(cost $13,313,002)

 

 

13,133,423

 

 

 

 

 

 



 

 

 

 

SHORT-TERM INVESTMENT—66.7%

 

 

 

 

 

 

 

U.S. Government and Agency Discount Notes—66.7%

 

 

 

 

 

26,900

6

Federal Home Loan Bank Disc. Notes, 5.061%, 5/01/07 (cost $26,900,000)

 

 

26,900,000

 

 

 

 

 

 



 

 

 

 

Total Investments—99.2%
(cost $40,213,0027)

 

$

40,033,423

 

 

 

 

Other assets in excess of liabilities—0.8%

 

 

316,243

 

 

 

 

 

 



 

 

 

 

Net Assets—100%

 

$

40,349,666

 

 

 

 

 

 



 


 

 

1

Variable rate security. Rate shown is interest rate as of April 30, 2007.

2

Rate shown is effective yield of the underlying collateral as of April 30, 2007.

3

Illiquid security. As of April 30, 2007, the Trust held less than 0.1% of its net assets, with a current market value of $80, in these securities.

4

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of April 30, 2007, the Trust held less than 0.1% of its net assets, with a current market value of $23, in securities restricted as to resale.

5

Security is fair valued.

6

Rate shown is the yield to maturity as of the date of purchase.

7

Cost for federal income tax purposes is $40,213,002. The net unrealized depreciation on a tax basis is $179,579, consisting of $2,365,325 gross unrealized appreciation and $2,544,904 gross unrealized depreciation.


 

 

 

 

 

 

KEY TO ABBREVIATIONS

REMIC

Real Estate Mortgage Investment Conduit   

 

 

 

See Notes to Financial Statements.

10



 

PORTFOLIO OF INVESTMENTS
APRIL 30, 2007 (unaudited)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

LONG-TERM INVESTMENTS—106.3%

 

 

 

 

 

 

 

Mortgage Pass-Through Securities—11.2%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

$

79

 

5.00%, 8/01/33

 

$

76,310

 

 

5,544

 

5.50%, 11/01/18-5/01/36

 

 

5,489,162

 

 

1,580

1

5.50%, 11/01/18

 

 

1,585,578

 

 

2,757

 

6.00%, 2/01/13-12/01/18

 

 

2,807,575

 

 

25

 

7.00%, 9/01/31

 

 

25,998

 

 

69

2

7.436%, 5/01/32

 

 

70,009

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

46

 

4.50%, 2/01/20

 

 

44,209

 

 

10,575

 

5.00%, 11/01/17-5/01/21

 

 

10,442,466

 

 

3,910

 

5.50%, 1/01/18-4/01/36

 

 

3,877,511

 

 

2,825

 

5.97%, 8/01/16

 

 

2,977,098

 

 

5,670

1

6.00%, 2/01/36-11/01/36

 

 

5,715,486

 

 

4,786

 

6.00%, 8/01/29-10/01/36

 

 

4,823,571

 

 

329

 

7.00%, 1/01/31-7/01/32

 

 

344,660

 

 

1,200

 

Federal National Mortgage Assoc. TBA, 5.00%, 5/14/37

 

 

1,159,126

 

 

231

 

Government National Mortgage Assoc.,

 

 

 

 

 

 

 

5.50%, 8/15/33

 

 

230,117

 

 

 

 

Small Business Administration,

 

 

 

 

 

833

 

Ser. P10B, Class 1, 4.754%, 8/01/14

 

 

813,910

 

 

1,505

 

Ser. P10B, Class 1, 5.136%, 8/01/13

 

 

1,509,870

 

 

 

 

 

 



 

 

 

 

Total Mortgage Pass-Through Securities

 

 

41,992,656

 

 

 

 

 

 



 

 

 

 

Federal Housing Administration Security—0.3%

 

 

 

 

 

1,040

 

FHA Hebre Home Hospital, 6.25%, 9/01/28

 

 

1,082,458

 

 

 

 

 

 



 

 

 

 

Agency Multiple Class Mortgage Pass-Through Securities—7.9%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

2,258

 

Ser. 82, Class HJ, 5.50%, 9/25/32

 

 

2,267,746

 

 

1,200

 

Ser. 2562, Class PG, 5.00%, 1/15/18

 

 

1,185,404

 

 

2,170

 

Ser. 2775, Class OE, 4.50%, 4/15/19

 

 

2,064,232

 

 

3,041

 

Ser. 2806, Class VC, 6.00%, 12/15/19

 

 

3,125,052

 

 

1,374

 

Ser. 2825, Class VP, 5.50%, 6/15/15

 

 

1,388,885

 

 

1,300

 

Ser. 2883, Class DR, 5.00%, 11/15/19

 

 

1,266,923

 

 

3,196

 

Ser. 2922, Class GA, 5.50%, 5/15/34

 

 

3,221,500

 

 

1,713

 

Ser. 2927, Class BA, 5.50%, 10/15/33

 

 

1,727,801

 

 

1,641

 

Ser. 2933, Class HD, 5.50%, 2/15/35

 

 

1,657,248

 

 

1,600

 

Ser. 2968, Class EG, 6.00%, 10/15/34

 

 

1,640,371

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

1,453

 

Ser. 3 Class AP, 5.50%, 2/25/35

 

 

1,465,862

 

 

2,962

 

Ser. 5, Class PK, 5.00%, 12/25/34

 

 

2,942,087

 

 

1,923

 

Ser. 27, Class PC, 5.50%, 5/25/34

 

 

1,934,803

 

 

1,883

 

Ser. 70, Class NA, 5.50%, 8/25/35

 

 

1,898,632

 

 

1,716

2

Ser. 118, Class FD, 5.72%, 12/25/33

 

 

1,728,631

 

 

 

 

 

 



 

 

 

 

Total Agency Multiple Class Mortgage Pass-Through Securities

 

 

29,515,177

 

 

 

 

 

 



 

 

 

 

Asset-Backed Securities—6.9%

 

 

 

 

 

2,800

 

Chase Manhattan Auto Owner Trust, Ser. B, Class A4, 4.88%, 6/15/12

 

 

2,791,693

 

 

2,825

 

Citibank Credit Card Issuance Trust, Ser. A2, Class A2, 4.85%, 2/10/11

 

 

2,816,390

 

 

 

 

Countrywide Asset-Backed Certificates,

 

 

 

 

 

181

2

Ser. 15, Class 2AV1, 5.42%, 4/25/36

 

 

181,273

 

 

852

2

Ser. 16, Class 4AV1, 5.42%, 1/25/35

 

 

852,368

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Asset-Backed Securities—(cont’d)

 

 

 

 

$

2,825

 

DaimlerChrysler Auto Trust, Ser. A, Class A3, 5.00%, 5/08/10

 

$

2,819,264

 

 

2,850

 

Ford Credit Auto Owner Trust, Ser. A, Class A4, 5.08%, 12/15/10

 

 

2,850,324

 

 

2,300

 

Harley-Davidson Motorcycle Trust, Ser. 2, Class A2, 4.07%, 2/15/12

 

 

2,268,627

 

 

2,495

 

Maryland Trust, Ser. 1, Class A, 5.55%, 12/10/65

 

 

2,473,645

 

 

2,825

 

MBNA Credit Card Master Note Trust, Ser. A1, Class A, 4.90%, 7/15/11

 

 

2,821,463

 

 

891

2,3

Merrill Lynch Mortgage Investors, Inc., Ser. HE2, Class A2A, 5.43%, 9/25/36

 

 

890,858

 

 

634

2

New Century Home Equity Loan Trust, Ser. C, Class A2A, 5.40%, 1/25/36

 

 

633,687

 

 

867

2

SLM Student Loan Trust, Ser. 5, Class A1, 5.355%, 1/25/18

 

 

867,287

 

 

932

2

Structured Asset Investment Loan Trust, Ser. 1, Class A1, 5.40%, 1/25/36

 

 

931,858

 

 

2,725

 

USAA Auto Owner Trust, Ser. 1 Class A4, 5.04%, 12/15/11

 

 

2,729,118

 

 

 

 

 

 



 

 

 

 

Total Asset-Backed Securities

 

 

25,927,855

 

 

 

 

 

 



 

 

 

 

Interest Only Asset-Backed Securities—0.2%

 

 

 

 

 

 

 

Sterling Coofs Trust,

 

 

 

 

 

16,255

 

Ser. 1, 2.362%, 4/15/29

 

 

487,653

 

 

13,677

 

Ser. 2, 2.126%, 3/30/30

 

 

376,119

 

 

 

 

 

 



 

 

 

 

Total Interest Only Asset-Backed Securities

 

 

863,772

 

 

 

 

 

 



 

 

 

 

Interest Only Mortgage-Backed Securities—1.0%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

2,358

 

Ser. 2579, Class HI, 5.00%, 8/15/17

 

 

289,344

 

 

6,219

 

Ser. 2611, Class QI, 5.50%, 9/15/32

 

 

1,090,195

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

26,413

2

Ser. 90, Class JH, 1.38%, 11/25/34

 

 

1,295,928

 

 

4,240

 

Ser. 378, Class 5, 5.00%, 7/01/36

 

 

952,774

 

 

 

 

 

 



 

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

3,628,241

 

 

 

 

 

 



 

 

 

 

Commercial Mortgage-Backed Securities—6.8%

 

 

 

 

 

2,180

2

Banc of America Commerical Mortgage, Inc., Ser. 1, Class A4, 5.039%, 11/10/42

 

 

2,170,815

 

 

984

 

Commercial Mortgage Acceptance Corp., Ser. C2, Class A2, 6.03%, 9/15/30

 

 

985,698

 

 

2,720

 

Credit Suisse First Boston Mortgage Securities Corp., Ser. CP5, Class A2, 4.94%, 12/15/35

 

 

2,676,114

 

 

2,170

2

Credit Suisse Mortgage Capital Certificates, Ser. C2, Class A3, 5.542%, 1/15/49

 

 

2,190,598

 

 

1,551

 

General Motor Acceptance Corp. Commercial Mortgage Securities, Inc., Ser. C3, Class A2, 7.179%, 8/15/36

 

 

1,602,182

 

 

2,116

 

Goldman Sachs Mortgage Securities Corp. II, Ser. C1, Class A3, 6.135%, 10/18/30

 

 

2,126,466

 

 

1,541

 

Heller Financial Commercial Mortgage Asset Co., Ser. PH1, Class A2, 6.847%, 5/15/31

 

 

1,568,008

 

See Notes to Financial Statements.

11



BlackRock Core Bond Trust (BHK) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Commercial Mortgage-Backed Securities—(cont’d)

 

 

 

 

 

 

 

JPMorgan Chase Commercial Mortgage Securities Corp.,

 

 

 

 

$

2,140

 

Ser. C1, Class A3, 5.857%, 10/12/35

 

$

2,190,955

 

 

2,180

 

Ser. CBX, Class A4, 4.529%, 1/12/37

 

 

2,126,379

 

 

1,673

 

JPMorgan Commercial Mortgage Finance Corp., Ser. C10, Class A2, 7.371%, 8/15/32

 

 

1,750,259

 

 

2,216

 

Morgan Stanley Capital Trust I, Ser. HF2, Class A2, 6.48%, 11/15/30

 

 

2,232,582

 

 

3,500

 

Salomon Brothers Mortgage Securities VII, Ser. C1, Class A2, 7.52%, 12/18/09

 

 

3,660,970

 

 

 

 

 

 



 

 

 

 

Total Commercial Mortgage-Backed Securities

 

 

25,281,026

 

 

 

 

 

 



 

 

 

 

Corporate Bonds—58.2%

 

 

 

 

 

 

 

Aerospace & Defense—1.1%

 

 

 

 

 

150

4

Bombardier, Inc., 8.00%, 11/15/14 (Canada)

 

 

157,687

 

 

1,305

 

DI Finance/DynCorp Intl., Ser. B, 9.50%, 2/15/13

 

 

1,402,875

 

 

 

 

DRS Technologies, Inc.,

 

 

 

 

 

70

 

6.875%, 11/01/13

 

 

70,700

 

 

80

 

7.625%, 2/01/18

 

 

83,800

 

 

960

 

Northrop Grumman Corp., 7.875%, 3/01/26

 

 

1,178,892

 

 

15

 

Sequa Corp., 9.00%, 8/01/09

 

 

15,863

 

 

120

4

TransDigm, Inc., 7.75%, 7/15/14

 

 

124,500

 

 

1,125

 

United Technologies Corp., 4.875%, 5/01/15

 

 

1,093,454

 

 

 

 

 

 



 

 

 

 

Total Aerospace & Defense

 

 

4,127,771

 

 

 

 

 

 



 

 

 

 

Automotive—1.3%

 

 

 

 

 

265

 

Accuride Corp., 8.50%, 2/01/15

 

 

273,612

 

 

 

 

AutoNation, Inc.,

 

 

 

 

 

150

 

7.00%, 4/15/14

 

 

150,750

 

 

150

2

7.356%, 4/15/13

 

 

151,313

 

 

30

2,4

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 7.86%, 5/15/14

 

 

30,825

 

 

660

 

DaimlerChrysler NA Holding Corp., 7.45%, 3/01/27

 

 

756,624

 

 

600

 

Ford Capital BV, 9.50%, 6/01/10 (Netherlands)

 

 

603,000

 

 

485

 

Lear Corp., Ser. B, 8.75%, 12/01/16

 

 

472,269

 

 

250

 

Metaldyne Corp., 10.00%, 11/01/13

 

 

257,500

 

 

2,100

 

Sonic Automotive, Inc., Ser. B, 8.625%, 8/15/13

 

 

2,189,250

 

 

 

 

 

 



 

 

 

 

Total Automotive

 

 

4,885,143

 

 

 

 

 

 



 

 

 

 

Basic Materials—4.6%

 

 

 

 

 

625

 

Abitibi-Consolidated, Inc., 6.00%, 6/20/13 (Canada)

 

 

540,625

 

 

995

 

AK Steel Corp., 7.75%, 6/15/12

 

 

1,027,337

 

 

250

4

American Pacific Corp., 9.00%, 2/01/15

 

 

251,250

 

 

80

2

Bowater, Inc., 8.355%, 3/15/10

 

 

80,400

 

 

30

 

Chemtura Corp., 6.875%, 6/01/16

 

 

29,550

 

 

200

 

CPG Intl. I, Inc., 10.50%, 7/01/13

 

 

210,000

 

 

60

 

Domtar, Inc., 7.125%, 8/15/15 (Canada)

 

 

61,125

 

 

150

 

Donohue Forest Products, 7.625%, 5/15/07 (Canada)

 

 

150,000

 

 

 

 

Freeport-McMoRan Copper & Gold, Inc.,

 

 

 

 

 

920

 

8.375%, 4/01/17

 

 

1,006,250

 

 

330

2

8.564%, 4/01/15

 

 

347,738

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Basic Materials—(cont’d)

 

 

 

 

$

66

 

Huntsman LLC, 12.00%, 7/15/12

 

$

73,590

 

 

 

 

Ineos Group Holdings Plc (United Kingdom)

 

 

 

 

 

1,330

4

8.50%, 2/15/16

 

 

1,286,775

 

 

285

 

(EUR), 7.875%, 2/07/16

 

 

367,534

 

 

885

 

Innophos, Inc., 8.875%, 8/15/14

 

 

927,037

 

 

130

 

Ispat Inland ULC, 9.75%, 4/01/14 (Canada)

 

 

144,774

 

 

515

4

Key Plastics LLC/Key Plastics Finance Corp., 11.75%, 3/15/13

 

 

520,150

 

 

 

 

Lyondell Chemical Co.,

 

 

 

 

 

240

 

8.00%, 9/15/14

 

 

251,400

 

 

385

 

8.25%, 9/15/16

 

 

411,950

 

 

1,705

 

NewPage Corp., 10.00%, 5/01/12

 

 

1,884,025

 

 

 

 

Noranda, Inc. (Canada)

 

 

 

 

 

825

 

6.00%, 10/15/15

 

 

853,678

 

 

1,250

 

6.20%, 6/15/35

 

 

1,257,539

 

 

610

2

Nova Chemicals Corp., 8.502%, 11/15/13 (Canada)

 

 

620,675

 

 

545

4

Pregis Corp., 12.375%, 10/15/13

 

 

599,500

 

 

1,430

 

Teck Cominco Ltd., 6.125%, 10/01/35 (Canada)

 

 

1,394,416

 

 

430

4

Terra Capital, Inc., 7.00%, 2/01/17

 

 

421,400

 

 

2,150

 

Vale Overseas Ltd., 6.875%, 11/21/36 (Cayman Islands)

 

 

2,273,625

 

 

304

 

Verso Paper Holdings LLC/Verson Paper, Inc., 11.375%, 8/01/16

 

 

32,100

 

 

 

 

 

 



 

 

 

 

Total Basic Materials

 

 

17,024,443

 

 

 

 

 

 



 

 

 

 

Building & Development—0.2%

 

 

 

 

 

440

 

Goodman Global Holding Co., Inc., 7.875%, 12/15/12

 

 

443,300

 

 

190

 

Nortek, Inc., 8.50%, 9/01/14

 

 

188,100

 

 

85

 

North American Energy Partners, Inc., 8.75%, 12/01/11 (Canada)

 

 

87,550

 

 

 

 

 

 



 

 

 

 

Total Building & Development

 

 

718,950

 

 

 

 

 

 



 

 

 

 

Commercial Services—0.1%

 

 

 

 

 

100

 

FTI Consulting, Inc., 7.75%, 10/01/16

 

 

104,375

 

 

200

4

Quebecor World, Inc., 9.75%, 1/15/15 (Canada)

 

 

211,000

 

 

 

 

 

 



 

 

 

 

Total Commercial Services

 

 

315,375

 

 

 

 

 

 



 

 

 

 

Consumer Products—2.1%

 

 

 

 

 

650

2

Ames True Temper, Inc., 9.356%, 1/15/12

 

 

663,000

 

 

530

 

Federated Department Stores, Inc., 6.79%, 7/15/27

 

 

524,762

 

 

1,125

 

Federated Retail Holdings, Inc., 5.90%, 12/01/16

 

 

1,126,713

 

 

 

 

General Nutrition Centers, Inc.,

 

 

 

 

 

500

4

9.796%, 3/15/14

 

 

489,375

 

 

400

4

10.75%, 3/15/15

 

 

399,000

 

 

320

 

Lazy Days RV Center, Inc., 11.75%, 5/15/12

 

 

331,200

 

 

30

 

May Deptartment Stores Co., 6.65%, 7/15/24

 

 

29,784

 

 

 

 

Michaels Stores, Inc.,

 

 

 

 

 

470

4

10.00%, 11/01/14

 

 

515,825

 

 

600

4

11.375%, 11/01/16

 

 

661,500

 

 

50

2,4

Nutro Products, Inc., 9.37%, 10/15/13

 

 

51,125

 

 

1,000

 

Pantry, Inc. (The), 7.75%, 2/15/14

 

 

1,007,500

 

 

200

 

Quiksilver, Inc., 6.875%, 4/15/15

 

 

195,000

 

 

250

 

Reynolds American, Inc., 7.625%, 6/01/16

 

 

273,523

 

 

710

 

Rite Aid Corp., 7.50%, 3/01/17

 

 

708,225

 

 

390

4

Sally Holdings LLC, 10.50%, 11/15/16

 

 

405,600

 

See Notes to Financial Statements.

12



BlackRock Core Bond Trust (BHK) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Consumer Products—(cont’d)

 

 

 

 

$

120

 

Spectrum Brands, Inc., 7.375%, 2/01/15

 

$

95,100

 

 

555

 

United Rentals NA, Inc., 7.00%, 2/15/14

 

 

566,100

 

 

 

 

 

 



 

 

 

 

Total Consumer Products

 

 

8,043,332

 

 

 

 

 

 



 

 

 

 

Containers & Packaging—0.7%

 

 

 

 

 

 

 

Berry Plastics Holding Corp.,

 

 

 

 

 

270

 

8.875%, 9/15/14

 

 

278,100

 

 

180

2

9.23%, 9/15/14

 

 

184,050

 

 

150

 

Crown Americas LLC/Crown Americas Capital Corp., 7.75%, 11/15/15

 

 

158,625

 

 

75

 

Graham Packaging Co., Inc., 8.50%, 10/15/12

 

 

76,500

 

 

300

2,4

Impress Holdings BV, 8.481%, 9/15/13 (Netherlands)

 

 

307,117

 

 

1,500

 

Owens Brockway, 8.25%, 5/15/13

 

 

1,582,500

 

 

 

 

 

 



 

 

 

 

Total Containers & Packaging

 

 

2,586,892

 

 

 

 

 

 



 

 

 

 

Ecological Services & Equipment—0.2%

 

 

 

 

 

590

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

622,450

 

 

 

 

 

 



 

 

 

 

Energy—6.0%

 

 

 

 

 

425

 

Amerada Hess Corp., 7.125%, 3/15/33

 

 

466,528

 

 

2,350

 

Anadarko Petroleum Corp., 6.45%, 9/15/36

 

 

2,355,936

 

 

140

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

140,525

 

 

320

 

Chaparral Energy, Inc., 8.50%, 12/01/15

 

 

324,800

 

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

 

150

 

6.375%, 6/15/15

 

 

150,188

 

 

20

 

6.875%, 11/15/20

 

 

20,150

 

 

500

 

Cleveland Electric Illuminating Co., 5.95%, 12/15/36

 

 

482,185

 

 

 

 

Compagnie Generale de Geophysique-Veritas (France)

 

 

 

 

 

55

 

7.50%, 5/15/15

 

 

57,750

 

 

90

 

7.75%, 5/15/17

 

 

95,400

 

 

235

 

Compton Petroleum Finance Corp., 7.625%, 12/01/13 (Canada)

 

 

233,237

 

 

360

 

ConocoPhillips Funding Co., 5.95%, 10/15/36 (Canada)

 

 

367,624

 

 

725

 

DTE Energy Co., 6.35%, 6/01/16

 

 

757,474

 

 

115

 

Edison Mission Energy, 7.50%, 6/15/13

 

 

119,600

 

 

100

 

El Paso Corp., 7.80%, 8/01/31

 

 

111,500

 

 

 

 

El Paso Natural Gas Co.,

 

 

 

 

 

265

 

8.625%, 1/15/22

 

 

325,373

 

 

225

 

8.875%, 6/15/32

 

 

281,000

 

 

126

 

Elwood Energy LLC, 8.159%, 7/05/26

 

 

133,242

 

 

1,000

 

EnCana Corp., 6.50%, 8/15/34 (Canada)

 

 

1,048,070

 

 

 

 

Encore Acquisition Co.,

 

 

 

 

 

40

 

6.00%, 7/15/15

 

 

36,600

 

 

60

 

7.25%, 12/01/17

 

 

58,050

 

 

1,500

 

Energy East Corp., 6.75%, 7/15/36

 

 

1,596,973

 

 

130

 

Exco Resources, Inc., 7.25%, 1/15/11

 

 

130,325

 

 

950

 

Florida Power & Light Co., 4.95%, 6/01/35

 

 

845,414

 

 

80

 

Grant Prideco, Inc., Ser. B, 6.125%, 8/15/15

 

 

79,400

 

 

175

4

Halliburton Co., 7.60%, 8/15/96

 

 

202,018

 

 

210

 

KCS Energy, Inc., 7.125%, 4/01/12

 

 

207,900

 

 

700

 

Midamerican Energy Co., 5.80%, 10/15/36

 

 

693,727

 

 

75

 

Midwest Generation LLC, Ser. B, 8.56%, 1/02/16

 

 

82,833

 

 

155

 

Mirant Americas Generation LLC, 8.30%, 5/01/11

 

 

163,913

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Energy—(cont’d)

 

 

 

 

$

590

 

Mission Energy Holdings Co., 13.50%, 7/15/08

 

$

644,575

 

 

1,050

4

Nakilat, Inc., 6.067%, 12/31/33 (Qatar)

 

 

1,034,878

 

 

 

 

NRG Energy, Inc.,

 

 

 

 

 

50

 

7.25%, 2/01/14

 

 

51,750

 

 

285

 

7.375%, 2/01/16

 

 

296,044

 

 

1,000

 

Ohio Edison Co., 6.875%, 7/15/36

 

 

1,095,628

 

 

425

 

ONEOK Partners LP, 6.65%, 10/01/36

 

 

442,201

 

 

450

4

OPTI, Inc., 8.25%, 12/15/14 (Canada)

 

 

475,875

 

 

130

 

Orion Power Holdings, Inc., 12.00%, 5/01/10

 

 

150,150

 

 

1,650

 

Pemex Project Funding Master Trust, 9.625%, 12/02/08

 

 

1,749,000

 

 

 

 

Reliant Energy, Inc.,

 

 

 

 

 

210

 

6.75%, 12/15/14

 

 

219,975

 

 

50

 

9.25%, 7/15/10

 

 

52,438

 

 

330

4

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

339,075

 

 

700

 

Scottish Power Plc, 5.375%, 3/15/15 (United Kingdom)

 

 

698,841

 

 

315

4

SemGroup LP, 8.75%, 11/15/15

 

 

325,237

 

 

460

2,4

Stone Energy Corp., 8.106%, 7/15/10

 

 

460,000

 

 

295

 

Suncor Energy, Inc., 5.95%, 12/01/34 (Canada)

 

 

297,624

 

 

320

4

Targa Resources, Inc., 8.50%, 11/01/13

 

 

329,600

 

 

1,050

 

Texaco Capital, Inc., 8.875%, 9/01/21

 

 

1,393,841

 

 

550

 

Trans-Canada Pipelines Ltd., 5.85%, 3/15/36 (Canada)

 

 

539,883

 

 

375

 

Whiting Petroleum Corp., 7.25%, 5/01/12-5/01/13

 

 

367,600

 

 

 

 

 

 



 

 

 

 

Total Energy

 

 

22,531,950

 

 

 

 

 

 



 

 

 

 

Entertainment & Leisure—0.8%

 

 

 

 

 

185

 

AMC Entertainment, Inc., 11.00%, 2/01/16

 

 

212,288

 

 

80

 

Cinemark, Inc., Zero Coupon, 3/15/14

 

 

73,600

 

 

1,000

 

Circus & Eldorado Joint Venture, 10.125%, 3/01/12

 

 

1,050,000

 

 

150

 

Gaylord Entertainment Co., 6.75%, 11/15/14

 

 

148,875

 

 

335

4

Greektown Holdings LLC, 10.75%, 12/01/13

 

 

359,287

 

 

500

 

Harrah’s Operating Co., Inc., 5.75%, 10/01/17

 

 

415,000

 

 

110

 

Poster Financial Group, Inc., 8.75%, 12/01/11

 

 

114,400

 

 

260

 

Seneca Gaming Corp., Ser. B, 7.25%, 5/01/12

 

 

264,550

 

 

215

4

TDS Investor, 9.875%, 9/01/14

 

 

230,050

 

 

40

 

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625%, 12/01/14

 

 

40,100

 

 

 

 

 

 



 

 

 

 

Total Entertainment & Leisure

 

 

2,908,150

 

 

 

 

 

 



 

 

 

 

Financial Institutions—20.5%

 

 

 

 

 

 

 

American Real Estate Partners LP/American Real Estate Finance Corp.,

 

 

 

 

 

320

 

7.125%, 2/15/13

 

 

314,800

 

 

3,165

 

8.125%, 6/01/11

 

 

3,228,300

 

 

325

 

Bank One Corp., 3.70%, 1/15/08

 

 

321,553

 

 

1,400

 

BankBoston NA, 6.375%, 3/25/08-4/15/08

 

 

1,412,490

 

 

4,970

2

Barclays Bank Plc NY, 5.35%, 3/13/09

 

 

4,973,534

 

 

350

4

Belvoir Land LLC, Ser. A1, 5.27%, 12/15/47

 

 

326,182

 

 

 

 

Berkshire Hathaway Finance Corp.,

 

 

 

 

 

1,200

 

3.40%, 7/02/07

 

 

1,196,389

 

 

1,075

 

4.75%, 5/15/12

 

 

1,061,293

 

 

170

2,4

BMS Holdings, Inc., 12.40%, 2/15/12

 

 

170,425

 

 

110

 

Britannia Bulk Plc, 11.00%, 12/01/11 (United Kingdom)

 

 

111,100

 

See Notes to Financial Statements.

13



BlackRock Core Bond Trust (BHK) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Financial Institutions—(cont’d)

 

 

 

 

$

600

 

CitiFinancial, 6.25%, 1/01/08

 

$

602,827

 

 

 

 

Citigroup, Inc.,

 

 

 

 

 

3,950

5

3.625%, 2/09/09

 

 

3,857,977

 

 

5,470

5

4.125%, 2/22/10

 

 

5,349,879

 

 

1,020

 

4.25%, 7/29/09

 

 

1,004,338

 

 

525

 

6.875%, 2/15/98

 

 

571,773

 

 

1,075

4

Depfa ACS Bank, 5.125%, 3/16/37 (Ireland)

 

 

1,029,181

 

 

1,700

 

Eksportfinans A/S, 5.50%, 5/25/16 (Norway)

 

 

1,758,764

 

 

200

2

Ford Motor Credit Co., 8.105%, 1/13/12

 

 

197,263

 

 

525

4

Fort Irwin Land LLC, Ser. A-1, 5.03%, 12/15/25

 

 

495,316

 

 

1,415

 

Goldman Sachs Group, Inc. (The), 5.35%, 1/15/16

 

 

1,396,660

 

 

 

 

HBOS Treasury Services Plc (United Kingdom)

 

 

 

 

 

855

4

3.60%, 8/15/07

 

 

851,217

 

 

825

4

3.75%, 9/30/08

 

 

808,325

 

 

775

 

HSBC Bank NA, 5.875%, 11/01/34

 

 

772,377

 

 

 

 

HSBC Finance Corp.,

 

 

 

 

 

1,820

 

4.75%, 5/15/09

 

 

1,806,978

 

 

635

 

6.375%, 8/01/10

 

 

657,939

 

 

300

 

HSBC Holdings Plc, 6.50%, 5/02/36 (United Kingdom)

 

 

321,408

 

 

751

4

iPayment Investors LP, 11.625%, 7/15/14

 

 

780,980

 

 

240

 

iPayment, Inc., 9.75%, 5/15/14

 

 

249,900

 

 

1,500

4

Irwin Land LLC, 5.40%, 12/15/47

 

 

1,414,425

 

 

255

 

K&F Acquisition, Inc., 7.75%, 11/15/14

 

 

272,850

 

 

1,525

 

MetLife, Inc., 5.70%, 6/15/35

 

 

1,478,166

 

 

1,150

4

Metropolitan Global Funding I, 4.25%, 7/30/09

 

 

1,132,443

 

 

 

 

Momentive Performance Materials, Inc.,

 

 

 

 

 

40

4

9.75%, 12/01/14

 

 

42,300

 

 

770

4

10.125%, 12/01/14

 

 

816,200

 

 

355

4

11.50%, 12/01/16

 

 

379,850

 

 

 

 

Morgan Stanley,

 

 

 

 

 

3,300

2

5.60%, 1/09/12

 

 

3,299,822

 

 

1,900

 

6.25%, 8/09/26

 

 

1,964,383

 

 

2,125

4

Nationwide Building Society, 3.50%, 7/31/07 (United Kingdom)

 

 

2,115,457

 

 

850

4

New York Life Global Funding, 3.875%, 1/15/09

 

 

832,445

 

 

350

 

Ohana Military Communities LLC, Ser. 04I, 6.193%, 4/01/49

 

 

370,069

 

 

500

 

Prudential Financial, Inc., 5.90%, 3/17/36

 

 

499,270

 

 

1,000

4

Prudential Funding LLC, 6.60%, 5/15/08

 

 

1,008,150

 

 

5,550

2,4

Rabobank Nederland Global, 5.35%, 4/06/09 (Netherlands)

 

 

5,552,181

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

 

200

4

8.75%, 9/01/12

 

 

213,500

 

 

1,455

4

10.375%, 9/01/14

 

 

1,638,694

 

 

485

 

Standard Aero Holdings, Inc., 8.25%, 9/01/14

 

 

525,012

 

 

2,533

6

Structured Asset Receivable Trust, 5.114%, 1/21/10

 

 

2,530,944

 

 

 

 

SunTrust Bank,

 

 

 

 

 

1,635

 

3.625%, 10/15/07

 

 

1,621,752

 

 

995

 

4.00%, 10/15/08

 

 

977,398

 

 

1,265

 

4.415%, 6/15/09

 

 

1,250,824

 

 

235

4

TIAA Global Markets, Inc., 3.875%, 1/22/08

 

 

232,177

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Financial Institutions—(cont’d)

 

 

 

 

$

375

 

U.S. Bancorp, Ser. N, 3.95%, 8/23/07

 

$

373,341

 

 

50

2

Universal City Florida Holding Co. I/II, 10.106%, 5/01/10

 

 

51,312

 

 

2,790

 

US Bank NA, 6.50%, 2/01/08

 

 

2,804,536

 

 

495

4

USAA Capital Corp., 4.00%, 12/10/07

 

 

490,610

 

 

 

 

Wells Fargo & Co.,

 

 

 

 

 

1,031

 

3.12%, 8/15/08

 

 

1,001,356

 

 

355

 

4.20%, 1/15/10

 

 

348,340

 

 

1,665

 

4.625%, 8/09/10

 

 

1,647,313

 

 

435

 

4.875%, 1/12/11

 

 

432,985

 

 

1,150

 

Wells Fargo Bank NA, 5.95%, 8/26/36

 

 

1,169,734

 

 

630

4

Wimar Opco LLC/Wimar Opco Finance Corp., 9.625%, 12/15/14

 

 

639,450

 

 

1,775

4

Xstrata Finance Ltd., 5.80%, 11/15/16 (Canada)

 

 

1,797,220

 

 

 

 

 

 



 

 

 

 

Total Financial Institutions

 

 

76,553,677

 

 

 

 

 

 



 

 

 

 

Health Care—2.2%

 

 

 

 

 

1,030

 

Bristol-Myers Squibb Co., 5.875%, 11/15/36

 

 

1,019,442

 

 

2,275

 

Eli Lilly & Co., 5.55%, 3/15/37

 

 

2,207,430

 

 

 

 

HealthSouth Corp.,

 

 

 

 

 

120

4

10.75%, 6/15/16

 

 

130,800

 

 

260

2,4

11.354%, 6/15/14

 

 

282,750

 

 

52,000

 

Pfizer, Inc. (JPY), 0.80%, 3/18/08

 

 

434,907

 

 

410

 

Tenet Healthcare Corp., 6.875%, 11/15/31

 

 

328,000

 

 

995

 

Teva Pharmaceutical Finance LLC, 6.15%, 2/01/36

 

 

969,507

 

 

870

 

UnitedHealth Group, Inc., 5.80%, 3/15/36

 

 

839,261

 

 

410

 

Universal Hospital Services, Inc., 10.125%, 11/01/11

 

 

439,252

 

 

 

 

WellPoint, Inc.,

 

 

 

 

 

955

 

5.85%, 1/15/36

 

 

922,736

 

 

85

 

5.95%, 12/15/34

 

 

84,310

 

 

675

 

Wyeth, 6.00%, 2/15/36

 

 

680,481

 

 

 

 

 

 



 

 

 

 

Total Health Care

 

 

8,338,876

 

 

 

 

 

 



 

 

 

 

Industrials—1.2%

 

 

 

 

 

1,575

 

3M Co., Ser. MTN, 5.70%, 3/15/37

 

 

1,570,462

 

 

360

4

AGY Holding Corp., 11.00%, 11/15/14

 

 

378,450

 

 

140

 

Hexcel Corp., 6.75%, 2/01/15

 

 

140,350

 

 

120

 

Park-Ohio Industries, Inc., 8.375%, 11/15/14

 

 

118,800

 

 

 

 

RBS Global, Inc./Rexnord Corp.,

 

 

 

 

 

480

 

9.50%, 8/01/14

 

 

513,600

 

 

505

 

11.75%, 8/01/16

 

 

560,550

 

 

950

4

Sunstate Equipment Co. LLC, 10.50%, 4/01/13

 

 

1,016,500

 

 

200

 

Trimas Corp., 9.875%, 6/15/12

 

 

207,500

 

 

 

 

 

 



 

 

 

 

Total Industrials

 

 

4,506,212

 

 

 

 

 

 



 

 

 

 

Media—6.3%

 

 

 

 

 

 

 

Affinion Group, Inc.,

 

 

 

 

 

515

 

10.125%, 10/15/13

 

 

561,350

 

 

180

 

11.50%, 10/15/15

 

 

198,000

 

 

100

 

American Media Operations, Inc., Ser. B, 10.25%, 5/01/09

 

 

94,250

 

 

 

 

AOL Time Warner, Inc.,

 

 

 

 

 

90

 

6.625%, 5/15/29

 

 

91,687

 

 

3,040

 

7.57%, 2/01/24

 

 

3,387,071

 

 

205

5

7.625%, 4/15/31

 

 

231,879

 

 

85

 

7.70%, 5/01/32

 

 

97,127

 

See Notes to Financial Statements.

14



BlackRock Core Bond Trust (BHK) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Media—(cont’d)

 

 

 

 

$

55

4

BSKYB Finance Plc, 6.50%, 10/15/35 (United Kingdom)

 

$

55,111

 

 

180

2

Cablevision Systems Corp., Ser. B, 9.82%, 4/01/09

 

 

190,800

 

 

110

 

CanWest MediaWorks, Inc., 8.00%, 9/15/12 (Canada)

 

 

114,125

 

 

200

 

CCH I Holdings LLC/CCH I Holdings Capital Corp., 11.00%, 10/01/15

 

 

212,500

 

 

 

 

Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.,

 

 

 

 

 

1,210

 

10.25%, 9/15/10

 

 

1,288,650

 

 

130

 

Ser. B, 10.25%, 9/15/10

 

 

138,125

 

 

645

4

CMP Susquehanna Corp., 9.875%, 5/15/14

 

 

657,900

 

 

 

 

Comcast Corp.,

 

 

 

 

 

790

 

6.45%, 3/15/37

 

 

798,955

 

 

2,375

 

6.50%, 1/15/17-11/15/35

 

 

2,494,489

 

 

75

 

Dex Media West LLC/Dex Media Finance Co., Ser. B, 9.875%, 8/15/13

 

 

81,656

 

 

125

 

DirecTV Holdings LLC/DirecTV Financing Co., 8.375%, 3/15/13

 

 

131,875

 

 

 

 

EchoStar DBS Corp.,

 

 

 

 

 

175

 

5.75%, 10/01/08

 

 

175,219

 

 

290

 

7.00%, 10/01/13

 

 

301,237

 

 

75

 

7.125%, 2/01/16

 

 

78,094

 

 

620

4

Idearc, Inc., 8.00%, 11/15/16

 

 

647,125

 

 

100

4

Iesy Repository GMBH, 10.375%, 2/15/15 (Germany)

 

 

105,750

 

 

450

 

LIN Television Corp., 6.50%, 5/15/13

 

 

443,250

 

 

180

 

MediaNews Group, Inc., 6.875%, 10/01/13

 

 

163,800

 

 

485

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

497,125

 

 

 

 

News America Holdings, Inc.,

 

 

 

 

 

985

 

7.625%, 11/30/28

 

 

1,111,140

 

 

825

 

7.70%, 10/30/25

 

 

942,745

 

 

625

 

8.45%, 8/01/34

 

 

786,476

 

 

560

 

Nexstar Finance, Inc., 7.00%, 1/15/14

 

 

544,600

 

 

 

 

Nielsen Finance LLC/Nielsen Finance Co.,

 

 

 

 

 

300

4

Zero Coupon, 8/01/16

 

 

216,750

 

 

965

4

10.00%, 8/01/14

 

 

1,054,262

 

 

600

2,4

Paxson Communications Corp., 8.606%, 1/15/12

 

 

612,000

 

 

400

 

Primedia, Inc., 8.00%, 5/15/13

 

 

416,000

 

 

865

 

RH Donnelley Corp., Ser. A-3, 8.875%, 1/15/16

 

 

938,525

 

 

70

 

Sirius Satellite Radio, Inc., 9.625%, 8/01/13

 

 

70,000

 

 

 

 

TCI Communications, Inc.,

 

 

 

 

 

200

 

7.125%, 2/15/28

 

 

215,068

 

 

620

 

7.875%, 8/01/13-2/15/26

 

 

716,455

 

 

70

 

Time Warner Cos., Inc., 6.95%, 1/15/28

 

 

73,679

 

 

500

4

Umbrella Acquisition, Inc., 9.75%, 3/15/15

 

 

503,750

 

 

 

 

Vertis, Inc.,

 

 

 

 

 

645

 

9.75%, 4/01/09

 

 

659,512

 

 

225

 

Ser. B, 10.875%, 6/15/09

 

 

223,031

 

 

1,230

 

Young Broadcasting, Inc., 10.00%, 3/01/11

 

 

1,251,525

 

 

 

 

 

 



 

 

 

 

Total Media

 

 

23,572,668

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Real Estate—1.0%

 

 

 

 

 

 

 

AvalonBay Communities, Inc.,

 

 

 

 

$

350

 

6.625%, 9/15/11

 

$

369,570

 

 

775

 

8.25%, 7/15/08

 

 

798,961

 

 

 

 

Rouse Co.,

 

 

 

 

 

895

 

3.625%, 3/15/09

 

 

862,139

 

 

1,650

 

5.375%, 11/26/13

 

 

1,555,368

 

 

 

 

 

 



 

 

 

 

Total Real Estate

 

 

3,586,038

 

 

 

 

 

 



 

 

 

 

Technology—1.6%

 

 

 

 

 

 

 

Amkor Technology, Inc.,

 

 

 

 

 

80

 

7.75%, 5/15/13

 

 

79,200

 

 

145

 

9.25%, 6/01/16

 

 

153,700

 

 

250

 

Celestica, Inc., 7.625%, 7/01/13 (Canada)

 

 

238,125

 

 

 

 

Freescale Semiconductor, Inc.,

 

 

 

 

 

1,175

4

9.125%, 12/15/14

 

 

1,169,125

 

 

140

2,4

9.23%, 12/15/14

 

 

140,000

 

 

740

4

NXP BV/NXP Funding LLC, 9.50%, 10/15/15 (Netherlands)

 

 

777,000

 

 

 

 

Sanmina-SCI Corp.,

 

 

 

 

 

65

 

6.75%, 3/01/13

 

 

61,750

 

 

565

 

8.125%, 3/01/16

 

 

552,994

 

 

450

 

Sensata Technologies, 8.00%, 5/01/14 (Netherlands)

 

 

451,125

 

 

 

 

SunGard Data Systems, Inc.,

 

 

 

 

 

105

 

9.125%, 8/15/13

 

 

112,613

 

 

610

 

10.25%, 8/15/15

 

 

671,000

 

 

945

 

Superior Essex Communications LLC/Essex Group, Inc., 9.00%, 4/15/12

 

 

982,800

 

 

189

4

UGS Capital Corp. II, 10.38%, 6/01/11

 

 

194,754

 

 

410

 

UGS Corp., 10.00%, 6/01/12

 

 

446,900

 

 

 

 

 

 



 

 

 

 

Total Technology

 

 

6,031,086

 

 

 

 

 

 



 

 

 

 

Telecommunications—7.9%

 

 

 

 

 

1,700

 

BellSouth Telecommunications, Zero Coupon, 12/15/95

 

 

896,113

 

 

210

 

Cincinnati Bell, Inc., 7.25%, 7/15/13

 

 

218,400

 

 

415

4

Cricket Communications, Inc., 9.375%, 11/01/14

 

 

443,531

 

 

 

 

Deutsche Telekom Intl. Finance BV (Netherlands)

 

 

 

 

 

3,000

 

5.75%, 3/23/16

 

 

3,012,213

 

 

25

 

8.75%, 6/15/30

 

 

31,378

 

 

 

 

Digicel Group Ltd. (Bermuda)

 

 

 

 

 

240

1,4

8.875%, 1/15/15

 

 

235,500

 

 

540

4

9.125%, 1/15/15

 

 

523,800

 

 

190

2

Hawaiian Telcom Communications, Inc., Ser. B, 10.86%, 5/01/13

 

 

194,275

 

 

475

 

Intelsat Corp., 9.00%, 6/15/16

 

 

520,719

 

 

 

 

Intelsat Ltd. (Bermuda)

 

 

 

 

 

95

2

8.872%, 1/15/15

 

 

97,193

 

 

500

 

9.25%, 6/15/16

 

 

550,000

 

 

200

 

11.25%, 6/15/16

 

 

228,250

 

 

870

2

11.354%, 6/15/13

 

 

930,900

 

 

295

 

Intelsat Subsidiary Holding Co. Ltd., 8.625%, 1/15/15 (Bermuda)

 

 

315,281

 

 

770

4

Nordic Telephone Co. Holdings ApS, 8.875%, 5/01/16 (Denmark)

 

 

827,750

 

 

 

 

Nortel Networks Ltd. (Canada)

 

 

 

 

 

530

2,4

9.606%, 7/15/11

 

 

567,100

 

 

185

4

10.125%, 7/15/13

 

 

203,963

 

See Notes to Financial Statements.

15



BlackRock Core Bond Trust (BHK) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Telecommunications—(cont’d)

 

 

 

 

$

155

 

PanAmSat Corp., 9.00%, 8/15/14

 

$

167,400

 

 

 

 

Qwest Corp.,

 

 

 

 

 

200

 

7.875%, 9/01/11

 

 

213,000

 

 

470

2

8.605%, 6/15/13

 

 

514,063

 

 

780

 

SBC Communications, Inc., 6.45%, 6/15/34

 

 

809,145

 

 

1,715

 

Sprint Capital Corp., 6.875%, 11/15/28

 

 

1,701,815

 

 

675

 

Sprint Nextel Corp., 6.00%, 12/01/16

 

 

663,491

 

 

 

 

Telecom Italia Capital S.A. (Luxembourg)

 

 

 

 

 

1,075

 

4.95%, 9/30/14

 

 

1,024,276

 

 

1,550

 

6.00%, 9/30/34

 

 

1,444,958

 

 

1,975

 

Telefonica Emisones SAU, 7.045%, 6/20/36 (Spain)

 

 

2,119,033

 

 

725

 

Telefonica Europe BV, 7.75%, 9/15/10 (Netherlands)

 

 

780,988

 

 

70

 

Verizon Global Funding Corp., 7.75%, 12/01/30

 

 

81,950

 

 

125

 

Verizon Maryland, Inc., 5.125%, 6/15/33

 

 

105,116

 

 

 

 

Verizon New Jersey, Inc.,

 

 

 

 

 

230

 

7.85%, 11/15/29

 

 

263,942

 

 

335

 

Ser. A, 5.875%, 1/17/12

 

 

341,977

 

 

3,150

 

Verizon Virginia, Inc., 4.625%, 3/15/13

 

 

2,999,531

 

 

 

 

Vodafone Group Plc (United Kingdom)

 

 

 

 

 

1,465

2

5.44%, 12/28/07

 

 

1,465,674

 

 

2,504

 

7.75%, 2/15/10

 

 

2,668,923

 

 

1,100

4

West Corp., 11.00%, 10/15/16

 

 

1,201,750

 

 

350

4

Wind Acquisition Finance S.A.,

 

 

 

 

 

 

 

10.75%, 12/01/15 (Luxembourg)

 

 

404,250

 

 

 

 

Windstream Corp.,

 

 

 

 

 

500

 

8.125%, 8/01/13

 

 

542,500

 

 

280

 

8.625%, 8/01/16

 

 

307,300

 

 

 

 

 

 



 

 

 

 

Total Telecommunications

 

 

29,617,448

 

 

 

 

 

 



 

 

 

 

Transportation—0.4%

 

 

 

 

 

115

 

American Airlines, Inc., Ser. 99-1, 7.324%, 4/15/11

 

 

116,725

 

 

350

 

Canadian National Railway Co., 6.25%, 8/01/34 (Canada)

 

 

363,841

 

 

405

 

CHC Helicopter Corp., 7.375%, 5/01/14 (Canada)

 

 

395,888

 

 

47

 

Horizon Lines LLC, 9.00%, 11/01/12

 

 

49,468

 

 

500

4

Navios Maritime Holdings, Inc., 9.50%, 12/15/14 (Marshall Islands)

 

 

526,250

 

 

 

 

 

 



 

 

 

 

Total Transportation

 

 

1,452,172

 

 

 

 

 

 



 

 

 

 

Total Corporate Bonds

 

 

217,422,633

 

 

 

 

 

 



 

 

 

 

U.S. Government and Agency Securities—8.9%

 

 

 

 

 

1,670

 

Aid to Israel, 5.50%, 4/26/24-9/18/33

 

 

1,733,937

 

 

1,050

1

Resolution Funding Corp., Zero Coupon, 7/15/18-10/15/18

 

 

603,037

 

 

1,655

 

Tennessee Valley Authority, Ser. C, 5.88%, 4/01/36

 

 

1,813,270

 

 

9,285

1

U.S. Treasury Bonds, 4.75%, 2/15/37

 

 

9,184,898

 

 

5,126

1

U.S. Treasury Inflation Protected Bond, 2.00%, 1/15/26

 

 

4,866,805

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

3,125

1

4.50%, 3/31/12

 

 

3,122,438

 

 

11,965

1

4.625%, 2/15/17

 

 

11,959,388

 

 

 

 

 

 



 

 

 

 

Total U.S. Government and Agency Securities

 

 

33,283,773

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Foreign Government Bonds—1.9%

 

 

 

 

$

133,000

 

Kreditanstalt Fuer Wiederaufbau (JPY), 0.325%, 8/08/11

 

$

1,112,854

 

 

110,900

 

Republic of Finland (JPY), 0.30%, 10/18/07

 

 

925,412

 

 

 

 

United Mexican States,

 

 

 

 

 

2,000

 

5.625%, 1/15/17

 

 

2,031,000

 

 

2,647

 

6.75%, 9/27/34

 

 

2,951,405

 

 

 

 

 

 



 

 

 

 

Total Foreign Government Bonds

 

 

7,020,671

 

 

 

 

 

 



 

 

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities—2.7%

 

 

 

 

 

 

 

First Union National Bank Commercial Mortgage,

 

 

 

 

 

3,121

 

Ser. C3, Class A3, 6.423%, 8/15/33

 

 

3,239,991

 

 

2,265

 

Ser. C4, Class A2, 6.223%, 12/12/33

 

 

2,349,343

 

 

2,350

 

General Motor Acceptance Corp. Commercial Mortgage Securities, Inc., Ser. C4, Class A2, 4.93%, 7/10/39

 

 

2,315,684

 

 

2,440

 

Structured Asset Securities Corp., Ser. AL1, Class A2, 3.45%, 2/25/32

 

 

2,167,306

 

 

 

 

 

 



 

 

 

 

Total Non-Agency Multiple Class Mortgage Pass-Through Securities

 

 

10,072,324

 

 

 

 

 

 



 

 

 

 

Trust Preferred Stocks—0.3%

 

 

 

 

 

545

 

BAC Capital Trust XI, 6.625%, 5/23/36

 

 

584,161

 

 

790

 

Peco Energy Capital Trust IV, 5.75%, 6/15/33

 

 

699,366

 

 

 

 

 

 



 

 

 

 

Total Trust Preferred Stocks

 

 

1,283,527

 

 

 

 

 

 



 


 

 

 

 

 

 

Shares

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

Common Stocks—0.0%

 

 

 

 

 

1,895

7

Critical Care Systems Intl., Inc.

 

 

11,844

 

 

 

 

 

 



 

 

 

 

Preferred Stock—0.0%

 

 

 

 

 

45,000

 

Superior Essex Holding Corp., Ser. A, 9.50%,

 

 

45,000

 

 

 

 

 

 



 

 

 

 

Total Long-Term Investments
(cost $399,120,729)

 

 

397,430,957

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

Contracts/
Notional
Amount
(000)

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

OUTSTANDING OPTIONS PURCHASED—0.3%

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

6,600

 

Trust pays 3-month LIBOR, Trust receives 5.39%, expires 3/19/12

 

 

229,878

 

 

4,900

 

Trust pays 3-month LIBOR, Trust receives 5.52%, expires 9/21/36

 

 

247,274

 

 

6,600

 

Trust pays 5.39%, Trust receives 3-month LIBOR, expires 3/19/12

 

 

283,800

 

 

7,300

 

Trust pays 5.40%, Trust receives 3-month LIBOR, expires 7/27/07

 

 

23,130

 

 

4,900

 

Trust pays 5.52%, Trust receives 3-month LIBOR, expires 9/21/36

 

 

286,068

 

 

55

 

U.S. Treasury Notes Future, expiring 6/16/07

 

 

859

 

 

 

 

 

 



 

 

 

 

Total Outstanding Options Purchased
(cost $1,193,525)

 

 

1,071,009

 

 

 

 

 

 



 

 

 

 

Total investments before outstanding options written
(cost $400,314,2548)

 

 

398,501,966

 

 

 

 

 

 



 

See Notes to Financial Statements.

16



BlackRock Core Bond Trust (BHK) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

Description

 

Value

 







 

 

 

OUTSTANDING OPTIONS WRITTEN—(0.4)%

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

(5,300

)

Trust pays 3-month LIBOR, Trust receives 5.135%, expires 4/21/08

 

$

(97,299

)

 

(6,600

)

Trust pays 3-month LIBOR, Trust receives 5.148%, expires 3/19/08

 

 

(146,322

)

 

(4,500

)

Trust pays 3-month LIBOR, Trust receives 5.485%, expires 10/28/19

 

 

(117,354

)

 

(11,500

)

Trust pays 3-month LIBOR, Trust receives 5.67%, expires 1/04/10

 

 

(256,622

)

 

(6,600

)

Trust pays 5.115%, Trust receives 3-month LIBOR, expires 3/19/08

 

 

(106,392

)

 

(5,300

)

Trust pays 5.135%, Trust receives 3-month LIBOR, expires 4/21/08

 

 

(97,299

)

 

(4,500

)

Trust pays 5.485%, Trust receives 3-month LIBOR, expires 10/28/19

 

 

(164,215

)

 

(11,500

)

Trust pays 5.67%, Trust receives 3-month LIBOR, expires 1/04/10

 

 

(504,816

)

 

 

 

 

 



 

 

 

 

Total Outstanding Options Written
(premium received $2,261,545)

 

 

(1,490,319

)

 

 

 

 

 



 

 

 

 

Total investments net of outstanding options written—106.2%

 

$

397,011,647

 

 

 

 

Liabilities in excess of other assets—(6.2)%

 

 

(23,191,094

)

 

 

 

 

 



 

 

 

 

Net Assets—100%

 

$

373,820,553

 

 

 

 

 

 



 


 

 


1

Entire or partial principal amount pledged as collateral for reverse repurchase agreements. See Note 4 in the Notes to Financial Statements for details of open reverse repurchase agreements.

2

Variable rate security. Rate shown is interest rate as of April 30, 2007.

3

Represents an investment in an affiliate.

4

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of April 30, 2007, the Trust held 12.3% of its net assets, with a current market value of $45,863,398, in securities restricted as to resale.

5

Security, or a portion thereof, pledged as collateral with a value of $4,629,048 on 32 long FGBS Euro Shatz futures contracts expiring June 2007, 1,753 long U.S. Treasury Bond futures contracts expiring June 2007, 727 short Eurodollar futures contracts expiring June to December 2007 and 888 short U.S. Treasury Note futures contracts expiring June 2007. The notional value of such contracts on April 30, 2007 was $66,371,197, with an unrealized loss of $1,070,573.

6

Illiquid security. As of April 30, 2007, the Trust held 0.7% of its net assets, with a current market value of $2,530,944, in these securities.

7

Non-income producing security.

8

Cost for federal income tax purposes is $401,491,028. The net unrealized depreciation on a tax basis is $2,989,062, consisting of $5,355,739 gross unrealized appreciation and $8,344,801 gross unrealized depreciation.

For Trust compliance purposes, the Trust’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

 

 

 

 

 

 

 

KEY TO ABBREVIATIONS

 

 

 

EUR    

Euro

JPY     

Japanese Yen

LIBOR

London Interbank Offered Rate

 TBA     

To Be Announced

 

 

 

See Notes to Financial Statements.

17


PORTFOLIO OF INVESTMENTS
APRIL 30, 2007 (unaudited)

BlackRock High Yield Trust (BHY)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

LONG-TERM INVESTMENTS—129.6%

 

 

 

 

 

 

 

Corporate Bonds—123.2%

 

 

 

 

 

 

 

Aerospace & Defense—3.0%

 

 

 

 

 

 

 

AAR Corp.,

 

 

 

 

$

330

 

6.875%, 12/15/07

 

$

330,000

 

 

350

 

Ser. A2, 8.39%, 5/15/11

 

 

353,500

 

 

100

1

Bombardier, Inc., 8.00%, 11/15/14 (Canada)

 

 

105,125

 

 

450

 

DI Finance/DynCorp Intl., Ser. B, 9.50%, 2/15/13

 

 

483,750

 

 

 

 

DRS Technologies, Inc.,

 

 

 

 

 

40

 

6.875%, 11/01/13

 

 

40,400

 

 

100

 

7.625%, 2/01/18

 

 

104,750

 

 

20

 

L-3 Communications Corp., 5.875%, 1/15/15

 

 

19,475

 

 

40

 

Sequa Corp., 9.00%, 8/01/09

 

 

42,300

 

 

100

1

TransDigm, Inc., 7.75%, 7/15/14

 

 

103,750

 

 

 

 

 

 



 

 

 

 

Total Aerospace & Defense

 

 

1,583,050

 

 

 

 

 

 



 

 

 

 

Automotive—5.3%

 

 

 

 

 

85

 

Accuride Corp., 8.50%, 2/01/15

 

 

87,762

 

 

60

1

Asbury Automotive Group, Inc., 7.625%, 3/15/17

 

 

60,300

 

 

 

 

AutoNation, Inc.,

 

 

 

 

 

90

 

7.00%, 4/15/14

 

 

90,450

 

 

80

2

7.356%, 4/15/13

 

 

80,700

 

 

20

1,2

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 7.86%, 5/15/14

 

 

20,550

 

 

520

 

Ford Capital BV, 9.50%, 6/01/10 (Netherlands)

 

 

522,600

 

 

 

 

Ford Motor Co.,

 

 

 

 

 

55

 

7.45%, 7/16/31

 

 

43,725

 

 

125

 

8.90%, 1/15/32

 

 

107,500

 

 

 

 

Goodyear Tire & Rubber Co.,

 

 

 

 

 

10

 

7.857%, 8/15/11

 

 

10,500

 

 

225

1

8.625%, 12/01/11

 

 

243,000

 

 

150

 

Keystone Automotive Operations, Inc., 9.75%, 11/01/13

 

 

142,500

 

 

345

 

Lear Corp., Ser. B, 8.75%, 12/01/16

 

 

335,944

 

 

255

 

Metaldyne Corp., 10.00%, 11/01/13

 

 

262,650

 

 

250

 

Rent-A-Center, Inc., 7.50%, 5/01/10

 

 

252,500

 

 

350

 

Stanadyne Corp., 10.00%, 8/15/14

 

 

374,500

 

 

180

1

United Auto Group, Inc., 7.75%, 12/15/16

 

 

182,700

 

 

 

 

 

 



 

 

 

 

Total Automotive

 

 

2,817,881

 

 

 

 

 

 



 

 

 

 

Basic Materials—15.2%

 

 

 

 

 

 

 

Abitibi-Consolidated, Inc. (Canada)

 

 

 

 

 

215

 

6.00%, 6/20/13

 

 

185,975

 

 

35

 

8.85%, 8/01/30

 

 

30,975

 

 

185

 

AK Steel Corp., 7.75%, 6/15/12

 

 

191,013

 

 

205

 

Alpha Natural Resources LLC/Alpha Natural Resources Capital Corp., 10.00%, 6/01/12

 

 

221,400

 

 

140

1

American Pacific Corp., 9.00%, 2/01/15

 

 

140,700

 

 

190

 

Bowater Finance Corp., 7.95%, 11/15/11 (Canada)

 

 

186,200

 

 

130

2

Bowater, Inc., 8.355%, 3/15/10

 

 

130,650

 

 

175

 

Cascades, Inc., 7.25%, 2/15/13 (Canada)

 

 

177,625

 

 

170

 

Catalyst Paper Corp., 7.375%, 3/01/14 (Canada)

 

 

161,925

 

 

50

 

Chemtura Corp., 6.875%, 6/01/16

 

 

49,250

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Basic Materials—(cont’d)

 

 

 

 

$

150

 

CPG Intl. I, Inc., 10.50%, 7/01/13

 

$

157,500

 

 

40

 

Domtar, Inc., 7.125%, 8/15/15 (Canada)

 

 

40,750

 

 

90

 

Donohue Forest Products, 7.625%, 5/15/07 (Canada)

 

 

90,000

 

 

 

 

Equistar Chemicals LP/Equistar Funding Corp.,

 

 

 

 

 

50

 

8.75%, 2/15/09

 

 

52,188

 

 

115

 

10.125%, 9/01/08

 

 

121,325

 

 

100

 

10.625%, 5/01/11

 

 

105,500

 

 

 

 

FMG Finance Ltd. (Australia)

 

 

 

 

 

85

1

10.00%, 9/01/13

 

 

93,075

 

 

120

1

10.625%, 9/01/16

 

 

140,400

 

 

 

 

Freeport-McMoRan Copper & Gold, Inc.,

 

 

 

 

 

550

 

8.375%, 4/01/17

 

 

601,562

 

 

180

2

8.564%, 4/01/15

 

 

189,675

 

 

50

 

Hercules, Inc., 6.60%, 8/01/27

 

 

50,000

 

 

 

 

Hexion US Finance Corp./Hexion Nova Scotia Finance ULC,

 

 

 

 

 

75

1

9.75%, 11/15/14

 

 

81,000

 

 

100

1,2

9.86%, 11/15/14

 

 

103,500

 

 

 

 

Huntsman LLC,

 

 

 

 

 

365

 

11.625%, 10/15/10

 

 

393,287

 

 

95

 

12.00%, 7/15/12

 

 

105,925

 

 

205

1

Ineos Group Holdings Plc, 8.50%, 2/15/16 (United Kingdom)

 

 

198,338

 

 

100

1

Innophos Holdings, Inc., 9.50%, 4/15/12

 

 

101,500

 

 

545

 

Innophos, Inc., 8.875%, 8/15/14

 

 

570,887

 

 

366

 

Ispat Inland ULC, 9.75%, 4/01/14 (Canada)

 

 

407,595

 

 

70

1

Key Plastics LLC/Key Plastics Finance Corp., 11.75%, 3/15/13

 

 

70,700

 

 

 

 

Lyondell Chemical Co.,

 

 

 

 

 

130

 

8.00%, 9/15/14

 

 

136,175

 

 

225

 

8.25%, 9/15/16

 

 

240,750

 

 

260

 

10.50%, 6/01/13

 

 

285,025

 

 

265

1

MacDermid, Inc., 9.50%, 4/15/17

 

 

275,600

 

 

340

 

Nalco Co., 8.875%, 11/15/13

 

 

363,800

 

 

 

 

NewPage Corp.,

 

 

 

 

 

450

 

10.00%, 5/01/12

 

 

497,250

 

 

210

 

12.00%, 5/01/13

 

 

233,363

 

 

310

2

Nova Chemicals Corp., 8.502%, 11/15/13 (Canada)

 

 

315,425

 

 

310

1

Pregis Corp., 12.375%, 10/15/13

 

 

341,000

 

 

125

 

Russel Metals, Inc., 6.375%, 3/01/14 (Canada)

 

 

120,000

 

 

85

1

Terra Capital, Inc., 7.00%, 2/01/17

 

 

83,300

 

 

10

1

Verso Paper Holdings LLC/Verson Paper, Inc., 11.375%, 8/01/16

 

 

10,700

 

 

 

 

 

 



 

 

 

 

Total Basic Materials

 

 

8,052,808

 

 

 

 

 

 



 

 

 

 

Building & Development—1.9%

 

 

 

 

 

40

2

Ainsworth Lumber Co. Ltd., 9.10%, 10/01/10 (Canada)

 

 

30,850

 

 

 

 

Goodman Global Holding Co., Inc.,

 

 

 

 

 

160

 

7.875%, 12/15/12

 

 

161,200

 

 

32

2

8.36%, 6/15/12

 

 

32,480

 

 

250

 

K Hovnanian Enterprises, Inc., 6.25%, 1/15/15

 

 

226,875

 

See Notes to Financial Statements.

18



BlackRock High Yield Trust (BHY) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Building & Development—(cont’d)

 

 

 

 

$

85

1

Masonite Corp., 11.00%, 4/06/15

 

$

78,200

 

 

135

 

Nortek, Inc., 8.50%, 9/01/14

 

 

133,650

 

 

335

 

North American Energy Partners, Inc., 8.75%, 12/01/11 (Canada)

 

 

345,050

 

 

 

 

 

 



 

 

 

 

Total Building & Development

 

 

1,008,305

 

 

 

 

 

 



 

 

 

 

Commercial Services—0.5%

 

 

 

 

 

100

 

FTI Consulting, Inc., 7.75%, 10/01/16

 

 

104,375

 

 

145

1

Quebecor World, Inc., 9.75%, 1/15/15 (Canada)

 

 

152,975

 

 

 

 

 

 



 

 

 

 

Total Commercial Services

 

 

257,350

 

 

 

 

 

 



 

 

 

 

Consumer Products—9.0%

 

 

 

 

 

265

2

Ames True Temper, Inc., 9.356%, 1/15/12

 

 

270,300

 

 

50

1

Beverages & More, Inc., 9.25%, 3/01/12

 

 

50,625

 

 

180

 

Buffets, Inc., 12.50%, 11/01/14

 

 

189,000

 

 

165

 

Burlington Coat Factory Warehouse Corp., 11.125%, 4/15/14

 

 

175,725

 

 

 

 

General Nutrition Centers, Inc.,

 

 

 

 

 

280

1

9.797%, 3/15/14

 

 

274,050

 

 

250

1

10.75%, 3/15/15

 

 

249,375

 

 

270

 

Jarden Corp., 7.50%, 5/01/17

 

 

276,412

 

 

485

 

Lazy Days RV Center, Inc., 11.75%, 5/15/12

 

 

501,975

 

 

 

 

Michaels Stores, Inc.,

 

 

 

 

 

260

1

10.00%, 11/01/14

 

 

285,350

 

 

330

1

11.375%, 11/01/16

 

 

363,825

 

 

70

 

Neiman-Marcus Group, Inc., 9.00%, 10/15/15

 

 

77,175

 

 

60

1,2

Nutro Products, Inc., 9.37%, 10/15/13

 

 

61,350

 

 

100

1,3

OSI Restaurant Partners, Inc., 9.625%, 5/15/15

 

 

102,875

 

 

265

 

Pantry, Inc. (The), 7.75%, 2/15/14

 

 

266,987

 

 

100

 

Quiksilver, Inc., 6.875%, 4/15/15

 

 

97,500

 

 

500

1

Rare Restaurant Group LLC, 9.25%, 5/15/14

 

 

50,000

 

 

120

 

Reynolds American, Inc., 7.625%, 6/01/16

 

 

131,291

 

 

390

 

Rite Aid Corp., 7.50%, 3/01/17

 

 

389,025

 

 

 

 

Sally Holdings LLC,

 

 

 

 

 

85

1

9.25%, 11/15/14

 

 

88,400

 

 

270

1

10.50%, 11/15/16

 

 

280,800

 

 

25

 

Spectrum Brands, Inc., 7.375%, 2/01/15

 

 

19,813

 

 

90

 

Swift & Co., 12.50%, 1/01/10

 

 

93,600

 

 

390

 

United Rentals NA, Inc., 7.00%, 2/15/14

 

 

397,800

 

 

 

 

Yankee Acquisition Corp.,

 

 

 

 

 

20

1

8.50%, 2/15/15

 

 

20,500

 

 

85

1

9.75%, 12/15/17

 

 

87,125

 

 

 

 

 

 



 

 

 

 

Total Consumer Products

 

 

4,800,878

 

 

 

 

 

 



 

 

 

 

Containers & Packaging—2.5%

 

 

 

 

 

 

 

Berry Plastics Holding Corp.,

 

 

 

 

 

340

 

8.875%, 9/15/14

 

 

350,200

 

 

100

2

9.23%, 9/15/14

 

 

102,250

 

 

85

 

Crown Americas LLC/Crown Americas Capital Corp., 7.75%, 11/15/15

 

 

89,888

 

 

110

 

Graham Packaging Co., Inc., 8.50%, 10/15/12

 

 

112,200

 

 

30

 

Graphic Packaging Intl. Corp., 9.50%, 8/15/13

 

 

32,100

 

 

270

1,2

Impress Holdings BV, 8.481%, 9/15/13 (Netherlands)

 

 

276,405

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Containers & Packaging—(cont’d)

 

 

 

 

$

375

1

Smurfit-Stone Container Enterprises, Inc., 8.00%, 3/15/17

 

$

373,125

 

 

 

 

 

 



 

 

 

 

Total Containers & Packaging

 

 

1,336,168

 

 

 

 

 

 



 

 

 

 

Ecological Services & Equipment—0.9%

 

 

 

 

 

270

1

Aleris Intl., Inc., 9.00%, 12/15/14

 

 

286,538

 

 

185

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

195,175

 

 

 

 

 

 



 

 

 

 

Total Ecological Services & Equipment

 

 

481,713

 

 

 

 

 

 



 

 

 

 

Energy—18.2%

 

 

 

 

 

132

 

AES Red Oak LLC, Ser. A, 8.54%, 11/30/19

 

 

143,331

 

 

80

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

80,300

 

 

100

 

Chaparral Energy, Inc., 8.50%, 12/01/15

 

 

101,500

 

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

 

90

 

6.375%, 6/15/15

 

 

90,113

 

 

250

 

6.625%, 1/15/16

 

 

253,750

 

 

20

 

6.875%, 11/15/20

 

 

20,150

 

 

40

 

Colorado Interstate Gas Co., 6.80%, 11/15/15

 

 

42,661

 

 

 

 

Compagnie Generale de Geophysique-Veritas (France)

 

 

 

 

 

50

 

7.50%, 5/15/15

 

 

52,500

 

 

80

 

7.75%, 5/15/17

 

 

84,800

 

 

115

 

Compton Petroleum Finance Corp., 7.625%, 12/01/13 (Canada)

 

 

114,138

 

 

70

 

Copano Energy LLC, 8.125%, 3/01/16

 

 

72,975

 

 

400

1,3

Corral Finans AB, 6.855%, 4/15/10 (Sweden)

 

 

401,577

 

 

30

 

Denbury Resources, Inc., 7.50%, 12/15/15

 

 

30,525

 

 

260

 

East Cameron Gas Co., 11.25%, 7/09/19 (Cayman Islands)

 

 

249,600

 

 

488

 

Elwood Energy LLC, 8.159%, 7/05/26

 

 

516,311

 

 

 

 

Encore Acquisition Co.,

 

 

 

 

 

40

 

6.00%, 7/15/15

 

 

36,600

 

 

30

 

7.25%, 12/01/17

 

 

29,025

 

 

370

 

Exco Resources, Inc., 7.25%, 1/15/11

 

 

370,925

 

 

65

 

Frontier Oil Corp., 6.625%, 10/01/11

 

 

65,163

 

 

50

 

Grant Prideco, Inc., Ser. B, 6.125%, 8/15/15

 

 

49,625

 

 

195

 

Hanover Compressor Co., 8.625%, 12/15/10

 

 

203,287

 

 

97

 

Homer City Funding LLC, 8.734%, 10/01/26

 

 

112,225

 

 

5

 

Hornbeck Offshore Services, Inc., 6.125%, 12/01/14

 

 

4,813

 

 

440

 

KCS Energy, Inc., 7.125%, 4/01/12

 

 

435,600

 

 

 

 

Midwest Generation LLC,

 

 

 

 

 

95

 

8.75%, 5/01/34

 

 

104,975

 

 

96

 

Ser. B, 8.56%, 1/02/16

 

 

105,843

 

 

350

 

Mirant Americas Generation LLC, 8.30%, 5/01/11

 

 

370,125

 

 

610

 

Mission Energy Holdings Co., 13.50%, 7/15/08

 

 

666,425

 

 

30

 

Newfield Exploration Co., 6.625%, 9/01/14

 

 

30,150

 

 

 

 

NRG Energy, Inc.,

 

 

 

 

 

130

 

7.25%, 2/01/14

 

 

134,550

 

 

385

 

7.375%, 2/01/16

 

 

399,919

 

 

440

1

OPTI, Inc., 8.25%, 12/15/14 (Canada)

 

 

465,300

 

 

345

 

Orion Power Holdings, Inc., 12.00%, 5/01/10

 

 

398,475

 

 

210

 

Pride Intl., Inc., 7.375%, 7/15/14

 

 

215,512

 

 

185

 

Range Resources Corp., 7.375%, 7/15/13

 

 

191,012

 

See Notes to Financial Statements.

19



BlackRock High Yield Trust (BHY) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Energy—(cont’d)

 

 

 

 

 

 

 

Reliant Energy, Inc.,

 

 

 

 

$

390

 

6.75%, 12/15/14

 

$

408,525

 

 

180

 

9.25%, 7/15/10

 

 

188,775

 

 

130

1

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

133,575

 

 

210

1

SemGroup LP, 8.75%, 11/15/15

 

 

216,825

 

 

40

 

Sithe Independence Funding, Ser. A, 9.00%, 12/30/13

 

 

43,937

 

 

315

1,2

Stone Energy Corp., 8.106%, 7/15/10

 

 

315,000

 

 

200

1

Targa Resources, Inc., 8.50%, 11/01/13

 

 

206,000

 

 

160

 

Tennessee Gas Pipeline Co., 8.375%, 6/15/32

 

 

199,822

 

 

400

 

Transcontinental Gas Pipe Line Corp., Ser. B, 8.875%, 7/15/12

 

 

454,000

 

 

495

 

Whiting Petroleum Corp., 7.25%, 5/01/12-5/01/13

 

 

485,413

 

 

355

 

Williams Cos., Inc., 7.625%, 7/15/19

 

 

386,950

 

 

 

 

 

 



 

 

 

 

Total Energy

 

 

9,682,602

 

 

 

 

 

 



 

 

 

 

Entertainment & Leisure—5.0%

 

 

 

 

 

150

 

AMC Entertainment, Inc., 11.00%, 2/01/16

 

 

172,125

 

 

40

 

Cinemark, Inc., Zero Coupon, 3/15/14

 

 

36,800

 

 

125

1

French Lick Resorts & Casino LLC/French Lick Resorts & Casino Corp., 10.75%, 4/15/14

 

 

108,750

 

 

 

 

Gaylord Entertainment Co.,

 

 

 

 

 

280

 

6.75%, 11/15/14

 

 

277,900

 

 

40

 

8.00%, 11/15/13

 

 

41,600

 

 

320

1

Great Canadian Gaming Corp., 7.25%, 2/15/15 (Canada)

 

 

324,800

 

 

185

1

Greektown Holdings LLC, 10.75%, 12/01/13

 

 

198,412

 

 

100

 

Harrah’s Operating Co., Inc., 5.75%, 10/01/17

 

 

83,000

 

 

60

 

MGM Mirage, 6.75%, 9/01/12

 

 

60,075

 

 

305

 

Poster Financial Group, Inc., 8.75%, 12/01/11

 

 

317,200

 

 

185

 

Riddell Bell Holdings, Inc., 8.375%, 10/01/12

 

 

184,075

 

 

140

 

Seneca Gaming Corp., Ser. B, 7.25%, 5/01/12

 

 

142,450

 

 

50

 

Station Casinos, Inc., 6.625%, 3/15/18

 

 

45,750

 

 

75

1

TDS Investor, 9.875%, 9/01/14

 

 

80,250

 

 

60

1,2

Travelport Ltd., 9.985%, 9/01/14

 

 

61,950

 

 

435

 

Virgin River Casino, 9.00%, 1/15/12

 

 

454,575

 

 

70

 

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625%, 12/01/14

 

 

70,175

 

 

 

 

 

 



 

 

 

 

Total Entertainment & Leisure

 

 

2,659,887

 

 

 

 

 

 



 

 

 

 

Financial Institutions—10.4%

 

 

 

 

 

500

 

AES Red Oak LLC, Ser. B, 9.20%, 11/30/29

 

 

570,000

 

 

 

 

American Real Estate Partners LP/American Real Estate Finance Corp.,

 

 

 

 

 

185

 

7.125%, 2/15/13

 

 

181,994

 

 

300

 

8.125%, 6/01/11

 

 

306,000

 

 

105

1,2

BMS Holdings, Inc., 12.40%, 2/15/12

 

 

105,263

 

 

60

 

Britannia Bulk Plc, 11.00%, 12/01/11 (United Kingdom)

 

 

60,600

 

 

500

1

Dow Jones CDX HY, Ser. 6-T1, 8.625%, 6/29/11

 

 

527,800

 

 

110

2

Ford Motor Credit Co., 8.105%, 1/13/12

 

 

108,494

 

 

415

1

iPayment Investors LP, 11.625%, 7/15/14

 

 

432,032

 

 

120

 

iPayment, Inc., 9.75%, 5/15/14

 

 

124,950

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Financial Institutions—(cont’d)

 

 

 

 

$

200

 

K&F Acquisition, Inc., 7.75%, 11/15/14

 

$

214,000

 

 

 

 

Momentive Performance Materials, Inc.,

 

 

 

 

 

175

1

9.75%, 12/01/14

 

 

185,062

 

 

380

1

10.125%, 12/01/14

 

 

402,800

 

 

160

1

11.50%, 12/01/16

 

 

171,200

 

 

70

1

NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25

 

 

73,675

 

 

220

1,2

PNA Intermediate Holding Corp., 12.36%, 2/15/13

 

 

226,600

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

 

310

1

8.75%, 9/01/12

 

 

330,925

 

 

490

1

10.375%, 9/01/14

 

 

551,862

 

 

415

 

Standard Aero Holdings, Inc., 8.25%, 9/01/14

 

 

449,237

 

 

30

2

Universal City Florida Holding Co. I/II, 10.106%, 5/01/10

 

 

30,788

 

 

100

1,2

USI Holdings Corp., 9.23%, 11/15/14

 

 

101,000

 

 

350

1

Wimar Opco LLC/Wimar Opco Finance Corp., 9.625%, 12/15/14

 

 

355,250

 

 

 

 

 

 



 

 

 

 

Total Financial Institutions

 

 

5,509,532

 

 

 

 

 

 



 

 

 

 

Health Care—3.0%

 

 

 

 

 

50

 

Accellent, Inc., 10.50%, 12/01/13

 

 

51,375

 

 

180

1,2

Angiotech Pharmaceuticals, Inc., 9.11%, 12/01/13 (Canada)

 

 

184,725

 

 

100

1

Cooper Cos., Inc., 7.875%, 2/15/15

 

 

102,000

 

 

 

 

HealthSouth Corp.,

 

 

 

 

 

50

1

10.75%, 6/15/16

 

 

54,500

 

 

120

1,2

11.354%, 6/15/14

 

 

130,500

 

 

135

 

Norcross Safety Products LLC/Norcross Capital Corp., 9.875%, 8/15/11

 

 

142,594

 

 

150

1

PTS Acquisition Corp., 9.50%, 4/15/15

 

 

150,188

 

 

 

 

Tenet Healthcare Corp.,

 

 

 

 

 

85

 

6.875%, 11/15/31

 

 

68,000

 

 

50

 

9.875%, 7/01/14

 

 

51,125

 

 

230

1

United Surgical Partners Intl., Inc., 8.875%, 5/01/17

 

 

236,612

 

 

405

 

Universal Hospital Services, Inc., 10.125%, 11/01/11

 

 

433,895

 

 

 

 

 

 



 

 

 

 

Total Health Care

 

 

1,605,514

 

 

 

 

 

 



 

 

 

 

Industrials—4.2%

 

 

 

 

 

200

1

AGY Holding Corp., 11.00%, 11/15/14

 

 

210,250

 

 

 

 

Clarke American Corp.,

 

 

 

 

 

60

1

9.50%, 5/15/15

 

 

60,600

 

 

50

1,2

10.105%, 5/15/15

 

 

50,000

 

 

195

 

Concentra Operating Corp., 9.125%, 6/01/12

 

 

208,163

 

 

80

 

Hexcel Corp., 6.75%, 2/01/15

 

 

80,200

 

 

85

 

Park-Ohio Industries, Inc., 8.375%, 11/15/14

 

 

84,150

 

 

 

 

RBS Global, Inc./Rexnord Corp.,

 

 

 

 

 

85

 

8.875%, 9/01/16

 

 

88,400

 

 

340

 

9.50%, 8/01/14

 

 

363,800

 

 

280

 

11.75%, 8/01/16

 

 

310,800

 

 

510

1

Sunstate Equipment Co. LLC, 10.50%, 4/01/13

 

 

545,700

 

 

55

 

Terex Corp., 7.375%, 1/15/14

 

 

57,475

 

 

190

 

Trimas Corp., 9.875%, 6/15/12

 

 

197,125

 

 

 

 

 

 



 

 

 

 

Total Industrials

 

 

2,256,663

 

 

 

 

 

 



 

See Notes to Financial Statements.

20



BlackRock High Yield Trust (BHY) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Media—15.4%

 

 

 

 

 

 

 

Affinion Group, Inc.,

 

 

 

 

$

215

 

10.125%, 10/15/13

 

$

234,350

 

 

160

 

11.50%, 10/15/15

 

 

176,000

 

 

35

 

American Media Operations, Inc., Ser. B, 10.25%, 5/01/09

 

 

32,988

 

 

175

2

Cablevision Systems Corp., Ser. B, 9.82%, 4/01/09

 

 

185,500

 

 

60

 

CanWest MediaWorks, Inc., 8.00%, 9/15/12 (Canada)

 

 

62,250

 

 

60

 

CBD Media Holdings LLC/CBD Holdings Finance, Inc., 9.25%, 7/15/12

 

 

63,000

 

 

240

 

CCH I Holdings LLC/CCH I Holdings Capital Corp., 11.00%, 10/01/15

 

 

254,675

 

 

 

 

Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.,

 

 

 

 

 

765

 

10.25%, 9/15/10

 

 

814,725

 

 

75

 

Ser. B, 10.25%, 9/15/10

 

 

79,688

 

 

290

1

CMP Susquehanna Corp., 9.875%, 5/15/14

 

 

295,800

 

 

45

 

CSC Holdings, Inc., Ser. B, 7.625%, 4/01/11

 

 

46,406

 

 

50

 

Dex Media West LLC/Dex Media Finance Co., Ser. B, 9.875%, 8/15/13

 

 

54,438

 

 

125

 

DirecTV Holdings LLC/DirecTV Financing Co., 8.375%, 3/15/13

 

 

131,875

 

 

 

 

EchoStar DBS Corp.,

 

 

 

 

 

200

 

7.00%, 10/01/13

 

 

207,750

 

 

260

 

7.125%, 2/01/16

 

 

270,725

 

 

320

1

Idearc, Inc., 8.00%, 11/15/16

 

 

334,000

 

 

75

1

Iesy Repository GMBH, 10.375%, 2/15/15 (Germany)

 

 

79,313

 

 

325

 

LIN Television Corp., 6.50%, 5/15/13

 

 

320,125

 

 

165

 

MediaNews Group, Inc., 6.875%, 10/01/13

 

 

150,150

 

 

290

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

297,250

 

 

325

 

Nexstar Finance, Inc., 7.00%, 1/15/14

 

 

316,062

 

 

 

 

Nielsen Finance LLC/Nielsen Finance Co.,

 

 

 

 

 

170

1

Zero Coupon, 8/01/16

 

 

122,825

 

 

445

1

10.00%, 8/01/14

 

 

486,162

 

 

125

1,2

Paxson Communications Corp., 8.606%, 1/15/12

 

 

127,500

 

 

605

 

Primedia, Inc., 8.00%, 5/15/13

 

 

629,200

 

 

1,035

 

RH Donnelley Corp., Ser. A-3, 8.875%, 1/15/16

 

 

1,122,975

 

 

230

1

Umbrella Acquisition, Inc., 9.75%, 3/15/15

 

 

231,725

 

 

 

 

Vertis, Inc.,

 

 

 

 

 

280

 

9.75%, 4/01/09

 

 

286,300

 

 

145

 

Ser. B, 10.875%, 6/15/09

 

 

143,731

 

 

595

 

Young Broadcasting, Inc., 10.00%, 3/01/11

 

 

605,412

 

 

 

 

 

 



 

 

 

 

Total Media

 

 

8,162,900

 

 

 

 

 

 



 

 

 

 

Real Estate—2.2%

 

 

 

 

 

 

 

Realogy Corp.,

 

 

 

 

 

240

1

10.50%, 4/15/14

 

 

240,600

 

 

380

1

11.00%, 4/15/14

 

 

378,100

 

 

540

1

12.375%, 4/15/15

 

 

540,000

 

 

 

 

 

 



 

 

 

 

Total Real Estate

 

 

1,158,700

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Technology—7.7%

 

 

 

 

 

 

 

Amkor Technology, Inc.,

 

 

 

 

$

40

 

7.75%, 5/15/13

 

$

39,600

 

 

235

 

9.25%, 6/01/16

 

 

249,100

 

 

60

1

Belden CDT, Inc., 7.00%, 3/15/17

 

 

61,350

 

 

350

 

Celestica, Inc., 7.625%, 7/01/13 (Canada)

 

 

333,375

 

 

180

1

Coleman Cable, Inc., 9.875%, 10/01/12

 

 

187,650

 

 

 

 

Freescale Semiconductor, Inc.,

 

 

 

 

 

815

1

9.125%, 12/15/14

 

 

810,925

 

 

80

1,2

9.23%, 12/15/14

 

 

80,000

 

 

60

1

Hynix Semiconductor, Inc., 9.875%, 7/01/12 (South Korea)

 

 

66,900

 

 

 

 

NXP BV/NXP Funding LLC,

 

 

 

 

 

50

1,2

8.106%, 10/15/13

 

 

51,625

 

 

480

1

9.50%, 10/15/15

 

 

504,000

 

 

 

 

Sanmina-SCI Corp.,

 

 

 

 

 

10

 

6.75%, 3/01/13

 

 

9,500

 

 

180

 

8.125%, 3/01/16

 

 

176,175

 

 

175

 

Sensata Technologies, 8.00%, 5/01/14 (Netherlands)

 

 

175,437

 

 

 

 

SunGard Data Systems, Inc.,

 

 

 

 

 

85

 

9.125%, 8/15/13

 

 

91,163

 

 

465

 

10.25%, 8/15/15

 

 

511,500

 

 

305

 

Superior Essex Communications LLC/Essex Group, Inc., 9.00%, 4/15/12

 

 

317,200

 

 

105

1

UGS Capital Corp. II, 10.348%, 6/01/11

 

 

108,197

 

 

305

 

UGS Corp., 10.00%, 6/01/12

 

 

332,450

 

 

 

 

 

 



 

 

 

 

Total Technology

 

 

4,106,147

 

 

 

 

 

 



 

 

 

 

Telecommunications—16.2%

 

 

 

 

 

2,000

4

Asia Global Crossing Ltd., 13.375%, 10/15/10 (Bermuda)

 

 

170,000

 

 

 

 

Centennial Communications Corp.,

 

 

 

 

 

455

 

8.125%, 2/01/14

 

 

471,494

 

 

220

2

11.099%, 1/01/13

 

 

232,100

 

 

405

 

Cincinnati Bell, Inc., 7.25%, 7/15/13

 

 

421,200

 

 

215

1

Cricket Communications, Inc., 9.375%, 11/01/14

 

 

229,781

 

 

 

 

Digicel Group Ltd. (Bermuda)

 

 

 

 

 

130

1

8.875%, 1/15/15

 

 

127,563

 

 

380

1

9.125%, 1/15/15

 

 

368,600

 

 

260

 

Dobson Cellular Systems, Inc., 8.375%, 11/01/11

 

 

277,225

 

 

100

2

Hawaiian Telcom Communications, Inc., Ser. B, 10.86%, 5/01/13

 

 

102,250

 

 

320

 

Intelsat Corp., 9.00%, 6/15/16

 

 

350,800

 

 

40

 

Intelsat Intermediate Holding Co. Ltd., 9.25%, 2/01/15 (Bermuda)

 

 

33,600

 

 

 

 

Intelsat Ltd. (Bermuda)

 

 

 

 

 

60

 

6.50%, 11/01/13

 

 

51,600

 

 

295

2

8.872%, 1/15/15

 

 

301,810

 

 

150

 

9.25%, 6/15/16

 

 

165,000

 

 

70

 

11.25%, 6/15/16

 

 

79,888

 

 

320

2

11.354%, 6/15/13

 

 

342,400

 

 

245

 

Intelsat Subsidiary Holding Co. Ltd., 8.625%, 1/15/15 (Bermuda)

 

 

261,844

 

 

90

1,2

iPCS, Inc., 7.48%, 5/01/13

 

 

90,450

 

 

380

1

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

405,650

 

See Notes to Financial Statements.

21



BlackRock High Yield Trust (BHY) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Telecommunications—(cont’d)

 

 

 

 

$

445

1

Nordic Telephone Co. Holdings ApS, 8.875%, 5/01/16 (Denmark)

 

$

478,375

 

 

 

 

Nortel Networks Ltd. (Canada)

 

 

 

 

 

245

1,2

9.606%, 7/15/11

 

 

262,150

 

 

95

1

10.125%, 7/15/13

 

 

104,738

 

 

 

 

PanAmSat Corp.,

 

 

 

 

 

210

 

6.875%, 1/15/28

 

 

197,662

 

 

270

 

9.00%, 8/15/14

 

 

291,600

 

 

387

1,2

ProtoStar I Ltd., 12.50%, 10/15/12 (Bermuda)

 

 

414,387

 

 

 

 

Qwest Corp.,

 

 

 

 

 

600

 

7.875%, 9/01/11

 

 

639,000

 

 

230

2

8.605%, 6/15/13

 

 

251,562

 

 

125

 

9.125%, 3/15/12

 

 

138,125

 

 

475

1

West Corp., 11.00%, 10/15/16

 

 

518,937

 

 

375

1

Wind Acquisition Finance S.A., 10.75%, 12/01/15 (Luxembourg)

 

 

433,125

 

 

 

 

Windstream Corp.,

 

 

 

 

 

200

 

8.125%, 8/01/13

 

 

217,000

 

 

145

 

8.625%, 8/01/16

 

 

159,137

 

 

 

 

 

 



 

 

 

 

Total Telecommunications

 

 

8,589,053

 

 

 

 

 

 



 

 

 

 

Transportation—2.6%

 

 

 

 

 

95

 

American Airlines, Inc., Ser. 99-1, 7.324%, 4/15/11

 

 

96,425

 

 

170

 

CHC Helicopter Corp., 7.375%, 5/01/14 (Canada)

 

 

166,175

 

 

430

 

Horizon Lines LLC, 9.00%, 11/01/12

 

 

452,575

 

 

320

1

Navios Maritime Holdings, Inc., 9.50%, 12/15/14 (Marshall Islands)

 

 

336,800

 

 

350

 

Overseas Shipholding Group, Inc., 7.50%, 2/15/24

 

 

357,000

 

 

 

 

 

 



 

 

 

 

Total Transportation

 

 

1,408,975

 

 

 

 

 

 



 

 

 

 

Total Corporate Bonds

 

 

65,478,126

 

 

 

 

 

 



 

 

 

 

Bank Loans—3.0%

 

 

 

 

 

325

 

Affinion Group, Inc., LIBOR, 3/01/12

 

 

320,667

 

 

90

 

Riverdeep Interactive Learning, Inc., LIBOR + 6.20%, 12/21/07

 

 

89,775

 

 

250

 

Rotech Healthcare, LIBOR+6.00%, 9/26/11

 

 

250,000

 

 

 

 

Spectrum Brands

 

 

 

 

 

81

 

Loan B, LIBOR + 4.00%, 4/15/13

 

 

82,153

 

 

14

 

Loan B2, LIBOR + 4.00%, 4/15/13

 

 

14,535

 

 

4

 

Loan C, LIBOR + 4.00%, 4/15/13

 

 

4,061

 

 

600

 

Travelport LLC, LIBOR + 7.00%, 3/22/12

 

 

584,250

 

 

250

 

Verso Paper Finance Holdings LLC, LIBOR + 6.25%, 2/01/13

 

 

250,937

 

 

 

 

 

 



 

 

 

 

Total Bank Loans

 

 

1,596,378

 

 

 

 

 

 



 

 

 

 

Asset-Backed Security—2.6%

 

 

 

 

 

2,000

1,3

Zais Investment Grade Ltd., Class C, 9.95%, 9/23/14 (Cayman Islands)

 

 

1,400,760

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 

Shares

 

Description

 

Value

 


 

 

 

Common Stocks—0.7%

 

 

 

 

 

4,737

5

Critical Care Systems Intl., Inc.

 

$

29,606

 

 

14,991

5

Mattress Discounters Corp.

 

 

 

 

68,358

5

Neon Communications Group, Inc.

 

 

334,954

 

 

 

 

 

 



 

 

 

 

Total Common Stocks

 

 

364,560

 

 

 

 

 

 



 

 

 

 

Preferred Stock—0.1%

 

 

 

 

 

40,000

 

Superior Essex Holding Corp., Ser. A, 9.50%,

 

 

40,000

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 


 

 

 

 

 

Units
(000)

 

 

 

 

 


 

 

 

 

 

 

 

 

Warrants—0.0%

 

 

 

 

 

1

1,5,6

Mattress Discounters Corp., expires 7/15/07, strike price $0.01, 4.85 shares for 1 warrant

 

 

 

 

54

5,6

Neon Communications, Inc., expires 12/02/12

 

 

1

 

 

1

1,5,6

PF. Net Communications, Inc., expires 5/15/10, strike price $0.01, 36.87243 shares for 1 warrant

 

 

 

 

 

 

 

 



 

 

 

 

Total Warrants

 

 

1

 

 

 

 

 

 



 

 

 

 

Total Long-Term Investments
(cost $69,712,156)

 

 

68,879,825

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

Principal
Amount
(000)

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENT—6.8%

 

 

 

 

 

 

 

U.S. Government and Agency Discount Notes—6.8%

 

 

 

 

$

3,600

7

Federal Home Loan Bank Disc. Notes, 5.061%, 5/01/07 (cost $3,600,000)

 

 

3,600,000

 

 

 

 

 

 



 

 

 

 

Total Investments—136.4%
(cost $73,312,1568)

 

$

72,479,825

 

 

 

 

Liabilities in excess of other assets—(36.4)%

 

 

(19,347,956

)

 

 

 

 

 



 

 

 

 

Net Assets—100%

 

$

53,131,869

 

 

 

 

 

 



 



 

 

1

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of April 30, 2007, the Trust held 43.3% of its net assets, with a current market value of $23,015,727, in securities restricted as to resale.

2

Variable rate security. Rate shown is interest rate as of April 30, 2007.

3

Security is fair valued.

4

Issuer is in default and/or bankruptcy.

5

Non-income producing security.

6

Illiquid security. As of April 30, 2007, the Trust held less than 0.1% of its net assets, with a current market value of $1, in these securities.

7

Rate shown is the yield to maturity as of the date of purchase.

8

Cost for federal income tax purposes is $73,341,879. The net unrealized depreciation on a tax basis is $862,054, consisting of $2,635,826 gross unrealized appreciation and $3,497,880 gross unrealized depreciation.

For Trust compliance purposes, the Trust’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

 

 

 

 

 

KEY TO ABBREVIATIONS

 

     LIBOR   —   London Interbank Offered Rate     

 

 

 

See Notes to Financial Statements.

22


PORTFOLIO OF INVESTMENTS
APRIL 30, 2007 (unaudited)

BlackRock Income Opportunity Trust (BNA)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

LONG-TERM INVESTMENTS—116.5%

 

 

 

 

 

 

 

Mortgage Pass-Through Securities—14.2%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

$

1,058

1

4.368%, 1/01/35

 

$

1,072,560

 

 

1,456

1

5.067%, 1/01/35

 

 

1,439,434

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

8,241

 

5.50%, 12/01/13-1/01/33

 

 

8,203,553

 

 

22,657

2,3

5.50%, 7/01/16-6/01/36

 

 

22,593,758

 

 

7,635

3

5.50%, 12/01/32-1/01/33

 

 

7,570,133

 

 

3,125

 

5.97%, 8/01/16

 

 

3,293,250

 

 

797

 

6.00%, 3/01/16-7/01/17

 

 

812,724

 

 

971

2

6.00%, 1/01/37

 

 

978,824

 

 

126

 

7.00%, 2/01/24-8/01/36

 

 

130,304

 

 

300

 

TBA, 5.50%, 5/14/37

 

 

296,625

 

 

8,000

 

TBA, 6.00%, 5/14/37

 

 

8,060,000

 

 

101

 

Government National Mortgage Assoc., 8.00%, 4/15/24-11/15/25

 

 

107,875

 

 

 

 

 

 



 

 

 

 

Total Mortgage Pass-Through Securities

 

 

54,559,040

 

 

 

 

 

 



 

 

 

 

Federal Housing Administration Securities—1.0%

 

 

 

 

 

 

 

General Motors Acceptance Corp. Projects,

 

 

 

 

 

195

 

Ser. 37, 7.43%, 5/01/22

 

 

197,333

 

 

78

 

Ser. 44, 7.43%, 8/01/22

 

 

79,407

 

 

 

 

Merrill Projects,

 

 

 

 

 

149

4

Ser. 29, 7.43%, 10/01/20

 

 

151,214

 

 

50

4

Ser. 42, 7.43%, 9/01/22

 

 

50,965

 

 

1,754

 

Reilly Project, Ser. B-11, 7.40%, 4/01/21

 

 

1,773,209

 

 

1,753

 

Westmore Project, 7.25%, 4/01/21

 

 

1,763,938

 

 

 

 

 

 



 

 

 

 

Total Federal Housing Administration Securities

 

 

4,016,066

 

 

 

 

 

 



 

 

 

 

Agency Multiple Class Mortgage Pass-Through Securities—9.7%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

3,159

 

Ser. 82, Class HJ, 5.50%, 9/25/32

 

 

3,173,152

 

 

1

Ser. 192, Class U, 1009.033%, 2/15/22

 

 

4

 

 

 

Ser. 1057, Class J, 1008.001%, 3/15/21

 

 

802

 

 

3,243

 

Ser. 2806, Class VC, 6.00%, 12/15/19

 

 

3,332,787

 

 

6,000

 

Ser. 2874, Class BC, 5.00%, 10/15/19

 

 

5,859,356

 

 

1,390

 

Ser. 2883, Class DR, 5.00%, 11/15/19

 

 

1,354,633

 

 

3,364

 

Ser. 2922, Class GA, 5.50%, 5/15/34

 

 

3,391,053

 

 

1,845

 

Ser. 2927, Class BA, 5.50%, 10/15/33

 

 

1,860,708

 

 

1,793

 

Ser. 2933, Class HD, 5.50%, 2/15/35

 

 

1,810,225

 

 

1,725

 

Ser. 2968, Class EG, 6.00%, 10/15/34

 

 

1,768,525

 

 

7,005

 

Ser. 3174, Class PZ, 5.00%, 1/15/36

 

 

6,295,678

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

3,146

 

Ser. 5, Class PK, 5.00%, 12/25/34

 

 

3,124,072

 

 

2,051

 

Ser. 27, Class PC, 5.50%, 5/25/34

 

 

2,062,653

 

 

1,613

1

Ser. 118, Class FD, 5.72%, 12/25/33

 

 

1,624,317

 

 

1,603

 

Government National Mortgage Assoc., Ser. 65, Class VA, 6.00%, 6/20/15

 

 

1,637,929

 

 

 

 

 

 



 

 

 

 

Total Agency Multiple Class Mortgage Pass-Through Securities

 

 

37,295,894

 

 

 

 

 

 



 

 

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities—4.8%

 

 

 

 

 

2,443

 

Donaldson, Lufkin & Jenrette Commercial Mortgage Corp., Class A 1B, 7.18%, 11/10/33

 

 

2,569,052

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities—(cont’d)

 

 

 

 

$

2,630

 

First Union-Lehman Brothers-Bank of America, Ser. C2, Class D, 6.778%, 11/18/35

 

$

2,815,942

 

 

2,310

 

GE Capital Commercial Mortgage Corp., Ser. 1A, Class A3, 6.269%, 12/10/35

 

 

2,409,277

 

 

2,580

 

General Motor Acceptance Corp. Commercial Mortgage Securities, Inc., Ser. C4, Class A2, 4.93%, 7/10/39

 

 

2,542,325

 

 

7,536

 

Residential Funding Securities Corp., Ser. RM2, Class AI5, 8.50%, 5/25/33

 

 

8,126,867

 

 

3

1,5

Summit Mortgage Trust, Ser. 1, Class B1, 6.596%, 12/28/12

 

 

3,173

 

 

 

 

 

 



 

 

 

 

Total Non-Agency Multiple Class Mortgage Pass-Through Securities

 

 

18,466,636

 

 

 

 

 

 



 

 

 

 

Inverse Floating Rate Mortgage Securities—0.5%

 

 

 

 

 

500

1

Federal Home Loan Mortgage Corp., Ser. 1611, Class JC, 10.00%, 8/15/23

 

 

520,558

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

1

Ser. 7, Class S, 541.833%, 3/25/21

 

 

3,201

 

 

1

Ser. 17, Class S, 531.967%, 6/25/21

 

 

4,793

 

 

1,238

1

Ser. 23, Class PS, 9.36%, 4/25/23

 

 

1,290,634

 

 

1

Ser. 46, Class S, 1295.281%, 5/25/21

 

 

3,722

 

 

1

Ser. 49, Class S, 479.05%, 12/25/21

 

 

1,693

 

 

62

1

Ser. 87, Class S, 12.522%, 8/25/21

 

 

74,591

 

 

 

 

 

 



 

 

 

 

Total Inverse Floating Rate Mortgage Securities

 

 

1,899,192

 

 

 

 

 

 



 

 

 

 

Asset-Backed Securities—12.6%

 

 

 

 

 

1,658

1

Ameriquest Mortgage Securities, Inc., Ser. R11, Class A1, 5.622%, 11/25/34

 

 

1,660,826

 

 

3,025

 

Capital Auto Receivables Asset Trust, Ser. 1, Class A3, 5.03%, 10/15/09

 

 

3,017,702

 

 

2,650

1

Chase Issuance Trust, Ser. A3, 5.31%, 7/15/11

 

 

2,649,465

 

 

3,100

 

Chase Manhattan Auto Owner Trust, Ser. B, Class A4, 4.88%, 6/15/12

 

 

3,090,803

 

 

3,125

 

Citibank Credit Card Issuance Trust, Ser. A2, Class A2, 4.85%, 2/10/11

 

 

3,115,476

 

 

 

 

Countrywide Asset-Backed Certificates,

 

 

 

 

 

199

1

Ser. 15, Class 2AV1, 5.42%, 4/25/36

 

 

198,612

 

 

932

1

Ser. 16, Class 4AV1, 5.42%, 1/25/35

 

 

932,505

 

 

3,150

 

DaimlerChrysler Auto Trust, Ser. A, Class A3, 5.00%, 5/08/10

 

 

3,143,604

 

 

2,575

1

Discover Card Master Trust I, Ser. 1, Class A, 5.33%, 9/16/10

 

 

2,575,493

 

 

3,400

 

Ford Credit Auto Owner Trust, Ser. A, Class A3, 5.07%, 11/15/09

 

 

3,393,211

 

 

2,550

 

Harley-Davidson Motorcycle Trust, Ser. 2, Class A2, 4.07%, 2/15/12

 

 

2,515,217

 

 

2,483

 

Maryland Trust, Ser. 1, Class A, 5.55%, 12/10/65

 

 

2,461,757

 

 

 

 

MBNA Credit Card Master Note Trust,

 

 

 

 

 

3,075

 

Ser. A1, Class A, 4.90%, 7/15/11

 

 

3,071,150

 

 

4,050

1

Ser. A4, 5.31%, 9/15/11

 

 

4,049,212

 

See Notes to Financial Statements.

23



BlackRock Income Opportunity Trust (BNA) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Asset-Backed Securities—(cont’d)

 

 

 

 

$

974

1

Merrill Lynch Mortgage Investors, Inc., Ser. HE2, Class A2A, 5.43%, 9/25/36

 

$

974,614

 

 

 

 

Morgan Stanley ABS Capital I,

 

 

 

 

 

2,202

1

Ser. HE5, Class A2A, 5.39%, 8/25/36

 

 

2,201,853

 

 

1,796

1

Ser. NC4, Class A2A, 5.35%, 6/25/36

 

 

1,795,621

 

 

695

1

New Century Home Equity Loan Trust, Ser. C, Class A2A, 5.40%, 1/25/36

 

 

695,011

 

 

1,029

1

Structured Asset Investment Loan Trust, Ser. 1, Class A1, 5.40%, 1/25/36

 

 

1,029,095

 

 

3,075

 

USAA Auto Owner Trust, Ser. 1, Class A3, 5.01%, 9/15/10

 

 

3,069,540

 

 

2,925

 

Wachovia Auto Owner Trust, Ser. A, Class A4, 5.38%, 3/20/13

 

 

2,953,588

 

 

 

 

 

 



 

 

 

 

Total Asset-Backed Securities

 

 

48,594,355

 

 

 

 

 

 



 

 

 

 

Interest Only Asset-Backed Securities—0.2%

 

 

 

 

 

169

1,5

Morgan Stanley Capital Trust I, Ser. HF1, Class X, 1.915%, 6/15/17

 

 

377

 

 

 

 

Sterling Coofs Trust,

 

 

 

 

 

16,255

 

Ser. 1, 2.362%, 4/15/29

 

 

487,653

 

 

14,846

 

Ser. 2, 2.126%, 3/30/30

 

 

408,278

 

 

 

 

 

 



 

 

 

 

Total Interest Only Asset-Backed Securities

 

 

896,308

 

 

 

 

 

 



 

 

 

 

Interest Only Mortgage-Backed Securities—0.9%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

Ser. 176, Class M, 1,010.00%, 7/15/21

 

 

37

 

 

 

Ser. 200, Class R, 93,522.906%, 12/15/22

 

 

181

 

 

7

1

Ser. 1043, Class H, 20.813%, 2/15/21

 

 

7,238

 

 

1

Ser. 1054, Class I, 413.56%, 3/15/21

 

 

106

 

 

 

Ser. 1056, Class KD, 1,084.50%, 3/15/21

 

 

704

 

 

1

Ser. 1148, Class E, 563.074%, 10/15/21

 

 

287

 

 

 

Ser. 1179, Class O, 1,009.389%, 11/15/21

 

 

50

 

 

167

 

Ser. 1254, Class Z, 8.50%, 4/15/22

 

 

46

 

 

277

 

Ser. 1831, Class PG, 6.50%, 3/15/11

 

 

22,826

 

 

6,219

 

Ser. 2611, Class QI, 5.50%, 9/15/32

 

 

1,090,195

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

88

 

Ser. 5, Class H, 9.00%, 1/25/22

 

 

21,194

 

 

6

 

Ser. 7, Class 2, 8.50%, 4/01/17

 

 

1,153

 

 

1

1

Ser. 10, Class S, 524.318%, 5/25/21

 

 

9,678

 

 

1

Ser. 12, Class S, 553.577%, 5/25/21

 

 

7,988

 

 

 

Ser. 33, Class PV, 1,078.42%, 10/25/21

 

 

11,321

 

 

 

Ser. 38, Class N, 1,008.50%, 4/25/21

 

 

294

 

 

3

 

Ser. 46, Class H, 1,042.50%, 12/25/09

 

 

26,769

 

 

375

1

Ser. 50, Class SI, 1.20%, 4/25/23

 

 

13,538

 

 

11

 

Ser. 89, Class 2, 8.00%, 6/01/18

 

 

2,495

 

 

26,413

1

Ser. 90, Class JH, 1.38%, 11/25/34

 

 

1,295,928

 

 

3

 

Ser. 94, Class 2, 9.50%, 8/01/21

 

 

747

 

 

 

Ser. 99, Class L, 930.00%, 8/25/21

 

 

3,505

 

 

 

Ser. 123, Class M, 1,009.50%, 10/25/20

 

 

610

 

 

13

1

Ser. 136, Class S, 14.746%, 11/25/20

 

 

15,783

 

 

 

Ser. 139, Class PT, 648.35%, 10/25/21

 

 

3,957

 

 

1

Ser. 141, Class SA, 13.625%, 8/25/07

 

 

4

 

 

4,619

 

Ser. 378, Class 19, 5.00%, 6/01/35

 

 

1,011,122

 

 

4,475

1,5

Goldman Sachs Mortgage Securities Corp., Ser. 5, 0.988%, 2/19/25

 

 

94,687

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Interest Only Mortgage-Backed Securities—(cont’d)

 

 

 

 

$

1,539

1

Salomon Brothers Mortgage Securities VII, Ser. 1, 0.537%, 3/25/22

 

$

27

 

 

 

 

 

 



 

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

3,642,470

 

 

 

 

 

 



 

 

 

 

Principal Only Mortgage-Backed Securities—0.1%

 

 

 

 

 

92

3,6

Federal Home Loan Mortgage Corp., Ser. 1739, Class B, 7.50%, 2/15/24

 

 

82,953

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

72

6

Ser. 51, Class E, 8.00%, 2/25/23

 

 

61,186

 

 

13

6

Ser. 70, Class A, 7.00%, 5/25/23

 

 

10,439

 

 

29

6

Ser. 167, Class D, 8.50%, 10/25/17

 

 

27,308

 

 

22

6

Ser. 203, Class 1, 8.00%, 2/01/23

 

 

19,214

 

 

15

6

Ser. 228, Class 1, 7.00%, 5/01/23

 

 

12,396

 

 

 

 

 

 



 

 

 

 

Total Principal Only Mortgage-Backed Securities

 

 

213,496

 

 

 

 

 

 



 

 

 

 

Commercial Mortgage-Backed Securities—5.0%

 

 

 

 

 

2,320

 

Bear Stearns Commercial Mortgage Services, Ser. PWR7, Class A2, 4.945%, 2/11/41

 

 

2,294,719

 

 

2,970

2

Credit Suisse First Boston Mortgage Securities Corp., Ser. CP5, Class A2, 4.94%, 12/15/35

 

 

2,922,081

 

 

2,400

1

Credit Suisse Mortgage Capital Certificates, Ser. C2, Class A3, 5.542%, 1/15/49

 

 

2,422,781

 

 

2,090

 

First Union National Bank Commercial Mortgage Trust, Ser. C2, Class A2, 7.202%, 10/15/32

 

 

2,204,825

 

 

2,475

 

General Motors Acceptance Corp. Commercial Mortgage Securities, Inc., Ser. C3, Class A4, 4.547%, 12/10/41

 

 

2,410,023

 

 

 

 

JPMorgan Chase Commercial Mortgage Securities Corp.,

 

 

 

 

 

1,990

 

Ser. C1, Class A3, 5.857%, 10/12/35

 

 

2,037,384

 

 

2,380

 

Ser. CBX, Class A4, 4.529%, 1/12/37

 

 

2,321,460

 

 

2,530

1

Lehman Brothers-UBS Commercial Mortgage Trust, Ser. C4, Class A3, 5.153%, 6/15/29

 

 

2,538,708

 

 

 

 

 

 



 

 

 

 

Total Commercial Mortgage-Backed Securities

 

 

19,151,981

 

 

 

 

 

 



 

 

 

 

Collateralized Mortgage Obligation Residual Securities—0.0%

 

 

 

 

 

 

 

Collateralized Mortgage Obligation Trust,

 

 

 

 

 

 

Ser. 40, Class R, 580.50%, 4/01/18

 

 

162

 

 

 

Ser. 42, Class R, 6,000.00%, 10/01/14

 

 

2,019

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

Ser. 19, Class R, 9,427.227%, 3/15/20

 

 

1,557

 

 

 

Ser. 75, Class R, 9.50%, 1/15/21

 

 

2

 

 

 

Ser. 75, Class RS, 17.018%, 1/15/21

 

 

2

 

 

 

Ser. 173, Class R, 9.00%, 11/15/21

 

 

11

 

 

 

Ser. 173, Class RS, 9.113%, 11/15/21

 

 

11

 

 

6

 

Painewebber CMO Trust, Ser. 88 M, Class 6, 13.80%, 9/01/18

 

 

 

 

 

 

 

 



 

 

 

 

Total Collateralized Mortgage Obligation Residual Securities

 

 

3,764

 

 

 

 

 

 



 

See Notes to Financial Statements.

24



BlackRock Income Opportunity Trust (BNA) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Corporate Bonds—54.2%

 

 

 

 

 

 

 

Aerospace & Defense—0.8%

 

 

 

 

$

170

5

Bombardier, Inc., 8.00%, 11/15/14 (Canada)

 

$

178,712

 

 

1,488

 

DI Finance/DynCorp Intl., Ser. B, 9.50%, 2/15/13

 

 

1,599,600

 

 

 

 

DRS Technologies, Inc.,

 

 

 

 

 

80

 

6.875%, 11/01/13

 

 

80,800

 

 

80

 

7.625%, 2/01/18

 

 

83,800

 

 

15

 

Sequa Corp., 9.00%, 8/01/09

 

 

15,863

 

 

140

5

TransDigm, Inc., 7.75%, 7/15/14

 

 

145,250

 

 

1,250

 

United Technologies Corp., 4.875%, 5/01/15

 

 

1,214,949

 

 

 

 

 

 



 

 

 

 

Total Aerospace & Defense

 

 

3,318,974

 

 

 

 

 

 



 

 

 

 

Automotive—0.4%

 

 

 

 

 

305

 

Accuride Corp., 8.50%, 2/01/15

 

 

314,913

 

 

 

 

AutoNation, Inc.,

 

 

 

 

 

170

 

7.00%, 4/15/14

 

 

170,850

 

 

160

1

7.356%, 4/15/13

 

 

161,400

 

 

30

1,5

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 7.86%, 5/15/14

 

 

30,825

 

 

560

 

Lear Corp., Ser. B, 8.75%, 12/01/16

 

 

545,300

 

 

295

 

Metaldyne Corp., 10.00%, 11/01/13

 

 

303,850

 

 

 

 

 

 



 

 

 

 

Total Automotive

 

 

1,527,138

 

 

 

 

 

 



 

 

 

 

Basic Materials—5.0%

 

 

 

 

 

585

 

Abitibi-Consolidated, Inc., 6.00%, 6/20/13 (Canada)

 

 

506,025

 

 

1,115

 

AK Steel Corp., 7.75%, 6/15/12

 

 

1,151,237

 

 

280

5

American Pacific Corp., 9.00%, 2/01/15

 

 

281,400

 

 

90

1

Bowater, Inc., 8.355%, 3/15/10

 

 

90,450

 

 

30

 

Chemtura Corp., 6.875%, 6/01/16

 

 

29,550

 

 

230

 

CPG Intl. I, Inc., 10.50%, 7/01/13

 

 

241,500

 

 

80

 

Domtar, Inc., 7.125%, 8/15/15 (Canada)

 

 

81,500

 

 

170

 

Donohue Forest Products, 7.625%, 5/15/07 (Canada)

 

 

170,000

 

 

300

 

Equistar Chemicals LP/Equistar Funding Corp., 10.625%, 5/01/11

 

 

316,500

 

 

 

 

Freeport-McMoRan Copper & Gold, Inc.,

 

 

 

 

 

1,020

 

8.375%, 4/01/17

 

 

1,115,625

 

 

360

1

8.564%, 4/01/15

 

 

379,350

 

 

 

 

Huntsman LLC,

 

 

 

 

 

230

 

11.625%, 10/15/10

 

 

247,825

 

 

72

 

12.00%, 7/15/12

 

 

80,280

 

 

1,500

5

Ineos Group Holdings Plc, 8.50%, 2/15/16 (United Kingdom)

 

 

1,451,250

 

 

975

 

Innophos, Inc., 8.875%, 8/15/14

 

 

1,021,313

 

 

135

 

Ispat Inland ULC, 9.75%, 4/01/14 (Canada)

 

 

150,342

 

 

565

5

Key Plastics LLC/Key Plastics Finance Corp., 11.75%, 3/15/13

 

 

570,650

 

 

 

 

Lyondell Chemical Co.,

 

 

 

 

 

260

 

8.00%, 9/15/14

 

 

272,350

 

 

515

 

8.25%, 9/15/16

 

 

551,050

 

 

130

 

10.50%, 6/01/13

 

 

142,513

 

 

1,785

 

11.125%, 7/15/12

 

 

1,901,025

 

 

60

 

Nalco Co., 8.875%, 11/15/13

 

 

64,200

 

 

575

 

NewPage Corp., 10.00%, 5/01/12

 

 

635,375

 

 

 

 

Noranda, Inc. (Canada)

 

 

 

 

 

600

 

6.00%, 10/15/15

 

 

620,857

 

 

1,550

 

6.20%, 6/15/35

 

 

1,559,348

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Basic Materials—(cont’d)

 

 

 

 

$

630

1

Nova Chemicals Corp., 8.502%, 11/15/13 (Canada)

 

$

641,025

 

 

535

5

Pregis Corp., 12.375%, 10/15/13

 

 

588,500

 

 

1,570

 

Teck Cominco Ltd., 6.125%, 10/01/35 (Canada)

 

 

1,530,932

 

 

360

5

Terra Capital, Inc., 7.00%, 2/01/17

 

 

352,800

 

 

2,325

 

Vale Overseas Ltd., 6.875%, 11/21/36 (Cayman Islands)

 

 

2,458,687

 

 

25

5

Verso Paper Holdings LLC/Verson Paper, Inc., 11.375%, 8/01/16

 

 

26,750

 

 

 

 

 

 



 

 

 

 

Total Basic Materials

 

 

19,230,209

 

 

 

 

 

 



 

 

 

 

Building & Development—0.2%

 

 

 

 

 

495

 

Goodman Global Holding Co., Inc., 7.875%, 12/15/12

 

 

498,713

 

 

210

 

Nortek, Inc., 8.50%, 9/01/14

 

 

207,900

 

 

85

 

North American Energy Partners, Inc., 8.75%, 12/01/11 (Canada)

 

 

87,550

 

 

 

 

 

 



 

 

 

 

Total Building & Development

 

 

794,163

 

 

 

 

 

 



 

 

 

 

Commercial Services—0.1%

 

 

 

 

 

125

 

FTI Consulting, Inc., 7.75%, 10/01/16

 

 

130,469

 

 

225

5

Quebecor World, Inc., 9.75%, 1/15/15 (Canada)

 

 

237,375

 

 

 

 

 

 



 

 

 

 

Total Commercial Services

 

 

367,844

 

 

 

 

 

 



 

 

 

 

Consumer Products—2.0%

 

 

 

 

 

720

1

Ames True Temper, Inc., 9.356%, 1/15/12

 

 

734,400

 

 

560

 

Federated Department Stores, Inc., 6.79%, 7/15/27

 

 

554,466

 

 

1,325

 

Federated Retail Holdings, Inc., 5.90%, 12/01/16

 

 

1,327,018

 

 

 

 

General Nutrition Centers, Inc.,

 

 

 

 

 

500

5

9.796%, 3/15/14

 

 

489,375

 

 

450

5

10.75%, 3/15/15

 

 

448,875

 

 

369

 

Lazy Days RV Center, Inc., 11.75%, 5/15/12

 

 

381,915

 

 

 

 

Michaels Stores, Inc.,

 

 

 

 

 

530

5

10.00%, 11/01/14

 

 

581,675

 

 

670

5

11.375%, 11/01/16

 

 

738,675

 

 

50

1,5

Nutro Products, Inc., 9.37%, 10/15/13

 

 

51,125

 

 

300

 

Quiksilver, Inc., 6.875%, 4/15/15

 

 

292,500

 

 

250

 

Reynolds American, Inc., 7.625%, 6/01/16

 

 

273,522

 

 

790

 

Rite Aid Corp., 7.50%, 3/01/17

 

 

788,025

 

 

190

5

Sally Holdings LLC, 10.50%, 11/15/16

 

 

197,600

 

 

125

 

Spectrum Brands, Inc., 7.375%, 2/01/15

 

 

99,062

 

 

670

 

United Rentals NA, Inc., 7.00%, 2/15/14

 

 

683,400

 

 

 

 

 

 



 

 

 

 

Total Consumer Products

 

 

7,641,633

 

 

 

 

 

 



 

 

 

 

Containers & Packaging—0.7%

 

 

 

 

 

 

 

Berry Plastics Holding Corp.,

 

 

 

 

 

290

 

8.875%, 9/15/14

 

 

298,700

 

 

190

1

9.23%, 9/15/14

 

 

194,275

 

 

150

 

Crown Americas LLC/Crown Americas Capital Corp., 7.75%, 11/15/15

 

 

158,625

 

 

330

1,5

Impress Holdings BV, 8.481%, 9/15/13 (Netherlands)

 

 

337,829

 

 

1,626

 

Owens-Brockway Glass Container, Inc., 8.875%, 2/15/09

 

 

1,658,520

 

 

 

 

 

 



 

 

 

 

Total Containers & Packaging

 

 

2,647,949

 

 

 

 

 

 



 

See Notes to Financial Statements.

25



BlackRock Income Opportunity Trust (BNA) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Ecological Services & Equipment—0.8%

 

 

 

 

$

2,250

 

Casella Waste Systems, Inc., 9.75%, 2/01/13

 

$

2,379,375

 

 

600

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

633,000

 

 

 

 

 

 



 

 

 

 

Total Ecological Services & Equipment

 

 

3,012,375

 

 

 

 

 

 



 

 

 

 

Energy—5.9%

 

 

 

 

 

2,625

 

Anadarko Petroleum Corp., 6.45%, 9/15/36

 

 

2,631,631

 

 

160

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

160,600

 

 

380

 

Chaparral Energy, Inc., 8.50%, 12/01/15

 

 

385,700

 

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

 

175

 

6.375%, 6/15/15

 

 

175,219

 

 

20

 

6.875%, 11/15/20

 

 

20,150

 

 

1,300

 

Cleveland Electric Illuminating Co., 5.95%, 12/15/36

 

 

1,253,681

 

 

 

 

Compagnie Generale de Geophysique-Veritas (France)

 

 

 

 

 

60

 

7.50%, 5/15/15

 

 

63,000

 

 

100

 

7.75%, 5/15/17

 

 

106,000

 

 

225

 

Compton Petroleum Finance Corp., 7.625%, 12/01/13 (Canada)

 

 

223,313

 

 

1,970

1

ConocoPhillips Australia Funding Co., 5.45%, 4/09/09

 

 

1,970,904

 

 

450

 

DTE Energy Co., 6.35%, 6/01/16

 

 

470,156

 

 

130

 

Edison Mission Energy, 7.50%, 6/15/13

 

 

135,200

 

 

120

 

El Paso Corp., 7.80%, 8/01/31

 

 

133,800

 

 

150

 

El Paso Natural Gas Co., 8.875%, 6/15/32

 

 

187,334

 

 

185

 

Elwood Energy LLC, 8.159%, 7/05/26

 

 

195,698

 

 

425

 

EnCana Corp., 6.50%, 8/15/34 (Canada)

 

 

445,430

 

 

 

 

Encore Acquisition Co.,

 

 

 

 

 

50

 

6.00%, 7/15/15

 

 

45,750

 

 

60

 

7.25%, 12/01/17

 

 

58,050

 

 

1,675

 

Energy East Corp., 6.75%, 7/15/36

 

 

1,783,287

 

 

435

 

Exco Resources, Inc., 7.25%, 1/15/11

 

 

436,087

 

 

480

 

FirstEnergy Corp., Ser. B, 6.45%, 11/15/11

 

 

503,432

 

 

575

 

Florida Power & Light Co., 4.95%, 6/01/35

 

 

511,698

 

 

90

 

Grant Prideco, Inc., Ser. B, 6.125%, 8/15/15

 

 

89,325

 

 

190

5

Halliburton Co., 7.60%, 8/15/96

 

 

219,333

 

 

255

 

KCS Energy, Inc., 7.125%, 4/01/12

 

 

252,450

 

 

1,250

 

Kinder Morgan Energy Partners LP, 7.30%, 8/15/33

 

 

1,364,975

 

 

800

 

Midamerican Energy Co., 5.80%, 10/15/36

 

 

792,830

 

 

83

 

Midwest Generation LLC, Ser. B, 8.56%, 1/02/16

 

 

92,037

 

 

175

 

Mirant Americas Generation LLC, 8.30%, 5/01/11

 

 

185,063

 

 

1,020

 

Mission Energy Holdings Co., 13.50%, 7/15/08

 

 

1,114,350

 

 

1,100

5

Nakilat, Inc., 6.067%, 12/31/33 (Qatar)

 

 

1,084,158

 

 

 

 

NRG Energy, Inc.,

 

 

 

 

 

50

 

7.25%, 2/01/14

 

 

51,750

 

 

285

 

7.375%, 2/01/16

 

 

296,044

 

 

350

 

Ohio Edison Co., 6.875%, 7/15/36

 

 

383,470

 

 

500

 

ONEOK Partners LP, 6.65%, 10/01/36

 

 

520,237

 

 

490

5

OPTI, Inc., 8.25%, 12/15/14 (Canada)

 

 

518,175

 

 

140

 

Orion Power Holdings, Inc., 12.00%, 5/01/10

 

 

161,700

 

 

 

 

Reliant Energy, Inc.,

 

 

 

 

 

325

 

6.75%, 12/15/14

 

 

340,438

 

 

40

 

9.25%, 7/15/10

 

 

41,950

 

 

350

5

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

359,625

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Energy—(cont’d)

 

 

 

 

$

175

 

Scottish Power Plc, 5.375%, 3/15/15 (United Kingdom)

 

$

174,710

 

 

350

5

SemGroup LP, 8.75%, 11/15/15

 

 

361,375

 

 

500

1,5

Stone Energy Corp., 8.106%, 7/15/10

 

 

500,000

 

 

360

5

Targa Resources, Inc., 8.50%, 11/01/13

 

 

370,800

 

 

325

 

Texaco Capital, Inc., 8.875%, 9/01/21

 

 

431,427

 

 

600

 

Trans-Canada Pipelines Ltd., 5.85%, 3/15/36 (Canada)

 

 

588,963

 

 

415

 

Whiting Petroleum Corp., 7.25%, 5/01/12-5/01/13

 

 

406,800

 

 

 

 

 

 



 

 

 

 

Total Energy

 

 

22,598,105

 

 

 

 

 

 



 

 

 

 

Entertainment & Leisure—1.3%

 

 

 

 

 

185

 

AMC Entertainment, Inc., 11.00%, 2/01/16

 

 

212,287

 

 

90

 

Cinemark, Inc., Zero Coupon, 3/15/14

 

 

82,800

 

 

250

 

Gaylord Entertainment Co., 6.75%, 11/15/14

 

 

248,125

 

 

325

5

Greektown Holdings LLC, 10.75%, 12/01/13

 

 

348,562

 

 

600

 

Harrah’s Operating Co., Inc., 5.75%, 10/01/17

 

 

498,000

 

 

800

 

MGM Mirage, 9.75%, 6/01/07

 

 

803,000

 

 

2,000

 

Park Place Entertainment Corp., 8.875%, 9/15/08

 

 

2,077,500

 

 

205

 

Poster Financial Group, Inc., 8.75%, 12/01/11

 

 

213,200

 

 

290

 

Seneca Gaming Corp., Ser. B, 7.25%, 5/01/12

 

 

295,075

 

 

245

5

TDS Investor, 9.875%, 9/01/14

 

 

262,150

 

 

25

 

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625%, 12/01/14

 

 

25,063

 

 

 

 

 

 



 

 

 

 

Total Entertainment & Leisure

 

 

5,065,762

 

 

 

 

 

 



 

 

 

 

Financial Institutions—15.2%

 

 

 

 

 

350

 

American Real Estate Partners LP/American Real Estate Finance Corp., 7.125%, 2/15/13

 

 

344,312

 

 

2,450

2

Bank of America Corp., 7.80%, 2/15/10

 

 

2,622,095

 

 

5,465

1

Barclays Bank Plc NY, 5.35%, 3/13/09

 

 

5,468,886

 

 

2,525

2

Berkshire Hathaway Finance Corp., 3.375%, 10/15/08

 

 

2,463,524

 

 

190

1,5

BMS Holdings, Inc., 12.40%, 2/15/12

 

 

190,475

 

 

120

 

Britannia Bulk Plc, 11.00%, 12/01/11 (United Kingdom)

 

 

121,200

 

 

 

 

Citigroup, Inc.,

 

 

 

 

 

5,975

3

4.125%, 2/22/10

 

 

5,843,789

 

 

1,350

2

6.125%, 8/25/36

 

 

1,391,977

 

 

550

 

6.875%, 2/15/98

 

 

599,000

 

 

 

 

Credit Suisse First Boston, Inc.,

 

 

 

 

 

700

3

6.125%, 11/15/11

 

 

728,311

 

 

1,000

 

7.125%, 7/15/32

 

 

1,187,400

 

 

1,200

5

Depfa ACS Bank, 5.125%, 3/16/37 (Ireland)

 

 

1,148,854

 

 

1,900

 

Eksportfinans A/S, 5.50%, 5/25/16 (Norway)

 

 

1,965,677

 

 

220

1

Ford Motor Credit Co., 8.105%, 1/13/12

 

 

216,989

 

 

 

 

Fort Irwin Land LLC,

 

 

 

 

 

780

5

Ser. A, Class II, 5.30%, 12/15/35

 

 

740,189

 

 

575

5

Ser. A-1, 5.03%, 12/15/25

 

 

542,489

 

 

3,000

2

General Electric Capital Corp., 6.75%, 3/15/32

 

 

3,415,746

 

 

1,000

 

Goldman Sachs Group, Inc. (The), 6.60%, 1/15/12

 

 

1,055,917

 

 

1,275

 

HSBC Holdings Plc, 6.50%, 5/02/36 (United Kingdom)

 

 

1,365,986

 

 

826

5

iPayment Investors LP, 11.625%, 7/15/14

 

 

858,524

 

See Notes to Financial Statements.

26



BlackRock Income Opportunity Trust (BNA) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

Financial Institutions—(cont’d)

 

 

 

 

$

270

 

iPayment, Inc., 9.75%, 5/15/14

 

$

281,137

 

 

360

 

K&F Acquisition, Inc., 7.75%, 11/15/14

 

 

385,200

 

 

1,500

 

Lehman Brothers Holdings, Inc., 6.625%, 1/18/12

 

 

1,584,978

 

 

1,200

 

MetLife, Inc., 5.70%, 6/15/35

 

 

1,163,147

 

 

 

 

Momentive Performance Materials, Inc.,

 

 

 

 

 

50

5

9.75%, 12/01/14

 

 

52,875

 

 

830

5

10.125%, 12/01/14

 

 

879,800

 

 

390

5

11.50%, 12/01/16

 

 

417,300

 

 

 

 

Morgan Stanley,

 

 

 

 

 

3,620

1

5.60%, 1/09/12

 

 

3,619,805

 

 

2,100

 

6.25%, 8/09/26

 

 

2,171,161

 

 

6,100

1,5

Rabobank Nederland Global, 5.35%, 4/06/09 (Netherlands)

 

 

6,102,397

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

 

225

5

8.75%, 9/01/12

 

 

240,188

 

 

1,650

5

10.375%, 9/01/14

 

 

1,858,312

 

 

520

 

Standard Aero Holdings, Inc., 8.25%, 9/01/14

 

 

562,900

 

 

50

1

Universal City Florida Holding Co. I/II,

 

 

 

 

 

 

 

10.106%, 5/01/10

 

 

51,313

 

 

1,000

 

Wells Fargo & Co., 4.625%, 8/09/10

 

 

989,377

 

 

 

 

Wells Fargo Bank NA,

 

 

 

 

 

1,375

 

5.95%, 8/26/36

 

 

1,398,595

 

 

2,000

 

7.55%, 6/21/10

 

 

2,136,574

 

 

700

5

Wimar Opco LLC/Wimar Opco Finance Corp., 9.625%, 12/15/14

 

 

710,500

 

 

1,875

5

Xstrata Finance Ltd., 5.80%, 11/15/16 (Canada)

 

 

1,898,472

 

 

 

 

 

 



 

 

 

 

Total Financial Institutions

 

 

58,775,371

 

 

 

 

 

 



 

 

 

 

Health Care—1.7%

 

 

 

 

 

1,135

 

Bristol-Myers Squibb Co., 5.875%, 11/15/36

 

 

1,123,366

 

 

2,495

 

Eli Lilly & Co., 5.55%, 3/15/37

 

 

2,420,895

 

 

 

 

HealthSouth Corp.,

 

 

 

 

 

145

5

10.75%, 6/15/16

 

 

158,050

 

 

335

1,5

11.354%, 6/15/14

 

 

364,312

 

 

375

 

Tenet Healthcare Corp., 6.875%, 11/15/31

 

 

300,000

 

 

1,175

 

Teva Pharmaceutical Finance LLC, 6.15%, 2/01/36

 

 

1,144,895

 

 

450

 

Universal Hospital Services, Inc., 10.125%, 11/01/11

 

 

482,106

 

 

595

 

WellPoint, Inc., 5.85%, 1/15/36

 

 

574,899

 

 

 

 

 

 



 

 

 

 

Total Health Care

 

 

6,568,523

 

 

 

 

 

 



 

 

 

 

Industrials—2.4%

 

 

 

 

 

1,700

 

3M Co., Ser. MTN, 5.70%, 3/15/37

 

 

1,695,102

 

 

400

5

AGY Holding Corp., 11.00%, 11/15/14

 

 

420,500

 

 

2,000

 

Briggs & Stratton Corp., 8.875%, 3/15/11

 

 

2,151,454

 

 

150

 

Hexcel Corp., 6.75%, 2/01/15

 

 

150,375

 

 

915

 

Honeywell Intl., Inc., 5.70%, 3/15/37

 

 

883,154

 

 

1,306

 

Manitowoc, Inc., 10.50%, 8/01/12

 

 

1,387,625

 

 

165

 

Park-Ohio Industries, Inc., 8.375%, 11/15/14

 

 

163,350

 

 

 

 

RBS Global, Inc./Rexnord Corp.,

 

 

 

 

 

540

 

9.50%, 8/01/14

 

 

577,800

 

 

555

 

11.75%, 8/01/16

 

 

616,050

 

 

1,050

5

Sunstate Equipment Co. LLC, 10.50%, 4/01/13

 

 

1,123,500

 

 

150

 

Trimas Corp., 9.875%, 6/15/12

 

 

155,625

 

 

 

 

 

 



 

 

 

 

Total Industrials

 

 

9,324,535

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 








 

 

 

Media—7.0%

 

 

 

 

 

 

 

Affinion Group, Inc.,

 

 

 

 

$

540

 

10.125%, 10/15/13

 

$

588,600

 

 

200

 

11.50%, 10/15/15

 

 

220,000

 

 

125

 

American Media Operations, Inc., Ser. B, 10.25%, 5/01/09

 

 

117,813

 

 

 

 

AOL Time Warner, Inc.,

 

 

 

 

 

1,635

 

7.57%, 2/01/24

 

 

1,821,665

 

 

3,000

 

9.125%, 1/15/13

 

 

3,520,734

 

 

1,415

 

AT&T Broadband Corp., 8.375%, 3/15/13

 

 

1,622,593

 

 

55

5

BSKYB Finance Plc, 6.50%, 10/15/35 (United Kingdom)

 

 

55,111

 

 

161

1

Cablevision Systems Corp., Ser. B, 9.82%, 4/01/09

 

 

170,660

 

 

120

 

CanWest MediaWorks, Inc., 8.00%, 9/15/12 (Canada)

 

 

124,500

 

 

230

 

CCH I Holdings LLC/CCH I Holdings Capital Corp., 11.00%, 10/01/15

 

 

244,375

 

 

 

 

Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.,

 

 

 

 

 

955

 

10.25%, 9/15/10

 

 

1,017,075

 

 

180

 

Ser. B, 10.25%, 9/15/10

 

 

191,250

 

 

690

5

CMP Susquehanna Corp., 9.875%, 5/15/14

 

 

703,800

 

 

1,000

 

Comcast Cable Communications, Inc., 6.75%, 1/30/11

 

 

1,053,511

 

 

85

 

Dex Media West LLC/Dex Media Finance Co., Ser. B, 9.875%, 8/15/13

 

 

92,544

 

 

140

 

DirecTV Holdings LLC/DirecTV Financing Co., 8.375%, 3/15/13

 

 

147,700

 

 

 

 

EchoStar DBS Corp.,

 

 

 

 

 

180

 

5.75%, 10/01/08

 

 

180,225

 

 

320

 

7.00%, 10/01/13

 

 

332,400

 

 

75

 

7.125%, 2/01/16

 

 

78,094

 

 

665

5

Idearc, Inc., 8.00%, 11/15/16

 

 

694,094

 

 

90

5

Iesy Repository GMBH, 10.375%, 2/15/15 (Germany)

 

 

95,175

 

 

460

 

LIN Television Corp., 6.50%, 5/15/13

 

 

453,100

 

 

200

 

MediaNews Group, Inc., 6.875%, 10/01/13

 

 

182,000

 

 

535

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

548,375

 

 

 

 

News America Holdings, Inc.,

 

 

 

 

 

145

 

8.15%, 10/17/36

 

 

174,335

 

 

2,475

 

8.45%, 8/01/34

 

 

3,114,443

 

 

660

 

Nexstar Finance, Inc., 7.00%, 1/15/14

 

 

641,850

 

 

 

 

Nielsen Finance LLC/Nielsen Finance Co.,

 

 

 

 

 

330

5

Zero Coupon, 8/01/16

 

 

238,425

 

 

1,100

5

10.00%, 8/01/14

 

 

1,201,750

 

 

500

1,5

Paxson Communications Corp., 8.606%, 1/15/12

 

 

510,000

 

 

450

 

Primedia, Inc., 8.00%, 5/15/13

 

 

468,000

 

 

950

 

RH Donnelley Corp., Ser. A-3, 8.875%, 1/15/16

 

 

1,030,750

 

 

70

 

Sirius Satellite Radio, Inc., 9.625%, 8/01/13

 

 

70,000

 

 

1,495

 

TCI Communications, Inc., 8.75%, 8/01/15

 

 

1,794,139

 

 

800

5

Time Warner Cable, Inc., 6.55%, 5/01/37

 

 

809,060

 

 

475

5

Umbrella Acquisition, Inc., 9.75%, 3/15/15

 

 

478,562

 

 

 

 

Vertis, Inc.,

 

 

 

 

 

570

 

9.75%, 4/01/09

 

 

582,825

 

 

255

 

Ser. B, 10.875%, 6/15/09

 

 

252,769

 

See Notes to Financial Statements.

27



BlackRock Income Opportunity Trust (BNA) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

Amount

 

 

 

 

 

 

(000)

 

Description

 

Value

 









 

 

 

Media—(cont’d)

 

 

 

 

$

1,319

 

Young Broadcasting, Inc., 10.00%, 3/01/11

 

$

1,342,082

 

 

 

 

 

 



 

 

 

 

Total Media

 

 

26,964,384

 

 

 

 

 

 



 

 

 

 

Real Estate—0.9%

 

 

 

 

 

1,000

 

AvalonBay Communities, Inc., 6.625%, 9/15/11

 

 

1,055,915

 

 

 

 

Rouse Co.,

 

 

 

 

 

725

 

3.625%, 3/15/09

 

 

698,381

 

 

1,715

 

5.375%, 11/26/13

 

 

1,616,639

 

 

 

 

 

 



 

 

 

 

Total Real Estate

 

 

3,370,935

 

 

 

 

 

 



 

 

 

 

Technology—1.8%

 

 

 

 

 

 

 

Amkor Technology, Inc.,

 

 

 

 

 

90

 

7.75%, 5/15/13

 

 

89,100

 

 

135

 

9.25%, 6/01/16

 

 

143,100

 

 

555

 

Celestica, Inc., 7.625%, 7/01/13 (Canada)

 

 

528,637

 

 

 

 

Freescale Semiconductor, Inc.,

 

 

 

 

 

1,260

5

9.125%, 12/15/14

 

 

1,253,700

 

 

160

1,5

9.23%, 12/15/14

 

 

160,000

 

 

100

5

Hynix Semiconductor, Inc., 9.875%, 7/01/12 (South Korea)

 

 

111,500

 

 

805

5

NXP BV/NXP Funding LLC, 9.50%, 10/15/15 (Netherlands)

 

 

845,250

 

 

 

 

Sanmina-SCI Corp.,

 

 

 

 

 

70

 

6.75%, 3/01/13

 

 

66,500

 

 

590

 

8.125%, 3/01/16

 

 

577,462

 

 

495

 

Sensata Technologies, 8.00%, 5/01/14 (Netherlands)

 

 

496,238

 

 

 

 

SunGard Data Systems, Inc.,

 

 

 

 

 

95

 

9.125%, 8/15/13

 

 

101,888

 

 

675

 

10.25%, 8/15/15

 

 

742,500

 

 

950

 

Superior Essex Communications LLC/Essex Group, Inc., 9.00%, 4/15/12

 

 

988,000

 

 

210

5

UGS Capital Corp. II, 10.38%, 6/01/11

 

 

216,395

 

 

480

 

UGS Corp., 10.00%, 6/01/12

 

 

523,200

 

 

 

 

 

 



 

 

 

 

Total Technology

 

 

6,843,470

 

 

 

 

 

 



 

 

 

 

Telecommunications—7.4%

 

 

 

 

 

1,700

 

BellSouth Telecommunications, Zero Coupon, 12/15/95

 

 

896,112

 

 

470

 

Cincinnati Bell, Inc., 7.25%, 7/15/13

 

 

488,800

 

 

460

5

Cricket Communications, Inc., 9.375%, 11/01/14

 

 

491,625

 

 

325

 

Deutsche Telekom Intl. Finance BV,
5.75%, 3/23/16 (Netherlands)

 

 

326,323

 

 

270

5

Digicel Group Ltd., 8.875%, 1/15/15 (Bermuda)

 

 

264,938

 

 

170

1

Hawaiian Telcom Communications, Inc., Ser. B, 10.86%, 5/01/13

 

 

173,825

 

 

515

 

Intelsat Corp., 9.00%, 6/15/16

 

 

564,569

 

 

 

 

Intelsat Ltd. (Bermuda)

 

 

 

 

 

120

1

8.872%, 1/15/15

 

 

122,770

 

 

450

 

9.25%, 6/15/16

 

 

495,000

 

 

210

 

11.25%, 6/15/16

 

 

239,663

 

 

920

1

11.354%, 6/15/13

 

 

984,400

 

 

300

 

Intelsat Subsidiary Holding Co. Ltd., 8.625%, 1/15/15 (Bermuda)

 

 

320,625

 

 

935

5

Nordic Telephone Co. Holdings ApS, 8.875%, 5/01/16 (Denmark)

 

 

1,005,125

 


 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

Amount

 

 

 

 

 

 

(000)

 

Description

 

Value

 









 

 

 

Telecommunications—(cont’d)

 

 

 

 

 

 

 

Nortel Networks Ltd. (Canada)

 

 

 

 

$

585

1,5

9.606%, 7/15/11

 

$

625,950

 

 

200

5

10.125%, 7/15/13

 

 

220,500

 

 

160

 

PanAmSat Corp., 9.00%, 8/15/14

 

 

172,800

 

 

 

 

Qwest Corp.,

 

 

 

 

 

55

 

7.875%, 9/01/11

 

 

58,575

 

 

375

1

8.605%, 6/15/13

 

 

410,156

 

 

2,500

5

SBC Communications, Inc., 4.214%, 6/05/07

 

 

2,497,075

 

 

 

 

Sprint Capital Corp.,

 

 

 

 

 

1,205

 

6.875%, 11/15/28

 

 

1,195,736

 

 

1,250

 

8.75%, 3/15/32

 

 

1,475,182

 

 

4,375

 

Telecom Italia Capital S.A., 4.95%, 9/30/14 (Luxembourg)

 

 

4,168,566

 

 

1,000

 

Telefonica Emisones SAU, 7.045%, 6/20/36 (Spain)

 

 

1,072,928

 

 

575

 

Verizon Global Funding Corp., 7.75%, 6/15/32

 

 

673,395

 

 

 

 

Verizon Maryland, Inc.,

 

 

 

 

 

540

 

5.125%, 6/15/33

 

 

454,099

 

 

1,355

 

Ser. A, 6.125%, 3/01/12

 

 

1,397,531

 

 

750

 

Verizon Virginia, Inc., 4.625%, 3/15/13

 

 

714,174

 

 

 

 

Vodafone Group Plc (United Kingdom)

 

 

 

 

 

1,700

1

5.41%, 6/29/07

 

 

1,700,008

 

 

1,615

1

5.44%, 12/28/07

 

 

1,615,743

 

 

1,000

 

7.75%, 2/15/10

 

 

1,065,864

 

 

1,210

5

West Corp., 11.00%, 10/15/16

 

 

1,321,925

 

 

360

5

Wind Acquisition Finance S.A., 10.75%, 12/01/15 (Luxembourg)

 

 

415,800

 

 

 

 

Windstream Corp.,

 

 

 

 

 

410

 

8.125%, 8/01/13

 

 

444,850

 

 

325

 

8.625%, 8/01/16

 

 

356,687

 

 

 

 

 

 



 

 

 

 

Total Telecommunications

 

 

28,431,319

 

 

 

 

 

 



 

 

 

 

Transportation—0.6%

 

 

 

 

 

120

 

American Airlines, Inc., Ser. 99-1, 7.324%, 4/15/11

 

 

121,800

 

 

1,000

 

Canadian National Railway Co., 6.375%, 10/15/11 (Canada)

 

 

1,044,659

 

 

450

 

CHC Helicopter Corp., 7.375%, 5/01/14 (Canada)

 

 

439,875

 

 

47

 

Horizon Lines LLC, 9.00%, 11/01/12

 

 

49,467

 

 

600

5

Navios Maritime Holdings, Inc., 9.50%, 12/15/14 (Marshall Islands)

 

 

631,500

 

 

 

 

 

 



 

 

 

 

Total Transportation

 

 

2,287,301

 

 

 

 

 

 



 

 

 

 

Total Corporate Bonds

 

 

208,769,990

 

 

 

 

 

 



 

 

 

 

U.S. Government and Agency Securities—11.5%

 

 

 

 

 

 

 

Overseas Private Investment Corp.,

 

 

 

 

 

350

 

4.09%, 5/29/12

 

 

332,033

 

 

979

1

4.30%, 5/29/12

 

 

954,286

 

 

734

 

4.64%, 5/29/12

 

 

725,611

 

 

415

 

4.68%, 5/29/12

 

 

397,943

 

 

3,144

 

4.87%, 5/29/12

 

 

3,135,478

 

 

3,909

1

5.40%, 5/29/12

 

 

4,100,245

 

 

6,055

 

Resolution Funding Corp., Ser. B, Zero Coupon, 4/15/30

 

 

1,934,809

 

See Notes to Financial Statements.

28



BlackRock Income Opportunity Trust (BNA) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

U.S. Government and Agency Securities—(cont’d)

 

 

 

 

$

884

 

Small Business Administration, Ser. 20K-1, 6.95%, 11/01/16

 

$

913,202

 

 

1,800

 

Tennessee Valley Authority, Ser. C, 5.88%, 4/01/36

 

 

1,972,181

 

 

8,770

2

U.S. Treasury Bonds, 4.75%, 2/15/37

 

 

8,675,456

 

 

8,678

2

U.S. Treasury Inflation Protected Bond, 2.00%, 1/15/26

 

 

8,238,779

 

 

12,805

2

U.S. Treasury Notes, 4.625%, 2/15/17

 

 

12,798,994

 

 

 

 

 

 



 

 

 

 

Total U.S. Government and Agency Securities

 

 

44,179,017

 

 

 

 

 

 



 

 

 

 

Trust Preferred Stock—0.6%

 

 

 

 

 

2,000

1,7

UBS Preferred Funding Trust I, 8.622%

 

 

2,207,582

 

 

 

 

 

 



 

 

 

 

Foreign Government Bond—1.2%

 

 

 

 

 

4,228

 

United Mexican States, 6.75%, 9/27/34

 

 

4,714,220

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

Shares

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

Common Stocks—0.0%

 

 

 

 

 

1,895

8

Critical Care Systems Intl., Inc.

 

 

11,844

 

 

 

 

 

 



 

 

 

 

Total Long-Term Investments
(cost $449,354,125)

 

 

448,621,855

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 



 

 

 

 

 

 

Contracts/

 

 

 

 

 

 

Notional

 

 

 

 

 

 

Amount

 

 

 

 

 

 

(000)

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

OUTSTANDING OPTIONS PURCHASED—0.3%

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

7,300

 

Trust pays 5.39%, Trust receives 3-month LIBOR, expires 3/19/12

 

 

313,900

 

 

7,300

 

Trust pays 3-month LIBOR, Trust receives 5.39%, expires 3/19/12

 

 

254,259

 

 

8,000

 

Trust pays 5.40%, Trust receives 3-month LIBOR, expires 7/27/07

 

 

25,348

 

 

5,500

 

Trust pays 5.52%, Trust receives 3-month LIBOR, expires 9/21/36

 

 

321,097

 

 

5,500

 

Trust pays 3-month LIBOR, Trust receives 5.52%, expires 9/21/36

 

 

277,552

 

 

61

 

U.S. Treasury Notes Future, expiring 6/16/07

 

 

953

 

 

 

 

 

 



 

 

 

 

Total Outstanding Options Purchased
(cost $1,329,528)

 

 

1,193,109

 

 

 

 

 

 



 

 

 

 

Total investments before TBA sale commitment and outstanding options written
(cost $450,683,6539)

 

 

449,814,964

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 



 

 

 

 

 

 

Principal

 

 

 

 

 

 

Amount

 

 

 

 

 

 

(000)

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

TBA SALE COMMITMENT—(6.4)%

 

 

 

 

$

(24,900

)

Federal National Mortgage Assoc., TBA,
5.50%, 5/14/37 (proceeds $24,627,656)

 

 

(24,619,875

)

 

 

 

 

 



 


 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

Description

 

Value

 









 

 

 

OUTSTANDING OPTIONS WRITTEN—(0.4)%

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

(7,300

)

Trust pays 3-month LIBOR, Trust receives 5.148%, expires 3/19/08

 

$

(161,841

)

 

(7,300

)

Trust pays 5.115%, Trust receives 3-month LIBOR, expires 3/19/08

 

 

(117,676

)

 

(5,700

)

Trust pays 5.135%, Trust receives 3-month LIBOR, expires 4/21/08

 

 

(104,642

)

 

(5,700

)

Trust pays 3-month LIBOR, Trust receives 5.135%, expires 4/21/08

 

 

(104,642

)

 

(12,400

)

Trust pays 3-month LIBOR, Trust receives 5.67%, expires 1/04/10

 

 

(276,706

)

 

(12,400

)

Trust pays 5.67%, Trust receives 3-month LIBOR, expires 1/04/10

 

 

(544,323

)

 

(5,300

)

Trust pays 5.485%, Trust receives 3-month LIBOR, expires 10/28/19

 

 

(193,409

)

 

(5,300

)

Trust pays 3-month LIBOR, Trust receives 5.485%, expires 10/28/19

 

 

(138,217

)

 

 

 

 

 



 

 

 

 

Total Outstanding Options Written
(premium received $2,478,560)

 

 

(1,641,456

)

 

 

 

 

 



 

 

 

 

Total investments net of TBA sale commitment and outstanding options written—110.0%

 

$

423,553,633

 

 

 

 

Liabilities in excess of other assets—(10.0)%

 

 

(38,642,762

)

 

 

 

 

 



 

 

 

 

Net Assets—100%

 

$

384,910,871

 

 

 

 

 

 



 



 

 

1

Variable rate security. Rate shown is interest rate as of April 30, 2007.

2

Entire or partial principal amount pledged as collateral for reverse repurchase agreements. See Note 4 in the Notes to Financial Statements for details of open reverse repurchase agreements.

3

Security, or a portion thereof, pledged as collateral with a value of $7,226,308 on 1,910 long U.S. Treasury Bonds futures contracts expiring June 2007, 721 short Eurodollar futures contracts expiring June 2007 to December 2007 and 719 short U.S. Treasury Note futures contracts expiring June 2007. The notional value of such contracts on April 30, 2007 was $33,630,859, with an unrealized loss of $384,757.

4

Represents an investment in an affiliate.

5

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of April 30, 2007, the Trust held 11.3% of its net assets, with a current market value of $43,385,078, in securities restricted as to resale.

6

Rate shown is effective yield of the underlying collateral as of April 30, 2007.

7

The security is a perpetual bond and has no stated maturity date.

8

Non-income producing security.

9

Cost for federal income tax purposes is $451,652,978. The net unrealized depreciation on a tax basis is $1,838,014, consisting of $6,333,598 gross unrealized appreciation and $8,171,612 gross unrealized depreciation.

For Trust compliance purposes, the Trust’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

 

 

KEY TO ABBREVIATIONS

LIBOR

London Interbank Offered Rate

TBA

To Be Announced

 

See Notes to Financial Statements.

29


PORTFOLIO OF INVESTMENTS
APRIL 30, 2007 (unaudited)

BlackRock Income Trust Inc. (BKT)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 








 

 

 

LONG-TERM INVESTMENTS—105.6%

 

 

 

 

 

 

 

Mortgage Pass-Through Securities—25.3%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

$

775

1

4.019%, 1/01/35

 

$

769,431

 

 

809

1

4.934%, 10/01/34

 

 

800,931

 

 

9,723

 

5.50%, 12/01/21-3/01/22

 

 

9,736,029

 

 

28

1

6.01%, 11/01/17

 

 

28,353

 

 

70

 

6.50%, 5/01/29-5/01/30

 

 

72,657

 

 

22

 

8.00%, 11/01/15

 

 

22,432

 

 

 

8.50%, 3/01/08

 

 

87

 

 

142

 

9.00%, 9/01/20

 

 

152,318

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

18,754

 

5.00%, 6/01/33-7/01/34

 

 

18,160,894

 

 

48,113

 

5.50%, 6/01/21-3/01/37

 

 

47,925,680

 

 

3,125

 

5.97%, 8/01/16

 

 

3,293,250

 

 

6,517

 

6.00%, 11/01/31-10/01/36

 

 

6,587,712

 

 

16,073

 

6.50%, 2/01/26-11/01/36

 

 

16,435,008

 

 

 

7.50%, 2/01/22

 

 

249

 

 

75

 

8.00%, 5/01/08-5/01/22

 

 

75,384

 

 

4

 

9.50%, 1/01/19-9/01/19

 

 

4,283

 

 

 

 

Government National Mortgage Assoc.,

 

 

 

 

 

49

 

7.00%, 10/15/17

 

 

50,620

 

 

437

 

7.50%, 8/15/21-12/15/23

 

 

453,520

 

 

226

 

8.00%, 10/15/22-2/15/29

 

 

241,799

 

 

21

 

9.00%, 6/15/18-9/15/21

 

 

22,864

 

 

 

 

 

 



 

 

 

 

Total Mortgage Pass-Through Securities

 

 

104,833,501

 

 

 

 

 

 



 

 

 

 

Federal Housing Administration Securities—2.0%

 

 

 

 

 

397

 

General Motors Acceptance Corp. Colonial, 7.40%, 12/01/22

 

 

401,404

 

 

 

 

General Motors Acceptance Corp. Projects,

 

 

 

 

 

292

2

Ser. 51, 7.43%, 2/01/23

 

 

295,534

 

 

491

 

Ser. 56, 7.43%, 11/01/22

 

 

497,297

 

 

50

3

Merrill Projects, Ser. 54, 7.43%, 5/15/23

 

 

51,029

 

 

782

 

Reilly Project, Ser. 41, 8.28%, 3/01/20

 

 

789,563

 

 

 

 

USGI Projects,

 

 

 

 

 

108

 

Ser. 87, 7.43%, 12/01/22

 

 

109,441

 

 

336

 

Ser. 99,7.43%, 10/01/23

 

 

340,144

 

 

5,562

 

Ser. 6094, 7.43%, 6/01/21

 

 

5,628,445

 

 

 

 

 

 



 

 

 

 

Total Federal Housing Administration Securities

 

 

8,112,857

 

 

 

 

 

 



 

 

 

 

Agency Multiple Class Mortgage Pass-Through Securities—28.1%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

4,472

1

Ser. 11, Class A9, 2.319%, 1/25/28

 

 

3,264,598

 

 

203

 

Ser. 19, Class F, 8.50%, 3/15/20

 

 

202,269

 

 

814

 

Ser. 40, Class K, 6.50%, 8/17/24

 

 

835,949

 

 

1

Ser. 192, Class U, 1,009.033%, 2/15/22

 

 

9

 

 

 

Ser. 1057, Class J, 1,008.001%, 3/15/21

 

 

1,722

 

 

3,000

 

Ser. 1598, Class J, 6.50%, 10/15/08

 

 

2,991,480

 

 

437

 

Ser. 1961, Class H, 6.50%, 5/15/12

 

 

441,843

 

 

9,110

 

Ser. 2218, Class Z, 8.50%, 3/15/30

 

 

9,983,777

 

 

14,295

 

Ser. 2461, Class Z, 6.50%, 6/15/32

 

 

14,788,518

 

 

10,200

 

Ser. 2542, Class UC, 6.00%, 12/15/22

 

 

10,572,439

 

 

2,475

 

Ser. 2562, Class PG, 5.00%, 1/15/18

 

 

2,444,896

 

 

928

 

Ser. 2564, Class NC, 5.00%, 2/15/33

 

 

886,408

 

 

2,050

 

Ser. 2750, Class TC, 5.25%, 2/15/34

 

 

2,028,606

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

Agency Multiple Class Mortgage Pass-Through Securities—(cont’d)

 

 

 

 

$

11,689

 

Ser. 2758, Class KV, 5.50%, 5/15/23

 

$

11,734,831

 

 

1,573

 

Ser. 2765, Class UA, 4.00%, 3/15/11

 

 

1,519,738

 

 

3,301

 

Ser. 2806, Class VC, 6.00%, 12/15/19

 

 

3,392,397

 

 

2,337

 

Ser. 2927, Class BZ, 5.50%, 2/15/35

 

 

2,277,669

 

 

2,667

 

Ser. 2996, Class MK, 5.50%, 6/15/35

 

 

2,692,501

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

1,256

1

Ser. 2, Class KP, 1.133%, 2/25/35

 

 

1,174,544

 

 

4,996

 

Ser. 28, Class PB, 6.00%, 8/25/28

 

 

5,014,496

 

 

2,307

 

Ser. 29, Class HC, 7.50%, 7/25/30

 

 

2,445,614

 

 

2,294

 

Ser. 31, Class ZG, 7.50%, 5/25/34

 

 

2,783,937

 

 

7,503

 

Ser. 32, Class VT, 6.00%, 9/25/15

 

 

7,636,928

 

 

61

1

Ser. 38, Class F, 8.325%, 4/25/21

 

 

63,380

 

 

4,395

 

Ser. 38, Class Z, 5.00%, 5/25/36

 

 

4,369,279

 

 

2,891

 

Ser. 68, Class PC, 5.50%, 7/25/35

 

 

2,912,592

 

 

12,264

 

Ser. 135, Class PB, 6.00%, 1/25/34

 

 

12,483,816

 

 

 

 

Government National Mortgage Assoc.,

 

 

 

 

 

1,151

 

Ser. 5, Class Z, 7.00%, 5/16/26

 

 

1,197,628

 

 

1,932

 

Ser. 33, Class PB, 6.50%, 7/20/31

 

 

1,970,018

 

 

4,357

 

Ser. 89, Class PE, 6.00%, 10/20/34

 

 

4,473,538

 

 

 

 

 

 



 

 

 

 

Total Agency Multiple Class Mortgage Pass-Through Securities

 

 

116,585,420

 

 

 

 

 

 



 

 

 

 

Non-Agency Multiple Class Mortgage Pass-Through Securities—8.2%

 

 

 

 

 

6,570

 

CWALT, Inc., Ser. 28CB, Class 1A5, 5.50%, 8/25/35

 

 

6,576,806

 

 

1,726

 

MASTR Alternative Loan Trust, Ser. 7, Class 4A3, 8.00%, 11/25/18

 

 

1,828,877

 

 

7,928

 

MASTR Asset Securitization Trust, Ser. 12, Class 3A5, 5.25%, 10/25/14

 

 

7,815,210

 

 

6,211

1

Residential Asset Securitization Trust, Ser. A8, Class A2, 5.67%, 10/25/18

 

 

6,193,591

 

 

10,551

 

Residential Funding Securities Corp., Ser. RM2, Class AI5, 8.50%, 5/25/33

 

 

11,377,614

 

 

22

1,4

Summit Mortgage Trust, Ser. 1, Class B1, 6.596%, 12/28/12

 

 

21,828

 

 

 

 

 

 



 

 

 

 

Total Non-Agency Multiple Class Mortgage Pass-Through Securities

 

 

33,813,926

 

 

 

 

 

 



 

 

 

 

Inverse Floating Rate Mortgage Securities—3.1%

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

34

1

Ser. 1160, Class F, 17.319%, 10/15/21

 

 

34,629

 

 

163

1,5

Ser. 1616, Class SB, 8.50%, 11/15/08

 

 

163,008

 

 

459

1

Ser. 1688, Class S, 9.549%, 12/15/13

 

 

465,917

 

 

3,957

1

Ser. 3167, Class SX, 5.58%, 6/15/36

 

 

3,933,489

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

1

Ser. 7, Class S, 541.833%, 3/25/21

 

 

6,872

 

 

1

1

Ser. 17, Class S, 531.967%, 6/25/21

 

 

10,291

 

 

62

1

Ser. 38, Class SA, 10.186%, 4/25/21

 

 

65,891

 

 

1

Ser. 46, Class S, 1,295.281%, 5/25/21

 

 

7,980

 

 

1

Ser. 49, Class S, 479.05%, 12/25/21

 

 

3,636

 

 

196

1

Ser. 72, Class S, 8.75%, 5/25/08

 

 

198,990

 

 

6,307

1

Ser. 73, Class DS, 3.718%, 8/25/35

 

 

6,039,926

 

 

136

1

Ser. 87, Class S, 12.522%, 8/25/21

 

 

162,980

 

 

71

1

Ser. 93, Class S, 8.50%, 5/25/08

 

 

71,391

 

 

27

1

Ser. 170, Class SC, 9.00%, 9/25/08

 

 

27,740

 

See Notes to Financial Statements.

30



BlackRock Income Trust Inc. (BKT) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Inverse Floating Rate Mortgage Securities—(cont’d)

 

 

 

 

$

407

1

Ser. 196, Class SC, 8.124%, 10/25/08

 

$

412,088

 

 

182

1

Ser. 214, Class SH, 4.359%, 12/25/08

 

 

182,122

 

 

984

1

Ser. 247, Class SN, 10.00%, 12/25/23

 

 

1,074,407

 

 

118

1

Kidder Peabody Acceptance Corp., Ser. 1, Class A6, 6.741%, 8/25/23

 

 

117,867

 

 

 

 

 

 



 

 

 

 

Total Inverse Floating Rate Mortgage Securities

 

 

12,979,224

 

 

 

 

 

 



 

 

 

 

Interest Only Asset-Backed Securities—0.2%

 

 

 

 

 

563

1,4

Morgan Stanley Capital Trust I, Ser. HF1, Class X, 1.915%, 6/15/17

 

 

1,253

 

 

 

 

Sterling Coofs Trust,

 

 

 

 

 

20,229

 

Ser. 1, 2.362%, 4/15/29

 

 

606,857

 

 

15,189

 

Ser. 2, 2.126%, 3/30/30

 

 

417,697

 

 

 

 

 

 



 

 

 

 

Total Interest Only Asset-Backed Securities

 

 

1,025,807

 

 

 

 

 

 



 

 

 

 

Interest Only Mortgage-Backed Securities—12.6%

 

 

 

 

 

1,635

 

ABN Amro Mortgage Corp., Ser. 4, Class A2, 5.50%, 3/25/33

 

 

60,810

 

 

241,128

1

Banc of America Mortgage Securities, Inc., Ser. 3, Class 1A, 0.285%, 5/25/18

 

 

1,587,542

 

 

70,676

1

Commercial Mortgage Acceptance Corp., Ser. ML1, 0.922%, 11/15/17

 

 

826,169

 

 

7,564

1,4

Credit Suisse First Boston Mortgage Securities Corp., Ser. C1, Class AX, 1.791%, 6/20/29

 

 

312,273

 

 

153,396

1

CWALT, Inc., Ser. 79CB, Class A2, Zero Coupon, 1/25/36

 

 

829,106

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

3,330

1

Ser. 60, Class HS, 0.625%, 4/25/24

 

 

20,608

 

 

 

Ser. 176, Class M, 1,010.00%, 7/15/21

 

 

80

 

 

 

Ser. 200, Class R, 93,522.906%, 12/15/22

 

 

387

 

 

1,874

 

Ser. 204, Class IO, 6.00%, 5/01/29

 

 

400,890

 

 

15

1

Ser. 1043, Class H, 20.813%, 2/15/21

 

 

15,539

 

 

1

Ser. 1054, Class I, 413.56%, 3/15/21

 

 

228

 

 

 

Ser. 1056, Class KD, 1,084.50%, 3/15/21

 

 

1,511

 

 

1

Ser. 1148, Class E, 563.074%, 10/15/21

 

 

615

 

 

 

Ser. 1179, Class O, 1,009.389%, 11/15/21

 

 

107

 

 

232

 

Ser. 1706, Class IA, 7.00%, 10/15/23

 

 

11,541

 

 

79

 

Ser. 1720, Class PK, 7.50%, 1/15/24

 

 

5,567

 

 

3,330

 

Ser. 1914, Class PC, 0.75%, 12/15/11

 

 

38,390

 

 

839

1

Ser. 2296, Class SA, 2.43%, 3/15/16

 

 

45,861

 

 

442

1

Ser. 2444, Class ST, 2.65%, 9/15/29

 

 

14,349

 

 

132

 

Ser. 2513, Class BI, 5.50%, 12/15/15

 

 

1,361

 

 

1,543

 

Ser. 2542, Class MX, 5.50%, 5/15/22

 

 

276,320

 

 

2,888

 

Ser. 2545, Class NI, 5.50%, 3/15/22

 

 

417,661

 

 

764

1

Ser. 2559, Class IO, 0.768%, 8/15/30

 

 

6,180

 

 

4,674

 

Ser. 2561, Class EW, 5.00%, 9/15/16

 

 

427,071

 

 

11,350

 

Ser. 2611, Class QI, 5.50%, 9/15/32

 

 

1,989,755

 

 

2,753

 

Ser. 2633, Class PI, 4.50%, 3/15/12

 

 

39,224

 

 

16,760

1

Ser. 2647, Class IV, 0.45%, 7/15/33

 

 

959,003

 

 

3,539

 

Ser. 2653, Class MI, 5.00%, 4/15/26

 

 

322,832

 

 

5,425

 

Ser. 2658, Class PI, 4.50%, 6/15/13

 

 

176,153

 

 

4,033

 

Ser. 2672, Class TQ, 5.00%, 3/15/23

 

 

134,618

 

 

601

 

Ser. 2676, Class JI, 5.50%, 8/15/13

 

 

884

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Interest Only Mortgage-Backed Securities—(cont’d)

 

 

 

 

$

3,633

 

Ser. 2687, Class IL, 5.00%, 9/15/18

 

$

424,775

 

 

4,783

 

Ser. 2687, Class IQ, 5.50%, 9/15/22

 

 

79,703

 

 

4,729

 

Ser. 2693, Class IB, 4.50%, 6/15/13

 

 

162,090

 

 

2,761

 

Ser. 2694, Class LI, 4.50%, 7/15/19

 

 

196,659

 

 

5,121

 

Ser. 2773, Class OX, 5.00%, 2/15/18

 

 

619,871

 

 

16,985

1

Ser. 2780, Class SM, 0.68%, 4/15/34

 

 

152,022

 

 

13

 

Ser. 2786, Class PI, 4.50%, 10/15/10

 

 

2

 

 

6,727

 

Ser. 2825, Class NI, 5.50%, 3/15/30

 

 

1,533,733

 

 

18,066

1

Ser. 2865, Class SR, 0.405%, 10/15/33

 

 

668,563

 

 

12,235

1

Ser. 2865, Class SV, 0.584%, 10/15/33

 

 

659,232

 

 

1,922

 

Ser. 2949, Class IO, 5.50%, 3/15/35

 

 

202,382

 

 

35,670

1

Ser. 2990, Class WR, 1.306%, 6/15/35

 

 

1,863,631

 

 

101,782

1

Ser. 3122, Class IS, 1.38%, 3/15/36

 

 

4,878,743

 

 

95,868

1

Ser. 3225, Class EY, 0.97%, 10/15/36

 

 

4,125,727

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

226

 

Ser. 5, Class H, 9.00%, 1/25/22

 

 

54,499

 

 

13

 

Ser. 7, Class 2, 8.50%, 4/01/17

 

 

2,477

 

 

4,411

 

Ser. 9, Class BI, 5.50%, 10/25/22

 

 

622,097

 

 

1

1

Ser. 10, Class S, 524.318%, 5/25/21

 

 

20,778

 

 

1

 

Ser. 12, Class C, 1,016.897%, 2/25/22

 

 

16,815

 

 

1

1

Ser. 12, Class S, 553.577%, 5/25/21

 

 

17,151

 

 

4,888

 

Ser. 13, Class IG, 5.00%, 10/25/22

 

 

189,381

 

 

2,520

 

Ser. 16, Class PI, 5.00%, 11/25/12

 

 

21,325

 

 

1

 

Ser. 33, Class PV, 1,078.42%, 10/25/21

 

 

24,302

 

 

1,159

1

Ser. 33, Class SG, 2.756%, 3/25/09

 

 

27,233

 

 

53,218

1

Ser. 36, Class SP, 1.38%, 5/25/36

 

 

3,175,209

 

 

 

Ser. 38, Class N, 1,008.50%, 4/25/21

 

 

630

 

 

1,045

 

Ser. 43, Class LC, 6.00%, 3/25/34

 

 

262,562

 

 

1

 

Ser. 50, Class G, 1,158.628%, 12/25/21

 

 

11,674

 

 

749

1

Ser. 50, Class SI, 1.20%, 4/25/23

 

 

27,076

 

 

4,625

 

Ser. 51, Class IE, 5.50%, 4/25/26

 

 

147,643

 

 

6,044

 

Ser. 55, Class GI, 5.00%, 7/25/19

 

 

595,390

 

 

13,278

1

Ser. 55, Class SB, 0.83%, 7/25/35

 

 

473,776

 

 

4,077

1

Ser. 59, Class S, 4.924%, 10/25/22

 

 

632,270

 

 

650

1

Ser. 60, Class SB, 1.60%, 10/25/22

 

 

31,478

 

 

322

 

Ser. 62, Class IC, 5.50%, 7/25/15

 

 

7,533

 

 

5,899

 

Ser. 66, Class CI, 5.00%, 7/25/33

 

 

1,237,708

 

 

2,265

1

Ser. 68, Class SC, 2.756%, 1/25/24

 

 

122,500

 

 

14,882

1

Ser. 73, Class ST, 0.81%, 8/25/35

 

 

508,238

 

 

6,389

 

Ser. 88, Class TI, 4.50%, 11/25/13

 

 

201,442

 

 

24

 

Ser. 89, Class 2, 8.00%, 6/01/18

 

 

5,357

 

 

32,838

1

Ser. 90, Class JH, 1.38%, 11/25/34

 

 

1,611,153

 

 

14,206

 

Ser. 90, Class M, 6.00%, 1/25/28

 

 

2,910,406

 

 

7

 

Ser. 94, Class 2, 9.50%, 8/01/21

 

 

1,605

 

 

 

Ser. 99, Class L, 930.00%, 8/25/21

 

 

7,527

 

 

3,741

 

Ser. 122, Class IC, 5.00%, 9/25/18

 

 

449,495

 

 

 

Ser. 123, Class M, 1,009.50%, 10/25/20

 

 

1,306

 

 

28

1

Ser. 136, Class S, 14.746%, 11/25/20

 

 

33,887

 

 

 

Ser. 139, Class PT, 648.35%, 10/25/21

 

 

8,495

 

 

1

Ser. 141, Class SA, 13.625%, 8/25/07

 

 

8

 

 

2,411

1

Ser. 199, Class SB, 2.156%, 10/25/23

 

 

147,759

 

 

689

 

Ser. W4, Class IO, 6.50%, 12/25/28

 

 

156,552

 

 

98

 

First Boston Mortgage Securities Corp.,
Ser. C, Class I, 10.965%, 4/25/17

 

 

25,381

 

See Notes to Financial Statements.

31



BlackRock Income Trust Inc. (BKT) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Interest Only Mortgage-Backed Securities—(cont’d)

 

 

 

 

 

 

 

First Horizon Alternative Mortgage Securities,

 

 

 

 

$

49,865

1

Ser. FA2, Class 1A4, 0.18%, 5/25/36

 

$

231,100

 

 

78,150

1

Ser. FA7, Class 1A7, Zero Coupon, 10/25/35

 

 

863,521

 

 

195,278

1

Ser. FA9, Class A2, Zero Coupon, 12/25/35

 

 

550,215

 

 

14,599

1

General Motors Acceptance Corp., Commercial Mortgage Securities, Inc., Ser. C1, Class X, 1.513%, 7/15/27

 

 

390,066

 

 

8,896

1,4

Goldman Sachs Mortgage Securities Corp., Ser. 5, 0.988%, 2/19/25

 

 

188,230

 

 

 

 

Government National Mortgage Assoc.,

 

 

 

 

 

1,890

 

Ser. 39, Class ID, 5.00%, 5/20/33

 

 

476,041

 

 

2,228

 

Ser. 58, Class IT, 5.50%, 7/20/33

 

 

303,186

 

 

4,732

 

Ser. 75, Class IJ, 5.50%, 7/20/25

 

 

94,837

 

 

18,701

1

Ser. 89, Classl SA, 0.58%, 10/16/33

 

 

609,117

 

 

161,549

 

Indymac Index Mortgage Loan Trust, Ser. AR33, Class 4AX, 0.165%, 1/25/37

 

 

656,293

 

 

77

 

Kidder Peabody Acceptance Corp., Ser. B, Class A2, 9.50%, 4/22/18

 

 

16,105

 

 

26,661

 

MASTR Adjustable Rate Mortgages Trust, Ser. 3, Class 3AX, 0.977%, 4/25/34

 

 

492,696

 

 

1,470

 

MASTR Alternative Loan Trust, Ser. 9, Class 15X2, 6.00%, 1/25/19

 

 

251,512

 

 

1,856

 

Morgan Stanley Capital Trust I, Ser. 3, Class 1AX, 5.00%, 5/25/19

 

 

277,205

 

 

156,526

1

Residential Accredit Loans, Inc., Ser. QS16, Class A2, Zero Coupon, 11/25/35

 

 

311,424

 

 

83,758

1

Sequoia Mortgage Trust, Ser. 2, Class XA, 1.021%, 3/20/35

 

 

601,947

 

 

8,970

2

Small Business Administration, Ser. 1, 1.381%, 4/01/15

 

 

1

 

 

 

 

Structured Adjustable Rate Mortgage Loan Trust,

 

 

 

 

 

5,680

1

Ser. 18, Class 7AX, 5.50%, 9/25/35

 

 

1,006,068

 

 

16,283

1

Ser. 2, Class 4AX, 5.50%, 3/25/36

 

 

2,758,290

 

 

4,706

 

Ser. 20, Class 3AX, 5.50%, 10/25/35

 

 

764,702

 

 

47,983

1

Ser. 7, Class 3AS, 6.441%, 8/25/36

 

 

2,938,966

 

 

93,800

1

Vendee Mortgage Trust, Ser. 2, Class 1, 0.052%, 5/15/29

 

 

237,567

 

 

 

 

 

 



 

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

52,298,975

 

 

 

 

 

 



 

 

 

 

Principal Only Mortgage-Backed Securities—5.4%

 

 

 

 

 

 

 

Countrywide Home Loans, Inc.,

 

 

 

 

 

5,730

6

Ser. 26, 4.944%, 8/25/33

 

 

4,517,145

 

 

1,092

6

Ser. J4, 5.142%, 6/25/33

 

 

832,319

 

 

1,575

6

Ser. J5, 4.911%, 7/25/33

 

 

1,270,076

 

 

1,220

6

Ser. J8, 4.787%, 9/25/23

 

 

994,394

 

 

 

 

Drexel Burnham Lambert, Inc.,

 

 

 

 

 

27

6

Ser. K, Class 1, 11.50%, 9/23/17

 

 

26,413

 

 

325

6

Ser. V, Class 1, 11.50%, 9/01/18

 

 

300,724

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

254

6

Ser. 8, Class A10, 6.737%, 11/15/28

 

 

213,394

 

 

166

6

Ser. 1418, Class M, 7.50%, 11/15/22

 

 

155,068

 

 

577

6

Ser. 1571, Class G, 7.50%, 8/15/23

 

 

528,334

 

 

2,202

6

Ser. 1691, Class B, 7.50%, 3/15/24

 

 

1,911,323

 

 

205

6

Ser. 1739, Class B, 7.50%, 2/15/24

 

 

185,895

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

 

Value

 








 

 

 

Principal Only Mortgage-Backed Securities—(cont’d)

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

$

321

6

Ser. 2, Class KB, 8.00%, 1/25/23

 

$

268,714

 

 

46

6

Ser. 7, Class J, 10.00%, 2/25/21

 

 

38,824

 

 

980

6

Ser. 13, Class PR, 6.50%, 3/25/32

 

 

773,744

 

 

154

6

Ser. 51, Class E, 8.00%, 2/25/23

 

 

131,366

 

 

27

6

Ser. 70, Class A, 7.00%, 5/25/23

 

 

22,412

 

 

62

6

Ser. 167, Class D, 8.50%, 10/25/17

 

 

58,630

 

 

48

6

Ser. 203, Class 1, 8.00%, 2/01/23

 

 

41,252

 

 

33

6

Ser. 228, Class 1, 7.00%, 5/01/23

 

 

26,614

 

 

2,030

6

Ser. 249, Class B, 7.50%, 11/25/23

 

 

1,639,440

 

 

255

6

Ser. 273, Class 1, 7.00%, 7/01/26

 

 

208,354

 

 

4,775

6

Ser. 328, Class 1, 6.00%, 11/01/32

 

 

3,743,792

 

 

3,831

6

Ser. 338, Class 1, 5.50%, 6/01/33

 

 

2,924,391

 

 

361

6

Ser. W4, Class PO, 5.985%, 2/25/29

 

 

283,408

 

 

314

6

MASTR Asset Securitization Trust, Ser. 3, Class 4A15, 5.634%, 3/25/34

 

 

173,896

 

 

983

6

Residential Asset Securitization Trust, Ser. A15, Class 1A8, 5.713%, 2/25/36

 

 

525,701

 

 

14

2,6

Structured Mortgage Asset Residential Trust, Ser. 3C, Class CX, 7.031%, 4/25/24

 

 

13,351

 

 

999

6

Washington Mutual, Ser. 9, Class CP, 5.112%, 11/25/35

 

 

760,472

 

 

 

 

 

 



 

 

 

 

Total Principal Only Mortgage-Backed Securities

 

 

22,569,446

 

 

 

 

 

 



 

 

 

 

Collateralized Mortgage Obligation Residual Securities—0.0%

 

 

 

 

 

 

 

Collateralized Mortgage Obligation Trust,

 

 

 

 

 

 

Ser. 40, Class R, 580.50%, 4/01/18

 

 

347

 

 

 

Ser. 42, Class R, 6,000.00%, 10/01/14

 

 

4,335

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

Ser. 19, Class R, 9,427.227%, 3/15/20

 

 

3,344

 

 

 

Ser. 75, Class R, 9.50%, 1/15/21

 

 

5

 

 

 

Ser. 75, Class RS, 17.018%, 1/15/21

 

 

5

 

 

 

Ser. 173, Class R, 9.00%, 11/15/21

 

 

24

 

 

 

Ser. 173, Class RS, 9.113%, 11/15/21

 

 

25

 

 

13

 

Painewebber CMO Trust, Ser. 88 M, Class 6, 13.80%, 9/01/18

 

 

 

 

 

 

 

 



 

 

 

 

Total Collateralized Mortgage Obligation Residual Securities

 

 

8,085

 

 

 

 

 

 



 

 

 

 

U.S. Government and Agency Securities—19.4%

 

 

 

 

 

 

 

Overseas Private Investment Corp.,

 

 

 

 

 

318

 

4.09%, 5/29/12

 

 

301,848

 

 

890

1

4.30%, 5/29/12

 

 

867,533

 

 

668

 

4.64%, 5/29/12

 

 

659,646

 

 

377

 

4.68%, 5/29/12

 

 

361,766

 

 

2,858

 

4.87%, 5/29/12

 

 

2,850,435

 

 

3,554

1

5.40%, 5/29/12

 

 

3,727,495

 

 

13,000

 

Resolution Funding Corp., Ser. B, Zero Coupon, 4/15/30

 

 

4,154,007

 

 

 

 

Small Business Administration,

 

 

 

 

 

688

 

Ser. 20C-1, 7.15%, 3/01/17

 

 

714,377

 

 

742

 

Ser. 20E-1, 7.60%, 5/01/16

 

 

773,193

 

 

1,011

 

Ser. 20F-1, 7.55%, 6/01/16

 

 

1,052,745

 

 

613

 

Ser. 20G-1, 7.70%, 7/01/16

 

 

640,302

 

 

1,010

 

Ser. 20H-1, 7.25%, 8/01/16

 

 

1,049,248

 

 

1,673

 

Ser. 20K-1, 6.95%, 11/01/16

 

 

1,729,081

 

See Notes to Financial Statements.

32



BlackRock Income Trust Inc. (BKT) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

U.S. Government and Agency Securities—(cont’d)

 

 

 

 

$

19,400

5,7

U.S. Treasury Notes, 4.00%, 8/31/07

 

$

19,334,835

 

 

100,000

5,7

U.S. Treasury Strip, Zero Coupon, 11/15/24

 

 

42,200,400

 

 

 

 

 

 



 

 

 

 

Total U.S. Government and Agency Securities

 

 

80,416,911

 

 

 

 

 

 



 

 

 

 

Corporate Bond—0.7%

 

 

 

 

 

2,857

2

Structured Asset Receivable Trust, 5.114%, 1/21/10

 

 

2,855,424

 

 

 

 

 

 



 

 

 

 

Commercial Mortgage-Backed Security—0.6%

 

 

 

 

 

2,420

1

Credit Suisse Mortgage Capital Certificates,
Ser. C2, Class A3, 5.542%, 1/15/49

 

 

2,442,976

 

 

 

 

 

 



 

 

 

 

Total Long-Term Investments
(cost $455,226,074)

 

 

437,942,552

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 


 

 

 

 

 

 

Notional
Amount
(000)

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

OUTSTANDING OPTIONS PURCHASED—0.3%

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

7,300

 

Trust pays 3-month LIBOR, Trust receives 5.39%, expires 3/19/12

 

 

254,259

 

 

5,500

 

Trust pays 3-month LIBOR, Trust receives 5.52%, expires 9/21/36

 

 

277,552

 

 

7,300

 

Trust pays 5.39%, Trust receives 3-month LIBOR, expires 3/19/12

 

 

313,900

 

 

8,200

 

Trust pays 5.40%, Trust receives 3-month LIBOR, expires 7/27/07

 

 

25,982

 

 

5,500

 

Trust pays 5.52%, Trust receives 3-month LIBOR, expires 9/21/36

 

 

321,096

 

 

 

 

 

 



 

 

`

 

Total Outstanding Options Purchased
(cost $1,303,850)

 

 

1,192,789

 

 

 

 

 

 



 

 

 

 

Total investments before borrowed bonds, investments sold short, TBA sale commitments, and outstanding options written
(cost $456,529,9248)

 

 

439,135,341

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 


 

 

 

 

 

 

Principal
Amount
(000)

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

BORROWED BONDS—14.9%

 

 

 

 

$

32,808

9

U.S. Treasury Bonds, 5.00%, TBD

 

 

32,808,000

 

 

29,060

9

U.S. Treasury Notes, 5.00%, TBD

 

 

29,059,750

 

 

 

 

 

 



 

 

 

 

Total Borrowed Bonds
(cost $61,867,750)

 

 

61,867,750

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 








 

 

 

INVESTMENTS SOLD SHORT—(11.8)%

 

 

 

 

 

 

 

U.S. Treasury Bonds,

 

 

 

 

$

(12,930

)

5.375%, 2/15/31

 

$

(13,849,245

)

 

(15,750

)

6.25%, 8/15/23

 

 

(18,160,490

)

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

(14,900

)

4.00%, 2/15/15

 

 

(14,322,625

)

 

(2,500

)

5.125%, 5/15/16

 

 

(2,591,113

)

 

 

 

 

 



 

 

 

 

Total Investments Sold Short
(proceeds $49,629,126)

 

 

(48,923,473

)

 

 

 

 

 



 

 

 

 

TBA SALE COMMITMENTS—(4.8)%

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

(5,200

)

5.00%, 5/14/37

 

 

(5,022,877

)

 

(15,000

)

5.50%, 5/14/37

 

 

(14,831,250

)

 

 

 

 

 



 

 

 

 

Total TBA Sale Commitments
(proceeds $19,885,469)

 

 

(19,854,127

)

 

 

 

 

 



 


 

 

 

 

 

 

 

 


 

 

 

 

 

 

Notional
Amount
(000)

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

OUTSTANDING OPTIONS WRITTEN—(0.4)%

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

 

(5,700

)

Trust pays 3-month LIBOR, Trust receives 5.135%, expires 4/21/08

 

 

(104,642

)

 

(7,300

)

Trust pays 3-month LIBOR, Trust receives 5.148%, expires 3/19/08

 

 

(161,841

)

 

(5,400

)

Trust pays 3-month LIBOR, Trust receives 5.485%, expires 10/28/19

 

 

(140,825

)

 

(12,400

)

Trust pays 3-month LIBOR, Trust receives 5.67%, expires 1/04/10

 

 

(276,706

)

 

(7,300

)

Trust pays 5.115%, Trust receives 3-month LIBOR, expires 3/19/08

 

 

(117,676

)

 

(5,700

)

Trust pays 5.135%, Trust receives 3-month LIBOR, expires 4/21/08

 

 

(104,642

)

(5,400

)

Trust pays 5.485%, Trust receives 3-month LIBOR, expires 10/28/19

 

 

(197,058

)

 

(12,400

)

Trust pays 5.67%, Trust receives 3-month LIBOR, expires 1/04/10

 

 

(544,323

)

 

 

 

 

 



 

 

 

 

Total Outstanding Options Written
(premium received $2,486,055)

 

 

(1,647,713

)

 

 

 

 

 



 

 

 

 

Total investments net of borrowed bonds, investments sold short, TBA sale commitments and outstanding options written—103.8%

 

$

430,577,778

 

 

 

 

Liabilities in excess of other assets—(3.8)%

 

 

(15,685,340

)

 

 

 

 

 



 

 

 

 

Net Assets—100%

 

$

414,892,438

 

 

 

 

 

 



 

See Notes to Financial Statements.

33



BlackRock Income Trust Inc. (BKT) (continued)

 



 

 

1

Variable rate security. Rate shown is interest rate as of April 30, 2007.

2

Illiquid security. As of April 30, 2007, the Trust held 0.8% of its net assets, with a current market value of $3,164,310, in these securities.

3

Represents an investment in an affiliate.

4

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of April 30, 2007, the Trust held 0.1% of its net assets, with a current market value of $523,584, in securities restricted as to resale.

5

Security, or a portion thereof, pledged as collateral with a value of $8,748,968 on 1,092 long U.S. Treasury Note futures contracts expiring June 2007, 1,214 short Eurodollar futures contracts expiring June 2007 to September 2009 and 709 short U.S. Treasury Bond futures contracts expiring June 2007. The notional value of such contracts on April 30, 2007 was $250,399,713, with an unrealized gain of $1,296,868.

6

Rate shown is effective yield of the underlying collateral as of April 30, 2007.

7

Entire or partial principal amount pledged as collateral for reverse repurchase agreements. See Note 4 in the Notes to Financial Statements for details of open reverse repurchase agreements.

8

Cost for federal income tax purposes is $457,237,846. The net unrealized depreciation on a tax basis is $18,102,505, consisting of $11,101,899 gross unrealized appreciation and $29,204,404 gross unrealized depreciation.

9

The interest rate and maturity date shown represent the terms of the borrowed transaction, not the security borrowed.


 

 

 

KEY TO ABBREVIATIONS

 

 

 

LIBOR

London Interbank Offered Rate

   TBA

To Be Announced

   TBD

To Be Determined

See Notes to Financial Statements.

34



PORTFOLIO OF INVESTMENTS
APRIL 30, 2007 (unaudited)

BlackRock Limited Duration Income Trust (BLW)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

LONG-TERM INVESTMENTS—141.9%

 

 

 

 

 

 

 

Corporate Bonds—59.0%

 

 

 

 

 

 

 

Aerospace & Defense—1.5%

 

 

 

 

$

1,560

 

AAR Corp., Ser. A2, 8.39%, 5/15/11

 

$

1,575,600

 

 

745

1

Bombardier, Inc., 8.00%, 11/15/14 (Canada)

 

 

783,181

 

 

5,676

 

DI Finance/DynCorp Intl., Ser. B, 9.50%, 2/15/13

 

 

6,101,700

 

 

 

 

DRS Technologies, Inc.,

 

 

 

 

 

330

 

6.875%, 11/01/13

 

 

333,300

 

 

310

 

7.625%, 2/01/18

 

 

324,725

 

 

755

 

Sequa Corp., 9.00%, 8/01/09

 

 

798,413

 

 

570

1

TransDigm, Inc., 7.75%, 7/15/14

 

 

591,375

 

 

 

 

 

 



 

 

 

 

Total Aerospace & Defense

 

 

10,508,294

 

 

 

 

 

 



 

 

 

 

Automotive—2.4%

 

 

 

 

 

850

 

Accuride Corp., 8.50%, 2/01/15

 

 

877,625

 

 

 

 

AutoNation, Inc.,

 

 

 

 

 

690

 

7.00%, 4/15/14

 

 

693,450

 

 

690

2

7.356%, 4/15/13

 

 

696,037

 

 

130

1,2

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 7.86%, 5/15/14

 

 

133,575

 

 

7,500

3

DaimlerChrysler NA Holding Corp., 4.05%, 6/04/08

 

 

7,395,345

 

 

500

 

Ford Capital BV, 9.50%, 6/01/10 (Netherlands)

 

 

502,500

 

 

2,225

 

Lear Corp., Ser. B, 8.75%, 12/01/16

 

 

2,166,594

 

 

1,000

3

Metaldyne Corp., 11.00%, 11/01/13

 

 

1,030,000

 

 

3,500

 

Sonic Automotive, Inc., Ser. B, 8.625%, 8/15/13

 

 

3,648,750

 

 

 

 

 

 



 

 

 

 

Total Automotive

 

 

17,143,876

 

 

 

 

 

 



 

 

 

 

Basic Materials—5.5%

 

 

 

 

 

1,630

 

Abitibi-Consolidated, Inc., 6.00%, 6/20/13 (Canada)

 

 

1,409,950

 

 

2,200

 

AK Steel Corp., 7.75%, 6/15/12

 

 

2,271,500

 

 

1,100

1

American Pacific Corp., 9.00%, 2/01/15

 

 

1,105,500

 

 

670

2

Bowater, Inc., 8.355%, 3/15/10

 

 

673,350

 

 

120

 

Chemtura Corp., 6.875%, 6/01/16

 

 

118,200

 

 

750

 

CPG Intl. I, Inc., 10.50%, 7/01/13

 

 

787,500

 

 

 

 

Domtar, Inc. (Canada)

 

 

 

 

 

300

 

7.125%, 8/15/15

 

 

305,625

 

 

140

 

7.875%, 10/15/11

 

 

148,225

 

 

740

 

Donohue Forest Products, 7.625%, 5/15/07 (Canada)

 

 

740,000

 

 

 

 

Freeport-McMoRan Copper & Gold, Inc.,

 

 

 

 

 

4,280

3

8.375%, 4/01/17

 

 

4,681,250

 

 

750

2

8.564%, 4/01/15

 

 

790,313

 

 

 

 

Huntsman LLC,

 

 

 

 

 

1,950

3

11.625%, 10/15/10

 

 

2,101,125

 

 

310

 

12.00%, 7/15/12

 

 

345,650

 

 

 

 

Ineos Group Holdings Plc (United Kingdom)

 

 

 

 

 

2,885

1

8.50%, 2/15/16

 

 

2,791,237

 

 

1,490

 

(EUR), 7.875%, 2/07/16

 

 

1,921,494

 

 

2,225

 

Innophos, Inc., 8.875%, 8/15/14

 

 

2,330,688

 

 

980

1

Key Plastics LLC/Key Plastics Finance Corp., 11.75%, 3/15/13

 

 

989,800

 

 

 

 

Lyondell Chemical Co.,

 

 

 

 

 

1,100

 

8.00%, 9/15/14

 

 

1,152,250

 


 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

 

Value

 


 

 

 

Basic Materials—(cont’d)

 

 

 

 

$

1,835

 

8.25%, 9/15/16

 

$

1,963,450

 

 

560

 

10.50%, 6/01/13

 

 

613,900

 

 

3,020

3

11.125%, 7/15/12

 

 

3,216,300

 

 

215

 

Nalco Co., 8.875%, 11/15/13

 

 

230,050

 

 

 

 

NewPage Corp.,

 

 

 

 

 

810

 

10.00%, 5/01/12

 

 

895,050

 

 

1,500

2,3

11.606%, 5/01/12

 

 

1,663,125

 

 

300

 

12.00%, 5/01/13

 

 

333,375

 

 

2,690

2

Nova Chemicals Corp., 8.502%, 11/15/13 (Canada)

 

 

2,737,075

 

 

2,020

1

Pregis Corp., 12.375%, 10/15/13

 

 

2,222,000

 

 

730

1

Terra Capital, Inc., 7.00%, 2/01/17

 

 

715,400

 

 

60

1

Verso Paper Holdings LLC/Verson Paper, Inc., 11.375%, 8/01/16

 

 

64,200

 

 

 

 

 

 



 

 

 

 

Total Basic Materials

 

 

39,317,582

 

 

 

 

 

 



 

 

 

 

Building & Development—0.9%

 

 

 

 

 

3,000

3

DR Horton, Inc., 5.875%, 7/01/13

 

 

2,924,886

 

 

 

 

Goodman Global Holding Co., Inc.,

 

 

 

 

 

2,000

 

7.875%, 12/15/12

 

 

2,015,000

 

 

269

2

8.36%, 6/15/12

 

 

273,035

 

 

890

 

Nortek, Inc., 8.50%, 9/01/14

 

 

881,100

 

 

270

 

North American Energy Partners, Inc., 8.75%, 12/01/11 (Canada)

 

 

278,100

 

 

 

 

 

 



 

 

 

 

Total Building & Development

 

 

6,372,121

 

 

 

 

 

 



 

 

 

 

Commercial Services—0.2%

 

 

 

 

 

350

 

FTI Consulting, Inc., 7.75%, 10/01/16

 

 

365,313

 

 

875

1

Quebecor World, Inc., 9.75%, 1/15/15 (Canada)

 

 

923,125

 

 

 

 

 

 



 

 

 

 

Total Commercial Services

 

 

1,288,438

 

 

 

 

 

 



 

 

 

 

Conglomerates—1.1%

 

 

 

 

 

7,500

3

Tyco Intl. Group S.A., 6.125%, 11/01/08 (Luxembourg)

 

 

7,609,560

 

 

 

 

 

 



 

 

 

 

Consumer Products—5.3%

 

 

 

 

 

2,085

2

Ames True Temper, Inc., 9.356%, 1/15/12

 

 

2,126,700

 

 

 

 

General Nutrition Centers, Inc.,

 

 

 

 

 

2,250

1

9.796%, 3/15/14

 

 

2,202,187

 

 

1,880

1

10.75%, 3/15/15

 

 

1,875,300

 

 

5,000

3

Group 1 Automotive, Inc., 8.25%, 8/15/13

 

 

5,175,000

 

 

4,400

3

JC Penney Co., Inc., 8.00%, 3/01/10

 

 

4,708,902

 

 

1,505

 

Lazy Days RV Center, Inc., 11.75%, 5/15/12

 

 

1,557,675

 

 

 

 

Michaels Stores, Inc.,

 

 

 

 

 

2,210

1

10.00%, 11/01/14

 

 

2,425,475

 

 

2,496

1

11.375%, 11/01/16

 

 

2,751,564

 

 

173

 

Neiman-Marcus Group, Inc., 9.00%, 10/15/15

 

 

190,733

 

 

210

1,2

Nutro Products, Inc., 9.37%, 10/15/13

 

 

214,725

 

 

600

 

Quiksilver, Inc., 6.875%, 4/15/15

 

 

585,000

 

 

1,000

 

Reynolds American, Inc., 7.625%, 6/01/16

 

 

1,094,090

 

 

 

 

Rite Aid Corp.,

 

 

 

 

 

3,320

 

7.50%, 3/01/17

 

 

3,311,700

 

 

5,000

3

8.125%, 5/01/10

 

 

5,162,500

 

 

1,7901,3

 

Sally Holdings LLC, 10.50%, 11/15/16

 

 

1,861,600

 

 

565

 

Spectrum Brands, Inc., 7.375%, 2/01/15

 

 

447,762

 

 

2,175

 

United Rentals NA, Inc., 7.00%, 2/15/14

 

 

2,218,500

 

 

 

 

 

 



 

 

 

 

Total Consumer Products

 

 

37,909,413

 

 

 

 

 

 



 

See Notes to Financial Statements.

35



BlackRock Limited Duration Income Trust (BLW) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

 

Value

 


 

 

 

Containers & Packaging—0.7%

 

 

 

 

 

 

 

Berry Plastics Holding Corp.,

 

 

 

 

$

1,210

 

8.875%, 9/15/14

 

$

1,246,300

 

 

835

2

9.23%, 9/15/14

 

 

853,788

 

 

885

 

Crown Americas LLC/Crown Americas Capital Corp., 7.75%, 11/15/15

 

 

935,887

 

 

585

 

Graham Packaging Co., Inc., 8.50%, 10/15/12

 

 

596,700

 

 

1,370

1,2

Impress Holdings BV, 8.481%, 9/15/13 (Netherlands)

 

 

1,402,501

 

 

 

 

 

 



 

 

 

 

Total Containers & Packaging

 

 

5,035,176

 

 

 

 

 

 



 

 

 

 

Ecological Services & Equipment—0.6%

 

 

 

 

 

2,000

 

Casella Waste Systems, Inc., 9.75%, 2/01/13

 

 

2,115,000

 

 

2,065

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

2,178,575

 

 

 

 

 

 



 

 

 

 

Total Ecological Services & Equipment

 

 

4,293,575

 

 

 

 

 

 



 

 

 

 

Energy—6.1%

 

 

 

 

 

5,500

1,3

AES Corp., 8.75%, 5/15/13

 

 

5,864,375

 

 

550

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

552,063

 

 

1,210

 

Chaparral Energy, Inc., 8.50%, 12/01/15

 

 

1,228,150

 

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

 

650

 

6.375%, 6/15/15

 

 

650,813

 

 

100

 

6.875%, 11/15/20

 

 

100,750

 

 

4,000

3

7.50%, 9/15/13

 

 

4,180,000

 

 

 

 

Compagnie Generale de Geophysique-Veritas (France)

 

 

 

 

 

255

 

7.50%, 5/15/15

 

 

267,750

 

 

420

 

7.75%, 5/15/17

 

 

445,200

 

 

925

 

Compton Petroleum Finance Corp., 7.625%, 12/01/13 (Canada)

 

 

918,062

 

 

1,640

 

East Cameron Gas Co., 11.25%, 7/09/19 (Cayman Islands)

 

 

1,574,400

 

 

590

 

Edison Mission Energy, 7.50%, 6/15/13

 

 

613,600

 

 

400

 

El Paso Corp., 7.80%, 8/01/31

 

 

446,000

 

 

400

 

El Paso Natural Gas Co., 8.875%, 6/15/32

 

 

499,556

 

 

161

 

Elwood Energy LLC, 8.159%, 7/05/26

 

 

170,716

 

 

 

 

Encore Acquisition Co.,

 

 

 

 

 

250

 

6.00%, 7/15/15

 

 

228,750

 

 

200

 

7.25%, 12/01/17

 

 

193,500

 

 

495

 

Exco Resources, Inc., 7.25%, 1/15/11

 

 

496,238

 

 

380

3

Grant Prideco, Inc., Ser. B, 6.125%, 8/15/15

 

 

377,150

 

 

895

 

KCS Energy, Inc., 7.125%, 4/01/12

 

 

886,050

 

 

4,324

3

Midwest Generation LLC, Ser. B, 8.56%, 1/02/16

 

 

4,767,502

 

 

625

 

Mirant Americas Generation LLC, 8.30%, 5/01/11

 

 

660,937

 

 

500

 

Mission Energy Holdings Co., 13.50%, 7/15/08

 

 

546,250

 

 

 

 

NRG Energy, Inc.,

 

 

 

 

 

210

 

7.25%, 2/01/14

 

 

217,350

 

 

1,185

 

7.375%, 2/01/16

 

 

1,230,919

 

 

1,990

1

OPTI, Inc., 8.25%, 12/15/14 (Canada)

 

 

2,104,425

 

 

580

 

Orion Power Holdings, Inc., 12.00%, 5/01/10

 

 

669,900

 

 

 

 

Reliant Energy, Inc.,

 

 

 

 

 

1,035

 

6.75%, 12/15/14

 

 

1,084,162

 

 

170

 

9.25%, 7/15/10

 

 

178,288

 

 

1,515

1

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

1,556,662

 


 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

 

Value

 


 

 

 

Energy—(cont’d)

 

 

 

 

$

1,240

1

SemGroup LP, 8.75%, 11/15/15

 

$

1,280,300

 

 

1,890

1,2

Stone Energy Corp., 8.106%, 7/15/10

 

 

1,890,000

 

 

5,000

 

Swift Energy Co., 9.375%, 5/01/12

 

 

5,225,000

 

 

725

1

Targa Resources, Inc., 8.50%, 11/01/13

 

 

746,750

 

 

1,550

 

Whiting Petroleum Corp., 7.25%, 5/01/12-5/01/13

 

 

1,519,400

 

 

 

 

 

 




 

 

 

Total Energy

 

 

43,370,968

 

 

 

 

 

 




 

 

 

Entertainment & Leisure—1.3%

 

 

 

 

 

505

 

AMC Entertainment, Inc., 11.00%, 2/01/16

 

 

579,487

 

 

370

 

Cinemark, Inc., Zero Coupon, 3/15/14

 

 

340,400

 

 

1,430

1

Greektown Holdings LLC, 10.75%, 12/01/13

 

 

1,533,675

 

 

1,100

 

Harrah’s Operating Co., Inc., 5.75%, 10/01/17

 

 

913,000

 

 

4,425

 

MGM Mirage, 9.75%, 6/01/07

 

 

4,441,594

 

 

250

 

Poster Financial Group, Inc., 8.75%, 12/01/11

 

 

260,000

 

 

1,255

1

TDS Investor, 9.875%, 9/01/14

 

 

1,342,850

 

 

100

 

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625%, 12/01/14

 

 

100,250

 

 

 

 

 

 



 

 

 

 

Total Entertainment & Leisure

 

 

9,511,256

 

 

 

 

 

 



 

 

 

 

Financial Institutions—6.7%

 

 

 

 

 

 

 

American Real Estate Partners LP/American Real Estate Finance Corp.,

 

 

 

 

 

1,480

3

7.125%, 2/15/13

 

 

1,455,950

 

 

5,860

3

8.125%, 6/01/11

 

 

5,977,200

 

 

790

1,2

BMS Holdings, Inc., 12.40%, 2/15/12

 

 

791,975

 

 

490

 

Britannia Bulk Plc, 11.00%, 12/01/11 (United Kingdom)

 

 

494,900

 

 

 

 

Ford Motor Credit Co.,

 

 

 

 

 

2,800

 

7.375%, 2/01/11

 

 

2,769,379

 

 

940

2

8.105%, 1/13/12

 

 

927,134

 

 

60

2

9.806%, 4/15/12

 

 

64,128

 

 

2,735

3

General Motors Acceptance Corp., 6.875%, 8/28/12

 

 

2,733,085

 

 

3,494

1

iPayment Investors LP, 11.625%, 7/15/14

 

 

3,633,496

 

 

950

 

iPayment, Inc., 9.75%, 5/15/14

 

 

989,187

 

 

900

 

K&F Acquisition, Inc., 7.75%, 11/15/14

 

 

963,000

 

 

5,000

1,3

Kazkommerts Intl. BV, 10.125%, 5/08/07 (Netherlands)

 

 

5,002,500

 

 

200

2

Marsh & McLennan Cos., Inc., 5.495%, 7/13/07

 

 

200,026

 

 

 

 

Momentive Performance Materials, Inc.,

 

 

 

 

 

3,430

1

10.125%, 12/01/14

 

 

3,635,800

 

 

1,310

1

11.50%, 12/01/16

 

 

1,401,700

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

 

925

1

8.75%, 9/01/12

 

 

987,438

 

 

4,835

1

10.375%, 9/01/14

 

 

5,445,419

 

 

1,480

 

Standard Aero Holdings, Inc., 8.25%, 9/01/14

 

 

1,602,100

 

 

5,146

4

Structured Asset Receivable Trust, 5.114%, 1/21/10

 

 

5,143,007

 

 

220

2

Universal City Florida Holding Co. I/II, 10.106%, 5/01/10

 

 

225,775

 

 

2,930

1

Wimar Opco LLC/Wimar Opco Finance Corp., 9.625%, 12/15/14

 

 

2,973,950

 

 

 

 

 

 



 

 

 

 

Total Financial Institutions

 

 

47,417,149

 

 

 

 

 

 



 

See Notes to Financial Statements.

36



BlackRock Limited Duration Income Trust (BLW) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

 

Value

 


 

 

 

Health Care—1.9%

 

 

 

 

$

5,000

3

Concentra Operating Corp., 9.50%, 8/15/10

 

$

5,275,000

 

 

 

 

HealthSouth Corp.,

 

 

 

 

 

860

1

10.75%, 6/15/16

 

 

937,400

 

 

1,390

1,2

11.354%, 6/15/14

 

 

1,511,625

 

 

3,000

 

Norcross Safety Products LLC/Norcross Capital Corp., 9.875%, 8/15/11

 

 

3,168,750

 

 

1,045

 

Tenet Healthcare Corp., 6.875%, 11/15/31

 

 

836,000

 

 

1,830

 

Universal Hospital Services, Inc., 10.125%, 11/01/11

 

 

1,960,563

 

 

 

 

 

 



 

 

 

 

Total Health Care

 

 

13,689,338

 

 

 

 

 

 



 

 

 

 

Industrials—2.3%

 

 

 

 

 

1,700

1

AGY Holding Corp., 11.00%, 11/15/14

 

 

1,787,125

 

 

4,000

 

Fasten Tech, Inc., 11.50%, 5/01/11

 

 

4,245,000

 

 

650

 

Hexcel Corp., 6.75%, 2/01/15

 

 

651,625

 

 

905

 

Park-Ohio Industries, Inc., 8.375%, 11/15/14

 

 

895,950

 

 

 

 

RBS Global, Inc./Rexnord Corp.,

 

 

 

 

 

2,000

 

9.50%, 8/01/14

 

 

2,140,000

 

 

1,430

 

11.75%, 8/01/16

 

 

1,587,300

 

 

3,125

1

Sunstate Equipment Co. LLC,

 

 

 

 

 

 

 

10.50%, 4/01/13

 

 

3,343,750

 

 

1,415

 

Trimas Corp., 9.875%, 6/15/12

 

 

1,468,063

 

 

 

 

 

 



 

 

 

 

Total Industrials

 

 

16,118,813

 

 

 

 

 

 



 

 

 

 

Media—9.1%

 

 

 

 

 

 

 

Affinion Group, Inc.,

 

 

 

 

 

1,975

 

10.125%, 10/15/13

 

 

2,152,750

 

 

850

 

11.50%, 10/15/15

 

 

935,000

 

 

420

 

American Media Operations, Inc., Ser. B, 10.25%, 5/01/09

 

 

395,850

 

 

800

2

Cablevision Systems Corp., Ser. B, 9.82%, 4/01/09

 

 

848,000

 

 

520

 

CanWest MediaWorks, Inc., 8.00%, 9/15/12 (Canada)

 

 

539,500

 

 

3,500

 

CBD Media, Inc., 8.625%, 6/01/11

 

 

3,679,375

 

 

950

 

CCH I Holdings LLC/CCH I Holdings Capital Corp., 11.00%, 10/01/15

 

 

1,009,375

 

 

 

 

Charter Communications Holdings II

 

 

 

 

 

 

 

LLC/Charter Communications Holdings II Capital Corp.,

 

 

 

 

 

2,255

 

10.25%, 9/15/10

 

 

2,401,575

 

 

865

 

Ser. B, 10.25%, 9/15/10

 

 

919,063

 

 

2,425

1

CMP Susquehanna Corp., 9.875%, 5/15/14

 

 

2,473,500

 

 

6,685

3

Comcast Cable Communications, Inc., 6.875%, 6/15/09

 

 

6,913,092

 

 

1,650

 

Dex Media West LLC/Dex Media Finance Co., Ser. B, 9.875%, 8/15/13

 

 

1,796,437

 

 

500

 

DirecTV Holdings LLC/DirecTV Financing Co., 8.375%, 3/15/13

 

 

527,500

 

 

 

 

EchoStar DBS Corp.,

 

 

 

 

 

2,800

 

5.75%, 10/01/08

 

 

2,803,500

 

 

1,330

 

7.00%, 10/01/13

 

 

1,381,538

 

 

200

 

7.125%, 2/01/16

 

 

208,250

 

 

2,525

1

Idearc, Inc., 8.00%, 11/15/16

 

 

2,635,469

 

 

300

1

Iesy Repository GMBH, 10.375%, 2/15/15 (Germany)

 

 

317,250

 

 

740

 

LIN Television Corp., 6.50%, 5/15/13

 

 

728,900

 

 

820

 

MediaNews Group, Inc., 6.875%, 10/01/13

 

 

746,200

 

 

2,105

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

2,157,625

 


 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

 

Value

 


 

 

 

Media—(cont’d)

 

 

 

 

$

2,790

 

Nexstar Finance, Inc., 7.00%, 1/15/14

 

$

2,713,275

 

 

 

 

Nielsen Finance LLC/Nielsen Finance Co.,

 

 

 

 

 

1,400

1

Zero Coupon, 8/01/16

 

 

1,011,500

 

 

4,340

1,3

10.00%, 8/01/14

 

 

4,741,450

 

 

2,000

1,2

Paxson Communications Corp., 8.606%, 1/15/12

 

 

2,040,000

 

 

1,900

 

Primedia, Inc., 8.00%, 5/15/13

 

 

1,976,000

 

 

4,260

3

RH Donnelley Corp., Ser. A-3, 8.875%, 1/15/16

 

 

4,622,100

 

 

2,000

 

Salem Communications Corp., 7.75%, 12/15/10

 

 

2,045,000

 

 

460

 

Sinclair Broadcast Group, Inc., 4.875%, 7/15/18

 

 

461,150

 

 

185

 

Sirius Satellite Radio, Inc., 9.625%, 8/01/13

 

 

185,000

 

 

1,965

1

Umbrella Acquisition, Inc., 9.75%, 3/15/15

 

 

1,979,737

 

 

 

 

Vertis, Inc.,

 

 

 

 

 

2,390

 

9.75%, 4/01/09

 

 

2,443,775

 

 

865

 

Ser. B, 10.875%, 6/15/09

 

 

857,431

 

 

4,442

 

Young Broadcasting, Inc., 10.00%, 3/01/11

 

 

4,519,735

 

 

 

 

 

 



 

 

 

 

Total Media

 

 

65,165,902

 

 

 

 

 

 



 

 

 

 

Real Estate—0.3%

 

 

 

 

 

2,000

3

Rouse Co., 5.375%, 11/26/13

 

 

1,885,294

 

 

 

 

 

 



 

 

 

 

Technology—3.8%

 

 

 

 

 

 

 

Amkor Technology, Inc.,

 

 

 

 

 

2,063

 

7.75%, 5/15/13

 

 

2,042,370

 

 

600

 

9.25%, 6/01/16

 

 

636,000

 

 

1,965

 

Celestica, Inc., 7.625%, 7/01/13 (Canada)

 

 

1,871,662

 

 

 

 

Freescale Semiconductor, Inc.,

 

 

 

 

 

5,460

1

9.125%, 12/15/14

 

 

5,432,700

 

 

600

1,2

9.23%, 12/15/14

 

 

600,000

 

 

430

1

Hynix Semiconductor, Inc.,

 

 

 

 

 

 

 

9.875%, 7/01/12 (South Korea)

 

 

479,450

 

 

2,700

1

NXP BV/NXP Funding LLC,

 

 

 

 

 

 

 

9.50%, 10/15/15 (Netherlands)

 

 

2,835,000

 

 

 

 

Sanmina-SCI Corp.,

 

 

 

 

 

125

 

6.75%, 3/01/13

 

 

118,750

 

 

1,710

3

8.125%, 3/01/16

 

 

1,673,663

 

 

1,340

 

Sensata Technologies, 8.00%, 5/01/14 (Netherlands)

 

 

1,343,350

 

 

 

 

SunGard Data Systems, Inc.,

 

 

 

 

 

590

 

9.125%, 8/15/13

 

 

632,775

 

 

2,600

 

10.25%, 8/15/15

 

 

2,860,000

 

 

3,765

 

Superior Essex Communications LLC/Essex Group, Inc., 9.00%, 4/15/12

 

 

3,915,600

 

 

872

1

UGS Capital Corp. II, 10.38%, 6/01/11

 

 

898,037

 

 

1,780

 

UGS Corp., 10.00%, 6/01/12

 

 

1,940,200

 

 

 

 

 

 



 

 

 

 

Total Technology

 

 

27,279,557

 

 

 

 

 

 



 

 

 

 

Telecommunications—8.4%

 

 

 

 

 

1,420

 

Cincinnati Bell, Inc., 7.25%, 7/15/13

 

 

1,476,800

 

 

1,830

1

Cricket Communications, Inc., 9.375%, 11/01/14

 

 

1,955,812

 

 

5,000

3

Deutsche Telekom Intl. Finance BV, 8.00%, 6/15/10 (Netherlands)

 

 

5,410,445

 

 

 

 

Digicel Group Ltd. (Bermuda)

 

 

 

 

 

1,120

1,3

8.875%, 1/15/15

 

 

1,099,000

 

 

2,695

1

9.125%, 1/15/15

 

 

2,614,150

 

 

860

2

Hawaiian Telcom Communications, Inc., Ser. B, 10.86%, 5/01/13

 

 

879,350

 

See Notes to Financial Statements.

37



BlackRock Limited Duration Income Trust (BLW) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Telecommunications—(cont’d)

 

 

 

 

$

2,495

 

Intelsat Corp., 9.00%, 6/15/16

 

$

2,735,144

 

 

 

 

Intelsat Ltd. (Bermuda)

 

 

 

 

 

415

2

8.872%, 1/15/15

 

 

424,580

 

 

1,800

 

9.25%, 6/15/16

 

 

1,980,000

 

 

630

 

11.25%, 6/15/16

 

 

718,988

 

 

2,815

2

11.354%, 6/15/13

 

 

3,012,050

 

 

1,470

 

Intelsat Subsidiary Holding Co. Ltd., 8.625%, 1/15/15 (Bermuda)

 

 

1,571,062

 

 

3,850

1

Nordic Telephone Co. Holdings ApS, 8.875%, 5/01/16 (Denmark)

 

 

4,138,750

 

 

 

 

Nortel Networks Ltd. (Canada)

 

 

 

 

 

2,220

1,2

9.606%, 7/15/11

 

 

2,375,400

 

 

465

1

10.125%, 7/15/13

 

 

512,663

 

 

3,517

 

PanAmSat Corp., 9.00%, 8/15/14

 

 

3,798,360

 

 

3,231

1,2

ProtoStar I Ltd., 12.50%, 10/15/12 (Bermuda)

 

 

3,456,865

 

 

4,000

2,3

Qwest Communications Intl., Inc., 8.86%, 2/15/09

 

 

4,040,000

 

 

 

 

Qwest Corp.,

 

 

 

 

 

1,000

3

7.875%, 9/01/11

 

 

1,065,000

 

 

2,500

2,3

8.605%, 6/15/13

 

 

2,734,375

 

 

3,675

3

9.125%, 3/15/12

 

 

4,060,875

 

 

3,595

1

West Corp., 11.00%, 10/15/16

 

 

3,927,537

 

 

1,500

1

Wind Acquisition Finance S.A., 10.75%, 12/01/15 (Luxembourg)

 

 

1,732,500

 

 

 

 

Windstream Corp.,

 

 

 

 

 

2,340

3

8.125%, 8/01/13

 

 

2,538,900

 

 

1,310

 

8.625%, 8/01/16

 

 

1,437,725

 

 

 

 

 

 



 

 

 

 

Total Telecommunications

 

 

59,696,331

 

 

 

 

 

 



 

 

 

 

Transportation—0.9%

 

 

 

 

 

520

 

American Airlines, Inc., Ser. 99-1, 7.324%, 4/15/11

 

 

527,800

 

 

1,715

 

CHC Helicopter Corp., 7.375%, 5/01/14 (Canada)

 

 

1,676,413

 

 

111

 

Horizon Lines LLC, 9.00%, 11/01/12

 

 

116,828

 

 

2,150

1

Navios Maritime Holdings, Inc., 9.50%, 12/15/14 (Marshall Islands)

 

 

2,262,875

 

 

1,650

 

Overseas Shipholding Group, Inc., 8.75%, 12/01/13

 

 

1,833,562

 

 

 

 

 

 



 

 

 

 

Total Transportation

 

 

6,417,478

 

 

 

 

 

 



 

 

 

 

Total Corporate Bonds

 

 

420,030,121

 

 

 

 

 

 



 

 

 

 

Bank Loans—55.8%

 

 

 

 

 

 

 

Aerospace & Defense—0.5%

 

 

 

 

 

970

 

Arinc, Inc., Loan B, LIBOR + 2.00%, 2/15/11

 

 

972,425

 

 

1,960

 

DI Finance/DynCorp Intl., Loan B, LIBOR + 2.25%, 1/31/11

 

 

1,972,250

 

 

469

 

Primus Intl., Inc., Loan B, LIBOR + 2.50%, 6/16/12

 

 

470,896

 

 

495

 

Wesco Aircraft Hardware Corp., First Lien Loan, LIBOR + 2.25%, 9/29/13

 

 

498,668

 

 

 

 

 

 



 

 

 

 

Total Aerospace & Defense

 

 

3,914,239

 

 

 

 

 

 



 

 

 

 

Automotive—2.4%

 

 

 

 

 

2,000

 

Goodyear Tire & Rubber Co., Third Lien Loan, LIBOR + 3.50%, 4/01/11

 

 

2,006,500

 

 

741

 

IAP Worldwide Services, Inc., First Lien Loan, LIBOR + 4.25%, 12/31/12

 

 

741,088

 


 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

 

Value

 


 

 

 

Automotive—(cont’d)

 

 

 

 

$

1,496

 

Keystone Automotive Industries, Inc., Loan B, LIBOR, 1/15/12

 

$

1,492,509

 

 

449

 

Lear Corp., First Lien Loan, LIBOR + 2.50%, 3/23/12

 

 

449,051

 

 

993

 

Mark IV Industries, Inc., First Lien Loan, LIBOR + 2.50%, 6/30/11

 

 

1,000,771

 

 

 

 

Metaldyne Corp.,

 

 

 

 

 

98

 

Deposit Funded Loan, LIBOR, 1/15/12

 

 

98,813

 

 

667

 

LIBOR, 1/15/14

 

 

671,925

 

 

499

 

Motorsport Aftermarket Group, Inc., LIBOR, 11/15/13

 

 

502,491

 

 

 

 

Navistar Intl. Corp.,

 

 

 

 

 

2,750

 

LIBOR + 3.25%, 1/30/12

 

 

2,784,947

 

 

1,000

 

Revolver Loan, LIBOR + 3.25%, 1/30/12

 

 

1,012,708

 

 

974

 

Rent-A-Center, Inc., Loan B, LIBOR + 1.75%, 6/30/12

 

 

975,516

 

 

 

 

Reynolds & Reynolds Co.,

 

 

 

 

 

1,990

 

LIBOR + 2.00%, 10/31/12

 

 

1,997,462

 

 

1,250

 

Second Lien Loan, LIBOR + 5.50%, 10/31/13

 

 

1,276,562

 

 

2,444

 

TRW Automotive Acquisitions Corp., Loan B, LIBOR + 1.50%, 6/30/12

 

 

2,439,549

 

 

 

 

 

 



 

 

 

 

Total Automotive

 

 

17,449,892

 

 

 

 

 

 



 

 

 

 

Basic Materials—3.1%

 

 

 

 

 

 

 

Basell N.V.,

 

 

 

 

 

417

 

Loan B2, 9/30/13

 

 

420,963

 

 

83

 

Loan B4, LIBOR + 2.25%, 8/01/13

 

 

84,193

 

 

417

 

Loan C2, LIBOR + 3.00%, 9/30/14

 

 

420,964

 

 

83

 

Loan C4, LIBOR + 3.00%, 8/01/14

 

 

84,193

 

 

810

 

Boise Cascade Corp., Loan D, LIBOR + 1.75%, 10/31/11

 

 

812,033

 

 

 

 

Brenntag Holdings,

 

 

 

 

 

282

 

Loan B6, LIBOR + 2.25%, 9/15/14

 

 

389,184

 

 

218

 

Loan B6 B, LIBOR + 2.50%, 9/15/14

 

 

301,304

 

 

3,000

 

Cognis Deutschland, Loan B, LIBOR + 4.75%, 11/15/13

 

 

3,045,000

 

 

848

 

Compass Minerals Group, Inc., LIBOR + 1.50%, 12/31/12

 

 

848,846

 

 

 

 

Ineos Group Holdings Plc,

 

 

 

 

 

1,350

 

Loan A4, LIBOR + 2.25%, 12/16/12

 

 

1,357,313

 

 

1,733

 

Loan B2, LIBOR + 2.25%, 12/16/13

 

 

1,751,062

 

 

1,733

 

Loan C2, LIBOR + 2.75%, 12/16/14

 

 

1,751,062

 

 

 

 

Invista BV,

 

 

 

 

 

1,290

 

Loan B1, LIBOR + 1.50%, 4/30/11

 

 

1,289,939

 

 

684

 

Loan B2, LIBOR + 1.50%, 4/30/11

 

 

686,327

 

 

692

 

ISP Chemco, Inc., LIBOR + 1.75%, 2/28/13

 

 

695,470

 

 

1,237

 

John Maneely Co., Loan B, LIBOR + 3.25%, 12/15/13

 

 

1,238,436

 

 

1,562

 

Nalco Co., Loan B, LIBOR + 1.75%, 11/01/10

 

 

1,569,897

 

 

490

 

PQ Corp., LIBOR + 2.00%, 2/28/12

 

 

490,817

 

 

980

 

Rockwood Specialties Group, Inc., Loan E, LIBOR + 2.00%, 8/15/12

 

 

987,167

 

 

1,611

 

SP Newsprint, Loan B, LIBOR + 2.25%,1/09/10

 

 

1,617,153

 

See Notes to Financial Statements.

38



BlackRock Limited Duration Income Trust (BLW) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

 

Value

 


 

 

 

Basic Materials—(cont’d)

 

 

 

 

 

 

 

UPC Technology Corp.,

 

 

 

 

$

1,000

 

Loan J2, LIBOR + 2.00%, 3/31/13

 

$

999,821

 

 

1,000

 

Loan K2, LIBOR + 2.00%, 12/31/13

 

 

999,821

 

 

 

 

 

 



 

 

 

 

Total Basic Materials

 

 

21,840,965

 

 

 

 

 

 



 

 

 

 

Building & Development—2.0%

 

 

 

 

 

398

 

Armstrong World Industries, Inc., LIBOR + 1.75%, 10/12/13

 

 

398,370

 

 

1,244

 

Beacon Roofing Supply, Inc., Loan B, LIBOR + 2.00%, 10/31/13

 

 

1,243,750

 

 

 

 

Brand Energy & Infrastructure Services, Inc.,

 

 

 

 

 

500

 

First Lien Loan B, LIBOR + 2.25%, 2/15/14

 

 

502,032

 

 

500

 

Second Lien Loan, LIBOR, 2/15/15

 

 

504,062

 

 

2,494

 

Building Materials Holding Corp., LIBOR + 2.75%, 3/15/14

 

 

2,476,294

 

 

1,500

 

Custom Building Products, Inc., Second Lien Loan, LIBOR + 5.00%, 4/30/12

 

 

1,495,000

 

 

1,500

 

Edge-Star Partners, First Lien Loan, 4.00%, 11/18/07

 

 

1,492,500

 

 

250

 

Euramax Intl., Inc., Second Lien Loan, LIBOR + 7.00%, 7/15/13

 

 

242,500

 

 

1,500

 

Hanley Wood LLC, LIBOR + 2.25%,3/07/14

 

 

1,496,250

 

 

422

 

Maxim Crane Works LP, PRIME + 1.00%,1/28/10

 

 

421,657

 

 

496

 

Nacco Industries, Inc., TBD, 3/31/13

 

 

498,731

 

 

488

 

Nortek, Inc., Loan B, PRIME + 1.00%,8/24/11

 

 

488,719

 

 

850

 

Rhodes Ranch, First Lien Loan, LIBOR + 3.25%, 11/15/10

 

 

852,125

 

 

1,975

 

United Subcontractors, Inc., First Lien Loan, LIBOR + 2.75%, 12/31/12

 

 

1,963,480

 

 

 

 

 

 



 

 

 

 

Total Building & Development

 

 

14,075,470

 

 

 

 

 

 



 

 

 

 

Conglomerates—1.5%

 

 

 

 

 

 

 

Atlantis Plastics, Inc.,

 

 

 

 

 

983

 

First Lien Loan, LIBOR + 4.00%, 9/30/11

 

 

976,605

 

 

250

 

Second Lien Loan, LIBOR + 9.00%,9/30/11

 

 

231,250

 

 

895

 

Blount Intl., Loan B, LIBOR + 1.75%,8/15/10

 

 

894,644

 

 

1,956

 

Colfax Corp., Loan B, LIBOR + 2.25%,11/30/11

 

 

1,965,462

 

 

 

 

Invensys Plc,

 

 

 

 

 

1,000

 

Loan A, LIBOR + 2.00%, 12/15/10

 

 

1,006,250

 

 

1,000

 

Loan B, LIBOR + 2.13%, 12/15/10

 

 

2,002,200

 

 

597

 

Jarden Corp., LIBOR + 1.75%, 1/15/12

 

 

597,615

 

 

752

 

Mueller Group, Inc., Loan B, LIBOR + 2.00%, 9/30/12

 

 

756,513

 

 

 

 

Sensus Metering Systems, Inc.,

 

 

 

 

 

1,154

 

Loan B1, LIBOR + 2.00%, 12/30/09

 

 

1,157,234

 

 

125

 

Loan B2, LIBOR + 2.00%, 12/30/09

 

 

125,367

 

 

722

 

St. John Knits Intl., Inc., Loan B, LIBOR + 3.00%, 3/30/12

 

 

725,701

 

 

 

 

 

 



 

 

 

 

Total Conglomerates

 

 

10,438,841

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

 

Value

 


 

 

 

Consumer Products—7.7%

 

 

 

 

$

1,000

 

Aearo Technologies, Inc., Second Lien Loan, LIBOR + 6.50%, 9/30/13

 

$

1,015,000

 

 

990

 

24 Hour Fitness Worldwide, Inc., Loan B, LIBOR + 2.50%, 6/30/12

 

 

993,713

 

 

 

 

Advance Food Co.,

 

 

 

 

 

778

 

Loan B, LIBOR, 3/16/14

 

 

777,778

 

 

222

 

Loan B, LIBOR, 3/31/14

 

 

222,222

 

 

750

 

American Safety Razor Co., Second Lien

 

 

 

 

 

 

 

Loan, LIBOR + 6.25%, 2/15/14

 

 

761,250

 

 

 

 

Aramark Corp.,

 

 

 

 

 

198

 

Letter of Credit, LIBOR + 2.13%, 1/30/14

 

 

198,400

 

 

2,764

 

Loan B, LIBOR + 2.13%, 1/30/14

 

 

2,776,115

 

 

450

 

Arby’s Restaurant Group, Inc., Loan B, LIBOR + 2.25%, 7/31/12

 

 

453,309

 

 

452

 

Bare Escentuals Beauty, Inc., First Lien Loan, LIBOR + 2.50%, 2/15/12

 

 

455,724

 

 

 

 

Berkline Bench Craft,

 

 

 

 

 

97

5

Loan B, PRIME + 4.75%, 10/31/11

 

 

64,030

 

 

1,005

5

Second Lien Loan, PRIME + 7.00%,4/30/12

 

 

100,505

 

 

1,250

 

Brickman Group Ltd., LIBOR + 2.00%,1/30/14

 

 

1,252,344

 

 

1,290

 

Burger King Corp., Loan B1, LIBOR + 1.50%, 2/28/13

 

 

1,291,978

 

 

1,024

 

Burlington Coat Factory Warehouse Corp., Loan B, LIBOR + 2.25%, 4/15/13

 

 

1,017,032

 

 

491

 

Centerplate, Inc., PRIME + 1.25%, 10/15/10

 

 

492,149

 

 

1,095

 

Central Garden & Pet Co., Loan B, LIBOR + 1.50%, 9/30/12

 

 

1,094,044

 

 

 

 

Cenveo Corp.,

 

 

 

 

 

2,188

 

Loan C, LIBOR + 1.75%, 9/07/13

 

 

2,189,299

 

 

62

 

Delayed Draw Loan, LIBOR + 1.75%,9/07/13

 

 

62,108

 

 

491

 

Chiquita Brands Intl., Inc., Loan C, LIBOR + 3.00%, 7/15/13

 

 

496,470

 

 

995

 

Coinmach Corp., Loan B1, 1.25%,12/15/12

 

 

1,000,864

 

 

2,215

 

Cracker Barrel, Loan B, LIBOR + 1.50%,5/15/13

 

 

2,216,612

 

 

1,000

 

David’s Bridal, Inc., LIBOR + 2.00%,1/30/14

 

 

994,167

 

 

 

 

Dole Food Co., Inc.,

 

 

 

 

 

468

 

Letter of Credit, LIBOR + 1.88%, 4/12/13

 

 

467,651

 

 

1,044

 

LIBOR + 2.00%, 4/30/12

 

 

1,042,483

 

 

3,480

 

Loan C, LIBOR + 2.00%, 3/31/13

 

 

3,474,942

 

 

429

 

Douglas Dynamics LLC, LIBOR + 1.75%,12/16/10

 

 

424,334

 

 

500

 

DS Waters Holdings, Inc., Loan B, LIBOR, 3/31/12

 

 

500,000

 

 

 

 

Eastman Kodak Co.,

 

 

 

 

 

476

 

Loan B1, LIBOR + 2.25%, 10/15/12

 

 

476,104

 

 

364

 

Loan B2, 1.50%, 10/15/12

 

 

364,244

 

 

1,914

 

Eight O’Clock Coffee, First Lien Loan, LIBOR + 2.75%, 11/14/11

 

 

1,913,594

 

 

471

 

Foamex Intl. Inc., First Lien Loan, LIBOR + 2.25%, 2/15/13

 

 

471,373

 

 

709

 

FTD, Inc., LIBOR, 8/15/13

 

 

712,123

 

See Notes to Financial Statements.

39



BlackRock Limited Duration Income Trust (BLW) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Consumer Products—(cont’d)

 

 

 

 

$

350

 

Gold Toe, Second Lien Loan, LIBOR + 6.00%, 4/30/14

 

$

357,438

 

 

802

 

Language Line, Inc., Loan B1, LIBOR + 3.25%, 6/14/11

 

 

808,310

 

 

1,000

5

Le-Natures, Inc., Loan B, LIBOR + 4.00%, 9/30/11

 

 

646,000

 

 

1,080

 

Maidenform, Inc., LIBOR + 1.75%, 5/14/10

 

 

1,083,057

 

 

2,420

 

Michael Foods, Inc., Loan B1, LIBOR + 2.00%, 11/30/10

 

 

2,426,364

 

 

1,506

 

Neiman-Marcus Group, Inc., LIBOR + 2.00%, 4/15/13

 

 

1,518,686

 

 

1,391

 

New Page, Loan B, LIBOR + 2.25%, 4/30/12

 

 

1,401,007

 

 

455

 

Nice Pak Products, LIBOR + 3.75%, 6/15/10

 

 

457,171

 

 

1,500

 

Orchard Supply Hardware Stores Corp., Loan B2, LIBOR + 2.45%, 12/09/07

 

 

1,515,000

 

 

993

 

Oriental Trading Co., LIBOR + 2.25%, 1/30/14

 

 

1,007,387

 

 

 

 

OSI Group LLC,

 

 

 

 

 

1,463

 

LIBOR + 2.00%, 9/15/11

 

 

1,465,242

 

 

1,463

 

Loan B, LIBOR + 2.00%, 9/15/11

 

 

1,465,242

 

 

399

 

PETCO Animal Supplies, Inc., LIBOR + 2.50%, 10/31/12

 

 

401,850

 

 

591

 

Pierre Foods, Inc., Loan B, LIBOR + 2.25%, 7/15/10

 

 

593,465

 

 

750

 

Pivotal Promontory LLC, Second Lien Loan, LIBOR + 6.50%, 9/15/11

 

 

729,375

 

 

1,425

 

Prestige Brands Holdings, Inc., Loan B, LIBOR + 2.25%, 4/06/11

 

 

1,431,362

 

 

1,985

 

Quiznos Corp., First Lien Loan, LIBOR + 2.25%, 5/01/12

 

 

1,991,451

 

 

730

 

Riverdeep Interactive Learning, Inc., LIBOR + 6.20%, 12/21/07

 

 

728,175

 

 

 

 

Sturm Foods, Inc.,

 

 

 

 

 

1,375

 

LIBOR + 2.50%, 1/30/14

 

 

1,377,292

 

 

500

 

Second Lien Loan, LIBOR + 7.00%, 6/30/14

 

 

502,917

 

 

621

5

Synventive Acquisition, Inc., Mezzanine Loan, LIBOR + 14.0%, 2/17/14

 

 

233,047

 

 

831

 

Tupperware Corp., LIBOR + 1.50%, 11/07/12

 

 

830,681

 

 

356

 

Warnaco, Inc., Loan B, PRIME + 0.50%, 1/31/12

 

 

356,111

 

 

 

 

Wastequip, Inc.,

 

 

 

 

 

311

 

Delayed Draw Loan, 0.75%, 2/15/13

 

 

313,512

 

 

689

 

Loan B, LIBOR + 2.25%, 2/15/13

 

 

693,988

 

 

750

 

Waterpik Technologies, Inc., Second Lien Loan, LIBOR + 6.50%, 10/15/13

 

 

746,250

 

 

 

 

 

 



 

 

 

 

Total Consumer Products

 

 

54,852,341

 

 

 

 

 

 



 

 

 

 

Containers & Packaging—2.3%

 

 

 

 

 

 

 

Bluegrass Container Co. LLC,

 

 

 

 

 

343

 

First Lien Loan, LIBOR + 2.25%, 6/30/13

 

 

346,354

 

 

1,146

 

Loan B, LIBOR + 2.25%, 6/30/13

 

 

1,157,550

 

 

1,500

 

Second Lien Loan, LIBOR + 5.00%, 12/30/13

 

 

1,524,000

 

 

 

 

Consolidated Container Co. LLC,

 

 

 

 

 

1,000

 

First Lien Loan, LIBOR, 4/15/14

 

 

1,002,083

 

 

750

 

Second Lien Loan, LIBOR, 10/15/14

 

 

743,750

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Containers & Packaging—(cont’d)

 

 

 

 

$

2,469

 

Georgia-Pacific Corp., First Lien Loan, LIBOR + 1.75%, 2/28/13

 

$

2,479,914

 

 

5,000

 

Graham Packaging Co., LP, Loan B, LIBOR, 4/15/11

 

 

5,026,040

 

 

1,260

 

Graphic Packaging Intl., Inc., Loan C, LIBOR + 2.50%, 8/08/10

 

 

1,262,063

 

 

568

 

Smurfit-Stone Container Enterprises, Inc., Deposit Funded Loan, 0.50%, 11/15/10

 

 

571,580

 

 

1,940

 

Solo Cup, Inc., LIBOR + 3.50%, 2/27/11

 

 

1,968,190

 

 

 

 

 

 



 

 

 

 

Total Containers & Packaging

 

 

16,081,524

 

 

 

 

 

 



 

 

 

 

Ecological Services & Equipment—0.1%

 

 

 

 

 

500

 

Envirosolutions, Inc., Initial Loan, LIBOR + 3.50%, 7/15/12

 

 

504,063

 

 

 

 

 

 



 

 

 

 

Energy—4.0%

 

 

 

 

 

429

 

AES Corp., LIBOR + 1.75%, 4/30/08

 

 

430,625

 

 

 

 

Coffeyville Resources LLC,

 

 

 

 

 

243

 

Letter of Credit, 0.50%, 12/21/13

 

 

246,486

 

 

1,254

 

Loan D, LIBOR + 3.00%, 12/21/13

 

 

1,270,329

 

 

 

 

Coleto Creek Power,

 

 

 

 

 

127

 

Letter of Credit, LIBOR + 2.75%, 7/31/13

 

 

127,813

 

 

1,859

 

Loan B, LIBOR + 2.75%, 7/31/13

 

 

1,864,761

 

 

 

 

ElectricInvest Holding Co. Ltd.,

 

 

 

 

 

1,100

 

Junior Loan, LIBOR, 12/21/12

 

 

2,217,934

 

 

596

 

LIBOR, 12/21/12

 

 

819,768

 

 

 

 

Generac Power Systems, Inc.,

 

 

 

 

 

990

 

First Lien Loan, LIBOR + 2.50%, 11/15/13

 

 

990,000

 

 

500

 

Second Lien Loan, LIBOR + 6.00%, 5/15/14

 

 

498,959

 

 

1,481

 

Key Energy Services, Inc., Loan C, LIBOR + 2.50%, 8/15/12

 

 

1,487,730

 

 

 

 

LSP General Finance Co. LLC,

 

 

 

 

 

40

 

0.88%, 4/15/13

 

 

39,619

 

 

889

 

First Lien Loan, LIBOR + 1.75%, 4/15/13

 

 

890,444

 

 

 

 

MACH Gen LLC,

 

 

 

 

 

70

 

Letter of Credit, 0.50%, 2/22/14

 

 

70,291

 

 

678

 

LIBOR + 2.00%, 2/22/14

 

 

677,480

 

 

499

 

McJunkin Corp., Loan B, LIBOR + 2.25%, 1/30/14

 

 

501,088

 

 

495

 

MEG Energy Corp., Loan B, LIBOR + 2.00%, 4/15/13

 

 

498,403

 

 

 

 

Northeast Energy,

 

 

 

 

 

159

 

Letter of Credit, LIBOR + 2.50%, 10/31/13

 

 

159,686

 

 

1,341

 

Loan B, LIBOR + 2.50%, 10/31/13

 

 

1,351,189

 

 

250

 

Second Lien Loan, LIBOR + 4.50%, 10/31/14

 

 

252,708

 

 

5,404

 

NRG Energy, Inc., LIBOR + 2.00% , 1/31/13

 

 

5,442,376

 

 

287

 

Petro Geological Services, Loan B, LIBOR + 2.50%, 12/31/12

 

 

288,266

 

 

83

 

Regency Gas, First Lien Loan, LIBOR + 2.50%, 8/15/13

 

 

83,542

 

 

 

 

SandRidge Energy, Inc.,

 

 

 

 

 

1,500

 

8.625%, 3/01/15

 

 

1,496,250

 

 

1,500

 

LIBOR, 3/01/14

 

 

1,496,250

 

 

971

 

SemCrude LP, LIBOR + 2.25% , 2/28/11

 

 

970,993

 

See Notes to Financial Statements.

40



BlackRock Limited Duration Income Trust (BLW) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Energy—(cont’d)

 

 

 

 

 

 

 

TPF Generation Holdings LLC,

 

 

 

 

$

151

 

Letter of Credit, LIBOR + 2.10%, 12/31/13

 

$

151,484

 

 

800

 

Loan B, LIBOR + 2.00%, 4/12/26

 

 

805,261

 

 

47

 

Revolver Loan, 0.50%, 12/31/13

 

 

47,487

 

 

1,485

 

Trinidad Energy Services Income Trust, LIBOR + 2.50%, 4/15/11

 

 

1,488,713

 

 

1,000

 

Western Refining, LIBOR + 1.75%, 3/15/14

 

 

1,001,250

 

 

 

 

Wolf Hollow I LP,

 

 

 

 

 

473

 

Loan B, LIBOR + 2.25%, 6/15/12

 

 

463,451

 

 

400

 

Synthetic Letter of Credit, LIBOR + 2.25%, 6/15/12

 

 

392,000

 

 

96

 

Synthetic Revolver Loan, LIBOR + 2.25%, 6/22/12

 

 

94,149

 

 

 

 

 

 



 

 

 

 

Total Energy

 

 

28,616,785

 

 

 

 

 

 



 

 

 

 

Entertainment & Leisure—3.1%

 

 

 

 

 

3,204

 

CCM Merger, Inc., Loan B, LIBOR + 2.00%, 7/31/12

 

 

3,212,258

 

 

1,119

 

Cinemark, Inc., Loan B, LIBOR + 1.75%, 10/05/13

 

 

1,123,106

 

 

500

 

Edge Las Vegas, First Lien Loan, LIBOR + 3.50%, 6/15/07

 

 

500,000

 

 

938

 

Fairmont Hotels & Resorts, Inc., Loan B, LIBOR + 3.25%, 7/15/11

 

 

942,598

 

 

1,990

 

Greektown Holdings LLC, Loan B, LIBOR + 2.50%, 12/15/12

 

 

2,009,900

 

 

 

 

Green Valley Ranch Gaming LLC,

 

 

 

 

 

482

 

First Lien Loan, LIBOR + 2.00%, 1/29/12

 

 

484,055

 

 

1,000

 

Second Lien Loan, LIBOR + 3.25%, 1/29/12

 

 

1,007,375

 

 

493

 

Hit Entertainment Ltd., LIBOR + 2.25%, 8/31/12

 

 

494,655

 

 

4,950

 

Metro-Goldwyn-Mayer Studios, Inc., Loan B, LIBOR + 3.25%, 4/15/12

 

 

4,951,935

 

 

983

 

Penn National Gaming, Inc., Loan B, LIBOR + 1.75%, 5/31/12

 

 

989,239

 

 

5,030

 

Travelport LLC, LIBOR + 7.00%, 3/22/12

 

 

4,897,962

 

 

 

 

Travelport, Inc.,

 

 

 

 

 

29

 

Letter of Credit, LIBOR + 2.50%, 8/31/13

 

 

29,233

 

 

295

 

LIBOR + 2.50%, 8/31/13

 

 

296,916

 

 

497

 

Wembley, Inc., First Lien Loan, LIBOR + 2.50%, 8/31/11

 

 

501,832

 

 

451

 

Yellowstone Mountain Club, LIBOR + 2.38%, 10/15/10

 

 

450,652

 

 

 

 

 

 



 

 

 

 

Total Entertainment & Leisure

 

 

21,891,716

 

 

 

 

 

 



 

 

 

 

Financial Institutions—4.2%

 

 

 

 

 

984

 

Advantage Sales & Marketing, Inc., LIBOR + 2.00%, 4/15/13

 

 

985,021

 

 

1,496

 

Alix Partners, LIBOR + 2.25%, 10/30/13

 

 

1,505,601

 

 

915

 

Arias Acquisitions, Inc., LIBOR + 5.50%, 7/30/11

 

 

882,234

 

 

 

 

Asurion Corp.,

 

 

 

 

 

956

 

First Lien Loan, LIBOR + 3.00%, 8/30/12

 

 

967,148

 

 

500

 

Second Lien Loan, LIBOR + 6.25%, 2/28/13

 

 

508,125

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Financial Institutions—(cont’d)

 

 

 

 

$

995

 

Bankruptcy Management, LIBOR + 2.75%, 6/30/11

 

$

1,000,597

 

 

950

 

Billing Services Group, LIBOR + 2.50%, 5/05/12

 

 

1,296,417

 

 

929

 

BNY Convergex Group LLC, First Lien Loan, LIBOR + 3.00%, 8/31/13

 

 

935,536

 

 

451

 

CCC Information Services Group, Inc., Loan B, LIBOR + 2.50%, 2/15/13

 

 

452,245

 

 

1,244

 

Charter Mac, Loan B, LIBOR + 2.50%, 8/15/12

 

 

1,248,414

 

 

746

 

Conseco, Inc., LIBOR + 2.00%, 9/30/13

 

 

749,515

 

 

 

 

GS Holdings Corp.,

 

 

 

 

 

56

 

Delayed Draw Loan, 0.50%, 5/15/13

 

 

56,093

 

 

83

 

LIBOR + 1.75%, 5/15/11

 

 

83,528

 

 

551

 

LIBOR + 1.75%, 5/15/13

 

 

550,899

 

 

 

 

J.G. Wentworth LLC,

 

 

 

 

 

4,000

 

First Lien Loan, LIBOR, 4/15/14

 

 

4,000,000

 

 

1,000

 

Second Lien Loan, LIBOR, 10/15/14

 

 

1,012,500

 

 

872

 

Jostens, Inc., Loan C, LIBOR + 2.00%, 10/15/11

 

 

875,302

 

 

934

 

Lucite Intl. Finance Plc, LIBOR + 9.00%, 7/15/14

 

 

1,311,801

 

 

659

 

N.E.W. Holdings I LLC, First Lien Loan, LIBOR + 2.25%, 8/31/13

 

 

661,829

 

 

 

 

NASDAQ Stock Market, Inc.,

 

 

 

 

 

971

 

Loan B, LIBOR + 1.75%, 4/18/12

 

 

972,817

 

 

563

 

Loan C, LIBOR + 1.75%, 4/18/12

 

 

563,973

 

 

858

 

Professional Service, Inc., Loan B, LIBOR + 2.75%, 10/31/12

 

 

859,957

 

 

498

 

Renfro Corp., Delayed Draw Loan, LIBOR + 1.00%, 9/30/13

 

 

502,462

 

 

1,116

 

Sedgewick Claims Management Services, Inc., Loan B, LIBOR + 2.25%, 2/28/13

 

 

1,117,873

 

 

 

 

TPG Springs Ltd.,

 

 

 

 

 

886

 

Loan B, LIBOR + 2.75%, 3/22/13

 

 

1,769,617

 

 

886

 

Loan C, LIBOR + 3.25%, 3/22/14

 

 

1,775,311

 

 

993

 

TransFirst Holdings, Inc., Loan B, PRIME + 1.00%, 8/09/12

 

 

997,462

 

 

425

 

Universal American Financial Corp., LIBOR + 2.25%, 5/25/09

 

 

426,594

 

 

901

 

USI Holdings Corp., Loan B, LIBOR + 2.25%, 7/30/08

 

 

900,575

 

 

744

 

Vertellus, First Lien Loan, LIBOR + 3.25%, 7/08/13

 

 

749,493

 

 

 

 

 

 



 

 

 

 

Total Financial Institutions

 

 

29,718,939

 

 

 

 

 

 



 

 

 

 

Health Care—3.5%

 

 

 

 

 

 

 

Cardinal Health, Inc.,

 

 

 

 

 

1,500

 

LIBOR, 4/15/14

 

 

1,500,000

 

 

2,000

 

Loan B, LIBOR, 4/15/14

 

 

2,729,299

 

 

853

 

CCS Medical, Loan B, LIBOR + 3.25%, 10/31/12

 

 

 

 

 

 

 

 

 

 

852,951

 

 

2,925

 

Community Health Systems, Inc., First Incremental Loan, LIBOR + 1.75%, 8/15/11

 

 

2,929,113

 

 

975

 

Concentra Operating Corp., Loan B, LIBOR + 2.00%, 9/30/11

 

 

976,707

 

 

95

 

Duloxetine Royalty, First Lien Loan, LIBOR + 4.50%, 10/15/13

 

 

95,130

 

See Notes to Financial Statements.

41



BlackRock Limited Duration Income Trust (BLW) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Health Care—(cont’d)

 

 

 

 

$

250

 

Emdeon Business Services, LLC, Second Lien Loan, LIBOR, 5/30/14

 

$

255,000

 

 

730

 

Eye Care Centers of America, Inc., LIBOR + 2.50%, 2/28/12

 

 

730,442

 

 

2,000

 

Health Management Associates, Inc., LIBOR + 1.75%, 2/15/14

 

 

2,007,222

 

 

1,985

 

HealthSouth Corp., Loan B, LIBOR + 2.50%, 3/15/13

 

 

1,996,956

 

 

1,000

 

IASIS Healthcare Corp., LIBOR + 2.00%, 5/15/14

 

 

1,002,188

 

 

2,041

 

Jean Coutu Group, Inc., Loan B, LIBOR + 2.50%, 6/30/11

 

 

2,041,846

 

 

430

 

Multiplan, Inc., LIBOR + 2.50%, 4/15/13

 

 

432,226

 

 

493

 

National Renal Institutes, Inc., Loan B, LIBOR + 2.25%, 4/15/13

 

 

492,832

 

 

 

 

Quintiles Transnational Corp.,

 

 

 

 

 

990

 

First Lien Loan, LIBOR + 2.00%, 3/31/13

 

 

990,310

 

 

250

 

Second Lien Loan, LIBOR + 4.00%, 3/31/14

 

 

253,125

 

 

980

 

Select Medical Corp., Loan B, LIBOR + 2.00%, 2/28/12

 

 

975,768

 

 

985

 

Vanguard Health Holding Co. II LLC, Replacement Loan, LIBOR + 2.25%, 9/30/11

 

 

990,840

 

 

 

 

Warner Chilcott Corp.,

 

 

 

 

 

306

 

Dovonex Loan, LIBOR + 2.00%, 1/18/12

 

 

306,584

 

 

1,863

 

Loan B, LIBOR + 2.00%, 1/18/11

 

 

1,870,290

 

 

518

 

Loan C, LIBOR + 2.00%, 1/18/11

 

 

520,062

 

 

973

 

WellCare Holdings LLC, LIBOR + 2.50%, 5/13/09

 

 

974,323

 

 

 

 

 

 



 

 

 

 

Total Health Care

 

 

24,923,214

 

 

 

 

 

 



 

 

 

 

Industrials—2.1%

 

 

 

 

 

993

 

Acosta, Inc., LIBOR + 2.25%, 8/15/13

 

 

999,737

 

 

988

 

Bolthouse Farms, Inc., First Lien Loan, LIBOR + 2.25%, 12/01/12

 

 

990,895

 

 

 

 

Buhrmann U.S., Inc.,

 

 

 

 

 

499

 

Loan D, LIBOR + 1.75%, 12/30/10

 

 

499,997

 

 

2,258

 

Loan D1, LIBOR + 1.75%, 12/30/10

 

 

2,263,479

 

 

1,500

 

Clarke American Corp., Loan B, LIBOR, 3/12/13

 

 

1,498,437

 

 

1,800

 

Drummond Co., Inc., LIBOR + 1.50%, 2/15/12

 

 

1,755,000

 

 

 

 

Kion Group,

 

 

 

 

 

250

 

Loan B, LIBOR, 3/15/15

 

 

253,594

 

 

250

 

Loan C, LIBOR, 3/15/16

 

 

254,719

 

 

 

 

Novelis, Inc.,

 

 

 

 

 

199

 

Loan B, LIBOR + 2.25%, 1/13/10

 

 

199,150

 

 

346

 

Loan B, LIBOR + 2.25%, 12/30/11

 

 

345,891

 

 

2,494

 

Oshkosh Truck Corp., Loan B, LIBOR + 1.75%, 11/30/13

 

 

2,500,765

 

 

625

 

QTC Acquisition, Inc., Second Lien Loan, LIBOR + 6.50%, 5/04/13

 

 

626,562

 

 

 

 

Standard Steel LLC,

 

 

 

 

 

83

 

Delayed Draw Loan, 1.00%, 7/15/12

 

 

83,854

 

 

414

 

Loan B, LIBOR + 2.50%, 7/15/12

 

 

416,126

 

 

1,260

 

Thermo Fluids, Inc., Loan B, LIBOR + 3.00%, 8/15/11

 

 

1,260,302

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Industrials—(cont’d)

 

 

 

 

 

 

 

Trimas Corp.,

 

 

 

 

$

94

 

Letter of Credit, + 0.50%, 7/31/11

 

$

94,805

 

 

404

 

Loan B, LIBOR + 2.75%, 7/31/13

 

 

408,766

 

 

470

 

United Rentals NA, Inc., Initial Loan, LIBOR + 2.00%, 2/12/11

 

 

471,716

 

 

 

 

 

 



 

 

 

 

Total Industrials

 

 

14,923,795

 

 

 

 

 

 



 

 

 

 

Media—10.4%

 

 

 

 

 

500

 

Affinion Group, Inc., LIBOR, 3/01/12

 

 

493,333

 

 

 

 

American Lawyers Media, Inc.,

 

 

 

 

 

1,702

 

First Lien Loan, 0.75%, 3/15/10

 

 

1,702,099

 

 

2,000

 

Second Lien Loan, LIBOR + 5.75%, 3/07/11

 

 

2,000,000

 

 

1,000

 

Audio Visual Services Corp., Second Lien Loan, LIBOR + 5.50%, 9/15/14

 

 

1,003,750

 

 

3,970

 

Cablevision Systems Corp., Incremental Loan, LIBOR + 1.75%, 3/31/13

 

 

3,982,902

 

 

6,500

 

Cequel Communications II LLC, LIBOR, 11/05/13

 

 

6,491,875

 

 

6,000

 

Charter Communications Holdings LLC, TBD, 4/30/14

 

 

5,989,686

 

 

3,500

 

Charter Communications Holdings LLC/ Charter Communication Holdings Capital Corp., LIBOR + 2.625%, 4/28/13

 

 

3,496,087

 

 

718

 

CMP Susquehanna Corp., Loan B, LIBOR + 2.00%, 5/05/12

 

 

720,998

 

 

 

 

Dex Media West LLC/Dex Media Finance Co.,

 

 

 

 

 

720

 

Loan B1, LIBOR + 1.50%, 9/09/10

 

 

720,134

 

 

2,865

 

Loan B2, LIBOR + 1.50%, 9/01/09

 

 

2,864,934

 

 

1,317

 

DirecTV Holdings LLC, Loan B, LIBOR + 1.50%, 3/06/10

 

 

1,320,543

 

 

 

 

Gatehouse Media Operating, Inc.,

 

 

 

 

 

1,000

 

Loan B, LIBOR + 1.75%, 9/15/14

 

 

994,375

 

 

592

 

Delayed Draw Loan, LIBOR + 0.50%, 9/15/14

 

 

588,339

 

 

2,000

 

Gray Television, Inc., Delayed Draw Loan, LIBOR + 1.50%, 9/18/14

 

 

1,997,503

 

 

2,993

 

Idearc, Inc., Loan B, LIBOR + 2.00%, 11/15/14

 

 

3,011,416

 

 

500

 

Knology, First Lien Loan, LIBOR + 2.25%, 3/15/12

 

 

501,250

 

 

495

 

Liberty Cablevision of Puerto Rico Ltd., LIBOR + 2.25%, 2/15/13

 

 

495,928

 

 

1,995

 

Mediacom Broadband LLC, Loan D1, LIBOR + 1.75%, 1/31/15

 

 

1,993,442

 

 

1,970

 

Mediacom Illinois LLC, Loan C, LIBOR + 1.75%, 1/15/15

 

 

1,968,831

 

 

1,917

 

Mission Broadcasting, Inc., Loan B, LIBOR + 1.75%, 8/14/12

 

 

1,913,133

 

 

399

 

Multicultural Radio Broadcasting, Inc., LIBOR + 2.75%, 12/15/12

 

 

399,997

 

 

1,000

 

National CineMedia, Inc., Loan B, LIBOR + 1.75%, 2/28/15

 

 

1,000,179

 

 

 

 

New Wave Communications,

 

 

 

 

 

70

 

LIBOR + 3.25%, 6/20/13

 

 

70,000

 

 

943

 

PRIME + 2.50%, 6/20/13

 

 

942,875

 

 

230

 

TBD, 6/20/13

 

 

230,000

 

 

1,816

 

Nexstar Finance, Inc., Loan B, LIBOR + 1.75%, 8/14/12

 

 

1,812,516

 

See Notes to Financial Statements.

42



BlackRock Limited Duration Income Trust (BLW) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Media—(cont’d)

 

 

 

 

$

3,483

 

Nielsen Finance LLC/Nielsen Finance Co., Loan B, LIBOR + 2.25%, 8/15/13

 

$

3,510,433

 

 

484

 

NTL Investment Holding Ltd., Loan B4, LIBOR + 2.00%, 9/03/12

 

 

485,751

 

 

 

 

Penton Media, Inc.,

 

 

 

 

 

1,125

 

First Lien Loan, LIBOR + 2.25%, 2/15/13

 

 

1,128,691

 

 

1,000

 

Second Lien Loan, LIBOR + 5.00%, 2/15/14

 

 

1,008,125

 

 

1,000

 

Persona Communications, Inc., Second Lien Loan, LIBOR + 6.00%, 4/30/14

 

 

1,010,000

 

 

750

 

Puerto Rico Cable Acquisition Co., Second Lien Loan, LIBOR + 6.25%, 7/31/11

 

 

756,562

 

 

3,318

 

RH Donnelley, Inc., Loan D2, LIBOR + 1.50%, 12/31/11

 

 

3,319,665

 

 

 

 

Univision Communications, Inc.,

 

 

 

 

 

5,638

 

Loan B, LIBOR + 2.25%, 9/15/14

 

 

5,623,169

 

 

1,000

 

Second Lien Loan, LIBOR, 3/31/16

 

 

999,583

 

 

362

 

TBD, 9/30/14

 

 

361,489

 

 

1,413

 

UPC Broadband Holding BV, Loan M1, LIBOR, 12/31/14

 

 

1,936,133

 

 

500

 

Wide Open West Finance LLC, Loan B, LIBOR + 2.25%, 4/30/13

 

 

502,604

 

 

1,934

 

WMG Acquisition Corp., LIBOR + 2.00%, 4/08/11

 

 

1,939,797

 

 

2,500

 

Yell Group Plc, Loan B, LIBOR + 2.00% , 2/15/13

 

 

3,074,319

 

 

 

 

 

 



 

 

 

 

Total Media

 

 

74,362,446

 

 

 

 

 

 



 

 

 

 

Real Estate—0.7%

 

 

 

 

 

2,250

 

Foster Wheeler Ltd., Letter of Credit, 0.50%, 9/15/11

 

 

2,255,625

 

 

270

 

Kyle Acquisition Group LLC, Loan B, LIBOR + 3.50%, 7/31/08

 

 

272,707

 

 

490

 

Masonite Intl. Corp., LIBOR + 2.00% , 3/31/13

 

 

478,554

 

 

1,500

 

Realogy Corp., LIBOR, 9/22/14

 

 

1,505,758

 

 

558

 

Stewart Enterprises, Inc., Loan B, LIBOR + 1.75%, 11/30/11

 

 

558,223

 

 

 

 

 

 



 

 

 

 

Total Real Estate

 

 

5,070,867

 

 

 

 

 

 



 

 

 

 

Technology—2.1%

 

 

 

 

 

741

 

Affiliated Computer Services, Inc., Loan B, LIBOR + 2.00%, 3/31/13

 

 

741,551

 

 

998

 

ClientLogic Corp., LIBOR + 2.50%, 1/30/14

 

 

1,002,903

 

 

373

 

Coinstar, Inc., LIBOR + 2.25%, 7/15/11

 

 

374,345

 

 

500

 

Electrical Components Intl. Holdings Co., Second Lien Loan, LIBOR + 6.50%, 5/19/14

 

 

500,000

 

 

 

 

Intergraph Corp.,

 

 

 

 

 

475

 

First Lien Loan, LIBOR + 2.25%, 5/15/14

 

 

477,513

 

 

750

 

Second Lien Loan, LIBOR, 11/15/14

 

 

763,594

 

 

994

 

Marvell Technology Group Ltd., Loan B, LIBOR + 2.00%, 11/06/09

 

 

999,347

 

 

697

 

RedPrairie Corp., Loan B, LIBOR, 7/31/12

 

 

697,491

 

 

1,500

 

San Juan Cable, LIBOR + 6.50%, 3/15/13

 

 

1,502,345

 

 

2,481

 

Sensata Technologies BV, Loan B, LIBOR + 1.75%, 4/27/13

 

 

2,478,007

 

 

2,456

 

SunGard Data Systems, Inc., Loan B, LIBOR + 2.00%, 1/05/13

 

 

2,475,380

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Technology—(cont’d)

 

 

 

 

$

1,995

 

Verifone, Inc., LIBOR + 1.75%, 2/28/13

 

$

2,009,963

 

 

191

 

Westcom Corp., Loan B, LIBOR + 2.75%, 12/31/10

 

 

190,659

 

 

 

 

Wire Rope Corp.,

 

 

 

 

 

171

 

Delayed Draw Loan, LIBOR + 2.25%, 1/30/14

 

 

171,857

 

 

829

 

LIBOR + 2.25%, 1/30/14

 

 

834,786

 

 

 

 

 

 



 

 

 

 

Total Technology

 

 

15,219,741

 

 

 

 

 

 



 

 

 

 

Telecommunications—4.4%

 

 

 

 

 

2,000

 

American Cellular Corp., Loan B, LIBOR + 2.00%, 3/16/14

 

 

2,002,500

 

 

1,250

 

American Cellular Wireless LLC, Loan B, LIBOR + 2.00%, 3/16/14

 

 

1,252,604

 

 

993

 

Atlantic Broadband Finance LLC, Loan B2, LIBOR + 2.25%, 1/30/11

 

 

1,001,807

 

 

1,481

 

Consolidated Communications, Inc., Loan D, LIBOR + 1.75%, 4/07/12

 

 

1,484,953

 

 

500

 

Country Road Communications LLC, Second Lien Loan, LIBOR + 7.75%, 6/30/13

 

 

505,000

 

 

 

 

Eircom Group PLC,

 

 

 

 

 

2,000

 

Loan B, LIBOR + 2.38%, 9/15/15

 

 

2,762,563

 

 

2,000

 

Loan C, LIBOR + 2.75%, 9/15/14

 

 

2,734,984

 

 

4,000

 

Insight Midwest Holdings LLC, Loan B, 2.50%, 4/03/14

 

 

4,018,752

 

 

2,000

 

Iowa Telecommunications Services, Inc., Loan B, LIBOR + 1.75%, 11/30/11

 

 

2,010,416

 

 

746

 

IPC Acquisition Corp., First Lien Loan, LIBOR + 2.50%, 9/30/13

 

 

751,847

 

 

1,709

 

NTELOS, Inc., First Lien Loan, LIBOR + 2.25%, 2/24/10

 

 

1,716,221

 

 

 

 

NTL Investment Holding Ltd.,

 

 

 

 

 

968

 

Loan B2, LIBOR + 2.13%, 9/03/12

 

 

1,940,384

 

 

2,000

 

Loan C, LIBOR + 2.75%, 3/03/13

 

 

4,106,260

 

 

744

 

Nuvox Communications, LIBOR + 5.00%, 5/15/12

 

 

744,375

 

 

2,993

 

West Corp., Loan B2, LIBOR + 2.38%, 10/31/13

 

 

3,013,074

 

 

832

 

Wind Acquisition Finance S.A., Loan A1, LIBOR + 2.00%, 6/17/12

 

 

1,136,801

 

 

 

 

 

 



 

 

 

 

Total Telecommunications

 

 

31,182,541

 

 

 

 

 

 



 

 

 

 

Transportation—1.7%

 

 

 

 

 

824

 

Delta Air Lines, Inc., Loan A, LIBOR + 2.75%, 4/15/08

 

 

825,761

 

 

 

 

Dockwise Transport N.V.,

 

 

 

 

 

192

 

Loan B1, LIBOR, 4/15/16

 

 

195,180

 

 

296

 

Loan B2, LIBOR, 4/15/16

 

 

300,910

 

 

489

 

Loan C, LIBOR, 4/15/15

 

 

495,275

 

 

 

 

Hawker Beechraft Acquisition Co.,

 

 

 

 

 

78

 

Letter of Credit, LIBOR, 3/31/14

 

 

78,265

 

 

922

 

LIBOR + 2.00%, 3/31/14

 

 

924,949

 

 

1,750

 

RailAmerica, Inc., Loan B, LIBOR, 10/15/08

 

 

1,751,094

 

 

644

 

Sirva Worldwide, Inc., LIBOR + 6.25%, 11/30/10

 

 

629,939

 

 

3,000

 

U.S. Airways, Loan B, LIBOR, 3/22/14

 

 

3,012,750

 

 

2,250

 

United Air Lines, Inc., Loan B, LIBOR + 2.00%, 1/30/14

 

 

2,249,120

 

See Notes to Financial Statements.

43



BlackRock Limited Duration Income Trust (BLW) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Transportation—(cont’d)

 

 

 

 

$

1,763

 

Vanguard Car Rental Holdings, Inc., Loan B, LIBOR + 3.00%, 6/30/13

 

$

1,775,403

 

 

 

 

 

 



 

 

 

 

Total Transportation

 

 

12,238,646

 

 

 

 

 

 



 

 

 

 

Total Bank Loans

 

 

397,306,025

 

 

 

 

 

 



 

 

 

 

Mortgage Pass-Through Securities—20.6%

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

1,507

 

5.50%, 12/01/28-11/01/33

 

 

1,494,049

 

 

7,559

3

5.50%, 2/01/32-10/01/33

 

 

7,495,859

 

 

17,000

3

7.25%, 1/15/10

 

 

18,040,757

 

 

121,000

 

TBA, 5.00%, 5/17/22

 

 

119,260,625

 

 

 

 

 

 



 

 

 

 

Total Mortgage Pass-Through Securities

 

 

146,291,290

 

 

 

 

 

 



 

 

 

 

Interest Only Asset-Backed Securities—0.2%

 

 

 

 

 

 

 

Sterling Coofs Trust,

 

 

 

 

 

28,175

 

Ser. 1, 2.362%, 4/15/29

 

 

845,265

 

 

24,469

 

Ser. 2, 2.126%, 3/30/30

 

 

672,896

 

 

 

 

 

 



 

 

 

 

Total Interest Only Asset-Backed Securities

 

 

1,518,161

 

 

 

 

 

 



 

 

 

 

U.S. Government and Agency Securities—3.9%

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

20,425

3

3.375%, 12/15/08-9/15/09

 

 

19,989,389

 

 

6,000

3,6

3.875%, 5/15/09

 

 

5,914,920

 

 

1,815

3

4.25%, 8/15/15

 

 

1,770,191

 

 

 

 

 

 



 

 

 

 

Total U.S. Government and Agency Securities

 

 

27,674,500

 

 

 

 

 

 



 

 

 

 

Foreign Government Bonds—2.4%

 

 

 

 

 

476

 

Bolivarian Republic of Venezuela, 6.25%, 12/18/07

 

 

476,124

 

 

4,871

3

Peru Government International Bond, 8.375%, 5/03/16

 

 

5,825,716

 

 

5,000

3

Republic of Colombia, 9.75%, 4/23/09

 

 

5,405,000

 

 

5,093

3

Turkey, 7.00%, 9/26/16

 

 

5,207,592

 

 

 

 

 

 



 

 

 

 

Total Foreign Government Bonds

 

 

16,914,432

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 


 

 

 

 

 

 

Units
(000)

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

Warrants—0.0%

 

 

 

 

 

10

7

Reliant Resources, Inc., expires 8/25/08, strike price $0.001, 1 share for 1 warrant

 

 

172,264

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 


 

 

 

 

 

 

Shares

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

Common Stocks—0.0%

 

 

 

 

 

7,579

7

Critical Care Systems Intl., Inc.

 

 

47,368

 

 

 

 

 

 



 

 

 

 

Preferred Stock—0.0%

 

 

 

 

 

125,000

 

Superior Essex Holding Corp., Ser. A, 9.50%

 

 

125,000

 

 

 

 

 

 



 

 

 

 

Total Long-Term Investments
(cost $999,202,694)

 

 

1,010,079,161

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

SHORT-TERM INVESTMENT—0.5%

 

 

 

 

 

 

 

U.S. Government and Agency Discount Notes—0.5%

 

 

 

 

$

3,400

8

Federal Home Loan Bank Disc. Notes, 5.061%, 5/01/07 (cost $3,400,000)

 

$

3,400,000

 

 

 

 

 

 



 

 

 

 

Total Investments—142.4%
(cost $1,002,602,6949)

 

$

1,013,479,161

 

 

 

 

Liabilities in excess of other assets— (42.4)%

 

 

(301,539,548

)

 

 

 

 

 



 

 

 

 

Net Assets—100%

 

$

711,939,613

 

 

 

 

 

 



 


 

 


1

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of April 30, 2007, the Trust held 16.9% of its net assets, with a current market value of $120,343,605, in securities restricted as to resale.

2

Variable rate security. Rate shown is interest rate as of April 30, 2007.

3

Entire or partial principal amount pledged as collateral for reverse repurchase agreements. See Note 4 in the Notes to Financial Statements for details of open reverse repurchase agreements.

4

Illiquid security. As of April 30, 2007, the Trust held 0.7% of its net assets, with a current market value of $5,143,007, in these securities.

5

Issuer is in default and/or bankruptcy.

6

Security, or a portion thereof, pledged as collateral with a value of $54,220 on 89 long U.S. Treasury Note futures contracts expiring June 2007. The notional value of such contracts on April 30, 2007 was $9,418,703, with an unrealized gain of $4,613.

7

Non-income producing security.

8

Rate shown is the yield to maturity as of the date of purchase.

9

Cost for federal income tax purposes is $1,002,820,424. The net unrealized appreciation on a tax basis is $10,658,737, consisting of $17,527,484 gross unrealized appreciation and $6,868,747 gross unrealized depreciation.

For Trust compliance purposes, the Trust’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

 

 

KEY TO ABBREVIATIONS

EUR

Euro

GBP

British Pound

LIBOR

London Interbank Offered Rate

PRIME

Prime Rate

TBA

To Be Announced

TBD

To Be Determined


See Notes to Financial Statements.

44



PORTFOLIO OF INVESTMENTS
APRIL 30, 2007 (unaudited)

BlackRock Preferred and Equity Advantage Trust (BTZ)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Shares

 

Description

 

Value

 







 

 

 

LONG-TERM INVESTMENTS—138.9%

 

 

 

 

 

 

 

Common Stocks—37.6%

 

 

 

 

 

 

 

Aerospace & Defense—0.4%

 

 

 

 

 

18,800

 

L-3 Communications Holdings, Inc.

 

$

1,690,684

 

 

28,300

 

Lockheed Martin Corp.

 

 

2,720,762

 

 

 

 

 

 



 

 

 

 

Total Aerospace & Defense

 

 

4,411,446

 

 

 

 

 

 



 

 

 

 

Automotive—0.3%

 

 

 

 

 

89,500

 

Ford Motor Co.

 

 

719,580

 

 

62,500

 

General Motors Corp.

 

 

1,951,875

 

 

11,200

 

Genuine Parts Co.

 

 

553,392

 

 

10,000

 

PACCAR, Inc.

 

 

839,800

 

 

 

 

 

 



 

 

 

 

Total Automotive

 

 

4,064,647

 

 

 

 

 

 



 

 

 

 

Basic Materials—1.6%

 

 

 

 

 

17,900

 

Air Products & Chemicals, Inc.

 

 

1,369,350

 

 

29,800

 

Alcoa, Inc.

 

 

1,057,602

 

 

6,800

 

Allegheny Technologies, Inc.

 

 

745,144

 

 

29,700

 

Aluminum Corp. of China Ltd. (ADR)

 

 

862,785

 

 

5,200

 

BASF AG (ADR)

 

 

617,812

 

 

46,000

 

Dow Chemical Co. (The)

 

 

2,052,060

 

 

46,500

 

E.I. du Pont de Nemours & Co.

 

 

2,286,405

 

 

46,100

 

Freeport-McMoRan Copper & Gold, Inc.

 

 

3,096,076

 

 

74,200

 

Intl. Paper Co.

 

 

2,798,824

 

 

33,900

 

MeadWestvaco Corp.

 

 

1,130,904

 

 

24,600

 

Plum Creek Timber Co., Inc. (REIT)

 

 

976,620

 

 

13,700

 

PPG Industries, Inc.

 

 

1,008,046

 

 

52,100

 

USEC, Inc.

 

 

1,050,857

 

 

 

 

 

 



 

 

 

 

Total Basic Materials

 

 

19,052,485

 

 

 

 

 

 



 

 

 

 

Building & Development—0.2%

 

 

 

 

 

15,800

 

Centex Corp.

 

 

707,366

 

 

26,400

 

D.R. Horton, Inc.

 

 

585,552

 

 

16,000

 

KB Home

 

 

705,760

 

 

7,600

 

Lennar Corp., Class A

 

 

324,596

 

 

16,000

 

Masco Corp.

 

 

435,360

 

 

 

 

 

 



 

 

 

 

Total Building & Development

 

 

2,758,634

 

 

 

 

 

 



 

 

 

 

Consumer Products—5.4%

 

 

 

 

 

108,300

 

Altria Group, Inc.

 

 

7,464,036

 

 

30,400

 

Amazon.com, Inc.

 

 

1,864,432

 

 

70,200

 

Amgen, Inc.

 

 

4,502,628

 

 

45,000

 

Anheuser-Busch Cos., Inc.

 

 

2,213,550

 

 

10,300

 

Black & Decker Corp.

 

 

934,416

 

 

8,300

 

Clorox Co.

 

 

556,764

 

 

113,100

 

Coca-Cola Co. (The)

 

 

5,902,689

 

 

19,706

 

CVS/Caremark Corp.

 

 

714,145

 

 

26,400

 

Eastman Kodak Co.

 

 

657,624

 

 

17,100

 

Federated Deptartment Stores, Inc.

 

 

751,032

 

 

21,800

 

Fortune Brands, Inc.

 

 

1,746,180

 

 

67,700

 

Gap, Inc.

 

 

1,215,215

 

 

92,900

 

Home Depot, Inc.

 

 

3,518,123

 

 

6,900

 

JC Penney Co., Inc.

 

 

545,721

 

 

74,946

 

Kraft Foods, Inc.

 

 

2,508,443

 

 

72,600

 

Lowe’s Cos., Inc.

 

 

2,218,656

 

 

12,600

 

Ltd. Brands, Inc., Class A

 

 

347,382

 

 

17,400

 

Newell Rubbermaid, Inc.

 

 

533,658

 

 

13,700

 

Nordstrom, Inc.

 

 

752,404

 

 

6,800

 

OfficeMax, Inc.

 

 

334,696

 

 

18,800

 

PepsiCo, Inc.

 

 

1,242,492

 

 

128,000

 

Procter & Gamble Co.

 

 

8,231,680

 

 

19,700

 

Reynolds American, Inc.

 

 

1,265,922

 


 

 

 

 

 

 

 

 

Shares

 

Description

 

Value

 







 

 

 

Consumer Products—(cont’d)

 

 

 

 

 

183,800

 

Sara Lee Corp.

 

$

3,016,158

 

 

6,100

1

Sears Holdings Corp.

 

 

1,164,551

 

 

43,300

1

Starbucks Corp.

 

 

1,343,166

 

 

26,000

 

Tupperware Brands Corp.

 

 

731,120

 

 

9,500

 

Universal Corp.

 

 

595,460

 

 

53,100

 

UST, Inc.

 

 

3,009,708

 

 

4,700

 

VF Corp.

 

 

412,707

 

 

96,600

 

Wal-Mart Stores, Inc.

 

 

4,629,072

 

 

37,900

 

Walgreen Co.

 

 

1,663,810

 

 

7,000

 

Whole Foods Market, Inc.

 

 

327,530

 

 

 

 

 

 



 

 

 

 

Total Consumer Products

 

 

66,915,170

 

 

 

 

 

 



 

 

 

 

Energy—4.5%

 

 

 

 

 

36,100

 

American Electric Power, Inc.

 

 

1,812,942

 

 

26,300

 

Anadarko Petroleum Corp.

 

 

1,227,158

 

 

20,300

 

Apache Corp.

 

 

1,471,750

 

 

19,900

 

Baker Hughes, Inc.

 

 

1,599,761

 

 

32,100

 

BP Plc (ADR)

 

 

2,160,972

 

 

70,500

 

Chevron Corp.

 

 

5,484,195

 

 

66,700

 

ConocoPhillips

 

 

4,625,645

 

 

9,200

 

Consol Energy, Inc.

 

 

385,204

 

 

54,600

 

Consolidated Edison, Inc.

 

 

2,798,796

 

 

32,100

 

Devon Energy Corp.

 

 

2,339,127

 

 

11,400

 

DTE Energy Co.

 

 

576,726

 

 

34,800

 

Duke Energy Corp.

 

 

714,096

 

 

14,100

 

EOG Resources, Inc.

 

 

1,035,504

 

 

197,600

 

Exxon Mobil Corp.

 

 

15,685,488

 

 

17,000

 

Great Plains Energy, Inc.

 

 

554,880

 

 

48,200

 

Halliburton Co.

 

 

1,531,314

 

 

20,300

 

Hess Corp.

 

 

1,152,025

 

 

7,500

 

Marathon Oil Corp.

 

 

761,625

 

 

9,400

 

Nicor, Inc.

 

 

481,656

 

 

7,600

 

NiSource, Inc.

 

 

186,884

 

 

7,300

 

Peabody Energy Corp.

 

 

350,254

 

 

17,500

 

Rowan Cos., Inc.

 

 

641,200

 

 

21,000

 

Sasol Ltd. (ADR)

 

 

717,570

 

 

17,000

 

Schlumberger Ltd.

 

 

1,255,110

 

 

13,900

 

Smith Intl., Inc.

 

 

728,916

 

 

21,000

 

Southern Co.

 

 

793,590

 

 

9,600

 

Sunoco, Inc.

 

 

725,088

 

 

38,300

 

Total S.A. (ADR)

 

 

2,822,327

 

 

15,400

1

Transocean, Inc.

 

 

1,327,480

 

 

 

 

 

 



 

 

 

 

Total Energy

 

 

55,947,283

 

 

 

 

 

 



 

 

 

 

Entertainment & Leisure—0.3%

 

 

 

 

 

12,500

 

Brunswick Corp.

 

 

409,500

 

 

31,900

 

Carnival Corp.

 

 

1,559,591

 

 

50,000

 

Regal Entertainment Group

 

 

1,087,500

 

 

 

 

 

 



 

 

 

 

Total Entertainment & Leisure

 

 

3,056,591

 

 

 

 

 

 



 

 

 

 

Financial Institutions—7.7%

 

 

 

 

 

40,000

 

American Express Co.

 

 

2,426,800

 

 

79,200

2

American Intl. Group, Inc.

 

 

5,536,872

 

 

18,300

 

Arthur J. Gallagher & Co.

 

 

511,668

 

 

164,100

 

Bank of America Corp.

 

 

8,352,690

 

 

39,700

 

Bank of New York Co., Inc.

 

 

1,607,056

 

 

92,300

 

BB&T Corp.

 

 

3,841,526

 

 

7,500

 

Bear Stearns Cos., Inc.

 

 

1,167,750

 

 

2,800

 

Cigna Corp.

 

 

435,652

 

 

152,300

 

Citigroup, Inc.

 

 

8,166,326

 

See Notes to Financial Statements.

45



BlackRock Preferred and Equity Advantage Trust (BTZ) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Shares

 

Description

 

Value

 


 

 

 

Financial Institutions—(cont’d)

 

 

 

 

 

33,800

 

Comerica, Inc.

 

$

2,092,558

 

 

62,900

1

E*Trade Financial Corp.

 

 

1,388,832

 

 

37,400

 

Fannie Mae

 

 

2,203,608

 

 

22,900

 

Freddie Mac

 

 

1,483,462

 

 

27,300

 

Goldman Sachs Group, Inc. (The)

 

 

5,968,053

 

 

30,300

 

HSBC Holdings Plc (ADR)

 

 

2,798,508

 

 

99,300

 

JPMorgan Chase & Co.

 

 

5,173,530

 

 

38,500

 

KeyCorp

 

 

1,373,680

 

 

34,400

 

Lehman Brothers Holdings, Inc.

 

 

2,589,632

 

 

35,700

 

Lincoln National Corp.

 

 

2,540,055

 

 

54,900

 

Marsh & McLennan Cos., Inc.

 

 

1,743,624

 

 

25,600

 

MCG Capital Corp.

 

 

451,072

 

 

71,300

 

Morgan Stanley

 

 

5,989,913

 

 

92,200

 

National City Corp.

 

 

3,369,910

 

 

152,300

 

New York Community Bancorp, Inc.

 

 

2,659,158

 

 

54,700

 

Progressive Corp.

 

 

1,261,929

 

 

75,000

 

Regions Financial Corp.

 

 

2,631,750

 

 

30,700

 

Travelers Cos., Inc.

 

 

1,660,870

 

 

91,400

 

U.S. Bancorp

 

 

3,139,590

 

 

101,000

 

Wachovia Corp.

 

 

5,609,540

 

 

74,000

 

Washington Mutual, Inc.

 

 

3,106,520

 

 

107,300

 

Wells Fargo & Co.

 

 

3,850,997

 

 

 

 

 

 



 

 

 

 

Total Financial Institutions

 

 

95,133,131

 

 

 

 

 

 



 

 

 

 

Health Care-4.6%

 

 

 

 

 

58,400

 

Abbott Laboratories

 

 

3,306,608

 

 

58,700

 

Aetna, Inc.

 

 

2,751,856

 

 

5,100

 

Applera Corp. - Applied Biosystems Group

 

 

159,324

 

 

8,100

 

Bausch & Lomb, Inc.

 

 

476,523

 

 

37,900

 

Baxter Intl., Inc.

 

 

2,146,277

 

 

30,600

 

Becton Dickinson & Co.

 

 

2,407,914

 

 

9,3001

 

Biogen Idec, Inc.

 

 

439,053

 

 

32,600

 

Boston Scientific Corp.

 

 

503,344

 

 

176,100

 

Bristol-Myers Squibb Co.

 

 

5,082,246

 

 

10,300

1

Celgene Corp.

 

 

629,948

 

 

40,700

 

Eli Lilly & Co.

 

 

2,406,591

 

 

16,500

1

Express Scripts, Inc.

 

 

1,576,575

 

 

24,800

1

Gilead Sciences, Inc.

 

 

2,026,656

 

 

4,600

 

Humana, Inc.

 

 

290,904

 

 

114,000

 

Johnson & Johnson

 

 

7,321,080

 

 

6,600

 

MedImmune, Inc.

 

 

374,088

 

 

64,500

 

Medtronic, Inc.

 

 

3,413,985

 

 

90,800

 

Merck & Co., Inc.

 

 

4,670,752

 

 

274,300

2

Pfizer, Inc.

 

 

7,257,978

 

 

11,100

 

Quest Diagnostics, Inc.

 

 

542,679

 

 

49,500

 

Schering-Plough Corp.

 

 

1,570,635

 

 

9,800

1

St. Jude Medical, Inc.

 

 

419,342

 

 

39,200

 

UnitedHealth Group, Inc.

 

 

2,079,952

 

 

44,200

 

Wyeth

 

 

2,453,100

 

 

19,500

1

Zimmer Holdings, Inc.

 

 

1,764,360

 

 

 

 

 

 



 

 

 

 

Total Health Care

 

 

56,071,770

 

 

 

 

 

 



 

 

 

 

Industrials—3.0%

 

 

 

 

 

37,600

 

3M Co.

 

 

3,112,152

 

 

33,700

 

Boeing Co.

 

 

3,134,100

 

 

44,000

 

Caterpillar, Inc.

 

 

3,195,280

 

 

14,800

 

Deere & Co.

 

 

1,619,120

 

 

6,700

 

Fluor Corp.

 

 

640,654

 

 

389,000

 

General Electric Co.

 

 

14,338,540

 

 

29,700

 

Honeywell Intl., Inc.

 

 

1,609,146

 

 

38,000

 

Illinois Tool Works, Inc.

 

 

1,949,780

 

 

30,100

 

Ingersoll-Rand Co. Ltd. Bermuda

 

 

1,343,965

 


 

 

 

 

 

 

 

 

Shares

 

Description

 

Value

 


 

 

 

Industrials—(cont’d)

 

 

 

 

 

20,300

 

Leggett & Platt, Inc.

 

$

477,456

 

 

15,900

 

Rockwell Automation, Inc.

 

 

946,686

 

 

2,800

 

Terex Corp.

 

 

217,980

 

 

5,500

 

Textron, Inc.

 

 

559,185

 

 

130,000

 

Tyco Intl. Ltd. Bermuda

 

 

4,241,900

 

 

 

 

 

 



 

 

 

 

Total Industrials

 

 

37,385,944

 

 

 

 

 

 



 

 

 

 

Media—1.0%

 

 

 

 

 

75,100

 

CBS Corp., Class B

 

 

2,385,927

 

 

122,950

1

Comcast Corp., Class A

 

 

3,277,847

 

 

55,700

 

DIRECTV Group, Inc.

 

 

1,327,888

 

 

13,200

 

Dow Jones & Co., Inc.

 

 

479,556

 

 

87,500

 

Time Warner, Inc.

 

 

1,805,125

 

 

28,200

 

Viacom, Inc.

 

 

1,163,250

 

 

38,900

 

Walt Disney Co. (The)

 

 

1,360,722

 

 

 

 

 

 



 

 

 

 

Total Media

 

 

11,800,315

 

 

 

 

 

 



 

 

 

 

Real Estate—0.8%

 

 

 

 

 

31,000

 

Annaly Capital Management, Inc. (REIT)

 

 

493,210

 

 

33,700

 

Crescent Real Estate Equities Co. (REIT)

 

 

691,187

 

 

27,900

 

Equity Residential (REIT)

 

 

1,295,397

 

 

15,600

 

First Industrial Realty Trust, Inc. (REIT)

 

 

683,124

 

 

13,900

 

Health Care Property Investors, Inc.

 

 

491,921

 

 

59,100

 

Hospitality Properties Trust (REIT)

 

 

2,690,823

 

 

56,300

 

HRPT Properties Trust (REIT)

 

 

689,112

 

 

20,200

 

Inland Real Estate Corp. (REIT)

 

 

367,438

 

 

39,600

 

Starwood Hotels & Resorts Worldwide, Inc.

 

 

2,653,992

 

 

 

 

 

 



 

 

 

 

Total Real Estate

 

 

10,056,204

 

 

 

 

 

 



 

 

 

 

Technology—4.4%

 

 

 

 

 

10,400

 

Agilent Technologies, Inc.

 

 

357,448

 

 

39,700

 

Apple, Inc.

 

 

3,962,060

 

 

182,100

 

Applied Materials, Inc.

 

 

3,499,962

 

 

30,100

 

AutoDesk, Inc.

 

 

1,242,227

 

 

38,300

 

Automatic Data Processing, Inc.

 

 

1,714,308

 

 

9,575

 

Broadridge Financial Solutions, Inc.

 

 

191,883

 

 

13,600

 

Cognizant Technology Solutions Corp.

 

 

1,215,840

 

 

35,600

1

Dell, Inc.

 

 

897,476

 

 

46,200

1

eBay, Inc.

 

 

1,568,028

 

 

16,500

 

Electronic Arts, Inc.

 

 

831,765

 

 

140,800

1

EMC Corp.

 

 

2,137,344

 

 

10,300

1

Google, Inc.

 

 

4,855,214

 

 

84,600

 

Hewlett-Packard Co.

 

 

3,565,044

 

 

202,400

 

Intel Corp.

 

 

4,351,600

 

 

51,200

 

Intl. Business Machines Corp.

 

 

5,233,152

 

 

38,600

 

Maxim Integrated Products, Inc.

 

 

1,224,392

 

 

296,300

 

Microsoft Corp.

 

 

8,871,222

 

 

54,500

 

National Semiconductor Corp.

 

 

1,433,350

 

 

94,700

1

Oracle Corp.

 

 

1,780,360

 

 

12,900

 

Paychex, Inc.

 

 

478,590

 

 

17,200

 

Pitney Bowes, Inc.

 

 

825,600

 

 

6,200

 

SanDisk Corp.

 

 

269,390

 

 

115,800

 

Sanmina-SCI Corp.

 

 

399,510

 

 

252,400

1

Sun Microsystems, Inc.

 

 

1,317,528

 

 

43,700

 

Xilinx, Inc.

 

 

1,288,276

 

 

33,900

1

Yahoo!, Inc.

 

 

950,556

 

 

 

 

 

 



 

 

 

 

Total Technology

 

 

54,462,125

 

 

 

 

 

 



 

 

 

 

Telecommunications—2.8%

 

 

 

 

 

217,687

 

AT&T, Inc.

 

 

8,428,841

 

 

129,100

 

Chunghwa Telecom Co. Ltd. (ADR)

 

 

2,569,090

 

 

8,400

1

Ciena Corp.

 

 

244,944

 

 

174,800

1

Cisco Systems, Inc.

 

 

4,674,152

 

See Notes to Financial Statements.

46



BlackRock Preferred and Equity Advantage Trust (BTZ) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Shares

 

Description

 

Value

 


 

 

 

Telecommunications—(cont’d)

 

 

 

 

 

64,000

 

Citizens Communications Co.

 

$

996,480

 

 

43,300

1

Corning, Inc.

 

 

1,027,076

 

 

15,700

 

Juniper Networks, Inc.

 

 

351,052

 

 

140,400

 

Motorola, Inc.

 

 

2,433,132

 

 

119,200

 

Qualcomm, Inc.

 

 

5,220,960

 

 

109,900

 

Sprint Nextel Corp.

 

 

2,201,297

 

 

47,000

 

Tele Norte Leste Participacoes (ADR)

 

 

769,390

 

 

156,000

 

Verizon Communications, Inc.

 

 

5,956,080

 

 

 

 

 

 



 

 

 

 

Total Telecommunications

 

 

34,872,494

 

 

 

 

 

 



 

 

 

 

Transportation—0.6%

 

 

 

 

 

39,700

 

General Maritime Corp.

 

 

1,273,179

 

 

37,600

 

Nordic American Tanker Shipping

 

 

1,448,352

 

 

15,700

 

Ship Finance Intl. Ltd.

 

 

466,918

 

 

62,900

 

United Parcel Service, Inc., Class B

 

 

4,430,047

 

 

 

 

 

 



 

 

 

 

Total Transportation

 

 

7,618,496

 

 

 

 

 

 



 

 

 

 

Total Common Stocks

 

 

463,606,735

 

 

 

 

 

 



 

 

 

 

Preferred Stocks—28.9%

 

 

 

 

 

 

 

Energy—3.3%

 

 

 

 

 

40,000

 

Entergy Louisiana LLC, 6.95%

 

 

3,983,277

 

 

785,000

 

Interstate Power & Light Co., Ser. B, 8.375%

 

 

25,757,812

 

 

120,000

 

Nexen, Inc., 7.35%

 

 

3,060,000

 

 

288,000

 

PPL Energy Supply LLC, 7.00%

 

 

7,450,560

 

 

 

 

 

 



 

 

 

 

Total Energy

 

 

40,251,649

 

 

 

 

 

 



 

 

 

 

Financial Institutions—22.0%

 

 

 

 

 

400,000

 

ACE Ltd., Ser. C, 7.80%

 

 

10,328,000

 

 

400,000

 

Aegon N.V., 6.50%

 

 

10,262,520

 

 

 

 

Arch Capital Group Ltd.,

 

 

 

 

 

100,000

 

8.00%

 

 

2,662,500

 

 

160,000

 

Ser. B, 7.875%

 

 

4,230,000

 

 

600,000

4

Aspen Insurance Holdings Ltd., 7.401%

 

 

15,420,000

 

 

180,000

4

Axis Capital Holdings Ltd., Ser. B, 7.50%

 

 

19,473,750

 

 

170,731

 

Berkley W.R. Capital Trust II, 6.75%

 

 

4,310,958

 

 

10,000

3

Centaur Funding Corp., Ser. B, 9.08%

 

 

11,787,500

 

 

210,000

 

Citizens Funding Trust I, 7.50%

 

 

5,424,300

 

 

150,000

3

CoBank ACB, 7.00%

 

 

7,731,900

 

 

113,200

 

Countrywide Capital V, 7.00%

 

 

2,790,380

 

 

600,000

 

Deutsche Bank Capital Funding Trust VIII, 6.375%

 

 

15,450,000

 

 

389,000

 

Endurance Specialty Holdings Ltd., 7.75%

 

 

10,394,080

 

 

120,000

 

Everest RE Capital Trust, 7.85%

 

 

3,026,256

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

260,000

 

5.66%

 

 

6,505,200

 

 

535,000

 

Ser. V, 5.57%

 

 

13,385,700

 

 

5,000,000

3,4

Glitnir Banki HF, 7.451%

 

 

5,398,550

 

 

300,000

 

HSBC Holdings Plc, Ser. A, 6.20%

 

 

7,602,000

 

 

200,000

 

ING Groep N.V., 6.125%

 

 

5,006,260

 

 

805,000

 

KeyCorp Capital IX, 6.75%

 

 

20,535,550

 

 

298,100

 

National City Capital Trust II, 6.625%

 

 

7,517,724

 

 

265,600

 

PartnerRE Ltd., Ser. C, 6.75%

 

 

6,756,200

 

 

285,000

 

RenaissanceRe Holdings Ltd., Ser. D, 6.60%

 

 

6,956,850

 

 

50

4

Roslyn Real Estate Asset Corp., Ser. D, 9.00%

 

 

5,009,375

 

 

665,000

 

Royal Bank of Scotland Group Plc (ADR), Ser. R, 6.125%

 

 

16,691,500

 

 

 

 

Santander Finance Preferred S.A. Unipersonal,

 

 

 

 

 

522,000

3

6.50%

 

 

13,017,375

 

 

670,000

3

6.80%

 

 

17,022,221

 

 

85,000

 

Sovereign Capital Trust V, 7.75%

 

 

2,273,750

 

 

7,150,000

3,4

Woori Bank, 6.208%

 

 

7,149,786

 

 

300,000

 

XL Capital Ltd., Ser. B, 7.625%

 

 

7,640,640

 

 

 

 

 

 



 

 

 

 

Total Financial Institutions

 

 

271,760,825

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 

Shares

 

Description

 

Value

 


 

 

 

Real Estate—3.1%

 

 

 

 

 

520,000

 

CBL & Associates Properties, Inc. (REIT), Ser. C, 7.75%

 

$

13,265,200

 

 

60,000

 

iStar Financial, Inc. (REIT), Ser. I, 7.50%

 

 

1,515,000

 

 

341,300

 

PS Business Parks, Inc. (REIT), Ser. P, 6.70%

 

 

8,447,175

 

 

600,000

 

Public Storage, Inc. (REIT), Ser. M, 6.625%

 

 

14,844,000

 

 

 

 

 

 



 

 

 

 

Total Real Estate

 

 

38,071,375

 

 

 

 

 

 



 

 

 

 

Telecommunications—0.5%

 

 

 

 

 

270,000

 

AT&T, Inc., 6.375%

 

 

6,750,000

 

 

 

 

 

 



 

 

 

 

Total Preferred Stocks

 

 

356,833,849

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 


 

 

 

 

 

 

Principal
Amount
(000)

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

Trust Preferred Stocks—45.7%

 

 

 

 

 

 

 

Building & Development—0.9%

 

 

 

 

$

10,750

3,4,5

C8 Capital SPV Ltd., 6.64%

 

 

10,796,010

 

 

 

 

 

 



 

 

 

 

Energy—2.0%

 

 

 

 

 

4,500

4,5

Enterprise Products Operating LP, 8.375%

 

 

4,983,035

 

 

11,900

4

PPL Capital Funding, Inc., Ser. A, 6.70%, 3/30/67

 

 

11,907,544

 

 

7,325

5

Trans-Canada Pipelines Ltd., 6.35%

 

 

7,325,000

 

 

 

 

 

 



 

 

 

 

Total Energy

 

 

24,215,579

 

 

 

 

 

 



 

 

 

 

Financial Institutions—41.3%

 

 

 

 

 

17,000

 

Ace Capital Trust II, 9.70%, 4/01/30

 

 

22,757,643

 

 

11,150

 

American Intl. Group, Inc., Ser. A1, 6.25%, 3/15/37

 

 

11,109,463

 

 

23,273

 

AON Corp., 8.205%, 1/01/27

 

 

26,296,815

 

 

5,000

 

Astoria Capital Trust I, Ser. B, 9.75%, 11/01/29

 

 

5,561,099

 

 

32,000

3,4,5

AXA S.A., 6.463% (France)

 

 

31,619,744

 

 

30,000

3,4,5

BOI Capital Funding No. 3, 6.107% (Ireland)

 

 

29,396,430

 

 

10,000

5

BTA Finance Luxembourg S.A., 8.25% (Kazakhstan)

 

 

9,261,100

 

 

8,250

3,4,5

C10 Capital SPV Ltd., 6.722% (British Virgin Islands)

 

 

8,238,615

 

 

5,000

2

Capital One Capital III, 7.686%, 8/15/36

 

 

5,401,465

 

 

15,000

 

Capital One Capital IV, 6.745%, 2/17/37

 

 

14,633,475

 

 

7,650

4

Chubb Corp., 6.375%, 3/29/67

 

 

7,742,771

 

 

20,000

3,4,5

Commonwealth Bank of Australia, 6.024% (Australia)

 

 

20,196,200

 

 

65,000

3

DJ CDX NA HY, Ser. 7-T1, 8.375%, 12/29/11

 

 

67,275,000

 

 

4,000

3

Dresdner Funding Trust I, 8.151%, 6/30/31

 

 

4,835,724

 

 

8,775

4,5

Everest Reinsurance Holdings, Inc., 6.60%

 

 

8,866,799

 

 

10,000

3,4,5

HBOS Plc, 6.413% (United Kingdom)

 

 

9,818,680

 

 

7,000

3,4,5,6

HSBC Capital Funding LP, Ser. 2, 10.176% (Jersey Channel Islands)

 

 

10,220,315

 

 

25,100

3,4,5

ICICI Bank Ltd., 7.25% (India)

 

 

26,077,244

 

 

35,000

2,4

JPMorgan Chase Capital XXI, Ser. U, 6.305%, 2/02/37

 

 

35,400,085

 

 

5,000

5

Kazkommerts Finance 2 BV, 9.25% (Netherlands)

 

 

5,099,000

 

 

11,600

3,4

Liberty Mutual Group, Inc., Ser. B, 7.00%, 3/15/37

 

 

11,655,773

 

 

13,000

3,4,5

Lloyds TSB Group Plc, 6.267% (United Kingdom)

 

 

12,932,179

 

 

10,000

3,4

Mangrove Bay Pass-Through Trust, 6.102%, 7/15/33

 

 

9,823,300

 

See Notes to Financial Statements.

47



BlackRock Preferred and Equity Advantage Trust (BTZ) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Financial Institutions—(cont’d)

 

 

 

 

$

21,000

3,4,5

Mizuho Capital Investment 1 Ltd., 6.686% (Cayman Islands)

 

$

21,570,003

 

 

25,000

3,4,5

Resona Preferred Global Securities Ltd., 7.191% (Cayman Islands)

 

 

26,427,025

 

 

7,000

3,4,5

Shinsei Finance II, 7.16% (Cayman Islands)

 

 

7,144,375

 

 

10,000

3,4,5

SMFG Preferred Capital 1 Ltd., 6.078% (Cayman Islands)

 

 

10,026,500

 

 

17,850

3,4,5

Societe Generale, 5.922% (France)

 

 

17,856,783

 

 

11,350

4

State Street Capital Trust IV, 6.355%, 6/01/67

 

 

11,123,000

 

 

11,325

4

Travelers Cos., Inc., 6.25%, 3/15/67

 

 

11,340,447

 

 

10,000

4,5

XL Capital Ltd., Ser. E, 6.50% (Cayman Islands)

 

 

9,870,200

 

 

 

 

 

 



 

 

 

 

Total Financial Institutions

 

 

509,577,252

 

 

 

 

 

 



 

 

 

 

Real Estate—1.5%

 

 

 

 

 

13,000

3,5

Sovereign Real Estate Investment Corp. (REIT), 12.00%

 

 

19,305,000

 

 

 

 

 

 



 

 

 

 

Total Trust Preferred Stocks

 

 

563,893,841

 

 

 

 

 

 



 

 

 

 

Corporate Bonds—26.7%

 

 

 

 

 

 

 

Automotive—1.7%

 

 

 

 

 

20,000

 

Ford Motor Co., 7.45%, 7/16/31

 

 

15,900,000

 

 

5,000

 

Lear Corp., Ser. B, 8.75%, 12/01/16

 

 

4,868,750

 

 

 

 

 

 



 

 

 

 

Total Automotive

 

 

20,768,750

 

 

 

 

 

 



 

 

 

 

Basic Materials—0.2%

 

 

 

 

 

2,350

3

Ineos Group Holdings Plc, 8.50%, 2/15/16 (United Kingdom)

 

 

2,273,625

 

 

 

 

 

 



 

 

 

 

Commercial Services—0.4%

 

 

 

 

 

5,000

3

Quebecor World, Inc., 9.75%, 1/15/15 (Canada)

 

 

5,275,000

 

 

 

 

 

 



 

 

 

 

Consumer Products—0.7%

 

 

 

 

 

5,000

3

Michaels Stores, Inc., 11.375%, 11/01/16

 

 

5,512,500

 

 

3,850

 

Spectrum Brands, Inc., 7.375%, 2/01/15

 

 

3,051,125

 

 

 

 

 

 



 

 

 

 

Total Consumer Products

 

 

8,563,625

 

 

 

 

 

 



 

 

 

 

Energy—1.3%

 

 

 

 

 

2,610

3

Halliburton Co., 7.60%, 8/15/96

 

 

3,012,948

 

 

8,000

 

Pioneer Natural Resources Co., 6.65%, 3/15/17

 

 

7,840,928

 

 

5,000

4

Southern Union Co., 7.20%, 11/01/66

 

 

5,082,870

 

 

 

 

 

 



 

 

 

 

Total Energy

 

 

15,936,746

 

 

 

 

 

 



 

 

 

 

Entertainment & Leisure—0.6%

 

 

 

 

 

2,500

 

AMC Entertainment, Inc., 11.00%, 2/01/16

 

 

2,868,750

 

 

2,000

 

Harrah’s Operating Co., Inc., 5.75%, 10/01/17

 

 

1,660,000

 

 

3,000

 

Station Casinos, Inc., 6.875%, 3/01/16

 

 

2,823,750

 

 

 

 

 

 



 

 

 

 

Total Entertainment & Leisure

 

 

7,352,500

 

 

 

 

 

 



 

 

 

 

Financial Institutions—17.9%

 

 

 

 

 

 

 

Barclays Bank Plc (United Kingdom)

 

 

 

 

 

15,000

3,4,5

5.926%

 

 

15,151,950

 

 

20,000

3,4,5

6.86%

 

 

21,598,000

 

 

100,000

3

CDX North America High Yield, 8-T1, 7.625%, 6/29/12

 

 

99,750,000

 

 

15,000

3,4,5,6

HBOS Plc, 5.92% (United Kingdom)

 

 

14,740,380

 

 

6,500

3,4

ICICI Bank Ltd., 6.375%, 4/30/22 (India)

 

 

6,503,186

 

 

5,000

3

Momentive Performance Materials, Inc., 9.75%, 12/01/14

 

 

5,287,500

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 


 

 

 

Financial Institutions—(cont’d)

 

 

 

 

$

15,000

4

Reinsurance Group of America, Inc., 6.75%, 12/15/65

 

$

15,066,465

 

 

18,000

4,5

Royal Bank of Scotland Group Plc, 7.648% (United Kingdom)

 

 

21,188,880

 

 

20,000

3,4,5

Swiss Re Capital I LP, 6.854%

 

 

20,881,060

 

 

 

 

 

 



 

 

 

 

Total Financial Institutions

 

 

220,167,421

 

 

 

 

 

 



 

 

 

 

Health Care—0.4%

 

 

 

 

 

4,500

 

Tenet Healthcare Corp., 9.875%, 7/01/14

 

 

4,601,250

 

 

 

 

 

 



 

 

 

 

Industrials—0.4%

 

 

 

 

 

5,000

3

Aleris Intl., Inc., 10.00%, 12/15/16

 

 

5,218,750

 

 

 

 

 

 



 

 

 

 

Media—1.1%

 

 

 

 

 

5,000

 

Cablevision Systems Corp., Ser. B, 8.00%, 4/15/12

 

 

5,125,000

 

 

1,000

 

Nexstar Finance, Inc., 7.00%, 1/15/14

 

 

972,500

 

 

5,000

 

Primedia, Inc., 8.00%, 5/15/13

 

 

5,200,000

 

 

2,000

 

Vertis, Inc., Ser. B, 10.875%, 6/15/09

 

 

1,982,500

 

 

 

 

 

 



 

 

 

 

Total Media

 

 

13,280,000

 

 

 

 

 

 



 

 

 

 

Technology—1.3%

 

 

 

 

 

5,000

3

Freescale Semiconductor, Inc., 9.125%, 12/15/14

 

 

4,975,000

 

 

5,000

3

NXP BV/NXP Funding LLC, 9.50%, 10/15/15 (Netherlands)

 

 

5,250,000

 

 

5,000

 

SunGard Data Systems, Inc., 10.25%, 8/15/15

 

 

5,500,000

 

 

 

 

 

 



 

 

 

 

Total Technology

 

 

15,725,000

 

 

 

 

 

 



 

 

 

 

Telecommunications—0.7%

 

 

 

 

 

 

 

Intelsat Ltd. (Bermuda)

 

 

 

 

 

3,325

4

8.872%, 1/15/15

 

 

3,401,753

 

 

5,000

 

11.25%, 6/15/16

 

 

5,706,250

 

 

 

 

 

 



 

 

 

 

Total Telecommunications

 

 

9,108,003

 

 

 

 

 

 



 

 

 

 

Total Corporate Bonds

 

 

328,270,670

 

 

 

 

 

 



 

 

 

 

Total Long-Term Investments
(cost $1,701,774,301)

 

 

1,712,605,095

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 


 

 

 

 

 

Shares
(000)

 

 

 

 

 


 

 

 

 

 

 

 

 

MONEY MARKET FUND—0.9%

 

 

 

 

 

11,5007

 

SSgA Tax Free Money Mkt. Fund - Class A, 3.326% (cost $11,500,000)

 

 

11,500,000

 

 

 

 

 

 



 

 

 

 

Total Investments before borrowed bonds, investment sold short, and outstanding call options written
(cost $1,713,274,3018)

 

 

1,724,105,095

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 


 

 

 

 

 

Principal
Amount
(000)

 

 

 

 

 


 

 

 

 

 

 

 

 

BORROWED BONDS—15.1%

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

$

102,375

9

4.81%, 6/04/07

 

 

102,375,000

 

 

83,948

9

4.927%, 6/04/07

 

 

83,947,500

 

 

 

 

 

 



 

 

 

 

Total Borrowed Bonds
(cost $186,322,500)

 

 

186,322,500

 

 

 

 

 

 



 

 

 

 

INVESTMENT SOLD SHORT—(15.0)%

 

 

 

 

 

(182,000

)

U.S. Treasury Notes, 4.875%, 8/15/16 (proceeds $183,539,692)

 

 

(185,341,338

)

 

 

 

 

 



 

See Notes to Financial Statements.

48



BlackRock Preferred and Equity Advantage Trust (BTZ) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Contracts
(000)

 

Description

 

Value

 


 

 

 

OUTSTANDING CALL OPTIONS WRITTEN—(0.3)%

 

 

 

 

 

(10

)

S&P 500 Index, strike price $1,470, expires 5/19/07

 

$

(265,000

)

 

(55

)

S&P 500 Index, strike price $1,475, expires 5/19/07

 

 

(1,237,500

)

 

(65

)

S&P 500 Index, strike price $1,485, expires 5/19/07

 

 

(1,040,000

)

 

(80

)

S&P 500 Index, strike price $1,490, expires 5/19/07

 

 

(1,080,000

)

 

(5

)

S&P 500 Index, strike price $1,520, expires 5/19/07

 

 

(14,000

)

 

 

 

 

 



 

 

 

 

Total Outstanding Call Options Written
(premium received $2,935,287)

 

 

(3,636,500

)

 

 

 

 

 



 

 

 

 

Total Investments net of borrowed bonds, investment sold short, and outstanding call options written —139.6%

 

$

1,721,449,757

 

 

 

 

Liabilities in excess of other assets—(2.1)%

 

 

(25,945,321

)

 

 

 

Preferred shares at redemption value, including dividends payable—(37.5)%

 

 

(462,269,872

)

 

 

 

 

 



 

 

 

 

Net Assets Applicable to Common Shareholders—100%

 

$

1,233,234,564

 

 

 

 

 

 



 



 

 

1

Non-income producing security.

2

Security, or a portion thereof, pledged as collateral with a value of $18,506,417 on 806 long U.S. Treasury Note futures contracts expiring June 2007, 887 long U.S. Treasury Bond futures contracts expiring June 2007, 34 long S&P 500 Index futures contracts expiring June 2007 and 3,339 short U.S. Treasury Note futures contracts expiring June 2007. The notional value of such contracts on April 30, 2007 was $164,636,491, with an unrealized loss of $998,584.

3

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of April 30, 2007, the Trust held 51.3% of its net assets, with a current market value of $632,752,131, in securities restricted as to resale.

4

Variable rate security. Rate shown is interest rate as of April 30, 2007.

5

The security is a perpetual bond and has no stated maturity date.

6

Entire or partial principal amount pledged as collateral for reverse repurchase agreements. See Note 4 in the Notes to Financial Statements for details of open reverse repurchase agreements.

7

Represents current yield as of April 30, 2007.

8

Cost for federal income tax purposes is $1,713,481,774. The net unrealized appreciation on a tax basis is $10,623,321, consisting of $26,783,822 gross unrealized appreciation and $16,160,501 gross unrealized depreciation.

9

The interest rate and maturity date shown represent the terms of the borrowed transaction, not the security borrowed.

For Trust compliance purposes, the Trust’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

 

 

 

KEY TO ABBREVIATIONS

 

ADR

 — 

American Depositary Receipt

REIT

 — 

Real Estate Investment Trust

USD

 — 

U.S. Dollar

See Notes to Financial Statements.

49



PORTFOLIO OF INVESTMENTS
APRIL 30, 2007 (unaudited)

BlackRock Strategic Bond Trust (BHD)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

LONG-TERM INVESTMENTS—102.5%

 

 

 

 

 

 

 

Corporate Bonds—97.7%

 

 

 

 

 

 

 

Aerospace & Defense—6.8%

 

 

 

 

$

250

 

AAR Corp., Ser. A2, 8.39%, 5/15/11

 

$

252,500

 

 

120

1

Bombardier, Inc., 8.00%, 11/15/14 (Canada)

 

 

126,150

 

 

1,164

 

DI Finance/DynCorp Intl., Ser. B, 9.50%, 2/15/13

 

 

1,251,300

 

 

 

 

DRS Technologies, Inc.,

 

 

 

 

 

50

 

6.875%, 11/01/13

 

 

50,500

 

 

80

 

7.625%, 2/01/18

 

 

83,800

 

 

2,000

 

Lockheed Martin Corp., Ser. B, 6.15%, 9/01/36

 

 

2,080,895

 

 

1,000

 

Northrop Grumman Corp., 7.125%, 2/15/11

 

 

1,068,839

 

 

650

 

Raytheon Co., 4.85%, 1/15/11

 

 

643,239

 

 

50

 

Sequa Corp., 9.00%, 8/01/09

 

 

52,875

 

 

90

1

TransDigm, Inc., 7.75%, 7/15/14

 

 

93,375

 

 

1,000

 

United Technologies Corp., 6.35%, 3/01/11

 

 

1,046,285

 

 

 

 

 

 



 

 

 

 

Total Aerospace & Defense

 

 

6,749,758

 

 

 

 

 

 



 

 

 

 

Automotive—3.9%

 

 

 

 

 

110

 

Accuride Corp., 8.50%, 2/01/15

 

 

113,575

 

 

45

1

Ashtead Capital, Inc., 9.00%, 8/15/16

 

 

48,375

 

 

 

 

AutoNation, Inc.,

 

 

 

 

 

110

 

7.00%, 4/15/14

 

 

110,550

 

 

110

2

7.356%, 4/15/13

 

 

110,963

 

 

20

1,2

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 7.86%, 5/15/14

 

 

20,550

 

 

1,000

 

DaimlerChrysler NA Holding Corp., 7.30%, 1/15/12

 

 

1,078,261

 

 

350

 

Ford Capital BV, 9.50%, 6/01/10 (Netherlands)

 

 

351,750

 

 

400

 

Lear Corp., Ser. B, 8.75%, 12/01/16

 

 

389,500

 

 

200

 

Metaldyne Corp., 11.00%, 11/01/13

 

 

206,000

 

 

1,400

 

Sonic Automotive, Inc., Ser. B, 8.625%, 8/15/13

 

 

1,459,500

 

 

 

 

 

 



 

 

 

 

Total Automotive

 

 

3,889,024

 

 

 

 

 

 



 

 

 

 

Basic Materials—6.9%

 

 

 

 

 

270

 

Abitibi-Consolidated, Inc., 6.00%, 6/20/13 (Canada)

 

 

233,550

 

 

320

 

AK Steel Corp., 7.75%, 6/15/12

 

 

330,400

 

 

180

1

American Pacific Corp., 9.00%, 2/01/15

 

 

180,900

 

 

60

2

Bowater, Inc., 8.355%, 3/15/10

 

 

60,300

 

 

20

 

Chemtura Corp., 6.875%, 6/01/16

 

 

19,700

 

 

150

 

CPG Intl. I, Inc., 10.50%, 7/01/13

 

 

157,500

 

 

40

 

Domtar, Inc., 7.125%, 8/15/15 (Canada)

 

 

40,750

 

 

120

 

Donohue Forest Products, 7.625%, 5/15/07 (Canada)

 

 

120,000

 

 

130

1

FMG Finance Ltd., 10.625%, 9/01/16 (Australia)

 

 

152,100

 

 

 

 

Freeport-McMoRan Copper & Gold, Inc.,

 

 

 

 

 

660

 

8.375%, 4/01/17

 

 

721,875

 

 

240

2

8.564%, 4/01/15

 

 

252,900

 

 

 

 

Huntsman LLC,

 

 

 

 

 

50

 

11.625%, 10/15/10

 

 

53,875

 

 

99

 

12.00%, 7/15/12

 

 

110,385

 

 

595

1

Ineos Group Holdings Plc, 8.50%, 2/15/16 (United Kingdom)

 

 

575,662

 

 

190

1

Innophos Holdings, Inc., 9.50%, 4/15/12

 

 

192,850

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Basic Materials—(cont’d)

 

 

 

 

$

980

 

Innophos, Inc., 8.875%, 8/15/14

 

$

1,026,550

 

 

135

1

Key Plastics LLC/Key Plastics Finance Corp., 11.75%, 3/15/13

 

 

136,350

 

 

 

 

Lyondell Chemical Co.,

 

 

 

 

 

170

 

8.00%, 9/15/14

 

 

178,075

 

 

290

 

8.25%, 9/15/16

 

 

310,300

 

 

130

 

10.50%, 6/01/13

 

 

142,513

 

 

55

 

Nalco Co., 8.875%, 11/15/13

 

 

58,850

 

 

530

 

NewPage Corp., 10.00%, 5/01/12

 

 

585,650

 

 

475

2

Nova Chemicals Corp., 8.502%, 11/15/13 (Canada)

 

 

483,312

 

 

565

1

Pregis Corp., 12.375%, 10/15/13

 

 

621,500

 

 

170

1

Terra Capital, Inc., 7.00%, 2/01/17

 

 

166,600

 

 

5

1

Verso Paper Holdings LLC/Verson Paper, Inc., 11.375%, 8/01/16

 

 

5,350

 

 

 

 

 

 



 

 

 

 

Total Basic Materials

 

 

6,917,797

 

 

 

 

 

 



 

 

 

 

Building & Development—0.7%

 

 

 

 

 

465

 

Goodman Global Holding Co., Inc., 7.875%, 12/15/12

 

 

468,488

 

 

140

 

Nortek, Inc., 8.50%, 9/01/14

 

 

138,600

 

 

125

 

North American Energy Partners, Inc., 8.75%, 12/01/11 (Canada)

 

 

128,750

 

 

 

 

 

 



 

 

 

 

Total Building & Development

 

 

735,838

 

 

 

 

 

 



 

 

 

 

Commercial Services—0.1%

 

 

 

 

 

120

1

Quebecor World, Inc., 9.75%, 1/15/15 (Canada)

 

 

126,600

 

 

 

 

 

 



 

 

 

 

Conglomerates—0.4%

 

 

 

 

 

325

 

Honeywell Intl., Inc., 7.50%, 3/01/10

 

 

345,827

 

 

 

 

 

 



 

 

 

 

Consumer Products—4.6%

 

 

 

 

 

350

2

Ames True Temper, Inc., 9.356%, 1/15/12

 

 

357,000

 

 

60

1

Beverages & More, Inc., 9.25%, 3/01/12

 

 

60,750

 

 

 

 

General Nutrition Centers, Inc.,

 

 

 

 

 

360

1

9.796%, 3/15/14

 

 

352,350

 

 

290

1

10.75%, 3/15/15

 

 

289,275

 

 

369

 

Lazy Days RV Center, Inc., 11.75%, 5/15/12

 

 

381,915

 

 

 

 

Michaels Stores, Inc.,

 

 

 

 

 

340

1

10.00%, 11/01/14

 

 

373,150

 

 

430

1

11.375%, 11/01/16

 

 

474,075

 

 

30

1,2

Nutro Products, Inc., 9.37%, 10/15/13

 

 

30,675

 

 

500

 

Pantry, Inc. (The), 7.75%, 2/15/14

 

 

503,750

 

 

100

 

Quiksilver, Inc., 6.875%, 4/15/15

 

 

97,500

 

 

200

 

Reynolds American, Inc., 7.625%, 6/01/16

 

 

218,818

 

 

510

 

Rite Aid Corp., 7.50%, 3/01/17

 

 

508,725

 

 

270

1

Sally Holdings LLC, 10.50%, 11/15/16

 

 

280,800

 

 

75

 

Spectrum Brands, Inc., 7.375%, 2/01/15

 

 

59,437

 

 

600

 

United Rentals NA, Inc., 7.00%, 2/15/14

 

 

612,000

 

 

 

 

 

 



 

 

 

 

Total Consumer Products

 

 

4,600,220

 

 

 

 

 

 



 

 

 

 

Containers & Packaging—0.9%

 

 

 

 

 

 

 

Berry Plastics Holding Corp.,

 

 

 

 

 

190

 

8.875%, 9/15/14

 

 

195,700

 

 

130

2

9.23%, 9/15/14

 

 

132,925

 

 

250

 

Crown Americas LLC/Crown Americas Capital Corp., 7.75%, 11/15/15

 

 

264,375

 

 

55

 

Graham Packaging Co., Inc., 8.50%, 10/15/12

 

 

56,100

 

See Notes to Financial Statements.

50



BlackRock Strategic Bond Trust (BHD) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Containers & Packaging—(cont’d)

 

 

 

 

$

260

1,2

Impress Holdings BV, 8.481%, 9/15/13 (Netherlands)

 

$

266,168

 

 

 

 

 

 



 

 

 

 

Total Containers & Packaging

 

 

915,268

 

 

 

 

 

 



 

 

 

 

Ecological Services & Equipment—2.2%

 

 

 

 

 

1,500

 

Casella Waste Systems, Inc., 9.75%, 2/01/13

 

 

1,586,250

 

 

550

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

580,250

 

 

 

 

 

 



 

 

 

 

Total Ecological Services & Equipment

 

 

2,166,500

 

 

 

 

 

 



 

 

 

 

Energy—12.3%

 

 

 

 

 

100

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

100,375

 

 

250

 

Chaparral Energy, Inc., 8.50%, 12/01/15

 

 

253,750

 

 

 

 

Chesapeake Energy Corp.,

 

 

 

 

 

130

 

6.375%, 6/15/15

 

 

130,163

 

 

20

 

6.875%, 11/15/20

 

 

20,150

 

 

 

 

Compagnie Generale de Geophysique-Veritas (France)

 

 

 

 

 

65

 

7.50%, 5/15/15

 

 

68,250

 

 

70

 

7.75%, 5/15/17

 

 

74,200

 

 

255

 

Compton Petroleum Finance Corp., 7.625%, 12/01/13 (Canada)

 

 

253,088

 

 

1,000

 

ConocoPhillips Holding Co., 6.95%, 4/15/29

 

 

1,141,707

 

 

725

1,3

Corral Finans AB, 6.855%, 4/15/10 (Sweden)

 

 

727,859

 

 

1,000

 

Dominion Resources, Inc., 5.70%, 9/17/12

 

 

1,025,648

 

 

250

4

DTE Energy Co., 7.05%, 6/01/11

 

 

266,161

 

 

125

 

Edison Mission Energy, 7.50%, 6/15/13

 

 

130,000

 

 

 

 

El Paso Corp.,

 

 

 

 

 

165

 

7.75%, 1/15/32

 

 

183,975

 

 

205

 

7.80%, 8/01/31

 

 

228,575

 

 

175

 

El Paso Natural Gas Co., 8.875%, 6/15/32

 

 

218,556

 

 

31

 

Elwood Energy LLC, 8.159%, 7/05/26

 

 

33,310

 

 

 

 

Encore Acquisition Co.,

 

 

 

 

 

30

 

6.00%, 7/15/15

 

 

27,450

 

 

40

 

7.25%, 12/01/17

 

 

38,700

 

 

275

 

Exco Resources, Inc., 7.25%, 1/15/11

 

 

275,687

 

 

1,075

 

FirstEnergy Corp., Ser. C, 7.375%, 11/15/31

 

 

1,234,038

 

 

60

 

Grant Prideco, Inc., Ser. B, 6.125%, 8/15/15

 

 

59,550

 

 

225

 

KCS Energy, Inc., 7.125%, 4/01/12

 

 

222,750

 

 

 

 

Midwest Generation LLC,

 

 

 

 

 

370

 

8.75%, 5/01/34

 

 

408,850

 

 

426

 

Ser. B, 8.56%, 1/02/16

 

 

469,388

 

 

185

 

Mirant Americas Generation LLC, 8.30%, 5/01/11

 

 

195,638

 

 

120

 

Mission Energy Holdings Co., 13.50%, 7/15/08

 

 

131,100

 

 

 

 

NRG Energy, Inc.,

 

 

 

 

 

50

 

7.25%, 2/01/14

 

 

51,750

 

 

285

 

7.375%, 2/01/16

 

 

296,044

 

 

250

 

Occidental Petroleum Corp., 6.75%, 1/15/12

 

 

267,867

 

 

320

1

OPTI, Inc., 8.25%, 12/15/14 (Canada)

 

 

338,400

 

 

140

 

Orion Power Holdings, Inc., 12.00%, 5/01/10

 

 

161,700

 

 

1,000

 

Progress Energy, Inc., 7.75%, 3/01/31

 

 

1,210,930

 

 

 

 

Reliant Energy, Inc.,

 

 

 

 

 

285

 

6.75%, 12/15/14

 

 

298,537

 

 

130

 

9.25%, 7/15/10

 

 

136,338

 

 

305

1

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

313,387

 

 

275

1

SemGroup LP, 8.75%, 11/15/15

 

 

283,937

 


 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Energy—(cont’d)

 

 

 

 

$

260

1,2

Stone Energy Corp., 8.106%, 7/15/10

 

$

260,000

 

 

400

1

Targa Resources, Inc., 8.50%, 11/01/13

 

 

412,000

 

 

330

 

Whiting Petroleum Corp., 7.25%, 5/01/12-5/01/13

 

 

323,475

 

 

25

 

Williams Cos., Inc., 7.125%, 9/01/11

 

 

26,250

 

 

 

 

 

 



 

 

 

 

Total Energy

 

 

12,299,533

 

 

 

 

 

 



 

 

 

 

Entertainment & Leisure—1.2%

 

 

 

 

 

200

 

AMC Entertainment, Inc., 11.00%, 2/01/16

 

 

229,500

 

 

60

 

Cinemark, Inc., Zero Coupon, 3/15/14

 

 

55,200

 

 

225

1

Greektown Holdings LLC, 10.75%, 12/01/13

 

 

241,313

 

 

100

 

Harrah’s Operating Co., Inc., 5.75%, 10/01/17

 

 

83,000

 

 

55

 

Poster Financial Group, Inc., 8.75%, 12/01/11

 

 

57,200

 

 

190

 

Seneca Gaming Corp., Ser. B, 7.25%, 5/01/12

 

 

193,325

 

 

155

1

TDS Investor, 9.875%, 9/01/14

 

 

165,850

 

 

140

 

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625%, 12/01/14

 

 

140,350

 

 

 

 

 

 



 

 

 

 

Total Entertainment & Leisure

 

 

1,165,738

 

 

 

 

 

 



 

 

 

 

Financial Institutions—16.1%

 

 

 

 

 

104

 

AES Ironwood LLC, 8.857%, 11/30/25

 

 

116,721

 

 

 

 

American Real Estate Partners LP/American Real Estate Finance Corp.,

 

 

 

 

 

230

 

7.125%, 2/15/13

 

 

226,262

 

 

860

 

8.125%, 6/01/11

 

 

877,200

 

 

100

1,2

BMS Holdings, Inc., 12.40%, 2/15/12

 

 

100,250

 

 

80

 

Britannia Bulk Plc, 11.00%, 12/01/11 (United Kingdom)

 

 

80,800

 

 

 

 

Ford Motor Credit Co.,

 

 

 

 

 

1,600

2

6.926%, 1/15/10

 

 

1,563,094

 

 

150

2

8.105%, 1/13/12

 

 

147,947

 

 

2,000

4

General Electric Capital Corp., 3.45%, 7/16/07

 

 

1,992,624

 

 

1,500

 

HSBC Bank, Inc., 3.875%, 9/15/09

 

 

1,459,872

 

 

538

1

iPayment Investors LP, 11.625%, 7/15/14

 

 

559,425

 

 

175

 

iPayment, Inc., 9.75%, 5/15/14

 

 

182,219

 

 

225

 

K&F Acquisition, Inc., 7.75%, 11/15/14

 

 

240,750

 

 

325

 

MetLife, Inc., 6.125%, 12/01/11

 

 

338,305

 

 

 

 

Momentive Performance Materials, Inc.,

 

 

 

 

 

30

1

9.75%, 12/01/14

 

 

31,725

 

 

555

1

10.125%, 12/01/14

 

 

588,300

 

 

185

1

11.50%, 12/01/16

 

 

197,950

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

 

210

1

8.75%, 9/01/12

 

 

224,175

 

 

2,245

1

10.375%, 9/01/14

 

 

2,528,431

 

 

460

 

Standard Aero Holdings, Inc., 8.25%, 9/01/14

 

 

497,950

 

 

666

5

Structured Asset Receivable Trust, 5.114%, 1/21/10

 

 

665,184

 

 

1,000

1,4

TIAA Global Markets, Inc., 3.875%, 1/22/08

 

 

987,987

 

 

50

2

Universal City Florida Holding Co. I/II, 10.106%, 5/01/10

 

 

51,313

 

 

2,000

4

Wells Fargo & Co., 3.50%, 4/04/08

 

 

1,966,848

 

 

450

1

Wimar Opco LLC/Wimar Opco Finance Corp., 9.625%, 12/15/14

 

 

456,750

 

 

 

 

 

 



 

 

 

 

Total Financial Institutions

 

 

16,082,082

 

 

 

 

 

 



 

See Notes to Financial Statements.

51



BlackRock Strategic Bond Trust (BHD) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

Value

 







 

 

 

Health Care—3.7%

 

 

 

 

 

 

 

HealthSouth Corp.,

 

 

 

 

$

85

1

10.75%, 6/15/16

 

$

92,650

 

 

150

1,2

11.354%, 6/15/14

 

 

163,125

 

 

1,000

4

Merck & Co., Inc., 4.375%, 2/15/13

 

 

960,531

 

 

150

 

Tenet Healthcare Corp., 6.875%, 11/15/31

 

 

120,000

 

 

290

 

Universal Hospital Services, Inc., 10.125%, 11/01/11

 

 

310,690

 

 

1,000

 

WellPoint, Inc., 5.95%, 12/15/34

 

 

991,883

 

 

1,000

 

Wyeth, 6.50%, 2/01/34

 

 

1,075,862

 

 

 

 

 

 



 

 

 

 

Total Health Care

 

 

3,714,741

 

 

 

 

 

 



 

 

 

 

Industrials—2.1%

 

 

 

 

 

260

1

AGY Holding Corp., 11.00%, 11/15/14

 

 

273,325

 

 

100

 

Hexcel Corp., 6.75%, 2/01/15

 

 

100,250

 

 

300

 

Park-Ohio Industries, Inc., 8.375%, 11/15/14

 

 

297,000

 

 

 

 

RBS Global, Inc./Rexnord Corp.,

 

 

 

 

 

350

 

9.50%, 8/01/14

 

 

374,500

 

 

225

 

11.75%, 8/01/16

 

 

249,750

 

 

470

1

Sunstate Equipment Co. LLC, 10.50%, 4/01/13

 

 

502,900

 

 

330

 

Trimas Corp., 9.875%, 6/15/12

 

 

342,375

 

 

 

 

 

 



 

 

 

 

Total Industrials

 

 

2,140,100

 

 

 

 

 

 



 

 

 

 

Media—15.5%

 

 

 

 

 

 

 

Affinion Group, Inc.,

 

 

 

 

 

435

 

10.125%, 10/15/13

 

 

474,150

 

 

220

 

11.50%, 10/15/15

 

 

242,000

 

 

125

 

American Media Operations, Inc., Ser. B, 10.25%, 5/01/09

 

 

117,813

 

 

1,000

 

AOL Time Warner, Inc., 7.70%, 5/01/32

 

 

1,142,668

 

 

120

2

Cablevision Systems Corp., Ser. B, 9.82%, 4/01/09

 

 

127,200

 

 

80

 

CanWest MediaWorks, Inc., 8.00%, 9/15/12 (Canada)

 

 

83,000

 

 

150

 

CCH I Holdings LLC/CCH I Holdings Capital Corp., 11.00%, 10/01/15

 

 

159,375

 

 

 

 

Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.,

 

 

 

 

 

515

 

10.25%, 9/15/10

 

 

548,475

 

 

105

 

Ser. B, 10.25%, 9/15/10

 

 

111,563

 

 

500

1

CMP Susquehanna Corp., 9.875%, 5/15/14

 

 

510,000

 

 

1,000

 

Comcast Cable Communications, Inc.,6.875%, 6/15/09

 

 

1,034,120

 

 

50

 

Dex Media West LLC/Dex Media Finance Co., Ser. B, 9.875%, 8/15/13

 

 

54,438

 

 

100

 

DirecTV Holdings LLC/DirecTV Financing Co., 8.375%, 3/15/13

 

 

105,500

 

 

 

 

EchoStar DBS Corp.,

 

 

 

 

 

550

 

5.75%, 10/01/08

 

 

550,687

 

 

210

 

7.00%, 10/01/13

 

 

218,138

 

 

45

 

7.125%, 2/01/16

 

 

46,856

 

 

485

1

Idearc, Inc., 8.00%, 11/15/16

 

 

506,219

 

 

75

1

Iesy Repository GMBH, 10.375%, 2/15/15 (Germany)

 

 

79,313

 

 

165

 

LIN Television Corp., 6.50%, 5/15/13

 

 

162,525

 

 

130

 

MediaNews Group, Inc., 6.875%, 10/01/13

 

 

118,300

 

 

405

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

415,125

 

 

1,500

 

News America, Inc., 6.20%, 12/15/34

 

 

1,471,942

 


 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

 

Value

 







 

 

 

Media—(cont’d)

 

 

 

 

$

560

 

Nexstar Finance, Inc., 7.00%, 1/15/14

 

$

544,600

 

 

 

 

Nielsen Finance LLC/Nielsen Finance Co.,

 

 

 

 

 

220

1

Zero Coupon, 8/01/16

 

 

158,950

 

 

710

1

10.00%, 8/01/14

 

 

775,675

 

 

500

1,2

Paxson Communications Corp., 8.606%, 1/15/12

 

 

510,000

 

 

320

 

Primedia, Inc., 8.00%, 5/15/13

 

 

332,800

 

 

945

 

RH Donnelley Corp., Ser. A-3, 8.875%, 1/15/16

 

 

1,025,325

 

 

70

 

Sinclair Broadcast Group, Inc., 4.875%,7/15/18

 

 

70,175

 

 

80

 

Sirius Satellite Radio, Inc., 9.625%, 8/01/13

 

 

80,000

 

 

1,000

 

TCI Communications, Inc., 7.875%, 2/15/26

 

 

1,156,123

 

 

375

1

Umbrella Acquisition, Inc., 9.75%, 3/15/15

 

 

377,812

 

 

 

 

Vertis, Inc.,

 

 

 

 

 

445

 

9.75%, 4/01/09

 

 

455,012

 

 

370

 

Ser. B, 10.875%, 6/15/09

 

 

366,762

 

 

85

 

Viacom, Inc., 6.625%, 5/15/11

 

 

88,758

 

 

1,215

 

Young Broadcasting, Inc., 10.00%, 3/01/11

 

 

1,236,262

 

 

 

 

 

 



 

 

 

 

Total Media

 

 

15,457,661

 

 

 

 

 

 



 

 

 

 

Real Estate—0.5%

 

 

 

 

 

500

 

ERP Operating LP, 6.95%, 3/02/11

 

 

531,882

 

 

 

 

 

 



 

 

 

 

Technology—5.4%

 

 

 

 

 

 

 

Amkor Technology, Inc.,

 

 

 

 

 

50

 

7.75%, 5/15/13

 

 

49,500

 

 

90

 

9.25%, 6/01/16

 

 

95,400

 

 

565

 

Celestica, Inc., 7.625%, 7/01/13 (Canada)

 

 

538,162

 

 

 

 

Freescale Semiconductor, Inc.,

 

 

 

 

 

970

1

9.125%, 12/15/14

 

 

965,150

 

 

100

1,2

9.23%, 12/15/14

 

 

100,000

 

 

100

1

Hynix Semiconductor, Inc., 9.875%, 7/01/12 (South Korea)

 

 

111,500

 

 

540

1

NXP BV/NXP Funding LLC, 9.50%, 10/15/15 (Netherlands)

 

 

567,000

 

 

 

 

Sanmina-SCI Corp.,

 

 

 

 

 

15

 

6.75%, 3/01/13

 

 

14,250

 

 

330

 

8.125%, 3/01/16

 

 

322,988

 

 

200

 

Sensata Technologies, 8.00%, 5/01/14 (Netherlands)

 

 

200,500

 

 

 

 

SunGard Data Systems, Inc.,

 

 

 

 

 

140

 

9.125%, 8/15/13

 

 

150,150

 

 

610

 

10.25%, 8/15/15

 

 

671,000

 

 

1,010

 

Superior Essex Communications LLC/Essex Group, Inc., 9.00%, 4/15/12

 

 

1,050,400

 

 

137

1

UGS Capital Corp. II, 10.38%, 6/01/11

 

 

140,656

 

 

410

 

UGS Corp., 10.00%, 6/01/12

 

 

446,900

 

 

 

 

 

 



 

 

 

 

Total Technology

 

 

5,423,556

 

 

 

 

 

 



 

 

 

 

Telecommunications—12.4%

 

 

 

 

 

190

 

Cincinnati Bell, Inc., 7.25%, 7/15/13

 

 

197,600

 

 

280

1

Cricket Communications, Inc., 9.375%,11/01/14

 

 

299,250

 

 

 

 

Digicel Group Ltd. (Bermuda)

 

 

 

 

 

170

1,4

8.875%, 1/15/15

 

 

166,812

 

 

520

1

9.125%, 1/15/15

 

 

504,400

 

 

130

2

Hawaiian Telcom Communications, Inc.,Ser. B, 10.86%, 5/01/13

 

 

132,925

 

 

355

 

Intelsat Corp., 9.00%, 6/15/16

 

 

389,169

 

See Notes to Financial Statements.

52



BlackRock Strategic Bond Trust (BHD) (continued)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

 

Principal
Amount
(000)

 

Description

 

 

Value

 







 

 

 

Telecommunications—(cont’d)

 

 

 

 

 

 

 

Intelsat Ltd. (Bermuda)

 

 

 

 

$

85

2

8.872%, 1/15/15

 

$

86,962

 

 

300

 

9.25%, 6/15/16

 

 

330,000

 

 

170

 

11.25%, 6/15/16

 

 

194,012

 

 

730

2

11.354%, 6/15/13

 

 

781,100

 

 

240

 

Intelsat Subsidiary Holding Co. Ltd., 8.625%,1/15/15 (Bermuda)

 

 

256,500

 

 

500

1

Nordic Telephone Co. Holdings ApS, 8.875%, 5/01/16 (Denmark)

 

 

537,500

 

 

 

 

Nortel Networks Ltd. (Canada)

 

 

 

 

 

390

1,2

9.606%, 7/15/11

 

 

417,300

 

 

135

1

10.125%, 7/15/13

 

 

148,838

 

 

125

 

PanAmSat Corp., 9.00%, 8/15/14

 

 

135,000

 

 

 

 

Qwest Corp.,

 

 

 

 

 

200

 

7.875%, 9/01/11

 

 

213,000

 

 

340

2

8.605%, 6/15/13

 

 

371,875

 

 

1,500

 

SBC Communications, Inc., 6.45%, 6/15/34

 

 

1,556,049

 

 

1,000

 

Telecom Italia Capital S.A., 4.95%, 9/30/14 (Luxembourg)

 

 

952,815

 

 

2,000

 

Verizon New England, Inc., 6.50%, 9/15/11

 

 

2,085,508

 

 

1,000

4

Vodafone Group Plc, 7.75%, 2/15/10 (United Kingdom)

 

 

1,065,864

 

 

590

1

West Corp., 11.00%, 10/15/16

 

 

644,575

 

 

250

1

Wind Acquisition Finance S.A., 10.75%, 12/01/15 (Luxembourg)

 

 

288,750

 

 

 

 

Windstream Corp.,

 

 

 

 

 

360

 

8.125%, 8/01/13

 

 

390,600

 

 

220

 

8.625%, 8/01/16

 

 

241,450

 

 

 

 

 

 



 

 

 

 

Total Telecommunications

 

 

12,387,854

 

 

 

 

 

 



 

 

 

 

Transportation—2.0%

 

 

 

 

 

125

 

American Airlines, Inc., Ser. 99-1, 7.324%,4/15/11

 

 

126,875

 

 

500

 

Canadian National Railway Co., 6.90%,7/15/28 (Canada)

 

 

557,773

 

 

475

 

CHC Helicopter Corp., 7.375%, 5/01/14 (Canada)

 

 

464,312

 

 

39

 

Horizon Lines LLC, 9.00%, 11/01/12

 

 

41,048

 

 

425

1

Navios Maritime Holdings, Inc., 9.50%,12/15/14 (Marshall Islands)

 

 

447,313

 

 

300

 

Overseas Shipholding Group, Inc., 8.25%, 3/15/13

 

 

315,000

 

 

 

 

 

 



 

 

 

 

Total Transportation

 

 

1,952,321

 

 

 

 

 

 



 

 

 

 

Total Corporate Bonds

 

 

97,602,300

 

 

 

 

 

 



 

 

 

 

U.S. Government and Agency Securities—3.6%

 

 

 

 

 

410

4

U.S. Treasury Bonds, 5.375%, 2/15/31

 

 

439,149

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

810

4

4.125%, 8/15/10

 

 

800,824

 

 

1,000

4

4.25%, 8/15/13

 

 

985,312

 

 

75

4

4.25%, 8/15/15

 

 

73,148

 

 

710

4

4.75%, 5/15/14

 

 

717,627

 

 

550

4

4.875%, 8/15/16

 

 

560,097

 

 

 

 

 

 



 

 

 

 

Total U.S. Government and Agency Securities

 

 

3,576,157

 

 

 

 

 

 



 

 

 

 

Foreign Government Bond—0.2%

 

 

 

 

 

225

 

United Mexican States, 6.75%, 9/27/34

 

 

250,876

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 

 

Shares

 

Description

 

 

Value

 







 

 

 

Common Stocks—0.2%

 

 

 

 

 

396,568

6

Adelphia Recovery Trust

 

$

27,760

 

 

947

6

Critical Care Systems Intl., Inc.

 

 

5,919

 

 

6,007

6

Time Warner Cable, Inc.

 

 

221,177

 

 

 

 

 

 



 

 

 

 

Total Common Stocks

 

 

254,856

 

 

 

 

 

 



 

 

 

 

Preferred Stock—0.1%

 

 

 

 

 

50,000

 

Superior Essex Holding Corp., Ser. A, 9.50%,

 

 

50,000

 

 

 

 

 

 



 


 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

Principal
Amount
(000)

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

Trust Preferred Stock—0.7%

 

 

 

 

$

650

1,2,7

Barclays Bank Plc, 8.55% (United Kingdom)

 

 

728,856

 

 

 

 

 

 



 

 

 

 

Total Long-Term Investments
(cost $100,288,930)

 

 

102,463,045

 

 

 

 

 

 



 

 

 

 

SHORT-TERM INVESTMENT—6.2%

 

 

 

 

 

 

 

U.S. Government and Agency Discount Notes—6.2%

 

 

 

 

 

6,200

8

Federal Home Loan Bank Disc. Notes, 5.061%, 5/01/07 (cost $6,200,000)

.

 

6,200,000

 

 

 

 

 

 



 

 

 

 

Total investments—108.7%
(cost $106,488,9309)

 

$

108,663,045

 

 

 

 

Liabilities in excess of other assets—(8.7)%

.

 

(8,721,255

)

 

 

 

 

 



 

 

 

 

Net Assets—100%

 

$

99,941,790

 

 

 

 

 

 



 


 

 


1

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of April 30, 2007, the Trust held 23.0% of its net assets, with a current market value of $23,009,213, in securities restricted as to resale.

2

Variable rate security. Rate shown is interest rate as of April 30, 2007.

3

Security is fair valued.

4

Entire or partial principal amount pledged as collateral for reverse repurchase agreements. See Note 4 in the Notes to Financial Statements for details of open reverse repurchase agreements.

5

Illiquid security. As of April 30, 2007, the Trust held 0.7% of its net assets, with a current market value of $665,184, in these securities.

6

Non-income producing security.

7

The security is a perpetual bond and has no stated maturity date.

8

Rate shown is the yield to maturity as of the date of purchase.

9

Cost for federal income tax purposes is $106,564,680. The net unrealized appreciation on a tax basis is $2,098,365, consisting of $3,197,368 gross unrealized appreciation and $1,099,003 gross unrealized depreciation.

For Trust compliance purposes, the Trust’s sector and industry classifications refer to any one or more of the Standard Industry Codes as defined by the SEC. This definition may not apply for purposes of this report, which may combine sector and industry sub-classifications for reporting ease.

See Notes to Financial Statements.

53



 

STATEMENTS OF ASSETS AND LIABILITIES (unaudited)

April 30, 2007



 

 

 

 

 

 

 

 

 

 

Broad Investment
Grade 2009
Term Trust Inc.1
(BCT)

 

Core
Bond Trust
(BHK)

 

 

 


 


 

Assets

 

 

 

 

 

 

 

Investments at value, unaffiliated2

 

$

40,033,423

 

$

397,611,108

 

Investments at value, affiliated3

 

 

 

 

890,858

 

Investments in affiliates

 

 

21,463

 

 

81,796

 

Cash

 

 

143,967

 

 

81,596

 

Foreign currency at value4

 

 

 

 

8,580,440

 

Receivable from investments sold

 

 

 

 

979,270

 

Variation margin receivable

 

 

 

 

1,084,294

 

Deposits with brokers as collateral for borrowed bonds

 

 

 

 

 

Interest receivable

 

 

232,812

 

 

5,875,518

 

Unrealized appreciation on interest rate swaps

 

 

 

 

3,059,604

 

Unrealized appreciation on credit default swaps

 

 

 

 

 

Other assets

 

 

1,124

 

 

14,872

 

 

 



 



 

 

 

 

40,432,789

 

 

418,259,356

 

 

 



 



 

Liabilities

 

 

 

 

 

 

 

Reverse repurchase agreements

 

 

 

 

36,554,125

 

Payable for investments purchased

 

 

 

 

4,369,118

 

Variation margin payable

 

 

 

 

 

Unrealized loss on foreign currency exchange contracts

 

 

 

 

4,281

 

Loans payable

 

 

 

 

 

Investments sold short at value5

 

 

 

 

 

Outstanding options written at value6

 

 

 

 

1,490,319

 

TBA sale commitments7

 

 

 

 

 

Unrealized depreciation on interest rate swaps

 

 

 

 

516,016

 

Unrealized depreciation on total return swaps

 

 

 

 

9,303

 

Interest payable

 

 

 

 

1,029,672

 

Interest rate floors at value

 

 

 

 

 

Investment advisory fees payable

 

 

18,267

 

 

151,459

 

Administration fees payable

 

 

4,982

 

 

 

Deferred Trustees’fees

 

 

21,463

 

 

81,796

 

Payable to affiliates

 

 

3,252

 

 

29,116

 

Other accrued expenses

 

 

35,159

 

 

203,598

 

 

 



 



 

 

 

 

83,123

 

 

44,438,803

 

 

 



 



 

Preferred Shares at Redemption Value

 

 

 

 

 

 

 

$0.001 par value per share and $25,000 liquidation value per share, including dividends payable8

 

 

 

 

 

 

 



 



 

Net Assets Applicable to Common Shareholders

 

$

40,349,666

 

$

373,820,553

 

 

 



 



 

Composition of Net Assets

 

 

 

 

 

 

 

Par value9

 

$

29,571

 

$

27,019

 

Paid-in capital in excess of par

 

 

38,447,104

 

 

386,089,643

 

Cost of shares held in treasury10

 

 

 

 

 

Undistributed (distributions in excess of) net investment income

 

 

5,276,270

 

 

(7,085,134

)

Accumulated net realized gain (loss)

 

 

(3,223,700

)

 

(5,431,330

)

Net unrealized appreciation (depreciation)

 

 

(179,579

)

 

220,355

 

 

 



 



 

Net assets, April 30, 2007

 

$

40,349,666

 

$

373,820,553

 

 

 



 



 

 

 

 

 

 

 

 

 

Net asset value11

 

$

13.65

 

$

13.84

 

 

 



 



 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

1 Consolidated Statement of Assets and Liabilities

 

 

 

 

 

 

 

2 Investments at cost, unaffiliated

 

$

40,213,002

 

$

399,423,196

 

3 Investments at cost, affiliated

 

$

 

$

891,058

 

4 Foreign currency at cost

 

$

 

$

8,766,766

 

5 Proceeds received

 

$

 

$

 

6 Premiums received

 

$

 

$

2,261,545

 

7 Proceeds for TBA sale commitments

 

$

 

$

 

8 Preferred shares outstanding

 

 

 

 

 

9 Par value per share

 

$

0.01

 

$

0.001

 

10 Shares held in treasury

 

 

 

 

 

11 Common shares outstanding

 

 

2,957,093

 

 

27,018,774

 

See Notes to Financial Statements.

54



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

High
Yield Trust
(BHY)

 

Income
Opportunity
Trust
(BNA)

 

Income
Trust Inc.
(BKT)

 

Limited
Duration
Income Trust
(BLW)

 

Preferred and
Equity
Advantage Trust
(BTZ)

 

Strategic Bond
Trust
(BHD)

 

 

 


 


 


 


 


 


 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments at value, unaffiliated2

 

$

72,479,825

 

$

448,638,171

 

$

439,084,312

 

$

1,013,479,161

 

$

1,724,105,095

 

$

108,663,045

 

Investments at value, affiliated3

 

 

 

 

1,176,793

 

 

51,029

 

 

 

 

 

 

 

Investments in affiliates

 

 

31,113

 

 

153,393

 

 

184,118

 

 

75,575

 

 

 

 

16,678

 

Cash

 

 

2,466

 

 

43,849

 

 

3,012,715

 

 

2,295,071

 

 

2,180,548

 

 

52,390

 

Foreign currency at value4

 

 

 

 

 

 

 

 

1,681

 

 

 

 

 

Receivable from investments sold

 

 

10,300

 

 

25,786,001

 

 

67,604,951

 

 

5,333,025

 

 

107,419,606

 

 

101,000

 

Variation margin receivable

 

 

 

 

1,281,924

 

 

 

 

27,813

 

 

 

 

 

Deposits with brokers as collateral for borrowed bonds

 

 

 

 

 

 

61,867,750

 

 

 

 

186,322,500

 

 

 

Interest receivable

 

 

1,572,303

 

 

5,956,547

 

 

4,968,878

 

 

15,693,079

 

 

16,979,390

 

 

1,993,620

 

Unrealized appreciation on interest rate swaps

 

 

 

 

3,538,661

 

 

1,850,384

 

 

 

 

 

 

 

Unrealized appreciation on credit default swaps

 

 

10,172

 

 

 

 

 

 

 

 

 

 

 

Other assets

 

 

6,391

 

 

18,156

 

 

24,960

 

 

31,718

 

 

7,274

 

 

7,462

 

 

 



 



 



 



 



 

 


 

 

 

 

74,112,570

 

 

486,593,495

 

 

578,649,097

 

 

1,036,937,123

 

 

2,037,014,413

 

 

110,834,195

 

 

 



 



 



 



 



 

 


 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reverse repurchase agreements

 

 

 

 

61,184,826

 

 

36,189,500

 

 

182,178,141

 

 

10,061,000

 

 

10,479,908

 

Payable for investments purchased

 

 

476,082

 

 

11,934,469

 

 

51,151,545

 

 

139,177,034

 

 

138,170,750

 

 

100,000

 

Variation margin payable

 

 

 

 

 

 

306,344

 

 

 

 

671,977

 

 

 

Unrealized loss on foreign currency exchange contracts

 

 

 

 

 

 

 

 

487,961

 

 

 

 

 

Loans payable

 

 

20,250,000

 

 

 

 

 

 

 

 

 

 

 

Investments sold short at value5

 

 

 

 

 

 

48,923,473

 

 

 

 

185,341,338

 

 

 

Outstanding options written at value6

 

 

 

 

1,641,456

 

 

1,647,713

 

 

 

 

3,636,500

 

 

 

TBA sale commitments7

 

 

 

 

24,619,875

 

 

19,854,127

 

 

 

 

 

 

 

Unrealized depreciation on interest rate swaps

 

 

 

 

623,785

 

 

824,402

 

 

 

 

 

 

 

Unrealized depreciation on total return swaps

 

 

 

 

10,255

 

 

3,594

 

 

 

 

 

 

 

Interest payable

 

 

89,577

 

 

1,070,094

 

 

1,943,231

 

 

2,357,014

 

 

1,839,735

 

 

133,852

 

Interest rate floors at value

 

 

 

 

 

 

2,142,702

 

 

 

 

 

 

 

Investment advisory fees payable

 

 

44,994

 

 

188,313

 

 

221,500

 

 

394,537

 

 

900,153

 

 

59,066

 

Administration fees payable

 

 

2,194

 

 

64,874

 

 

94,809

 

 

 

 

 

 

 

Deferred Trustees’fees

 

 

31,113

 

 

153,393

 

 

184,118

 

 

75,575

 

 

 

 

16,678

 

Payable to affiliates

 

 

264

 

 

16,493

 

 

47,597

 

 

35,796

 

 

11,909

 

 

8,838

 

Other accrued expenses

 

 

86,477

 

 

174,791

 

 

222,004

 

 

291,452

 

 

876,615

 

 

94,063

 

 

 



 



 



 

 


 

 


 

 


 

 

 

 

20,980,701

 

 

101,682,624

 

 

163,756,659

 

 

324,997,510

 

 

341,509,977

 

 

10,892,405

 

 

 



 



 



 

 


 

 


 

 


 

Preferred Shares at Redemption Value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$0.001 par value per share and $25,000 liquidation value per share, including dividends payable8

 

 

 

 

 

 

 

 

 

 

462,269,872

 

 

 

 

 



 



 



 

 


 

 


 

 


 

Net Assets Applicable to Common Shareholders

 

$

53,131,869

 

$

384,910,871

 

$

414,892,438

 

$

711,939,613

 

$

1,233,234,564

 

$

99,941,790

 

 

 



 



 



 

 


 

 


 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Composition of Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Par value9

 

$

6,417

 

$

344,497

 

$

639,425

 

$

36,850

 

$

51,828

 

$

7,058

 

Paid-in capital in excess of par

 

 

92,987,168

 

 

404,369,870

 

 

518,124,907

 

 

701,609,463

 

 

1,230,315,432

 

 

98,443,594

 

Cost of shares held in treasury10

 

 

 

 

(17,377,850

)

 

 

 

 

 

 

 

 

Undistributed (distributions in excess of) net investment income

 

 

85,248

 

 

(2,061,255

)

 

(1,932,916

)

 

(1,443,777

)

 

(3,950,451

)

 

117,368

 

Accumulated net realized gain (loss)

 

 

(39,124,805

)

 

(2,863,478

)

 

(90,676,760

)

 

1,354,318

 

 

(511,596

)

 

(800,345

)

Net unrealized appreciation (depreciation)

 

 

(822,159

)

 

2,499,087

 

 

(11,262,218

)

 

10,382,759

 

 

7,329,351

 

 

2,174,115

 

 

 



 



 



 

 


 

 


 

 


 

Net assets, April 30, 2007

 

$

53,131,869

 

$

384,910,871

 

$

414,892,438

 

$

711,939,613

 

$

1,233,234,564

 

$

99,941,790

 

 

 



 



 



 

 


 

 


 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value11

 

$

8.28

 

$

11.17

 

$

6.49

 

$

19.32

 

$

23.79

 

$

14.16

 

 

 



 



 



 

 



 



 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1 Consolidated Statement of Assets and Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2 Investments at cost, unaffiliated

 

$

73,312,156

 

$

449,496,071

 

$

456,476,407

 

$

1,002,602,694

 

$

1,713,274,301

 

$

106,488,930

 

3 Investments at cost, affiliated

 

$

 

$

1,187,582

 

$

53,517

 

$

 

$

 

$

 

4 Foreign currency at cost

 

$

 

$

 

$

 

$

605

 

$

 

$

 

5 Proceeds received

 

$

 

$

 

$

49,629,126

 

$

 

$

183,539,692

 

$

 

6 Premiums received

 

$

 

$

2,478,560

 

$

2,486,055

 

$

 

$

2,935,287

 

$

 

7 Proceeds for TBA sale commitments

 

$

 

$

24,627,656

 

$

19,885,469

 

$

 

$

 

$

 

8 Preferred shares outstanding

 

 

 

 

 

 

 

 

18,480

 

 

 

 

 

9 Par value per share

 

$

0.001

 

$

0.01

 

$

0.01

 

$

0.001

 

$

0.001

 

$

0.001

 

10 Shares held in treasury

 

 

 

 

1,757,400

 

 

 

 

 

 

 

 

 

11 Common shares outstanding

 

 

6,417,363

 

 

34,449,693

 

 

63,942,536

 

 

36,849,516

 

 

51,828,157

 

 

7,058,402

 

55



 

STATEMENTS OF OPERATIONS (unaudited)

For the six months ended April 30, 2007



 

 

 

 

 

 

 

 

 

 

Broad Investment
Grade 2009
Term Trust Inc.1
(BCT)

 

Core
Bond Trust
(BHK)

 

 

 


 


 

Investment Income

 

 

 

 

 

 

 

Interest income

 

$

1,054,164

 

$

11,455,123

 

Dividend income

 

 

 

 

5,454

 

Foreign taxes withheld

 

 

 

 

 

Income from affiliates

 

 

182

 

 

2,060

 

Affiliated income

 

 

 

 

34,249

 

 

 



 



 

Total investment income

 

 

1,054,346

 

 

11,496,886

 

 

 



 



 

Expenses

 

 

 

 

 

 

 

Investment advisory

 

 

110,637

 

 

1,082,808

 

Administration

 

 

30,174

 

 

 

Transfer agent

 

 

4,403

 

 

6,800

 

Custodian

 

 

34,607

 

 

120,832

 

Reports to shareholders

 

 

16,916

 

 

51,293

 

Directors/Trustees

 

 

1,834

 

 

11,544

 

Registration

 

 

575

 

 

7,561

 

Independent accountants

 

 

14,834

 

 

38,158

 

Legal

 

 

4,780

 

 

38,555

 

Officers fees

 

 

348

 

 

2,988

 

Insurance

 

 

1,327

 

 

12,104

 

Organization

 

 

 

 

 

Auction agent

 

 

 

 

 

Deferred Trustees’ fees

 

 

182

 

 

2,060

 

Miscellaneous

 

 

5,958

 

 

26,091

 

 

 



 



 

Total expenses excluding interest expense and excise tax

 

 

226,575

 

 

1,400,794

 

Interest expense

 

 

 

 

630,830

 

Excise tax

 

 

54,413

 

 

 

 

 



 



 

Total expenses

 

 

280,988

 

 

2,031,624

 

Less Advisory fees waived

 

 

 

 

 

Less fees paid indirectly

 

 

 

 

(4,389

)

 

 



 



 

Net expenses

 

 

280,988

 

 

2,027,235

 

 

 



 



 

Net investment income

 

 

773,358

 

 

9,469,651

 

 

 



 



 

Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

Net realized gain (loss) from:

 

 

 

 

 

 

 

Investments

 

 

15,531

 

 

1,278,777

 

Foreign currency

 

 

 

 

(142,785

)

Futures and swaps

 

 

 

 

2,494,820

 

Interest rate floors

 

 

 

 

3,317

 

Options written

 

 

 

 

472,353

 

Short sales

 

 

 

 

 

 

 



 



 

 

 

 

15,531

 

 

4,106,482

 

 

 



 



 

Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

Investments

 

 

110,151

 

 

1,283,794

 

Foreign currency

 

 

 

 

(143,401

)

Futures and swaps

 

 

 

 

(3,391,917

)

Interest rate floors

 

 

 

 

 

Options written

 

 

 

 

(160,633

)

Short sales

 

 

 

 

 

 

 



 



 

 

 

 

110,151

 

 

(2,412,157

)

 

 



 



 

Net gain

 

 

125,682

 

 

1,694,325

 

 

 



 



 

Dividends from net investment income to preferred shareholders

 

 

 

 

 

 

 



 



 

Net Increase in Net Assets Resulting from Operations

 

$

899,040

 

$

11,163,976

 

 

 



 



 


 

 

1

Consolidated Statement of Operations.

2

Commencement of investment operations for Preferred and Equity Advantage Trust was December 27, 2006. This information includes the initial investment by BlackRock Funding, Inc.

See Notes to Financial Statements.

56



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

High
Yield Trust
(BHY)

 

Income
Opportunity
Trust
(BNA)

 

Income
Trust Inc.
(BKT)

 

Limited
Duration
Income Trust
(BLW)

 

Preferred and
Equity
Advantage
Trust2
(BTZ)

 

Strategic
Bond Trust
(BHD)

 

 

 


 


 


 


 


 


 

Investment Income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest income

 

$

3,158,041

 

$

13,451,472

 

$

15,739,308

 

$

34,668,232

 

$

21,536,601

 

$

4,163,263

 

Dividend income

 

 

10,706

 

 

3,316

 

 

 

 

19,200

 

 

11,672,571

 

 

4,158

 

Foreign taxes withheld

 

 

 

 

 

 

 

 

 

 

(50,904

)

 

 

Income from affiliates

 

 

554

 

 

3,425

 

 

4,896

 

 

 

 

 

 

 

Affiliated income

 

 

 

 

45,899

 

 

1,881

 

 

1,895

 

 

 

 

312

 

 

 



 



 



 



 



 



 

Total investment income

 

 

3,169,301

 

 

13,504,112

 

 

15,746,085

 

 

34,689,327

 

 

33,158,268

 

 

4,167,733

 

 

 



 



 



 



 



 



 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment advisory

 

 

374,184

 

 

1,142,227

 

 

1,332,105

 

 

2,484,667

 

 

3,437,209

 

 

413,791

 

Administration

 

 

35,637

 

 

190,371

 

 

307,409

 

 

 

 

 

 

 

Transfer agent

 

 

6,731

 

 

9,823

 

 

31,678

 

 

6,592

 

 

5,625

 

 

6,554

 

Custodian

 

 

58,055

 

 

113,968

 

 

130,211

 

 

215,099

 

 

96,334

 

 

54,865

 

Reports to shareholders

 

 

17,704

 

 

58,462

 

 

80,310

 

 

95,995

 

 

68,118

 

 

15,511

 

Directors/Trustees

 

 

1,876

 

 

11,592

 

 

11,716

 

 

12,966

 

 

7,927

 

 

3,288

 

Registration

 

 

7,538

 

 

10,127

 

 

16,580

 

 

10,938

 

 

9,124

 

 

7,532

 

Independent accountants

 

 

21,887

 

 

38,237

 

 

38,330

 

 

26,782

 

 

17,842

 

 

20,438

 

Legal

 

 

4,804

 

 

34,294

 

 

34,198

 

 

50,917

 

 

36,485

 

 

9,631

 

Officers fees

 

 

397

 

 

3,078

 

 

3,364

 

 

5,693

 

 

5,370

 

 

782

 

Insurance

 

 

2,170

 

 

13,311

 

 

15,137

 

 

28,806

 

 

20,205

 

 

3,457

 

Organization

 

 

 

 

 

 

 

 

 

 

15,000

 

 

 

Auction agent

 

 

 

 

 

 

 

 

 

 

158,294

 

 

 

Deferred Trustees’ fees

 

 

554

 

 

3,425

 

 

4,896

 

 

1,895

 

 

 

 

312

 

Miscellaneous

 

 

5,751

 

 

27,737

 

 

28,853

 

 

36,644

 

 

35,279

 

 

7,758

 

 

 



 



 



 



 



 



 

Total expenses excluding interest expense and excise tax

 

 

537,288

 

 

1,656,652

 

 

2,034,787

 

 

2,976,994

 

 

3,912,812

 

 

543,919

 

Interest expense

 

 

597,904

 

 

1,643,919

 

 

3,243,877

 

 

5,540,337

 

 

5,428,787

 

 

333,702

 

Excise tax

 

 

 

 

 

 

 

 

 

 

14,538

 

 

 

 

 



 



 



 



 



 



 

Total expenses

 

 

1,135,192

 

 

3,300,571

 

 

5,278,664

 

 

8,517,331

 

 

9,356,137

 

 

877,621

 

Less Advisory fees waived

 

 

 

 

 

 

 

 

 

 

 

 

(101,157

)

Less fees paid indirectly

 

 

(4,648

)

 

(4,336

)

 

(12,336

)

 

(31,027

)

 

(45,843

)

 

(3,447

)

 

 



 



 



 



 



 



 

Net expenses

 

 

1,130,544

 

 

3,296,235

 

 

5,266,328

 

 

8,486,304

 

 

9,310,294

 

 

773,017

 

 

 



 



 



 



 



 



 

Net investment income

 

 

2,038,757

 

 

10,207,877

 

 

10,479,757

 

 

26,203,023

 

 

23,847,974

 

 

3,394,716

 

 

 



 



 



 



 



 



 

Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized gain (loss) from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

(2,489,403

)

 

(593,598

)

 

935,244

 

 

4,362,012

 

 

4,836,696

 

 

716,167

 

Foreign currency

 

 

 

 

 

 

 

 

405,541

 

 

 

 

 

Futures and swaps

 

 

 

 

3,331,676

 

 

(573,758

)

 

64,385

 

 

212,584

 

 

 

Interest rate floors

 

 

 

 

3,654

 

 

3,623

 

 

 

 

 

 

 

Options written

 

 

 

 

505,900

 

 

42,523

 

 

 

 

(7,452,467

)

 

 

Short sales

 

 

 

 

(14,313

)

 

(23,452

)

 

 

 

1,891,591

 

 

 

 

 



 



 



 



 



 



 

 

 

 

(2,489,403

)

 

3,233,319

 

 

384,180

 

 

4,831,938

 

 

(511,596

)

 

716,167

 

 

 



 



 



 



 



 



 

Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

5,150,819

 

 

1,483,024

 

 

(1,550,865

)

 

8,476,479

 

 

10,830,794

 

 

1,478,277

 

Foreign currency

 

 

 

 

 

 

 

 

(459,348

)

 

 

 

 

Futures and swaps

 

 

10,172

 

 

(3,554,749

)

 

2,505,083

 

 

4,613

 

 

(998,584

)

 

 

Interest rate floors

 

 

 

 

 

 

448,464

 

 

 

 

 

 

 

Options written

 

 

 

 

(161,965

)

 

(151,089

)

 

 

 

(701,213

)

 

 

Short sales

 

 

 

 

221,468

 

 

210,050

 

 

 

 

(1,801,646

)

 

 

 

 



 



 



 



 



 



 

 

 

 

5,160,991

 

 

(2,012,222

)

 

1,461,643

 

 

8,021,744

 

 

7,329,351

 

 

1,478,277

 

 

 



 



 



 



 



 



 

Net gain

 

 

2,671,588

 

 

1,221,097

 

 

1,845,823

 

 

12,853,682

 

 

6,817,755

 

 

2,194,444

 

 

 



 



 



 



 



 



 

Dividends from net investment income to preferred shareholders

 

 

 

 

 

 

 

 

 

 

(3,526,895

)

 

 

 

 



 



 



 



 



 



 

Net Increase in Net Assets Resulting from Operations

 

$

4,710,345

 

$

11,428,974

 

$

12,325,580

 

$

39,056,705

 

$

27,138,834

 

$

5,589,160

 

 

 



 



 



 



 



 



 

57



 

 

 

STATEMENTS OF CASH FLOWS (unaudited)

For the six months ended April 30, 2007



 

 

 

 

 

 

 

 

 

 

Broad Investment
Grade 2009
Term Trust Inc.1
(BCT)

 

Core
Bond Trust
(BHK)

 

 

 


 


 

Net Increase in Net Assets Resulting from Operations to Net Cash Flows
Provided by Operating Activities

 

 

 

 

 

 

 

Net increase in net assets resulting from operations, excluding dividends to preferred shareholders

 

$

899,040

 

$

11,163,976

 

 

 



 



 

Purchases of long-term investments

 

 

(564,277

)

 

(467,403,416

)

Proceeds from sales of long-term investments

 

 

5,832,043

 

 

448,064,708

 

Net proceeds (purchases) of short-term investments

 

 

(4,564,288

)

 

850,714

 

Increase in deposits with brokers as collateral for borrowed bonds

 

 

 

 

 

Amortization of premium and discount on investments

 

 

(64,839

)

 

1,114,209

 

Net realized loss (gain) on investments

 

 

(15,531

)

 

(1,278,777

)

Decrease (Increase) in unrealized appreciation/depreciation on investments

 

 

(110,151

)

 

(1,283,794

)

Net effect of exchange rates on foreign currency

 

 

 

 

142,785

 

Increase (Decrease) in investments sold short

 

 

 

 

 

Increase (Decrease) in outstanding options written

 

 

 

 

(637,453

)

Increase (Decrease) in TBA sale commitments

 

 

 

 

 

Decrease in interest rate floors

 

 

 

 

 

Decrease (Increase) in unrealized appreciation/depreciation on swaps

 

 

 

 

(143,128

)

Increase in investments in affiliates

 

 

(181

)

 

(2,060

)

Decrease (Increase) in receivable for investments sold

 

 

 

 

(583,452

)

Decrease in unrealized gain on foreign currency exchange contracts

 

 

 

 

83,487

 

Increase in variation margin receivable

 

 

 

 

(450,956

)

Decrease (Increase) in interest receivable

 

 

115,107

 

 

(522,831

)

Decrease (Increase) in other assets

 

 

1,326

 

 

7,464

 

Decrease in foreign currency payable to custodian

 

 

 

 

 

Increase (Decrease) in payable for investments purchased

 

 

 

 

(6,596,670

)

Decrease in payable for dollar rolls

 

 

 

 

 

Increase in unrealized loss on foreign currency exchange contracts

 

 

 

 

4,281

 

Increase (Decrease) in variation margin payable

 

 

 

 

 

Increase in interest payable

 

 

 

 

346,935

 

Increase (Decrease) in investment advisory fee payable

 

 

(1,074

)

 

4,323

 

Decrease in cash with brokers as collateral

 

 

 

 

(600,000

)

Increase (Decrease) in administration fee payable

 

 

(293

)

 

 

Increase in Deferred Directors/Trustees’ fees

 

 

181

 

 

2,060

 

Increase (Decrease) in payable to affiliates

 

 

(4,702

)

 

11,277

 

Increase (Decrease) in accrued expenses

 

 

(159,027

)

 

24,451

 

 

 



 



 

Total adjustments

 

 

464,294

 

 

(28,845,843

)

 

 



 



 

Net cash provided by (used for) operating activities

 

$

1,363,334

 

$

(17,681,867

)

 

 



 



 

Cash flows provided by (used for) financing activities:

 

 

 

 

 

 

 

Capital contributions

 

 

 

 

 

Increase (Decrease) in reverse repurchase agreements

 

 

 

 

32,643,037

 

Increase in preferred shares at redemption value including dividends payable

 

 

 

 

 

Cash dividends paid to common shareholders

 

 

(1,330,692

)

 

(10,861,547

)

Distributions to preferred shareholders

 

 

 

 

 

 

 



 



 

Net cash provided by (used for) financing activities:

 

$

(1,330,692

)

$

21,781,490

 

 

 



 



 

Net increase (decrease) in cash

 

 

32,642

 

 

4,099,623

 

Cash and foreign currency at beginning of period

 

 

111,325

 

 

4,562,413

 

 

 



 



 

Cash and foreign currency at end of period

 

$

143,967

 

$

8,662,036

 

 

 



 



 

Cash paid during the period for interest

 

$

 

$

283,895

 

 

 



 



 


 

 

1

Consolidated Statement of Cash Flows.

2

Commencement of investment operations for Preferred and Equity Advantage Trust was December 27, 2006. This information includes the initial investment by BlackRock Funding, Inc.

See Notes to Financial Statements.

58



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

High Yield
Trust
(BHY)

 

Income
Opportunity
Trust
(BNA)

 

Income
Trust Inc.
(BKT)

 

Limited
Duration
Income Trust
(BLW)

 

Preferred
and Equity
Advantage
Trust2 (BTZ)

 

Strategic
Bond Trust
(BHD)

 

 

 


 


 


 


 


 


 

Net Increase in Net Assets Resulting from Operations to Net Cash Flows Provided by Operating Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net increase in net assets resulting from operations, excluding dividends to preferred shareholders

 

$

4,710,345

 

$

11,428,974

 

$

12,325,580

 

$

39,056,705

 

$

30,665,729

 

$

5,589,160

 

 

 



 



 



 



 



 



 

Purchases of long-term investments

 

 

(26,286,574

)

 

(820,732,923

)

 

(1,003,845,253

)

 

(1,194,937,865

)

 

(2,197,351,517

)

 

(23,146,631

)

Proceeds from sales of long-term investments

 

 

26,881,619

 

 

792,455,597

 

 

1,060,668,586

 

 

1,237,939,483

 

 

500,039,052

 

 

32,669,494

 

Net proceeds (purchases) of short-term investments

 

 

(1,442,087

)

 

5,181,809

 

 

1,032,677

 

 

(3,297,390

)

 

(10,583,017

)

 

(6,147,991

)

Increase in deposits with brokers as collateral for borrowed bonds

 

 

 

 

 

 

(1,465,374

)

 

 

 

(186,322,500

)

 

 

Amortization of premium and discount on investments

 

 

(15,906

)

 

933,234

 

 

5,765,809

 

 

1,245,920

 

 

(542,123

)

 

4,510

 

Net realized loss (gain) on investments

 

 

2,489,403

 

 

593,598

 

 

(935,244

)

 

(4,362,012

)

 

(4,836,696

)

 

(716,167

)

Decrease (Increase) in unrealized appreciation/depreciation on investments

 

 

(5,150,819

)

 

(1,483,024

)

 

1,550,865

 

 

(8,476,479

)

 

(10,830,794

)

 

(1,478,277

)

Net effect of exchange rates on foreign currency

 

 

 

 

 

 

 

 

(405,541

)

 

 

 

 

Increase (Decrease) in investments sold short

 

 

 

 

 

 

(12,144,967

)

 

 

 

185,341,338

 

 

 

Increase (Decrease) in outstanding options written

 

 

 

 

(681,098

)

 

(675,416

)

 

 

 

3,636,500

 

 

 

Increase (Decrease) in TBA sale commitments

 

 

 

 

(1,367,812

)

 

3,272,725

 

 

 

 

 

 

 

Decrease in interest rate floors

 

 

 

 

 

 

247,846

 

 

 

 

 

 

 

Decrease (Increase) in unrealized appreciation/depreciation on swaps

 

 

(10,172

)

 

(146,917

)

 

61,120

 

 

 

 

 

 

 

Increase in investments in affiliates

 

 

(554

)

 

(3,425

)

 

(4,896

)

 

(1,895

)

 

 

 

(312

)

Decrease (Increase) in receivable for investments sold

 

 

211,419

 

 

752,397

 

 

(51,140,957

)

 

(2,057,801

)

 

(107,419,606

)

 

175,351

 

Decrease in unrealized gain on foreign currency exchange contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

Increase in variation margin receivable

 

 

 

 

(471,830

)

 

 

 

(27,813

)

 

 

 

 

Decrease (Increase) in interest receivable

 

 

(7,851

)

 

(406,322

)

 

(674,407

)

 

(221,718

)

 

(16,979,390

)

 

170,200

 

Decrease (Increase) in other assets

 

 

(2,384

)

 

11,419

 

 

2,976

 

 

26,815

 

 

(7,274

)

 

(1,079

)

Decrease in foreign currency payable to custodian

 

 

 

 

 

 

 

 

(1,100

)

 

 

 

 

Increase (Decrease) in payable for investments purchased

 

 

415,450

 

 

(1,655,880

)

 

51,151,545

 

 

(388,715

)

 

138,170,750

 

 

19,157

 

Decrease in payable for dollar rolls

 

 

 

 

 

 

(15,527,433

)

 

 

 

 

 

 

Increase in unrealized loss on foreign currency exchange contracts

 

 

 

 

 

 

 

 

450,981

 

 

 

 

 

Increase (Decrease) in variation margin payable

 

 

 

 

 

 

(762,327

)

 

 

 

671,977

 

 

 

Increase in interest payable

 

 

2,677

 

 

192,923

 

 

339,995

 

 

1,681,776

 

 

1,839,735

 

 

108,603

 

Increase (Decrease) in investment advisory fee payable

 

 

387

 

 

(5,675

)

 

(6,240

)

 

(28,337

)

 

900,153

 

 

7,350

 

Decrease in cash with brokers as collateral

 

 

 

 

(600,000

)

 

 

 

 

 

 

 

 

Increase (Decrease) in administration fee payable

 

 

37

 

 

(946

)

 

(1,440

)

 

 

 

 

 

 

Increase in Deferred Directors/Trustees’ fees

 

 

554

 

 

3,425

 

 

4,896

 

 

1,895

 

 

 

 

312

 

Increase (Decrease) in payable to affiliates

 

 

264

 

 

10,688

 

 

(155

)

 

17,288

 

 

11,909

 

 

3,068

 

Increase (Decrease) in accrued expenses

 

 

8,140

 

 

4,583

 

 

58,242

 

 

66,381

 

 

876,615

 

 

4,960

 

 

 



 



 



 



 



 



 

Total adjustments

 

 

(2,906,397

)

 

(27,416,179

)

 

36,973,173

 

 

27,223,873

 

 

(1,703,384,888

)

 

1,672,548

 

 

 



 



 



 



 



 



 

Net cash provided by (used for) operating activities

 

$

1,803,948

 

$

(15,987,205

)

$

49,298,753

 

$

66,280,578

 

$

(1,672,719,159

)

$

7,261,708

 

 

 



 



 



 



 



 



 

Cash flows provided by (used for) financing activities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital contributions

 

 

 

 

 

 

 

 

1,286,908

 

 

1,230,367,260

 

 

 

Increase (Decrease) in reverse repurchase agreements

 

 

 

 

26,858,668

 

 

(34,501,125

)

 

(37,821,390

)

 

10,061,000

 

 

(4,471,227

)

Increase in preferred shares at redemption value including dividends payable

 

 

 

 

 

 

 

 

 

 

462,269,872

 

 

 

Cash dividends paid to common shareholders

 

 

(1,963,713

)

 

(11,368,402

)

 

(11,893,314

)

 

(27,610,100

)

 

(24,271,530

)

 

(3,260,982

)

Distributions to preferred shareholders

 

 

 

 

 

 

 

 

 

 

(3,526,895

)

 

 

 

 



 



 



 



 



 



 

Net cash provided by (used for) financing activities:

 

$

(1,963,713

)

$

15,490,266

 

$

(46,394,439

)

$

(64,144,582

)

$

1,674,899,707

 

$

(7,732,209

)

 

 



 



 



 



 



 



 

Net increase (decrease) in cash

 

 

(159,765

)

 

(496,939

)

 

2,904,314

 

 

2,135,996

 

 

2,180,548

 

 

(470,501

)

Cash and foreign currency at beginning of period

 

 

162,231

 

 

540,788

 

 

108,401

 

 

160,756

 

 

 

 

522,891

 

 

 



 



 



 



 



 



 

Cash and foreign currency at end of period

 

$

2,466

 

$

43,849

 

$

3,012,715

 

$

2,296,752

 

$

2,180,548

 

$

52,390

 

 

 



 



 



 



 



 



 

Cash paid during the period for interest

 

$

595,227

 

$

1,450,996

 

$

2,903,882

 

$

3,858,561

 

$

3,589,052

 

$

225,099

 

 

 



 



 



 



 



 



 

59



 

STATEMENT OF CHANGES IN NET ASSETS

For the six months ended April 30, 2007 (unaudited) and the year ended October 31, 2006



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Broad Investment Grade
2009 Term Trust Inc.1
(BCT)

 

Core Bond Trust
(BHK)

 

 

 


 


 

 

 

2007

 

2006

 

2007

 

2006

 

 

 


 


 


 


 

Net Increase in Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

773,358

 

$

1,918,798

 

$

9,469,651

 

$

17,700,447

 

Net realized gain (loss)

 

 

15,531

 

 

(493,395

)

 

4,106,482

 

 

(8,285,073

)

Net change in unrealized appreciation/depreciation

 

 

110,151

 

 

341,005

 

 

(2,412,157

)

 

11,551,542

 

 

 



 



 



 



 

Net increase in net assets resulting from operations

 

 

899,040

 

 

1,766,408

 

 

11,163,976

 

 

20,966,916

 

 

 



 



 



 



 

Dividends and Distributions to Common Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income2

 

 

(1,330,692

)

 

(4,191,834

)

 

(10,861,547

)

 

(25,048,230

)

Net realized gains

 

 

 

 

(69,260

)

 

 

 

(7,914,351

)

Tax return of capital distributions

 

 

 

 

 

 

 

 

 

 

 



 



 



 



 

Total dividends and distributions

 

 

(1,330,692

)

 

(4,261,094

)

 

(10,861,547

)

 

(32,962,581

)

 

 



 



 



 



 

Capital Share Transactions:

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of common dividends

 

 

 

 

 

 

 

 

 

 

 



 



 



 



 

Total increase (decrease)

 

 

(431,652

)

 

(2,494,686

)

 

302,429

 

 

(11,995,665

)

 

 



 



 



 



 

Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Beginning of period

 

 

40,781,318

 

 

43,276,004

 

 

373,518,124

 

 

385,513,789

 

 

 



 



 



 



 

End of period

 

$

40,349,666

 

$

40,781,318

 

$

373,820,553

 

$

373,518,124

 

 

 



 



 



 



 

End of period undistributed (distribution in excess of) net investment income

 

$

5,276,270

 

$

5,833,604

 

$

(7,085,134

)

$

(5,693,238

)


 

 

1

Consolidated Statement of Changes in Net Assets.

2

A portion of the dividends from net investment income for the six months ended April 30, 2007 may be deemed a tax return of capital or net realized gain at fiscal year end.

See Notes to Financial Statements.

60



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

High Yield Trust
(BHY)

 

Income Opportunity Trust
(BNA)

 

Income Trust Inc.
(BKT)

 

 

 


 


 


 

 

 

2007

 

2006

 

2007

 

2006

 

2007

 

2006

 

 

 


 


 


 


 


 


 

Net Increase in Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

2,038,757

 

$

4,211,671

 

$

10,207,877

 

$

19,514,794

 

$

10,479,757

 

$

20,352,044

 

Net realized gain (loss)

 

 

(2,489,403

)

 

(2,067,969

)

 

3,233,319

 

 

(7,330,378

)

 

384,180

 

 

1,937,674

 

Net change in unrealized appreciation/depreciation

 

 

5,160,991

 

 

4,444,627

 

 

(2,012,222

)

 

7,965,246

 

 

1,461,643

 

 

1,267,311

 

 

 



 



 



 



 



 



 

Net increase in net assets resulting from operations

 

 

4,710,345

 

 

6,588,329

 

 

11,428,974

 

 

20,149,662

 

 

12,325,580

 

 

23,557,029

 

 

 



 



 



 



 



 



 

Dividends and Distributions to Common Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income2

 

 

(1,963,713

)

 

(4,175,232

)

 

(11,368,402

)

 

(22,238,524

)

 

(11,893,314

)

 

(21,910,288

)

Net realized gains

 

 

 

 

 

 

 

 

(8,976,694

)

 

 

 

 

Tax return of capital distributions

 

 

 

 

 

 

 

 

(2,162,198

)

 

 

 

(5,576,693

)

 

 



 



 



 



 



 



 

Total dividends and distributions

 

 

(1,963,713

)

 

(4,175,232

)

 

(11,368,402

)

 

(33,377,416

)

 

(11,893,314

)

 

(27,486,981

)

 

 



 



 



 



 



 



 

Capital Share Transactions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of common dividends

 

 

 

 

48,307

 

 

 

 

 

 

 

 

 

 

 



 



 



 



 



 



 

Total increase (decrease)

 

 

2,746,632

 

 

2,461,404

 

 

60,572

 

 

(13,227,754

)

 

432,266

 

 

(3,929,952

)

 

 



 



 



 



 



 



 

Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Beginning of period

 

 

50,385,237

 

 

47,923,833

 

 

384,850,299

 

 

398,078,053

 

 

414,460,172

 

 

418,390,124

 

 

 



 



 



 



 



 



 

End of period

 

$

53,131,869

 

$

50,385,237

 

$

384,910,871

 

$

384,850,299

 

$

414,892,438

 

$

414,460,172

 

 

 



 



 



 



 



 



 

End of period undistributed (distribution in excess of) net investment income

 

$

85,248

 

$

10,204

 

$

(2,061,255

)

$

(900,730

)

$

(1,932,916

)

$

(519,359

)

61



 

STATEMENTS OF CHANGES IN NET ASSETS (continued)
For the six months ended April 30, 2007 (unaudited) and the year ended October 31, 2006



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Limited Duration
Income Trust
(BLW)

 

Preferred and
Equity
Advantage
Trust1
(BTZ)

 

Strategic Bond Trust
(BHD)

 

 

 


 


 


 

 

 

2007

 

2006

 

2007

 

2007

 

2006

 

 

 


 


 


 


 


 

Net Increase in Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

26,203,023

 

$

49,596,055

 

$

23,847,974

 

$

3,394,716

 

$

6,965,538

 

Net realized gain (loss)

 

 

4,831,938

 

 

(1,589,905

)

 

(511,596

)

 

716,167

 

 

(759,640

)

Net change in unrealized appreciation/depreciation

 

 

8,021,744

 

 

2,473,132

 

 

7,329,351

 

 

1,478,277

 

 

2,082,388

 

Dividends from net investment income to Preferred Shareholders

 

 

 

 

 

 

(3,526,895

)

 

 

 

 

 

 



 



 



 



 



 

Net increase in net assets resulting from operations

 

 

39,056,705

 

 

50,479,282

 

 

27,138,834

 

 

5,589,160

 

 

8,288,286

 

 

 



 



 



 



 



 

Dividends and Distributions to Common Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income2

 

 

(27,610,100

)

 

(55,725,066

)

 

(24,271,530

)

 

(3,260,982

)

 

(6,969,104

)

Tax return of capital

 

 

 

 

(760,960

)

 

 

 

 

 

(251,641

)

 

 



 



 



 



 



 

Total dividends and distributions

 

 

(27,610,100

)

 

(56,486,026

)

 

(24,271,530

)

 

(3,260,982

)

 

(7,220,745

)

 

 



 



 



 



 



 

Capital Share Transactions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net proceeds from the issuance of common shares

 

 

 

 

 

 

1,115,290,352

 

 

 

 

 

Net proceeds from the underwriters’ over-allotment excercised

 

 

 

 

 

 

113,370,625

 

 

 

 

 

Reinvestment of common dividends

 

 

1,286,908

 

 

251,427

 

 

1,706,283

 

 

 

 

 

 

 



 



 



 



 



 

Net proceeds from capital share transactions

 

 

1,286,908

 

 

251,427

 

 

1,230,367,260

 

 

 

 

 

 

 



 



 



 



 



 

Total increase (decrease)

 

 

12,733,513

 

 

(5,755,317

)

 

1,233,234,564

 

 

2,328,178

 

 

1,067,541

 

 

 



 



 



 



 



 

Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Beginning of period

 

 

699,206,100

 

 

704,961,417

 

 

 

 

97,613,612

 

 

96,546,071

 

 

 



 



 



 



 



 

End of period

 

$

711,939,613

 

$

699,206,100

 

$

1,233,234,564

 

$

99,941,790

 

$

97,613,612

 

 

 



 



 



 



 



 

End of period undistributed (distribution in excess of) net investment income

 

$

(1,443,777

)

$

(36,700

)

$

(3,950,451

)

$

117,368

 

$

(16,366

)


 

 


1

Commencement of investment operations for Preferred and Equity Advantage Trust was December 27, 2006. This information includes the intial investment by BlackRock Funding, Inc. The other Trusts’ statements are for six months ended April 30, 2007 and the full year ended October 31, 2006.

2

A portion of the dividend from net investment income for the six months ended April 30, 2007 may be deemed a tax return of capital or net realized gain at fiscal year end.

See Notes to Financial Statements.

62


FINANCIAL HIGHLIGHTS

BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended  
April 30, 2007 
(unaudited) 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 

 


 

 

 

 

2006

 

2005

 

2004

 

2003

 

2002

 

 

 

 


 

 


 


 


 


 


 

PER SHARE OPERATING PERFORMANCE:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

 

$

13.79

 

 

$

14.63

 

$

15.98

 

$

16.02

 

$

17.33

 

$

16.05

 

 

 

 



 

 



 



 



 



 



 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

 

0.26

 

 

 

0.65

 

 

0.80

 

 

0.61

 

 

1.28

 

 

2.01

 

Net realized and unrealized gain (loss)

 

 

 

0.05

 

 

 

(0.05

)

 

(0.87

)

 

0.25

 

 

(1.40

)

 

0.04

 

 

 

 



 

 



 



 



 



 



 

Net increase (decrease) from investment operations

 

 

 

0.31

 

 

 

0.60

 

 

(0.07

)

 

0.86

 

 

(0.12

)

 

2.05

 

 

 

 



 

 



 



 



 



 



 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

 

(0.45

)1

 

 

(1.42

)

 

(1.03

)

 

(0.90

)

 

(1.19

)

 

(0.77

)

Net realized gains

 

 

 

 

 

 

(0.02

)

 

(0.25

)

 

 

 

 

 

 

 

 

 



 

 



 



 



 



 



 

Total dividends and distributions

 

 

 

(0.45

)

 

 

(1.44

)

 

(1.28

)

 

(0.90

)

 

(1.19

)

 

(0.77

)

 

 

 



 

 



 



 



 



 



 

Net asset value, end of period

 

 

$

13.65

 

 

$

13.79

 

$

14.63

 

$

15.98

 

$

16.02

 

$

17.33

 

 

 

 



 

 



 



 



 



 



 

Market price, end of period

 

 

$

15.15

 

 

$

15.08

 

$

15.86

 

$

15.80

 

$

15.85

 

$

16.18

 

 

 

 



 

 



 



 



 



 



 

TOTAL INVESTMENT RETURNS:2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

At net asset value3

 

 

 

1.96

%

 

 

3.53

%

 

(0.82

)%

 

5.52

%

 

(0.61

)%

 

13.65

%

 

 

 



 

 



 



 



 



 



 

At market value

 

 

 

3.48

%

 

 

4.44

%

 

8.74

%

 

5.45

%

 

5.32

%

 

18.34

%

 

 

 



 

 



 



 



 



 



 

RATIOS TO AVERAGE NET ASSETS:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

 

1.40

%4

 

 

1.14

%

 

2.37

%

 

2.48

%

 

2.43

%

 

2.50

%

Net expenses

 

 

 

1.40

%4

 

 

1.14

%

 

2.37

%

 

2.48

%

 

2.43

%

 

2.50

%

Net expenses excluding excise tax

 

 

 

1.13

%4

 

 

1.14

%

 

1.19

%

 

1.11

%

 

1.18

%

 

1.16

%

Net investment income

 

 

 

3.84

%4

 

 

4.50

%

 

5.23

%

 

3.83

%

 

7.54

%

 

12.22

%

SUPPLEMENTAL DATA:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets (000)

 

 

$

40,565

 

 

$

42,625

 

$

45,264

 

$

47,191

 

$

49,882

 

$

48,731

 

Portfolio turnover

 

 

 

1

%

 

 

8

%

 

116

%

 

20

%

 

39

%

 

35

%

Net assets, end of period (000)

 

 

$

40,350

 

 

$

40,781

 

$

43,276

 

$

47,255

 

$

47,381

 

$

51,244

 

Reverse repurchase agreements outstanding, end of period (000)

 

 

$

 

 

$

 

$

 

$

19,263

 

$

19,953

 

$

23,669

 

Asset coverage, end of period5

 

 

$

 

 

$

 

$

 

$

3,453

 

$

3,375

 

$

3,165

 

Reverse repurchase agreements average daily balance (000)

 

 

$

 

 

$

 

$

7,865

 

$

22,055

 

$

19,409

 

$

18,388

 

Reverse repurchase agreements weighted average interest rate

 

 

 

%

 

 

%

 

2.32

%

 

1.20

%

 

1.21

%

 

1.82

%


 

 


1

A portion of the dividend from net investment income may be deemed a tax return of capital or net realized gain at fiscal year end.

2

Total investment returns at market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Total investment returns exclude the effects of brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.

3

Unaudited.

4

Annualized.

5

Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the operating performance for a share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s shares.

See Notes to Financial Statements.

63



FINANCIAL HIGHLIGHTS

BlackRock Core Bond Trust (BHK)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended
April 30, 2007
(unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

For the period
November 30,
20011 through
October 31, 2002

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 

 

 


 

 

 

 

 

2006

 

2005

 

2004

 

2003

 

 

 

 

 


 

 


 


 


 


 

 


 

 

PER SHARE OPERATING PERFORMANCE:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

 

$

13.82

 

 

$

14.27

 

$

15.22

 

$

14.75

 

$

14.33

 

 

$

14.33

2

 

 

 

 



 

 



 



 



 



 

 



 

 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

 

0.35

 

 

 

0.66

 

 

0.78

 

 

0.92

 

 

0.83

 

 

 

0.99

 

 

Net realized and unrealized gain (loss)

 

 

 

0.07

 

 

 

0.11

 

 

(0.37

)

 

0.66

 

 

0.77

 

 

 

0.04

 

 

 

 

 



 

 



 



 



 



 

 



 

 

Net increase from investment operations

 

 

 

0.42

 

 

 

0.77

 

 

0.41

 

 

1.58

 

 

1.60

 

 

 

1.03

 

 

 

 

 



 

 



 



 



 



 

 



 

 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

 

(0.40

)3

 

 

(0.93

)

 

(1.01

)

 

(0.86

)

 

(1.00

)

 

 

(1.00

)

 

Net realized gains

 

 

 

 

 

 

(0.29

)

 

(0.35

)

 

(0.25

)

 

(0.18

)

 

 

 

 

 

 

 



 

 



 



 



 



 

 



 

 

Total dividends and distributions

 

 

 

(0.40

)

 

 

(1.22

)

 

(1.36

)

 

(1.11

)

 

(1.18

)

 

 

(1.00

)

 

 

 

 



 

 



 



 



 



 

 



 

 

Capital charges with respect to issuance of shares

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(0.03

)

 

 

 

 



 

 



 



 



 



 

 



 

 

Net asset value, end of period

 

 

$

13.84

 

 

$

13.82

 

$

14.27

 

$

15.22

 

$

14.75

 

 

$

14.33

 

 

 

 

 



 

 



 



 



 



 

 



 

 

Market price, end of period

 

 

$

12.95

 

 

$

12.86

 

$

13.69

 

$

14.02

 

$

13.57

 

 

$

13.82

 

 

 

 

 



 

 



 



 



 



 

 



 

 

TOTAL INVESTMENT RETURNS:4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

At net asset value5

 

 

 

3.27

%

 

 

6.20

%

 

3.32

%

 

11.64

%

 

11.76

%

 

 

7.47

%

 

 

 

 



 

 



 



 



 



 

 



 

 

At market value

 

 

 

3.84

%

 

 

3.07

%

 

7.46

%

 

11.93

%

 

6.62

%

 

 

(1.02

)%

 

 

 

 



 

 



 



 



 



 

 



 

 

RATIOS TO AVERAGE NET ASSETS:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

 

1.10

%6

 

 

1.08

%

 

1.50

%

 

1.32

%

 

1.05

%

 

 

1.04

%6

 

Net expenses

 

 

 

1.10

%6

 

 

1.08

%

 

1.50

%

 

1.32

%

 

1.05

%

 

 

1.04

%6

 

Net expenses excluding interest expense

 

 

 

0.76

%6

 

 

0.77

%

 

0.85

%

 

0.92

%

 

0.87

%

 

 

0.93

%6

 

Net investment income

 

 

 

5.12

%6

 

 

4.78

%

 

5.20

%

 

6.20

%

 

5.58

%

 

 

7.67

%6

 

SUPPLEMENTAL DATA:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets (000)

 

 

$

372,941

 

 

$

370,219

 

$

402,783

 

$

401,212

 

$

401,049

 

 

$

380,277

 

 

Portfolio turnover

 

 

 

37

%

 

 

88

%

 

220

%

 

398

%

 

161

%

 

 

73

%

 

Net assets, end of period (000)

 

 

$

373,821

 

 

$

373,518

 

$

385,514

 

$

411,163

 

$

398,540

 

 

$

387,238

 

 

Reverse repurchase agreements outstanding, end of period (000)

 

 

$

36,554

 

 

$

3,911

 

$

86,876

 

$

102,474

 

$

91,668

 

 

$

165,215

 

 

Asset coverage, end of period7

 

 

$

11,226

 

 

$

96,502

 

$

5,438

 

$

5,012

 

$

5,348

 

 

$

3,342

 

 

Reverse repurchase agreements average daily balance (000)

 

 

$

24,157

 

 

$

25,340

 

$

91,130

 

$

145,094

 

$

67,591

 

 

$

35,207

 

 

Reverse repurchase agreements weighted average interest rate

 

 

 

5.19

%

 

 

4.54

%

 

2.86

%

 

1.11

%

 

1.05

%

 

 

1.04

%

 


 

 


1

Commencement of investment operations. This information includes the initial investment by BlackRock Funding, Inc.

2

Net asset value, beginning of period, reflects a deduction of $0.675 per share sales charge from the initial offering price of $15.00 per share.

3

A portion of the dividend from net investment income may be deemed a tax return of capital or net realized gain at fiscal year end.

4

Total investment returns at market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Total investment returns exclude the effects of brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.

5

Unaudited.

6

Annualized.

7

Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the operating performance for a share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s shares.

See Notes to Financial Statements.

64


FINANCIAL HIGHLIGHTS

BlackRock High Yield Trust (BHY)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended
April 30, 2007
(unaudited)

 

Year Ended October 31,

 

 

 

 


 

 

 

 

2006

 

2005

 

2004

 

2003

 

2002

 

 

 


 


 


 


 


 


 

PER SHARE OPERATING PERFORMANCE:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

7.85

 

$

7.48

 

$

7.95

 

$

6.96

 

$

6.13

 

$

7.20

 

 

 



 



 



 



 



 



 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

0.32

 

 

0.66

 

 

0.68

 

 

0.92

 

 

1.06

 

 

1.20

 

Net realized and unrealized gain (loss)

 

 

0.42

 

 

0.36

 

 

(0.36

)

 

1.02

 

 

0.89

 

 

(0.98

)

 

 



 



 



 



 



 



 

Net increase from investment operations

 

 

0.74

 

 

1.02

 

 

0.32

 

 

1.94

 

 

1.95

 

 

0.22

 

 

 



 



 



 



 



 



 

Dividends to common shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.31

)1

 

(0.65

)

 

(0.79

)

 

(0.92

)

 

(1.07

)

 

(1.20

)

Tax return of capital

 

 

 

 

 

 

 

 

(0.03

)

 

(0.05

)

 

(0.09

)

 

 



 



 



 



 



 



 

Total dividends and distributions

 

 

(0.31

)

 

(0.65

)

 

(0.79

)

 

(0.95

)

 

(1.12

)

 

(1.29

)

 

 



 



 



 



 



 



 

Net asset value, end of period

 

$

8.28

 

$

7.85

 

$

7.48

 

$

7.95

 

$

6.96

 

$

6.13

 

 

 



 



 



 



 



 



 

Market price, end of period

 

$

8.32

 

$

7.77

 

$

7.36

 

$

9.30

 

$

10.25

 

$

8.68

 

 

 



 



 



 



 



 



 

TOTAL INVESTMENT RETURNS:2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

At net asset value3

 

 

9.58

%

 

14.25

%

 

2.72

%

 

29.18

%

 

25.00

%

 

(2.78

)%

 

 



 



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

At market value

 

 

11.24

%

 

14.93

%

 

(13.49

)%

 

0.28

%

 

32.87

%

 

7.97

%

 

 



 



 



 



 



 



 

RATIOS TO AVERAGE NET ASSETS:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

4.44

%4

 

4.50

%

 

3.52

%

 

2.69

%

 

3.07

%

 

3.45

%

Net expenses

 

 

4.42

%4

 

4.49

%

 

3.51

%

 

2.68

%

 

3.07

%

 

3.45

%

Net expenses excluding interest expense

 

 

2.08

%4

 

2.19

%

 

2.10

%

 

1.96

%

 

2.22

%

 

2.20

%

Net investment income

 

 

7.97

%4

 

8.74

%

 

8.71

%

 

12.16

%

 

16.37

%

 

16.29

%

SUPPLEMENTAL DATA:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets (000)

 

$

51,614

 

$

48,176

 

$

50,104

 

$

48,186

 

$

41,326

 

$

46,751

 

Portfolio turnover

 

 

38

%

 

85

%

 

102

%

 

156

%

 

30

%

 

147

%

Net assets, end of period (000)

 

$

53,132

 

$

50,385

 

$

47,924

 

$

50,914

 

$

44,438

 

$

38,953

 

Loan outstanding, end of period (000)

 

$

20,250

 

$

20,250

 

$

20,750

 

$

19,250

 

$

19,250

 

$

19,250

 

Asset coverage, end of period5

 

$

3,624

 

$

3,488

 

$

3,310

 

$

3,645

 

$

3,308

 

$

3,024

 

Loan average daily balance (000)

 

$

20,250

 

$

20,621

 

$

20,425

 

$

19,250

 

$

19,250

 

$

22,664

 

Loan weighted average interest rate

 

 

5.42

%

 

4.75

%

 

2.87

%

 

1.80

%

 

1.96

%

 

2.65

%


 

 

1

A portion of the dividend from net investment income may be deemed a tax return of capital or net realized gain at fiscal year end.

2

Total investment returns at market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Total investment returns exclude the effects of brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.

3

Unaudited.

4

Annualized.

5

Per $1,000 of loan outstanding.

The information in the above Financial Highlights represents the operating performance for a share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s shares.

See Notes to Financial Statements.

65


FINANCIAL HIGHLIGHTS

BlackRock Income Opportunity Trust (BNA)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended
April 30, 2007
(unaudited)

 

Year Ended October 31,

 

 

 

 


 

 

 

 

2006

 

2005

 

2004

 

2003

 

2002

 

 

 


 


 


 


 


 


 

PER SHARE OPERATING PERFORMANCE:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

11.17

 

$

11.56

 

$

12.38

 

$

11.93

 

$

11.83

 

$

11.47

 

 

 



 



 



 



 



 



 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

0.30

 

 

0.57

 

 

0.72

 

 

0.76

 

 

0.84

 

 

1.15

 

Net realized and unrealized gain (loss)

 

 

0.03

 

 

0.01

 

 

(0.45

)

 

0.53

 

 

0.31

 

 

(0.05

)

 

 



 



 



 



 



 



 

Net increase from investment operations

 

 

0.33

 

 

0.58

 

 

0.27

 

 

1.29

 

 

1.15

 

 

1.10

 

 

 



 



 



 



 



 



 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.33

)1

 

(0.65

)

 

(0.81

)

 

(0.84

)

 

(0.81

)

 

(0.75

)

Net realized gains

 

 

 

 

(0.26

)

 

(0.28

)

 

 

 

(0.24

)

 

 

Tax return of capital

 

 

 

 

(0.06

)

 

 

 

 

 

 

 

 

 

 



 



 



 



 



 



 

Total dividends and distributions

 

 

(0.33

)

 

(0.97

)

 

(1.09

)

 

(0.84

)

 

(1.05

)

 

(0.75

)

 

 



 



 



 



 



 



 

Increase resulting from Trust shares repurchased

 

 

 

 

 

 

 

 

 

 

 

 

0.01

 

 

 



 



 



 



 



 



 

Net asset value, end of period

 

$

11.17

 

$

11.17

 

$

11.56

 

$

12.38

 

$

11.93

 

$

11.83

 

 

 



 



 



 



 



 



 

Market price, end of period

 

$

10.70

 

$

10.58

 

$

10.90

 

$

11.38

 

$

10.95

 

$

10.50

 

 

 



 



 



 



 



 



 

TOTAL INVESTMENT RETURNS:2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

At net asset value3

 

 

3.15

%

 

5.76

%

 

3.03

%

 

11.81

%

 

10.92

%

 

11.14

%

 

 



 



 



 



 



 



 

At market value

 

 

4.32

%

 

6.27

%

 

5.53

%

 

12.04

%

 

14.71

%

 

8.44

%

 

 



 



 



 



 



 



 

RATIOS TO AVERAGE NET ASSETS:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.73

%4

 

1.61

%

 

1.72

%

 

1.11

%

 

1.29

%

 

1.40

%

Net expenses

 

 

1.73

%4

 

1.61

%

 

1.72

%

 

1.11

%

 

1.29

%

 

1.40

%

Net expenses excluding interest expense

 

 

0.87

%4

 

0.89

%

 

0.87

%

 

0.84

%

 

0.89

%

 

0.93

%

Net investment income

 

 

5.36

%4

 

4.92

%

 

5.97

%

 

6.29

%

 

6.99

%

 

10.04

%

SUPPLEMENTAL DATA:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets (000)

 

$

383,898

 

$

381,726

 

$

413,777

 

$

415,131

 

$

413,543

 

$

394,495

 

Portfolio turnover

 

 

77

%

 

131

%

 

396

%

 

300

%

 

46

%

 

153

%

Net assets, end of period (000)

 

$

384,911

 

$

384,850

 

$

398,078

 

$

426,643

 

$

410,981

 

$

407,480

 

Reverse repurchase agreements outstanding, end of period (000)

 

$

61,185

 

$

34,326

 

$

120,179

 

$

94,644

 

$

103,378

 

$

85,704

 

Asset coverage, end of period5

 

$

7,291

 

$

12,212

 

$

4,312

 

$

5,508

 

$

4,976

 

$

5,755

 

Reverse repurchase agreements average daily balance (000)

 

$

62,115

 

$

59,691

 

$

122,457

 

$

97,264

 

$

136,172

 

$

36,153

 

Reverse repurchase agreements weighted average interest rate

 

 

5.26

%

 

4.59

%

 

2.87

%

 

1.14

%

 

1.22

%

 

1.93

%


 

 

1

A portion of the dividend from net investment income may be deemed a tax return of capital or net realized gain at fiscal year end.

2

Total investment returns at market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Total investment returns exclude the effects of brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.

3

Unaudited.

4

Annualized.

5

Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the operating performance for a share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s shares.

See Notes to Financial Statements.

66


FINANCIAL HIGHLIGHTS

BlackRock Income Trust Inc. (BKT)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended
April 30, 2007
(unaudited)

 

Year Ended October 31,

 

 

 

 


 

 

 

 

2006

 

2005

 

2004

 

2003

 

2002

 

 

 


 


 


 


 


 


 

PER SHARE OPERATING PERFORMANCE:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

6.48

 

$

6.54

 

$

6.95

 

$

7.21

 

$

8.13

 

$

8.06

 

 

 



 



 



 



 



 



 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

0.17

 

 

0.32

 

 

0.44

 

 

0.51

 

 

0.61

 

 

0.99

 

Net realized and unrealized gain (loss)

 

 

0.03

 

 

0.05

 

 

(0.30

)

 

(0.16

)

 

(0.52

)

 

(0.35

)

 

 



 



 



 



 



 



 

Net increase from investment operations

 

 

0.20

 

 

0.37

 

 

0.14

 

 

0.35

 

 

0.09

 

 

0.64

 

 

 



 



 



 



 



 



 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.19

)1

 

(0.34

)

 

(0.48

)

 

(0.61

)

 

(1.01

)

 

(0.57

)

Tax return of capital

 

 

 

 

(0.09

)

 

(0.07

)

 

 

 

 

 

 

 

 



 



 



 



 



 



 

Total dividends and distributions

 

 

(0.19

)

 

(0.43

)

 

(0.55

)

 

(0.61

)

 

(1.01

)

 

(0.57

)

 

 



 



 



 



 



 



 

Net asset value, end of period

 

$

6.49

 

$

6.48

 

$

6.54

 

$

6.95

 

$

7.21

 

$

8.13

 

 

 



 



 



 



 



 



 

Market price, end of period

 

$

6.21

 

$

6.07

 

$

5.90

 

$

7.50

 

$

7.71

 

$

8.07

 

 

 



 



 



 



 



 



 

TOTAL INVESTMENT RETURNS:2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

At net asset value3

 

 

3.16

%

 

6.06

%

 

1.97

%

 

5.16

%

 

1.20

%

 

8.50

%

 

 



 



 



 



 



 



 

At market value

 

 

5.37

%

 

10.18

%

 

(14.63

)%

 

5.97

%

 

15.41

%

 

15.35

%

 

 



 



 



 



 



 



 

RATIOS TO AVERAGE NET ASSETS:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

2.58

%4

 

2.85

%

 

2.80

%

 

1.37

%

 

1.36

%

 

2.05

%

Net expenses

 

 

2.57

%4

 

2.84

%

 

2.79

%

 

1.37

%

 

1.36

%

 

2.05

%

Net expenses excluding interest expense

 

 

0.99

%4

 

1.00

%

 

0.99

%

 

0.97

%

 

1.02

%

 

1.03

%

Net investment income

 

 

5.11

%4

 

4.92

%

 

6.54

%

 

7.13

%

 

8.18

%

 

12.28

%

SUPPLEMENTAL DATA:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets (000)

 

$

413,275

 

$

413,597

 

$

430,035

 

$

447,984

 

$

472,676

 

$

506,533

 

Portfolio turnover

 

 

157

%

 

80

%

 

60

%

 

120

%

 

64

%

 

125

%

Net assets, end of period (000)

 

$

414,892

 

$

414,460

 

$

418,390

 

$

442,635

 

$

457,301

 

$

511,385

 

Reverse repurchase agreements outstanding, end of period (000)

 

$

36,190

 

$

70,691

 

$

149,558

 

$

223,736

 

$

121,767

 

$

205,792

 

Asset coverage, end of period5

 

$

12,464

 

$

6,863

 

$

3,798

 

$

2,978

 

$

4,756

 

$

3,485

 

Reverse repurchase agreements average daily balance (000)

 

$

70,182

 

$

104,393

 

$

180,553

 

$

158,278

 

$

135,804

 

$

173,501

 

Reverse repurchase agreements weighted average interest rate

 

 

5.21

%

 

4.54

%

 

2.81

%

 

1.12

%

 

1.17

%

 

1.81

%


 

 

1

A portion of the dividend from net investment income may be deemed a tax return of capital or net realized gain at fiscal year end.

2

Total investment returns at market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Total investment returns exclude the effects of brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.

3

Unaudited.

4

Annualized.

5

Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the operating performance for a share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s shares.

See Notes to Financial Statements.

67


FINANCIAL HIGHLIGHTS

BlackRock Limited Duration Income Trust (BLW)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended
April 30, 2007
(unaudited)

 

 

 

 

 

For the period
July 30, 20031
through
October 31, 2003

 

 

 

 

Year Ended October 31,

 

 

 

 



 

 

 

 

 

2006

 

2004

 

2005

 

 

 

 


 


 


 


 


 

PER SHARE OPERATING PERFORMANCE:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

19.01

 

$

19.17

 

$

20.13

 

$

19.74

 

$

19.10

2

 

 



 



 



 



 



 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

0.71

 

 

1.35

 

 

1.46

 

 

1.46

 

 

0.33

 

Net realized and unrealized gain (loss)

 

 

0.35

 

 

0.03

 

 

(0.94

)

 

0.43

 

 

0.60

 

 

 



 



 



 



 



 

Net increase from investment operations

 

 

1.06

 

 

1.38

 

 

0.52

 

 

1.89

 

 

0.93

 

 

 



 



 



 



 



 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.75

)3

 

(1.52

)

 

(1.33

)

 

(1.49

)

 

(0.25

)

Net realized gains

 

 

 

 

 

 

(0.15

)

 

(0.01

)

 

 

Tax return of capital

 

 

 

 

(0.02

)

 

 

 

 

 

 

 

 



 



 



 



 



 

Total dividends and distributions

 

 

(0.75

)

 

(1.54

)

 

(1.48

)

 

(1.50

)

 

(0.25

)

 

 



 



 



 



 



 

Capital charges with respect to issuance of shares

 

 

 

 

 

 

 

 

 

 

(0.04

)

 

 



 



 



 



 



 

Net asset value, end of period

 

$

19.32

 

$

19.01

 

$

19.17

 

$

20.13

 

$

19.74

 

 

 



 



 



 



 



 

Market price, end of period

 

$

19.57

 

$

18.85

 

$

17.48

 

$

19.95

 

$

18.80

 

 

 



 



 



 



 



 

TOTAL INVESTMENT RETURNS:4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

At net asset value5

 

 

5.67

%

 

7.85

%

 

2.93

%

 

10.17

%

 

4.71

%

 

 



 



 



 



 



 

At market value

 

 

7.95

%

 

17.31

%

 

(5.30

)%

 

14.64

%

 

(4.77

)%

 

 



 



 



 



 



 

RATIOS TO AVERAGE NET ASSETS:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

2.44

%6

 

2.20

%

 

1.71

%

 

1.26

%

 

0.82

%6

Net expenses

 

 

2.43

%6

 

2.19

%

 

1.71

%

 

1.25

%

 

0.82

%6

Net expenses excluding interest expense

 

 

0.84

%6

 

0.91

%

 

0.92

%

 

0.90

%

 

0.79

%6

Net investment income

 

 

7.50

%6

 

7.10

%

 

7.42

%

 

7.34

%

 

6.87

%6

SUPPLEMENTAL DATA:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets (000)

 

$

704,563

 

$

698,382

 

$

722,668

 

$

730,369

 

$

686,655

 

Portfolio turnover

 

 

46

%

 

132

%

 

70

%

 

215

%

 

127

%

Net assets, end of period (000)

 

$

711,940

 

$

699,206

 

$

704,961

 

$

739,225

 

$

724,747

 

Reverse repurchase agreements outstanding, end of period (000)

 

$

182,178

 

$

220,000

 

$

176,010

 

$

159,416

 

$

118,993

 

Asset coverage, end of period7

 

$

4,908

 

$

4,178

 

$

5,005

 

$

5,637

 

$

7,091

 

Reverse repurchase agreements average daily balance (000)

 

$

207,835

 

$

179,366

 

$

186,660

 

$

195,845

 

$

26,591

 

Reverse repurchase agreements weighted average interest rate

 

 

5.34

%

 

4.96

%

 

3.08

%

 

1.32

%

 

0.76

%


 

 


1

Commencement of investment operations. This information includes the initial investment by BlackRock Funding, Inc.

2

Net asset value, beginning of period, reflects a deduction of $0.90 per share sales charge from the initial offering price of $20.00 per share.

3

A portion of the dividend from net investment income may be deemed a tax return of capital or net realized gain at fiscal year end.

4

Total investment returns at market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Total investment returns exclude the effects of brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.

5

Unaudited.

6

Annualized.

7

Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the operating performance for a share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s shares.

See Notes to Financial Statements.

68


FINANCIAL HIGHLIGHTS

BlackRock Preferred and Equity Advantage Trust (BTZ)

 


 

 

 

 

 

 

 

For the period
December 27,
20061 through
April 30, 2007
(unaudited)

 

 

 


 

PER SHARE OPERATING PERFORMANCE:

 

 

 

 

Net asset value, beginning of period

 

$

23.88

2

 

 



 

Investment operations:

 

 

 

 

Net investment income

 

 

0.46

 

Net realized and unrealized gain

 

 

0.16

 

Dividends to preferred shareholders from net investment income

 

 

(0.07

)

 

 



 

Net increase from investment operations

 

 

0.55

 

 

 



 

Dividends to common shareholders from net investment income3

 

 

(0.47

)

 

 



 

Capital charges with respect to issuance of:

 

 

 

 

Common shares

 

 

(0.04

)

Preferred shares

 

 

(0.13

)

 

 



 

Total capital charges

 

 

(0.17

)

 

 



 

Net asset value, end of period

 

$

23.79

 

 

 



 

Market price, end of period

 

$

23.43

 

 

 



 

TOTAL INVESTMENT RETURNS:4

 

 

 

 

At net asset value

 

 

1.63

%

 

 



 

At market value

 

 

(4.41

)%

 

 



 

RATIOS TO AVERAGE NET ASSETS:5,6

 

 

 

 

Total expenses

 

 

2.28

%

Net expenses

 

 

2.27

%

Net expenses excluding interest expense and excise tax

 

 

0.94

%

Net investment income before preferred share dividends

 

 

5.80

%

Preferred share dividends

 

 

0.86

%

Net investment income available to common shareholders

 

 

4.94

%

SUPPLEMENTAL DATA:

 

 

 

 

Average net assets (000)

 

$

1,200,281

 

Portfolio turnover

 

 

24

%

Net assets applicable to common shareholders, end of period (000)

 

$

1,233,235

 

Reverse repurchase agreements outstanding, end of period (000)

 

$

10,061

 

Preferred shares value outstanding, end of period (000)

 

$

462,000

 

Asset coverage, end of period

 

$

92,293

 

Reverse repurchase agreements average daily balance (000)

 

$

201,159

 

Reverse repurchase agreements weighted average interest rate

 

 

5.39

%


 

 


1

Commencement of investment operations. This information includes the initial investment by BlackRock Funding, Inc.

2

Net asset value, beginning of period, reflects a deduction of $1.125 per share sales charge from the initial offering price of $25.00 per share.

3

A portion of the dividend from net investment income may be deemed a tax return of capital or net realized gain at fiscal year end.

4

Total investment returns at market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Total investment returns exclude the effects of brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.

5

Annualized.

6

Ratios are calculated on the basis of income and expenses applicable to both the common and preferred shares relative to the average net assets of the common shareholders.

The information in the above Financial Highlights represents the operating performance for a common share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s common shares.

69


FINANCIAL HIGHLIGHTS

BlackRock Strategic Bond Trust (BHD)

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended
April 30, 2007
(unaudited)

 

 

 

For the period
February 28,
20021 through
October 31, 2002

 

 

 

 

Year Ended October 31,

 

 

 

 

 


 

 

 

 

 

2006

 

2005

 

2004

 

2003

 

 

 

 


 


 


 


 


 


 

PER SHARE OPERATING PERFORMANCE:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

13.83

 

$

13.68

 

$

15.10

 

$

15.07

 

$

12.63

 

$

14.33

2

 

 



 



 



 



 



 



 

Investment operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

0.48

 

 

0.99

 

 

1.10

 

 

1.39

 

 

1.59

 

 

0.98

 

Net realized and unrealized gain (loss)

 

 

0.31

 

 

0.18

 

 

(1.13

)

 

0.25

 

 

2.34

 

 

(1.77

)

 

 



 



 



 



 



 



 

Net increase (decrease) from investment operations

 

 

0.79

 

 

1.17

 

 

(0.03

)

 

1.64

 

 

3.93

 

 

(0.79

)

 

 



 



 



 



 



 



 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.46

)3

 

(0.98

)

 

(1.12

)

 

(1.61

)

 

(1.49

)

 

(0.84

)

Tax return of capital

 

 

 

 

(0.04

)

 

(0.27

)

 

 

 

 

 

 

 

 



 



 



 



 



 



 

Total dividends and distributions

 

 

(0.46

)

 

(1.02

)

 

(1.39

)

 

(1.61

)

 

(1.49

)

 

(0.84

)

 

 



 



 



 



 



 



 

Capital charges with respect to issuance of shares

 

 

 

 

 

 

 

 

 

 

 

 

(0.07

)

 

 



 



 



 



 



 



 

Net asset value, end of period

 

$

14.16

 

$

13.83

 

$

13.68

 

$

15.10

 

$

15.07

 

$

12.63

 

 

 



 



 



 



 



 



 

Market price, end of period

 

$

13.19

 

$

12.85

 

$

12.45

 

$

16.70

 

$

15.27

 

$

12.35

 

 

 



 



 



 



 



 



 

TOTAL INVESTMENT RETURNS:4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

At net asset value5

 

 

6.01

%

 

9.58

%

 

(0.49

)%

 

11.35

%

 

32.55

%

 

(6.16

)%

 

 



 



 



 



 



 



 

At market value

 

 

6.28

%

 

11.87

%

 

(18.11

)%

 

21.54

%

 

37.36

%

 

(12.34

)%

 

 



 



 



 



 



 



 

RATIOS TO AVERAGE NET ASSETS:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.79

%6

 

2.25

%

 

2.14

%

 

1.49

%

 

2.01

%

 

2.57

%6

Net expenses

 

 

1.58

%6

 

2.00

%

 

1.87

%

 

1.23

%

 

1.71

%

 

2.26

%6

Net expenses excluding interest expense

 

 

0.90

%6

 

0.94

%

 

0.92

%

 

0.89

%

 

1.01

%

 

1.25

%6

Net investment income

 

 

6.92

%6

 

7.26

%

 

7.58

%

 

9.23

%

 

11.32

%

 

10.68

%6

SUPPLEMENTAL DATA:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average net assets (000)

 

$

98,857

 

$

96,003

 

$

101,990

 

$

106,330

 

$

98,498

 

$

95,675

 

Portfolio turnover

 

 

21

%

 

56

%

 

51

%

 

31

%

 

32

%

 

22

%

Net assets, end of period (000)

 

$

99,942

 

$

97,614

 

$

96,546

 

$

106,433

 

$

106,045

 

$

88,594

 

Reverse repurchase agreements outstanding, end of period (000)

 

$

10,480

 

$

14,951

 

$

31,883

 

$

13,188

 

$

45,872

 

$

44,223

 

Asset coverage, end of period7

 

$

10,537

 

$

7,529

 

$

4,028

 

$

9,071

 

$

3,312

 

$

3,003

 

Reverse repurchase agreements average daily balance (000)

 

$

12,675

 

$

21,104

 

$

30,406

 

$

27,562

 

$

46,036

 

$

44,889

 

Reverse repurchase agreements weighted average interest rate

 

 

5.36

%

 

4.81

%

 

3.20

%

 

1.33

%

 

1.51

%

 

1.45

%


 

 


1

Commencement of investment operations. This information includes the initial investment by BlackRock Funding, Inc.

2

Net asset value, beginning of period, reflects a deduction of $0.675 per share sales charge from the initial offering price of $15.00 per share.

3

A portion of the dividend from net investment income may be deemed a tax return of capital or net realized gain at fiscal year end.

4

Total investment returns at market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Total investment returns exclude the effects of brokerage commissions. Total investment returns for less than a full year are not annualized. Past performance is not a guarantee of future results.

5

Unaudited.

6

Annualized.

7

Per $1,000 of reverse repurchase agreements outstanding.

The information in the above Financial Highlights represents the operating performance for a share outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been determined based upon financial information provided in the financial statements and market price data for the Trust’s shares.

See Notes to Financial Statements.

70



s

NOTES TO FINANCIAL STATEMENTS (unaudited)


Note 1. Organization & Accounting Policies

BlackRock Broad Investment Grade 2009 Term Trust Inc. (“Broad Investment Grade”), BlackRock Core Bond Trust (“Core Bond”), BlackRock High Yield Trust (“High Yield”), BlackRock Income Opportunity Trust (“Income Opportunity”), BlackRock Income Trust Inc. (“Income Trust”), BlackRock Limited Duration Income Trust (“Limited Duration”) and BlackRock Strategic Bond Trust (“Strategic Bond”) are registered as diversified, closed-end management investment companies under the Investment Company Act of 1940, as amended (the “1940 Act”). BlackRock Preferred and Equity Advantage Trust (“Preferred and Equity”) is registered as a non-diversified, closed-end management investment company under the 1940 Act. Broad Investment Grade, Income Opportunity and Income Trust are organized as Maryland corporations. Core Bond, High Yield, Limited Duration, Equity and Preferred and Strategic Bond are organized as Delaware statutory trusts. Broad Investment Grade, Core Bond, High Yield, Income Opportunity, Income Trust, Limited Duration, Preferred and Equity and Strategic Bond are individually referred to as a “Trust” and collectively as the “Trusts”.

          Preferred and Equity was organized on October 26, 2006 and had no transactions until November 21, 2006 when the Trust sold 4,817 common shares for $115,006 to BlackRock Funding, Inc. Investment operations for Preferred and Equity commenced on December 27, 2006. The Trust incurred organization costs which were deferred from the organization date until the commencement of operations.

          On December 3, 1999, Broad Investment Grade transferred a substantial portion of its total assets to a 100% owned regulated investment company subsidiary called BCT Subsidiary, Inc. The financial statements and these notes to the financial statements for Broad Investment Grade are consolidated and include the operations of both Broad Investment Grade and its wholly owned subsidiary after elimination of all intercompany transactions and balances.

          Under the Trusts’ organizational documents, their officers and Trustees (as defined below) are indemnified against certain liabilities arising out of the performance of their duties to the Trusts. In addition, in the normal course of business, the Trusts enter into contracts with their vendors and others that provide for general indemnifications. The Trusts’ maximum exposure under these arrangements are unknown as this would involve future claims that may be made against the Trusts. However, based on experience, the Trusts consider the risk of loss from such claims to be remote.

          The following is a summary of significant accounting policies followed by the Trusts.

Investment Valuation: The Trusts value most of their investments on the basis of current market quotations provided by dealers or pricing services selected under the supervision of each Trust’s Board (the “Board”) of Directors/Trustees (the “Trustees”). In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, market transactions in comparable investments, various relationships observed in the market between investments, and calculated yield measures based on valuation technology commonly employed in the market for such investments. Exchange-traded options are valued at their last sales price as of the close of options trading on applicable exchanges. In the absence of a last sale price, options are valued at the average of the quoted bid and asked prices as of the close of business. Swap quotations are provided by dealers selected under supervision of the Board. A futures contract is valued at the last sale price as of the close of the commodities exchange on which it trades. Short-term securities may be valued at amortized cost. Investments or other assets for which such current market quotations are not readily available are valued at fair value (“Fair Value Assets”) as determined in good faith under procedures established by, and under the general supervision and responsibility of, each Trust’s Board. The investment advisor and/or sub-advisor will submit its recommendations regarding the valuation and/or valuation methodologies for Fair Value Assets to a valuation committee. The valuation committee may accept, modify or reject any recommendations. The pricing of all Fair Value Assets shall be subsequently reported to the Board.

          When determining the price for a Fair Value Asset, the investment advisor and/or sub-advisor shall seek to determine the price that the Trust might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that BlackRock Advisors deems relevant.

          In September 2006, Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”), was issued and is effective for fiscal years beginning after November 15, 2007. FAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. At this time, management is evaluating the implication of FAS 157 and its impact on the Trusts’ financial statements, if any, has not been determined.

          In addition, in February 2007, Statement of Financial Accounting Standards No. 159, “The Fair Value Option for Financial Assets and Financial Liabilities” (“FAS 159”), was issued and is effective for fiscal years beginning after November 15, 2007. Early adoption is permitted as of the beginning of a fiscal year that begins on or before November 15, 2007, provided the entity also elects to apply the provisions of FAS 157. FAS 159 permits entities to choose to measure many financial instruments and certain other items at fair value that are not currently required to be measured at fair value. FAS 159 also establishes presentation and disclosure requirements designed to facilitate comparisons between entities that choose different measurement attributes for similar types of assets and liabilities. At this time, management is evaluating the implications of FAS 159 and its impact on the Trusts’ financial statements, if any, has not been determined.

Investment Transactions and Investment Income: Investment transactions are recorded on trade date. The cost of investments sold and the related gain or loss is determined by use of the specific identification method, generally first-in, first-out, for both financial reporting and federal income tax purposes. Each Trust records interest income on an accrual basis and amortizes premium and/or accretes discount on securities purchased using the interest method.

          Each Trust may, from time to time, purchase, in the secondary market, certain mortgage pass-through securities packaged or master serviced by affiliates or mortgage-related securities containing loans or mortgages originated by Merrill Lynch & Co., Inc. and PNC Bank, or their affiliates, including Midland Loan Services, Inc., each of which may be presumed to be an affiliate of BlackRock Advisors, LLC. It is possible, under certain circumstances, that Merrill Lynch Mortgage Investors, Inc. and PNC Mortgage Securities Corp. or their affiliates, including Midland Loan Services, Inc., could have interests that are in conflict with the holders of these mortgage-backed securities, and such hold-

71


ers could have rights against Merrill Lynch Mortgage Investors, Inc. and PNC Mortgage Securities Corp. or their affiliates, including Midland Loan Services, Inc.

Reverse Repurchase Agreements: The Trusts may enter into reverse repurchase agreements with qualified third-party broker-dealers as determined by and under the direction of the Trusts’ Board. Interest on the value of reverse repurchase agreements issued and outstanding is based upon competitive market rates at the time of issuance. At the time a Trust enters into a reverse repurchase agreement, it will establish and maintain a segregated account with the lender, containing liquid investment grade securities having a value not less than the repurchase price, including accrued interest of the reverse repurchase agreement.

Dollar Rolls: The Trusts may enter into dollar rolls in which a Trust sells securities for delivery in the current month and simultaneously contracts to repurchase substantially similar (same type, coupon and maturity) securities on a specified future date. During the roll period the Trusts forgo principal and interest paid on the securities. The Trusts will be compensated by the interest earned on the cash proceeds of the initial sale and/or by the lower repurchase price at the future date.

Loan Payable: High Yield has a $32 million committed credit facility (the “facility”). Under the terms of the facility, the Trust borrows at the London Interbank Offered Rate (“LIBOR”) plus facility and administrative fees. In addition, the Trust pays a liquidity fee on the unused portion of the facility. The Trust may borrow up to 331/3% of its total assets up to the committed amount. In accordance with the terms of the facility, the Trust has pledged its portfolio assets as collateral for the borrowing.

Bank Loans: In the process of buying, selling and holding bank loans, a Trust may receive and/or pay certain fees. These fees are included in the purchase price and may include facility fees, commitment fees, amendment fees, commissions and prepayment penalty fees. These fees are amortized as premioum and/or accreted as discount over the term of the loan. When a Trust buys a bank loan it may receive a facility fee and when it sells a bank loan 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 portion of a bank loan. In certain circumstances, a Trust may receive a prepayment penalty fee upon the prepayment of a bank loan by a borrower. Other fees received by a Trust may include covenant waiver fees and covenant modification fees.

          A Trust may invest in multiple series or tranches of an issuer. A different series or tranche may have varying terms and carry different associated risks.

Option Writing/Purchasing: When a Trust writes or purchases an option, an amount equal to the premium received or paid by the Trust is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by the Trust on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or the proceeds from the sale in determining whether a Trust has realized a gain or a loss on investment transactions. A Trust, as writer of an option, may have no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option.

          Option writing and purchasing may be used by the Trusts as an attempt to manage the duration of positions, or collections of positions, so that changes in interest rates do not adversely affect the targeted duration of the portfolio unexpectedly. Duration is a measure of the price sensitivity of a security or a portfolio to relative changes in interest rates. For instance, a duration of “one” means that a portfolio’s or a security’s price would be expected to change by approximately one percent with a one percent change in interest rates, while a duration of five would imply that the price would move approximately five percent in relation to a one percent change in interest rates.

          A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the seller to sell (when the option is exercised), the underlying position at the exercise 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 position at the exercise price at any time or at a specified time during the option period. The main risk that is associated with purchasing options is that the option expires without being exercised. In this case, the option expires worthless and the premium paid for the option is considered the loss. The risk associated with writing call options is that a Trust may forgo the opportunity for a profit if the market value of the underlying position increases and the option is exercised. The risk in writing put options is that a Trust may incur a loss if the market value of the underlying position decreases and the option is exercised. In addition, the Trust risks not being able to enter into a closing transaction for the written option as the result of an illiquid market.

Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Trust may not fully recoup its initial investment in IOs. Such securities will be considered liquid only if so determined in accordance with guidelines established by the Trustees.

Inverse Floating Rate Securities: The Trusts may invest in inverse floating rate securities that pay interest at a rate that varies inversely with interest rates. As interest rates rise, inverse floating rates decline. The market value of such securities is more volatile than comparable fixed rate securities.

Credit Default Swaps: Credit default swaps are agreements in which one party pays fixed periodic payments to a counterparty in consideration for a guarantee from the counterparty to make a specific payment should a negative credit event take place. Risks arise from the possible inability of the counterparties to meet the terms of their contracts.

72


          During the term of the swap, changes in the value of the swap are recognized as unrealized gains or losses by “marking-to-market” to reflect the market value of the swap. When the swap is terminated, a Trust will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust’s basis in the contract, if any.

          The Trusts are exposed to credit loss in the event of non-performance by the other party to the swap. However, the Trusts closely monitor swaps and do not anticipate non-performance by any counterparty.

Total Return Swaps: Total return swaps are agreements in which one party commits to pay interest in exchange for a market-linked return. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Trust will receive a payment from or make a payment to the counterparty.

          During the term of the swap, changes in the value of the swap are recognized as unrealized gains or losses by “marking-to-market” to reflect the market value of the swap. When the swap is terminated, a Trust will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust’s basis in the contract, if any.

          The Trusts are exposed to credit loss in the event of non-performance by the other party to the swap. However, the Trusts closely monitor swaps and do not anticipate non-performance by any counterparty.

Interest Rate Swaps: In an interest rate swap, one investor pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, an investor may pay a fixed rate and receive a floating rate. Interest rate swaps are efficient as asset/liability management tools. In more complex swaps, the notional principal amount may decline (or amortize) over time.

          During the term of the swap, changes in the value of the swap are recognized as unrealized gains or losses by “marking-to-market” to reflect the market value of the swap. When the swap is terminated, a Trust will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust’s basis in the contract, if any.

          The Trusts are exposed to credit loss in the event of non-performance by the other party to the swap. However, the Trusts closely monitor swaps and do not anticipate non-performance by any counterparty.

Swap Options: Swap options 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 swap option is granting or buying the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the option. Premiums received or paid from writing or purchasing options are recorded as liabilities or assets and are subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by a Trust on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commission, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or the proceeds from the sale in determining whether a Trust has realized a gain or loss on investment transactions.

          The main risk that is associated with purchasing swap options is that the swap option expires without being exercised. In this case, the option expires worthless and the premium paid for the swap option is considered the loss. The main risk that is associated with the writing of a swap option is the market risk of an unfavorable change in the value of the interest rate swap underlying the written swap option.

          Swap options may be used by the Trusts to manage the duration of the Trusts’ portfolios in a manner similar to more generic options described above.

Interest Rate Caps: Interest rate caps are similar to interest rate swaps, except that one party agrees to pay a fee, while the other party pays the excess, if any, of a floating rate over a specified fixed or floating rate.

          Interest rate caps are intended to both manage the duration of the Trusts’ portfolios and their exposure to changes in short-term interest rates. Owning interest rate caps reduces a portfolio’s duration, making it less sensitive to changes in interest rates from a market value perspective. The effect on income involves protection from rising short-term interest rates, which the Trusts experience primarily in the form of leverage.

          The Trusts are exposed to credit loss in the event of non-performance by the other party to the interest rate cap. However, the Trusts do not anticipate non-performance by any counterparty.

          Transaction fees paid or received by the Trusts are recognized as assets or liabilities and amortized or accreted into interest expense or income over the life of the interest rate cap. The asset or liability is subsequently adjusted to the current market value of the interest rate cap purchased or sold. Changes in the value of the interest rate cap are recognized as unrealized gains and losses.

Interest Rate Floors: Interest rate floors are similar to interest rate swaps, except that one party agrees to pay a fee, while the other party pays the deficiency, if any, of a floating rate under a specified fixed or floating rate.

          Interest rate floors are used by the Trusts to both manage the duration of the portfolios and their exposure to changes in short-term interest rates. Selling interest rate floors reduces a portfolio’s duration, making it less sensitive to changes in interest rates from a market value perspective. The Trusts’ leverage provides extra income in a period of falling rates. Selling floors reduces some of that extra income by partially monetizing it as an up front payment which the Trusts receive.

          The Trusts are exposed to credit loss in the event of non-performance by the other party to the interest rate floor. However, the Trusts do not anticipate non-performance by any counterparty.

          Transaction fees paid or received by the Trusts are recognized as assets or liabilities and amortized or accreted into interest expense or income over the life of the interest rate floor. The asset or liability is subsequently adjusted to the current market value of the interest rate floor purchased or sold. Changes in the value of the interest rate floor are recognized as unrealized gains and losses.

73


Financial Futures Contracts: A futures contract is an agreement between two parties to buy and sell a financial instrument for a set price on a future date. Initial margin deposits are made upon entering into futures contracts and can be either cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by “marking-to-market” on a daily basis to reflect the market value of the contract at the end of each day’s trading. Variation margin payments are made or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, a Trust records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust’s basis in the contract.

          Financial futures contracts, when used by the Trusts, help in maintaining a targeted duration. Futures contracts can be sold to effectively shorten an otherwise longer duration portfolio. In the same sense, futures contracts can be purchased to lengthen a portfolio that is shorter than its duration target. Thus, by buying or selling futures contracts, the Trusts attempt to manage the duration of positions so that changes in interest rates do not change the duration of the portfolio unexpectedly.

Forward Currency Contracts: The Trusts enter into forward currency contracts primarily to facilitate settlement of purchases and sales of foreign securities and to help manage the overall exposure to foreign currency. A forward contract is a commitment to purchase or sell a foreign currency at a future date (usually the security transaction settlement date) at a negotiated forward rate. In the event that a security fails to settle within the normal settlement period, the forward currency contract is renegotiated at a new rate. The gain or loss arising from the difference between the settlement value of the original and renegotiated forward contracts is isolated and is included in net realized gains (losses) from foreign currency transactions. Risks may arise as a result of the potential inability of the counterparties to meet the terms of their contract.

          Forward currency contracts, when used by the Trusts, help to manage the overall exposure to the foreign currency backing some of the investments held by the Trusts. Forward currency contracts are not meant to be used to eliminate all of the exposure to the foreign currency, rather they allow the Trusts to limit their exposure to foreign currency within a narrow band to the objectives of the Trusts.

Foreign Currency Translation: Foreign currency amounts are translated into United States dollars on the following basis:

 

 

 

 

(i)

market value of investment securities, assets and liabilities at the current rate of exchange; and

 

 

 

 

(ii)

purchases and sales of investment securities, income and expenses-at the rates of exchange prevailing on the respective dates of such transactions.

          The Trusts isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held at period end. Similarly, the Trusts isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of portfolio securities sold during the period.

          Net realized and unrealized foreign exchange gains and losses including realized foreign exchange gains and losses from sales and maturities of foreign portfolio securities, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, the difference between the amounts of interest and discount recorded on the Trusts’ books and the U.S. dollar equivalent amounts actually received or paid, and changes in unrealized foreign exchange gains and losses in the value of portfolio securities and other assets and liabilities arising as a result of changes in the exchange rate.

          Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin, including unanticipated movements in the value of the foreign currency relative to the U.S. dollar.

Short Sales: The Trusts may make short sales of securities as a method of managing potential price declines in similar securities owned. When a Trust makes a short sale, it may borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the sale. The Trusts may have to pay a fee to borrow the particular securities and may be obligated to pay over any payments received on such borrowed securities. A gain, limited to the price at which a Trust sold the security short, or a loss, unlimited as to dollar amount, will be recognized upon the termination of a short sale if the market price is greater or less than the proceeds originally received.

Bonds Borrowed Agreements: In a bonds borrowed agreement, the Trust borrows securities from a third party, with the commitment that they will be returned to the lender on an agreed-upon date. Bonds borrowed agreements are primarily entered into to settle short positions. In a bonds borrowed agreement, the Trust’s prime broker or third party broker takes possession of the underlying collateral securities or cash to settle such short positions. The value of the underlying collateral securities or cash approximates the principal amount of the bonds borrowed transaction, including accrued interest. To the extent that bonds borrowed transactions exceed one business day, the value of the collateral with any counterparty is marked-to-market on a daily basis to ensure the adequacy of the collateral. If the lender defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the lender of the security, realization of the collateral by the Trust may be delayed or limited.

Segregation: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that each Trust segregate assets in connection with certain investments (e.g., when issued securities, reverse repurchase agreements, swaps or futures contracts), each Trust will, consistent with certain interpretive letters issued by the SEC, designate on its books and records cash or other liquid debt securities having a market value at least equal to the amount that would otherwise be required to be physically segregated.

Federal Income Taxes: It is each Trust’s intention to continue to be treated as a regulated investment company under the Internal Revenue Code and to distribute sufficient amounts of their taxable income to shareholders. Therefore, no federal income tax provisions have been recorded. As part of a tax planning strategy, Broad Investment Grade has retained a portion of its taxable income and will pay excise tax on the undistributed amounts.

          In July 2006, the Financial Accounting Standards Board released FASB Interpretation No. 48 (“FIN 48”), “Accounting for Uncertainty in Income Taxes”. FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in financial statements. FIN 48 requires the evaluation of tax positions taken in the course of preparing the Trusts’ tax returns to determine whether

74


the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax benefits of positions not deemed to meet the more-likely-than-not threshold would be booked as a tax expense in the current year and recognized as: a liability for unrecognized tax benefits; a reduction of an income tax refund receivable; a reduction of deferred tax asset; an increase in deferred tax liability; or a combination thereof. Adoption of FIN 48 is required for the last net asset value calculation in the first required financial statement reporting period for fiscal years beginning after December 15, 2006. At this time, management is evaluating the implications of FIN 48 and its impact on the Trusts’ financial statements, if any, has not yet been determined.

Dividends and Distributions: Each Trust declares and pays dividends and distributions to common shareholders monthly from net investment income, net realized short-term capital gains and other sources, if necessary. Net long-term capital gains, if any, in excess of loss carryforwards may be distributed in accordance with the 1940 Act. If the total dividends and distributions made in any tax year exceeds net investment income and accumulated realized capital gains, a portion of the total distribution may be treated as a tax-free return of capital. Dividends and distributions are recorded on the ex-dividend date. Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America.

Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities including investment and swap valuations at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates and such differences may be material.

Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by each Trust’s Board, non-interested Trustees (“Independent Trustees”) are required to 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 the other BlackRock Closed-End Funds selected by the Independent Trustees. These amounts are shown on the Statement of Assets and Liabilities as “Investments in Affiliates”. This has approximately the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in such Trusts.

          The deferred compensation plan is not funded and obligations thereunder represent general unsecured claims against the general assets of the Trust. Each Trust may, however, elect to invest in common shares of those Trusts selected by the Independent Trustees in order to match its deferred compensation obligations.

Other: Expenses that are directly related to one of the Trusts are charged directly to that Trust. Other operating expenses are generally prorated to the Trusts on the basis of relative net assets of all the BlackRock Closed-End Funds.

Note 2. Agreements and Other Transactions with Affiliates and Related Parties

Each Trust has an Investment Management Agreement with BlackRock Advisors, LLC (the “Advisor”), which is a wholly owned subsidiary of BlackRock, Inc. BlackRock Financial Management, Inc. (“BFM”), a wholly owned subsidiary of BlackRock, Inc., serves as sub-advisor to Core Bond, Limited Duration, Preferred and Equity and Strategic Bond. BlackRock Investment Management, LLC (“BIM”), a wholly owned subsidiary of BlackRock, Inc., also serves as sub-advisor to Preferred and Equity. Merrill Lynch & Co., Inc. (“Merrill Lynch”) and The PNC Financial Services Group, Inc. (“PNC”) are principal owners of BlackRock, Inc.

          Broad Investment Grade, High Yield, Income Opportunity and Income Trust each have an Administration Agreement with the Advisor. The Investment Management Agreement for Core Bond, Limited Duration, Preferred and Equity and Strategic Bond covers both investment advisory and administration services.

          Each Trust’s investment advisory fee paid to the Advisor is computed weekly and payable monthly based on an annual rate, 0.55% for Broad Investment Grade, 0.60% for Income Opportunity and 0.65% for Income Trust, of each Trust’s average net assets and 0.55% for Core Bond and Limited Duration, 0.65% for Preferred and Equity, 0.75% for Strategic Bond and 1.05% for High Yield, of each Trust’s average weekly managed assets. “Net assets” means the toal assets of the Trust minus the sum of accrued liabilities. “Managed assets” means the total assets of a Trust (including any assets attributable to any borrowing that may be outstanding) minus the sum of accrued liabilities (other than debt representing financial leverage). The Advisor has voluntarily agreed to waive a portion of the investment advisory fees or other expenses on Strategic Bond as a percentage of its average weekly managed assets as follows: 0.20% for the first five years of the Trust’s operations from 2002 through 2007, 0.15% in 2008, 0.10% in 2009 and 0.05% in 2010.

          The Advisor pays BFM and BIM fees for its sub-advisory services.

          The administration fee paid to the Advisor by Broad Investment Grade, High Yield, Income Opportunity and Income Trust is computed weekly and payable monthly based on an annual rate of 0.15%, 0.10%, 0.10%, and 0.15%, respectively, of the Trusts’ average weekly managed assets.

          Pursuant to the agreements, the Advisor provides continuous supervision of the investment portfolio and pays the compensation of officers of each Trust who are affiliated persons of the Advisor, as well as occupancy and certain clerical and accounting costs of each Trust. Each Trust bears all other costs and expenses, which include reimbursements to the Advisor for cost of employees that provide pricing, secondary market support and compliance services provided to each Trust. For the six months ended April 30, 2007, the Trusts reimbursed the Advisor the following amounts, which are included in miscellaneous expenses in the Statement of Operations:

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Amount

 

 

Trust

 

Amount

 


 


 

 


 


 

Broad Investment Grade

 

$

1,798

 

 

Income Trust

 

$

15,345

 

Core Bond

 

 

12,277

 

 

Limited Duration

 

 

22,289

 

High Yield

 

 

1,244

 

 

Preferred and Equity

 

 

11,909

 

Income Opportunity

 

 

12,688

 

 

Strategic Bond

 

 

3,068

 

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          Pursuant to the terms of the custody agreements, each Trust may receive earnings credits from its custodian for positive cash balances maintained, which are used to offset custody fees. These credits are shown on the Statements of Operations as “fees paid indirectly.”

          During the six months ended April 30, 2007, Merrill Lynch, through its affiliated broker dealer Merrill Lynch, Pierce, Fenner & Smith Incorporated, earned commissions on transactions of securities as follows:

 

 

 

 

 

Trust

 

Commission
Amount

 


 


 

Core Bond

 

$

43,604

 

Income Opportunity

 

 

48,057

 

Income Trust

 

 

15,853

 

Limited Duration

 

 

614

 

Preferred and Equity

 

 

143,915

 

          For the six months ended April 30, 2007, investments in companies assumed to be an affiliate of the Trusts, were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Portfolio Company

 

Beginning
Principal
Amount

 

Sales

 

Ending
Principal
Amount

 

Interest
Income

 

Market
Value of
Affiliates at
April 30,
2007

 


 


 


 


 


 


 


 

Core Bond

 

Merrill Lynch

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage Investors, Inc.,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ser. HE2, Class A2A

 

$

1,509,548

 

$

618,847

 

$

890,701

 

$

34,249

 

$

890,858

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income Opportunity

 

Merrill Lynch

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage Investors, Inc.,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ser. HE2, Class A2A

 

 

1,651,471

 

 

677,029

 

 

974,442

 

 

38,421

 

 

974,614

 

 

 

Merrill Projects, Ser. 29

 

 

152,326

 

 

2,859

 

 

149,467

 

 

5,585

 

 

151,214

 

 

 

Merrill Projects, Ser. 42

 

 

51,398

 

 

1,053

 

 

50,345

 

 

1,893

 

 

50,965

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income Trust

 

Merrill Projects, Ser. 54

 

 

51,249

 

 

847

 

 

50,402

 

 

1,881

 

 

51,029

 


 

 

Note 3. Portfolio Securities

Purchases and sales of investment securities, other than short-term investments, dollar rolls and U.S. government securities, for the six months ended April 30, 2007 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Purchases

 

Sales

 

Trust

 

Purchases

 

Sales

 


 


 


 


 


 


 

Broad Investment Grade

 

$

564,277

 

$

2,632,043

 

Income Trust

 

$

772,139,401

 

$

819,761,664

 

Core Bond

 

 

105,314,228

 

 

105,722,400

 

Limited Duration

 

 

480,300,522

 

 

513,363,584

 

High Yield

 

 

26,286,574

 

 

26,881,619

 

Preferred and Equity

 

 

2,076,052,986

 

 

378,801,519

 

Income Opportunity

 

 

257,450,521

 

 

246,888,773

 

Strategic Bond

 

 

23,146,631

 

 

31,736,494

 

          Purchases and sales of U.S. government securities for the six months ended April 30, 2007, aggregated as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Purchases

 

Sales

 

Trust

 

Purchases

 

Sales

 


 


 


 


 


 


 

Broad Investment Grade

 

$

 

$

3,200,000

 

Income Trust

 

$

11,800,781

 

$

21,000,000

 

Core Bond

 

 

91,500,255

 

 

71,749,375

 

Limited Duration

 

 

 

 

10,000,000

 

Income Opportunity

 

 

117,445,898

 

 

99,740,058

 

Strategic Bond

 

 

 

 

933,000

 

          Details of open forward currency contracts at April 30, 2007 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Foreign
Currency

 

Settlement
Date

 

Contract to
Receive

 

Value at
Settlement
Date

 

Value at
April 30,
2007

 

Unrealized
Depreciation

 


 


 


 


 


 


 


 

Core Bond

 

 

Sold:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Euro

 

7/18/07

 

$

207,567

 

$

279,795

 

$

284,076

 

$

4,281

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Limited Duration

 

 

Sold:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Euro

 

7/18/07

 

$

19,790,550

 

$

26,726,116

 

$

27,085,352

 

$

359,236

 

 

 

 

British Pounds

 

7/18/07

 

 

6,563,875

 

 

12,989,497

 

 

13,118,222

 

 

128,725

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

487,961

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

          Income Trust held interest rate floors at April 30, 2007. Under the agreement, Income Trust pays the excess, if any, of a fixed rate over a floating rate. Income Trust received a transaction fee for the floors. Transaction fees are amortized through the termination of the agreement. Details of the interest rate floors held at April 30, 2007 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

Variable
Rate

 

Counter Party

 

Floating Rate

 

Effective
Date

 

Termination
Date

 

Amortized
Cost

 

Value at
April 30,
2007

 

Unrealized
Appreciation


 


 


 


 


 


 


 


 


$165,000

 

  4.80%

 

Goldman Sachs

 

3-month LIBOR

 

12/25/05

 

03/25/11

 

$

(1,840,997

)

$

(852,777

)

$

988,220

119,000

 

4.95

 

JPMorgan

 

3-month LIBOR

 

03/27/06

 

03/25/11

 

 

(1,427,694

)

 

(418,999

)

 

1,008,695

80,000

 

5.50

 

Union Bank of Switzerland

 

3-month LIBOR

 

12/15/06

 

03/15/10

 

 

(1,111,783

)

 

(870,926

)

 

240,857

 

 

 

 

 

 

 

 

 

 

 

 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

$

(4,380,474

)

$

(2,142,702

)

$

2,237,772

 

 

 

 

 

 

 

 

 

 

 

 



 



 



76


          Details of open interest rate swaps at April 30, 2007 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Notional
Amount
(000)

 

Fixed
Rate

 

Counter Party

 

Floating Rate

 

Effective
Date

 

Termination
Date

 

Unrealized
Appreciation
(Depreciation)

 


 


 


 


 


 


 


 


 

Core Bond

 

$

41,200

 

4.510

%(b)

Citibank

 

3-month LIBOR

 

10/29/04

 

10/29/14

 

$

1,450,998

 

 

 

 

2,800

 

4.500

(b)

JPMorgan

 

3-month LIBOR

 

05/26/05

 

05/26/15

 

 

83,293

 

 

 

 

4,800

 

4.372

(a)

Union Bank of Switzerland

 

3-month LIBOR

 

06/30/05

 

06/30/15

 

 

(188,640

)

 

 

 

4,600

 

5.000

(a)

Deutsche Bank

 

3-month LIBOR

 

11/07/05

 

11/07/10

 

 

59,861

 

 

 

 

4,800

 

5.723

(a)

JPMorgan

 

3-month LIBOR

 

07/14/06

 

07/14/16

 

 

272,303

 

 

 

 

25,100

 

5.496

(a)

Bank of America

 

3-month LIBOR

 

07/28/06

 

07/28/11

 

 

842,858

 

 

 

 

3,000

 

5.025

(a)

Deutsche Bank

 

3-month LIBOR

 

11/21/06

 

11/21/11

 

 

41,855

 

 

 

 

2,200

 

5.348

(a)

Union Bank of Switzerland

 

3-month LIBOR

 

02/05/07

 

11/29/11

 

 

21,656

 

 

 

 

8,300

 

5.002

(b)

Union Bank of Switzerland

 

3-month LIBOR

 

01/08/07

 

01/08/12

 

 

(104,580

)

 

 

 

8,545

 

5.411

(a)

JPMorgan

 

3-month LIBOR

 

02/05/07

 

08/15/22

 

 

92,115

 

 

 

 

3,100

 

5.347

(a)

Goldman Sachs

 

3-month LIBOR

 

02/05/07

 

02/05/17

 

 

43,408

 

 

 

 

11,300

 

5.295

(a)

Union Bank of Switzerland

 

3-month LIBOR

 

02/08/07

 

02/08/17

 

 

101,301

 

 

 

 

13,500

 

4.922

(a)

Lehman Brothers

 

3-month LIBOR

 

03/22/07

 

03/22/11

 

 

29,025

 

 

 

 

700

 

5.250

(a)

Goldman Sachs

 

3-month LIBOR

 

04/12/07

 

04/12/17

 

 

4,430

 

 

 

 

21,400

 

5.068

(b)

Goldman Sachs

 

3-month LIBOR

 

04/30/07

 

04/30/09

 

 

(17,548

)

 

 

 

2,900

 

5.411

(a)

Goldman Sachs

 

3-month LIBOR

 

04/30/07

 

04/30/27

 

 

16,501

 

 

 

 

7,110

 

6.533

(a)

Deutsche Bank

 

3-month LIBOR

 

01/12/07

 

01/12/11

 

 

(4,402

)

 

 

 

7,110

 

6.544

(a)

Deutsche Bank

 

3-month LIBOR

 

01/22/07

 

01/22/11

 

 

(1,709

)

 

 

 

6,200

 

4.725

(a)

Morgan Stanley

 

3-month LIBOR

 

08/02/05

 

08/02/15

 

 

(169,168

)

 

 

 

5,000

 

4.870

(a)

Goldman Sachs

 

3-month LIBOR

 

01/25/06

 

01/25/16

 

 

(29,969

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

2,543,588

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Income
Opportunity
Trust

 

$

5,200

 

4.372

%(a)

Union Bank of Switzerland

 

3-month LIBOR

 

06/30/05

 

06/30/15

 

$

(204,360

)

 

 

 

8,000

 

4.670

(a)

Goldman Sachs

 

3-month LIBOR

 

09/20/05

 

09/20/15

 

 

(248,874

)

 

 

 

10,000

 

4.897

(a)

JPMorgan

 

3-month LIBOR

 

12/12/06

 

12/12/11

 

 

79,700

 

 

 

 

23,600

 

5.068

(b)

Goldman Sachs

 

3-month LIBOR

 

04/30/07

 

04/30/09

 

 

(19,351

)

 

 

 

3,100

 

4.950

(a)

Union Bank of Switzerland

 

3-month LIBOR

 

11/29/06

 

11/29/11

 

 

30,515

 

 

 

 

12,000

 

5.002

(b)

Union Bank of Switzerland

 

3-month LIBOR

 

01/08/07

 

01/08/12

 

 

(151,200

)

 

 

 

800

 

5.250

(a)

Goldman Sachs

 

3-month LIBOR

 

04/12/07

 

04/12/17

 

 

5,063

 

 

 

 

5,000

 

5.000

(a)

Deutsche Bank

 

3-month LIBOR

 

11/07/05

 

11/07/10

 

 

65,067

 

 

 

 

3,200

 

5.025

(a)

Deutsche Bank

 

3-month LIBOR

 

11/21/06

 

11/21/11

 

 

18,208

 

 

 

 

3,200

 

5.411

(a)

Lehman Brothers

 

3-month LIBOR

 

04/30/07

 

04/30/27

 

 

44,645

 

 

 

 

14,800

 

4.922

(b)

Union Bank of Switzerland

 

3-month LIBOR

 

03/22/07

 

03/22/11

 

 

31,820

 

 

 

 

5,000

 

5.071

(b)

Goldman Sachs

 

3-month LIBOR

 

03/26/07

 

03/26/17

 

 

38,750

 

 

 

 

3,400

 

5.348

(a)

JPMorgan

 

3-month LIBOR

 

02/05/07

 

02/05/17

 

 

47,609

 

 

 

 

9,405

 

5.411

(a)

Union Bank of Switzerland

 

3-month LIBOR

 

02/05/07

 

08/15/22

 

 

101,385

 

 

 

 

12,000

 

5.295

(a)

JPMorgan

 

3-month LIBOR

 

02/08/07

 

02/08/17

 

 

107,576

 

 

 

 

3,000

 

4.500

(b)

JPMorgan

 

3-month LIBOR

 

05/26/05

 

05/26/15

 

 

89,243

 

 

 

 

5,200

 

5.723

(a)

Citibank

 

3-month LIBOR

 

07/14/06

 

07/14/16

 

 

294,995

 

 

 

 

13,800

 

4.510

(b)

Bank of America

 

3-month LIBOR

 

10/29/04

 

10/29/14

 

 

486,013

 

 

 

 

27,900

 

5.496

(a)

Deutsche Bank

 

3-month LIBOR

 

07/28/06

 

07/28/11

 

 

936,882

 

 

 

 

27,500

 

4.399

(b)

Morgan Stanley

 

3-month LIBOR

 

10/25/04

 

10/25/14

 

 

1,161,190

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

2,914,876

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income Trust

 

$

12,500

 

4.399

%(b)

Deutsche Bank

 

3-month LIBOR

 

10/25/04

 

10/25/14

 

$

527,813

 

 

 

 

3,000

 

4.500

(b)

JPMorgan

 

3-month LIBOR

 

05/26/05

 

05/26/15

 

 

89,243

 

 

 

 

5,400

 

5.723

(a)

JPMorgan

 

3-month LIBOR

 

07/14/06

 

07/14/16

 

 

306,341

 

 

 

 

3,000

 

5.025

(a)

Deutsche Bank

 

3-month LIBOR

 

11/21/06

 

11/21/11

 

 

41,855

 

 

 

 

4,400

 

5.348

(a)

Union Bank of Switzerland

 

3-month LIBOR

 

02/05/07

 

11/29/11

 

 

43,312

 

 

 

 

9,565

 

5.411

(a)

JPMorgan

 

3-month LIBOR

 

02/05/07

 

08/15/22

 

 

103,110

 

 

 

 

3,400

 

5.347

(a)

Goldman Sachs

 

3-month LIBOR

 

02/05/07

 

02/05/17

 

 

47,609

 

 

 

 

11,900

 

5.295

(a)

Union Bank of Switzerland

 

3-month LIBOR

 

02/08/07

 

02/08/17

 

 

106,679

 

 

 

 

800

 

5.250

(a)

Goldman Sachs

 

3-month LIBOR

 

04/30/07

 

04/12/17

 

 

5,063

 

 

 

 

12,000

 

4.320

(a)

Union Bank of Switzerland

 

3-month LIBOR

 

09/08/05

 

09/08/10

 

 

(261,999

)

 

 

 

19,000

 

4.889

(b)

Goldman Sachs

 

3-month LIBOR

 

04/22/04

 

04/22/14

 

 

196,809

 

 

 

 

25,000

 

4.883

(a)

Union Bank of Switzerland

 

3-month LIBOR

 

03/21/05

 

03/21/15

 

 

(378,000

)

 

 

 

16,000

 

4.925

(a)

Deutsche Bank

 

3-month LIBOR

 

03/22/05

 

03/22/15

 

 

182,742

 

 

 

 

4,500

 

4.442

(a)

Morgan Stanley

 

3-month LIBOR

 

07/11/05

 

07/11/15

 

 

(151,438

)

 

 

 

2,800

 

5.940

(a)

Union Bank of Switzerland

 

3-month LIBOR

 

12/07/05

 

12/07/15

 

 

199,808

 

 

 

 

5,500

 

4.870

(a)

Goldman Sachs

 

3-month LIBOR

 

01/25/06

 

01/25/16

 

 

(32,965

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

1,025,982

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

77


          Details of open total return swaps at April 30, 2007 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Notional
Amount
(000)

 

Fixed
Rate

 

Counter Party

 

Floating Rate

 

Effective
Date

 

Termination
Date

 

Unrealized
Depreciation

 


 


 


 


 


 


 


 


 

Core Bond

 

$

7,430

 

0.676

%(b)

Morgan Stanley

 

Lehman +0.40

%

04/18/07

 

10/31/07

 

$

9,303

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income
Opportunity
Trust

 

 

81,900

 

0.676

(b)

Morgan Stanley

 

Lehman +0.40

%

04/18/07

 

10/31/07

 

$

10,255

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Income Trust

 

 

28,700

 

0.676

(b)

Morgan Stanley

 

Lehman +0.40

%

04/18/07

 

10/31/07

 

$

3,594

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

(a)          Trust pays floating interest rate and receives fixed rate.
(b)         Trust pays fixed interest rate and receives floating rate.

          The terms of the open credit default swap agreements in High Yield at April 30, 2007 were to receive the quarterly notional amount multiplied by the fixed rate and pay the counterparty, upon default event of Primedia, Inc., the par value of the notional amount of Primedia, Inc. Details of the open credit default swap in High Yield at April 30, 2007 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

Fixed
Rate

 

Counter Party

 

Effective
Date

 

Termination
Date

 

Unrealized
Appreciation

 


 


 


 


 


 


 

 

$300

 

2.450%

 

Lehman Brothers

 

02/24/07

 

03/20/12

 

$

10,172

 

 

 

 

 

 

 

 

 

 

 

 



 

          Transaction in options written during the six months ended April 30, 2007 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Calls

 

Puts

 

 

 


 


 

Trust

 

Contracts/
Notional
Amount

 

Premium
Received

 

Contracts/
Notional
Amount

 

Premium
Received

 


 


 


 


 


 

Core Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

Options outstanding at
October 31, 2006

 

$

21,300,000

 

$

991,347

 

$

135,100,037

 

$

2,068,284

 

Options written

 

 

18,200,000

 

 

455,276

 

 

18,200,000

 

 

455,276

 

Options closed

 

 

(11,600,000

)

 

(315,851

)

 

(125,400,037

)

 

(1,392,787

)

 

 



 



 



 



 

Options outstanding at
April 30, 2007

 

$

27,900,000

 

$

1,130,772

 

$

27,900,000

 

$

1,130,773

 

 

 



 



 



 



 

Income Opportunity Trust

 

 

 

 

 

 

 

 

 

 

 

 

 

Options outstanding at
October 31, 2006

 

$

23,400,000

 

$

1,085,069

 

$

148,200,041

 

$

2,236,554

 

Options written

 

 

19,700,000

 

 

491,847

 

 

19,700,000

 

 

491,847

 

Options closed

 

 

(12,400,000

)

 

(337,634

)

 

(137,200,041

)

 

(1,489,123

)

 

 



 



 



 



 

Options outstanding at
April 30, 2007

 

$

30,700,000

 

$

1,239,282

 

$

30,700,000

 

$

1,239,278

 

 

 



 



 



 



 

Income Trust

 

 

 

 

 

 

 

 

 

 

 

 

 

Options outstanding at
October 31, 2006

 

$

23,500,000

 

$

1,088,815

 

$

150,100,000

 

$

2,223,745

 

Options written

 

 

19,600,000

 

 

489,124

 

 

19,600,000

 

 

489,124

 

Options closed

 

 

(12,300,000

)

 

(334,911

)

 

(138,900,000

)

 

(1,469,842

)

 

 



 



 



 



 

Options outstanding at
April 30, 2007

 

$

30,800,000

 

$

1,243,028

 

$

30,800,000

 

$

1,243,027

 

 

 



 



 



 



 

Preferred and Equity

 

 

 

 

 

 

 

 

 

 

 

 

 

Options outstanding at
October 31, 2006

 

$

 

$

 

$

 

$

 

Options written

 

 

1,426,500

 

 

19,941,479

 

 

 

 

 

Options closed

 

 

(1,210,500

)

 

(17,002,202

)

 

 

 

 

Options expired

 

 

(1,000

)

 

(3,990

)

 

 

 

 

 

 



 



 



 



 

Options outstanding at
April 30, 2007

 

$

215,000

 

$

2,935,287

 

$

 

$

 

 

 



 



 



 



 

78


Note 4. Borrowings

Details of open reverse repurchase agreements at April 30, 2007 were as follows (please see Corresponding Underlying Collateral Chart):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust/Counter Party

 

Rate

 

Trade
Date

 

Maturity
Date1

 

Net Closing
Amount

 

Par

 


 


 


 


 


 


 

Core Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

Lehman Brothers

 

  4.150%

 

04/30/07

 

TBD

 

$

3,125,360

 

$

3,125,000

 

 

 

4.750

 

04/18/07

 

TBD

 

 

2,336,376

 

 

2,332,375

 

 

 

5.000

 

03/07/07

 

TBD

 

 

210,597

 

 

209,000

 

 

 

5.000

 

04/26/07

 

5/3/07

 

 

7,901,861

 

 

7,895,281

 

 

 

5.000

 

04/30/07

 

TBD

 

 

12,011,537

 

 

12,009,869

 

 

 

5.220

 

04/23/07

 

TBD

 

 

4,766,529

 

 

4,761,006

 

 

 

5.250

 

04/23/07

 

TBD

 

 

593,285

 

 

592,594

 

 

 

5.280

 

04/23/07

 

5/1/07

 

 

5,328,244

 

 

5,322,000

 

 

 

5.300

 

04/30/07

 

TBD

 

 

307,045

 

 

307,000

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

$

36,554,125

 

 

 

 

 

 

 

 

 

 

 

 



 

Income Opportunity

 

 

 

 

 

 

 

 

 

 

 

 

 

Lehman Brothers

 

5.400

 

04/23/07

 

TBD

 

$

8,939,802

 

$

8,930,425

 

 

 

5.180

 

04/23/07

 

TBD

 

 

8,065,203

 

 

8,057,088

 

 

 

5.280

 

04/23/07

 

05/01/07

 

 

22,782,366

 

 

22,759,000

 

 

 

4.800

 

04/26/07

 

05/02/07

 

 

7,226,597

 

 

7,220,820

 

 

 

4.900

 

04/30/07

 

TBD

 

 

12,854,768

 

 

12,853,018

 

 

 

5.050

 

04/30/07

 

TBD

 

 

1,364,666

 

 

1,364,475

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

$

61,184,826

 

 

 

 

 

 

 

 

 

 

 

 



 

Income Trust

 

 

 

 

 

 

 

 

 

 

 

 

 

Lehman Brothers

 

5.210

 

01/09/07

 

TBD

 

$

22,599,299

 

$

22,242,000

 

 

 

4.950

 

03/12/07

 

TBD

 

 

14,041,471

 

 

13,947,500

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

$

36,189,500

 

 

 

 

 

 

 

 

 

 

 

 



 

Limited Duration

 

 

 

 

 

 

 

 

 

 

 

 

 

Barclay’s Bank

 

5.380

 

04/24/07

 

TBD

 

$

4,063,474

 

$

4,061,000

 

 

 

5.400

 

04/26/07

 

05/02/07

 

 

1,239,519

 

 

1,239,147

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

$

5,300,147

 

 

 

 

 

 

 

 

 

 

 

 



 

Credit Suisse First Boston LLC

 

5.450

 

11/28/06

 

TBD

 

$

2,722,635

 

$

2,661,000

 

 

 

5.400

 

12/05/06

 

TBD

 

 

21,430,624

 

 

20,974,430

 

 

 

5.400

 

12/07/06

 

TBD

 

 

7,629,893

 

 

7,467,475

 

 

 

5.500

 

12/14/06

 

TBD

 

 

3,525,732

 

 

3,455,000

 

 

 

5.400

 

01/17/07

 

TBD

 

 

2,240,300

 

 

2,206,214

 

 

 

5.500

 

01/18/07

 

TBD

 

 

58,213,681

 

 

57,311,816

 

 

 

5.500

 

02/01/07

 

TBD

 

 

2,616,094

 

 

2,581,000

 

 

 

4.000

 

04/17/07

 

TBD

 

 

1,561,946

 

 

1,559,520

 

 

 

5.450

 

04/17/07

 

TBD

 

 

12,862,264

 

 

12,837,000

 

 

 

5.450

 

04/19/07

 

TBD

 

 

4,482,539

 

 

4,474,410

 

 

 

5.300

 

04/23/07

 

TBD

 

 

2,547,477

 

 

2,544,480

 

 

 

5.350

 

04/25/07

 

TBD

 

 

572,797

 

 

570,000

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

$

118,642,345

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 


1

TBD - To be determined

79



 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust/Counter Party

 

  Rate

Trade
Date

 

Maturity
Date1

 

Net Closing
Amount

 

Par

 


 




 


 


 


 

Limited Duration (con’t)
Lehman Brothers

 

3.250

%

01/09/06

 

TBD

 

 

$

1,406,615

 

$

1,384,000

 

 

 

1.500

 

09/06/06

 

TBD

 

 

 

894,697

 

 

888,000

 

 

 

5.500

 

11/27/06

 

TBD

 

 

 

341,858

 

 

334,000

 

 

 

5.180

 

01/09/07

 

TBD

 

 

 

3,401,891

 

 

3,347,937

 

 

 

5.200

 

01/11/07

 

TBD

 

 

 

16,857,549

 

 

16,596,250

 

 

 

5.150

 

02/12/07

 

TBD

 

 

 

1,803,135

 

 

1,783,237

 

 

 

5.250

 

02/28/07

 

TBD

 

 

 

5,976,087

 

 

5,923,294

 

 

 

5.000

 

03/07/07

 

TBD

 

 

 

984,463

 

 

977,000

 

 

 

5.270

 

03/19/07

 

TBD

 

 

 

18,408,741

 

 

18,296,250

 

 

 

3.500

 

04/11/07

 

TBD

 

 

 

1,733,028

 

 

1,730,000

 

 

 

5.260

 

04/20/07

 

TBD

 

 

 

1,444,318

 

 

1,442,000

 

 

 

5.290

 

04/24/07

 

05/02/07

 

 

 

1,912,927

 

 

1,910,681

 

 

 

5.280

 

04/26/07

 

05/03/07

 

 

 

3,624,595

 

 

3,623,000

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

$

58,235,649

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Preferred and Equity
Credit Suisse First Boston LLC

 

5.400

 

04/27/07

 

TBD

 

 

$

4,321,648

 

$

4,321,000

 

 

 

5.400

 

04/30/07

 

TBD

 

 

 

5,740,861

 

 

5,740,000

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

$

10,061,000

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Strategic Bond
Credit Suisse First Boston LLC

 

5.000

 

03/07/07

 

TBD

 

 

$

1,146,693

 

$

1,138,000

 

 

 

5.200

 

03/07/07

 

TBD

 

 

 

2,189,255

 

 

2,172,000

 

 

 

5.240

 

03/07/07

 

TBD

 

 

 

247,969

 

 

246,000

 

 

 

5.400

 

01/18/07

 

TBD

 

 

 

6,040,419

 

 

5,949,393

 

 

 

5.400

 

01/19/07

 

TBD

 

 

 

989,425

 

 

974,515

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

$

10,479,908

 

 

 

 

 

 

 

 

 

 

 

 

 



 


 

 


1

TBD - To be determined

80


Details of underlying collateral for open reverse repurchase agreements at April 30, 2007 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust / Counter
        Party

 

Description

 

   Rate

Maturity
Date

 

 

Original
Face

 

 

Current
Face

 

 

Market Value

 


 


 




 



 



 



 

Core Bond
Lehman Brothers

 

Federal Home Loan

 

                       

 

 

 

Mortgage Corp.

 

5.500

%

11/01/18

 

$

690,000

 

$

315,298

 

$

316,391

 

 

 

Federal National Mortgage Assoc.

 

6.000

 

02/01/36

 

 

1,000,000

 

 

866,860

 

 

873,610

 

 

 

Federal National Mortgage Assoc.

 

6.000

 

09/01/36

 

 

1,000,000

 

 

894,207

 

 

901,170

 

 

 

Federal National Mortgage Assoc.

 

6.000

 

11/01/36

 

 

4,000,000

 

 

3,691,036

 

 

3,719,778

 

 

 

Digicel Group Ltd.

 

8.875

 

01/15/15

 

 

240,000

 

 

240,000

 

 

235,500

 

 

 

Resolution Funding Corp.

 

0.000

 

07/15/18

 

 

525,000

 

 

525,000

 

 

303,641

 

 

 

Resolution Funding Corp.

 

0.000

 

10/15/18

 

 

525,000

 

 

525,000

 

 

299,396

 

 

 

U.S. Treasury Inflation Protected Bond

 

2.000

 

01/15/26

 

 

5,005,000

 

 

5,124,369

 

 

4,864,948

 

 

 

U.S. Treasury Bonds

 

4.750

 

02/15/37

 

 

7,925,000

 

 

7,925,000

 

 

10,164,225

 

 

 

U.S. Treasury Notes

 

4.625

 

02/15/17

 

 

11,965,000

 

 

11,965,000

 

 

11,959,388

 

 

 

U.S. Treasury Notes

 

4.500

 

03/31/12

 

 

3,125,000

 

 

3,125,000

 

 

3,122,438

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

36,760,485

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Income Opportunity
Lehman Brothers

 

Bank of America Corp.

 

7.800

 

02/15/10

 

 

2,450,000

 

 

2,450,000

 

$

2,622,095

 

 

 

Berkshire Hathaway Finance Corp.

 

3.375

 

10/15/08

 

 

2,525,000

 

 

2,525,000

 

 

2,463,524

 

 

 

Citigroup, Inc.

 

6.125

 

08/25/36

 

 

1,350,000

 

 

1,350,000

 

 

1,391,977

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

10/01/20

 

 

445,159

 

 

371,002

 

 

371,675

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

07/01/16

 

 

5,601,876

 

 

502,529

 

 

504,766

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

03/01/18

 

 

1,539,074

 

 

529,211

 

 

531,060

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

05/01/17

 

 

2,610,656

 

 

432,974

 

 

434,683

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

11/01/17

 

 

4,172,428

 

 

543,440

 

 

545,586

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

08/01/17

 

 

13,451,104

 

 

2,479,521

 

 

2,489,311

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

12/01/32

 

 

583,245

 

 

331,624

 

 

328,807

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

09/01/17

 

 

2,272,174

 

 

373,721

 

 

375,197

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

08/01/17

 

 

2,274,535

 

 

324,370

 

 

325,651

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

01/01/33

 

 

12,476,919

 

 

5,958,886

 

 

5,908,261

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

03/01/18

 

 

1,483,364

 

 

510,924

 

 

512,710

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

04/01/34

 

 

875,003

 

 

469,625

 

 

465,649

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

02/01/35

 

 

5,014,015

 

 

3,278,696

 

 

3,250,936

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

05/18/35

 

 

600,000

 

 

390,038

 

 

391,578

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

10/01/20

 

 

810,190

 

 

756,131

 

 

757,502

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

07/01/20

 

 

906,698

 

 

627,378

 

 

628,515

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

10/01/20

 

 

807,941

 

 

734,105

 

 

735,436

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

03/01/21

 

 

677,502

 

 

601,106

 

 

601,951

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

04/01/21

 

 

410,151

 

 

360,261

 

 

360,767

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

06/01/36

 

 

1,001,094

 

 

946,330

 

 

936,113

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

10/01/20

 

 

833,871

 

 

659,220

 

 

660,416

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

12/01/20

 

 

353,789

 

 

292,162

 

 

292,692

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

02/01/21

 

 

505,628

 

 

423,235

 

 

423,829

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

03/01/21

 

 

654,254

 

 

587,474

 

 

588,299

 

 

 

Federal National Mortgage Assoc.

 

6.000

 

01/01/37

 

 

1,000,000

 

 

971,274

 

 

978,824

 

 

 

General Electric Capital Corp.

 

6.750

 

03/15/32

 

 

2,650,000

 

 

2,650,000

 

 

3,017,242

 

 

 

U.S. Treasury Inflation Protected Bond

 

2.000

 

01/15/26

 

 

8,470,000

 

 

8,673,534

 

 

8,234,436

 

 

 

U.S. Treasury Bonds

 

4.750

 

02/15/37

 

 

8,628,000

 

 

8,628,000

 

 

8,534,982

 

 

 

U.S. Treasury Notes

 

4.625

 

02/15/17

 

 

12,805,000

 

 

12,805,000

 

 

12,798,994

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

62,463,465

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Income Trust Lehman Brothers

 

U.S. Treasury Strip

 

0.000

 

11/15/24

 

 

52,800,000

 

 

52,800,000

 

$

22,281,811

 

 

 

U.S. Treasury Notes

 

4.000

 

08/31/07

 

 

14,000,000

 

 

14,000,000

 

 

13,952,974

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

36,234,785

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

81



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust / Counter Party

 

Description

 

Rate

 

Maturity
Date

 

Original
Face

 

Current
Face

 

Market Value

 


 


 


 


 


 


 


 

Limited Duration Barclay’s Bank

 

Lyondell Chemical Co.

 

11.125

%

 

07/15/12

 

$

3,020,000

 

$

3,020,000

 

$

3,216,300

 

 

 

Huntsman LLC

 

11.625

 

 

10/15/10

 

 

925,000

 

 

925,000

 

 

996,688

 

 

 

Freeport-McMoRan

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Copper & Gold, Inc.

 

8.375

 

 

04/01/17

 

 

1,246,000

 

 

1,246,000

 

 

1,362,812

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

5,575,800

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Credit Suisse First Boston LLC

 

AES Corp.

 

8.750

 

 

05/15/13

 

 

5,100,000

 

 

5,100,000

 

$

5,437,875

 

 

 

American Real Estate Partners LP/American Real Estate Finance Corp.

 

8.125

 

 

06/01/11

 

 

4,970,000

 

 

4,970,000

 

 

5,069,400

 

 

 

American Real Estate Partners LP/American Real Estate Finance Corp.

 

7.125

 

 

02/15/13

 

 

1,480,000

 

 

1,480,000

 

 

1,455,950

 

 

 

Chesapeake Energy Corp.

 

7.500

 

 

09/15/13

 

 

4,000,000

 

 

4,000,000

 

 

4,180,000

 

 

 

Republic of Colombia

 

9.750

 

 

04/23/09

 

 

5,000,000

 

 

5,000,000

 

 

5,405,000

 

 

 

Comcast Cable Communications, Inc.

 

6.875

 

 

06/15/09

 

 

6,685,000

 

 

6,685,000

 

 

6,913,092

 

 

 

Concentra Operating Corp.

 

9.500

 

 

08/15/10

 

 

5,000,000

 

 

5,000,000

 

 

5,275,000

 

 

 

DR Horton, Inc.

 

5.875

 

 

07/01/13

 

 

3,000,000

 

 

3,000,000

 

 

2,924,886

 

 

 

DaimlerChrysler NA Holding Corp.

 

4.050

 

 

06/04/08

 

 

7,500,000

 

 

7,500,000

 

 

7,395,345

 

 

 

Deutsche Telekom Intl. Finance BV

 

8.000

 

 

06/15/10

 

 

5,000,000

 

 

5,000,000

 

 

5,410,445

 

 

 

General Motors Acceptance Corp.

 

6.875

 

 

08/28/12

 

 

2,735,000

 

 

2,735,000

 

 

2,733,085

 

 

 

Group 1 Automotive, Inc.

 

8.250

 

 

08/15/13

 

 

5,000,000

 

 

5,000,000

 

 

5,175,000

 

 

 

Kazkommerts Intl. BV

 

10.125

 

 

05/08/07

 

 

5,000,000

 

 

5,000,000

 

 

5,002,500

 

 

 

Midwest Generation LLC

 

8.560

 

 

01/02/16

 

 

5,180,000

 

 

4,324,265

 

 

4,767,502

 

 

 

Nielsen Finance LLC/Nielsen Finance Co.

 

10.000

 

 

08/01/14

 

 

4,340,000

 

 

4,340,000

 

 

4,741,450

 

 

 

JC Penney Co., Inc.

 

8.000

 

 

03/01/10

 

 

4,400,000

 

 

4,400,000

 

 

4,708,902

 

 

 

Peru Government International Bond

 

8.375

 

 

05/03/16

 

 

2,795,000

 

 

2,795,000

 

 

3,342,820

 

 

 

Qwest Communications Intl., Inc.

 

8.860

 

 

02/15/09

 

 

4,000,000

 

 

4,000,000

 

 

4,040,000

 

 

 

Qwest Corp.

 

9.125

 

 

03/15/12

 

 

3,675,000

 

 

3,675,000

 

 

4,060,875

 

 

 

Qwest Corp.

 

7.875

 

 

09/01/11

 

 

1,000,000

 

 

1,000,000

 

 

1,065,000

 

 

 

Qwest Corp.

 

8.605

 

 

06/15/13

 

 

2,500,000

 

 

2,500,000

 

 

2,734,375

 

 

 

RH Donnelley Corp.

 

8.875

 

 

01/15/16

 

 

4,260,000

 

 

4,260,000

 

 

4,622,100

 

 

 

Rite Aid Corp.

 

8.125

 

 

05/01/10

 

 

5,000,000

 

 

5,000,000

 

 

5,162,500

 

 

 

Rouse Co.

 

5.375

 

 

11/26/13

 

 

2,000,000

 

 

2,000,000

 

 

1,885,294

 

 

 

Sanmina-SCI Corp.

 

8.125

 

 

03/01/16

 

 

1,710,000

 

 

1,710,000

 

 

1,673,663

 

 

 

Swift Energy Co.

 

9.375

 

 

05/01/12

 

 

5,000,000

 

 

5,000,000

 

 

5,225,000

 

 

 

Turkey

 

7.000

 

 

09/26/16

 

 

5,093,000

 

 

5,093,000

 

 

5,207,592

 

 

 

Tyco Intl. Group S.A.

 

6.125

 

 

11/01/08

 

 

7,500,000

 

 

7,500,000

 

 

7,609,560

 

 

 

Windstream Corp.

 

8.125

 

 

08/01/13

 

 

2,340,000

 

 

2,340,000

 

 

2,538,900

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

125,763,111

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Lehman Brothers

 

Digicel Group Ltd.

 

8.875

 

 

01/15/15

 

 

1,120,000

 

 

1,120,000

 

$

1,099,000

 

 

 

Federal National Mortgage Assoc.

 

7.250

 

 

01/15/10

 

 

17,000,000

 

 

17,000,000

 

 

18,040,757

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

 

10/01/33

 

 

2,317,378

 

 

1,123,789

 

 

1,114,268

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

 

02/01/32

 

 

390,000

 

 

125,329

 

 

124,264

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

 

03/01/32

 

 

900,000

 

 

311,268

 

 

309,594

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

 

01/01/33

 

 

263,772

 

 

103,987

 

 

103,104

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

 

03/01/33

 

 

900,000

 

 

249,818

 

 

247,702

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

 

06/01/33

 

 

800,952

 

 

389,380

 

 

386,083

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

 

07/01/33

 

 

1,982,153

 

 

1,030,583

 

 

1,021,858

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

 

08/01/33

 

 

1,236,912

 

 

558,619

 

 

553,890

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

 

09/01/33

 

 

5,790,192

 

 

3,135,887

 

 

3,109,336

 

 

 

Federal National Mortgage Assoc.

 

5.500

 

 

10/01/33

 

 

453,504

 

 

208,605

 

 

206,839

 

 

 

Grant Prideco, Inc.

 

6.125

 

 

08/15/15

 

 

380,000

 

 

380,000

 

 

377,150

 

 

 

Metaldyne Corp.

 

11.000

 

 

11/01/13

 

 

1,000,000

 

 

1,000,000

 

 

1,030,000

 

 

 

NewPage Corp.

 

11.606

 

 

05/01/12

 

 

1,500,000

 

 

1,500,000

 

 

1,663,125

 

 

 

Sally Holdings LLC

 

10.500

 

 

11/15/16

 

 

1,790,000

 

 

1,790,000

 

 

1,861,600

 

 

 

U.S. Treasury Notes

 

3.375

 

 

12/15/08

 

 

17,000,000

 

 

17,000,000

 

 

16,654,696

 

 

 

U.S. Treasury Notes

 

3.875

 

 

05/15/09

 

 

5,945,000

 

 

5,945,000

 

 

5,860,700

 

 

 

U.S. Treasury Notes

 

3.375

 

 

09/15/09

 

 

3,425,000

 

 

3,425,000

 

 

3,334,693

 

 

 

U.S. Treasury Notes

 

4.250

 

 

08/15/15

 

 

1,815,000

 

 

1,815,000

 

 

1,770,191

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

58,868,850

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

82



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust / Counter Party

 

Description

 

Rate

 

Maturity
Date

 

Original
Face

 

Current
Face

 

Market Value

 


 


 


 


 


 


 


 

Preferred and Equity
Credit Suisse First Boston LLC

 

HBOS Plc

 

5.920

%

 

N/A1

 

$

6,000,000

 

$

6,000,000

 

$

5,896,152

 

 

 

HSBC Capital Funding LP

 

10.176

 

 

N/A1

 

 

3,000,000

 

 

3,000,000

 

 

4,380,135

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

10,276,287

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Strategic Bond
Credit Suisse First Boston LLC

 

DTE Energy Co.

 

7.050

 

 

06/01/11

 

 

100,000

 

 

100,000

 

$

106,465

 

 

 

Digicel Group Ltd.

 

8.875

 

 

01/15/15

 

 

170,000

 

 

170,000

 

 

166,812

 

 

 

General Electric Capital Corp.

 

3.450

 

 

07/16/07

 

 

2,000,000

 

 

2,000,000

 

 

1,992,624

 

 

 

Merck & Co., Inc.

 

4.375

 

 

02/15/13

 

 

1,000,000

 

 

1,000,000

 

 

960,531

 

 

 

TIAA Global Markets, Inc.

 

3.875

 

 

01/22/08

 

 

1,000,000

 

 

1,000,000

 

 

987,987

 

 

 

U.S. Treasury Bonds

 

5.375

 

 

02/15/31

 

 

225,000

 

 

225,000

 

 

240,996

 

 

 

U.S. Treasury Notes

 

4.250

 

 

08/15/13

 

 

1,000,000

 

 

1,000,000

 

 

985,312

 

 

 

U.S. Treasury Notes

 

4.750

 

 

05/15/14

 

 

710,000

 

 

710,000

 

 

717,627

 

 

 

U.S. Treasury Notes

 

4.125

 

 

08/15/10

 

 

810,000

 

 

810,000

 

 

800,824

 

 

 

U.S. Treasury Notes

 

4.250

 

 

08/15/15

 

 

75,000

 

 

75,000

 

 

73,148

 

 

 

U.S. Treasury Notes

 

4.875

 

 

08/15/16

 

 

550,000

 

 

550,000

 

 

560,097

 

 

 

Vodafone Group Plc

 

7.750

 

 

02/15/10

 

 

1,000,000

 

 

1,000,000

 

 

1,065,864

 

 

 

Wells Fargo & Co.

 

3.500

 

 

04/04/08

 

 

2,000,000

 

 

2,000,000

 

 

1,966,848

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

10,625,135

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 


 

 


1

The security is a perpetual bond and has no stated maturity date.


 

Note 5. Commitments

Bridge Debt Commitments: At April 30, 2007, High Yield and Limited Duration had $2,310,000 and $19,510,000, respectively, in commitments outstanding to fund high yield bridge debt. The Trusts are entitled to a fee upon the expiration of the commitment period, generally within six months of the initial commitment date. The bridge debt terms approximate market rates at the time the commitment is entered into.

 

Note 6. Income Tax Information

The tax character of distributions paid during the year ended October 31, 2006 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year ended October 31, 2006

 

 

 


 

Distributions Paid from:

 

Ordinary
Income

 

Non-taxable
Return of Capital

 

Long-term
Capital Gains

 

Total
Distributions

 


 


 


 


 


 

Broad Investment Grade

 

$

4,241,016

 

 

$

 

 

$

20,078

 

 

$

4,261,094

 

 

Core Bond

 

 

25,048,230

 

 

 

 

 

 

7,914,351

 

 

 

32,962,581

 

 

High Yield

 

 

4,175,232

 

 

 

 

 

 

 

 

 

4,175,232

 

 

Income Opportunity

 

 

22,238,533

 

 

 

2,162,198

 

 

 

8,976,685

 

 

 

33,377,416

 

 

Income Trust

 

 

21,910,288

 

 

 

5,576,693

 

 

 

 

 

 

27,486,981

 

 

Limited Duration

 

 

55,725,066

 

 

 

760,960

 

 

 

 

 

 

56,486,026

 

 

Strategic Bond

 

 

6,969,104

 

 

 

251,641

 

 

 

 

 

 

7,220,745

 

 

83


          For Federal income tax purposes, the following Trusts had capital loss carryforwards as of their last respective tax year end. These amounts may be used to offset future realized capital gains, if any:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust

 

Capital Loss
Carryforward Amount

 

Expires

 

Trust

 

Capital Loss
Carryforward Amount

 

Expires

 


 


 


 


 


 


 

Broad Investment Grade

 

 

$

2,061,303

 

 

 

2011

 

Income Trust

 

 

$

33,107,952

 

 

 

2007

 

 

 

 

 

684,360

 

 

 

2012

 

 

 

 

 

1,352,206

 

 

 

2008

 

 

 

 

 

493,567

 

 

 

2014

 

 

 

 

 

13,940,898

 

 

 

2009

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

3,239,230

 

 

 

 

 

 

 

 

 

21,960,613

 

 

 

2011

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

10,100,201

 

 

 

2012

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3,861,222

 

 

 

2013

 

High Yield

 

 

$

2,558,868

 

 

 

2007

 

 

 

 

 

6,952,429

 

 

 

2014

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

3,270,311

 

 

 

2008

 

 

 

 

$

91,275,521

 

 

 

 

 

 

 

 

 

15,159,280

 

 

 

2009

 

 

 

 



 

 

 

 

 

 

 

 

 

8,468,860

 

 

 

2010

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4,771,417

 

 

 

2011

 

Limited Duration

 

 

$

2,008,113

 

 

 

2013

 

 

 

 

 

316,410

 

 

 

2012

 

 

 

 

 

1,268,222

 

 

 

2014

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

2,060,533

 

 

 

2014

 

 

 

 

$

3,276,335

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

$

36,605,679

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Strategic Bond

 

 

$

432,713

 

 

 

2011

 

Income Opportunity

 

 

$

2,451,628

 

 

 

2014

 

 

 

 

 

318,492

 

 

 

2013

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

689,609

 

 

 

2014

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

1,440,814

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

          Accordingly, no capital gain distributions are expected to be paid to shareholders of a Trust until that Trust has net realized capital gains in excess of its capital loss carryforward amounts.

 

Note 7. Capital

There are 200 million of $0.01 par value common shares authorized for Broad Investment Grade, Income Opportunity and Income Trust. There are an unlimited number of $0.001 par value common shares authorized for Core Bond, High Yield, Limited Duration, Preferred and Equity and Strategic Bond. At April 30, 2007, the shares owned by an affiliate of the Advisor of Limited Duration and Preferred and Equity were 6,021 and 4,817, respectively.

          Preferred and Equity, which commenced on December 27, 2006, issued 47,004,817 common shares under the initial public offering. On February 1, 2007, an additional 4,750,000 shares were issued by the undewriters’ exercising their over-allotment option. Offering costs incurred in connection with the offering of common shares have been charged against the proceeds from the initial common share offering in the amount of $1,367,957.

          During the period ended April 30, 2007 and the year ended October 31, 2006, the following Trusts issued additional shares under their respec tive dividend reinvestment plan:

 

 

 

 

 

 

 

 

Trust

 

April 30, 2007

 

October 31, 2006

 


 


 


 

High Yield

 

 

 

6,259

 

 

Limited Duration

 

67,233

 

 

13,785

 

 

Preferred and Equity

 

73,340

 

 

 

 

          As of April 30, 2007, Preferred and Equity has the following series of preferred shares outstanding as listed in the table below. The preferred shares have a liquidation value of $25,000 per share plus any accumulated unpaid dividends.

 

 

 

 

 

Series

 

 

Shares

 


 

 


 

T7

 

 

4,620

 

W7

 

 

4,620

 

R7

 

 

4,620

 

F7

 

 

4,620

 

          Dividends on seven-day preferred shares are cumulative at a rate which is reset every seven days based on the results of an auction. The dividend ranges on the preferred shares for Preferred and Equity for the period ended April 30, 2007 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Series

 

Low

 

High

 

Average

 


 


 


 


 

T7

 

 

5.10

%

 

 

5.30

%

 

 

5.22

%

 

W7

 

 

5.20

 

 

 

5.30

 

 

 

5.23

 

 

R7

 

 

5.20

 

 

 

5.30

 

 

 

5.23

 

 

F7

 

 

5.20

 

 

 

5.30

 

 

 

5.25

 

 

84


          Preferred and Equity may not declare dividends or make other distributions on common shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding preferred shares and any other borrowings would be less than 200%. The preferred shares are redeemable at the option of Preferred and Equity, in whole or in part, on any dividend payment date at $25,000 per share plus any accumulated or unpaid dividends whether or not declared. The preferred shares are also subject to mandatory redemption at $25,000 per share plus any accumulated or unpaid dividends, whether or not declared, if certain requirements relating to the composition of the assets and liabilities of Preferred and Equity, as set forth in Preferred and Equity’s Declaration of Trust, are not satisfied. The holders of preferred shares have voting rights equal to the holders of common shares (one vote per share) and will vote together with holders of common shares as a single class. However, holders of preferred shares, voting as a separate class, are also entitled to elect two Trustees for Preferred and Equity. In addition, the 1940 Act requires that along with approval by shareholders that might otherwise be required, the approval of the holders of a majority of any outstanding preferred shares, voting separately as a class would be required to (a) adopt any plan of reorganization that would adversely affect the preferred shares, (b) change a Trust’s sub-classification as a closed-end investment company or change its fundamental investment restrictions and (c) change the nature of its business so as to cease to be an investment company.

 

Note 8. Subsequent Dividends

Subsequent to April 30, 2007, the Board of each of the Trusts declared dividends from undistributed earnings per common share payable May 31, 2007, to shareholders of record on May 15, 2007. The per share common dividends declared were as follows:

 

 

 

 

 

 

 

Trust

 

Common Dividend
Per Share

 


 


 

Broad Investment Grade

 

 

$

0.07500

 

 

Core Bond

 

 

 

0.06700

 

 

High Yield

 

 

 

0.05100

 

 

Income Opportunity

 

 

 

0.05500

 

 

Income Trust

 

 

 

0.03100

 

 

Limited Duration

 

 

 

0.12500

 

 

Preferred and Equity

 

 

 

0.15625

 

 

Strategic Bond

 

 

 

0.07700

 

 

          The dividends declared on preferred shares for the period May 1, 2007 to May 31, 2007 for Preferred and Equity were as follows:

 

 

 

 

 

 

 

Series

 

Dividends Declared

 


 


 

T7

 

 

$

583,044

 

 

W7

 

 

 

582,767

 

 

R7

 

 

 

469,346

 

 

F7

 

 

 

479,140

 

 

85



 

DIVIDEND REINVESTMENT PLANS


          Pursuant to each Trust’s respective Dividend Reinvestment Plan (the “Plan”), shareholders of Broad Investment Grade, Income Opportunity and Income Trust may elect, while shareholders of Core Bond, High Yield, Limited Duration, Preferred and Equity and Strategic Bond are automatically enrolled, to have all distributions of dividends and capital gains reinvested by Computershare Trust Company, N.A. (the “Plan Agent”) in the respective Trust’s shares pursuant to the Plan. Shareholders who do not participate in the Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street or other nominee name, then to the nominee) by the Plan Agent, which serves as agent for the shareholders in administering the Plan.

          After Broad Investment Grade declares a dividend or determines to make a capital gain distribution, the Plan Agent will acquire shares for the participants’ account, by the purchase of outstanding shares on the open market, on the Trust’s primary exchange or elsewhere (“open market purchases”). The Trust will not issue any new shares under the Plan.

          After Core Bond, High Yield, Income Trust, Limited Duration and/or Strategic Bond declares a dividend or determines to make a capital gain distribution, the Plan Agent will acquire shares for the participants’ account, depending upon the circumstances described below, either (i) through receipt of unissued but authorized shares from the Trust (“newly issued shares”) or (ii) by open market purchases. If, on the dividend payment date, the NAV is equal to or less than the market price per share plus estimated brokerage commissions (such condition being referred to herein as “market premium”), the Plan Agent will invest the dividend amount in newly issued shares on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the payment date, the dollar amount of the dividend will be divided by 95% of the market price on the payment date. If, on the dividend payment date, the NAV is greater than the market value per share plus estimated brokerage commissions (such condition being referred to herein as “market discount”), the Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases.

          At a meeting of the Board of Trustees of the Income Opportunity Trust on November 21, 2006, the Board approved an amendment to the Dividend Reinvestment Plan of the Income Opportunity Trust. The Plan previously operated in a manner similar to Broad Investment Grade’s Plan, and permitted shares to be purchased only on the open market. As a result of the amendment, the Plan began permitting purchases of newly issued shares on terms similar to the Plans described in the next paragraph on April 1, 2007.

          The Plan Agent’s fees for the handling of the reinvestment of dividends and distributions is paid by each Trust. However, each participant pays a pro rata share of brokerage commissions incurred with respect to the Plan Agent’s open market purchases in connection with the reinvestment of dividends and distributions. The automatic reinvestment of dividends and distributions does not relieve participants of any Federal income tax that may be payable on such dividends or distributions.

          Each Trust reserves the right to amend or terminate the Plan. There is no direct service charge to participants in the Plan; however, each Trust reserves the right to amend the Plan to include a service charge payable by the participants. Participants who request a sale of shares through the Plan Agent are subject to a $2.50 sales fee and a $0.15 per share sold brokerage commission. All correspondence concerning the Plan should be directed to the Plan Agent at 250 Royall Street, Canton, MA 02021 or (800) 699-1BFM.

86



 

ADDITIONAL INFORMATION


          Each Trust listed for trading on the New York Stock Exchange (“NYSE”) has filed with the NYSE its annual chief executive officer certification regarding compliance with the NYSE’s listing standards and each Trust listed for trading on the American Stock Exchange (“AMEX”) has filed with the AMEX its corporate governance certification regarding compliance with the AMEX’s listing standards. All of the Trusts have filed with the Securities and Exchange Commission the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

          The Trusts do not make available copies of their respective Statements of Additional Information because the Trusts’ shares are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of such Trust’s offering and the information contained in each Trust’s Statement of Additional Information may have become outdated.

          During the period, there were no material changes in any Trust’s investment objective or policies or to any Trust’s charters or by-laws that were not approved by the shareholders or in the principle 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 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 into this report.

          Certain of the officers of the Trusts listed on the inside back cover of this Report to Shareholders are also officers of the Advisor or Sub-Advisors. They serve in the following capacities for the Advisor or Sub-Advisors: Robert S. Kapito—Director and Vice Chairman of the Advisor and the Sub-Advisors, Donald Burke, Anne Ackerley, Bartholomew Battista, Vincent Tritto and Brian Kindelan—Managing Directors of the Advisor and the Sub-Advisors, Neal Andrews—Managing Director of the Advisor, James Kong and Jay Fife—Managing Directors of the Sub-Advisors, Spencer Fleming—Director of the Advisor and a Sub-Advisor and Robert Mahar—Director of a Sub-Advisor.

Important Information Regarding the BlackRock Closed-End Funds Semi-Annual Investor Update

          The Semi-Annual Investor Update (“Update”) is available on the Internet and may be accessed through BlackRock’s website at http://www.blackrock.com. The Update provides information on the fixed income markets and summaries of BlackRock Closed-End Funds’ investment objectives and strategies. It also contains recent news regarding certain BlackRock Closed-End Funds.

          If you would like to receive a hard copy of the BlackRock Closed-End Funds Semi-Annual Investor Update, please call (800) 699-1BFM.

87



 

SECTION 19 NOTICES


          The amounts and sources of distributions reported are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon the Trust’s investment experience during the remainder of its fiscal year and may be subject to changes based on the tax regulations. The Trust will send you a Form 1099-DIV for the calendar year that will tell you how to report these distributions for federal income tax purposes.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Fiscal Year to Date1
Cumulative Distributions

 

Percentage of
Fiscal Year to Date1
Cumulative Distributions
by Character

 

 


 


Trust

 

Net
Investment
Income

 

Net
Realized
Capital
Gains

 

Return
of
Capital

 

Total Per
Common
Share

 

Net
Investment
Income

 

Net
Realized
Capital
Gains

 

Return
of
Capital

 

Total Per
Common Share


 


 


 


 


 


 


 


 


Preferred & Equity Advantage*

 

$0.38

 

$—

 

$0.09

 

$0.47

 

81%

 

—%

 

19%

 

100%


 

 

1

Commencement of investment operations for Preferred and Equity Advantage was December 27, 2006.

 

 

*

The Trust estimates that it has distributed more than its income and net realized gains; therefore, a portion of your distribution may be a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Trust is paid back to you. A return of capital does not necessarily reflect the Trust’s investment performance and should not be confused with ‘yield’ or ‘income.’

88


BlackRock Closed-End Funds

 

 

Directors/Trustees

 

Ralph L. Schlosstein, Chairman

 

Andrew F. Brimmer, Lead Trustee1

 

Richard E. Cavanagh, Lead Trustee2

 

Kent Dixon

 

Frank J. Fabozzi

 

Kathleen Feldstein

 

R. Glenn Hubbard
Robert S. Kapito3

 

 

Officers

 

Robert S. Kapito, President

 

Donald C. Burke, Treasurer

 

Bartholomew Battista, Chief Compliance Officer

 

Anne Ackerley, Vice President

 

Neal Andrews, Assistant Treasurer

 

Jay Fife, Assistant Treasurer

 

Spencer Fleming, Assistant Treasurer

 

James Kong, Assistant Treasurer

 

Robert Mahar, Assistant Treasurer

 

Vincent B. Tritto, Secretary

 

Brian P. Kindelan, Assistant Secretary

 

 

Investment Advisor

 

BlackRock Advisors, LLC

 

100 Bellevue Parkway

 

Wilmington, DE 19809

 

(800) 227-7BFM

 

 

Sub-Advisor

 

BlackRock Financial Management, Inc.4

 

40 East 52nd Street

 

New York, NY 10022

 

 

 

BlackRock Investment Management, LLC5

 

40 East 52nd Street

 

New York, NY 10022

 

 

Accounting Agent and Custodian

 

State Street Bank and Trust Company

 

2 Avenue de Lafayette

 

Boston, MA 02111

 

 

Transfer Agent

 

Computershare Trust Company, N.A.

 

250 Royall Street

 

Canton, MA 02021

 

(800) 699-1BFM

 

 

Auction Agent5

 

Bank of New York

 

101 Barclay Street, 7 West

 

New York, NY 10286

 

 

Independent Registered Public Accounting Firm

 

Deloitte & Touche LLP

 

200 Berkeley Street

 

Boston, MA 02116

 

 

Legal Counsel

 

Skadden, Arps, Slate, Meagher & Flom LLP

 

4 Times Square

 

New York, NY 10036

 

 

Legal Counsel – Independent Directors/Trustees

 

Debevoise & Plimpton LLP

 

919 Third Avenue

 

New York, NY 10022

          This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of Trust shares. Statements and other information contained in this report are as dated and are subject to change.

 

BlackRock Closed-End Funds

c/o BlackRock Advisors, LLC

100 Bellevue Parkway

Wilmington, DE 19809

(800) 227-7BFM



 

 


1

Retired, effective December 31, 2006.

2

Effective as of January 1, 2007.

3

Resigned, effective December 31, 2006.

4

For Core Bond, Limited Duration, Preferred and Equity and Strategic Bond.

5

For Preferred and Equity.

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 contact the Trusts at (800) 699-1BFM.

The Trusts have delegated to the Advisor the voting of proxies relating to their voting securities pursuant to the Advisor’s proxy voting policies and procedures. You may obtain a copy of these proxy voting policies and procedures, without charge, by calling (800) 699-1BFM. These policies and procedures are also available on the website of the Securities and Exchange Commission (the “Commission”) at http://www.sec.gov.

Information on how proxies relating to the Trusts’ voting securities were voted (if any) by the Advisor during the most recent 12-month period ended June 30th is available without charge, upon request, by calling (800) 699-1BFM or on the website of the Commission at http://www.sec.gov.

The Trusts file their complete schedule of portfolio holdings for the first and third quarters of their respective fiscal years with the Commission on Form N-Q. Each Trust’s Form N-Q will be available on the Commission’s website at http://www.sec.gov. Each Trust’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information regarding the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Each Trust’s Form N-Q may also be obtained, upon request, by calling (800) 699-1BFM.


This report is for shareholder information. This is not a prospectus intended for
use in the purchase or sale of Trust shares. Statements and other information
contained in this report are as dated and are subject to change.

CEF-SEMI-3-0407

(BLACKROCK LOGO)


Item 2. Code of Ethics.

Not applicable for semi-annual reports.

 

Item 3. Audit Committee Financial Expert.

Not applicable for semi-annual reports.

 

Item 4. Principal Accountant Fees and Services.

Not applicable for semi-annual reports.

 

Item 5. Audit Committee of Listed Registrants.

Not applicable for semi-annual reports.

 

Item 6. Schedule of Investments.

The Registrant’s Schedule of Investments is included as part of the Report to Shareholders filed under Item 1 of this form.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable for semi-annual reports.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies

(a) Not applicable for semi-annual reports.

(b) Not applicable.

 

Item 9. Purchases of Equity Securities by Closed-End Management Companies and Affiliated Purchasers.

Not applicable because no such purchases were made during the period covered by this report.

 

Item 10. Submission of Matters to a Vote of Security Holders.

No matters were voted on by shareholders during the period covered by this report.

 

Item 11. Controls and Procedures.

(a) The Registrant's principal executive and principal financial officers have evaluated the Registrant's disclosure controls and procedures within 90 days of this filing and have concluded, as of that date, that the Registrant’s disclosure controls and procedures were reasonably designed to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized, and reported within the required time periods and that information required to be disclosed by the Registrant in this Form N-CSR was accumulated and communicated to the Registrant’s management, including its principle executive and principle financial officers, as appropriate to allow timely decisions regarding required disclosure.

 



(b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d)) that occurred during the Registrant's 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.

 

(a) (1) Not applicable.

 

(a) (2) Separate certifications of Principal Executive and Financial Officers pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 attached as EX-99.CERT.

 

(a) (3) Not applicable.

 

(b) Certification of Principal Executive and Financial Officers pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 furnished as EX-99.906CERT.

 



SIGNATURES

 

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.

 

(Registrant)        BlackRock Limited Duration Income Trust       

 


By:   /s/ Donald C. Burke  

Name:

 

Donald C. Burke

Title:

 

Treasurer

Date:

 

July 3, 2007

 

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


By:   /s/ Robert S. Kapito  

Name:

 

Robert S. Kapito

Title:

 

Principal Executive Officer

Date:

 

July 3, 2007

 

By:   /s/ Donald C. Burke  

Name:

 

Donald C. Burke

Title:

 

Principal Financial Officer

Date:

 

July 3, 2007