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: 811-10543
Name of Fund: | BlackRock Core Bond Trust (BHK) |
Fund Address: | 100 Bellevue Parkway, Wilmington, DE 19809 |
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Core Bond Trust, 55 East 52nd Street, New York, NY 10055
Registrants telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 12/31/2020
Date of reporting period: 12/31/2020
Item 1 |
Report to Stockholders |
(a) The Report to Shareholders is attached herewith.
|
DECEMBER 31, 2020 |
2020 Annual Report |
BlackRock Core Bond Trust (BHK)
BlackRock Corporate High Yield Fund, Inc. (HYT)
BlackRock Credit Allocation Income Trust (BTZ)
BlackRock Floating Rate Income Trust (BGT)
Not FDIC Insured May Lose Value No Bank Guarantee |
Supplemental Information (unaudited)
Section 19(a) Notices
BlackRock Core Bond Trusts (BHK), BlackRock Corporate High Yield Fund, Inc.s (HYT), BlackRock Credit Allocation Income Trusts (BTZ) and BlackRock Floating Rate Income Trusts (BGT) (collectively the Trusts, or individually a Trust) amounts and sources of distributions reported are estimates and are being provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Trusts investment experience during its fiscal year and may be subject to changes based on tax regulations. Each Trust will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for U.S. federal income tax purposes.
December 31, 2020
Total Cumulative Distributions
for the Fiscal Period |
% Breakdown of the Total Cumulative Distributions for the Fiscal Period |
|||||||||||||||||||||||||||||||||||||||
Trust Name |
|
Net
Investment Income |
|
|
Net Realized
Capital Gains Short-Term |
|
|
Net Realized
Capital Gains Long-Term |
|
|
Return of
Capital |
(a) |
|
Total Per
Common Share |
|
|
Net
Investment Income |
|
|
Net Realized
Capital Gains Short-Term |
|
|
Net Realized
Capital Gains Long-Term |
|
|
Return of
Capital |
|
|
Total Per
Common Share |
|
||||||||||
BHK |
$ | 0.755712 | $ | 0.069488 | $ | | $ | | $ | 0.825200 | 92 | % | 8 | % | | % | | % | 100 | % | ||||||||||||||||||||
HYT |
0.817795 | | | 0.117005 | 0.934800 | 87 | | | 13 | 100 | ||||||||||||||||||||||||||||||
BTZ |
0.862348 | | | 0.144452 | 1.006800 | 86 | | | 14 | 100 | ||||||||||||||||||||||||||||||
BGT |
0.678138 | | | 0.215262 | 0.893400 | 76 | | | 24 | 100 |
(a) |
Each Trust estimates that it has distributed more than its net investment income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholders investment in a Trust is returned to the shareholder. A return of capital does not necessarily reflect a Trusts investment performance and should not be confused with yield or income. When distributions exceed total return performance, the difference will reduce a Trusts net asset value per share. |
Section 19(a) notices for the Trusts, as applicable, are available on the BlackRock website at blackrock.com.
Section 19(b) Disclosure
On September 5, 2019, the Trusts, acting pursuant to a U.S. Securities and Exchange Commission (SEC) exemptive order and with the approval of each Trusts Board of Trustees or Directors, as applicable (the Board), each have adopted a managed distribution plan, consistent with its investment objectives and policies to support a level distribution of income, capital gains and/or return of capital (the Plan). In accordance with the Plans, starting in October 2019, the Trusts currently distribute the following fixed amounts per share on a monthly basis:
Amount Per | ||||
Exchange Symbol | Common Share | |||
BHK |
$ | 0.0746 | ||
HYT |
0.0779 | |||
BTZ |
0.0839 | |||
BGT |
0.0647 |
The fixed amounts distributed per share are subject to change at the discretion of each Trusts Board. Under its Plan, each Trust will distribute all available investment income to its shareholders as required by the Internal Revenue Code of 1986, as amended (the Code). If sufficient income (inclusive of net investment income and short-term capital gains) is not earned on a monthly basis, the Trusts will distribute long-term capital gains and/or return of capital to shareholders in order to maintain a level distribution. Each monthly distribution to shareholders is expected to be at the fixed amount established by the Board; however, each Trust may make additional distributions from time to time, including additional capital gain distributions at the end of the taxable year, if required to meet requirements imposed by the Code and/or the Investment Company Act of 1940, as amended (the 1940 Act).
Shareholders should not draw any conclusions about each Trusts investment performance from the amount of these distributions or from the terms of the Plan. Each Trusts total return performance is presented in its financial highlights table.
The Board may amend, suspend or terminate a Trusts Plan at any time without prior notice to the Trusts shareholders if it deems such actions to be in the best interests of the Trust or its shareholders. The suspension or termination of the Plan could have the effect of creating a trading discount (if the Trusts stock is trading at or above net asset value) or widening an existing trading discount. The Trusts are subject to risks that could have an adverse impact on their ability to maintain level distributions. Examples of potential risks include, but are not limited to, economic downturns impacting the markets, changes in interest rates, decreased market volatility, companies suspending or decreasing corporate dividend distributions and changes in the Code.
2 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Dear Shareholder,
The 12-month reporting period as of December 31, 2020 has been a time of sudden change in global financial markets, as the emergence and spread of the coronavirus (or COVID-19) led to a vast disruption in the global economy and financial markets. The threat from the coronavirus became increasingly apparent throughout February and March 2020, and countries around the world took economically disruptive countermeasures. Stay-at-home orders and closures of non-essential businesses became widespread, many workers were laid off, and unemployment claims spiked, causing a global recession and a sharp fall in equity prices.
After markets hit their lowest point of the reporting period in late March 2020, a steady recovery ensued, as businesses began to re-open and governments learned to adapt to life with the virus. Equity prices continued to rise throughout the summer, fed by strong fiscal and monetary support and improving economic indicators. Many equity indices neared or surpassed all-time highs late in the reporting period following a series of successful vaccine trials and passage of additional stimulus. In the United States, both large- and small-capitalization stocks posted a significant advance. International equities from developed economies grew at a more modest pace, lagging emerging market stocks, which rebounded sharply.
During the market downturn, the performance of different types of fixed-income securities initially diverged due to a reduced investor appetite for risk. U.S. Treasuries benefited from the risk-off environment, and posted solid returns, as the 10-year U.S. Treasury yield (which is inversely related to bond prices) touched an all-time low. In the corporate bond market, support from the U.S. Federal Reserve (the Fed) assuaged credit concerns and both investment-grade and high-yield bonds recovered to post positive returns.
Following the coronavirus outbreak, the Fed instituted two emergency interest rate cuts, pushing short-term interest rates, already low as the year began, close to zero. To stabilize credit markets, the Fed also implemented a new bond-buying program, as did several other central banks around the world, including the European Central Bank and the Bank of Japan.
Looking ahead, while coronavirus-related disruptions have clearly hindered worldwide economic growth, we believe that the global expansion is likely to accelerate as vaccination efforts get under way. The results of the U.S. elections also cleared the way for additional stimulus spending in 2021, which is likely to be a solid tailwind for economic growth. Inflation should increase as the expansion continues, but a shift in central bank policy means that moderate inflation is less likely to be followed by interest rate hikes that could threaten the equity expansion.
Overall, we favor a positive stance toward risk, with an overweight in both equities and credit. We see U.S. and Asian equities benefiting from structural growth trends in tech, while emerging markets should be particularly helped by a vaccine-led economic expansion. In credit, rising inflation should provide tailwinds for inflation-protected bonds, and Euro area peripherals and Asian bonds also provide attractive opportunities. We believe that international diversification and a focus on sustainability can help provide portfolio resilience, and the disruption created by the coronavirus appears to be accelerating the shift toward sustainable investments.
In this environment, our view is that investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in todays markets.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
Rob Kapito
President, BlackRock Advisors, LLC
Total Returns as of December 31,
2020 |
||||||||||
6-Month | 12-Month | |||||||||
U.S. large cap equities
|
22.16 | % | 18.40 | % | ||||||
U.S. small cap equities
|
37.85 | 19.96 | ||||||||
International equities
|
21.61 | 7.82 | ||||||||
Emerging market equities
|
31.14 | 18.31 | ||||||||
3-month Treasury bills
|
0.07 | 0.67 | ||||||||
U.S. Treasury securities
(ICE BofA 10-Year U.S. Treasury Index) |
(1.87 | ) | 10.58 | |||||||
U.S. investment grade bonds
|
1.29 | 7.51 | ||||||||
Tax-exempt municipal bonds
|
2.92 | 4.95 | ||||||||
U.S. high yield bonds
|
11.32 | 7.05 | ||||||||
Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
|
T H I S P A G E I S N O T P A R T O F Y O U R F U N D R E P O R T |
3 |
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Annual Report: |
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Financial Statements: |
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126 | ||||
127 | ||||
129 | ||||
131 | ||||
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162 | ||||
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169 |
4 |
The Benefits and Risks of Leveraging
The Trusts may utilize leverage to seek to enhance the distribution rate on, and net asset value (NAV) of, their common shares (Common Shares). However, there is no guarantee that these objectives can be achieved in all interest rate environments.
In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Trust on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of each Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Trusts shareholders benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage (after paying the leverage costs) is paid to shareholders in the form of dividends, and the value of these portfolio holdings (less the leverage liability) is reflected in the per share NAV.
To illustrate these concepts, assume a Trusts capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Trusts financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Trust with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Trusts financing cost of leverage is significantly lower than the income earned on a Trusts longer-term investments acquired from such leverage proceeds, and therefore the holders of Common Shares (Common Shareholders) are the beneficiaries of the incremental net income.
However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed a Trusts return on assets purchased with leverage proceeds, income to shareholders is lower than if a Trust had not used leverage. Furthermore, the value of the Trusts portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the amount of each Trusts obligations under its leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a Trusts intended leveraging strategy will be successful.
The use of leverage also generally causes greater changes in each Trusts NAV, market price and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Trusts shares than if the Trust were not leveraged. In addition, each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Trust to incur losses. The use of leverage may limit a Trusts ability to invest in certain types of securities or use certain types of hedging strategies. Each Trust incurs expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shareholders. Moreover, to the extent the calculation of each Trusts investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to each Trusts investment adviser will be higher than if the Trusts did not use leverage.
Each Trust may utilize leverage through a credit facility or reverse repurchase agreements as described in the Notes to Financial Statements, if applicable.
Under the Investment Company Act of 1940, as amended (the 1940 Act), each Trust is permitted to issue debt up to 33 1/3% of its total managed assets. A Trust may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act.
If a Trust segregates or designates on its books and records cash or liquid assets having a value not less than the value of a Trusts obligations under a reverse repurchase agreement (including accrued interest) then such transaction is not considered a senior security and is not subject to the foregoing limitations and requirements imposed by the 1940 Act.
Derivative Financial Instruments
The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Trusts successful use of a derivative financial instrument depends on the investment advisers ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
T H E B E N E F I T S A N D R I S K S O F L E V E R A G I N G / D E R I V A T I V E F I N A N C I A L I N S T R U M E N T S |
5 |
Trust Summary as of December 31, 2020 | BlackRock Core Bond Trust (BHK) |
Investment Objective
BlackRock Core Bond Trusts (BHK) (the Trust) investment objective is to provide current income and capital appreciation. The Trust seeks to achieve its investment objective by investing at least 75% of its managed assets in bonds that are investment grade quality at the time of investment. The Trusts investments will include a broad range of bonds, including corporate bonds, U.S. government and agency securities and mortgage-related securities. The Trust may invest up to 25% of its total managed assets in bonds that at the time of investment are rated Ba/BB or below by Moodys Investors Service, Inc. (Moodys), S&P Global Ratings, Fitch Ratings (Fitch) or another nationally recognized rating agency or bonds that are unrated but judged to be of comparable quality by the investment adviser. The Trust may invest up to 10% of its managed assets in bonds issued in foreign currencies. The Trust may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Trusts investment objective will be achieved.
Trust Information
Symbol on New York Stock Exchange |
BHK | |
Initial Offering Date |
November 27, 2001 | |
Current Distribution Rate on Closing Market Price as of December 31, 2020 ($16.30)(a) |
5.49% | |
Current Monthly Distribution per Common Share(b) |
$0.0746 | |
Current Annualized Distribution per Common Share(b) |
$0.8952 | |
Leverage as of December 31, 2020(c) |
25% |
(a) |
Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance does not guarantee future results. |
(b) |
The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
(c) |
Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowings) minus the sum of its liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
Market Price and Net Asset Value Per Share Summary
12/31/20 | 12/31/19 | Change | High | Low | ||||||||||||||||
Market Price |
$ 16.30 | $ 14.58 | 11.80 | % | $16.43 | $11.44 | ||||||||||||||
Net Asset Value |
16.45 | 15.32 | 7.38 | 16.75 | 13.52 |
Market Price and Net Asset Value History for the Past Five Years
6 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Trust Summary as of December 31, 2020 (continued) | BlackRock Core Bond Trust (BHK) |
Performance and Portfolio Management Commentary
Returns for the period ended December 31, 2020 were as follows:
Average Annual Total Returns | ||||||||||||
1 Year | 3 Years | 5 Years | ||||||||||
Trust at NAV(a)(b) |
13.24 | % | 9.45 | % | 9.52 | % | ||||||
Trust at Market Price(a)(b) |
17.90 | 11.20 | 11.38 | |||||||||
Reference Benchmark(c) |
10.51 | 7.22 | 7.05 | |||||||||
Bloomberg Barclays U.S. Long Government/Credit Index(d) |
16.12 | 9.80 | 9.35 | |||||||||
Bloomberg Barclays Intermediate Credit Index(e) |
7.08 | 5.46 | 4.74 | |||||||||
Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index(f) |
7.05 | 6.21 | 8.57 | |||||||||
Bloomberg Barclays CMBS, Eligible for U.S. Aggregate(g) |
8.11 | 5.67 | 4.73 | |||||||||
Bloomberg Barclays MBS Index(h) |
3.87 | 3.71 | 3.05 | |||||||||
Bloomberg Barclays ABS Index(i) |
4.52 | 3.60 | 2.87 |
(a) |
All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trusts use of leverage. |
(b) |
The Trusts discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) |
The Reference Benchmark is comprised of the Bloomberg Barclays U.S. Long Government/Credit Index (40%); Bloomberg Barclays Intermediate Credit Index (24%); Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (16%); Bloomberg Barclays CMBS, Eligible for U.S. Aggregate Index (8%); Bloomberg Barclays MBS Index (8%); and Bloomberg Barclays ABS Index (4%). The Reference Benchmarks index content and weightings may have varied over past periods. |
(d) |
This unmanaged index is the long component of the Bloomberg Barclays U.S. Government/Credit Index. This unmanaged index includes publicly issued U.S. Treasury debt, U.S. government agency debt, taxable debt issued by U.S. states and territories and their political subdivisions, debt issued by U.S. and non-U.S. corporations, non-U.S. government debt and supranational debt. |
(e) |
This unmanaged index is the intermediate component of the Bloomberg Barclays U.S. Credit Index. The Bloomberg Barclays U.S. Credit Index includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements. |
(f) |
An unmanaged index comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index. |
(g) |
This unmanaged index is the CMBS component of the Bloomberg Barclays U.S. Aggregate Index. |
(h) |
This unmanaged index is a market value-weighted index, which covers the mortgage-backed securities component of the Bloomberg Barclays U.S. Aggregate Bond Index. The unmanaged index is comprised of agency mortgage-backed pass-through securities of the Government National Mortgage Association (Ginnie Mae), the Federal National Mortgage Association (Fannie Mae), and the Federal Home Loan Mortgage Corporation (Freddie Mac) with a minimum $150 million par amount outstanding and a weighted-average maturity of at least 1 year. The index includes reinvestment of income. |
(i) |
This unmanaged index is the asset-backed securities component of the Bloomberg Barclays U.S. Aggregate Index. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not indicative of future results.
BHK is presenting the Reference Benchmark to accompany trust performance. The Reference Benchmark is presented for informational purposes only, as the Trust is actively managed and does not seek to track or replicate the performance of the Reference Benchmark or any other index. The portfolio investments of the Trust may differ substantially from the securities that comprise the indices within the Reference Benchmark, which may cause the Trusts performance to differ materially from that of the Reference Benchmark. The Trust employs leverage as part of its investment strategy, which may change over time at the discretion of BlackRock Advisors, LLC (the Manager) as market and other conditions warrant. In contrast, the Reference Benchmark is not adjusted for leverage. Therefore, leverage generally may result in the Trust outperforming the Reference Benchmark in rising markets and underperforming in declining markets. The Board considers additional factors to evaluate the Trusts performance, such as the performance of the Trust relative to a peer group of funds, a leverage-adjusted benchmark and/or other information provided by the Manager.
More information about the Trusts historical performance can be found in the Closed End Funds section of blackrock.com.
The following discussion relates to the Trusts absolute performance based on NAV:
What factors influenced performance?
Positive contributors to the Trusts absolute performance over the period included its allocation to U.S. Treasuries, which benefited as interest rates declined over the period. Exposure to both investment grade and high yield corporate bonds also contributed positively as credit sentiment rebounded based on supportive policy after the market dislocation seen in the first quarter of 2020. Finally, returns for securitized assets including, 30-year pass-through mortgage-backed securities (MBS) and asset-backed securities (ABS) were also positive.
The principal detractors from the Trusts absolute performance were its exposures to commercial mortgage-backed securities (CMBS), private investments and the Trusts cash position.
Describe recent portfolio activity.
Over the reporting period, the Trust increased exposure to ABS, emerging market debt, non-dollar exposures, non-agency adjustable rate mortgages and collateralized mortgage obligations (CMOs). Over the same period, the Trust trimmed exposure to CMBS, 30-year MBS pass throughs, agency CMOs, and U.S. Treasuries.
Describe portfolio positioning at period end.
At period end, the Trust maintained a diversified exposure within non-government spread sectors, including investment grade corporate credit, high yield corporate credit, CMBS, ABS and emerging market debt. The Trust also held exposure to government-related sectors such as 30-year MBS pass-throughs, agency CMOs and U.S. agency securities.
T R U S T S U M M A R Y |
7 |
Trust Summary as of December 31, 2020 (continued) | BlackRock Core Bond Trust (BHK) |
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
Overview of the Trusts Total Investments
PORTFOLIO ALLOCATION
Asset Type(a) | 12/31/20 | 12/31/19 | ||||||
Corporate Bonds |
48 | % | 43 | % | ||||
U.S. Treasury Obligations |
22 | 15 | ||||||
U.S. Government Sponsored Agency Securities |
9 | 20 | ||||||
Asset-Backed Securities |
6 | 5 | ||||||
Preferred Securities |
4 | 8 | ||||||
Non-Agency Mortgage-Backed Securities |
4 | 3 | ||||||
Foreign Agency Obligations |
3 | 2 | ||||||
Municipal Bonds |
2 | 2 | ||||||
Floating Rate Loan Interests |
2 | 2 | ||||||
Other* |
| (b) | | (b) |
CREDIT QUALITY ALLOCATION
Credit Rating(a)(c) | 12/31/20 | 12/31/19 | ||||||
AAA/Aaa(d) |
6 | % | 1 | % | ||||
AA/Aa |
31 | 2 | ||||||
A |
12 | 15 | ||||||
BBB/Baa |
25 | 51 | ||||||
BB/Ba |
11 | 19 | ||||||
B/B |
| 9 | ||||||
B |
9 | | ||||||
CCC/Caa |
3 | 2 | ||||||
CC |
1 | | ||||||
D |
| (b) | | |||||
N/R |
2 | 1 |
(a) |
Excludes short-term securities, options purchased and options written. |
(b) |
Rounds to less than 1% of total investments. |
(c) |
For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moodys Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(d) |
The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. |
* |
Includes one or more investment categories that individually represents less than 1% of the Trusts total investments. Please refer to the Schedule of Investments for details. |
8 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Trust Summary as of December 31, 2020 | BlackRock Corporate High Yield Fund, Inc. (HYT) |
Investment Objective
BlackRock Corporate High Yield Fund, Inc.s (HYT) (the Trust) primary investment objective is to provide shareholders with current income. The Trusts secondary investment objective is to provide shareholders with capital appreciation. The Trust seeks to achieve its objectives by investing primarily in a diversified portfolio of fixed income securities which are rated at the time of investment to be below investment grade or, if unrated, are considered by the investment adviser to be of comparable quality. The Trust may invest directly in fixed income securities or synthetically through the use of derivatives.
No assurance can be given that the Trusts investment objective will be achieved.
Trust Information
Symbol on New York Stock Exchange |
HYT | |
Initial Offering Date |
May 30, 2003 | |
Current Distribution Rate on Closing Market Price as of December 31, 2020 ($11.43)(a) |
8.18% | |
Current Monthly Distribution per Common Share(b) |
$0.0779 | |
Current Annualized Distribution per Common Share(b) |
$0.9348 | |
Leverage as of December 31, 2020(c) |
32% |
(a) |
Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance does not guarantee future results. |
(b) |
The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
(c) |
Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings), minus the sum of liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
Market Price and Net Asset Value Per Share Summary
12/31/20 | 12/31/19 | Change | High | Low | ||||||||||||||||
Market Price |
$ 11.43 | $11.20 | 2.05% | $11.81 | $6.26 | |||||||||||||||
Net Asset Value |
11.95 | 11.91 | 0.34 | 12.07 | 8.25 |
T R U S T S U M M A R Y |
9 |
Trust Summary as of December 31, 2020 (continued) | BlackRock Corporate High Yield Fund, Inc. (HYT) |
Performance and Portfolio Management Commentary
Returns for the period ended December 31, 2020 were as follows:
Average Annual Total Returns | ||||||||||||
1 Year | 3 Years | 5 Years | ||||||||||
Trust at NAV(a)(b) |
9.57% | 8.11% | 10.74% | |||||||||
Trust at Market Price(a)(b) |
11.45 | 10.40 | 12.04 | |||||||||
Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index(c) |
7.05 | 6.21 | 8.57 |
(a) |
All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trusts use of leverage. |
(b) |
The Trusts discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) |
An unmanaged index (the Reference Benchmark) comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not indicative of future results.
HYT is presenting the Reference Benchmark to accompany trust performance. The Reference Benchmark is presented for informational purposes only, as the Trust is actively managed and does not seek to track or replicate the performance of the Reference Benchmark or any other index. The portfolio investments of the Trust may differ substantially from the securities that comprise the indices within the Reference Benchmark, which may cause the Trusts performance to differ materially from that of the Reference Benchmark. The Trust employs leverage as part of its investment strategy, which may change over time at the discretion of the Manager as market and other conditions warrant. In contrast, the Reference Benchmark is not adjusted for leverage. Therefore, leverage generally may result in the Trust outperforming the Reference Benchmark in rising markets and underperforming in declining markets. The Board considers additional factors to evaluate the Trusts performance, such as the performance of the Trust relative to a peer group of funds, a leverage-adjusted benchmark and/or other information provided by the Manager.
More information about the Trusts historical performance can be found in the Closed End Funds section of blackrock.com.
The following discussion relates to the Trusts absolute performance based on NAV:
What factors influenced performance?
High-yield bonds delivered strong returns in 2020. Although the market fell sharply in the first quarter of 2020 due to the emergence of COVID-19, the Fed responded by cutting short-term interest rates to zero and pledging to support the corporate bond market through direct purchases. The high-yield market rebounded quickly in response, and the rally carried through until year end due to the combination of better-than-expected economic growth and the approval of a coronavirus vaccine in November 2020.
The technology, wireless and automotive sectors were the leading contributors to the Trusts absolute performance in 2020. By credit rating, BB and BBB rated debt made the largest contributions. The Trust had a tactical allocation to investment grade bonds, which also aided results.
The oil field services, finance and refining sectors were the largest detractors from absolute performance. From an asset allocation perspective, positions in preferred stocks detracted from returns. The Trust used derivativesincluding credit default swaps and total return swapsto manage its positioning. This aspect of its strategy was also a minor detractor.
Describe recent portfolio activity.
While the Trusts key positioning themes remained broadly consistent, the investment adviser used tactical sector- and issuer-level positioning to take advantage of market opportunities. The investment adviser increased the portfolios allocation to investment grade-bonds. At the sector level, the Trust increased its allocation to independent energy issues.
Describe portfolio positioning at period end.
The Trust was underweight in BB rated issues and overweight in select CCCs. With that said, the Trust maintained an underweight in the highest-yielding portion of the market with the largest concentration of distressed assets. The Trusts allocation to investment grade corporate bonds stood at about 13%. The investment adviser continued to invest a portion of the portfolio in floating rate loan interests, which it believed were attractively valued relative to high yield. These senior/secured assets, while experiencing a recovery, did not bounce back to the same extent as high-yield issues indicating a possible value opportunity. The largest sector overweight positions included technology, cable/satellite and banking, while food & beverage, finance companies and retailers were the largest underweights.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
10 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Trust Summary as of December 31, 2020 (continued) | BlackRock Corporate High Yield Fund, Inc. (HYT) |
Overview of the Trusts Total Investments
PORTFOLIO ALLOCATION
Asset Type | 12/31/20 | 12/31/19 | ||||||
Corporate Bonds |
85 | % | 83 | % | ||||
Floating Rate Loan Interests |
9 | 9 | ||||||
Preferred Securities |
4 | 4 | ||||||
Common Stocks |
1 | 3 | ||||||
Investment Companies |
1 | | ||||||
Asset-Backed Securities |
| (a) | 1 | |||||
Warrants |
| (a) | |
CREDIT QUALITY ALLOCATION
Credit Rating(b)(c) | 12/31/20 | 12/31/19 | ||||||
BBB/Baa |
12 | % | 7 | % | ||||
BB/Ba |
37 | 41 | ||||||
B |
36 | 39 | ||||||
CCC/Caa |
12 | 10 | ||||||
N/R(d) |
3 | 3 |
(a) |
Rounds to less than 1% of total investments. |
(b) |
For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moodys Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(c) |
Excludes short-term securities and options purchased. |
(d) |
The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of December 31, 2020 and December 31, 2019, the market value of unrated securities deemed by the investment adviser to be investment grade each represents less than 1% of the Trusts total investments. |
T R U S T S U M M A R Y |
11 |
Trust Summary as of December 31, 2020 | BlackRock Credit Allocation Income Trust (BTZ) |
Investment Objective
BlackRock Credit Allocation Income Trusts (BTZ) (the Trust) investment objective is to provide current income, current gains and capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its assets in credit-related securities, including, but not limited to, investment grade corporate bonds, high yield bonds (commonly referred to as junk bonds), bank loans, preferred securities or convertible bonds or derivatives with economic characteristics similar to these credit-related securities. The Trust may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Trusts investment objective will be achieved.
Trust Information
Symbol on New York Stock Exchange |
BTZ | |
Initial Offering Date |
December 27, 2006 | |
Current Distribution Rate on Closing Market Price as of December 31, 2020 ($14.71)(a) |
6.84% | |
Current Monthly Distribution per Common Share(b) |
$0.0839 | |
Current Annualized Distribution per Common Share(b) |
$1.0068 | |
Leverage as of December 31, 2020(c) |
29% |
(a) |
Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance does not guarantee future results. |
(b) |
The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
(c) |
Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowings) minus the sum of its liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
Market Price and Net Asset Value Per Share Summary
12/31/20 | 12/31/19 | Change | High | Low | ||||||||||||||||
Market Price |
$ 14.71 | $ 13.98 | 5.22 | % | $ 15.00 | $ 9.14 | ||||||||||||||
Net Asset Value |
15.71 | 14.97 | 4.94 | 15.73 | 11.11 |
Market Price and Net Asset Value History for the Past Five Years
12 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Trust Summary as of December 31, 2020 (continued) | BlackRock Credit Allocation Income Trust (BTZ) |
Performance and Portfolio Management Commentary
Returns for the period ended December 31, 2020 were as follows:
Average Annual Total Returns | ||||||||||||
1 Year | 3 Years | 5 Years | ||||||||||
Trust at NAV(a)(b) |
12.78 | % | 9.29 | % | 9.82 | % | ||||||
Trust at Market Price(a)(b) |
13.07 | 10.62 | 10.75 | |||||||||
Reference Benchmark(c) |
8.80 | 6.78 | 7.29 | |||||||||
Bloomberg Barclays U.S. Credit Index(d) |
9.35 | 6.80 | 6.44 | |||||||||
Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index(e) |
7.05 | 6.21 | 8.57 | |||||||||
Bloomberg Barclays USD Capital Securities Index(f) |
9.74 | 7.40 | 7.39 |
(a) |
All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trusts use of leverage. |
(b) |
The Trusts discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) |
The Reference Benchmark is comprised of the Bloomberg Barclays U.S. Credit Index (50.36%), the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (29.93%), and the Bloomberg Barclays USD Capital Securities Index (19.71%). |
(d) |
This unmanaged index measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable corporate and government-related bond markets. |
(e) |
An unmanaged index comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index. |
(f) |
This unmanaged index tracks fixed-rate, investment grade capital securities denominated in USD. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not indicative of future results.
BTZ is presenting the Reference Benchmark to accompany trust performance. The Reference Benchmark is presented for informational purposes only, as the Trust is actively managed and does not seek to track or replicate the performance of the Reference Benchmark or any other index. The portfolio investments of the Trust may differ substantially from the securities that comprise the indices within the Reference Benchmark, which may cause the Trusts performance to differ materially from that of the Reference Benchmark. The Trust employs leverage as part of its investment strategy, which may change over time at the discretion of BlackRock Advisors, LLC (the Manager) as market and other conditions warrant. In contrast, the Reference Benchmark is not adjusted for leverage. Therefore, leverage generally may result in the Trust outperforming the Reference Benchmark in rising markets and underperforming in declining markets. The Board considers additional factors to evaluate the Trusts performance, such as the performance of the Trust relative to a peer group of funds, a leverage-adjusted benchmark and/or other information provided by the Manager.
More information about the Trusts historical performance can be found in the Closed End Funds section of blackrock.com.
The following discussion relates to the Trusts absolute performance based on NAV:
What factors influenced performance?
Exposure to global credit markets broadly added to performance over the period as spreads tightened and yields declined. Positive contributors to performance included allocations to U.S. investment grade and high yield corporate bonds, capital securities, European investment grade and high yield corporate bonds, emerging market debt, floating rate loan interests and collateralized loan obligations (CLOs). Positioning with respect to portfolio duration and corresponding interest rate sensitivity also contributed.
Detractors were limited over the period, as both risk and defensive assets performed well, although strategies to manage risk weighed on performance.
In addition to employing leverage, the Trust used derivatives as part of its investment strategy, including forward contracts to manage foreign currency exposure of non-U.S. positions back to U.S. dollars and interest rate futures to adjust duration positioning tactically as needed. The use of derivatives over the 12-month period had a positive impact on performance, as the use of leverage to gain access to credit sectors outweighed strategies to other holdings within the portfolio.
Describe recent portfolio activity.
The Trust increased leverage over the period. The Trust reduced exposure to U.S. investment grade corporate bonds while increasing allocations to U.S. high yield corporate bonds and non-U.S. credit markets including Europe and Asia.
Describe portfolio positioning at period end.
The Trust was positioned constructively with respect to risk assets given the potential for further stimulus, the continued rebound in growth and the global demand for yield, all of which should be supportive of credit markets. With this backdrop, the Trust maintained core allocations to U.S. high yield corporate bonds, U.S. investment grade corporate bonds and capital securities, with exposure to CLOs and non-U.S. credit markets as well.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
T R U S T S U M M A R Y |
13 |
Trust Summary as of December 31, 2020 (continued) | BlackRock Credit Allocation Income Trust (BTZ) |
Overview of the Trusts Total Investments
PORTFOLIO ALLOCATION
Asset Type | 12/31/20 | 12/31/19 | ||||||
Corporate Bonds |
79 | % | 75 | % | ||||
Preferred Securities |
14 | 17 | ||||||
Asset-Backed Securities |
5 | 5 | ||||||
Foreign Agency Obligations |
1 | 2 | ||||||
Municipal Bonds |
1 | 1 | ||||||
Other* |
| (a) | | (a) |
CREDIT QUALITY ALLOCATION
Credit Rating(b)(c) | 12/31/20 | 12/31/19 | ||||||
AAA/Aaa(d) |
1 | % | 1 | % | ||||
AA/Aa |
2 | 2 | ||||||
A |
10 | 15 | ||||||
BBB/Baa |
50 | 51 | ||||||
BB/Ba |
23 | 19 | ||||||
B/B |
| 9 | ||||||
B |
11 | | ||||||
CCC/Caa |
3 | 2 | ||||||
N/R(e) |
| (a) | 1 |
(a) |
Rounds to less than 1% of total investments. |
(b) |
For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moodys Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(c) |
Excludes short-term securities, options purchased and options written. |
(d) |
The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. |
(e) |
The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of December 31, 2020, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1% of the Trusts total investments. |
* |
Includes one or more investment categories that individually represents less than 1% of the Trusts total investments. Please refer to the Schedule of Investments for details. |
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2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Trust Summary as of December 31, 2020 | BlackRock Floating Rate Income Trust (BGT) |
Investment Objective
BlackRock Floating Rate Income Trusts (BGT) (the Trust) primary investment objective is to provide a high level of current income. The Trusts secondary investment objective is to seek the preservation of capital to the extent consistent with its primary objective of high current income. The Trust seeks to achieve its investment objectives by investing primarily, under normal conditions, at least 80% of its assets in floating and variable rate instruments of U.S. and non-U.S. issuers, including a substantial portion of its assets in senior secured floating rate loans made to corporate and other business entities. Under normal market conditions, the Trust expects that the average effective duration of its portfolio will be no more than 1.5 years. The Trust may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Trusts investment objective will be achieved.
Trust Information
Symbol on New York Stock Exchange |
BGT | |
Initial Offering Date |
August 30, 2004 | |
Current Distribution Rate on Closing Market Price as of December 31, 2020 ($11.79)(a) |
6.59% | |
Current Monthly Distribution per Common Share(b) |
$0.0647 | |
Current Annualized Distribution per Common Share(b) |
$0.7764 | |
Leverage as of December 31, 2020(c) |
30% |
(a) |
Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance does not guarantee future results. |
(b) |
The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
(c) |
Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowings) minus the sum of its liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
Market Price and Net Asset Value Per Share Summary
12/31/20 | 12/31/19 | Change | High | Low | ||||||||||||||||
Market Price |
$ | 11.79 | $ | 12.87 | (8.39 | )% | $13.30 | $7.20 | ||||||||||||
Net Asset Value |
13.40 | 14.10 | (4.96 | ) | 14.21 | 9.85 |
Market Price and Net Asset Value History for the Past Five Years
T R U S T S U M M A R Y |
15 |
Trust Summary as of December 31, 2020 (continued) | BlackRock Floating Rate Income Trust (BGT) |
Performance and Portfolio Management Commentary
Returns for the period ended December 31, 2020 were as follows:
Average Annual Total Returns | ||||||||||||
1 Year | 3 Years | 5 Years | ||||||||||
Trust at NAV(a)(b) |
2.83 | % | 4.58 | % | 5.80 | % | ||||||
Trust at Market Price(a)(b) |
(0.88 | ) | 1.23 | 5.15 | ||||||||
S&P/LSTA Leveraged Loan Index(c) |
3.12 | 4.01 | 5.24 |
(a) |
All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trusts use of leverage. |
(b) |
The Trusts discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) |
An unmanaged market value-weighted index (the Reference Benchmark) designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not indicative of future results.
BGT is presenting the Reference Benchmark to accompany trust performance. The Reference Benchmark is presented for informational purposes only, as the Trust is actively managed and does not seek to track or replicate the performance of the Reference Benchmark or any other index. The portfolio investments of the Trust may differ substantially from the securities that comprise the indices within the Reference Benchmark, which may cause the Trusts performance to differ materially from that of the Reference Benchmark. The Trust employs leverage as part of its investment strategy, which may change over time at the discretion of BlackRock Advisors, LLC (the Manager) as market and other conditions warrant. In contrast, the Reference Benchmark is not adjusted for leverage. Therefore, leverage generally may result in the Trust outperforming the Reference Benchmark in rising markets and underperforming in declining markets. The Board considers additional factors to evaluate the Trusts performance, such as the performance of the Trust relative to a peer group of funds, a leverage-adjusted benchmark and/or other information provided by the Manager.
More information about the Trusts historical performance can be found in the Closed End Funds section of blackrock.com.
The following discussion relates to the Trusts absolute performance based on NAV:
What factors influenced performance?
After falling sharply in the first calendar quarter of 2020 due to the emergence of COVID-19, the floating rate loan interest (bank loan) market recovered to finish 2020 with positive returns. As was the case with other credit-oriented segments of the bond market, loans were helped by the combination of aggressive fiscal and monetary stimulus, better-than-expected economic conditions in the second half of the year, and the approval of a coronavirus vaccine in early November 2020.
From an asset allocation perspective, the Trusts core exposure to bank loans and tactical allocations to investment grade and high yield corporate bonds contributed to performance. By sector, the largest contributors included technology, cable/satellite and automotive. With respect to credit tiers, the Trusts B rated positions were the leading contributors to absolute returns, followed by CCCs and BBBs.
At the sector level, the largest detractors from performance included energy, lodging and aerospace/defense. By rating class, BB rated issues were the sole detractor.
Describe recent portfolio activity.
The investment adviser increased the Trusts allocation to high yield and investment grade bonds throughout the year due to the supportive technicals and attractive relative values in these areas. The investment advisers credit rating views remained relatively consistent over the past several quarters, focusing on higher-quality B rated issues and avoiding the more volatile, stressed CCC category. The investment adviser tactically managed the Trusts sector positioning, although it placed a greater focus on individual security selection later in the period. The Trust continued to use liquid, index-based derivatives in the loan and high-yield markets in order to manage its positioning.
Describe portfolio positioning at period end.
The Trust remained predominately invested in bank loans, with the rest primarily invested in high-yield and investment-grade corporates. By credit rating, B rated loans were the Trusts largest position, and it had a much smaller weighting in the higher-risk CCC rated segment. Within the single B category, the investment adviser remained focused on higher-quality B+ and B rated debt, with less of an emphasis on securities rated B-.
The investment advisers core sector views stayed largely intact. Some of the Trusts largest sector positions were technology companies, particularly in the enterprise software business. Health care, cable/satellite and building materials were also areas where the investment adviser identified compelling risk-reward opportunities. The investment adviser slightly increased the portfolios allocation to sectors with above-average sensitivity to COVID-19 during the second half of the year by participating in new issues in the gaming and airline categories. The investment adviser maintained a lower allocation to energy and the consumer cyclical sectors, such as retailers and leisure, on the belief that these market segments continued to face significant headwinds.
Additionally, the Trust had a bias toward larger loan tranches, as well as to loan/bond capital structures over the loan-only segment. The Trust remained underweight in the 2017 and 2018 vintages, arguably a period with more aggressive lending standards and weaker protections for loan holders.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
16 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Trust Summary as of December 31, 2020 (continued) | BlackRock Floating Rate Income Trust (BGT) |
Overview of the Trusts Total Investments
PORTFOLIO ALLOCATION
Asset Type(a) | 12/31/20 | 12/31/19 | ||||||
Floating Rate Loan Interests |
93 | % | 94 | % | ||||
Corporate Bonds |
5 | 1 | ||||||
Investment Companies |
2 | 5 | ||||||
Other* |
| (b) | | (b) |
CREDIT QUALITY ALLOCATION
Credit Rating(c)(d) | 12/31/20 | 12/31/19 | ||||||
AAA/Aaa(e) |
| % | | % | ||||
BBB/Baa |
6 | 8 | ||||||
BB/Ba |
19 | 28 | ||||||
B |
67 | 57 | ||||||
CCC/Caa |
6 | 2 | ||||||
N/R(f) |
2 | 5 |
(a) |
Excludes short-term securities. |
(b) |
Rounds to less than 1% of total investments. |
(c) |
For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moodys Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(d) |
Excludes common stocks, warrants, short-term securities, options purchased and options written. |
(e) |
The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. |
(f) |
The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of December 31, 2020, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1% of the Trusts total investments. |
* |
Includes one or more investment categories that individually represents less than 1% of the Trusts total investments. Please refer to the Schedule of Investments for details. |
T R U S T S U M M A R Y |
17 |
December 31, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Asset-Backed Securities |
||||||||||||
ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class CR2, (3 mo. LIBOR US + 2.70%), 2.94%, 07/15/27(a)(b) |
USD | 2,080 | $ | 2,063,323 | ||||||||
Anchorage Capital CLO Ltd.(a)(b) |
||||||||||||
Series 2013-1A, Class CR, (3 mo. LIBOR US + 3.20%), 3.42%, 10/13/30 |
720 | 710,223 | ||||||||||
Series 2016-8A, Class DR, (3 mo. LIBOR US + 3.00%), 3.22%, 07/28/28 |
1,000 | 980,827 | ||||||||||
Battalion CLO X Ltd., Series 2016-10A, Class CR, (3 mo. LIBOR US + 3.45%), 3.66%, 01/24/29(a)(b) |
1,000 | 995,639 | ||||||||||
Benefit Street Partners CLO X Ltd.,
|
815 | 805,605 | ||||||||||
BlueMountain CLO XXVI Ltd.,
|
250 | 250,709 | ||||||||||
Bowman Park CLO Ltd.,
|
3,000 | 2,999,940 | ||||||||||
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class CR, (3 mo. LIBOR US + 3.35%), 3.57%, 08/14/30(a)(b) |
1,000 | 939,874 | ||||||||||
CarVal CLO II Ltd.(a)(b) |
||||||||||||
Series 2019-1A, Class D, (3 mo. LIBOR US + 4.15%), 4.37%, 04/20/32 |
500 | 502,482 | ||||||||||
Series 2019-1A, Class E, (3 mo. LIBOR US + 6.75%), 6.97%, 04/20/32 |
400 | 392,556 | ||||||||||
CarVal CLO III Ltd., Series 2019-2A, Class E, (3 mo. LIBOR US + 6.44%), 6.66%, 07/20/32(a)(b) |
500 | 489,486 | ||||||||||
CarVal CLO Ltd., Series 2018-1A,
|
500 | 430,017 | ||||||||||
Cifc Funding Ltd., Series 2014-4RA,
|
1,000 | 998,289 | ||||||||||
CIFC Funding Ltd.(a)(b) |
||||||||||||
Series 2015-1A, Class ARR, (3 mo. LIBOR US + 1.11%), 1.33%, 01/22/31 |
1,000 | 997,531 | ||||||||||
Series 2015-5A, Class A1R, (3 mo. LIBOR US + 0.86%), 1.07%, 10/25/27 |
977 | 971,038 | ||||||||||
Series 2020-1A, Class D, (3 mo. LIBOR US + 4.00%), 4.24%, 07/15/32 |
500 | 501,432 | ||||||||||
Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A, 2.01%, 02/15/29(b) |
2,000 | 2,044,819 | ||||||||||
Dryden 64 CLO Ltd., Series 2018-64A, Class D, (3 mo. LIBOR US + 2.65%), 2.87%, 04/18/31(a)(b) |
1,250 | 1,220,449 | ||||||||||
Dryden 75 CLO Ltd., Series 2019-75A, Class CR, (3 mo. LIBOR US + 2.40%), 2.64%, 07/15/30(a)(b) |
500 | 500,354 | ||||||||||
Dryden XXVIII Senior Loan Fund,
|
1,000 | 979,430 | ||||||||||
Eaton Vance Clo Ltd., Series 2015-1A, Class A2R, (3 mo. LIBOR US + 1.25%), 1.47%, 01/20/30(a)(b) |
1,000 | 996,167 | ||||||||||
Elmwood CLO III Ltd., Series 2019-3A, Class E, (3 mo. LIBOR US + 7.00%), 7.24%, 10/15/32(a)(b) |
1,500 | 1,493,571 | ||||||||||
Elmwood CLO V Ltd., Series 2020-2A, Class C, (3 mo. LIBOR US + 2.75%), 3.03%, 07/24/31(a)(b) |
500 | 502,440 | ||||||||||
Fairstone Financial Issuance Trust I, Series 2020-1A, Class C, 5.16%, 10/20/39(b) |
CAD | 170 | 132,996 | |||||||||
Galaxy XXIX CLO Ltd., Series 2018-29A, Class D, (3 mo. LIBOR US + 2.40%),
|
USD | 805 | 785,573 |
Security |
Par
(000) |
Value | ||||||||||
Asset-Backed Securities (continued) |
|
|||||||||||
Goldentree Loan Management US Clo 7 Ltd., Series 2020-7A, Class D, (3 mo. LIBOR US + 2.98%), 3.20%, 04/20/31(a)(b) |
USD | 625 | $ | 628,060 | ||||||||
Highbridge Loan Management, Series 3A-2014, Class CR, (3 mo. LIBOR US + 3.60%), 3.82%, 07/18/29(a)(b) |
1,000 | 962,429 | ||||||||||
Lending Funding Trust, Series 2020-2A, Class C, 4.30%, 04/21/31(b) |
240 | 243,765 | ||||||||||
Limerock CLO III LLC, Series 2014-3A, Class C, (3 mo. LIBOR US + 3.60%), 3.82%, 10/20/26(a)(b) |
3,750 | 3,732,973 | ||||||||||
Litigation Fee Residual Funding Trust, 4.00%, 10/30/27 |
1,308 | 1,286,514 | ||||||||||
Long Beach Mortgage Loan Trust,
|
6,982 | 2,907,245 | ||||||||||
Madison Park Funding X Ltd., Series 2012-10A, Class ER2, (3 mo. LIBOR US + 6.40%), 6.62%, 01/20/29(a)(b) |
250 | 243,277 | ||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2007- HE5, Class A2D, (1 mo. LIBOR US + 0.34%), 0.49%, 03/25/37(a) |
5,939 | 3,122,824 | ||||||||||
Neuberger Berman CLO XV, Series 2013-15A, Class DR, (3 mo. LIBOR US + 3.05%), 3.29%, 10/15/29(a)(b) |
1,000 | 967,753 | ||||||||||
Neuberger Berman Loan Advisers CLO Ltd., Series 2020-37A, Class C, (3 mo. LIBOR US + 2.50%), 2.72%, 07/20/31(a)(b) |
1,162 | 1,164,451 | ||||||||||
OCP CLO Ltd.(a)(b) |
||||||||||||
Series 2015-9A, Class BR, 1.99%, 07/15/27 |
250 | 246,650 | ||||||||||
Series 2017-13A, Class A1A, (3 mo. LIBOR US + 1.26%), 1.50%, 07/15/30 |
1,000 | 999,998 | ||||||||||
Series 2020-19A, Class C, (3 mo. LIBOR US + 2.95%), 3.27%, 07/20/31 |
250 | 249,838 | ||||||||||
Series 2020-19A, Class D, (3 mo. LIBOR US + 4.47%), 4.79%, 07/20/31 |
250 | 249,176 | ||||||||||
Octagon Investment Partners XXII Ltd., Series 2014- 1A, Class DRR, (3 mo. LIBOR US + 2.75%), 2.97%, 01/22/30(a)(b) |
500 | 478,199 | ||||||||||
OHA Credit Partners VII Ltd., Series 2012-7A, Class DR, (3 mo. LIBOR US + 4.20%), 4.42%, 11/20/27(a)(b) |
1,160 | 1,153,615 | ||||||||||
OHA Credit Partners XIII Ltd., Series 2016-13A, Class E, (3 mo. LIBOR US + 7.15%), 7.36%, 01/21/30(a)(b) |
595 | 595,188 | ||||||||||
OneMain Financial Issuance Trust, Series 2020-1A, Class A, 3.84%, 05/14/32(b) |
2,000 | 2,109,338 | ||||||||||
OZLM Funding III Ltd., Series 2013-3A, Class BRR, (3 mo. LIBOR US + 2.70%), 2.92%, 01/22/29(a)(b) |
1,500 | 1,491,966 | ||||||||||
OZLM VIII Ltd., Series 2014-8A, Class CRR, (3 mo. LIBOR US + 3.15%), 3.37%, 10/17/29(a)(b) |
875 | 852,074 | ||||||||||
OZLM XIV Ltd., Series 2015-14A,
|
1,000 | 969,708 | ||||||||||
OZLM XXI Ltd., Series 2017-21A, Class C, (3 mo. LIBOR US + 2.67%), 2.89%, 01/20/31(a)(b) |
1,000 | 948,107 | ||||||||||
Palmer Square CLO Ltd., Series 2015-2A, Class CR2, (3 mo. LIBOR US + 2.75%), 2.97%, 07/20/30(a)(b) |
250 | 245,929 | ||||||||||
Palmer Square Loan Funding Ltd.(a)(b) Series 2018-5A, Class D, (3 mo. LIBOR US + 4.25%), 4.47%, 01/20/27 |
1,000 | 877,346 |
18 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Asset-Backed Securities (continued) |
|
|||||||||||
Palmer Square Loan Funding Ltd.(a)(b) (continued) |
|
|||||||||||
Series 2019-2A, Class B, (3 mo. LIBOR US + 2.25%), 2.47%, 04/20/27 |
USD | 750 | $ | 733,898 | ||||||||
Series 2019-3A, Class B, (3 mo. LIBOR US + 2.10%), 2.32%, 08/20/27 |
1,750 | 1,699,641 | ||||||||||
Series 2019-3A, Class C, (3 mo. LIBOR US + 3.40%), 3.62%, 08/20/27 |
750 | 736,813 | ||||||||||
Series 2019-4A, Class C, (3 mo. LIBOR US + 3.25%), 3.46%, 10/24/27 |
250 | 249,942 | ||||||||||
Regatta VI Funding Ltd., Series 2016-1A, Class ER, (3 mo. LIBOR US + 5.00%), 5.22%, 07/20/28(a)(b) |
250 | 239,041 | ||||||||||
Republic Finance Issuance Trust,
|
240 | 243,568 | ||||||||||
Rockford Tower CLO Ltd., Series 2017-1A, Class DR, (3 mo. LIBOR US + 2.65%), 2.89%, 04/15/29(a)(b) |
1,750 | 1,675,316 | ||||||||||
SLM Private Education Loan Trust, Series 2014-A, Class B, 3.50%, 11/15/44(b) |
500 | 506,042 | ||||||||||
Sound Point Clo XIV Ltd., Series 2016-3A, Class D, (3 mo. LIBOR US + 3.85%), 4.06%, 01/23/29(a)(b) |
1,550 | 1,550,030 | ||||||||||
Sterling Coofs Trust(b)(c) |
||||||||||||
Series 2004-1, Class A, 2.36%, 04/15/29 |
1,504 | 15,040 | ||||||||||
Series 2004-2, Class Note, 2.08%, 03/30/30 |
1,282 | 12,819 | ||||||||||
Structured Asset Securities Corp. Pass-Through Certificates, Series 2002-AL1, Class A2, 3.45%, 02/25/32 |
205 | 197,305 | ||||||||||
TCI-Flatiron CLO Ltd., Series 2016-1A, Class DR, 4.02%, 07/17/28(a)(b) |
635 | 631,159 | ||||||||||
TICP CLO V Ltd., Series 2016-5A,
|
537 | 523,973 | ||||||||||
TICP CLO X Ltd., Series 2018-10A, Class E, (3 mo. LIBOR US + 5.50%), 5.72%, 04/20/31(a)(b) |
250 | 240,729 | ||||||||||
TRESTLES CLO Ltd., Series 2017-1A, Class C, (3 mo. LIBOR US + 3.65%), 3.86%, 07/25/29(a)(b) |
250 | 249,970 | ||||||||||
Voya CLO Ltd.(a)(b) |
||||||||||||
Series 2017-3A, Class C, (3 mo. LIBOR US + 3.55%), 3.77%, 07/20/30 |
1,000 | 981,043 | ||||||||||
Series 2018-2A, Class A2, 1.49%, 07/15/31 |
1,000 | 996,323 | ||||||||||
Series 2019-3A, Class C, (3 mo. LIBOR US + 2.60%), 2.82%, 10/17/32 |
1,500 | 1,482,596 | ||||||||||
Westcott Park CLO Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.25%), 3.47%, 07/20/28(a)(b) |
1,185 | 1,179,309 | ||||||||||
York Clo Ltd., Series 2016-2A, Class DR, (3 mo. LIBOR US + 3.15%), 3.37%, 04/20/32(a)(b) |
1,500 | 1,450,947 | ||||||||||
York CLO Ltd., Series 2016-1A,
|
1,750 | 1,750,824 | ||||||||||
|
|
|||||||||||
Total Asset-Backed Securities 7.6%
|
|
67,757,521 | ||||||||||
|
|
|||||||||||
Shares | ||||||||||||
Common Stocks |
||||||||||||
Energy Equipment & Services 0.0% | ||||||||||||
Pioneer Energy Services Corp.(c) |
542 | 21,047 | ||||||||||
|
|
|||||||||||
Total Common Stocks 0.0%
|
21,047 | |||||||||||
|
|
Security |
Par
(000) |
Value | ||||||||||
Corporate Bonds |
||||||||||||
Advertising Agencies 0.2% | ||||||||||||
Interpublic Group of Cos., Inc., 3.75%, 02/15/23 |
USD | 2,000 | $ | 2,136,750 | ||||||||
|
|
|||||||||||
Aerospace & Defense 1.8% | ||||||||||||
Amsted Industries, Inc., 5.63%, 07/01/27(b) |
95 | 100,938 | ||||||||||
Bombardier, Inc.(b) |
||||||||||||
8.75%, 12/01/21 |
489 | 508,560 | ||||||||||
5.75%, 03/15/22 |
62 | 63,257 | ||||||||||
6.00%, 10/15/22 |
6 | 5,890 | ||||||||||
6.13%, 01/15/23 |
204 | 199,410 | ||||||||||
7.50%, 12/01/24 |
82 | 78,660 | ||||||||||
7.50%, 03/15/25 |
25 | 23,188 | ||||||||||
7.88%, 04/15/27 |
448 | 411,909 | ||||||||||
Eaton Corp., 4.15%, 11/02/42 |
500 | 633,512 | ||||||||||
F-Brasile SpA/F-Brasile US LLC,
|
200 | 194,000 | ||||||||||
General Electric Co. |
||||||||||||
6.15%, 08/07/37 |
2,150 | 2,963,896 | ||||||||||
6.88%, 01/10/39 |
135 | 198,731 | ||||||||||
Howmet Aerospace, Inc., 5.13%, 10/01/24 |
9 | 9,907 | ||||||||||
Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(b) |
371 | 389,086 | ||||||||||
Lockheed Martin Corp., 4.09%, 09/15/52 |
1,410 | 1,866,383 | ||||||||||
Moog, Inc., 4.25%, 12/15/27(b) |
89 | 92,338 | ||||||||||
Rolls-Royce PLC, 5.75%, 10/15/27(b) |
200 | 221,500 | ||||||||||
Signature Aviation US Holdings, Inc.(b) |
||||||||||||
5.38%, 05/01/26 |
72 | 73,800 | ||||||||||
4.00%, 03/01/28 |
211 | 212,403 | ||||||||||
Smiths Group PLC, 3.63%, 10/12/22(b) |
360 | 377,222 | ||||||||||
Spirit AeroSystems, Inc., 5.50%, 01/15/25(b) |
121 | 127,643 | ||||||||||
TransDigm, Inc. |
||||||||||||
8.00%, 12/15/25(b) |
468 | 517,280 | ||||||||||
6.25%, 03/15/26(b) |
3,574 | 3,806,310 | ||||||||||
6.38%, 06/15/26 |
131 | 135,585 | ||||||||||
Triumph Group, Inc., 8.88%, 06/01/24(b) |
685 | 751,788 | ||||||||||
United Technologies Corp., 6.13%, 07/15/38 |
1,450 | 2,148,686 | ||||||||||
|
|
|||||||||||
16,111,882 | ||||||||||||
Airlines 1.0% | ||||||||||||
American Airlines Pass-Through Trust |
||||||||||||
Series 2013-2, Class A, 4.95%, 07/15/24 |
2,106 | 2,006,656 | ||||||||||
Series 2015-2, Class A, 4.00%, 03/22/29 |
1,181 | 1,096,496 | ||||||||||
Series 2015-2, Class AA, 3.60%, 03/22/29 |
1,180 | 1,161,803 | ||||||||||
Avianca Holdings SA, (3 mo. LIBOR US + 10.50% Cash or 12.00% PIK), 10.74%, 11/10/21(a)(b)(d) |
86 | 79,980 | ||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28(b) |
90 | 98,236 | ||||||||||
Gol Finance SA, 7.00%, 01/31/25(b) |
200 | 179,312 | ||||||||||
Latam Finance Ltd., 6.88%, 04/11/24(b)(e)(f) |
257 | 129,142 | ||||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(b) |
801 | 861,075 | ||||||||||
United Airlines Pass-Through Trust |
||||||||||||
Series 2016-1, Class A, 5.88%, 10/15/27 |
610 | 658,930 | ||||||||||
Series A, Class A, 4.30%, 02/15/27 |
2,811 | 2,839,263 | ||||||||||
|
|
|||||||||||
9,110,893 | ||||||||||||
Auto Components 0.4% | ||||||||||||
Aptiv PLC, 4.40%, 10/01/46 |
465 | 500,033 | ||||||||||
Clarios Global LP, 6.75%, 05/15/25(b) |
171 | 184,253 |
S C H E D U L E O F I N V E S T M E N T S |
19 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Auto Components (continued) | ||||||||||||
Clarios Global LP/Clarios US Finance Co. |
||||||||||||
4.38%, 05/15/26 |
EUR | 100 | $ | 126,551 | ||||||||
6.25%, 05/15/26(b) |
USD | 732 | 785,070 | |||||||||
8.50%, 05/15/27(b) |
1,413 | 1,535,096 | ||||||||||
Dealer Tire LLC/DT Issuer
LLC,
|
227 | 239,015 | ||||||||||
ZF Finance GmbH |
||||||||||||
3.00%, 09/21/25 |
EUR | 100 | 126,135 | |||||||||
3.75%, 09/21/28 |
100 | 131,022 | ||||||||||
|
|
|||||||||||
3,627,175 | ||||||||||||
Automobiles 1.3% | ||||||||||||
Allison Transmission, Inc.(b) |
||||||||||||
5.88%, 06/01/29 |
USD | 413 | 456,365 | |||||||||
3.75%, 01/30/31 |
207 | 211,787 | ||||||||||
Asbury Automotive Group, Inc. |
||||||||||||
4.50%, 03/01/28 |
86 | 89,655 | ||||||||||
4.75%, 03/01/30 |
84 | 90,090 | ||||||||||
FCE Bank PLC, 1.62%, 05/11/23 |
EUR | 100 | 122,228 | |||||||||
Ford Motor Co. |
||||||||||||
4.35%, 12/08/26 |
USD | 7 | 7,455 | |||||||||
4.75%, 01/15/43 |
2,000 | 2,040,000 | ||||||||||
5.29%, 12/08/46 |
19 | 19,855 | ||||||||||
Ford Motor Credit Co. LLC |
||||||||||||
5.88%, 08/02/21 |
300 | 307,050 | ||||||||||
2.98%, 08/03/22 |
245 | 249,091 | ||||||||||
3.35%, 11/01/22 |
314 | 319,495 | ||||||||||
3.81%, 01/09/24 |
400 | 410,000 | ||||||||||
4.06%, 11/01/24 |
200 | 210,114 | ||||||||||
5.13%, 06/16/25 |
330 | 358,809 | ||||||||||
4.13%, 08/04/25 |
279 | 292,601 | ||||||||||
4.39%, 01/08/26 |
400 | 419,872 | ||||||||||
General Motors Co. |
||||||||||||
6.80%, 10/01/27 |
357 | 458,785 | ||||||||||
5.00%, 10/01/28 |
41 | 48,785 | ||||||||||
6.25%, 10/02/43 |
2,506 | 3,380,518 | ||||||||||
General Motors Financial Co., Inc. |
||||||||||||
4.25%, 05/15/23 |
807 | 869,762 | ||||||||||
5.65%, 01/17/29 |
45 | 55,759 | ||||||||||
Group 1 Automotive,
Inc.,
|
108 | 111,324 | ||||||||||
Ken Garff Automotive LLC, 4.88%, 09/15/28(b) |
82 | 85,280 | ||||||||||
Navistar International Corp., 6.63%, 11/01/25(b) |
174 | 182,291 | ||||||||||
Nissan Motor Co. Ltd., 4.81%, 09/17/30(b) |
206 | 231,959 | ||||||||||
Penske Automotive Group, Inc. |
||||||||||||
3.50%, 09/01/25 |
45 | 45,731 | ||||||||||
5.50%, 05/15/26 |
22 | 22,852 | ||||||||||
Tesla, Inc., 5.30%, 08/15/25(b) |
282 | 293,985 | ||||||||||
Wabash National
Corp.,
|
176 | 179,520 | ||||||||||
|
|
|||||||||||
11,571,018 | ||||||||||||
Banks 1.8% | ||||||||||||
Banca Monte dei Paschi di Siena SpA, 2.63%, 04/28/25 |
EUR | 100 | 125,243 | |||||||||
Banco Bilbao Vizcaya Argentaria SA, (5 year USD Swap + 3.87%), 6.13%(a)(g) |
USD | 2,200 | 2,317,260 | |||||||||
Bancolombia SA, (5 year CMT + 2.94%), 4.63%, 12/18/29(a) |
200 | 210,000 | ||||||||||
Bank Leumi Le-Israel BM, (5 year CMT + 1.63%), 3.28%, 01/29/31(a)(b) |
281 | 288,815 | ||||||||||
Bank Tabungan Negara Persero Tbk PT, 4.20%, 01/23/25 |
200 | 203,188 |
Security |
Par
(000) |
Value | ||||||||||
Banks (continued) | ||||||||||||
Chong Hing Bank Ltd., (5 year CMT + 3.86%), 5.70%(a)(g) |
USD | 250 | $ | 253,906 | ||||||||
CIT Group, Inc., 5.00%, 08/01/23 |
124 | 135,470 | ||||||||||
Commerzbank AG, (5 year EUR Swap + 4.35%), 4.00%, 12/05/30(a) |
EUR | 100 | 133,384 | |||||||||
Cooperatieve Rabobank UA, 3.95%, 11/09/22 |
USD | 1,500 | 1,592,461 | |||||||||
Emirates NBD Bank PJSC, (6 year USD Swap + 3.66%), 6.13%(a)(g) |
250 | 266,250 | ||||||||||
Intesa Sanpaolo SpA, 5.02%, 06/26/24(b) |
3,151 | 3,447,440 | ||||||||||
Itau Unibanco Holding
SA,
|
200 | 213,437 | ||||||||||
Santander Holdings USA, Inc.,
|
2,000 | 2,269,120 | ||||||||||
Santander UK Group Holdings PLC,
|
1,250 | 1,267,507 | ||||||||||
Standard Chartered PLC, (5 year USD ICE Swap + 1.97%), 4.87%, 03/15/33(a)(b) |
500 | 563,253 | ||||||||||
Unione di Banche Italiane SpA, (5 year EUR Swap + 5.75%), 5.88%, 03/04/29(a) |
EUR | 100 | 136,468 | |||||||||
Wells Fargo & Co., 3.90%, 05/01/45 |
USD | 2,250 | 2,812,442 | |||||||||
|
|
|||||||||||
16,235,644 | ||||||||||||
Beverages 1.1% | ||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46 |
4,600 | 5,981,061 | ||||||||||
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(b)(d) |
501 | 534,817 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. |
||||||||||||
5.25%, 04/30/25(b) |
244 | 257,420 | ||||||||||
4.75%, 07/15/27 |
GBP | 100 | 141,708 | |||||||||
5.25%, 08/15/27(b) |
USD | 442 | 464,016 | |||||||||
Ball Corp., 5.25%, 07/01/25 |
12 | 13,695 | ||||||||||
Central American Bottling Corp., 5.75%, 01/31/27(b) |
222 | 235,181 | ||||||||||
Crown Cork & Seal Co., Inc., 7.38%, 12/15/26 |
23 | 28,003 | ||||||||||
Mauser Packaging Solutions Holding Co., 5.50%, 04/15/24(b) |
431 | 439,504 | ||||||||||
Silgan Holdings, Inc., 4.13%, 02/01/28 |
7 | 7,271 | ||||||||||
Trivium Packaging Finance BV |
||||||||||||
3.75%, 08/15/26 |
EUR | 100 | 125,463 | |||||||||
5.50%, 08/15/26(b) |
USD | 628 | 664,110 | |||||||||
8.50%, 08/15/27(b) |
738 | 808,110 | ||||||||||
|
|
|||||||||||
9,700,359 | ||||||||||||
Biotechnology 0.6% | ||||||||||||
Amgen, Inc., 4.40%, 05/01/45 |
2,250 | 2,887,799 | ||||||||||
Baxalta, Inc., 5.25%, 06/23/45 |
500 | 684,805 | ||||||||||
Emergent BioSolutions, Inc., 3.88%, 08/15/28(b) |
51 | 52,811 | ||||||||||
Gilead Sciences, Inc., 4.80%, 04/01/44 |
1,000 | 1,319,645 | ||||||||||
|
|
|||||||||||
4,945,060 | ||||||||||||
Building Materials 0.3% | ||||||||||||
Boise Cascade Co., 4.88%, 07/01/30(b) |
92 | 99,590 | ||||||||||
Cemex SAB de CV, 5.45%, 11/19/29 |
200 | 219,750 | ||||||||||
Cornerstone Building Brands, Inc., 6.13%, 01/15/29(b) |
359 | 381,437 | ||||||||||
CP Atlas Buyer, Inc., 7.00%, 12/01/28(b) |
62 | 64,480 | ||||||||||
Forterra Finance LLC/FRTA Finance Corp., 6.50%, 07/15/25(b) |
429 | 461,175 | ||||||||||
Griffon Corp., 5.75%, 03/01/28 |
59 | 62,392 | ||||||||||
Jeld-Wen, Inc.(b) |
||||||||||||
6.25%, 05/15/25 |
98 | 105,840 | ||||||||||
4.63%, 12/15/25 |
37 | 37,759 | ||||||||||
4.88%, 12/15/27 |
11 | 11,632 | ||||||||||
Masonite International
Corp.(b)
|
52 | 54,340 |
20 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Building Materials (continued) | ||||||||||||
Masonite International Corp.(b) (continued) |
||||||||||||
5.38%, 02/01/28 |
USD | 17 | $ | 18,254 | ||||||||
Norbord, Inc., 6.25%, 04/15/23(b) |
111 | 120,435 | ||||||||||
SRM Escrow Issuer LLC, 6.00%,
|
282 | 294,734 | ||||||||||
Standard Industries, Inc.(b) |
||||||||||||
5.00%, 02/15/27 |
119 | 124,355 | ||||||||||
4.75%, 01/15/28 |
54 | 56,835 | ||||||||||
4.38%, 07/15/30 |
272 | 290,967 | ||||||||||
3.38%, 01/15/31 |
417 | 419,085 | ||||||||||
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29(b) |
117 | 122,850 | ||||||||||
|
|
|||||||||||
2,945,910 | ||||||||||||
Building Products 0.6% | ||||||||||||
Advanced Drainage Systems, Inc., 5.00%, 09/30/27(b) |
248 | 260,494 | ||||||||||
Home Depot, Inc., 5.88%, 12/16/36 |
1,660 | 2,516,805 | ||||||||||
LBM Acquisition LLC, 6.25%, 01/15/29(b) |
133 | 137,323 | ||||||||||
Lowes Cos., Inc., 4.38%, 09/15/45 |
1,000 | 1,255,850 | ||||||||||
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%,
|
259 | 274,473 | ||||||||||
SRS Distribution, Inc., 8.25%, 07/01/26(b) |
371 | 394,187 | ||||||||||
White Cap Buyer LLC, 6.88%, 10/15/28(b) |
267 | 284,689 | ||||||||||
|
|
|||||||||||
5,123,821 | ||||||||||||
Capital Markets 1.8% | ||||||||||||
Charles Schwab Corp., (10 year CMT + 3.08%), 4.00%(a)(g) |
2,195 | 2,310,238 | ||||||||||
FMR LLC, 4.95%, 02/01/33(b) |
2,300 | 3,094,849 | ||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. |
||||||||||||
4.75%, 09/15/24 |
112 | 116,340 | ||||||||||
6.38%, 12/15/25 |
83 | 85,864 | ||||||||||
6.25%, 05/15/26 |
57 | 60,357 | ||||||||||
5.25%, 05/15/27 |
232 | 248,704 | ||||||||||
Intercorp Peru Ltd., 3.88%, 08/15/29(b) |
200 | 207,250 | ||||||||||
LHC3 PLC, (4.13% Cash or 4.88% PIK), 4.13%, 08/15/24(d) |
EUR | 100 | 124,303 | |||||||||
NFP Corp., 6.88%, 08/15/28(b) |
USD | 149 | 159,084 | |||||||||
Northern Trust Corp., 3.95%, 10/30/25 |
8,000 | 9,233,265 | ||||||||||
Owl Rock Capital Corp., 5.25%, 04/15/24 |
56 | 60,607 | ||||||||||
Raymond James Financial, Inc., 4.95%, 07/15/46 |
400 | 548,179 | ||||||||||
RP Escrow Issuer LLC, 5.25%, 12/15/25(b) |
104 | 108,686 | ||||||||||
|
|
|||||||||||
16,357,726 | ||||||||||||
Chemicals 0.7% | ||||||||||||
Air Liquide Finance SA, 3.50%, 09/27/46(b) |
360 | 438,098 | ||||||||||
Atotech Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23(b)(d) |
297 | 298,783 | ||||||||||
Atotech Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 02/01/25(b) |
1,112 | 1,131,460 | ||||||||||
Axalta Coating Systems LLC, 3.38%, 02/15/29(b) |
198 | 198,000 | ||||||||||
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27(b) |
150 | 159,563 | ||||||||||
Blue Cube Spinco LLC |
||||||||||||
9.75%, 10/15/23 |
22 | 22,605 | ||||||||||
10.00%, 10/15/25 |
162 | 171,518 | ||||||||||
Braskem Netherlands Finance BV, (5 year CMT + 8.22%), 8.50%, 01/23/81(a)(b) |
219 | 244,253 | ||||||||||
Element Solutions, Inc., 3.88%, 09/01/28(b) |
793 | 815,799 | ||||||||||
Equate Petrochemical BV, 4.25%,
|
206 | 229,239 | ||||||||||
GCP Applied Technologies, Inc., 5.50%, 04/15/26(b) |
101 | 104,030 |
Security |
Par
(000) |
Value | ||||||||||
Chemicals (continued) | ||||||||||||
HB Fuller Co., 4.25%, 10/15/28 |
USD | 66 | $ | 67,650 | ||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(b) |
226 | 248,600 | ||||||||||
Ingevity Corp., 3.88%, 11/01/28(b) |
57 | 57,428 | ||||||||||
Minerals Technologies, Inc.,
5.00%,
|
114 | 119,290 | ||||||||||
Monitchem HoldCo 3 SA, 5.25%, 03/15/25 |
EUR | 100 | 126,459 | |||||||||
NOVA Chemicals Corp., 4.88%, 06/01/24(b) |
USD | 41 | 42,691 | |||||||||
Orbia Advance Corp. SAB de CV(b) |
||||||||||||
4.00%, 10/04/27 |
200 | 220,812 | ||||||||||
5.50%, 01/15/48 |
200 | 240,562 | ||||||||||
PQ Corp., 5.75%, 12/15/25(b) |
309 | 317,111 | ||||||||||
Valvoline, Inc., 3.63%, 06/15/31(b)(h) |
1 | 1,026 | ||||||||||
Vedanta Resources Finance II PLC, 9.25%, 04/23/26 |
200 | 148,000 | ||||||||||
WESCO Distribution, Inc.(b) |
||||||||||||
7.13%, 06/15/25 |
339 | 372,842 | ||||||||||
7.25%, 06/15/28 |
417 | 474,250 | ||||||||||
WR Grace & Co-Conn(b) |
||||||||||||
5.63%, 10/01/24 |
21 | 22,654 | ||||||||||
4.88%, 06/15/27 |
128 | 135,747 | ||||||||||
Yingde Gases Investment Ltd., 6.25%, 01/19/23 |
200 | 206,125 | ||||||||||
|
|
|||||||||||
6,614,595 | ||||||||||||
Commercial Services & Supplies 0.2% | ||||||||||||
ADT Security Corp., 4.88%, 07/15/32(b) |
333 | 360,889 | ||||||||||
APX Group, Inc. |
||||||||||||
7.88%, 12/01/22 |
80 | 80,200 | ||||||||||
8.50%, 11/01/24 |
82 | 86,100 | ||||||||||
ASGN, Inc., 4.63%, 05/15/28(b) |
62 | 64,480 | ||||||||||
Fortress Transportation & Infrastructure Investors LLC, 6.50%, 10/01/25(b) |
50 | 52,256 | ||||||||||
Herc Holdings, Inc., 5.50%, 07/15/27(b) |
222 | 235,320 | ||||||||||
Intertrust Group BV, 3.38%, 11/15/25 |
EUR | 100 | 124,580 | |||||||||
Prime Security Services Borrower LLC/Prime |
||||||||||||
Finance, Inc.(b) |
||||||||||||
5.25%, 04/15/24 |
USD | 49 | 52,308 | |||||||||
5.75%, 04/15/26 |
78 | 85,410 | ||||||||||
3.38%, 08/31/27 |
175 | 173,687 | ||||||||||
6.25%, 01/15/28 |
10 | 10,736 | ||||||||||
United Rentals North America, Inc. |
||||||||||||
3.88%, 11/15/27 |
53 | 55,517 | ||||||||||
4.88%, 01/15/28 |
55 | 58,575 | ||||||||||
5.25%, 01/15/30 |
40 | 44,400 | ||||||||||
4.00%, 07/15/30 |
28 | 29,470 | ||||||||||
|
|
|||||||||||
1,513,928 | ||||||||||||
Communications Equipment 0.3% | ||||||||||||
Avaya, Inc., 6.13%, 09/15/28(b) |
445 | 475,376 | ||||||||||
CommScope Technologies LLC(b) |
||||||||||||
6.00%, 06/15/25 |
243 | 248,467 | ||||||||||
5.00%, 03/15/27 |
276 | 271,860 | ||||||||||
CommScope, Inc.(b) |
||||||||||||
5.50%, 03/01/24 |
349 | 359,819 | ||||||||||
6.00%, 03/01/26 |
158 | 166,469 | ||||||||||
8.25%, 03/01/27 |
27 | 28,823 | ||||||||||
7.13%, 07/01/28 |
24 | 25,560 | ||||||||||
Nokia OYJ |
||||||||||||
4.38%, 06/12/27 |
31 | 33,809 | ||||||||||
6.63%, 05/15/39 |
88 | 112,403 |
S C H E D U L E O F I N V E S T M E N T S |
21 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Communications Equipment (continued) | ||||||||||||
ViaSat, Inc.(b) |
||||||||||||
5.63%, 04/15/27 |
USD | 263 | $ | 276,150 | ||||||||
6.50%, 07/15/28 |
434 | 469,679 | ||||||||||
|
|
|||||||||||
2,468,415 | ||||||||||||
Construction & Engineering 0.5% | ||||||||||||
frontdoor, Inc., 6.75%, 08/15/26(b) |
135 | 143,944 | ||||||||||
ITR Concession Co. LLC, 4.20%,
|
4,000 | 4,403,760 | ||||||||||
KBR, Inc., 4.75%, 09/30/28(b) |
124 | 129,270 | ||||||||||
SPIE SA, 2.63%, 06/18/26 |
EUR | 100 | 127,784 | |||||||||
|
|
|||||||||||
4,804,758 | ||||||||||||
Construction Materials(b) 0.3% | ||||||||||||
American Builders & Contractors Supply Co., Inc., 4.00%, 01/15/28 |
USD | 75 | 77,625 | |||||||||
Core & Main LP, 6.13%, 08/15/25 |
1,089 | 1,125,754 | ||||||||||
H&E Equipment Services, Inc., 3.88%, 12/15/28 |
85 | 85,909 | ||||||||||
IAA, Inc., 5.50%, 06/15/27 |
56 | 59,360 | ||||||||||
KAR Auction Services, Inc., 5.13%, 06/01/25 |
97 | 99,816 | ||||||||||
Picasso Finance Sub, Inc., 6.13%, 06/15/25 |
338 | 361,660 | ||||||||||
Williams Scotsman International, Inc., 4.63%, 08/15/28 |
162 | 167,670 | ||||||||||
Winnebago Industries, Inc., 6.25%, 07/15/28 |
92 | 98,900 | ||||||||||
Wolverine Escrow LLC |
||||||||||||
8.50%, 11/15/24 |
164 | 156,461 | ||||||||||
9.00%, 11/15/26 |
145 | 137,250 | ||||||||||
|
|
|||||||||||
2,370,405 | ||||||||||||
Consumer Discretionary 0.1% | ||||||||||||
Carnival Corp., 9.88%, 08/01/27(b) |
116 | 133,400 | ||||||||||
Nielsen Finance LLC/Nielsen Finance
|
||||||||||||
5.63%, 10/01/28 |
318 | 345,523 | ||||||||||
5.88%, 10/01/30 |
160 | 181,000 | ||||||||||
Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 07/30/26 |
EUR | 100 | 127,980 | |||||||||
|
|
|||||||||||
787,903 | ||||||||||||
Consumer Finance 1.0% | ||||||||||||
Capital One Financial Corp., 4.75%, 07/15/21 |
USD | 1,935 | 1,980,147 | |||||||||
Moodys Corp., 4.50%, 09/01/22 |
1,800 | 1,901,372 | ||||||||||
MPH Acquisition Holdings LLC, 5.75%, 11/01/28(b) |
486 | 477,641 | ||||||||||
Muthoot Finance Ltd. |
||||||||||||
6.13%, 10/31/22(b) |
247 | 258,424 | ||||||||||
4.40%, 09/02/23 |
200 | 203,625 | ||||||||||
Navient Corp. |
||||||||||||
7.25%, 09/25/23 |
46 | 50,415 | ||||||||||
6.13%, 03/25/24 |
67 | 71,522 | ||||||||||
5.88%, 10/25/24 |
39 | 41,437 | ||||||||||
5.00%, 03/15/27 |
173 | 174,514 | ||||||||||
OneMain Finance Corp. |
||||||||||||
6.88%, 03/15/25 |
68 | 78,965 | ||||||||||
7.13%, 03/15/26 |
248 | 293,260 | ||||||||||
6.63%, 01/15/28 |
141 | 167,437 | ||||||||||
5.38%, 11/15/29 |
78 | 87,750 | ||||||||||
4.00%, 09/15/30 |
91 | 94,423 | ||||||||||
Refinitiv US Holdings, Inc.(b) |
||||||||||||
4.50%, 05/15/26 |
EUR | 245 | 314,644 | |||||||||
6.25%, 05/15/26 |
USD | 143 | 152,652 | |||||||||
8.25%, 11/15/26 |
544 | 593,640 | ||||||||||
Sabre GLBL, Inc.(b) |
||||||||||||
5.25%, 11/15/23 |
29 | 29,363 | ||||||||||
9.25%, 04/15/25 |
153 | 182,070 |
Security |
Par
(000) |
Value | ||||||||||
Consumer Finance (continued) | ||||||||||||
Sabre GLBL, Inc.(b) (continued) |
||||||||||||
7.38%, 09/01/25 |
USD | 168 | $ | 182,280 | ||||||||
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(b) |
191 | 198,640 | ||||||||||
Verscend Escrow Corp., 9.75%, 08/15/26(b) |
1,279 | 1,386,116 | ||||||||||
WEX, Inc., 4.75%, 02/01/23(b) |
123 | 123,154 | ||||||||||
|
|
|||||||||||
9,043,491 | ||||||||||||
Containers & Packaging 0.3% | ||||||||||||
Celulosa Arauco y Constitucion SA, 4.20%, 01/29/30 |
. | 200 | 225,625 | |||||||||
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26 |
136 | 149,892 | ||||||||||
Graphic Packaging International LLC(b) |
||||||||||||
4.75%, 07/15/27 |
53 | 58,698 | ||||||||||
3.50%, 03/15/28 |
45 | 46,631 | ||||||||||
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.00%, 09/15/28(b) |
. | 108 | 110,970 | |||||||||
International Paper Co., 6.00%, 11/15/41 |
870 | 1,274,235 | ||||||||||
Intertape Polymer Group, Inc., 7.00%, 10/15/26(b) |
119 | 126,201 | ||||||||||
LABL Escrow Issuer LLC(b) |
||||||||||||
6.75%, 07/15/26 |
166 | 179,773 | ||||||||||
10.50%, 07/15/27 |
234 | 263,543 | ||||||||||
Suzano Austria GmbH, 3.75%, 01/15/31 |
80 | 84,800 | ||||||||||
|
|
|||||||||||
2,520,368 | ||||||||||||
Diversified Consumer Services 0.4% | ||||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.(b) |
||||||||||||
6.63%, 07/15/26 |
1,442 | 1,537,605 | ||||||||||
9.75%, 07/15/27 |
315 | 343,350 | ||||||||||
Ascend Learning LLC, 6.88%, 08/01/25 |
461 | 474,009 | ||||||||||
Garda World Security Corp.(b) |
||||||||||||
4.63%, 02/15/27 |
191 | 192,910 | ||||||||||
9.50%, 11/01/27 |
128 | 141,760 | ||||||||||
Graham Holdings Co., 5.75%, 06/01/26(b) |
27 | 28,350 | ||||||||||
Laureate Education, Inc., 8.25%, 05/01/25(b) |
50 | 53,000 | ||||||||||
Service Corp. International, 3.38%, 08/15/30 |
62 | 64,493 | ||||||||||
Sothebys, 7.38%, 10/15/27(b) |
265 | 283,881 | ||||||||||
|
|
|||||||||||
3,119,358 | ||||||||||||
Diversified Financial Services 3.3% | ||||||||||||
Ally Financial, Inc., 8.00%, 11/01/31 |
810 | 1,188,975 | ||||||||||
Arrow Global Finance PLC, 5.13%, 09/15/24 |
GBP | 100 | 136,187 | |||||||||
ASG Finance Designated Activity Co., 7.88%, 12/03/24(b) |
USD | 200 | 172,500 | |||||||||
Bank of America Corp., 3.25%, 10/21/27 |
4,000 | 4,476,371 | ||||||||||
Barclays PLC, 3.65%, 03/16/25 |
4,320 | 4,752,587 | ||||||||||
Central Garden & Pet Co., 4.13%, 10/15/30 |
127 | 132,397 | ||||||||||
Citigroup, Inc., (5 year CMT + 3.60%), 4.00%(a)(g) |
105 | 107,756 | ||||||||||
Credit Agricole SA, (5 year USD Swap + 4.90%), 7.88%(a)(b)(g) |
1,000 | 1,135,000 | ||||||||||
Credit Suisse Group AG, (5 year CMT + 3.55%), 4.50%(a)(b)(g) |
200 | 200,980 | ||||||||||
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24(b)(d) |
209 | 186,820 | ||||||||||
Goldman Sachs Group, Inc. 3.75%, 05/22/25 |
8,965 | 10,065,458 | ||||||||||
Series R, (5 year CMT +
3.22%),
|
465 | 491,933 | ||||||||||
HSBC Holdings PLC, 6.10%, 01/14/42 |
610 | 929,228 | ||||||||||
Intercontinental Exchange, Inc., 4.00%, 10/15/23 |
470 | 515,610 | ||||||||||
Intrum AB, 3.00%, 09/15/27 |
EUR | 100 | 117,095 |
22 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Diversified Financial Services (continued) | ||||||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(b) |
||||||||||||
5.25%, 03/15/22 |
USD | 17 | $ | 17,085 | ||||||||
4.25%, 02/01/27 |
212 | 208,290 | ||||||||||
Lloyds Banking Group PLC, (5 year CMT + 4.82%), 6.75%(a)(g) |
595 | 667,144 | ||||||||||
Manappuram Finance Ltd., 5.90%, 01/13/23 |
200 | 206,687 | ||||||||||
Morgan Stanley |
||||||||||||
4.00%, 07/23/25 |
905 | 1,035,656 | ||||||||||
3.13%, 07/27/26 |
2,000 | 2,235,533 | ||||||||||
Operadora de Servicios Mega SA de CV Sofom ER, 8.25%, 02/11/25(b) |
200 | 207,875 | ||||||||||
Spectrum Brands, Inc.(b) |
||||||||||||
5.00%, 10/01/29 |
79 | 84,838 | ||||||||||
5.50%, 07/15/30 |
104 | 112,060 | ||||||||||
|
|
|||||||||||
29,384,065 | ||||||||||||
Diversified Telecommunication Services 4.2% | ||||||||||||
AT&T, Inc. |
||||||||||||
6.10%, 07/15/40 |
830 | 1,160,015 | ||||||||||
6.38%, 03/01/41 |
520 | 763,378 | ||||||||||
5.15%, 03/15/42 |
2,400 | 3,047,816 | ||||||||||
4.75%, 05/15/46 |
2,710 | 3,342,812 | ||||||||||
Axtel SAB de CV, 6.38%, 11/14/24(b) |
200 | 208,437 | ||||||||||
CenturyLink, Inc. |
||||||||||||
5.13%, 12/15/26(b) |
552 | 582,890 | ||||||||||
4.00%, 02/15/27(b) |
121 | 124,933 | ||||||||||
4.50%, 01/15/29(b) |
419 | 426,332 | ||||||||||
Series P, 7.60%, 09/15/39 |
243 | 295,245 | ||||||||||
Series U, 7.65%, 03/15/42 |
315 | 381,150 | ||||||||||
Series W, 6.75%, 12/01/23 |
74 | 82,418 | ||||||||||
Series Y, 7.50%, 04/01/24 |
219 | 248,017 | ||||||||||
Cincinnati Bell, Inc.(b) |
||||||||||||
7.00%, 07/15/24 |
144 | 149,760 | ||||||||||
8.00%, 10/15/25 |
45 | 47,981 | ||||||||||
Consolidated Communications, Inc., 6.50%, 10/01/28(b) |
468 | 500,760 | ||||||||||
Frontier Communications Corp.(b) |
||||||||||||
5.88%, 10/15/27 |
311 | 336,269 | ||||||||||
5.00%, 05/01/28 |
561 | 584,842 | ||||||||||
6.75%, 05/01/29 |
279 | 298,530 | ||||||||||
Level 3 Financing, Inc.(b) |
||||||||||||
4.25%, 07/01/28 |
334 | 343,185 | ||||||||||
3.63%, 01/15/29 |
287 | 286,282 | ||||||||||
Oi SA, (10.00% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25(d) |
153 | 162,897 | ||||||||||
SoftBank Group Corp. |
||||||||||||
4.00%, 04/20/23 |
EUR | 100 | 127,333 | |||||||||
5.00%, 04/15/28 |
100 | 136,031 | ||||||||||
Sprint Capital Corp. |
||||||||||||
6.88%, 11/15/28 |
USD | 792 | 1,044,236 | |||||||||
8.75%, 03/15/32 |
359 | 568,432 | ||||||||||
Switch Ltd., 3.75%, 09/15/28(b) |
213 | 216,195 | ||||||||||
Telecom Italia Capital SA |
||||||||||||
6.38%, 11/15/33 |
131 | 161,130 | ||||||||||
6.00%, 09/30/34 |
337 | 410,496 | ||||||||||
7.20%, 07/18/36 |
60 | 80,950 | ||||||||||
7.72%, 06/04/38 |
199 | 276,610 |
Security |
Par
(000) |
Value | ||||||||||
Diversified Telecommunication Services (continued) | ||||||||||||
Telecom Italia SpA |
||||||||||||
5.30%, 05/30/24(b) |
USD | 200 | $ | 217,500 | ||||||||
3.00%, 09/30/25 |
EUR | 100 | 129,987 | |||||||||
Verizon Communications, Inc. |
||||||||||||
6.40%, 02/15/38 |
USD | 5,700 | 7,763,161 | |||||||||
6.55%, 09/15/43 |
6,751 | 10,851,310 | ||||||||||
Zayo Group Holdings, Inc.(b) |
||||||||||||
4.00%, 03/01/27 |
562 | 563,405 | ||||||||||
6.13%, 03/01/28 |
848 | 896,760 | ||||||||||
|
|
|||||||||||
36,817,485 | ||||||||||||
Electric Utilities 3.4% | ||||||||||||
Cleveland Electric Illuminating Co., 5.95%, 12/15/36 |
434 | 530,359 | ||||||||||
Duke Energy Carolinas LLC |
||||||||||||
6.10%, 06/01/37 |
640 | 947,697 | ||||||||||
6.00%, 01/15/38 |
1,675 | 2,511,814 | ||||||||||
4.25%, 12/15/41 |
750 | 955,292 | ||||||||||
Duke Energy Florida LLC |
||||||||||||
6.35%, 09/15/37 |
2,775 | 4,236,587 | ||||||||||
6.40%, 06/15/38 |
770 | 1,194,279 | ||||||||||
E.ON International Finance BV, 6.65%, 04/30/38(b) |
3,100 | 4,623,165 | ||||||||||
Empresas Publicas de Medellin ESP, 4.25%, 07/18/29(b) |
201 | 215,133 | ||||||||||
Energuate Trust, 5.88%, 05/03/27(b) |
201 | 212,181 | ||||||||||
FirstEnergy Corp. |
||||||||||||
2.65%, 03/01/30 |
17 | 17,054 | ||||||||||
Series B, 3.90%, 07/15/27 |
64 | 70,547 | ||||||||||
Series B, 2.25%, 09/01/30 |
14 | 13,542 | ||||||||||
Series C, 4.85%, 07/15/47 |
314 | 390,771 | ||||||||||
Series C, 3.40%, 03/01/50 |
127 | 121,645 | ||||||||||
FirstEnergy Transmission LLC(b) |
||||||||||||
5.45%, 07/15/44 |
200 | 253,773 | ||||||||||
4.55%, 04/01/49 |
96 | 112,112 | ||||||||||
NextEra Energy Operating Partners LP(b) |
||||||||||||
4.25%, 07/15/24 |
10 | 10,700 | ||||||||||
4.25%, 09/15/24 |
3 | 3,210 | ||||||||||
Ohio Power Co., Series D, 6.60%, 03/01/33 |
3,000 | 4,225,507 | ||||||||||
PacifiCorp, 6.25%, 10/15/37 |
1,225 | 1,829,474 | ||||||||||
PG&E Corp., 5.25%, 07/01/30 |
229 | 251,900 | ||||||||||
Pike Corp., 5.50%, 09/01/28(b) |
113 | 119,356 | ||||||||||
Southern California Edison Co., 5.63%, 02/01/36 |
1,300 | 1,657,248 | ||||||||||
Virginia Electric & Power Co., Series A, 6.00%, 05/15/37 |
3,920 | 5,738,614 | ||||||||||
|
|
|||||||||||
30,241,960 | ||||||||||||
Electrical Equipment(b) 0.0% | ||||||||||||
Gates Global LLC/Gates Corp., 6.25%, 01/15/26 |
212 | 222,600 | ||||||||||
GrafTech Finance, Inc., 4.63%, 12/15/28 |
91 | 92,024 | ||||||||||
|
|
|||||||||||
314,624 | ||||||||||||
Electronic Equipment, Instruments & Components 0.4% | ||||||||||||
BWX Technologies, Inc.(b) |
||||||||||||
5.38%, 07/15/26 |
136 | 141,270 | ||||||||||
4.13%, 06/30/28 |
169 | 175,971 | ||||||||||
CDW LLC/CDW Finance Corp., 3.25%, 02/15/29 |
266 | 271,240 | ||||||||||
Corning, Inc., 4.38%, 11/15/57 |
2,000 | 2,501,091 | ||||||||||
Energizer Holdings, Inc.(b) |
||||||||||||
4.75%, 06/15/28 |
172 | 181,030 | ||||||||||
4.38%, 03/31/29 |
13 | 13,462 |
S C H E D U L E O F I N V E S T M E N T S |
23 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Electronic Equipment, Instruments & Components (continued) | ||||||||||||
Itron, Inc., 5.00%, 01/15/26(b) |
USD | 18 | $ | 18,383 | ||||||||
Xerox Corp., 4.80%, 03/01/35 |
122 | 122,915 | ||||||||||
|
|
|||||||||||
3,425,362 | ||||||||||||
Energy Equipment & Services 0.3% | ||||||||||||
Anton Oilfield Services Group/Hong Kong, 7.50%, 12/02/22 |
200 | 173,000 | ||||||||||
Archrock Partners LP/Archrock Partners Finance Corp.(b) |
||||||||||||
6.88%, 04/01/27 |
227 | 244,309 | ||||||||||
6.25%, 04/01/28 |
164 | 170,717 | ||||||||||
ChampionX Corp., 6.38%, 05/01/26 |
146 | 147,460 | ||||||||||
Halliburton Co., 5.00%, 11/15/45 |
500 | 594,387 | ||||||||||
Pioneer Energy Services Corp.(b)(c)(d) |
||||||||||||
(11.00% Cash), 11.00%, 05/15/25 |
220 | 176,147 | ||||||||||
(5.00% PIK), 5.00%, 11/15/25 |
156 | 84,042 | ||||||||||
USA Compression Partners LP/USA Compression Finance Corp. |
||||||||||||
6.88%, 04/01/26 |
237 | 247,665 | ||||||||||
6.88%, 09/01/27 |
372 | 397,140 | ||||||||||
|
|
|||||||||||
2,234,867 | ||||||||||||
Environmental, Maintenance, & Security Service 0.2% | ||||||||||||
Clean Harbors, Inc., 5.13%, 07/15/29(b) |
109 | 119,083 | ||||||||||
Covanta Holding Corp., 5.00%, 09/01/30 |
60 | 64,196 | ||||||||||
GFL Environmental, Inc.(b) |
||||||||||||
4.25%, 06/01/25 |
98 | 101,675 | ||||||||||
3.75%, 08/01/25 |
177 | 181,425 | ||||||||||
5.13%, 12/15/26 |
361 | 384,014 | ||||||||||
8.50%, 05/01/27 |
140 | 155,400 | ||||||||||
4.00%, 08/01/28 |
225 | 226,687 | ||||||||||
3.50%, 09/01/28 |
216 | 219,915 | ||||||||||
Stericycle Inc., 3.88%, 01/15/29(b) |
108 | 110,970 | ||||||||||
Tervita Corp., 11.00%, 12/01/25(b) |
75 | 80,703 | ||||||||||
Waste Pro USA, Inc., 5.50%, 02/15/26(b) |
318 | 325,155 | ||||||||||
|
|
|||||||||||
1,969,223 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) 1.3% | ||||||||||||
ERP Operating LP, 4.50%, 06/01/45 |
1,155 | 1,522,748 | ||||||||||
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27(b) |
182 | 187,639 | ||||||||||
Healthpeak Properties, Inc., 4.00%, 06/01/25 |
2,000 | 2,269,655 | ||||||||||
Iron Mountain, Inc.(b) |
||||||||||||
5.25%, 03/15/28 |
77 | 81,257 | ||||||||||
4.88%, 09/15/29 |
20 | 21,100 | ||||||||||
5.25%, 07/15/30 |
420 | 453,600 | ||||||||||
5.63%, 07/15/32 |
355 | 391,388 | ||||||||||
LMIRT Capital Pte Ltd., 7.25%, 06/19/24 |
250 | 249,844 | ||||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. |
||||||||||||
5.63%, 05/01/24 |
335 | 363,860 | ||||||||||
4.63%, 06/15/25(b) |
256 | 274,176 | ||||||||||
4.50%, 09/01/26 |
277 | 298,024 | ||||||||||
5.75%, 02/01/27 |
16 | 17,950 | ||||||||||
4.50%, 01/15/28 |
205 | 218,095 | ||||||||||
3.88%, 02/15/29(b) |
284 | 290,390 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp. |
||||||||||||
5.00%, 10/15/27 |
58 | 61,698 | ||||||||||
4.63%, 08/01/29 |
376 | 401,850 | ||||||||||
3.50%, 03/15/31 |
308 | 318,010 | ||||||||||
RHP Hotel Properties LP/RHP Finance Corp., 4.75%, 10/15/27 |
477 | 493,695 |
Security |
Par
(000) |
Value | ||||||||||
Equity Real Estate Investment Trusts (REITs) (continued) | ||||||||||||
Simon Property Group LP, 4.75%, 03/15/42 |
USD | 1,670 | $ | 2,043,309 | ||||||||
Starwood Property Trust, Inc., 5.00%, 12/15/21 |
77 | 78,291 | ||||||||||
Trust Fibra Uno, 6.95%, 01/30/44 |
476 | 581,761 | ||||||||||
Ventas Realty LP, 4.13%, 01/15/26 |
870 | 1,000,779 | ||||||||||
|
|
|||||||||||
11,619,119 | ||||||||||||
Food & Staples Retailing 0.8% | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(b) |
||||||||||||
3.25%, 03/15/26 |
200 | 203,000 | ||||||||||
7.50%, 03/15/26 |
65 | 72,738 | ||||||||||
4.63%, 01/15/27 |
324 | 344,655 | ||||||||||
5.88%, 02/15/28 |
219 | 238,314 | ||||||||||
4.88%, 02/15/30 |
144 | 158,671 | ||||||||||
Cydsa SAB de CV, 6.25%, 10/04/27(b) |
319 | 335,747 | ||||||||||
Grupo KUO SAB de CV, 5.75%, 07/07/27(b) |
200 | 210,437 | ||||||||||
Health & Happiness H&H International Holdings Ltd., 5.63%, 10/24/24 |
200 | 208,313 | ||||||||||
Kraft Heinz Foods Co. |
||||||||||||
4.25%, 03/01/31(b) |
749 | 835,178 | ||||||||||
5.00%, 07/15/35 |
85 | 103,041 | ||||||||||
6.88%, 01/26/39 |
160 | 221,705 | ||||||||||
4.63%, 10/01/39(b) |
53 | 59,177 | ||||||||||
6.50%, 02/09/40 |
110 | 148,688 | ||||||||||
5.00%, 06/04/42 |
86 | 100,902 | ||||||||||
5.20%, 07/15/45 |
95 | 112,960 | ||||||||||
4.38%, 06/01/46 |
252 | 272,650 | ||||||||||
4.88%, 10/01/49(b) |
706 | 823,636 | ||||||||||
5.50%, 06/01/50(b) |
842 | 1,060,712 | ||||||||||
Lamb Weston Holdings, Inc., 4.88%, 05/15/28(b) |
143 | 159,624 | ||||||||||
Post Holdings, Inc., 4.63%, 04/15/30(b) |
223 | 234,587 | ||||||||||
Walgreens Boots Alliance, Inc., 4.80%, 11/18/44 |
1,000 | 1,135,857 | ||||||||||
|
|
|||||||||||
7,040,592 | ||||||||||||
Food Products 0.3% | ||||||||||||
Aramark Services, Inc. |
||||||||||||
5.00%, 04/01/25(b) |
138 | 142,140 | ||||||||||
6.38%, 05/01/25(b) |
164 | 175,275 | ||||||||||
4.75%, 06/01/26 |
154 | 158,535 | ||||||||||
5.00%, 02/01/28(b) |
163 | 171,761 | ||||||||||
Chobani LLC/Chobani Finance Corp., Inc.(b) |
||||||||||||
7.50%, 04/15/25 |
262 | 274,733 | ||||||||||
4.63%, 11/15/28 |
181 | 183,715 | ||||||||||
Grupo Bimbo SAB de CV, (5 year CMT + 3.28%), 5.95%(a)(b)(g) |
200 | 214,625 | ||||||||||
JBS USA LUX SA/JBS USA Finance, Inc.(b) |
||||||||||||
5.75%, 06/15/25 |
307 | 316,747 | ||||||||||
6.75%, 02/15/28 |
93 | 104,073 | ||||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 6.50%, 04/15/29(b) |
86 | 100,113 | ||||||||||
MHP Lux SA, 6.25%, 09/19/29(b) |
400 | 408,125 | ||||||||||
Minerva Luxembourg SA, 6.50%,
|
200 | 209,688 | ||||||||||
Simmons Foods, Inc., 7.75%, 01/15/24(b) |
157 | 163,476 | ||||||||||
|
|
|||||||||||
2,623,006 | ||||||||||||
Health Care Equipment & Supplies 0.4% | ||||||||||||
Avantor Funding, Inc., 4.63%, 07/15/28(b) |
641 | 677,857 | ||||||||||
Hologic, Inc.(b) |
||||||||||||
4.63%, 02/01/28 |
51 | 54,124 | ||||||||||
3.25%, 02/15/29 |
109 | 110,908 |
24 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Health Care Equipment & Supplies (continued) | ||||||||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA(b) |
||||||||||||
7.38%, 06/01/25 |
USD | 400 | $ | 426,000 | ||||||||
7.25%, 02/01/28 |
822 | 867,210 | ||||||||||
Thermo Fisher Scientific, Inc., 5.30%, 02/01/44 |
1,000 | 1,453,058 | ||||||||||
|
|
|||||||||||
3,589,157 | ||||||||||||
Health Care Providers & Services 1.6% | ||||||||||||
Acadia Healthcare Co., Inc.(b) |
||||||||||||
5.50%, 07/01/28 |
138 | 148,219 | ||||||||||
5.00%, 04/15/29 |
114 | 121,695 | ||||||||||
AdaptHealth LLC, 6.13%, 08/01/28(b) |
98 | 105,228 | ||||||||||
Aetna, Inc., 4.50%, 05/15/42 |
575 | 708,359 | ||||||||||
AHP Health Partners, Inc., 9.75%, 07/15/26(b) |
351 | 387,416 | ||||||||||
Anthem, Inc., 4.38%, 12/01/47 |
1,000 | 1,288,922 | ||||||||||
Centene Corp. |
||||||||||||
5.38%, 08/15/26(b) |
154 | 162,663 | ||||||||||
4.25%, 12/15/27 |
264 | 279,840 | ||||||||||
4.63%, 12/15/29 |
733 | 813,784 | ||||||||||
3.00%, 10/15/30 |
207 | 219,399 | ||||||||||
CHS/Community Health Systems, Inc.(b) |
||||||||||||
8.63%, 01/15/24 |
354 | 369,045 | ||||||||||
6.63%, 02/15/25 |
248 | 261,015 | ||||||||||
8.00%, 03/15/26 |
1,137 | 1,225,117 | ||||||||||
5.63%, 03/15/27 |
548 | 589,237 | ||||||||||
6.00%, 01/15/29 |
402 | 434,265 | ||||||||||
Encompass Health Corp., 4.63%, 04/01/31 |
68 | 72,760 | ||||||||||
HCA, Inc. |
||||||||||||
5.38%, 02/01/25 |
225 | 253,019 | ||||||||||
5.63%, 09/01/28 |
200 | 236,000 | ||||||||||
5.88%, 02/01/29 |
126 | 151,638 | ||||||||||
3.50%, 09/01/30 |
409 | 434,594 | ||||||||||
5.50%, 06/15/47 |
850 | 1,135,354 | ||||||||||
Legacy LifePoint Health LLC(b) |
||||||||||||
6.75%, 04/15/25 |
130 | 139,595 | ||||||||||
4.38%, 02/15/27 |
65 | 65,081 | ||||||||||
LifePoint Health, Inc., 5.38%, 01/15/29(b) |
101 | 100,783 | ||||||||||
Molina Healthcare, Inc.(b) |
||||||||||||
4.38%, 06/15/28 |
62 | 65,255 | ||||||||||
3.88%, 11/15/30 |
156 | 167,310 | ||||||||||
Northwell Healthcare, Inc., 4.26%, 11/01/47 |
725 | 869,841 | ||||||||||
Providence Service Corp., 5.88%, 11/15/25(b) |
48 | 50,760 | ||||||||||
RegionalCare Hospital Partners Holdings, |
||||||||||||
Inc./LifePoint Health, Inc.,
9.75%,
|
68 | 74,800 | ||||||||||
Surgery Center Holdings, Inc.(b) |
||||||||||||
6.75%, 07/01/25 |
378 | 384,615 | ||||||||||
10.00%, 04/15/27 |
275 | 303,875 | ||||||||||
Teleflex, Inc., 4.25%, 06/01/28(b) |
226 | 239,560 | ||||||||||
Tenet Healthcare Corp.(b) |
||||||||||||
4.63%, 09/01/24 |
98 | 101,185 | ||||||||||
7.50%, 04/01/25 |
119 | 130,008 | ||||||||||
4.88%, 01/01/26 |
720 | 753,199 | ||||||||||
6.25%, 02/01/27 |
40 | 42,400 | ||||||||||
5.13%, 11/01/27 |
478 | 506,082 | ||||||||||
4.63%, 06/15/28 |
55 | 57,613 | ||||||||||
6.13%, 10/01/28 |
290 | 302,174 | ||||||||||
|
|
|||||||||||
13,751,705 | ||||||||||||
Health Care Technology 0.2% | ||||||||||||
Catalent Pharma Solutions, Inc. 4.88%, 01/15/26(b) |
49 | 49,980 |
Security |
Par
(000) |
Value | ||||||||||
Health Care Technology (continued) | ||||||||||||
Catalent Pharma Solutions, Inc. (continued) |
||||||||||||
2.38%, 03/01/28 |
EUR | 100 | $ | 122,426 | ||||||||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25(b) |
USD | 518 | 528,360 | |||||||||
Charles River Laboratories International, Inc.(b) |
||||||||||||
5.50%, 04/01/26 |
11 | 11,521 | ||||||||||
4.25%, 05/01/28 |
67 | 70,183 | ||||||||||
IQVIA, Inc.(b) |
||||||||||||
5.00%, 10/15/26 |
280 | 292,600 | ||||||||||
5.00%, 05/15/27 |
266 | 282,765 | ||||||||||
Mednax, Inc.(b) |
||||||||||||
5.25%, 12/01/23 |
107 | 108,316 | ||||||||||
6.25%, 01/15/27 |
169 | 181,246 | ||||||||||
Syneos Health, Inc., 3.63%, 01/15/29(b) |
311 | 311,860 | ||||||||||
Synlab Bondco PLC, (3 mo. EURIBOR + 4.75%), 4.75%, 07/01/25(a) |
EUR | 100 | 124,578 | |||||||||
|
|
|||||||||||
2,083,835 | ||||||||||||
Hotels, Restaurants & Leisure 2.0% | ||||||||||||
1011778 BC ULC/New Red Finance, Inc.(b) |
||||||||||||
5.75%, 04/15/25 |
USD | 82 | 87,740 | |||||||||
3.88%, 01/15/28 |
204 | 207,217 | ||||||||||
4.38%, 01/15/28 |
351 | 361,530 | ||||||||||
3.50%, 02/15/29 |
65 | 64,919 | ||||||||||
4.00%, 10/15/30 |
39 | 39,524 | ||||||||||
Boyd Gaming Corp. |
||||||||||||
8.63%, 06/01/25(b) |
65 | 72,292 | ||||||||||
6.38%, 04/01/26 |
99 | 102,842 | ||||||||||
6.00%, 08/15/26 |
68 | 70,550 | ||||||||||
4.75%, 12/01/27 |
121 | 125,689 | ||||||||||
Boyne USA, Inc., 7.25%, 05/01/25(b) |
120 | 125,850 | ||||||||||
Caesars Entertainment, Inc.(b) |
||||||||||||
6.25%, 07/01/25 |
986 | 1,050,090 | ||||||||||
8.13%, 07/01/27 |
816 | 903,330 | ||||||||||
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25(b) |
205 | 217,213 | ||||||||||
Cedar Fair LP/Canadas Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 05/01/25(b) |
379 | 395,107 | ||||||||||
Churchill Downs, Inc.(b) |
||||||||||||
5.50%, 04/01/27 |
357 | 377,974 | ||||||||||
4.75%, 01/15/28 |
243 | 255,757 | ||||||||||
Corvias Campus Living USG LLC, 5.30%, 07/01/50(c) |
5,663 | 4,128,877 | ||||||||||
Fortune Star BVI Ltd. |
||||||||||||
5.95%, 01/29/23 |
200 | 205,250 | ||||||||||
6.75%, 07/02/23 |
250 | 263,047 | ||||||||||
5.95%, 10/19/25 |
200 | 209,250 | ||||||||||
GLP Capital LP/GLP Financing II, Inc. |
||||||||||||
5.25%, 06/01/25 |
223 | 250,893 | ||||||||||
5.38%, 04/15/26 |
98 | 112,472 | ||||||||||
Golden Nugget, Inc., 6.75%, 10/15/24(b) |
696 | 691,003 | ||||||||||
Hilton Domestic Operating Co., Inc. |
||||||||||||
5.38%, 05/01/25(b) |
123 | 130,688 | ||||||||||
5.13%, 05/01/26 |
11 | 11,358 | ||||||||||
5.75%, 05/01/28(b) |
148 | 160,950 | ||||||||||
4.88%, 01/15/30 |
444 | 485,070 | ||||||||||
4.00%, 05/01/31(b) |
274 | 289,100 | ||||||||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.88%, 04/01/27 |
44 | 46,571 | ||||||||||
Las Vegas Sands Corp. 2.90%, 06/25/25 |
35 | 36,625 |
S C H E D U L E O F I N V E S T M E N T S |
25 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
Las Vegas Sands Corp. (continued) |
||||||||||||
3.50%, 08/18/26 |
USD | 31 | $ | 33,173 | ||||||||
3.90%, 08/08/29 |
29 | 31,188 | ||||||||||
Marriott Ownership Resorts, Inc./ILG LLC, 6.50%, 09/15/26 |
24 | 25,080 | ||||||||||
McDonalds Corp., 3.70%, 02/15/42 |
1,750 | 2,052,315 | ||||||||||
Melco Resorts Finance Ltd., 5.25%, 04/26/26 |
250 | 261,250 | ||||||||||
MGM China Holdings Ltd., 5.88%, 05/15/26 |
250 | 263,410 | ||||||||||
MGM Resorts International |
||||||||||||
7.75%, 03/15/22 |
19 | 20,235 | ||||||||||
6.00%, 03/15/23 |
71 | 76,236 | ||||||||||
Powdr Corp., 6.00%, 08/01/25(b) |
142 | 149,455 | ||||||||||
Scientific Games International, Inc. |
||||||||||||
8.63%, 07/01/25(b) |
136 | 148,920 | ||||||||||
5.00%, 10/15/25(b) |
319 | 329,173 | ||||||||||
3.38%, 02/15/26 |
EUR | 100 | 121,096 | |||||||||
8.25%, 03/15/26(b) |
USD | 203 | 218,753 | |||||||||
7.00%, 05/15/28(b) |
100 | 107,521 | ||||||||||
7.25%, 11/15/29(b) |
96 | 105,360 | ||||||||||
Six Flags Theme Parks, Inc., 7.00%, 07/01/25(b) |
508 | 548,640 | ||||||||||
Stonegate Pub Co. Financing PLC, 8.25%, 07/31/25 |
GBP | 100 | 138,459 | |||||||||
Studio City Finance Ltd., 7.25%, 02/11/24 |
USD | 250 | 260,156 | |||||||||
Vail Resorts, Inc., 6.25%, 05/15/25(b) |
105 | 112,088 | ||||||||||
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28(b) |
104 | 108,061 | ||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27(b) |
125 | 128,844 | ||||||||||
Wynn Macau Ltd. |
||||||||||||
4.88%, 10/01/24 |
200 | 202,875 | ||||||||||
5.50%, 10/01/27 |
200 | 206,875 | ||||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(b) |
||||||||||||
7.75%, 04/15/25 |
163 | 176,651 | ||||||||||
5.13%, 10/01/29 |
493 | 516,417 | ||||||||||
Yum! Brands, Inc. |
||||||||||||
7.75%, 04/01/25(b) |
12 | 13,290 | ||||||||||
4.75%, 01/15/30(b) |
20 | 21,930 | ||||||||||
3.63%, 03/15/31 |
85 | 85,921 | ||||||||||
5.35%, 11/01/43 |
44 | 49,720 | ||||||||||
|
|
|||||||||||
17,991,870 | ||||||||||||
Household Durables 0.3% | ||||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp.(b) |
||||||||||||
6.25%, 09/15/27 |
90 | 95,737 | ||||||||||
4.88%, 02/15/30 |
202 | 208,817 | ||||||||||
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25(b) |
158 | 168,862 | ||||||||||
Controladora Mabe SA de CV, 5.60%, 10/23/28(b) |
215 | 253,431 | ||||||||||
K Hovnanian Enterprises, Inc., 7.75%, 02/15/26(b) |
206 | 216,300 | ||||||||||
Lennar Corp. |
||||||||||||
4.75%, 05/30/25 |
2 | 2,285 | ||||||||||
5.25%, 06/01/26 |
38 | 45,030 | ||||||||||
Mattamy Group Corp., 4.63%, 03/01/30(b) |
159 | 168,540 | ||||||||||
MDC Holdings, Inc., 6.00%, 01/15/43 |
126 | 168,909 | ||||||||||
Meritage Homes Corp., 5.13%, 06/06/27 |
35 | 39,113 | ||||||||||
NCR Corp.(b) |
||||||||||||
5.75%, 09/01/27 |
108 | 114,750 | ||||||||||
5.00%, 10/01/28 |
73 | 77,015 | ||||||||||
6.13%, 09/01/29 |
57 | 63,127 | ||||||||||
5.25%, 10/01/30 |
74 | 79,365 | ||||||||||
PulteGroup, Inc. |
||||||||||||
5.00%, 01/15/27 |
16 | 18,880 |
Security |
Par
(000) |
Value | ||||||||||
Household Durables (continued) | ||||||||||||
PulteGroup, Inc. (continued) |
||||||||||||
7.88%, 06/15/32 |
USD | 14 | $ | 20,948 | ||||||||
6.38%, 05/15/33 |
216 | 295,942 | ||||||||||
6.00%, 02/15/35 |
27 | 36,712 | ||||||||||
Taylor Morrison Communities, Inc.(b) |
||||||||||||
5.88%, 06/15/27 |
119 | 134,865 | ||||||||||
5.13%, 08/01/30 |
100 | 112,000 | ||||||||||
Tempur Sealy International, Inc., 5.50%, 06/15/26 |
67 | 69,727 | ||||||||||
Toll Brothers Finance Corp., 4.35%, 02/15/28 |
8 | 8,880 | ||||||||||
TRI Pointe Group, Inc., 5.25%, 06/01/27 |
28 | 30,450 | ||||||||||
|
|
|||||||||||
2,429,685 | ||||||||||||
Household Products(b) 0.0% | ||||||||||||
ACCO Brands Corp., 5.25%, 12/15/24 |
59 | 60,621 | ||||||||||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., 5.00%, 12/31/26 |
48 | 50,074 | ||||||||||
|
|
|||||||||||
110,695 | ||||||||||||
Independent Power and Renewable Electricity Producers 0.4% | ||||||||||||
Adani Green Energy UP Ltd./Prayatna Developers Pvt Ltd./Parampujya Solar Energy, 6.25%, 12/10/24 |
200 | 221,187 | ||||||||||
Azure Power Solar Energy Pvt Ltd., 5.65%, 12/24/24 . |
200 | 212,875 | ||||||||||
Calpine Corp.(b) |
||||||||||||
5.25%, 06/01/26 |
10 | 10,345 | ||||||||||
4.50%, 02/15/28 |
130 | 135,200 | ||||||||||
5.13%, 03/15/28 |
879 | 924,682 | ||||||||||
4.63%, 02/01/29 |
180 | 185,090 | ||||||||||
5.00%, 02/01/31 |
235 | 245,575 | ||||||||||
3.75%, 03/01/31 |
160 | 158,453 | ||||||||||
Clearway Energy Operating LLC, 4.75%, 03/15/28(b) |
84 | 90,090 | ||||||||||
ENN Clean Energy International Investment Ltd., 7.50%, 02/27/21 |
200 | 200,500 | ||||||||||
Greenko Dutch BV, 5.25%, 07/24/24 |
200 | 207,500 | ||||||||||
Greenko Mauritius Ltd., 6.25%, 02/21/23 |
200 | 207,500 | ||||||||||
Greenko Solar Mauritius Ltd., 5.95%, 07/29/26 |
200 | 215,188 | ||||||||||
NRG Energy, Inc.(b) |
||||||||||||
5.25%, 06/15/29 |
137 | 150,700 | ||||||||||
3.63%, 02/15/31 |
264 | 271,603 | ||||||||||
ReNew Power Synthetic, 6.67%, 03/12/24 |
200 | 210,938 | ||||||||||
TerraForm Power Operating LLC, 4.75%, 01/15/30(b) |
121 | 129,470 | ||||||||||
|
|
|||||||||||
3,776,896 | ||||||||||||
Insurance 2.7% | ||||||||||||
Acrisure LLC/Acrisure Finance, Inc., 8.13%, 02/15/24(b) |
9 | 9,528 | ||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer(b) |
||||||||||||
4.25%, 10/15/27 |
749 | 765,853 | ||||||||||
6.75%, 10/15/27 |
1,126 | 1,204,820 | ||||||||||
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25 |
1,495 | 1,623,882 | ||||||||||
Allstate Corp., (3 mo. LIBOR US + 2.12%), 6.50%, 05/15/67(a) |
4,100 | 5,564,889 | ||||||||||
AmWINS Group, Inc., 7.75%, 07/01/26(b) |
89 | 95,577 | ||||||||||
Aon PLC |
||||||||||||
3.88%, 12/15/25 |
1,445 | 1,647,385 | ||||||||||
4.60%, 06/14/44 |
500 | 665,376 | ||||||||||
Asahi Mutual Life Insurance Co., (5 year USD Swap + 4.59%), 6.50%(a)(g) |
333 | 357,317 | ||||||||||
Assicurazioni Generali SpA, (3 mo. EURIBOR + 5.35%), 5.50%, 10/27/47(a) |
EUR | 100 | 150,294 | |||||||||
AssuredPartners, Inc., 5.63%, 01/15/29(b) |
USD | 177 | 184,744 | |||||||||
Five Corners Funding Trust, 4.42%, 11/15/23(b) |
2,050 | 2,273,910 |
26 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Insurance (continued) | ||||||||||||
GTCR AP Finance, Inc., 8.00%,
|
USD | 171 | $ | 185,697 | ||||||||
HUB International Ltd., 7.00%, 05/01/26(b) |
848 | 886,830 | ||||||||||
Liberty Mutual Group, Inc., 6.50%, 05/01/42(b) |
2,000 | 2,881,200 | ||||||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, (3 mo. EURIBOR + 3.50%), 6.00%, 05/26/41(a) |
EUR | 400 | 499,787 | |||||||||
Nationwide Building Society, (5 year USD ICE Swap + 1.85%), 4.13%,
|
USD | 720 | 787,413 | |||||||||
Prudential Financial, Inc. |
||||||||||||
5.90%, 03/17/36 |
500 | 671,440 | ||||||||||
5.70%, 12/14/36 |
1,625 | 2,355,063 | ||||||||||
Teachers Insurance & Annuity Association of America, 4.27%, 05/15/47(b) |
700 | 875,324 | ||||||||||
Unipol Gruppo SpA, 3.25%, 09/23/30 |
EUR | 100 | 129,283 | |||||||||
|
|
|||||||||||
23,815,612 | ||||||||||||
Interactive Media & Services 0.2% | ||||||||||||
21Vianet Group, Inc., 7.88%, 10/15/21 |
USD | 200 | 204,000 | |||||||||
Arches Buyer, Inc., 4.25%, 06/01/28(b) |
73 | 73,927 | ||||||||||
Cablevision Lightpath LLC(b) |
||||||||||||
3.88%, 09/15/27 |
220 | 221,375 | ||||||||||
5.63%, 09/15/28 |
419 | 438,379 | ||||||||||
Netflix, Inc. |
||||||||||||
5.88%, 11/15/28 |
216 | 258,930 | ||||||||||
5.38%, 11/15/29(b) |
363 | 427,886 | ||||||||||
3.63%, 06/15/30 |
EUR | 100 | 138,692 | |||||||||
Twitter, Inc., 3.88%, 12/15/27(b) |
USD | 64 | 68,160 | |||||||||
|
|
|||||||||||
1,831,349 | ||||||||||||
Internet Software & Services(b) 0.2% | ||||||||||||
Expedia Group, Inc., 6.25%, 05/01/25 |
408 | 472,913 | ||||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc., 5.25%, 12/01/27 |
27 | 28,418 | ||||||||||
Match Group Holdings II LLC |
||||||||||||
4.63%, 06/01/28 |
9 | 9,433 | ||||||||||
4.13%, 08/01/30 |
57 | 59,280 | ||||||||||
Uber Technologies, Inc. |
||||||||||||
7.50%, 05/15/25 |
492 | 531,468 | ||||||||||
8.00%, 11/01/26 |
197 | 215,000 | ||||||||||
7.50%, 09/15/27 |
437 | 480,700 | ||||||||||
6.25%, 01/15/28 |
133 | 144,637 | ||||||||||
|
|
|||||||||||
1,941,849 | ||||||||||||
IT Services 0.6% | ||||||||||||
Austin BidCo, Inc., 7.13%, 12/15/28(b) |
48 | 50,100 | ||||||||||
Banff Merger Sub, Inc., 9.75%, 09/01/26(b) |
1,054 | 1,138,478 | ||||||||||
Booz Allen Hamilton, Inc., 3.88%, 09/01/28(b) |
241 | 248,230 | ||||||||||
Camelot Finance SA, 4.50%, 11/01/26(b) |
207 | 216,056 | ||||||||||
Castle U.S. Holding Corp., 9.50%, 02/15/28(b) |
202 | 202,000 | ||||||||||
Dun & Bradstreet Corp.(b) |
||||||||||||
6.88%, 08/15/26 |
269 | 289,175 | ||||||||||
10.25%, 02/15/27 |
131 | 147,703 | ||||||||||
Fair Isaac Corp., 4.00%, 06/15/28(b) |
107 | 112,618 | ||||||||||
Fidelity National Information Services, Inc., 4.50%, 08/15/46 |
1,000 | 1,278,417 | ||||||||||
Gartner, Inc.(b) |
||||||||||||
4.50%, 07/01/28 |
199 | 209,945 | ||||||||||
3.75%, 10/01/30 |
167 | 175,978 | ||||||||||
Presidio Holdings, Inc., 4.88%, 02/01/27(b) |
205 | 217,460 | ||||||||||
Rackspace Technology Global, Inc., 5.38%, 12/01/28(b) |
284 | 297,547 | ||||||||||
Science Applications International Corp., 4.88%, 04/01/28(b) |
173 | 183,380 |
Security |
Par
(000) |
Value | ||||||||||
IT Services (continued) | ||||||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp.(b) |
||||||||||||
5.75%, 06/01/25 |
USD | 168 | $ | 178,500 | ||||||||
6.75%, 06/01/25 |
575 | 594,291 | ||||||||||
|
|
|||||||||||
5,539,878 | ||||||||||||
Leisure Products 0.1% | ||||||||||||
Mattel, Inc. |
||||||||||||
6.75%, 12/31/25(b) |
298 | 314,530 | ||||||||||
5.88%, 12/15/27(b) |
77 | 85,566 | ||||||||||
6.20%, 10/01/40 |
86 | 100,405 | ||||||||||
5.45%, 11/01/41 |
139 | 152,949 | ||||||||||
|
|
|||||||||||
653,450 | ||||||||||||
Machinery 0.2% | ||||||||||||
ATS Automation Tooling Systems, Inc., 4.13%, 12/15/28(b) |
71 | 72,243 | ||||||||||
Colfax Corp., 6.38%, 02/15/26(b) |
105 | 112,088 | ||||||||||
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(b)(d) |
226 | 245,775 | ||||||||||
Platin 1426 GmbH, 5.38%, 06/15/23 |
EUR | 100 | 121,360 | |||||||||
RBS Global, Inc./Rexnord LLC, 4.88%, 12/15/25(b) |
USD | 114 | 116,137 | |||||||||
Stevens Holding Co., Inc.,
6.13%,
|
90 | 97,200 | ||||||||||
Terex Corp., 5.63%, 02/01/25(b) |
147 | 151,428 | ||||||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26(b) |
434 | 451,360 | ||||||||||
Vertical Holdco GmbH, 7.63%, 07/15/28(b) |
200 | 218,000 | ||||||||||
Vertical Midco GmbH, 4.38%, 07/15/27 |
EUR | 100 | 128,548 | |||||||||
Vertical US Newco, Inc., 5.25%, 07/15/27(b) |
USD | 266 | 281,960 | |||||||||
|
|
|||||||||||
1,996,099 | ||||||||||||
Media 5.0% | ||||||||||||
Altice Financing SA |
||||||||||||
7.50%, 05/15/26(b) |
402 | 424,231 | ||||||||||
3.00%, 01/15/28 |
EUR | 100 | 117,453 | |||||||||
5.00%, 01/15/28(b) |
USD | 239 | 244,888 | |||||||||
Altice France Holding SA(b) |
||||||||||||
10.50%, 05/15/27 |
1,088 | 1,221,280 | ||||||||||
6.00%, 02/15/28 |
257 | 260,212 | ||||||||||
AMC Networks, Inc. |
||||||||||||
5.00%, 04/01/24 |
2 | 2,033 | ||||||||||
4.75%, 08/01/25 |
135 | 139,414 | ||||||||||
Block Communications, Inc., 4.88%, 03/01/28(b) |
87 | 89,610 | ||||||||||
Cable One, Inc., 4.00%, 11/15/30(b) |
165 | 171,394 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.(b) |
||||||||||||
5.88%, 05/01/27 |
18 | 18,698 | ||||||||||
5.00%, 02/01/28 |
189 | 199,867 | ||||||||||
5.38%, 06/01/29 |
155 | 169,919 | ||||||||||
4.75%, 03/01/30 |
132 | 142,428 | ||||||||||
4.50%, 08/15/30 |
607 | 644,179 | ||||||||||
4.25%, 02/01/31 |
575 | 605,969 | ||||||||||
4.50%, 05/01/32 |
858 | 916,104 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 07/23/25 |
4,700 | 5,458,805 | ||||||||||
Clear Channel International BV, 6.63%, 08/01/25(b) |
256 | 270,080 | ||||||||||
Clear Channel Worldwide Holdings, Inc. |
||||||||||||
9.25%, 02/15/24 |
395 | 399,937 | ||||||||||
5.13%, 08/15/27(b) |
993 | 1,002,930 | ||||||||||
Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22 |
2,600 | 3,042,799 | ||||||||||
Comcast Corp. 6.45%, 03/15/37 |
790 | 1,216,156 |
S C H E D U L E O F I N V E S T M E N T S |
27 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Media (continued) | ||||||||||||
Comcast Corp. (continued) |
||||||||||||
4.60%, 08/15/45 |
USD | 2,000 | $ | 2,701,671 | ||||||||
4.70%, 10/15/48 |
3,000 | 4,191,404 | ||||||||||
Connect Finco Sarl/Connect US Finco LLC, 6.75%, 10/01/26(b) |
1,293 | 1,392,820 | ||||||||||
CSC Holdings LLC |
||||||||||||
5.25%, 06/01/24 |
166 | 179,678 | ||||||||||
5.75%, 01/15/30(b) |
443 | 485,639 | ||||||||||
4.13%, 12/01/30(b) |
201 | 210,166 | ||||||||||
4.63%, 12/01/30(b) |
897 | 936,244 | ||||||||||
3.38%, 02/15/31(b) |
200 | 196,250 | ||||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 08/15/26(b) |
366 | 297,375 | ||||||||||
Discovery Communications LLC |
||||||||||||
3.25%, 04/01/23 |
1,850 | 1,947,753 | ||||||||||
3.45%, 03/15/25 |
210 | 230,498 | ||||||||||
DISH DBS Corp. |
||||||||||||
6.75%, 06/01/21 |
443 | 451,953 | ||||||||||
5.88%, 07/15/22 |
739 | 772,255 | ||||||||||
5.00%, 03/15/23 |
284 | 293,230 | ||||||||||
7.75%, 07/01/26 |
414 | 463,684 | ||||||||||
DISH Network Corp.(i) |
||||||||||||
2.38%, 03/15/24 |
210 | 195,705 | ||||||||||
3.38%, 08/15/26 |
259 | 246,887 | ||||||||||
Entercom Media Corp., 6.50%, 05/01/27(b) |
173 | 175,811 | ||||||||||
GCI LLC, 4.75%, 10/15/28(b) |
61 | 65,060 | ||||||||||
Hughes Satellite Systems Corp., 5.25%, 08/01/26 |
70 | 77,263 | ||||||||||
iHeartCommunications, Inc. |
||||||||||||
6.38%, 05/01/26 |
91 | 97,763 | ||||||||||
5.25%, 08/15/27(b) |
66 | 69,300 | ||||||||||
4.75%, 01/15/28(b) |
50 | 51,313 | ||||||||||
Lamar Media Corp., 4.00%, 02/15/30 |
7 | 7,263 | ||||||||||
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(b) |
200 | 215,250 | ||||||||||
Liberty Broadband Corp.(b)(i) |
||||||||||||
1.25%, 09/30/50 |
172 | 173,636 | ||||||||||
2.75%, 09/30/50 |
556 | 594,788 | ||||||||||
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(b)(d) |
221 | 214,370 | ||||||||||
Lions Gate Capital Holdings LLC(b) |
||||||||||||
6.38%, 02/01/24 |
16 | 16,400 | ||||||||||
5.88%, 11/01/24 |
109 | 110,635 | ||||||||||
Live Nation Entertainment, Inc.(b) |
||||||||||||
4.88%, 11/01/24 |
21 | 21,263 | ||||||||||
2.00%, 02/15/25(i) |
104 | 110,057 | ||||||||||
6.50%, 05/15/27 |
695 | 777,371 | ||||||||||
4.75%, 10/15/27 |
176 | 180,386 | ||||||||||
3.75%, 01/15/28(h) |
126 | 127,310 | ||||||||||
Meredith Corp., 6.88%, 02/01/26 |
23 | 22,425 | ||||||||||
Midcontinent Communications/Midcontinent
|
|
108 | 112,860 | |||||||||
Network i2i Ltd., (5 year CMT + 4.27%), 5.65%(a)(g) |
250 | 266,641 | ||||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp., 5.00%, 08/15/27(b) |
253 | 257,427 | ||||||||||
Qualitytech LP/QTS Finance Corp., 3.88%, 10/01/28(b) |
196 | 199,920 | ||||||||||
Radiate Holdco LLC/Radiate Finance,
|
||||||||||||
4.50%, 09/15/26 |
411 | 423,844 | ||||||||||
6.50%, 09/15/28 |
936 | 986,310 |
Security |
Par
(000) |
Value | ||||||||||
Media (continued) | ||||||||||||
Sable International Finance Ltd. |
||||||||||||
5.75%, 09/07/27 |
USD | 202 | $ | 215,130 | ||||||||
5.75%, 09/07/27(b) |
200 | 212,750 | ||||||||||
Scripps Escrow II, Inc.(b) |
||||||||||||
3.88%, 01/15/29 |
63 | 65,474 | ||||||||||
5.38%, 01/15/31 |
113 | 117,803 | ||||||||||
Sinclair Television Group, Inc., 4.13%, 12/01/30(b) |
295 | 301,853 | ||||||||||
Sirius XM Radio, Inc.(b) |
||||||||||||
5.00%, 08/01/27 |
63 | 66,938 | ||||||||||
5.50%, 07/01/29 |
159 | 174,950 | ||||||||||
4.13%, 07/01/30 |
140 | 149,012 | ||||||||||
Summer BC Holdco B Sarl, 5.75%, 10/31/26 |
EUR | 100 | 128,670 | |||||||||
TCI Communications, Inc., 7.88%, 02/15/26 |
USD | 610 | 821,509 | |||||||||
TEGNA, Inc., 5.50%, 09/15/24(b) |
19 | 19,309 | ||||||||||
Telenet Finance Luxembourg Notes Sarl, 5.50%, 03/01/28(b) |
200 | 213,300 | ||||||||||
Telesat Canada/Telesat LLC, 4.88%, 06/01/27(b) |
297 | 307,395 | ||||||||||
Terrier Media Buyer, Inc., 8.88%, 12/15/27(b) |
622 | 685,755 | ||||||||||
Univision Communications, Inc., 5.13%, 02/15/25(b) |
52 | 52,390 | ||||||||||
ViacomCBS, Inc., 5.85%, 09/01/43 |
645 | 897,205 | ||||||||||
Videotron Ltd., 5.13%, 04/15/27(b) |
130 | 137,962 | ||||||||||
Virgin Media Secured Finance PLC(b) |
||||||||||||
5.50%, 05/15/29 |
400 | 433,500 | ||||||||||
4.50%, 08/15/30 |
233 | 243,485 | ||||||||||
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28(b) |
507 | 527,280 | ||||||||||
Walt Disney Co., 7.63%, 11/30/28 |
385 | 549,886 | ||||||||||
WMG Acquisition Corp.(b) |
||||||||||||
5.50%, 04/15/26 |
11 | 11,399 | ||||||||||
3.88%, 07/15/30 |
37 | 39,322 | ||||||||||
Ziggo Bond Co. BV(b) |
||||||||||||
6.00%, 01/15/27 |
150 | 158,515 | ||||||||||
5.13%, 02/28/30 |
200 | 211,060 | ||||||||||
Ziggo BV, 5.50%, 01/15/27(b) |
282 | 294,337 | ||||||||||
|
|
|||||||||||
44,342,453 | ||||||||||||
Metals & Mining 0.9% | ||||||||||||
ABJA Investment Co. Pte Ltd. |
||||||||||||
5.95%, 07/31/24 |
250 | 268,125 | ||||||||||
5.45%, 01/24/28 |
200 | 210,086 | ||||||||||
Allegheny Technologies, Inc., 7.88%, 08/15/23 |
82 | 89,736 | ||||||||||
Arconic Corp.(b) |
||||||||||||
6.00%, 05/15/25 |
87 | 92,873 | ||||||||||
6.13%, 02/15/28 |
151 | 162,797 | ||||||||||
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(b) |
787 | 849,960 | ||||||||||
Constellium SE(b) |
||||||||||||
6.63%, 03/01/25 |
264 | 269,610 | ||||||||||
5.88%, 02/15/26 |
269 | 277,070 | ||||||||||
5.63%, 06/15/28 |
250 | 269,375 | ||||||||||
Freeport-McMoRan, Inc. |
||||||||||||
4.38%, 08/01/28 |
328 | 348,500 | ||||||||||
4.63%, 08/01/30 |
339 | 372,052 | ||||||||||
5.40%, 11/14/34 |
245 | 306,556 | ||||||||||
5.45%, 03/15/43 |
821 | 1,022,145 | ||||||||||
Gold Fields Orogen Holdings BVI Ltd., 5.13%, 05/15/24(b) |
200 | 219,687 | ||||||||||
Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23(b) |
164 | 166,460 | ||||||||||
JSW Steel Ltd., 5.95%, 04/18/24 |
200 | 211,938 |
28 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Metals & Mining (continued) | ||||||||||||
Kaiser Aluminum Corp.(b) |
||||||||||||
6.50%, 05/01/25 |
USD | 68 | $ | 72,760 | ||||||||
4.63%, 03/01/28 |
38 | 39,425 | ||||||||||
New Gold, Inc.(b) |
||||||||||||
6.38%, 05/15/25 |
13 | 13,585 | ||||||||||
7.50%, 07/15/27 |
340 | 375,700 | ||||||||||
Nexa Resources SA, 5.38%, 05/04/27(b) |
299 | 332,824 | ||||||||||
Novelis Corp.(b) |
||||||||||||
5.88%, 09/30/26 |
236 | 246,620 | ||||||||||
4.75%, 01/30/30 |
646 | 695,978 | ||||||||||
Rio Tinto Finance USA PLC, 4.75%, 03/22/42 |
400 | 550,671 | ||||||||||
thyssenkrupp AG, 2.88%, 02/22/24 |
EUR | 51 | 62,631 | |||||||||
Vale Overseas Ltd. |
||||||||||||
6.25%, 08/10/26 |
USD | 133 | 164,837 | |||||||||
3.75%, 07/08/30 |
120 | 133,313 | ||||||||||
Vedanta Resources Finance II PLC |
||||||||||||
8.00%, 04/23/23 |
313 | 261,746 | ||||||||||
13.88%, 01/21/24 |
200 | 210,125 | ||||||||||
|
|
|||||||||||
8,297,185 | ||||||||||||
Multi-line Retail 0.0% | ||||||||||||
Dufry One BV, 2.00%, 02/15/27 |
EUR | 100 | 114,194 | |||||||||
Future Retail Ltd., 5.60%, 01/22/25 |
USD | 200 | 169,312 | |||||||||
Nordstrom, Inc., 8.75%, 05/15/25(b) |
91 | 101,925 | ||||||||||
385,431 | ||||||||||||
Multi-Utilities 0.2% | ||||||||||||
KeySpan Gas East Corp., 5.82%, 04/01/41(b) |
1,010 | 1,419,438 | ||||||||||
|
|
|||||||||||
Offshore Drilling & Other Services 0.0% | ||||||||||||
Entegris, Inc., 4.38%, 04/15/28(b) |
113 | 120,486 | ||||||||||
|
|
|||||||||||
Oil, Gas & Consumable Fuels 6.7% | ||||||||||||
Apache Corp. |
||||||||||||
4.88%, 11/15/27 |
141 | 149,460 | ||||||||||
5.10%, 09/01/40 |
160 | 170,600 | ||||||||||
5.25%, 02/01/42 |
20 | 21,557 | ||||||||||
4.75%, 04/15/43 |
216 | 223,963 | ||||||||||
4.25%, 01/15/44 |
125 | 123,329 | ||||||||||
5.35%, 07/01/49 |
48 | 49,249 | ||||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 9.00%, 11/01/27(b) |
269 | 298,590 | ||||||||||
Bioceanico Sovereign Certificate Ltd., 0.00%, 06/05/34(j) |
148 | 112,092 | ||||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.63%, 12/15/25(b) |
112 | 119,280 | ||||||||||
Brand Industrial Services, Inc., 8.50%, 07/15/25(b) |
250 | 255,312 | ||||||||||
Buckeye Partners LP |
||||||||||||
4.13%, 03/01/25(b) |
179 | 181,238 | ||||||||||
4.50%, 03/01/28(b) |
247 | 254,410 | ||||||||||
5.85%, 11/15/43 |
94 | 92,490 | ||||||||||
5.60%, 10/15/44 |
119 | 114,389 | ||||||||||
Burlington Resources LLC, 5.95%, 10/15/36 |
685 | 968,107 | ||||||||||
Cellnex Telecom SA, Series CLNX, 0.75%, 11/20/31 |
EUR | 100 | 117,490 | |||||||||
Cenovus Energy, Inc. |
||||||||||||
3.00%, 08/15/22 |
USD | 57 | 58,244 | |||||||||
3.80%, 09/15/23 |
32 | 33,239 | ||||||||||
5.38%, 07/15/25 |
217 | 244,657 | ||||||||||
4.25%, 04/15/27 |
400 | 436,809 | ||||||||||
5.40%, 06/15/47 |
76 | 89,217 | ||||||||||
Centennial Resource Production LLC, 6.88%, 04/01/27(b) |
156 | 111,930 |
Security |
Par
(000) |
Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
Cheniere Energy Partners LP |
||||||||||||
5.63%, 10/01/26 |
USD | 72 | $ | 74,880 | ||||||||
4.50%, 10/01/29 |
354 | 374,454 | ||||||||||
5.25%, 10/01/25 |
33 | 33,866 | ||||||||||
Cheniere Energy, Inc., 4.63%, 10/15/28(b) |
874 | 917,700 | ||||||||||
Citgo Holding, Inc., 9.25%, 08/01/24(b) |
298 | 274,160 | ||||||||||
CNX Resources Corp.(b) |
||||||||||||
7.25%, 03/14/27 |
170 | 181,900 | ||||||||||
6.00%, 01/15/29 |
174 | 178,260 | ||||||||||
Comstock Resources, Inc. |
||||||||||||
7.50%, 05/15/25(b) |
296 | 303,279 | ||||||||||
9.75%, 08/15/26 |
350 | 376,932 | ||||||||||
ConocoPhillips, 6.50%, 02/01/39 |
600 | 927,941 | ||||||||||
Continental Resources, Inc. |
||||||||||||
5.00%, 09/15/22(k) |
105 | 105,158 | ||||||||||
4.50%, 04/15/23 |
20 | 20,622 | ||||||||||
5.75%, 01/15/31(b) |
164 | 182,037 | ||||||||||
4.90%, 06/01/44 |
157 | 155,275 | ||||||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. |
||||||||||||
6.25%, 04/01/23 |
11 | 11,028 | ||||||||||
5.63%, 05/01/27(b) |
158 | 156,420 | ||||||||||
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(b) |
709 | 724,052 | ||||||||||
CVR Energy, Inc.(b) |
||||||||||||
5.25%, 02/15/25 |
93 | 89,745 | ||||||||||
5.75%, 02/15/28 |
48 | 45,480 | ||||||||||
DCP Midstream Operating LP |
||||||||||||
5.38%, 07/15/25 |
118 | 129,661 | ||||||||||
5.63%, 07/15/27 |
135 | 149,850 | ||||||||||
5.13%, 05/15/29 |
65 | 72,093 | ||||||||||
6.45%, 11/03/36(b) |
148 | 159,840 | ||||||||||
6.75%, 09/15/37(b) |
222 | 239,760 | ||||||||||
Devon Energy Corp., 5.85%, 12/15/25 |
1,000 | 1,175,338 | ||||||||||
Diamondback Energy, Inc., 3.50%, 12/01/29 |
306 | 326,905 | ||||||||||
Double Eagle III Midco 1 LLC/Double Eagle Finance Corp., 7.75%, 12/15/25(b) |
176 | 186,627 | ||||||||||
eG Global Finance PLC |
||||||||||||
6.75%, 02/07/25(b) |
241 | 248,230 | ||||||||||
6.25%, 10/30/25 |
EUR | 142 | 178,140 | |||||||||
8.50%, 10/30/25(b) |
USD | 200 | 213,000 | |||||||||
Enbridge, Inc.(a) |
||||||||||||
(3 mo. LIBOR US + 3.64%), 6.25%, 03/01/78 |
1,935 | 2,116,256 | ||||||||||
Series 20-A, (5 year CMT + 5.31%), 5.75%, 07/15/80 |
950 | 1,069,529 | ||||||||||
Endeavor Energy Resources LP/EER Finance, Inc.(b) |
||||||||||||
6.63%, 07/15/25 |
128 | 136,960 | ||||||||||
5.50%, 01/30/26 |
463 | 475,107 | ||||||||||
5.75%, 01/30/28 |
239 | 257,809 | ||||||||||
Energy Transfer Operating LP |
||||||||||||
4.05%, 03/15/25 |
500 | 548,502 | ||||||||||
4.75%, 01/15/26 |
1,250 | 1,414,365 | ||||||||||
5.15%, 03/15/45 |
42 | 45,515 | ||||||||||
6.13%, 12/15/45 |
197 | 232,716 | ||||||||||
5.30%, 04/15/47 |
540 | 596,630 | ||||||||||
6.00%, 06/15/48 |
89 | 104,872 | ||||||||||
5.00%, 05/15/50 |
157 | 170,014 | ||||||||||
EnLink Midstream LLC |
||||||||||||
5.63%, 01/15/28(b) |
116 | 118,343 | ||||||||||
5.38%, 06/01/29 |
50 | 48,625 |
S C H E D U L E O F I N V E S T M E N T S |
29 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
EnLink Midstream Partners LP |
||||||||||||
4.40%, 04/01/24 |
USD | 144 | $ | 142,095 | ||||||||
4.15%, 06/01/25 |
10 | 9,750 | ||||||||||
4.85%, 07/15/26 |
20 | 19,527 | ||||||||||
5.60%, 04/01/44 |
141 | 113,153 | ||||||||||
5.05%, 04/01/45 |
38 | 30,282 | ||||||||||
Enterprise Products Operating LLC, 6.13%, 10/15/39 . |
1,400 | 1,948,622 | ||||||||||
EOG Resources, Inc., 5.10%, 01/15/36 |
200 | 249,011 | ||||||||||
EQM Midstream Partners LP |
||||||||||||
6.00%, 07/01/25(b) |
176 | 192,720 | ||||||||||
4.13%, 12/01/26 |
68 | 68,510 | ||||||||||
6.50%, 07/01/27(b) |
245 | 275,879 | ||||||||||
EQT Corp. |
||||||||||||
3.90%, 10/01/27 |
224 | 222,533 | ||||||||||
5.00%, 01/15/29 |
94 | 99,106 | ||||||||||
8.75%, 02/01/30 |
111 | 135,975 | ||||||||||
Extraction Oil & Gas, Inc.(b)(e)(f) |
||||||||||||
7.38%, 05/15/24 |
213 | 38,340 | ||||||||||
5.63%, 02/01/26 |
306 | 55,080 | ||||||||||
Genesis Energy LP/Genesis Energy Finance Corp. |
||||||||||||
5.63%, 06/15/24 |
102 | 99,450 | ||||||||||
6.50%, 10/01/25 |
29 | 28,203 | ||||||||||
7.75%, 02/01/28 |
75 | 71,813 | ||||||||||
Geopark Ltd., 6.50%, 09/21/24 |
200 | 207,187 | ||||||||||
GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27 |
200 | 191,125 | ||||||||||
Great Western Petroleum LLC/Great Western |
||||||||||||
Finance Corp., 9.00%, 09/30/21(b) |
390 | 226,200 | ||||||||||
Harvest Midstream I LP, 7.50%,
|
197 | 209,559 | ||||||||||
Hess Corp., 4.30%, 04/01/27 |
1,100 | 1,212,720 | ||||||||||
Hess Midstream Operations LP, 5.63%, 02/15/26(b) |
95 | 98,800 | ||||||||||
Hilong Holding Ltd., 8.25%, 09/26/22(e)(f) |
200 | 155,000 | ||||||||||
HPCL-Mittal Energy Ltd., 5.45%, 10/22/26 |
200 | 207,812 | ||||||||||
Impulsora Pipeline LLC, 6.05%,
|
1,723 | 1,814,072 | ||||||||||
Indigo Natural Resources LLC, 6.88%, 02/15/26(b) |
480 | 490,800 | ||||||||||
Kinder Morgan, Inc. |
||||||||||||
4.30%, 06/01/25 |
1,750 | 1,996,754 | ||||||||||
5.05%, 02/15/46 |
1,750 | 2,136,368 | ||||||||||
Leviathan Bond Ltd., 5.75%, 06/30/23(b) |
218 | 232,057 | ||||||||||
Marathon Petroleum Corp., 6.50%, 03/01/41 |
2,049 | 2,750,988 | ||||||||||
Matador Resources Co., 5.88%, 09/15/26 |
395 | 387,100 | ||||||||||
Medco Bell Pte Ltd., 6.38%, 01/30/27 |
250 | 254,844 | ||||||||||
MEG Energy Corp.(b) |
||||||||||||
7.00%, 03/31/24 |
194 | 195,940 | ||||||||||
6.50%, 01/15/25 |
387 | 398,629 | ||||||||||
7.13%, 02/01/27 |
4 | 4,130 | ||||||||||
MPLX LP, 4.25%, 12/01/27 |
250 | 293,543 | ||||||||||
Murphy Oil Corp. |
||||||||||||
5.75%, 08/15/25 |
82 | 81,180 | ||||||||||
6.38%, 12/01/42 |
18 | 15,863 | ||||||||||
Murphy Oil USA, Inc., 4.75%, 09/15/29 |
95 | 101,056 | ||||||||||
New Enterprise Stone & Lime Co., Inc., 6.25%, 03/15/26(b) |
53 | 54,325 | ||||||||||
New Fortress Energy, Inc., 6.75%, 09/15/25(b) |
780 | 828,500 | ||||||||||
NGPL PipeCo LLC, 7.77%, 12/15/37(b) |
138 | 186,573 | ||||||||||
NuStar Logistics LP |
||||||||||||
6.00%, 06/01/26 |
99 | 107,069 | ||||||||||
6.38%, 10/01/30 |
17 | 19,258 | ||||||||||
Occidental Petroleum Corp. |
||||||||||||
2.70%, 08/15/22 |
329 | 329,411 | ||||||||||
2.70%, 02/15/23 |
160 | 159,848 |
Security |
Par
(000) |
Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
Occidental Petroleum Corp. (continued) |
||||||||||||
6.95%, 07/01/24 |
USD | 43 | $ | 46,440 | ||||||||
2.90%, 08/15/24 |
233 | 224,262 | ||||||||||
5.50%, 12/01/25 |
90 | 93,835 | ||||||||||
3.40%, 04/15/26 |
46 | 43,857 | ||||||||||
3.20%, 08/15/26 |
13 | 12,155 | ||||||||||
3.00%, 02/15/27 |
3 | 2,670 | ||||||||||
8.88%, 07/15/30 |
22 | 25,823 | ||||||||||
6.13%, 01/01/31 |
319 | 341,394 | ||||||||||
4.30%, 08/15/39 |
323 | 273,103 | ||||||||||
6.20%, 03/15/40 |
505 | 499,950 | ||||||||||
4.50%, 07/15/44 |
127 | 107,633 | ||||||||||
4.63%, 06/15/45 |
337 | 293,739 | ||||||||||
6.60%, 03/15/46 |
18 | 18,264 | ||||||||||
4.40%, 04/15/46 |
294 | 256,211 | ||||||||||
4.10%, 02/15/47 |
33 | 26,976 | ||||||||||
4.20%, 03/15/48 |
199 | 162,185 | ||||||||||
4.40%, 08/15/49 |
71 | 59,839 | ||||||||||
Ovintiv Exploration, Inc., 5.75%, 01/30/22 |
59 | 61,280 | ||||||||||
Parsley Energy LLC/Parsley Finance
|
||||||||||||
5.38%, 01/15/25 |
53 | 54,505 | ||||||||||
5.25%, 08/15/25 |
40 | 41,660 | ||||||||||
5.63%, 10/15/27 |
195 | 213,427 | ||||||||||
4.13%, 02/15/28 |
192 | 201,600 | ||||||||||
PBF Holding Co. LLC/PBF Finance Corp., 9.25%, 05/15/25(b) |
404 | 398,304 | ||||||||||
PDC Energy, Inc. |
||||||||||||
1.13%, 09/15/21(i) |
150 | 145,737 | ||||||||||
6.13%, 09/15/24 |
117 | 120,230 | ||||||||||
6.25%, 12/01/25 |
34 | 33,575 | ||||||||||
5.75%, 05/15/26 |
164 | 169,330 | ||||||||||
Pertamina Persero PT, 3.65%, 07/30/29 |
239 | 266,485 | ||||||||||
Petrobras Global Finance BV |
||||||||||||
5.30%, 01/27/25 |
178 | 201,029 | ||||||||||
8.75%, 05/23/26 |
222 | 287,698 | ||||||||||
6.00%, 01/27/28 |
18 | 21,060 | ||||||||||
5.60%, 01/03/31 |
309 | 353,805 | ||||||||||
Petroleos Mexicanos |
||||||||||||
6.35%, 02/12/48 |
101 | 90,742 | ||||||||||
6.95%, 01/28/60 |
310 | 290,981 | ||||||||||
Puma International Financing SA, 5.13%, 10/06/24(b) . |
200 | 198,500 | ||||||||||
QEP Resources, Inc. |
||||||||||||
5.38%, 10/01/22 |
200 | 208,250 | ||||||||||
5.25%, 05/01/23 |
94 | 98,935 | ||||||||||
5.63%, 03/01/26 |
80 | 87,724 | ||||||||||
Range Resources Corp. |
||||||||||||
5.88%, 07/01/22 |
30 | 30,000 | ||||||||||
5.00%, 08/15/22 |
170 | 168,300 | ||||||||||
5.00%, 03/15/23(l) |
122 | 118,950 | ||||||||||
4.88%, 05/15/25 |
10 | 9,446 | ||||||||||
Rattler Midstream LP, 5.63%, 07/15/25(b) |
159 | 167,944 | ||||||||||
Sabine Pass Liquefaction LLC |
||||||||||||
5.88%, 06/30/26 |
1,750 | 2,115,929 | ||||||||||
4.50%, 05/15/30(b) |
185 | 219,276 | ||||||||||
Saudi Arabian Oil Co., 2.25%, 11/24/30(b) |
220 | 223,025 | ||||||||||
SM Energy Co. |
||||||||||||
6.13%, 11/15/22 |
12 | 11,580 | ||||||||||
10.00%, 01/15/25(b) |
560 | 602,000 | ||||||||||
Southwestern Energy Co. |
||||||||||||
4.10%, 03/15/22 |
153 | 153,765 | ||||||||||
7.50%, 04/01/26 |
37 | 38,813 |
30 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) |
|
|||||||||||
Southwestern Energy Co. (continued) |
||||||||||||
8.38%, 09/15/28 |
USD | 65 | $ | 70,525 | ||||||||
Stoneway Capital Corp.,
10.00%,
|
469 | 184,957 | ||||||||||
Suncor Energy, Inc., 6.50%, 06/15/38 |
1,000 | 1,397,812 | ||||||||||
Sunoco Logistics Partners Operations LP |
||||||||||||
3.90%, 07/15/26 |
310 | 339,688 | ||||||||||
5.30%, 04/01/44 |
212 | 229,093 | ||||||||||
5.35%, 05/15/45 |
65 | 71,605 | ||||||||||
5.40%, 10/01/47 |
92 | 102,795 | ||||||||||
Sunoco LP/Sunoco Finance Corp. |
||||||||||||
4.88%, 01/15/23 |
127 | 128,600 | ||||||||||
5.50%, 02/15/26 |
21 | 21,525 | ||||||||||
6.00%, 04/15/27 |
38 | 40,395 | ||||||||||
5.88%, 03/15/28 |
4 | 4,320 | ||||||||||
4.50%, 05/15/29(b) |
117 | 121,680 | ||||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.50%,
|
158 | 160,765 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. |
||||||||||||
5.13%, 02/01/25 |
95 | 97,375 | ||||||||||
5.88%, 04/15/26 |
111 | 117,684 | ||||||||||
5.38%, 02/01/27 |
2 | 2,101 | ||||||||||
6.50%, 07/15/27 |
105 | 113,925 | ||||||||||
5.00%, 01/15/28 |
133 | 140,389 | ||||||||||
6.88%, 01/15/29 |
383 | 431,354 | ||||||||||
5.50%, 03/01/30 |
230 | 249,711 | ||||||||||
4.88%, 02/01/31(b) |
200 | 217,918 | ||||||||||
TransCanada PipeLines Ltd., 4.63%, 03/01/34 |
500 | 611,012 | ||||||||||
Transocean, Inc., 11.50%, 01/30/27(b) |
81 | 57,915 | ||||||||||
Viper Energy Partners LP, 5.38%,
|
136 | 142,120 | ||||||||||
Western Midstream Operating LP |
||||||||||||
5.38%, 06/01/21 |
1,425 | 1,432,125 | ||||||||||
3.95%, 06/01/25 |
118 | 120,360 | ||||||||||
4.75%, 08/15/28 |
25 | 26,000 | ||||||||||
5.45%, 04/01/44 |
222 | 224,502 | ||||||||||
5.30%, 03/01/48 |
253 | 250,713 | ||||||||||
5.50%, 08/15/48 |
44 | 43,190 | ||||||||||
6.25%, 02/01/50 |
514 | 565,400 | ||||||||||
Williams Cos., Inc. |
||||||||||||
3.90%, 01/15/25 |
1,150 | 1,275,045 | ||||||||||
4.00%, 09/15/25 |
750 | 851,547 | ||||||||||
WPX Energy, Inc. |
||||||||||||
8.25%, 08/01/23 |
43 | 48,939 | ||||||||||
5.25%, 09/15/24 |
87 | 94,766 | ||||||||||
5.75%, 06/01/26 |
16 | 16,820 | ||||||||||
5.25%, 10/15/27 |
81 | 85,829 | ||||||||||
5.88%, 06/15/28 |
139 | 151,514 | ||||||||||
4.50%, 01/15/30 |
286 | 303,160 | ||||||||||
YPF SA, 8.50%, 07/28/25 |
249 | 191,652 | ||||||||||
|
|
|||||||||||
59,549,335 | ||||||||||||
Personal Products 0.0% | ||||||||||||
Edgewell Personal Care Co., 5.50%, 06/01/28(b) |
100 | 107,470 | ||||||||||
|
|
|||||||||||
Pharmaceuticals 2.2% | ||||||||||||
AbbVie, Inc. |
||||||||||||
5.00%, 12/15/21 |
758 | 782,528 | ||||||||||
3.80%, 03/15/25 |
3,250 | 3,624,330 | ||||||||||
3.60%, 05/14/25 |
870 | 969,256 | ||||||||||
3.20%, 05/14/26 |
500 | 553,945 | ||||||||||
4.55%, 03/15/35 |
2,140 | 2,705,617 | ||||||||||
4.45%, 05/14/46 |
2,095 | 2,665,238 |
Security |
Par
(000) |
Value | ||||||||||
Pharmaceuticals (continued) |
|
|||||||||||
Bausch Health Americas, Inc., 8.50%, 01/31/27(b) |
USD | 628 | $ | 698,443 | ||||||||
Bausch Health Cos., Inc.(b) |
||||||||||||
9.00%, 12/15/25 |
106 | 117,019 | ||||||||||
5.75%, 08/15/27 |
231 | 247,747 | ||||||||||
7.00%, 01/15/28 |
146 | 160,483 | ||||||||||
5.00%, 01/30/28 |
132 | 136,031 | ||||||||||
5.00%, 02/15/29 |
348 | 357,814 | ||||||||||
6.25%, 02/15/29 |
357 | 387,791 | ||||||||||
7.25%, 05/30/29 |
274 | 308,006 | ||||||||||
5.25%, 01/30/30 |
62 | 65,100 | ||||||||||
5.25%, 02/15/31 |
194 | 202,676 | ||||||||||
CVS Health Corp. |
||||||||||||
5.13%, 07/20/45 |
700 | 942,453 | ||||||||||
5.05%, 03/25/48 |
1,221 | 1,654,795 | ||||||||||
Elanco Animal Health, Inc., 5.90%, 08/28/28 |
6 | 7,080 | ||||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc.(b) |
||||||||||||
9.50%, 07/31/27 |
278 | 310,317 | ||||||||||
6.00%, 06/30/28 |
91 | 77,350 | ||||||||||
Jaguar Holding Co. II/PPD Development LP(b) |
||||||||||||
4.63%, 06/15/25 |
324 | 341,694 | ||||||||||
5.00%, 06/15/28 |
379 | 404,582 | ||||||||||
Nidda Healthcare Holding GmbH, 3.50%, 09/30/24 |
EUR | 100 | 121,970 | |||||||||
Par Pharmaceutical, Inc., 7.50%, 04/01/27(b) |
USD | 625 | 678,125 | |||||||||
Utah Acquisition Sub, Inc., 3.95%, 06/15/26 |
750 | 858,098 | ||||||||||
|
|
|||||||||||
19,378,488 | ||||||||||||
Producer Durables: Miscellaneous 0.5% | ||||||||||||
Oracle Corp., 5.38%, 07/15/40 |
3,025 | 4,341,648 | ||||||||||
|
|
|||||||||||
Real Estate Management & Development 2.5% | ||||||||||||
ADLER Real Estate AG, 3.00%, 04/27/26 |
EUR | 100 | 128,444 | |||||||||
Agile Group Holdings Ltd. |
||||||||||||
6.05%, 10/13/25 |
USD | 250 | 256,406 | |||||||||
(5 year CMT + 11.29%), 7.88%(a)(g) |
200 | 209,312 | ||||||||||
Central China Real Estate Ltd. |
||||||||||||
6.88%, 08/08/22 |
200 | 204,500 | ||||||||||
7.25%, 04/24/23 |
200 | 204,500 | ||||||||||
CFLD Cayman Investment Ltd. |
||||||||||||
8.63%, 02/28/21 |
400 | 392,750 | ||||||||||
6.90%, 01/13/23 |
200 | 173,813 | ||||||||||
8.60%, 04/08/24 |
200 | 172,500 | ||||||||||
China Aoyuan Group Ltd. |
||||||||||||
7.50%, 05/10/21 |
200 | 201,992 | ||||||||||
7.95%, 02/19/23 |
450 | 476,437 | ||||||||||
China Evergrande Group |
||||||||||||
8.25%, 03/23/22 |
200 | 188,000 | ||||||||||
9.50%, 04/11/22 |
200 | 190,125 | ||||||||||
11.50%, 01/22/23 |
450 | 427,641 | ||||||||||
12.00%, 01/22/24 |
250 | 237,266 | ||||||||||
China SCE Group Holdings Ltd. |
||||||||||||
7.25%, 04/19/23 |
200 | 209,625 | ||||||||||
7.38%, 04/09/24 |
200 | 212,312 | ||||||||||
CIFI Holdings Group Co. Ltd. |
||||||||||||
6.55%, 03/28/24 |
200 | 214,062 | ||||||||||
6.45%, 11/07/24 |
200 | 215,437 | ||||||||||
Consus Real Estate AG, 9.63%, 05/15/24 |
EUR | 100 | 130,990 | |||||||||
Country Garden Holdings Co. Ltd. |
||||||||||||
6.50%, 04/08/24 |
USD | 200 | 215,500 | |||||||||
6.15%, 09/17/25 |
200 | 221,750 | ||||||||||
5.13%, 01/14/27 |
200 | 215,000 | ||||||||||
Easy Tactic Ltd. |
||||||||||||
8.75%, 01/10/21 |
200 | 199,720 |
S C H E D U L E O F I N V E S T M E N T S |
31 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Real Estate Management & Development (continued) | ||||||||||||
Easy Tactic Ltd. (continued) |
||||||||||||
9.13%, 07/28/22 |
USD | 200 | $ | 192,000 | ||||||||
8.13%, 02/27/23 |
200 | 182,000 | ||||||||||
Fantasia Holdings Group Co. Ltd. |
||||||||||||
8.38%, 03/08/21 |
200 | 200,813 | ||||||||||
11.75%, 04/17/22 |
200 | 210,750 | ||||||||||
12.25%, 10/18/22 |
200 | 214,062 | ||||||||||
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(b) |
150 | 158,783 | ||||||||||
Global Prime Capital Pte Ltd., 5.50%, 10/18/23 |
200 | 201,500 | ||||||||||
Greenland Global Investment Ltd. |
||||||||||||
6.75%, 06/25/22 |
200 | 194,938 | ||||||||||
5.60%, 11/13/22 |
200 | 188,938 | ||||||||||
Hopson Development Holdings Ltd., 7.50%, 06/27/22 . |
200 | 203,938 | ||||||||||
Howard Hughes Corp.(b) |
||||||||||||
5.38%, 03/15/25 |
23 | 23,719 | ||||||||||
5.38%, 08/01/28 |
107 | 115,079 | ||||||||||
Kaisa Group Holdings Ltd. |
||||||||||||
11.25%, 04/09/22 |
200 | 208,438 | ||||||||||
11.95%, 10/22/22 |
200 | 211,562 | ||||||||||
11.50%, 01/30/23 |
400 | 418,500 | ||||||||||
10.88%, 07/23/23 |
200 | 208,563 | ||||||||||
KWG Group Holdings Ltd. |
||||||||||||
7.88%, 08/09/21 |
200 | 204,750 | ||||||||||
7.88%, 09/01/23 |
200 | 209,500 | ||||||||||
7.40%, 03/05/24 |
200 | 213,562 | ||||||||||
Logan Group Co. Ltd. |
||||||||||||
6.50%, 07/16/23 |
400 | 415,500 | ||||||||||
6.90%, 06/09/24 |
200 | 213,750 | ||||||||||
5.75%, 01/14/25 |
200 | 211,125 | ||||||||||
MAF Sukuk Ltd., 4.64%, 05/14/29 |
200 | 224,750 | ||||||||||
New Metro Global Ltd. |
||||||||||||
6.50%, 04/23/21 |
200 | 201,312 | ||||||||||
6.80%, 08/05/23 |
200 | 211,375 | ||||||||||
Powerlong Real Estate Holdings Ltd., 7.13%, 11/08/22 |
200 | 208,750 | ||||||||||
Redsun Properties Group Ltd., 9.95%, 04/11/22 |
200 | 209,500 | ||||||||||
RKPF Overseas Ltd., Series 2019-A, 6.70%, 09/30/24 |
513 | 542,337 | ||||||||||
Ronshine China Holdings Ltd. |
||||||||||||
11.25%, 08/22/21 |
200 | 207,750 | ||||||||||
10.50%, 03/01/22 |
200 | 210,687 | ||||||||||
8.95%, 01/22/23 |
200 | 208,687 | ||||||||||
Scenery Journey Ltd. |
||||||||||||
11.50%, 10/24/22 |
219 | 202,917 | ||||||||||
13.00%, 11/06/22 |
200 | 193,438 | ||||||||||
Seazen Group Ltd., 6.45%, 06/11/22 |
200 | 205,750 | ||||||||||
Shimao Group Holdings Ltd., 5.60%, 07/15/26 |
200 | 218,500 | ||||||||||
Shui On Development Holding Ltd., 5.75%, 11/12/23 |
200 | 203,250 | ||||||||||
Sunac China Holdings Ltd. |
||||||||||||
7.88%, 02/15/22 |
200 | 204,750 | ||||||||||
7.25%, 06/14/22 |
200 | 206,188 | ||||||||||
7.95%, 10/11/23 |
200 | 212,375 | ||||||||||
7.50%, 02/01/24 |
200 | 211,375 | ||||||||||
Theta Capital Pte Ltd., 8.13%, 01/22/25 |
200 | 201,813 | ||||||||||
Times China Holdings Ltd., 6.75%, 07/16/23 |
513 | 536,566 | ||||||||||
Unique Pub Finance Co. PLC |
||||||||||||
Series A4, 5.66%, 06/30/27 |
GBP | 759 | 1,070,792 | |||||||||
Series M, 7.40%, 03/28/24 |
3,000 | 4,124,663 |
Security |
Par
(000) |
Value | ||||||||||
Real Estate Management & Development (continued) | ||||||||||||
Unique Pub Finance Co. PLC (continued) |
||||||||||||
Series N, 6.46%, 03/30/32 |
GBP | 100 | $ | 133,073 | ||||||||
Wanda Group Overseas Ltd., 7.50%, 07/24/22 |
USD | 200 | 194,500 | |||||||||
Yango Justice International Ltd., 10.00%, 02/12/23 |
200 | 215,937 | ||||||||||
Yanlord Land HK Co. Ltd. |
||||||||||||
6.75%, 04/23/23 |
200 | 208,000 | ||||||||||
6.80%, 02/27/24 |
200 | 210,687 | ||||||||||
Yuzhou Group Holdings Co. Ltd. |
||||||||||||
8.63%, 01/23/22 |
200 | 208,500 | ||||||||||
8.50%, 02/04/23 |
200 | 215,500 | ||||||||||
8.50%, 02/26/24 |
200 | 216,250 | ||||||||||
8.38%, 10/30/24 |
200 | 217,062 | ||||||||||
Zhenro Properties Group Ltd. |
||||||||||||
9.15%, 03/08/22 |
200 | 206,750 | ||||||||||
8.70%, 08/03/22 |
200 | 208,750 | ||||||||||
|
|
|||||||||||
22,152,386 | ||||||||||||
Road & Rail 0.9% | ||||||||||||
Autostrade per lItalia SpA, 5.88%, 06/09/24 |
EUR | 100 | 139,268 | |||||||||
Burlington Northern Santa Fe LLC, 5.75%, 05/01/40 |
USD | 1,890 | 2,802,357 | |||||||||
CSX Corp., 4.75%, 05/30/42 |
350 | 460,811 | ||||||||||
Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34(b) |
2,630 | 3,182,428 | ||||||||||
Norfolk Southern Corp., 4.15%, 02/28/48 |
1,300 | 1,651,585 | ||||||||||
|
|
|||||||||||
8,236,449 | ||||||||||||
Semiconductors & Semiconductor Equipment 0.7% | ||||||||||||
ams AG, 6.00%, 07/31/25 |
EUR | 100 | 129,318 | |||||||||
Analog Devices, Inc., 3.90%, 12/15/25 |
USD | 470 | 536,025 | |||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27 |
2,850 | 3,198,576 | ||||||||||
Broadcom, Inc., 3.46%, 09/15/26 |
735 | 815,525 | ||||||||||
Microchip Technology, Inc. |
||||||||||||
1.63%, 02/15/25(i) |
53 | 160,598 | ||||||||||
4.25%, 09/01/25(b) |
522 | 552,246 | ||||||||||
ON Semiconductor Corp., 3.88%, 09/01/28(b) |
220 | 227,700 | ||||||||||
QUALCOMM, Inc., 4.65%, 05/20/35 |
250 | 334,426 | ||||||||||
Sensata Technologies BV, 5.00%, 10/01/25(b) |
279 | 310,387 | ||||||||||
Sensata Technologies, Inc.(b) |
||||||||||||
4.38%, 02/15/30 |
54 | 58,118 | ||||||||||
3.75%, 02/15/31 |
147 | 152,377 | ||||||||||
|
|
|||||||||||
6,475,296 | ||||||||||||
Software 1.2% | ||||||||||||
ACI Worldwide, Inc., 5.75%, 08/15/26(b) |
433 | 457,897 | ||||||||||
ANGI Group LLC, 3.88%, 08/15/28(b) |
174 | 177,045 | ||||||||||
Black Knight InfoServ LLC, 3.63%, 09/01/28(b) |
255 | 261,056 | ||||||||||
Boxer Parent Co., Inc. |
||||||||||||
6.50%, 10/02/25 |
EUR | 100 | 128,977 | |||||||||
7.13%, 10/02/25(b) |
USD | 263 | 285,473 | |||||||||
9.13%, 03/01/26(b) |
467 | 502,025 | ||||||||||
BY Crown Parent LLC, 7.38%, 10/15/24(b) |
461 | 469,067 | ||||||||||
BY Crown Parent LLC/BY Bond Finance, Inc., 4.25%, 01/31/26(b) |
411 | 421,275 | ||||||||||
CDK Global, Inc., 4.88%, 06/01/27 |
5 | 5,275 | ||||||||||
Microsoft Corp., 3.50%, 11/15/42 |
4,000 | 4,924,615 | ||||||||||
MSCI, Inc.(b) |
||||||||||||
4.00%, 11/15/29 |
51 | 54,315 | ||||||||||
3.63%, 09/01/30 |
61 | 63,745 | ||||||||||
Nuance Communications, Inc., 5.63%, 12/15/26 |
35 | 37,034 | ||||||||||
Open Text Corp., 3.88%, 02/15/28(b) |
24 | 24,960 | ||||||||||
Open Text Holdings, Inc., 4.13%, 02/15/30(b) |
98 | 104,252 |
32 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Software (continued) | ||||||||||||
PTC, Inc., 4.00%, 02/15/28(b) |
USD | 126 | $ | 132,064 | ||||||||
Solera LLC/Solera Finance, Inc., 10.50%, 03/01/24(b) . |
1,120 | 1,160,600 | ||||||||||
SS&C Technologies, Inc.,
5.50%,
|
777 | 829,852 | ||||||||||
Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(b) |
635 | 651,669 | ||||||||||
|
|
|||||||||||
10,691,196 | ||||||||||||
Specialty Retail 0.2% | ||||||||||||
Gap, Inc., 8.88%, 05/15/27(b) |
107 | 124,120 | ||||||||||
L Brands, Inc. |
||||||||||||
6.88%, 07/01/25(b) |
186 | 201,955 | ||||||||||
6.88%, 11/01/35 |
215 | 241,338 | ||||||||||
6.75%, 07/01/36 |
49 | 54,592 | ||||||||||
PetSmart, Inc.(b) |
||||||||||||
7.13%, 03/15/23 |
164 | 164,000 | ||||||||||
5.88%, 06/01/25 |
196 | 201,390 | ||||||||||
Staples, Inc., 7.50%, 04/15/26(b) |
404 | 421,885 | ||||||||||
Tendam Brands SAU, (3 mo. EURIBOR + 5.25%), 5.25%, 09/15/24(a) |
EUR | 100 | 112,697 | |||||||||
|
|
|||||||||||
1,521,977 | ||||||||||||
Technology Hardware, Storage & Peripherals 0.6% | ||||||||||||
Apple, Inc., 4.65%, 02/23/46 |
USD | 2,400 | 3,411,495 | |||||||||
Hewlett Packard Enterprise Co., 4.90%, 10/15/25 |
1,500 | 1,754,944 | ||||||||||
|
|
|||||||||||
5,166,439 | ||||||||||||
Textiles, Apparel & Luxury Goods 0.0% | ||||||||||||
Hanesbrands, Inc., 5.38%, 05/15/25(b) |
29 | 30,683 | ||||||||||
Levi Strauss & Co., 5.00%, 05/01/25 |
32 | 32,800 | ||||||||||
|
|
|||||||||||
63,483 | ||||||||||||
Thrifts & Mortgage Finance(b) 0.1% | ||||||||||||
Nationstar Mortgage Holdings, Inc. |
||||||||||||
6.00%, 01/15/27 |
205 | 217,556 | ||||||||||
5.50%, 08/15/28 |
169 | 177,450 | ||||||||||
5.13%, 12/15/30 |
92 | 96,160 | ||||||||||
|
|
|||||||||||
491,166 | ||||||||||||
Tobacco 1.2% | ||||||||||||
Altria Group, Inc. |
||||||||||||
9.95%, 11/10/38 |
516 | 850,718 | ||||||||||
10.20%, 02/06/39 |
894 | 1,533,726 | ||||||||||
5.38%, 01/31/44 |
2,000 | 2,556,190 | ||||||||||
3.88%, 09/16/46 |
1,250 | 1,320,359 | ||||||||||
Reynolds American, Inc. |
||||||||||||
4.45%, 06/12/25 |
635 | 723,262 | ||||||||||
7.00%, 08/04/41 |
1,000 | 1,343,097 | ||||||||||
5.85%, 08/15/45 |
1,500 | 1,918,126 | ||||||||||
|
|
|||||||||||
10,245,478 | ||||||||||||
Transportation 0.0% | ||||||||||||
Autostrade per lItalia SpA, 2.00%, 12/04/28 |
EUR | 100 | 122,470 | |||||||||
|
|
|||||||||||
Transportation Infrastructure 0.4% | ||||||||||||
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(b) |
USD | 200 | 207,938 | |||||||||
FedEx Corp., 4.75%, 11/15/45 |
1,250 | 1,626,778 | ||||||||||
I 595 Express LLC, 3.31%, 12/31/31(c) |
759 | 834,892 | ||||||||||
Simpar Europe SA, 7.75%, 07/26/24 |
200 | 210,875 | ||||||||||
Transurban Finance Co. Pty Ltd., 4.13%, 02/02/26(b) |
580 | 659,968 | ||||||||||
|
|
|||||||||||
3,540,451 |
Security |
Par
(000) |
Value | ||||||||||
Utilities 1.2% | ||||||||||||
AES Panama Generation Holdings SRL, 4.38%, 05/31/30(b) |
USD | 200 | $ | 215,937 | ||||||||
Centrais Eletricas Brasileiras SA,
|
237 | 253,294 | ||||||||||
ContourGlobal Power Holdings SA,
|
EUR | 100 | 124,928 | |||||||||
Electricite de France SA(b) |
||||||||||||
5.60%, 01/27/40 |
USD | 2,800 | 3,752,825 | |||||||||
(10 year USD Swap + 3.71%), 5.25%(a)(g) |
4,200 | 4,449,984 | ||||||||||
Genneia SA, 8.75%, 01/20/22(b) |
347 | 314,198 | ||||||||||
Inkia Energy Ltd., 5.88%, 11/09/27(b) |
200 | 215,125 | ||||||||||
Mong Doung Finacial Holdings BV, 5.13%, 05/07/29 |
250 | 261,797 | ||||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28(b) |
348 | 367,140 | ||||||||||
Star Energy Geothermal Darajat II/Star Energy Geothermal Salak, 4.85%,
|
215 | 239,860 | ||||||||||
Vistra Operations Co. LLC, 5.63%, 02/15/27(b) |
87 | 92,537 | ||||||||||
|
|
|||||||||||
10,287,625 | ||||||||||||
Wireless Telecommunication Services 1.2% | ||||||||||||
Altice France SA(b) |
||||||||||||
7.38%, 05/01/26 |
581 | 611,502 | ||||||||||
8.13%, 02/01/27 |
678 | 747,502 | ||||||||||
5.50%, 01/15/28 |
391 | 408,794 | ||||||||||
GLP Capital LP/GLP Financing II, Inc., 5.30%, |
||||||||||||
01/15/29 |
30 | 34,709 | ||||||||||
Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc., 9.88%, 05/01/24(b) |
125 | 133,843 | ||||||||||
Kenbourne Invest SA, 6.88%, 11/26/24(b) |
210 | 227,653 | ||||||||||
Matterhorn Telecom SA, 4.00%, 11/15/27 |
EUR | 100 | 125,036 | |||||||||
Millicom International Cellular SA, 4.50%, 04/27/31(b) . |
USD | 200 | 215,563 | |||||||||
Rogers Communications, Inc., 7.50%, 08/15/38 |
2,325 | 3,669,953 | ||||||||||
SBA Communications Corp. |
||||||||||||
4.88%, 09/01/24 |
86 | 88,213 | ||||||||||
3.88%, 02/15/27 |
723 | 759,150 | ||||||||||
Sprint Corp. |
||||||||||||
7.88%, 09/15/23 |
59 | 68,310 | ||||||||||
7.13%, 06/15/24 |
184 | 215,280 | ||||||||||
7.63%, 03/01/26 |
349 | 433,177 | ||||||||||
T-Mobile USA, Inc., 4.50%, 02/01/26 |
27 | 27,603 | ||||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 8.25%, 10/15/23 |
476 | 479,570 | ||||||||||
VICI Properties LP/VICI Note Co., Inc.(b) |
||||||||||||
3.50%, 02/15/25 |
92 | 94,095 | ||||||||||
4.25%, 12/01/26 |
541 | 561,098 | ||||||||||
3.75%, 02/15/27 |
277 | 283,232 | ||||||||||
4.63%, 12/01/29 |
320 | 342,400 | ||||||||||
4.13%, 08/15/30 |
430 | 453,921 | ||||||||||
VTR Comunicaciones SpA, 5.13%,
|
200 | 212,875 | ||||||||||
|
|
|||||||||||
10,193,479 | ||||||||||||
|
|
|||||||||||
Total Corporate Bonds 63.5%
(Cost: $495,658,055) |
563,421,671 | |||||||||||
|
|
|||||||||||
Floating Rate Loan Interests(a) | ||||||||||||
Aerospace & Defense 0.0% | ||||||||||||
Spirit Aerosystems, Inc., 2020 Term Loan B, (1 mo. LIBOR + 5.25%, 0.75% Floor), 6.00%, 01/15/25 |
126 | 126,945 | ||||||||||
|
|
S C H E D U L E O F I N V E S T M E N T S |
33 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||||||
Airlines 0.1% | ||||||||||||
JetBlue Airways Corp., Term Loan, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/17/24 |
USD | 36 | $ | 37,028 | ||||||||
Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/20/27 |
117 | 121,608 | ||||||||||
SkyMiles IP Ltd., 2020 Skymiles Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/20/27 |
201 | 208,103 | ||||||||||
|
|
|||||||||||
366,739 | ||||||||||||
Auto Components 0.0% | ||||||||||||
Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 04/30/26 |
169 | 168,397 | ||||||||||
|
|
|||||||||||
Building Materials 0.0% | ||||||||||||
CP Atlas Buyer, Inc. |
||||||||||||
2020 Delayed Draw Term Loan B2, (3 mo. LIBOR + 4.50%, 0.75% Floor), 5.25%, 11/23/27 |
16 | 15,770 | ||||||||||
2020 Term Loan B1, (3 mo. LIBOR + 4.50%, 0.75% Floor), 5.25%, 11/23/27 |
47 | 47,309 | ||||||||||
|
|
|||||||||||
63,079 | ||||||||||||
Building Products 0.0% | ||||||||||||
CPG International, Inc., 2017 Term Loan,
|
61 | 60,780 | ||||||||||
|
|
|||||||||||
Capital Markets 0.0% | ||||||||||||
Jefferies Finance LLC, 2019 Term Loan,
|
145 | 143,900 | ||||||||||
|
|
|||||||||||
Chemicals 0.2% | ||||||||||||
Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 01/31/24 |
636 | 632,890 | ||||||||||
Ascend Performance Materials Operations LLC, 2019 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 08/27/26 |
254 | 254,422 | ||||||||||
Illuminate Buyer LLC, Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 06/30/27 |
183 | 182,466 | ||||||||||
Invictus US LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 6.90%, 03/30/26 |
33 | 31,865 | ||||||||||
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 05/15/24 |
123 | 121,362 | ||||||||||
|
|
|||||||||||
1,223,005 | ||||||||||||
Commercial Services & Supplies 0.2% | ||||||||||||
Asurion LLC |
||||||||||||
2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 6.65%, 08/04/25 |
245 | 246,714 | ||||||||||
2020 Term Loan B8, (3 mo. LIBOR + 3.25%), 3.49%, 12/23/26 |
49 | 48,218 | ||||||||||
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 12/12/25 |
49 | 48,065 | ||||||||||
Diamond (BC) BV, USD Term Loan, (3 mo. LIBOR + 3.00%), 3.21%, 09/06/24 |
427 | 420,583 | ||||||||||
GFL Environmental, Inc., 2020 Term Loan,
|
60 | 60,228 |
Security |
Par
(000) |
Value | ||||||||||
Commercial Services & Supplies (continued) | ||||||||||||
KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.44%,
|
USD | 34 | $ | 33,516 | ||||||||
Verscend Holding Corp., 2018 Term Loan B,
|
700 | 698,919 | ||||||||||
|
|
|||||||||||
1,556,243 | ||||||||||||
Construction & Engineering 0.1% | ||||||||||||
Brand Energy & Infrastructure Services, Inc., |
||||||||||||
2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/21/24 |
1,129 | 1,098,923 | ||||||||||
SRS Distribution, Inc., 2019 Incremental Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 05/23/25 |
95 | 93,922 | ||||||||||
|
|
|||||||||||
1,192,845 | ||||||||||||
Construction Materials 0.0% | ||||||||||||
Forterra Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/25/23 |
60 | 60,247 | ||||||||||
|
|
|||||||||||
Containers & Packaging 0.0% | ||||||||||||
BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 3.48%, 04/03/24 |
240 | 231,358 | ||||||||||
|
|
|||||||||||
Diversified Consumer Services 0.1% | ||||||||||||
Amentum Government Services Holdings LLC, Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 02/01/27 |
42 | 41,633 | ||||||||||
Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 07/12/24 |
59 | 58,578 | ||||||||||
BidFair MergerRight, Inc., Term Loan B, (1 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 01/15/27 |
208 | 208,423 | ||||||||||
TruGreen Limited Partnership, 2020 2nd Lien Term Loan, (1 mo. LIBOR + 8.50%, 0.75% Floor), 9.25%, 11/02/28(c) |
106 | 106,000 | ||||||||||
|
|
|||||||||||
414,634 | ||||||||||||
Diversified Financial Services 0.1% | ||||||||||||
Applecaramel Buyer LLC, Term Loan B, (6 mo. LIBOR + 4.00%), 4.50%, 10/19/27 |
357 | 356,554 | ||||||||||
Delta TopCo, Inc., 2020 Term Loan B, (6 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 09/30/27 |
276 | 276,064 | ||||||||||
LBM Acquisition LLC(m) |
||||||||||||
Delayed Draw Term Loan, 12/09/27 |
6 | 5,770 | ||||||||||
Term Loan B, 12/17/27 |
26 | 25,964 | ||||||||||
Milano Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 10/01/27 |
307 | 306,487 | ||||||||||
|
|
|||||||||||
970,839 | ||||||||||||
Diversified Telecommunication Services 0.2% | ||||||||||||
Frontier Communications Corp., 2020 DIP Exit Term Loan, (1 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 10/08/21 |
198 | 198,620 | ||||||||||
Intelsat Jackson Holdings SA |
||||||||||||
2017 Term Loan B3, (PRIME + 4.75%), 8.00%, 11/27/23 |
123 | 124,942 | ||||||||||
2017 Term Loan B4, (PRIME + 5.50%), 8.75%, 01/02/24 |
198 | 200,889 | ||||||||||
2017 Term Loan B5, (Fixed), 8.63%, 01/02/24 |
1,071 | 1,086,939 | ||||||||||
Northwest Fiber LLC, Term Loan B, (1 mo. LIBOR + 5.50%), 5.65%, 04/30/27 |
144 | 144,500 | ||||||||||
|
|
|||||||||||
1,755,890 |
34 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||||
Entertainment 0.0% | ||||||||||
MSG National Properties LLC, Term Loan, (3 mo. LIBOR + 6.25%, 0.75% Floor), 7.00%, 11/12/25(c) |
USD | 258 | $ | 259,290 | ||||||
|
|
|||||||||
Health Care Equipment & Supplies 0.0% | ||||||||||
Ortho-Clinical Diagnostics SA, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 06/30/25 |
88 | 86,310 | ||||||||
|
|
|||||||||
Health Care Providers & Services 0.1% | ||||||||||
AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/30/25 |
201 | 201,154 | ||||||||
Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 01/08/27 |
120 | 120,596 | ||||||||
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 10/10/25 |
406 | 337,343 | ||||||||
Gentiva Health Services, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.44%, 07/02/25 |
99 | 97,993 | ||||||||
RegionalCare Hospital Partners Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 11/16/25 |
76 | 76,178 | ||||||||
Sotera Health Holdings LLC, 2019 Term Loan, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/11/26 |
271 | 271,909 | ||||||||
Surgery Center Holdings, Inc., 2020 Incremental Term Loan, (1 mo. LIBOR + 8.00%, 1.00% Floor), 9.00%, 09/03/24 |
12 | 12,193 | ||||||||
|
|
|||||||||
1,117,366 | ||||||||||
Health Care Services 0.0% | ||||||||||
Azalea Topco, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 3.71%, 07/25/26 |
106 | 104,481 | ||||||||
|
|
|||||||||
Hotels, Restaurants & Leisure 0.1% | ||||||||||
Caesars Resort Collection LLC, 2020 Term Loan B1, (1 mo. LIBOR + 4.50%), 4.65%, 07/20/25 |
117 | 116,911 | ||||||||
Golden Nugget LLC, 2017 Incremental Term Loan B, (2 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 10/04/23 |
261 | 251,274 | ||||||||
IRB Holding Corp., 2020 Fourth Amendment |
||||||||||
Incremental Term Loan, 11/12/27(m) |
248 | 248,077 | ||||||||
|
|
|||||||||
616,262 | ||||||||||
Independent Power and Renewable Electricity Producers 0.0% | ||||||||||
Calpine Corp., 2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.15%, 08/12/26 |
27 | 26,542 | ||||||||
|
|
|||||||||
Industrial Conglomerates 0.0% | ||||||||||
PSAV Holdings LLC, 2018 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 8.25%, 09/01/25 |
313 | 193,518 | ||||||||
Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 7.75%, 11/28/23(c) |
109 | 109,995 | ||||||||
|
|
|||||||||
303,513 | ||||||||||
Insurance 0.1% |
||||||||||
Ryan Specialty Group LLC, Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 09/01/27 |
125 | 124,220 | ||||||||
Sedgwick Claims Management Services, Inc. |
||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.25%),
|
393 | 386,043 |
Security |
Par (000) |
Value | ||||||||||
Insurance (continued) | ||||||||||||
Sedgwick Claims Management Services, |
||||||||||||
Inc. (continued) |
||||||||||||
2019 Term Loan B, (1 mo. LIBOR + 4.00%),
|
USD | 142 | $ | 141,220 | ||||||||
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26 |
106 | 107,130 | ||||||||||
|
|
|||||||||||
758,613 | ||||||||||||
Interactive Media & Services 0.0% | ||||||||||||
Camelot U.S. Acquisition 1 Co., 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/31/26 |
80 | 79,925 | ||||||||||
|
|
|||||||||||
Internet & Direct Marketing Retail 0.0% | ||||||||||||
CNT Holdings I Corp., 2020 Term Loan, (6 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 11/08/27 |
155 | 154,733 | ||||||||||
|
|
|||||||||||
IT Services 0.1% | ||||||||||||
Greeneden US Holdings II LLC, 2020 USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/01/27 |
179 | 178,915 | ||||||||||
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 02/12/27 |
111 | 106,172 | ||||||||||
Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/03/23 |
64 | 63,743 | ||||||||||
Veritas US, Inc., 2020 USD Term Loan B, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 09/01/25 |
571 | 569,129 | ||||||||||
|
|
|||||||||||
917,959 | ||||||||||||
Life Sciences Tools & Services 0.0% | ||||||||||||
Parexel International Corp., Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 09/27/24 |
161 | 158,057 | ||||||||||
|
|
|||||||||||
Machinery 0.1% | ||||||||||||
MHI Holdings LLC, Term Loan B, (1 mo. LIBOR + 5.00%), 5.15%, 09/21/26 |
271 | 268,975 | ||||||||||
Titan Acquisition Ltd., 2018 Term Loan B, (6 mo. LIBOR + 3.00%), 3.27%, 03/28/25 |
815 | 793,325 | ||||||||||
|
|
|||||||||||
1,062,300 | ||||||||||||
Media 0.2% | ||||||||||||
Altice Financing SA, 2017 USD Term Loan B, (1 mo. LIBOR + 2.75%), 2.91%, 07/15/25 |
23 | 22,722 | ||||||||||
Altice France SA, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 4.24%, 08/14/26 |
108 | 107,184 | ||||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 3.71%, 08/21/26 |
493 | 473,734 | ||||||||||
Connect Finco Sarl, Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/12/26 |
109 | 108,884 | ||||||||||
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/01/23 |
47 | 41,990 | ||||||||||
Radiate Holdco LLC, 2020 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 09/25/26 |
24 | 23,914 | ||||||||||
Terrier Media Buyer, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 12/17/26 |
101 | 101,404 | ||||||||||
Zayo Group Holdings, Inc., USD Term Loan,
|
386 | 383,703 | ||||||||||
|
|
|||||||||||
1,263,535 |
S C H E D U L E O F I N V E S T M E N T S |
35 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||||||
Software (continued) | ||||||||||||
Tempo Acquisition LLC, 2020 Extended Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 11/02/26 |
USD | 21 | $ | 20,500 | ||||||||
Tibco Software, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.40%, 03/04/28 |
189 | 190,574 | ||||||||||
Ultimate Software Group, Inc. |
||||||||||||
2020 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 05/03/26 |
123 | 123,236 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 05/03/26 |
147 | 146,657 | ||||||||||
|
|
|||||||||||
2,443,133 | ||||||||||||
Specialty Retail 0.1% | ||||||||||||
PetSmart, Inc., Consenting Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 03/11/22 |
433 | 432,034 | ||||||||||
|
|
|||||||||||
Wireless Telecommunication Services 0.0% | ||||||||||||
Xplornet Communications, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.75%), 4.90%, 06/10/27 |
307 | 306,878 | ||||||||||
|
|
|||||||||||
Total Floating Rate Loan Interests 2.3%
(Cost: $20,298,380) |
20,414,976 | |||||||||||
|
|
|||||||||||
Foreign Agency Obligations | ||||||||||||
Bahrain 0.1% | ||||||||||||
Bahrain Government International Bond, 6.75%, 09/20/29 |
200 | 229,375 | ||||||||||
CBB International Sukuk Co. 7 SPC, 6.88%, |
||||||||||||
10/05/25 |
200 | 231,875 | ||||||||||
|
|
|||||||||||
461,250 | ||||||||||||
Canada 1.0% | ||||||||||||
CDP Financial, Inc., 5.60%, 11/25/39(b) |
5,890 | 8,507,005 | ||||||||||
|
|
|||||||||||
Colombia 0.1% | ||||||||||||
Colombia Government International Bond |
||||||||||||
4.50%, 01/28/26 |
600 | 680,437 | ||||||||||
3.88%, 04/25/27 |
268 | 297,882 | ||||||||||
|
|
|||||||||||
978,319 | ||||||||||||
Dominican Republic 0.1% | ||||||||||||
Dominican Republic International Bond |
||||||||||||
5.95%, 01/25/27 |
230 | 268,310 | ||||||||||
4.88%, 09/23/32(b) |
150 | 165,328 | ||||||||||
6.40%, 06/05/49 |
150 | 176,109 | ||||||||||
|
|
|||||||||||
609,747 | ||||||||||||
Egypt 0.1% | ||||||||||||
Egypt Government International Bond |
||||||||||||
5.58%, 02/21/23(b) |
200 | 211,250 | ||||||||||
5.88%, 06/11/25 |
410 | 444,081 | ||||||||||
8.50%, 01/31/47(b) |
400 | 453,500 | ||||||||||
|
|
|||||||||||
1,108,831 | ||||||||||||
Iceland 0.4% | ||||||||||||
Iceland Government International Bond, 5.88%, 05/11/22 |
3,555 | 3,769,595 | ||||||||||
|
|
|||||||||||
Indonesia 0.1% | ||||||||||||
Indonesia Government International Bond, 4.10%, 04/24/28 |
600 | 696,750 | ||||||||||
|
|
|||||||||||
Italy 0.4% | ||||||||||||
Republic of Italy Government International Bond, 5.38%, 06/15/33 |
2,925 | 3,755,857 | ||||||||||
|
|
36 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Mexico 0.1% | ||||||||||||
Mexico Government International Bond, 2.66%, 05/24/31 |
USD | 496 | $ | 510,136 | ||||||||
|
|
|||||||||||
Mongolia 0.0% | ||||||||||||
Mongolia Government International Bond, 8.75%, 03/09/24 |
250 | 290,234 | ||||||||||
|
|
|||||||||||
Morocco 0.0% | ||||||||||||
Morocco Government International Bond, 3.00%, 12/15/32(b) |
221 | 223,763 | ||||||||||
|
|
|||||||||||
Panama 0.1% | ||||||||||||
Panama Government International Bond |
||||||||||||
3.16%, 01/23/30 |
212 | 234,724 | ||||||||||
4.50%, 04/16/50 |
200 | 257,000 | ||||||||||
|
|
|||||||||||
491,724 | ||||||||||||
Paraguay 0.0% | ||||||||||||
Paraguay Government International Bond, 5.40%, 03/30/50(b) |
200 | 252,438 | ||||||||||
|
|
|||||||||||
Peru 0.0% | ||||||||||||
Peruvian Government International Bond, 5.63%, 11/18/50 |
139 | 217,813 | ||||||||||
|
|
|||||||||||
Portugal 0.5% | ||||||||||||
Portugal Government International Bond, 5.13%, 10/15/24(b) |
3,970 | 4,611,552 | ||||||||||
|
|
|||||||||||
Qatar 0.1% | ||||||||||||
Qatar Government International Bond |
||||||||||||
4.00%, 03/14/29(b) |
240 | 284,700 | ||||||||||
4.40%, 04/16/50 |
200 | 260,000 | ||||||||||
|
|
|||||||||||
544,700 | ||||||||||||
Romania 0.0% | ||||||||||||
Romanian Government International Bond, 3.00%, 02/14/31(b) |
220 | 235,469 | ||||||||||
Russia 0.0% | ||||||||||||
Russian Foreign Bond - Eurobond |
||||||||||||
4.75%, 05/27/26 |
200 | 231,100 | ||||||||||
4.25%, 06/23/27 |
200 | 228,500 | ||||||||||
|
|
|||||||||||
459,600 | ||||||||||||
Saudi Arabia 0.1% | ||||||||||||
Saudi Government International Bond, 4.50%, 04/17/30 |
478 | 576,139 | ||||||||||
|
|
|||||||||||
Sri Lanka 0.1% | ||||||||||||
Sri Lanka Government International Bond |
||||||||||||
6.85%, 03/14/24 |
200 | 121,062 | ||||||||||
6.35%, 06/28/24 |
400 | 241,375 | ||||||||||
7.85%, 03/14/29 |
200 | 113,813 | ||||||||||
7.55%, 03/28/30 |
200 | 113,500 | ||||||||||
|
|
|||||||||||
589,750 | ||||||||||||
Ukraine 0.1% | ||||||||||||
Ukraine Government International Bond |
||||||||||||
7.75%, 09/01/23 |
100 | 110,000 |
Security |
Par
(000) |
Value | ||||||||||
Ukraine (continued) | ||||||||||||
Ukraine Government International Bond (continued) |
||||||||||||
7.75%, 09/01/25 |
USD | 385 | $ | 430,358 | ||||||||
7.25%, 03/15/33(b) |
400 | 436,000 | ||||||||||
|
|
|||||||||||
976,358 | ||||||||||||
Uruguay 0.0% | ||||||||||||
Uruguay Government International Bond, 4.98%, 04/20/55 |
162 | 224,736 | ||||||||||
|
|
|||||||||||
Total Foreign Agency Obligations 3.4%
(Cost: $26,141,756) |
30,091,766 | |||||||||||
|
|
|||||||||||
Municipal Bonds |
||||||||||||
California 0.9% | ||||||||||||
East Bay Municipal Utility District Water System Revenue, RB, BAB, 5.87%, 06/01/40 |
1,900 | 2,846,314 | ||||||||||
State of California, GO, BAB |
||||||||||||
7.55%, 04/01/39 |
280 | 493,136 | ||||||||||
7.63%, 03/01/40 |
1,720 | 3,026,719 | ||||||||||
University of California, RB, BAB, 5.95%, 05/15/45 |
885 | 1,309,543 | ||||||||||
|
|
|||||||||||
7,675,712 | ||||||||||||
Georgia 0.3% | ||||||||||||
Municipal Electric Authority of Georgia, Refunding RB, BAB, 7.06%, 04/01/57 |
1,970 | 2,850,708 | ||||||||||
|
|
|||||||||||
Illinois 0.2% | ||||||||||||
State of Illinois, GO, 5.10%, 06/01/33 |
2,000 | 2,136,280 | ||||||||||
|
|
|||||||||||
Indiana 0.4% |
||||||||||||
Indianapolis Local Public Improvement Bond Bank, RB, Series B-2, 6.12%, 01/15/40 |
2,535 | 3,663,633 | ||||||||||
|
|
|||||||||||
New Jersey 0.1% | ||||||||||||
State of New Jersey, GO |
||||||||||||
Series A, 4.00%, 06/01/30 |
250 | 306,047 | ||||||||||
Series A, 4.00%, 06/01/31 |
190 | 234,612 | ||||||||||
Series A, 4.00%, 06/01/32 |
180 | 224,257 | ||||||||||
|
|
|||||||||||
764,916 | ||||||||||||
New York 1.1% | ||||||||||||
Metropolitan Transportation Authority, RB, BAB, 7.34%, 11/15/39 |
1,295 | 2,053,650 | ||||||||||
New York City Industrial Development Agency, Refunding RB, (AGM), 3.19%, 03/01/40 |
165 | 165,635 | ||||||||||
New York City Water & Sewer System, Refunding RB, BAB, 5.72%, 06/15/42 |
1,390 | 2,157,711 | ||||||||||
New York State Dormitory Authority, RB, BAB Series D, 5.60%, 03/15/40 |
1,900 | 2,691,597 | ||||||||||
Series F, 5.63%, 03/15/39 |
1,100 | 1,512,984 | ||||||||||
Port Authority of New York & New Jersey, RB, 159th Series, 6.04%, 12/01/29 |
780 | 1,049,100 | ||||||||||
|
|
|||||||||||
9,630,677 | ||||||||||||
|
|
|||||||||||
Total Municipal Bonds 3.0%
(Cost: $19,578,811) |
26,721,926 | |||||||||||
|
|
S C H E D U L E O F I N V E S T M E N T S |
37 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Non-Agency Mortgage-Backed Securities | ||||||||||||
Collateralized Mortgage Obligations 1.0% | ||||||||||||
Alternative Loan Trust |
||||||||||||
Series 2005-64CB, Class 1A15, 5.50%, 12/25/35 |
USD | 648 | $ | 640,749 | ||||||||
Series 2006-OA21, Class A1, (1 mo. LIBOR US + 0.19%), 0.34%,
|
582 | 481,855 | ||||||||||
Series 2007-OA10, Class 2A1, (1 mo. LIBOR US + 0.25%), 0.40%,
|
5,889 | 4,832,030 | ||||||||||
Banc of America Funding Trust, Series 2007-2, Class 1A2, 6.00%, 03/25/37 |
338 | 306,841 | ||||||||||
GMACM Mortgage Loan Trust, Series 2005-AR3, Class 5A1, 3.51%, 06/19/35(a) |
175 | 169,604 | ||||||||||
GSR Mortgage Loan Trust |
||||||||||||
Series 2006-4F, Class 1A1, 5.00%, 05/25/36 |
8 | 39,778 | ||||||||||
Series 2007-4F, Class 3A1, 6.00%, 07/25/37 |
104 | 91,695 | ||||||||||
JP Morgan Mortgage Trust, Series 2006-S3, Class 1A12, 6.50%, 08/25/36 |
50 | 29,941 | ||||||||||
Merrill Lynch Mortgage Investors Trust, Series 2006- A3, Class 3A1, 3.57%, 05/25/36(a) |
273 | 241,720 | ||||||||||
Visio Trust, Series 2020-1R, Class M1, 2.93%, 11/25/55(b) |
1,790 | 1,792,675 | ||||||||||
WaMu Mortgage Pass-Through Certificates, |
||||||||||||
Series 2007-OA4, Class 1A, (12 mo. MTA + 0.77%), 1.38%, 05/25/47(a) |
127 | 114,460 | ||||||||||
|
|
|||||||||||
8,741,348 | ||||||||||||
Commercial Mortgage-Backed Securities 4.1% | ||||||||||||
BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.60%, 04/14/33(a)(b) |
4,170 | 4,473,234 | ||||||||||
CD Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48 |
590 | 605,582 | ||||||||||
Citigroup Commercial Mortgage Trust(a) |
||||||||||||
Series 2013-GC15, Class B, 5.18%, 09/10/46 |
7,183 | 7,706,650 | ||||||||||
Series 2020-420K, Class D, 3.31%, 11/10/42(b) |
270 | 266,965 | ||||||||||
COMM Mortgage Trust(a) |
||||||||||||
Series 2015-CR22, Class C, 4.11%, 03/10/48 |
5,000 | 5,281,971 | ||||||||||
Series 2015-LC19, Class C, 4.24%, 02/10/48 |
3,500 | 3,658,872 | ||||||||||
Commercial Mortgage Trust, Series 2013-CR11, Class B, 5.11%, 08/10/50(a) |
7,000 | 7,606,264 | ||||||||||
CSAIL Commercial Mortgage Trust, Series 2015-C1, Class C, 4.26%, 04/15/50(a) |
1,000 | 912,134 | ||||||||||
CSMC-FACT, Series 2020-FACT, Class D, (1 mo. LIBOR US + 3.71%), 3.87%, 10/15/37(a)(b) |
900 | 902,843 | ||||||||||
GS Mortgage Securities Corp. Trust, Series 2020-TWN3, Class D, (1 mo. LIBOR US + 3.70%), 3.86%, 11/15/37(a)(b) |
1,500 | 1,506,727 | ||||||||||
Morgan Stanley Capital I Trust, Series 2014-CPT, Class G, 3.45%, 07/13/29(a)(b) |
3,200 | 3,223,936 | ||||||||||
|
|
|||||||||||
36,145,178 | ||||||||||||
|
|
|||||||||||
Total Non-Agency Mortgage-Backed
Securities 5.1% (Cost: $42,976,994) |
44,886,526 | |||||||||||
|
|
|||||||||||
Preferred Securities |
||||||||||||
Capital Trusts 5.2% | ||||||||||||
Banks(a) 1.1% | ||||||||||||
Al Ahli Bank of Kuwait KSCP, 7.25%(g) |
200 | 213,000 | ||||||||||
Bank of East Asia Ltd., 5.88%(g) |
500 | 529,062 |
Security |
Par
(000) |
Value | ||||||||||
Banks (continued) | ||||||||||||
Bankia SA, 6.38%(g) |
EUR | 200 | $ | 261,739 | ||||||||
BBVA Bancomer SA/Texas, 5.13%, 01/18/33 |
USD | 271 | 292,680 | |||||||||
Burgan Bank SAK, 5.75%(g) |
250 | 257,344 | ||||||||||
CIT Group, Inc., Series A, 5.80%(g) |
163 | 166,260 | ||||||||||
Nanyang Commercial Bank Ltd., 5.00%(g) |
200 | 202,687 | ||||||||||
Nordea Bank Abp, 6.13%(b)(g) |
2,960 | 3,231,965 | ||||||||||
TMB Bank PCL, 4.90%(g) |
250 | 243,594 | ||||||||||
Wells Fargo & Co.(g) |
||||||||||||
Series S, 5.90% |
3,390 | 3,597,637 | ||||||||||
Series U, 5.88% |
256 | 290,240 | ||||||||||
|
|
|||||||||||
9,286,208 | ||||||||||||
Diversified Financial Services(a)(g) 2.5% | ||||||||||||
Bank of America Corp. |
||||||||||||
Series AA, 6.10% |
409 | 463,417 | ||||||||||
Series DD, 6.30% |
45 | 52,538 | ||||||||||
Series FF, 5.88% |
3,500 | 3,955,000 | ||||||||||
Series X, 6.25% |
1,050 | 1,165,041 | ||||||||||
Series Z, 6.50% |
87 | 99,397 | ||||||||||
BNP Paribas SA, 4.50%(b) |
200 | 202,106 | ||||||||||
Citigroup, Inc., Series Q, 4.32% |
161 | 160,195 | ||||||||||
Credit Suisse Group AG, 6.38%(b) |
300 | 334,125 | ||||||||||
HSBC Holdings PLC |
||||||||||||
6.50% |
1,090 | 1,223,525 | ||||||||||
6.00% |
435 | 473,606 | ||||||||||
JPMorgan Chase & Co. |
||||||||||||
Series FF, 5.00% |
527 | 554,420 | ||||||||||
Series HH, 4.60% |
165 | 170,362 | ||||||||||
Series I, 3.68% |
3,581 | 3,573,675 | ||||||||||
Series R, 6.00% |
70 | 74,200 | ||||||||||
Series V, 3.56% |
3,640 | 3,576,082 | ||||||||||
Morgan Stanley, Series H, 3.85% |
3,030 | 3,008,184 | ||||||||||
Natwest Group PLC |
||||||||||||
6.00% |
1,575 | 1,725,208 | ||||||||||
8.63% |
200 | 207,582 | ||||||||||
Societe Generale SA, 7.88%(b) |
1,000 | 1,103,750 | ||||||||||
Woori Bank, 4.25% |
250 | 259,531 | ||||||||||
|
|
|||||||||||
22,381,944 | ||||||||||||
Diversified Telecommunication Services 0.0% | ||||||||||||
Telefonica Europe BV, 5.88%(a)(g) |
EUR | 100 | 137,283 | |||||||||
|
|
|||||||||||
Electric Utilities(a) 0.4% | ||||||||||||
Naturgy Finance BV, 3.38%(g) |
100 | 129,495 | ||||||||||
NextEra Energy Capital Holdings, Inc., 5.65%, |
||||||||||||
05/01/79 |
USD | 2,750 | 3,240,727 | |||||||||
|
|
|||||||||||
3,370,222 | ||||||||||||
Insurance 1.2% | ||||||||||||
Achmea BV, 4.63%(a)(g) |
EUR | 200 | 261,739 | |||||||||
Allstate Corp., Series B, 5.75%, 08/15/53(a) |
USD | 2,000 | 2,140,120 | |||||||||
Heungkuk Life Insurance Co. Ltd., 4.48%(a)(g) |
200 | 201,500 | ||||||||||
MetLife, Inc., 6.40%, 12/15/36 |
2,554 | 3,303,444 | ||||||||||
Voya Financial, Inc., 5.65%, 05/15/53(a) |
4,500 | 4,770,000 | ||||||||||
|
|
|||||||||||
10,676,803 | ||||||||||||
Utilities 0.0% | ||||||||||||
Electricite de France SA, 3.38%(a)(g) |
EUR | 200 | 265,953 | |||||||||
|
|
38 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||||||
Wireless Telecommunication Services 0.0% | ||||||||||||
Vodafone Group PLC, 3.10%, 01/03/79(a) |
EUR | 100 | $ | 126,621 | ||||||||
|
|
|||||||||||
Total Capital Trusts 5.2% | 46,245,034 | |||||||||||
|
|
|||||||||||
Shares | ||||||||||||
Preferred Stocks 0.5%(a)(g) | ||||||||||||
Capital Markets 0.5% | ||||||||||||
Goldman Sachs Group, Inc., Series J, 5.50% |
92,000 | 2,514,360 | ||||||||||
Morgan Stanley, Series K, 5.85% |
66,567 | 1,920,458 | ||||||||||
|
|
|||||||||||
4,434,818 | ||||||||||||
Thrifts & Mortgage Finance 0.0% | ||||||||||||
Federal National Mortgage Association, Series S, 8.25% |
10,000 | 85,800 | ||||||||||
|
|
|||||||||||
Total Preferred Stocks 0.5% | 4,520,618 | |||||||||||
|
|
|||||||||||
Trust Preferred 0.1% | ||||||||||||
Diversified Financial Services 0.1% | ||||||||||||
Citigroup Capital XIII, 6.58%,
|
29,583 | 843,116 | ||||||||||
|
|
|||||||||||
Total Preferred Securities 5.8%
(Cost: $48,394,819) |
51,608,768 | |||||||||||
|
|
|||||||||||
Par (000) |
||||||||||||
U.S. Government Sponsored Agency Securities |
|
|||||||||||
Agency Obligations 1.6% | ||||||||||||
Federal Home Loan Bank(l) |
||||||||||||
5.25%, 12/09/22 |
USD | 1,375 | 1,509,596 | |||||||||
5.37%, 09/09/24 |
4,025 | 4,787,553 | ||||||||||
Federal National Mortgage Association, 5.63%, 07/15/37(l) |
1,600 | 2,538,341 | ||||||||||
Resolution Funding Corp. Principal Strip, 0.00%, 04/15/30(j) |
6,055 | 5,379,919 | ||||||||||
|
|
|||||||||||
14,215,409 | ||||||||||||
Collateralized Mortgage Obligations 2.3% | ||||||||||||
Fannie Mae, Series 2015-47, Class GL, 3.50%, 07/25/45 |
1,636 | 1,895,532 | ||||||||||
Freddie Mac |
||||||||||||
Series 4350, Class DY, 4.00%, 06/15/44 |
2,830 | 3,227,139 | ||||||||||
Series 4398, Class ZX, 4.00%, 09/15/54 |
9,850 | 12,092,420 | ||||||||||
Series 4549, Class TZ, 4.00%, 11/15/45 |
3,002 | 3,425,135 | ||||||||||
Uniform Mortgage-Backed Securities |
||||||||||||
Series 1254, Class Z, 8.50%, 04/15/22 |
2 | 88 | ||||||||||
Series 1991-46, Class S, (1 mo. LIBOR US + 2519.00%), 2,485.11%, 05/25/21(a) |
| (n) | | |||||||||
Series G-33, Class PV, 1,078.42%, 10/25/21 |
| (n) | | |||||||||
|
|
|||||||||||
20,640,314 | ||||||||||||
Interest Only Collateralized Mortgage Obligations 0.3% | ||||||||||||
Ginnie Mae Mortgage-Backed Securities(a) |
|
|||||||||||
Series 2009-116, Class KS, (1 mo. LIBOR US + 6.47%), 6.32%, 12/16/39 |
1,010 | 175,807 |
Security |
Par (000) |
Value | ||||||||||
Interest Only Collateralized Mortgage Obligations (continued) | ||||||||||||
Ginnie Mae Mortgage-Backed |
||||||||||||
Securities(a) (continued) |
||||||||||||
Series 2009-78, Class SD, (1 mo. LIBOR US + 6.20%), 6.05%, 09/20/32 |
USD | 1,691 | $ | 8,852 | ||||||||
Series 2011-52, Class NS, (1 mo. LIBOR US + 6.67%), 6.52%, 04/16/41 |
8,590 | 1,807,929 | ||||||||||
Uniform Mortgage-Backed Securities |
||||||||||||
Series 094, Class 2, 9.50%, 08/25/21 |
| (n) | | |||||||||
Series 1043, Class H, (1 mo. LIBOR US + 45.00%), 44.37%, 02/15/21(a) |
| (n) | | |||||||||
Series 1056, Class KD, 1,084.50%, 03/15/21 |
| (n) | | |||||||||
Series 1991-099, Class L, 930.00%, 08/25/21 |
| (n) | | |||||||||
Series 1991-139, Class PT, 648.35%, 10/25/21 |
| (n) | | |||||||||
Series 1997-50, Class SI, (1 mo. LIBOR US + 9.20%), 1.20%, 04/25/23(a) |
8 | 79 | ||||||||||
Series 2012-47, Class NI, 4.50%, 04/25/42 |
2,515 | 415,088 | ||||||||||
Series 2012-96, Class DI, 4.00%, 02/25/27 |
1,205 | 25,055 | ||||||||||
|
|
|||||||||||
2,432,810 | ||||||||||||
Mortgage-Backed Securities 7.4% | ||||||||||||
Ginnie Mae Mortgage-Backed Securities, 5.50%, 08/15/33 |
29 | 32,186 | ||||||||||
Uniform Mortgage-Backed Securities(l) |
||||||||||||
4.50%, 01/14/21 - 07/01/55 |
11,439 | 12,940,759 | ||||||||||
3.00%, 04/01/33 - 09/01/43 |
12,948 | 13,727,902 | ||||||||||
5.00%, 08/01/34 |
977 | 1,130,703 | ||||||||||
5.50%, 06/01/38 |
486 | 570,891 | ||||||||||
6.00%, 12/01/38 |
403 | 478,745 | ||||||||||
4.00%, 04/01/42 - 04/01/56 |
19,757 | 21,941,405 | ||||||||||
3.50%, 07/01/49 - 08/01/49 |
13,678 | 14,773,669 | ||||||||||
|
|
|||||||||||
65,596,260 | ||||||||||||
Principal Only Collateralized Mortgage Obligations(j) 0.0% | ||||||||||||
Uniform Mortgage-Backed Securities |
||||||||||||
Series 1993-51, Class E, 0.00%, 02/25/23 |
2 | 1,453 | ||||||||||
Series 1993-70, Class A, 0.00%, 05/25/23 |
| (n) | 301 | |||||||||
Series 203, Class 1, 0.00%, 02/25/23 |
1 | 438 | ||||||||||
Series 228, Class 1, 0.00%, 06/25/23 |
| (n) | 266 | |||||||||
|
|
|||||||||||
2,458 | ||||||||||||
|
|
|||||||||||
Total U.S. Government Sponsored Agency
Securities 11.6% (Cost: $91,746,417) |
102,887,251 | |||||||||||
|
|
|||||||||||
U.S. Treasury Obligations |
||||||||||||
U.S. Treasury Bonds(l) |
||||||||||||
3.00%, 11/15/44 |
61,400 | 79,465,031 | ||||||||||
2.50%, 02/15/46 |
66,500 | 79,446,719 | ||||||||||
2.75%, 11/15/47 |
2,000 | 2,509,844 | ||||||||||
U.S. Treasury Note, 0.13%, 08/31/22 |
21,300 | 21,301,664 | ||||||||||
U.S. Treasury Notes |
||||||||||||
2.75%, 04/30/23 - 08/31/25(l)(o) |
19,300 | 21,242,136 | ||||||||||
7.50%, 11/15/24(l) |
8,200 | 10,498,883 | ||||||||||
3.00%, 09/30/25(l) |
2,400 | 2,700,750 | ||||||||||
2.88%, 08/15/28(l) |
1,000 | 1,161,602 | ||||||||||
3.13%, 11/15/28(l) |
3,000 | 3,551,953 |
S C H E D U L E O F I N V E S T M E N T S |
39 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||||||
U.S. Treasury Obligations (continued) |
|
|||||||||||
2.75%, 04/30/23 - 08/31/25(l)(o) |
USD | 19,300 | $ | 21,242,136 | ||||||||
0.63%, 08/15/30(o) |
7,000 | 6,825,000 | ||||||||||
0.88%, 11/15/30(l) |
25,000 | 24,917,969 | ||||||||||
|
|
|||||||||||
Total U.S. Treasury Obligations 28.6%
(Cost: $219,734,256) |
253,621,551 | |||||||||||
|
|
|||||||||||
Shares | ||||||||||||
Warrants |
||||||||||||
Oil, Gas & Consumable Fuels 0.0% | ||||||||||||
SM Energy Co. (Expires 06/30/23)(f) |
7,761 | 47,420 | ||||||||||
|
|
|||||||||||
Total Warrants 0.0%
(Cost: $33,290) |
47,420 | |||||||||||
|
|
|||||||||||
Total Long-Term Investments 130.9%
(Cost: $1,031,771,030) |
1,161,480,423 | |||||||||||
|
|
|||||||||||
Short-Term Securities | ||||||||||||
Money Market Funds 0.9% | ||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.00%(p)(q) |
8,065,454 | 8,065,454 | ||||||||||
|
|
|||||||||||
Par (000) |
||||||||||||
U.S. Treasury Obligations 0.3% | ||||||||||||
U.S. Treasury Notes, 2.75%,
|
USD | 2,800 | 2,851,625 | |||||||||
|
|
|||||||||||
Total Short-Term Securities 1.2%
(Cost: $10,860,099) |
10,917,079 | |||||||||||
|
|
|||||||||||
Options Purchased 0.8%
(Cost: $6,811,971) |
7,009,179 | |||||||||||
|
|
|||||||||||
Total Investments Before Options Written 132.9%
(Cost: $1,049,443,100) |
1,179,406,681 | |||||||||||
|
|
|||||||||||
Options Written (0.8)%
(Premiums Received: $(10,637,821)) |
(7,826,472) | |||||||||||
|
|
|||||||||||
Total Investments, Net of Options Written 132.1%
(Cost: $1,038,805,279) |
1,171,580,209 | |||||||||||
Liabilities in Excess of Other
|
(284,610,397 | ) | ||||||||||
|
|
|||||||||||
Net Assets 100.0% | $886,969,812 | |||||||||||
|
|
(a) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(b) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(d) |
Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(e) |
Issuer filed for bankruptcy and/or is in default. |
(f) |
Non-income producing security. |
(g) |
Perpetual security with no stated maturity date. |
(h) |
When-issued security. |
(i) |
Convertible security. |
(j) |
Zero-coupon bond. |
(k) |
All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
(l) |
All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
(m) |
Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(n) |
Amount is less than 500. |
(o) |
All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives. |
(p) |
Affiliate of the Trust. |
(q) |
Annualized 7-day yield as of period end. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Trust during the year ended December 31, 2020 for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:
Affiliated Issuer |
Value at
12/31/19 |
Purchases
at Cost |
Proceeds
from Sales |
Net
Realized Gain (Loss) |
Change in
Unrealized Appreciation (Depreciation) |
Value at
12/31/20 |
Shares
Held at 12/31/20 |
Income |
Capital Gain
Distributions from Underlying Funds |
|||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class |
$ | 13,516,974 | $ | | $ | (5,451,520 | )(a) | $ | | $ | | $ | 8,065,454 | 8,065,454 | $ | 106,343 | $ | | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Represents net amount purchased (sold). |
For Trust compliance purposes, the Trusts industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
40 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK)
|
Reverse Repurchase Agreements
Counterparty |
|
Interest
Rate |
|
|
Trade
Date |
|
|
Maturity
Date |
(a) |
Face Value |
|
Face Value
Including Accrued Interest |
|
Type of Non-Cash Underlying Collateral |
|
Remaining
Contractual Maturity of the Agreements |
(a) |
|||||||||
Nomura Securities International, Inc. |
0.14 | %(b) | 08/20/20 | Open | $ | 1,855,125 | $ | 1,855,930 |
U.S. Treasury Obligations |
Open/Demand | ||||||||||||||||
Nomura Securities International, Inc. |
0.14 | (b) | 08/20/20 | Open | 2,912,000 | 2,913,263 |
U.S. Treasury Obligations |
Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. |
0.14 | (b) | 08/20/20 | Open | 16,455,173 | 16,462,312 |
U.S. Treasury Obligations |
Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. |
0.14 | (b) | 08/20/20 | Open | 10,875,250 | 10,879,969 |
U.S. Treasury Obligations |
Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. |
0.14 | (b) | 08/20/20 | Open | 1,183,750 | 1,184,264 |
U.S. Treasury Obligations |
Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. |
0.14 | (b) | 08/20/20 | Open | 3,648,750 | 3,650,333 |
U.S. Treasury Obligations |
Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. |
0.14 | (b) | 08/20/20 | Open | 50,930,269 | 50,952,367 |
U.S. Treasury Obligations |
Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. |
0.14 | (b) | 08/20/20 | Open | 2,650,000 | 2,651,150 |
U.S. Treasury Obligations |
Open/Demand | ||||||||||||||||||
Nomura Securities International, Inc. |
0.14 | (b) | 08/20/20 | Open | 2,757,000 | 2,758,196 |
U.S. Treasury Obligations |
Open/Demand | ||||||||||||||||||
BofA Securities, Inc. |
(1.25 | )(b) | 09/02/20 | Open | 69,795 | 69,502 |
Corporate Bonds |
Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
0.15 | (b) | 11/25/20 | Open | 80,127,000 | 80,137,127 |
U.S. Treasury Obligations |
Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
0.15 | (b) | 11/25/20 | Open | 2,607,281 | 2,607,687 |
U.S. Government Sponsored Agency Securities |
Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
0.15 | (b) | 11/25/20 | Open | 30,250,000 | 30,253,823 |
U.S. Treasury Obligations |
Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
0.15 | (b) | 11/25/20 | Open | 2,978,500 | 2,978,876 |
U.S. Treasury Obligations |
Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
0.15 | (b) | 11/25/20 | Open | 1,548,594 | 1,548,835 |
U.S. Government Sponsored Agency Securities |
Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
0.15 | (b) | 11/25/20 | Open | 2,586,000 | 2,586,403 |
U.S. Government Sponsored Agency Securities |
Open/Demand | ||||||||||||||||||
BNP Paribas S.A. |
0.19 | 12/10/20 | 01/14/21 | 5,314,983 | 5,315,488 |
U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||||
BNP Paribas S.A. |
0.19 | 12/10/20 | 01/14/21 | 3,564,528 | 3,564,866 |
U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||||
BNP Paribas S.A. |
0.19 | 12/10/20 | 01/14/21 | 1,694,967 | 1,695,128 |
U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||||
Cantor Fitzgerald & Company |
0.18 | 12/10/20 | 01/14/21 | 6,249,531 | 6,250,094 |
U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||||
Cantor Fitzgerald & Company |
0.18 | 12/10/20 | 01/14/21 | 1,087,443 | 1,087,541 |
U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||||
Cantor Fitzgerald & Company |
0.18 | 12/10/20 | 01/14/21 | 457,834 | 457,875 |
U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||||
Cantor Fitzgerald & Company |
0.18 | 12/10/20 | 01/14/21 | 4,336,206 | 4,336,597 |
U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||||
Cantor Fitzgerald & Company |
0.18 | 12/10/20 | 01/14/21 | 12,889,593 | 12,890,753 |
U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||||
Cantor Fitzgerald & Company |
0.18 | 12/10/20 | 01/14/21 | 1,495,203 | 1,495,338 |
U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||||
Cantor Fitzgerald & Company |
0.18 | 12/10/20 | 01/14/21 | 4,536,499 | 4,536,907 |
U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||||
Cantor Fitzgerald & Company |
0.18 | 12/10/20 | 01/14/21 | 8,992,176 | 8,992,985 |
U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||||
Cantor Fitzgerald & Company |
0.18 | 12/10/20 | 01/14/21 | 1,182,762 | 1,182,868 |
U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||||
Cantor Fitzgerald & Company |
0.18 | 12/10/20 | 01/14/21 | 1,509,210 | 1,509,346 |
U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||||
Cantor Fitzgerald & Company |
0.18 | 12/10/20 | 01/14/21 | 538,445 | 538,494 |
U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||||
Cantor Fitzgerald & Company |
0.18 | 12/10/20 | 01/14/21 | 8,010,979 | 8,011,700 |
U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||||
Cantor Fitzgerald & Company |
0.18 | 12/10/20 | 01/14/21 | 1,588,911 | 1,589,054 |
U.S. Government Sponsored Agency Securities |
Up to 30 Days | |||||||||||||||||||
Nomura Securities International, Inc. |
0.02 | (b) | 12/15/20 | Open | 19,975,000 | 19,975,943 |
U.S. Treasury Obligations |
Open/Demand | ||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||
$ | 296,858,757 | $ | 296,921,014 | |||||||||||||||||||||||
|
|
|
|
(a) |
Certain agreements have no stated maturity and can be terminated by either party at any time. |
(b) |
Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
S C H E D U L E O F I N V E S T M E N T S |
41 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK)
|
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description |
Number of
Contracts |
Expiration
Date |
Notional
Amount (000) |
Value/
Unrealized Appreciation (Depreciation) |
||||||||||||
Long Contracts |
||||||||||||||||
10-Year U.S. Ultra Note |
190 | 03/22/21 | $ | 29,708 | $ | (48,308 | ) | |||||||||
U.S. Ultra Bond |
119 | 03/22/21 | 25,414 | (149,452 | ) | |||||||||||
|
|
|||||||||||||||
(197,760 | ) | |||||||||||||||
|
|
|||||||||||||||
Short Contracts |
||||||||||||||||
10-Year U.S. Treasury Note |
669 | 03/22/21 | 92,374 | (142,249 | ) | |||||||||||
Long U.S. Treasury Bond |
30 | 03/22/21 | 5,196 | 51,799 | ||||||||||||
2-Year US Treasury Notes |
927 | 03/31/21 | 204,845 | (125,157 | ) | |||||||||||
5-Year U.S. Treasury Note |
156 | 03/31/21 | 19,682 | (41,989 | ) | |||||||||||
|
|
|||||||||||||||
(257,596 | ) | |||||||||||||||
|
|
|||||||||||||||
$ | (455,356 | ) | ||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date |
Unrealized
Appreciation (Depreciation) |
||||||||||||
USD | 3,303,429 | EUR | 2,697,500 | UBS AG | 02/03/21 | $ | 5,721 | |||||||||
EUR | 5,500,000 | USD | 6,680,184 | Natwest Markets PLC | 03/17/21 | 49,815 | ||||||||||
|
|
|||||||||||||||
55,536 | ||||||||||||||||
|
|
|||||||||||||||
EUR | 2,697,500 | USD | 3,301,201 | UBS AG | 01/06/21 | (5,703 | ) | |||||||||
USD | 132,694 | CAD | 169,305 | Royal Bank of Canada | 01/06/21 | (315 | ) | |||||||||
USD | 3,448,569 | EUR | 2,892,500 | BNP Paribas S.A. | 01/06/21 | (85,157 | ) | |||||||||
USD | 120,833 | EUR | 100,000 | Morgan Stanley & Co. International PLC | 01/06/21 | (1,335 | ) | |||||||||
USD | 3,464,046 | EUR | 2,892,500 | UBS AG | 01/06/21 | (69,680 | ) | |||||||||
USD | 525,193 | GBP | 393,000 | BNP Paribas S.A. | 01/06/21 | (12,241 | ) | |||||||||
USD | 5,398,854 | GBP | 4,040,000 | BNP Paribas S.A. | 01/06/21 | (125,913 | ) | |||||||||
EUR | 5,440,000 | USD | 6,680,536 | JPMorgan Chase Bank N.A. | 03/17/21 | (23,955 | ) | |||||||||
USD | 6,702,746 | EUR | 5,500,000 | Bank of America N.A. | 03/17/21 | (27,254 | ) | |||||||||
|
|
|||||||||||||||
(351,553 | ) | |||||||||||||||
|
|
|||||||||||||||
$ | (296,017 | ) | ||||||||||||||
|
|
Interest Rate Caps Purchased
Description |
Exercise
Rate |
Counterparty |
Expiration
Date |
Notional Amount (000) |
Value |
Premiums
(Received) |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||||||||||||
Call |
||||||||||||||||||||||||||||||||||||
5Y-30Y CMS Index Cap |
0.30 | % | Citibank N.A. | 02/14/22 | USD | 77,750 | $ | 470,485 | $ | 136,820 | $ | 333,665 | ||||||||||||||||||||||||
5Y-30Y CMS Index Cap |
0.30 | Citibank N.A. | 02/14/22 | USD | 31,100 | 188,194 | 120,357 | 67,837 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
$ | 658,679 | $ | 257,177 | $ | 401,502 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
Exchange-Traded Options Purchased
Number of | Expiration | Notional | ||||||||||||||||||||||||
Description | Contracts | Date | Exercise Price | Amount (000) | Value | |||||||||||||||||||||
Call |
||||||||||||||||||||||||||
90-Day Euro Future |
599 | 12/13/21 | USD | 99.75 | USD | 59,774 | $ | 104,825 | ||||||||||||||||||
|
|
|||||||||||||||||||||||||
Put |
||||||||||||||||||||||||||
10-Year U.S. Treasury Note |
132 | 01/22/21 | USD | 137.50 | USD | 18,226 | 37,125 | |||||||||||||||||||
|
|
|||||||||||||||||||||||||
$ | 141,950 | |||||||||||||||||||||||||
|
|
42 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK)
|
OTC Interest Rate Swaptions Purchased
Paid by the Trust | Received by the Trust | Expiration | Exercise | Notional | ||||||||||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Date | Rate | Amount (000) | Value | |||||||||||||||||||||||||||||
Call |
||||||||||||||||||||||||||||||||||||||
20-Year Interest Rate Swap, 04/18/41 |
|
6-Month JPY
LIBOR, (0.06%) |
|
Semi-Annual | 0.78% | Semi-Annual |
JPMorgan Chase Bank N.A. |
04/16/21 | 0.78 | % | JPY | 105,700 | $ | 96,826 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 03/09/34 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 2.98% | Semi-Annual |
Barclays Bank PLC |
03/07/24 | 2.98 | USD | 3,510 | 545,915 | ||||||||||||||||||||||||||
10-Year Interest Rate Swap, 03/14/34 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 2.95% | Semi-Annual |
Barclays Bank PLC |
03/12/24 | 2.95 | USD | 3,510 | 536,956 | ||||||||||||||||||||||||||
1-Year Interest Rate Swap, 11/27/25 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 0.82% | Semi-Annual |
JPMorgan Chase Bank N.A. |
11/25/24 | 0.82 | USD | 17,430 | 67,204 | ||||||||||||||||||||||||||
1-Year Interest Rate Swap, 12/04/25 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 0.87% | Semi-Annual |
Bank of America N.A. |
12/02/24 | 0.87 | USD | 17,450 | 71,534 | ||||||||||||||||||||||||||
10-Year Interest Rate Swap, 02/27/35 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 1.49% | Semi-Annual |
Citibank N.A. |
02/25/25 | 1.49 | USD | 2,570 | 117,982 | ||||||||||||||||||||||||||
10-Year Interest Rate Swap, 05/02/35 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 0.89% | Semi-Annual |
Deutsche Bank AG |
04/30/25 | 0.89 | USD | 1,640 | 38,833 | ||||||||||||||||||||||||||
10-Year Interest Rate Swap, 06/06/35 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 1.28% | Semi-Annual |
Goldman Sachs Bank USA |
06/04/25 | 1.28 | USD | 1,120 | 41,407 | ||||||||||||||||||||||||||
10-Year Interest Rate Swap, 06/07/35 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 1.43% | Semi-Annual |
UBS AG |
06/05/25 | 1.43 | USD | 1,120 | 48,268 | ||||||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/35 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 0.91% | Semi-Annual |
Morgan Stanley & Co. International PLC |
08/07/25 | 0.91 | USD | 1,930 | 47,800 | ||||||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/35 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 0.91% | Semi-Annual |
Morgan Stanley & Co. International PLC |
08/07/25 | 0.91 | USD | 620 | 15,355 | ||||||||||||||||||||||||||
10-Year Interest Rate Swap, 06/29/38(a) |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 3.05% | Semi-Annual |
Deutsche Bank AG |
06/27/28 | 3.05 | USD | 3,125 | 218,052 | ||||||||||||||||||||||||||
10-Year Interest Rate Swap, 01/12/39 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 3.04% | Semi-Annual |
Nomura International PLC |
01/10/29 | 3.04 | USD | 1,000 | 137,812 | ||||||||||||||||||||||||||
10-Year Interest Rate Swap, 01/13/39 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 3.04% | Semi-Annual |
Morgan Stanley & Co. International PLC |
01/11/29 | 3.04 | USD | 1,000 | 137,611 | ||||||||||||||||||||||||||
10-Year Interest Rate Swap, 01/31/39 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 3.08% | Semi-Annual |
Barclays Bank PLC |
01/29/29 | 3.08 | USD | 1,020 | 143,666 | ||||||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/40 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 1.05% | Semi-Annual |
Morgan Stanley & Co. International PLC |
08/07/30 | 1.05 | USD | 1,210 | 45,075 | ||||||||||||||||||||||||||
10-Year Interest Rate Swap, 04/29/48 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 2.99% | Semi-Annual |
JPMorgan Chase Bank N.A. |
04/27/38 | 2.98 | USD | 910 | 123,168 | ||||||||||||||||||||||||||
10-Year Interest Rate Swap, 02/24/49 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 2.86% | Semi-Annual |
JPMorgan Chase Bank N.A. |
02/22/39 | 2.86 | USD | 933 | 119,391 | ||||||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/50 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 0.91% | Semi-Annual |
Morgan Stanley & Co. International PLC |
08/07/40 | 0.91 | USD | 730 | 33,833 | ||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||||||
2,586,688 | ||||||||||||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||||||
Put |
||||||||||||||||||||||||||||||||||||||
20-Year Interest Rate Swap, 04/18/41 |
|
0.78% |
|
|
Semi-Annual |
|
|
6-Month JPY
LIBOR,
|
|
Semi-Annual |
JPMorgan Chase Bank N.A. |
|
04/16/21 |
|
|
0.78 |
|
|
JPY |
|
|
105,700 |
|
|
37 |
|
||||||||||||
30-Year Interest Rate Swap, 06/09/51 |
3.80% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Barclays Bank PLC |
06/07/21 | 3.80 | USD | 3,780 | 489 | ||||||||||||||||||||||||||
10-Year Interest Rate Swap, 08/29/31 |
1.20% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Deutsche Bank AG |
08/27/21 | 1.20 | USD | 182,200 | 2,263,170 | ||||||||||||||||||||||||||
10-Year Interest Rate Swap, 01/13/32 |
1.25% | Semi-Annual |
|
6-Month JPY
LIBOR, (0.06%) |
|
Semi-Annual |
Credit Suisse International |
01/11/22 | 1.25 | JPY | 250,000 | 10 | ||||||||||||||||||||||||||
10-Year Interest Rate Swap, 02/24/32 |
1.55% | Semi-Annual |
|
6-Month JPY
LIBOR, (0.06%) |
|
Semi-Annual |
Credit Suisse International |
02/22/22 | 1.55 | JPY | 250,000 | 7 | ||||||||||||||||||||||||||
10-Year Interest Rate Swap, 03/18/32 |
1.60% | Semi-Annual |
|
6-Month JPY
LIBOR, (0.06%) |
|
Semi-Annual |
JPMorgan Chase Bank N.A. |
03/16/22 | 1.60 | JPY | 250,000 | 8 | ||||||||||||||||||||||||||
10-Year Interest Rate Swap, 04/06/32 |
1.45% | Semi-Annual |
|
6-Month JPY
LIBOR, (0.06%) |
|
Semi-Annual |
JPMorgan Chase Bank N.A. |
04/04/22 | 1.45 | JPY | 250,000 | 16 |
S C H E D U L E O F I N V E S T M E N T S |
43 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK)
|
OTC Interest Rate Swaptions Purchased (continued)
Paid by the Trust | Received by the Trust | Expiration | Exercise | Notional | ||||||||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Date | Rate | Amount (000) | Value | |||||||||||||||||||||||||||
Put (continued) |
|
|||||||||||||||||||||||||||||||||||
15-Year Interest Rate Swap, 05/05/37 |
3.25% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Goldman Sachs Bank USA |
05/03/22 | 3.25 | % | USD | 4,050 | $ | 6,291 | ||||||||||||||||||||||
30-Year Interest Rate Swap, 05/11/52 |
2.85% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Nomura International PLC |
05/09/22 | 2.85 | USD | 4,750 | 32,231 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 08/04/32 |
2.25% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
JPMorgan Chase Bank N.A. |
08/02/22 | 2.25 | USD | 4,160 | 20,599 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 08/10/32 |
2.25% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Barclays Bank PLC |
08/08/22 | 2.25 | USD | 4,270 | 21,508 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 03/09/34 |
2.98% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Barclays Bank PLC |
03/07/24 | 2.98 | USD | 3,510 | 22,511 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 03/14/34 |
2.95% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Barclays Bank PLC |
03/12/24 | 2.95 | USD | 3,510 | 23,405 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 06/15/34 |
2.50% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Morgan Stanley & Co. International PLC |
06/13/24 | 2.50 | USD | 3,950 | 51,104 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 06/22/34 |
2.50% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Morgan Stanley & Co. International PLC |
06/20/24 | 2.50 | USD | 3,950 | 51,553 | ||||||||||||||||||||||||
1-Year Interest Rate Swap, 11/27/25 |
0.82% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
JPMorgan Chase Bank N.A. |
11/25/24 | 0.82 | USD | 17,430 | 67,006 | ||||||||||||||||||||||||
1-Year Interest Rate Swap, 12/04/25 |
0.87% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Bank of America N.A. |
12/02/24 | 0.87 | USD | 17,450 | 63,748 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 02/27/35 |
1.49% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Citibank N.A. |
02/25/25 | 1.49 | USD | 2,570 | 124,103 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 05/02/35 |
0.89% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Deutsche Bank AG |
04/30/25 | 0.89 | USD | 1,640 | 137,688 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 06/06/35 |
1.28% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Goldman Sachs Bank USA |
06/04/25 | 1.28 | USD | 1,120 | 68,815 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 06/07/35 |
1.43% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
UBS AG |
06/05/25 | 1.43 | USD | 1,120 | 60,469 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/35 |
0.91% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Morgan Stanley & Co. International PLC |
08/07/25 | 0.91 | USD | 620 | 52,852 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/35 |
0.91% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Morgan Stanley & Co. International PLC |
08/07/25 | 0.91 | USD | 1,930 | 164,524 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 04/14/37 |
3.00% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
JPMorgan Chase Bank N.A. |
04/12/27 | 3.00 | USD | 2,590 | 45,717 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 01/12/39 |
3.04% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Nomura International PLC |
01/10/29 | 3.04 | USD | 1,000 | 21,968 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 01/13/39 |
3.04% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Morgan Stanley & Co. International PLC |
01/11/29 | 3.04 | USD | 1,000 | 22,046 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 01/31/39 |
3.08% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Barclays Bank PLC |
01/29/29 | 3.08 | USD | 1,020 | 21,779 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/40 |
1.05% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Morgan Stanley & Co. International PLC |
08/07/30 | 1.05 | USD | 1,210 | 119,368 | ||||||||||||||||||||||||
20-Year Interest Rate Swap, 08/11/53 |
4.00% | Annual |
|
6-Month
EURIBOR, (0.53%) |
|
Semi-Annual |
Barclays Bank PLC |
08/09/33 | 4.00 | EUR | 2,410 | 22,023 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 04/29/48 |
2.99% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
JPMorgan Chase Bank N.A. |
04/27/38 | 2.98 | USD | 910 | 30,289 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 02/24/49 |
2.86% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
JPMorgan Chase Bank N.A. |
02/22/39 | 2.86 | USD | 933 | 33,510 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/50 |
0.91% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Morgan Stanley & Co. International PLC |
08/07/40 | 0.91 | USD | 730 | 73,018 | ||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||||
3,621,862 | ||||||||||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||||
$ | 6,208,550 | |||||||||||||||||||||||||||||||||||
|
|
(a) |
Forward settling swaption. |
44 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK)
|
Interest Rate Caps Sold
Description |
Excercise
Rate |
Counterparty |
Expiration
Date |
Notional Amount (000) |
Value |
Premiums
(Received) |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||||||||
Call |
||||||||||||||||||||||||||||||||
5Y-30Y CMS Index Cap |
0.55 | % | Citibank N.A. | 02/14/22 | USD | 38,875 | $ | (150,087 | ) | $ | (33,044 | ) | $ | (117,043 | ) | |||||||||||||||||
5Y-30Y CMS Index Cap |
0.55 | Citibank N.A. | 02/14/22 | USD | 38,875 | (150,087 | ) | (40,041 | ) | (110,046 | ) | |||||||||||||||||||||
5Y-30Y CMS Index Cap |
0.55 | Citibank N.A. | 02/14/22 | USD | 31,100 | (120,069 | ) | (72,152 | ) | (47,917 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (420,243 | ) | $ | (145,237 | ) | $ | (275,006 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
Exchange-Traded Options Written
Number of | Expiration | Notional | ||||||||||||||||||||||||
Description | Contracts | Date | Exercise Price | Amount (000) | Value | |||||||||||||||||||||
Call |
||||||||||||||||||||||||||
90-Day Euro Future |
342 | 12/13/21 | USD | 99.37 | USD | 34,128 | $ | (361,237 | ) | |||||||||||||||||
90-Day Euro Future |
171 | 12/13/21 | USD | 100.00 | USD | 17,064 | (5,344 | ) | ||||||||||||||||||
|
|
|||||||||||||||||||||||||
(366,581 | ) | |||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||
Put |
||||||||||||||||||||||||||
10-Year U.S. Treasury Note |
132 | 01/22/21 | USD | 136.50 | USD | 18,226 | (10,312 | ) | ||||||||||||||||||
|
|
|||||||||||||||||||||||||
$ | (376,893 | ) | ||||||||||||||||||||||||
|
|
OTC Interest Rate Swaptions Written
Paid by the Trust | Received by the Trust | Expiration | Exercise | Notional | ||||||||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Date | Rate | Amount (000) | Value | |||||||||||||||||||||||||||
Call |
||||||||||||||||||||||||||||||||||||
5-Year Interest Rate Swap, 01/21/26 |
0.48% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Deutsche Bank AG |
01/19/21 | 0.48 | % | USD | 7,710 | $ | (22,344 | ) | |||||||||||||||||||||
10-Year Interest Rate Swap, 03/10/31 |
2.79% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Barclays Bank PLC |
03/08/21 | 2.79 | USD | 5,266 | (943,867 | ) | |||||||||||||||||||||||
1-Year Interest Rate Swap, 03/19/22 |
0.41% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Morgan Stanley & Co. International PLC |
03/17/21 | 0.41 | USD | 23,790 | (54,900 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 04/18/31 |
0.72% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Bank of America N.A. |
04/16/21 | 0.72 | USD | 1,155 | (4,872 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 04/21/31 |
0.74% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Morgan Stanley & Co. International PLC |
04/19/21 | 0.74 | USD | 3,820 | (18,679 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 06/04/31 |
0.75% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Deutsche Bank AG |
06/02/21 | 0.75 | USD | 4,800 | (30,781 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 06/27/31 |
0.74% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Bank of America N.A. |
06/25/21 | 0.74 | USD | 2,450 | (16,919 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 07/01/31 |
0.72% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
BNP Paribas S.A. |
06/29/21 | 0.72 | USD | 2,450 | (15,602 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 07/16/31 |
0.67% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Bank of America N.A. |
07/14/21 | 0.67 | USD | 2,490 | (14,131 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 08/07/31 |
0.75% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Bank of America N.A. |
08/05/21 | 0.75 | USD | 1,195 | (9,726 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 08/11/31 |
0.63% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Deutsche Bank AG |
08/09/21 | 0.63 | USD | 14,190 | (80,302 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 08/29/31 |
0.60% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Deutsche Bank AG |
08/27/21 | 0.60 | USD | 182,200 | (984,569 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 10/02/31 |
0.45% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Bank of America N.A. |
09/30/21 | 0.45 | USD | 3,280 | (12,691 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 10/08/31 |
0.93% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Deutsche Bank AG |
10/06/21 | 0.93 | USD | 2,143 | (33,352 | ) | |||||||||||||||||||||||
5-Year Interest Rate Swap, 04/06/27 |
(0.12%) | Annual |
|
6-Month
EURIBOR, (0.53%) |
|
Semi-Annual |
Barclays Bank PLC |
04/04/22 | (0.12 | ) | EUR | 5,250 | (107,302 | ) | ||||||||||||||||||||||
5-Year Interest Rate Swap, 04/09/27 |
(0.02%) | Annual |
|
6-Month
EURIBOR, (0.53%) |
|
Semi-Annual |
Barclays Bank PLC |
04/07/22 | (0.02 | ) | EUR | 6,030 | (154,230 | ) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 05/04/32 |
0.74% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Deutsche Bank AG |
05/02/22 | 0.74 | USD | 2,540 | (31,133 | ) |
S C H E D U L E O F I N V E S T M E N T S |
45 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK)
|
OTC Interest Rate Swaptions Written (continued)
Paid by the Trust | Received by the Trust | Expiration | Exercise | Notional | ||||||||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Date | Rate | Amount (000) | Value | |||||||||||||||||||||||||||
Call (continued) |
||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 08/10/32 |
0.72% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Deutsche Bank AG |
08/08/22 | 0.72 | % | USD | 485 | $ | (6,155 | ) | |||||||||||||||||||||
5-Year Interest Rate Swap, 08/10/27 |
(0.02%) | Annual |
|
6-Month
EURIBOR,
|
|
Semi-Annual |
Barclays Bank PLC |
08/08/22 | (0.02 | ) | EUR | 6,690 | (169,349 | ) | ||||||||||||||||||||||
5-Year Interest Rate Swap, 09/14/27 |
(0.14%) | Annual |
|
6-Month
EURIBOR,
|
|
Semi-Annual |
Barclays Bank PLC |
09/12/22 | (0.14 | ) | EUR | 2,720 | (52,619 | ) | ||||||||||||||||||||||
5-Year Interest Rate Swap, 09/15/27 |
(0.04%) | Annual |
|
6-Month
EURIBOR,
|
|
Semi-Annual |
Barclays Bank PLC |
09/13/22 | (0.04 | ) | EUR | 2,720 | (66,575 | ) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 10/13/32 |
1.06% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Deutsche Bank AG |
10/11/22 | 1.06 | USD | 2,780 | (69,259 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 12/17/32 |
1.23% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Barclays Bank PLC |
12/15/22 | 1.23 | USD | 5,120 | (166,116 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 12/18/32 |
1.23% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Goldman Sachs Bank USA |
12/16/22 | 1.23 | USD | 2,560 | (84,006 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 12/18/32 |
1.25% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Goldman Sachs Bank USA |
12/16/22 | 1.24 | USD | 2,560 | (85,610 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 01/01/33 |
1.25% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Citibank N.A. |
12/30/22 | 1.25 | USD | 2,820 | (95,519 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 03/14/39 |
3.05% | Semi-Annual |
|
3-Month
LIBOR, 0.24% |
|
Quarterly |
Barclays Bank PLC |
03/12/29 | 3.05 | USD | 2,840 | (392,765 | ) | |||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||||
(3,723,373 | ) | |||||||||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||||
Put |
||||||||||||||||||||||||||||||||||||
5-Year Interest Rate Swap, 01/21/26 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 0.48% | Semi-Annual |
Deutsche Bank AG |
01/19/21 | 0.48 | USD | 7,710 | (5,714 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 03/10/31 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 2.79% | Semi-Annual |
Barclays Bank PLC |
03/08/21 | 2.79 | USD | 5,266 | (35 | ) | |||||||||||||||||||||||
2-Year Interest Rate Swap, 03/10/23 |
|
6-Month
EURIBOR,
|
|
Semi-Annual | 0.30% | Annual |
JPMorgan Chase Bank N.A. |
03/08/21 | 0.30 | EUR | 12,880 | | ||||||||||||||||||||||||
2-Year Interest Rate Swap, 03/31/23 |
|
6-Month
EURIBOR,
|
|
Semi-Annual | 0.10% | Annual |
Barclays Bank PLC |
03/29/21 | 0.10 | EUR | 18,360 | (19 | ) | |||||||||||||||||||||||
2-Year Interest Rate Swap, 04/10/23 |
|
6-Month
EURIBOR,
|
|
Semi-Annual | 0.12% | Annual |
Barclays Bank PLC |
04/08/21 | 0.12 | EUR | 28,360 | (45 | ) | |||||||||||||||||||||||
2-Year Interest Rate Swap, 04/14/23 |
|
6-Month
EURIBOR,
|
|
Semi-Annual | 0.10% | Annual |
Citibank N.A. |
04/12/21 | 0.10 | EUR | 14,250 | (31 | ) | |||||||||||||||||||||||
2-Year Interest Rate Swap, 04/14/23 |
|
6-Month
EURIBOR,
|
|
Semi-Annual | 0.16% | Annual |
Goldman Sachs Bank USA |
04/12/21 | 0.16 | EUR | 14,250 | (22 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 04/18/31 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 0.72% | Semi-Annual |
Bank of America N.A. |
04/16/21 | 0.72 | USD | 1,155 | (33,121 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 04/21/31 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 0.74% | Semi-Annual |
Morgan Stanley & Co. International PLC |
04/19/21 | 0.74 | USD | 3,820 | (102,864 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 04/21/31 |
|
6-Month
EURIBOR,
|
|
Semi-Annual | 2.15% | Annual |
JPMorgan Chase Bank N.A. |
04/19/21 | 2.15 | EUR | 4,400 | (1 | ) | |||||||||||||||||||||||
2-Year Interest Rate Swap, 04/21/23 |
|
6-Month
EURIBOR,
|
|
Semi-Annual | 0.15% | Annual |
Morgan Stanley & Co. International PLC |
04/19/21 | 0.15 | EUR | 14,050 | (31 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 05/06/31 |
|
6-Month
EURIBOR,
|
|
Semi-Annual | 2.00% | Annual |
Barclays Bank PLC |
05/04/21 | 2.00 | EUR | 2,700 | (2 | ) | |||||||||||||||||||||||
1-Year Interest Rate Swap, 05/19/23 |
|
6-Month
EURIBOR,
|
|
Semi-Annual | 0.11% | Annual |
Barclays Bank PLC |
05/17/21 | 0.11 | EUR | 9,299 | (60 | ) |
46 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK)
|
OTC Interest Rate Swaptions Written (continued)
Paid by the Trust | Received by the Trust | Expiration | Exercise | Notional | ||||||||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Date | Rate | Amount (000) | Value | |||||||||||||||||||||||||||
Put (continued) |
||||||||||||||||||||||||||||||||||||
1-Year Interest Rate Swap, 05/19/22 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 2.35% | Semi-Annual |
Citibank N.A. |
05/17/21 | 2.35 | % | USD | 45,470 | $ | | ||||||||||||||||||||||
1-Year Interest Rate Swap, 05/29/22 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 2.15% | Semi-Annual |
Barclays Bank PLC |
05/27/21 | 2.15 | USD | 62,210 | (1 | ) | |||||||||||||||||||||||
2-Year Interest Rate Swap, 06/02/23 |
|
6-Month
EURIBOR, (0.53%) |
|
Semi-Annual | 0.08% | Annual |
Morgan Stanley & Co. International PLC |
05/31/21 | 0.08 | EUR | 6,270 | (62 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 06/03/31 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 1.00% | Semi-Annual |
Bank of America N.A. |
06/01/21 | 1.00 | USD | 10,670 | (157,955 | ) | |||||||||||||||||||||||
1-Year Interest Rate Swap, 06/03/22 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 2.40% | Semi-Annual |
Morgan Stanley & Co. International PLC |
06/01/21 | 2.40 | USD | 77,400 | (1 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 06/04/31 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 0.75% | Semi-Annual |
Deutsche Bank AG |
06/02/21 | 0.75 | USD | 4,800 | (143,749 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 06/09/31 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 3.87% | Semi-Annual |
Barclays Bank PLC |
06/07/21 | 3.87 | USD | 8,000 | (177 | ) | |||||||||||||||||||||||
2-Year Interest Rate Swap, 06/12/23 |
|
6-Month
EURIBOR, (0.53%) |
|
Semi-Annual | 0.05% | Annual |
Barclays Bank PLC |
06/10/21 | 0.05 | EUR | 9,800 | (134 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 06/13/31 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 1.05% | Semi-Annual |
Bank of America N.A. |
06/11/21 | 1.05 | USD | 2,390 | (31,947 | ) | |||||||||||||||||||||||
2-Year Interest Rate Swap, 06/16/23 |
|
6-Month
EURIBOR, (0.53%) |
|
Semi-Annual | 0.00% | Annual |
Barclays Bank PLC |
06/14/21 | | EUR | 4,310 | (81 | ) | |||||||||||||||||||||||
2-Year Interest Rate Swap, 06/16/23 |
|
6-Month
EURIBOR, (0.53%) |
|
Semi-Annual | 0.00% | Annual |
Bank of America N.A. |
06/14/21 | | EUR | 4,430 | (83 | ) | |||||||||||||||||||||||
2-Year Interest Rate Swap, 06/20/23 |
|
6-Month
EURIBOR, (0.53%) |
|
Semi-Annual | 0.00% | Annual |
Goldman Sachs Bank USA |
06/18/21 | | EUR | 4,460 | (88 | ) | |||||||||||||||||||||||
2-Year Interest Rate Swap, 06/23/23 |
|
6-Month
EURIBOR, (0.53%) |
|
Semi-Annual | 0.00% | Annual |
Citibank N.A. |
06/21/21 | | EUR | 5,200 | (106 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 06/27/31 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 0.74% | Semi-Annual |
Bank of America N.A. |
06/25/21 | 0.74 | USD | 2,450 | (78,113 | ) | |||||||||||||||||||||||
2-Year Interest Rate Swap, 06/27/23 |
|
6-Month
EURIBOR, (0.53%) |
|
Semi-Annual | 0.00% | Annual |
Nomura International PLC |
06/25/21 | | EUR | 4,880 | (105 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 07/01/31 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 0.72% | Semi-Annual |
BNP Paribas S.A. |
06/29/21 | 0.72 | USD | 2,450 | (83,421 | ) | |||||||||||||||||||||||
2-Year Interest Rate Swap, 07/03/23 |
|
6-Month
EURIBOR, (0.53%) |
|
Semi-Annual | 0.00% | Annual |
Barclays Bank PLC |
07/01/21 | | EUR | 5,230 | (120 | ) | |||||||||||||||||||||||
2-Year Interest Rate Swap, 07/04/23 |
|
6-Month
EURIBOR, (0.53%) |
|
Semi-Annual | (0.05%) | Annual |
Barclays Bank PLC |
07/02/21 | (0.05 | ) | EUR | 5,120 | (156 | ) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 07/16/31 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 0.67% | Semi-Annual |
Bank of America N.A. |
07/14/21 | 0.67 | USD | 2,490 | (96,713 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 07/16/31 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 1.10% | Semi-Annual |
Citibank N.A. |
07/14/21 | 1.10 | USD | 1,530 | (20,464 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 07/18/31 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 1.10% | Semi-Annual |
Citibank N.A. |
07/16/21 | 1.10 | USD | 1,570 | (21,256 | ) | |||||||||||||||||||||||
2-Year Interest Rate Swap, 07/21/23 |
|
6-Month
EURIBOR, (0.53%) |
|
Semi-Annual | 0.00% | Annual |
Barclays Bank PLC |
07/19/21 | | EUR | 5,270 | (162 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 08/06/31 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 0.95% | Semi-Annual |
Barclays Bank PLC |
08/04/21 | 0.95 | USD | 2,190 | (47,035 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 08/07/31 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 0.95% | Semi-Annual |
Deutsche Bank AG |
08/05/21 | 0.95 | USD | 2,390 | (51,671 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 08/11/31 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 0.63% | Semi-Annual |
Deutsche Bank AG |
08/09/21 | 0.63 | USD | 14,190 | (609,749 | ) |
S C H E D U L E O F I N V E S T M E N T S |
47 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK)
|
OTC Interest Rate Swaptions Written (continued)
Paid by the Trust | Received by the Trust | Expiration | Exercise | Notional | ||||||||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Date | Rate | Amount (000) | Value | |||||||||||||||||||||||||||
Put (continued) |
||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 08/11/31 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 1.00% | Semi-Annual |
Deutsche Bank AG |
08/09/21 | 1.00 | % | USD | 7,350 | $ | (141,630 | ) | |||||||||||||||||||||
2-Year Interest Rate Swap, 08/11/23 |
|
6-Month
EURIBOR, (0.53%) |
|
Semi-Annual | (0.25%) | Annual |
Barclays Bank PLC |
08/09/21 | (0.25 | ) | EUR | 30,000 | (4,837 | ) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 08/11/23 |
|
6-Month
EURIBOR, (0.53%) |
|
Semi-Annual | (0.15%) | Annual |
Barclays Bank PLC |
08/09/21 | (0.15 | ) | EUR | 12,480 | (1,103 | ) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 08/11/23 |
|
6-Month
EURIBOR, (0.53%) |
|
Semi-Annual | (0.15%) | Annual |
Barclays Bank PLC |
08/09/21 | (0.15 | ) | EUR | 6,990 | (618 | ) | ||||||||||||||||||||||
2-Year Interest Rate Swap, 09/05/23 |
|
6-Month
EURIBOR, (0.53%) |
|
Semi-Annual | (0.25%) | Annual |
Barclays Bank PLC |
09/03/21 | (0.25 | ) | EUR | 22,950 | (4,588 | ) | ||||||||||||||||||||||
5-Year Interest Rate Swap, 09/05/26 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 0.60% | Semi-Annual |
Deutsche Bank AG |
09/03/21 | 0.60 | USD | 10,390 | (58,503 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 10/02/31 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 1.45% | Semi-Annual |
Bank of America N.A. |
09/30/21 | 1.45 | USD | 6,560 | (50,731 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 10/08/31 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 0.93% | Semi-Annual |
Deutsche Bank AG |
10/06/21 | 0.93 | USD | 2,143 | (56,671 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 11/06/31 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 1.15% | Semi-Annual |
Goldman Sachs Bank USA |
11/04/21 | 1.15 | USD | 7,280 | (128,713 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 01/12/32 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 1.15% | Semi-Annual |
Bank of America N.A. |
01/10/22 | 1.15 | USD | 1,400 | (29,221 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 01/30/32 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 1.95% | Semi-Annual |
Morgan Stanley & Co. International PLC |
01/28/22 | 1.95 | USD | 4,010 | (17,171 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 02/09/32 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 0.68% | Semi-Annual |
Deutsche Bank AG |
02/07/22 | 0.68 | USD | 2,870 | (142,569 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 02/24/32 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 1.85% | Semi-Annual |
Bank of America N.A. |
02/22/22 | 1.85 | USD | 2,970 | (17,202 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 03/02/32 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 1.60% | Semi-Annual |
Deutsche Bank AG |
02/28/22 | 1.60 | USD | 2,840 | (27,541 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 03/05/32 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 1.60% | Semi-Annual |
Deutsche Bank AG |
03/03/22 | 1.60 | USD | 2,840 | (27,875 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 03/06/32 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 1.60% | Semi-Annual |
Deutsche Bank AG |
03/04/22 | 1.60 | USD | 4,485 | (44,135 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 03/06/32 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 1.60% | Semi-Annual |
Barclays Bank PLC |
03/04/22 | 1.60 | USD | 2,818 | (27,731 | ) | |||||||||||||||||||||||
5-Year Interest Rate Swap, 04/06/27 |
|
6-Month
EURIBOR, (0.53%) |
|
Semi-Annual | (0.12%) | Annual |
Barclays Bank PLC |
04/04/22 | (0.12 | ) | EUR | 5,250 | (14,355 | ) | ||||||||||||||||||||||
5-Year Interest Rate Swap, 04/09/27 |
|
6-Month
EURIBOR, (0.53%) |
|
Semi-Annual | (0.02%) | Annual |
Barclays Bank PLC |
04/07/22 | (0.02 | ) | EUR | 6,030 | (11,879 | ) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 05/04/32 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 0.74% | Semi-Annual |
Deutsche Bank AG |
05/02/22 | 0.74 | USD | 2,540 | (127,258 | ) | |||||||||||||||||||||||
5-Year Interest Rate Swap, 05/05/27 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 3.25% | Semi-Annual |
Goldman Sachs Bank USA |
05/03/22 | 3.25 | USD | 10,130 | (883 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 05/11/32 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 2.75% | Semi-Annual |
Nomura International PLC |
05/09/22 | 2.75 | USD | 10,350 | (17,256 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 08/04/32 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 2.75% | Semi-Annual |
JPMorgan Chase Bank N.A. |
08/02/22 | 2.75 | USD | 4,160 | (9,492 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 08/04/32 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 3.25% | Semi-Annual |
JPMorgan Chase Bank N.A. |
08/02/22 | 3.25 | USD | 4,160 | (4,665 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 08/10/32 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 0.72% | Semi-Annual |
Deutsche Bank AG |
08/08/22 | 0.72 | USD | 485 | (27,563 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 08/10/32 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 2.75% | Semi-Annual |
Barclays Bank PLC |
08/08/22 | 2.75 | USD | 4,270 | (9,929 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 08/10/32 |
|
3-Month
LIBOR, 0.24% |
|
Quarterly | 3.25% | Semi-Annual |
Barclays Bank PLC |
08/08/22 | 3.25 | USD | 4,270 | (4,885 | ) |
48 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK)
|
OTC Interest Rate Swaptions Written (continued)
Paid by the Trust | Received by the Trust | Expiration | Exercise | Notional | ||||||||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Date | Rate | Amount (000) | Value | |||||||||||||||||||||||||||
Put (continued) |
||||||||||||||||||||||||||||||||||||
5-Year Interest Rate Swap, 08/10/27 |
|
6-Month
EURIBOR, (0.53%) |
|
Semi-Annual | (0.02%) | Annual |
Barclays Bank PLC |
08/08/22 | (0.02 | )% | EUR | 6,690 | $ | (20,673 | ) | |||||||||||||||||||||
5-Year Interest Rate Swap, 09/14/27 |
|
6-Month
EURIBOR, (0.53%) |
|
Semi-Annual | (0.14%) | Annual |
Barclays Bank PLC |
09/12/22 | (0.14 | ) | EUR | 2,720 | (13,431 | ) | ||||||||||||||||||||||
5-Year Interest Rate Swap, 09/15/27 |
|
6-Month
EURIBOR, (0.53%) |
|
Semi-Annual | (0.04%) | Annual |
Barclays Bank PLC |
09/13/22 | (0.04 | ) | EUR | 2,720 | (9,827 | ) | ||||||||||||||||||||||
10-Year Interest Rate Swap, 10/13/32 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 1.06% | Semi-Annual |
Deutsche Bank AG |
10/11/22 | 1.06 | USD | 2,780 | (106,075 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 12/17/32 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 1.23% | Semi-Annual |
Barclays Bank PLC |
12/15/22 | 1.23 | USD | 5,120 | (168,868 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 12/18/32 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 1.23% | Semi-Annual |
Goldman Sachs Bank USA |
12/16/22 | 1.23 | USD | 2,560 | (83,612 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 12/18/32 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 1.25% | Semi-Annual |
Goldman Sachs Bank USA |
12/16/22 | 1.25 | USD | 2,560 | (82,143 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 01/01/33 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 1.25% | Semi-Annual |
Citibank N.A. |
12/30/22 | 1.25 | USD | 2,820 | (90,987 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 06/15/34 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 3.00% | Semi-Annual |
Morgan Stanley & Co. International PLC |
06/13/24 | 3.00 | USD | 3,950 | (28,711 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 06/15/34 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 3.50% | Semi-Annual |
Morgan Stanley & Co. International PLC |
06/13/24 | 3.50 | USD | 3,950 | (16,467 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 06/22/34 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 3.00% | Semi-Annual |
Morgan Stanley & Co. International PLC |
06/20/24 | 3.00 | USD | 3,950 | (29,002 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 06/22/34 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 3.50% | Semi-Annual |
Morgan Stanley & Co. International PLC |
06/20/24 | 3.50 | USD | 3,950 | (16,651 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 08/22/34 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 2.25% | Semi-Annual |
Morgan Stanley & Co. International PLC |
08/20/24 | 2.25 | USD | 4,410 | (82,198 | ) | |||||||||||||||||||||||
10-Year Interest Rate Swap, 03/14/39 |
|
3-Month LIBOR,
0.24% |
|
Quarterly | 3.05% | Semi-Annual |
Barclays Bank PLC |
03/12/29 | 3.05 | USD | 2,840 | (63,020 | ) | |||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||||
(3,305,963 | ) | |||||||||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||||
$ | (7,029,336 | ) | ||||||||||||||||||||||||||||||||||
|
|
Centrally Cleared Credit Default Swaps Buy Protection
Reference Obligation/Index |
Financing
Rate Paid by the Trust |
Payment
Frequency |
Termination
Date |
Notional
Amount (000) |
Value |
Upfront
(Received) |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||||
CDX.NA.IG.34.V1 |
1.00 | % | Quarterly | 06/20/25 | USD | 7,473 | $ | (124,597 | ) | $ | (108,310 | ) | $ | (16,287 | ) | |||||||||||||
CDX.NA.HY.IG.35.V1 |
5.00 | Quarterly | 12/20/25 | USD | 9,260 | (880,343 | ) | (542,200 | ) | (338,143 | ) | |||||||||||||||||
CDX.NA.IG.35.V1 |
1.00 | Quarterly | 12/20/25 | USD | 43,722 | (1,086,793 | ) | (911,154 | ) | (175,639 | ) | |||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
$ | (2,091,733 | ) | $ | (1,561,664 | ) | $ | (530,069 | ) | ||||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Interest Rate Swaps
Paid by the Trust | Received by the Trust | Effective | Termination |
Notional |
Upfront
Paid |
Unrealized
Appreciation |
||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Date | Date | Amount (000) | Value | (Received) | (Depreciation) | |||||||||||||||||||
1.56% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 03/29/21 | USD | 5,660 | $ | (41,413 | ) | $ | 14 | $ | (41,427 | ) | |||||||||||||
1.77% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 06/15/21 | USD | 8,210 | (65,566 | ) | 39 | (65,605 | ) | ||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 1.36% | Semi-Annual | N/A | 09/28/21 | USD | 3,500 | 42,730 | 27 | 42,703 | ||||||||||||||||||
(0.45%) |
Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | N/A | 12/16/21 | EUR | 5,440 | (5,149 | ) | 34 | (5,183 | ) | ||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.30%) | Annual | N/A | 01/17/22 | EUR | 11,040 | 15,662 | 164 | 15,498 | ||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.48%) | Annual | N/A | 03/07/22 | EUR | 5,950 | (13,345 | ) | 46 | (13,391 | ) | ||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.48%) | Annual | N/A | 03/07/22 | EUR | 7,180 | (16,226 | ) | 57 | (16,283 | ) | ||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.49%) | Annual | N/A | 03/09/22 | EUR | 4,550 | (11,516 | ) | 36 | (11,552 | ) |
S C H E D U L E O F I N V E S T M E N T S |
49 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK)
|
Centrally Cleared Interest Rate Swaps (continued)
Paid by the Trust | Received by the Trust | Effective | Termination |
Notional |
Upfront
Premium Paid |
Unrealized
Appreciation |
||||||||||||||||||||||||||||
Rate |
Frequency | Rate | Frequency | Date | Date | Amount (000) | Value | (Received | ) | (Depreciation | ) | |||||||||||||||||||||||
(0.35%) |
Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | N/A | 03/21/22 | EUR | 2,820 | $ | (2,271 | ) | $ | 22 | $ | (2,293 | ) | |||||||||||||||||||
(0.34%) |
Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | N/A | 03/21/22 | EUR | 2,830 | (3,576 | ) | 22 | (3,598 | ) | ||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 2.03% | Semi-Annual | N/A | 03/30/22 | USD | 1,914 | 54,160 | 14 | 54,146 | ||||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 0.33% | Semi-Annual | 04/06/21 | (a) | 04/06/22 | USD | 25,775 | 39,891 | 277 | 39,614 | |||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 2.01% | Semi-Annual | 05/17/21 | (a) | 05/17/22 | USD | 756 | 13,800 | 2,243 | 11,557 | |||||||||||||||||||||||
1.87% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 06/03/21 | (a) | 06/03/22 | USD | 3,450 | (58,236 | ) | 37 | (58,273 | ) | |||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.25%) | Annual | N/A | 06/24/22 | EUR | 2,499 | 9,220 | 23 | 9,197 | ||||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.29%) | Annual | N/A | 06/27/22 | EUR | 937 | 2,499 | 10 | 2,489 | ||||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.28%) | Annual | N/A | 06/27/22 | EUR | 937 | 2,736 | 9 | 2,727 | ||||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.28%) | Annual | N/A | 06/30/22 | EUR | 938 | 2,862 | 10 | 2,852 | ||||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.32%) | Annual | N/A | 07/18/22 | EUR | 4,580 | 18,198 | 46 | 18,152 | ||||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.31%) | Annual | N/A | 07/18/22 | EUR | 4,580 | 19,145 | 956 | 18,189 | ||||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.30%) | Annual | N/A | 07/20/22 | EUR | 5,250 | 23,572 | 52 | 23,520 | ||||||||||||||||||||||||
(0.40%) |
Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | N/A | 07/21/22 | EUR | 5,460 | (11,888 | ) | 58 | (11,946 | ) | ||||||||||||||||||||||
(0.26%) |
Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | N/A | 09/22/22 | EUR | 5,170 | (32,730 | ) | 58 | (32,788 | ) | ||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.33%) | Annual | N/A | 10/03/22 | EUR | 6,310 | 29,258 | 74 | 29,184 | ||||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 0.23% | Semi-Annual | N/A | 10/21/22 | USD | 1,380 | 1,112 | 15 | 1,097 | ||||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.35%) | Annual | N/A | 11/02/22 | EUR | 3,570 | 15,739 | 47 | 15,692 | ||||||||||||||||||||||||
0.24% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 04/06/21 | (a) | 12/15/22 | USD | 17,460 | (19,506 | ) | 209 | (19,715 | ) | |||||||||||||||||||||
0.26% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 04/06/21 | (a) | 12/15/22 | USD | 34,800 | (48,112 | ) | 30 | (48,142 | ) | |||||||||||||||||||||
1.54% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 12/15/22 | USD | 11,030 | (298,280 | ) | 128 | (298,408 | ) | ||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.33%) | Annual | 02/12/21 | (a) | 02/13/23 | EUR | 1,390 | 6,498 | 19 | 6,479 | |||||||||||||||||||||||
(0.41%) |
Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | 02/16/21 | (a) | 02/16/23 | EUR | 7,530 | (21,760 | ) | 108 | (21,868 | ) | |||||||||||||||||||||
(0.40%) |
Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | 02/16/21 | (a) | 02/16/23 | EUR | 7,440 | (22,235 | ) | 107 | (22,342 | ) | |||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 1.05% | Semi-Annual | 03/01/21 | (a) | 03/01/23 | USD | 3,325 | 57,287 | 40 | 57,247 | |||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 1.06% | Semi-Annual | 03/01/21 | (a) | 03/01/23 | USD | 3,325 | 57,552 | 39 | 57,513 | |||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 1.07% | Semi-Annual | 03/01/21 | (a) | 03/01/23 | USD | 3,350 | 58,755 | 40 | 58,715 | |||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 1.10% | Semi-Annual | 03/01/21 | (a) | 03/01/23 | USD | 13,390 | 242,468 | 159 | 242,309 | |||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.41%) | Annual | 03/02/21 | (a) | 03/02/23 | EUR | 2,450 | 6,528 | 33 | 6,495 | |||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 0.88% | Semi-Annual | 03/02/21 | (a) | 03/02/23 | USD | 3,350 | 46,102 | 40 | 46,062 | |||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 0.88% | Semi-Annual | 03/02/21 | (a) | 03/02/23 | USD | 6,665 | 92,254 | 79 | 92,175 | |||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 0.88% | Semi-Annual | 03/02/21 | (a) | 03/02/23 | USD | 6,700 | 92,270 | 80 | 92,190 | |||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 0.90% | Semi-Annual | 03/02/21 | (a) | 03/02/23 | USD | 3,350 | 47,876 | 40 | 47,836 | |||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 0.98% | Semi-Annual | 03/02/21 | (a) | 03/02/23 | USD | 3,360 | 53,054 | 40 | 53,014 | |||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 0.99% | Semi-Annual | 03/02/21 | (a) | 03/02/23 | USD | 3,360 | 53,625 | 40 | 53,585 | |||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.47%) | Annual | 03/04/21 | (a) | 03/06/23 | EUR | 2,970 | 3,513 | 40 | 3,473 | |||||||||||||||||||||||
(0.18%) |
Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | 03/24/21 | (a) | 03/24/23 | EUR | 11,815 | (100,748 | ) | 155 | (100,903 | ) | |||||||||||||||||||||
(0.18%) |
Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | 03/24/21 | (a) | 03/24/23 | EUR | 11,800 | (99,164 | ) | 154 | (99,318 | ) | |||||||||||||||||||||
(0.17%) |
Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | 03/24/21 | (a) | 03/24/23 | EUR | 11,815 | (102,563 | ) | 155 | (102,718 | ) | |||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.31%) | Annual | 04/29/21 | (a) | 04/28/23 | EUR | 2,660 | 13,911 | 35 | 13,876 | |||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.34%) | Annual | 05/03/21 | (a) | 05/03/23 | EUR | 3,560 | 15,502 | 47 | 15,455 | |||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.38%) | Annual | 05/04/21 | (a) | 05/04/23 | EUR | 3,410 | 11,516 | 45 | 11,471 | |||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.37%) | Annual | 05/06/21 | (a) | 05/08/23 | EUR | 1,570 | 5,855 | 21 | 5,834 | |||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.42%) | Annual | 06/24/21 | (a) | 06/26/23 | EUR | 2,720 | 6,748 | 88 | 6,660 | |||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.40%) | Annual | 06/25/21 | (a) | 06/26/23 | EUR | 2,700 | 8,026 | (20 | ) | 8,046 | ||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.42%) | Annual | 07/02/21 | (a) | 07/03/23 | EUR | 5,690 | 13,496 | 206 | 13,290 | |||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.40%) | Annual | 07/08/21 | (a) | 07/10/23 | EUR | 2,610 | 7,389 | 105 | 7,284 | |||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 0.25% | Semi-Annual | 07/08/22 | (a) | 07/10/23 | USD | 5,380 | 634 | 58 | 576 | |||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.41%) | Annual | 07/20/21 | (a) | 07/20/23 | EUR | 5,730 | 14,758 | 80 | 14,678 | |||||||||||||||||||||||
(0.30%) |
Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | 07/26/21 | (a) | 07/25/23 | EUR | 12,900 | (68,001 | ) | 202 | (68,203 | ) | |||||||||||||||||||||
(0.29%) |
Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | 07/26/21 | (a) | 07/26/23 | EUR | 14,350 | (79,278 | ) | 226 | (79,504 | ) | |||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.41%) | Annual | 07/27/21 | (a) | 07/27/23 | EUR | 2,700 | 6,828 | 38 | 6,790 | |||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.43%) | Annual | 08/05/21 | (a) | 08/07/23 | EUR | 2,050 | 4,275 | 30 | 4,245 | |||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.43%) | Annual | 08/09/21 | (a) | 08/09/23 | EUR | 1,590 | 3,225 | (142 | ) | 3,367 | ||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.45%) | Annual | 08/11/21 | (a) | 08/11/23 | EUR | 1,730 | 2,518 | 27 | 2,491 | |||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.58%) | Annual | 08/17/21 | (a) | 08/17/23 | EUR | 1,760 | (2,810 | ) | 28 | (2,838 | ) | |||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.44%) | Annual | 08/24/21 | (a) | 08/24/23 | EUR | 620 | 1,107 | 9 | 1,098 | |||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.47%) | Annual | 09/13/21 | (a) | 09/13/23 | EUR | 6,690 | 7,028 | 97 | 6,931 | |||||||||||||||||||||||
1.61% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 11/01/21 | (a) | 11/01/23 | USD | 3,260 | (88,629 | ) | 38 | (88,667 | ) | |||||||||||||||||||||
0.40% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 11/22/22 | (a) | 11/22/23 | USD | 2,280 | (1,879 | ) | 25 | (1,904 | ) | |||||||||||||||||||||
(0.17%) |
Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | 12/13/21 | (a) | 12/13/23 | EUR | 5,190 | (43,442 | ) | 81 | (43,523 | ) |
50 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK)
|
Centrally Cleared Interest Rate Swaps (continued)
Paid by the Trust |
Received by the Trust |
Effective | Termination | Notional |
|
Upfront
Premium Paid |
|
|
Unrealized
Appreciation |
|
||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Date | Date | Amount (000) | Value | (Received) | (Depreciation) | |||||||||||||||||||||||||
(0.12%) |
Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | 12/27/21 | (a) | 12/27/23 | EUR | 770 | $ | (7,406 | ) | $ | 12 | $ | (7,418 | ) | ||||||||||||||||||
(0.06%) |
Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | 01/03/22 | (a) | 01/03/24 | EUR | 2,735 | (30,266 | ) | 43 | (30,309 | ) | |||||||||||||||||||||
(0.05%) |
Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | 01/03/22 | (a) | 01/03/24 | EUR | 2,735 | (30,707 | ) | 43 | (30,750 | ) | |||||||||||||||||||||
(0.17%) |
Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | N/A | 11/11/24 | EUR | 1,160 | (18,521 | ) | 14 | (18,535 | ) | ||||||||||||||||||||||
(0.22%) |
Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | N/A | 11/21/24 | EUR | 3,890 | (53,222 | ) | 47 | (53,269 | ) | ||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 0.57% | Semi-Annual | 11/21/23 | (a) | 11/21/24 | USD | 1,020 | 112 | 11 | 101 | |||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.23%) | Annual | N/A | 12/02/24 | EUR | 6,710 | 88,471 | 88 | 88,383 | ||||||||||||||||||||||||
(0.18%) |
Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | N/A | 03/18/25 | EUR | 270 | (4,336 | ) | 4 | (4,340 | ) | ||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.43%) | Annual | N/A | 09/22/25 | EUR | 1,330 | 3,335 | (479 | ) | 3,814 | |||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.44%) | Annual | N/A | 09/23/25 | EUR | 500 | 884 | 8 | 876 | ||||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 0.33% | Semi-Annual | N/A | 09/23/25 | USD | 1,180 | (2,831 | ) | 15 | (2,846 | ) | ||||||||||||||||||||||
0.35% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 10/01/25 | USD | 970 | 2,342 | 12 | 2,330 | ||||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 0.45% | Semi-Annual | N/A | 11/12/25 | USD | 4,960 | 9,808 | 67 | 9,741 | ||||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 0.79% | Semi-Annual | 11/19/24 | (a) | 11/19/25 | USD | 16,220 | (5,979 | ) | 175 | (6,154 | ) | |||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.34%) | Annual | 07/20/21 | (a) | 07/20/26 | EUR | 2,160 | 13,419 | 38 | 13,381 | |||||||||||||||||||||||
0.65% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 04/20/22 | (a) | 04/20/27 | USD | 530 | 921 | 7 | 914 | |||||||||||||||||||||||
(0.26%) |
Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | 08/16/22 | (a) | 08/16/27 | EUR | 1,470 | (10,565 | ) | 27 | (10,592 | ) | |||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.25%) | Annual | 08/16/22 | (a) | 08/16/27 | EUR | 5,890 | 45,292 | 107 | 45,185 | |||||||||||||||||||||||
0.50% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 08/19/27 | USD | 1,310 | 8,290 | 18 | 8,272 | ||||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.28%) | Annual | 09/19/22 | (a) | 09/20/27 | EUR | 1,340 | 7,024 | (382 | ) | 7,406 | ||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.40%) | Annual | 10/18/22 | (a) | 10/18/27 | EUR | 670 | (1,475 | ) | 12 | (1,487 | ) | |||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.36%) | Annual | 10/18/22 | (a) | 10/18/27 | EUR | 2,400 | 671 | 43 | 628 | |||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | (0.36%) | Annual | 12/12/22 | (a) | 12/13/27 | EUR | 1,430 | (719 | ) | 27 | (746 | ) | |||||||||||||||||||||
6-Month JPY LIBOR, (0.06%) |
Semi-Annual | 0.37% | Semi-Annual | N/A | 01/31/28 | JPY | 181,730 | 50,514 | 20 | 50,494 | ||||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 0.65% | Semi-Annual | 07/12/23 | (a) | 07/12/28 | USD | 7,100 | (113,546 | ) | 95 | (113,641 | ) | |||||||||||||||||||||
6-Month JPY LIBOR, (0.06%) |
Semi-Annual | 0.36% | Semi-Annual | N/A | 07/31/28 | JPY | 113,000 | 32,517 | 13 | 32,504 | ||||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 0.71% | Semi-Annual | 08/14/23 | (a) | 08/14/28 | USD | 6,340 | (91,177 | ) | 85 | (91,262 | ) | |||||||||||||||||||||
0.19% |
Semi-Annual | 6-Month JPY LIBOR, (0.06%) | Semi-Annual | N/A | 01/04/29 | JPY | 100,000 | (15,757 | ) | 13 | (15,770 | ) | ||||||||||||||||||||||
1.37% |
Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | N/A | 02/20/29 | EUR | 1,970 | (376,232 | ) | 38 | (376,270 | ) | ||||||||||||||||||||||
1.38% |
Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | N/A | 02/22/29 | EUR | 590 | (113,281 | ) | 11 | (113,292 | ) | ||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | 0.56% | Annual | N/A | 03/12/29 | EUR | 1,640 | 164,054 | 27 | 164,027 | ||||||||||||||||||||||||
6-Month EURIBOR, (0.53%) |
Semi-Annual | 0.06% | Annual | N/A | 07/26/29 | EUR | 930 | 41,340 | 16 | 41,324 | ||||||||||||||||||||||||
0.19% |
Annual | 6-Month EURIBOR, (0.53%) | Semi-Annual | N/A | 01/16/30 | EUR | 2,280 | (137,143 | ) | 436 | (137,579 | ) | ||||||||||||||||||||||
1.31% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 02/27/30 | USD | 2,770 | (123,075 | ) | 41 | (123,116 | ) | ||||||||||||||||||||||
0.68% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 05/20/30 | USD | 770 | 13,834 | 11 | 13,823 | ||||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 0.64% | Semi-Annual | N/A | 07/10/30 | USD | 780 | (16,799 | ) | 12 | (16,811 | ) | ||||||||||||||||||||||
0.96% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 03/31/21 | (a) | 08/15/30 | USD | 2,860 | (10,614 | ) | 47 | (10,661 | ) | |||||||||||||||||||||
0.68% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 09/16/30 | USD | 2,760 | 54,851 | 42 | 54,809 | ||||||||||||||||||||||||
0.67% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 10/09/30 | USD | 1,360 | 30,123 | 21 | 30,102 | ||||||||||||||||||||||||
0.53% |
Quarterly | 3-Month LIBOR, 0.24% | Quarterly | N/A | 10/21/30 | USD | 101 | 1,422 | | 1,422 | ||||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 0.56% | Quarterly | N/A | 10/21/30 | USD | 101 | (1,538 | ) | | (1,538 | ) | ||||||||||||||||||||||
0.90% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 10/28/30 | USD | 1,300 | 886 | 21 | 865 | ||||||||||||||||||||||||
0.90% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 10/28/30 | USD | 1,300 | 1,141 | 21 | 1,120 | ||||||||||||||||||||||||
0.65% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 11/04/30 | USD | 2,740 | 68,705 | 43 | 68,662 | ||||||||||||||||||||||||
0.88% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 11/04/30 | USD | 170 | 401 | 3 | 398 | ||||||||||||||||||||||||
0.90% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 11/05/30 | USD | 2,240 | 2,202 | 37 | 2,165 | ||||||||||||||||||||||||
0.95% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 11/12/30 | USD | 2,010 | (7,686 | ) | 33 | (7,719 | ) | ||||||||||||||||||||||
0.96% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 11/12/30 | USD | 2,270 | (10,125 | ) | 37 | (10,162 | ) | ||||||||||||||||||||||
0.93% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 11/18/30 | USD | 1,420 | (2,977 | ) | 23 | (3,000 | ) | ||||||||||||||||||||||
0.95% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 12/04/30 | USD | 1,620 | (4,840 | ) | 26 | (4,866 | ) | ||||||||||||||||||||||
0.96% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 12/11/30 | USD | 1,630 | (6,309 | ) | 26 | (6,335 | ) | ||||||||||||||||||||||
0.93% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 12/18/30 | USD | 1,200 | (574 | ) | 20 | (594 | ) | ||||||||||||||||||||||
0.95% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 12/30/30 | USD | 690 | (1,553 | ) | 11 | (1,564 | ) | ||||||||||||||||||||||
0.97% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 12/30/30 | USD | 1,150 | (4,519 | ) | 19 | (4,538 | ) | ||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 1.76% | Semi-Annual | 01/11/21 | (a) | 01/13/31 | USD | 760 | 61,214 | 12 | 61,202 | |||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 0.75% | Semi-Annual | 04/07/21 | (a) | 04/07/31 | USD | 210 | (4,532 | ) | 3 | (4,535 | ) | |||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 0.87% | Semi-Annual | 04/09/21 | (a) | 04/09/31 | USD | 1,240 | (12,354 | ) | 20 | (12,374 | ) | |||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 2.45% | Semi-Annual | 05/18/21 | (a) | 05/19/31 | USD | 860 | 122,137 | 13 | 122,124 | |||||||||||||||||||||||
0.76% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 06/03/21 | (a) | 06/03/31 | USD | 3,648 | 83,586 | 58 | 83,528 | |||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 2.10% | Semi-Annual | 06/22/21 | (a) | 06/23/31 | USD | 430 | 45,935 | 7 | 45,928 | |||||||||||||||||||||||
0.86% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 10/04/21 | (a) | 10/06/31 | USD | 290 | 5,430 | 5 | 5,425 |
S C H E D U L E O F I N V E S T M E N T S |
51 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK)
|
Centrally Cleared Interest Rate Swaps (continued)
Paid by the Trust |
Received by the Trust |
Effective Date |
Termination Date |
Notional Amount (000) |
Value |
Upfront
(Received) |
Unrealized
(Depreciation) |
|||||||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||||||
1.03% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 11/26/21 | (a) | 11/26/31 | USD | 920 | $ | 4,010 | $ | 15 | $ | 3,995 | ||||||||||||||||||||||||
0.52% |
Semi-Annual | 6-Month JPY LIBOR, (0.06%) | Semi-Annual | 11/30/21 | (a) | 11/28/31 | JPY | 95,000 | (41,157 | ) | 16 | (41,173 | ) | |||||||||||||||||||||||||
0.80% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 02/08/22 | (a) | 02/09/32 | USD | 1,330 | 39,250 | 21 | 39,229 | |||||||||||||||||||||||||||
0.77% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 05/06/22 | (a) | 05/06/32 | USD | 2,650 | 95,401 | 42 | 95,359 | |||||||||||||||||||||||||||
1.02% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 06/07/22 | (a) | 06/07/32 | USD | 500 | 6,735 | 8 | 6,727 | |||||||||||||||||||||||||||
0.85% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 08/15/22 | (a) | 08/16/32 | USD | 17,650 | 573,764 | 69,006 | 504,758 | |||||||||||||||||||||||||||
0.36% |
Semi-Annual | 6-Month JPY LIBOR, (0.06%) | Semi-Annual | N/A | 02/06/34 | JPY | 30,720 | (9,681 | ) | 4 | (9,685 | ) | ||||||||||||||||||||||||||
0.34% |
Semi-Annual | 6-Month JPY LIBOR, (0.06%) | Semi-Annual | N/A | 02/08/34 | JPY | 50,250 | (14,539 | ) | 8 | (14,547 | ) | ||||||||||||||||||||||||||
0.34% |
Semi-Annual | 6-Month JPY LIBOR, (0.06%) | Semi-Annual | N/A | 03/14/34 | JPY | 24,760 | (7,075 | ) | 4 | (7,079 | ) | ||||||||||||||||||||||||||
2.33% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 06/24/24 | (a) | 06/26/34 | USD | 310 | (25,553 | ) | 5 | (25,558 | ) | |||||||||||||||||||||||||
1.65% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 08/22/24 | (a) | 08/22/34 | USD | 1,355 | (22,129 | ) | 21 | (22,150 | ) | |||||||||||||||||||||||||
6-Month JPY LIBOR, (0.06%) |
Semi-Annual | 0.14% | Semi-Annual | N/A | 06/12/35 | JPY | 250,000 | (6,301 | ) | 42 | (6,343 | ) | ||||||||||||||||||||||||||
0.16% |
Semi-Annual | 6-Month JPY LIBOR, (0.06%) | Semi-Annual | N/A | 07/09/35 | JPY | 107,580 | (1,975 | ) | 18 | (1,993 | ) | ||||||||||||||||||||||||||
6-Month JPY LIBOR, (0.06%) |
Semi-Annual | 0.13% | Semi-Annual | N/A | 09/18/35 | JPY | 50,000 | (2,011 | ) | 9 | (2,020 | ) | ||||||||||||||||||||||||||
6-Month JPY LIBOR, (0.06%) |
Semi-Annual | 0.13% | Semi-Annual | N/A | 09/18/35 | JPY | 50,000 | (1,993 | ) | 9 | (2,002 | ) | ||||||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 3.18% | Semi-Annual | 05/09/28 | (a) | 05/10/38 | USD | 1,590 | 206,328 | 24 | 206,304 | |||||||||||||||||||||||||||
3.08% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 06/29/28 | (a) | 06/29/38 | USD | 230 | (27,670 | ) | 3 | (27,673 | ) | |||||||||||||||||||||||||
0.66% |
Semi-Annual | 6-Month JPY LIBOR, (0.06%) | Semi-Annual | N/A | 12/06/38 | JPY | 40,000 | (29,461 | ) | 8 | (29,469 | ) | ||||||||||||||||||||||||||
0.62% |
Semi-Annual | 6-Month JPY LIBOR, (0.06%) | Semi-Annual | N/A | 12/14/38 | JPY | 25,000 | (16,621 | ) | 5 | (16,626 | ) | ||||||||||||||||||||||||||
0.41% |
Semi-Annual | 6-Month JPY LIBOR, (0.06%) | Semi-Annual | N/A | 04/04/39 | JPY | 26,190 | (8,045 | ) | 5 | (8,050 | ) | ||||||||||||||||||||||||||
2.82% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 04/04/29 | (a) | 04/04/39 | USD | 3,000 | (283,308 | ) | 46 | (283,354 | ) | |||||||||||||||||||||||||
0.33% |
Semi-Annual | 6-Month JPY LIBOR, (0.06%) | Semi-Annual | N/A | 06/10/39 | JPY | 27,540 | (4,229 | ) | 6 | (4,235 | ) | ||||||||||||||||||||||||||
0.30% |
Semi-Annual | 6-Month JPY LIBOR, (0.06%) | Semi-Annual | N/A | 06/17/39 | JPY | 25,860 | (2,353 | ) | 5 | (2,358 | ) | ||||||||||||||||||||||||||
0.17% |
Semi-Annual | 6-Month JPY LIBOR, (0.06%) | Semi-Annual | N/A | 08/08/39 | JPY | 22,870 | 3,154 | 5 | 3,149 | ||||||||||||||||||||||||||||
1.01% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 04/02/30 | (a) | 04/03/40 | USD | 4,100 | 268,187 | 66 | 268,121 | |||||||||||||||||||||||||||
0.23% |
Semi-Annual | 6-Month JPY LIBOR, (0.06%) | Semi-Annual | N/A | 12/24/40 | JPY | 23,180 | 2,065 | 5 | 2,060 | ||||||||||||||||||||||||||||
0.72% |
Semi-Annual | 6-Month JPY LIBOR, (0.06%) | Semi-Annual | 03/21/24 | (a) | 03/22/44 | JPY | 19,000 | (12,086 | ) | 4 | (12,090 | ) | |||||||||||||||||||||||||
0.20% |
Semi-Annual | 6-Month JPY LIBOR, (0.06%) | Semi-Annual | 08/28/24 | (a) | 08/30/44 | JPY | 12,720 | 4,727 | 3 | 4,724 | |||||||||||||||||||||||||||
0.37% |
Semi-Annual | 6-Month JPY LIBOR, (0.06%) | Semi-Annual | 01/30/25 | (a) | 01/30/45 | JPY | 20,250 | 1,491 | 5 | 1,486 | |||||||||||||||||||||||||||
3.02% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 12/08/38 | (a) | 12/08/48 | USD | 400 | (41,485 | ) | 6 | (41,491 | ) | |||||||||||||||||||||||||
2.38% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 07/05/39 | (a) | 07/06/49 | USD | 620 | (33,882 | ) | 10 | (33,892 | ) | |||||||||||||||||||||||||
1.71% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 08/16/39 | (a) | 08/16/49 | USD | 600 | (2,345 | ) | 9 | (2,354 | ) | |||||||||||||||||||||||||
1.78% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 08/16/39 | (a) | 08/16/49 | USD | 500 | (4,799 | ) | 8 | (4,807 | ) | |||||||||||||||||||||||||
1.67% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 08/17/39 | (a) | 08/17/49 | USD | 460 | (316 | ) | 7 | (323 | ) | |||||||||||||||||||||||||
1.25% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 03/07/50 | USD | 460 | 17,263 | 10 | 17,253 | ||||||||||||||||||||||||||||
1.10% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | N/A | 11/25/50 | USD | 750 | 59,448 | 17 | 59,431 | ||||||||||||||||||||||||||||
0.88% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 07/12/23 | (a) | 07/14/53 | USD | 1,470 | 239,746 | 34 | 239,712 | |||||||||||||||||||||||||||
1.02% |
Semi-Annual | 3-Month LIBOR, 0.24% | Quarterly | 08/14/23 | (a) | 08/14/53 | USD | 1,160 | 150,444 | 27 | 150,417 | |||||||||||||||||||||||||||
3-Month LIBOR, 0.24% |
Quarterly | 1.93% | Semi-Annual | 12/01/26 | (a) | 12/01/56 | USD | 110 | 8,404 | 2 | 8,402 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
$ | 794,465 | $ | 78,320 | $ | 716,145 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
(a) |
Forward Swap. |
OTC Credit Default Swaps Sell Protection
Reference Obligation/Index |
Financing
Rate Received by the Trust |
Payment
Frequency |
Counterparty |
Termination
Date |
Credit
Rating(a) |
Notional
Amount (000)(b) |
Value |
Upfront
Premium Paid (Received) |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||||||||
Rolls-Royce PLC |
1.00 | % | Quarterly | Citibank N.A. | 06/20/25 | BB- | EUR | 6 | $ | (610 | ) | $ | (1,007 | ) | $ | 397 | ||||||||||||||||||
Rolls-Royce PLC |
1.00 | Quarterly | Citibank N.A. | 06/20/25 | BB- | EUR | 14 | (1,336 | ) | (2,215 | ) | 879 | ||||||||||||||||||||||
GKN Holdings PLC |
1.00 | Quarterly | Citibank N.A. | 12/20/25 | BB+ | EUR | 10 | (509 | ) | (516 | ) | 7 | ||||||||||||||||||||||
CMBX.NA.8 |
3.00 | Monthly | Barclays Bank PLC | 10/17/57 | NR | USD | 5,000 | (788,669 | ) | (495,518 | ) | (293,151 | ) | |||||||||||||||||||||
CMBX.NA.8 |
3.00 | Monthly |
Credit Suisse International |
10/17/57 | NR | USD | 2,500 | (394,335 | ) | (245,105 | ) | (149,230 | ) | |||||||||||||||||||||
CMBX.NA.8 |
3.00 | Monthly |
Morgan Stanley & Co. International PLC |
10/17/57 | NR | USD | 5,550 | (875,422 | ) | (721,754 | ) | (153,668 | ) | |||||||||||||||||||||
CMBX.NA.9 |
3.00 | Monthly |
Credit Suisse International |
09/17/58 | NR | USD | 5,000 | (590,509 | ) | (531,063 | ) | (59,446 | ) | |||||||||||||||||||||
CMBX.NA.9 |
3.00 | Monthly |
Credit Suisse International |
09/17/58 | NR | USD | 5,000 | (590,509 | ) | (531,063 | ) | (59,446 | ) |
52 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK)
|
OTC Credit Default Swaps Sell Protection (continued)
Reference Obligation/Index |
Financing
Rate Received by the Trust |
Payment
Frequency |
Counterparty |
Termination
Date |
Credit
Rating(a) |
Notional
Amount (000)(b) |
Value |
Upfront
Premium Paid (Received) |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||||||||||
CMBX.NA.9 |
3.00 | % | Monthly | Credit Suisse International | 09/17/58 | NR | USD | 5,000 | $ | (590,509 | ) | $ | (525,262 | ) | $ | (65,247 | ) | |||||||||||||||||||
CMBX.NA.9 |
3.00 | Monthly | Credit Suisse International | 09/17/58 | NR | USD | 5,000 | (590,510 | ) | (531,013 | ) | (59,497 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
$ | (4,422,918 | ) | $ | (3,584,516 | ) | $ | (838,402 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
(a) |
Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) |
The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written
Description |
Swap
Premiums Paid |
Swap
Premiums Received |
Unrealized
Appreciation |
Unrealized
Depreciation |
Value | |||||||||||||||
Centrally Cleared Swaps(a) |
$ | 79,343 | $ | (1,562,687 | ) | $ | 3,797,882 | $ | (3,611,806 | ) | $ | | ||||||||
OTC Swaps |
| (3,584,516 | ) | 1,283 | (839,685 | ) | | |||||||||||||
Options Written |
| | 5,040,339 | (2,228,990 | ) | (7,826,472 | ) |
(a) |
Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current days variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
Commodity
Contracts |
Credit
Contracts |
Equity
Contracts |
Foreign
Currency Exchange Contracts |
Interest
Rate Contracts |
Other
Contracts |
Total | ||||||||||||||||||||||
Assets Derivative Financial Instruments |
||||||||||||||||||||||||||||
Futures contracts |
||||||||||||||||||||||||||||
Unrealized appreciation on futures contracts(a) |
$ | | $ | | $ | | $ | | $ | 51,799 | $ | | $ | 51,799 | ||||||||||||||
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts |
| | | 55,536 | | | 55,536 | |||||||||||||||||||||
Options purchased |
||||||||||||||||||||||||||||
Investments at value unaffiliated(b) |
| | | | 7,009,179 | | 7,009,179 | |||||||||||||||||||||
Swaps centrally cleared |
||||||||||||||||||||||||||||
Unrealized appreciation on centrally cleared swaps(a) |
| | | | 3,797,882 | | 3,797,882 | |||||||||||||||||||||
Swaps OTC |
||||||||||||||||||||||||||||
Unrealized appreciation on OTC swaps; Swap premiums paid |
| 1,283 | | | | | 1,283 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | | $ | 1,283 | $ | | $ | 55,536 | $ | 10,858,860 | $ | | $ | 10,915,679 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Liabilities Derivative Financial Instruments |
||||||||||||||||||||||||||||
Futures contracts |
||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(a) |
$ | | $ | | $ | | $ | | $ | 507,155 | $ | | $ | 507,155 | ||||||||||||||
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts |
| | | 351,553 | | | 351,553 | |||||||||||||||||||||
Options written |
||||||||||||||||||||||||||||
Options written at value |
| | | | 7,826,472 | | 7,826,472 | |||||||||||||||||||||
Swaps centrally cleared |
||||||||||||||||||||||||||||
Unrealized depreciation on centrally cleared swaps(a) |
| 530,069 | | | 3,081,737 | | 3,611,806 | |||||||||||||||||||||
Swaps OTC |
||||||||||||||||||||||||||||
Unrealized depreciation on OTC swaps; Swap premiums received . |
| 4,424,201 | | | | | 4,424,201 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | | $ | 4,954,270 | $ | | $ | 351,553 | $ | 11,415,364 | $ | | $ | 16,721,187 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current days variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
(b) |
Includes options purchased at value as reported in the Schedule of Investments. |
S C H E D U L E O F I N V E S T M E N T S |
53 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK)
|
For the year ended December 31, 2020, the effect of derivative financial instruments in the Statements of Operations was as follows:
Commodity Contracts |
Credit
Contracts |
Equity
Contracts |
Foreign
Currency Exchange Contracts |
Interest
Rate Contracts |
Other
Contracts |
Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from |
||||||||||||||||||||||||||||
Futures contracts |
$ | | $ | | $ | (663 | ) | $ | | $ | 14,649,407 | $ | | $ | 14,648,744 | |||||||||||||
Forward foreign currency exchange contracts |
| | | (564,320 | ) | | | (564,320 | ) | |||||||||||||||||||
Options purchased(a) |
| | | | (592,822 | ) | | (592,822 | ) | |||||||||||||||||||
Options written |
| | | | 2,919,533 | | 2,919,533 | |||||||||||||||||||||
Swaps |
| 1,634,686 | | | (3,981,459 | ) | | (2,346,773 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | | $ | 1,634,686 | $ | (663 | ) | $ | (564,320 | ) | $ | 12,994,659 | $ | | $ | 14,064,362 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on |
||||||||||||||||||||||||||||
Futures contracts |
$ | | $ | | $ | 36 | $ | | $ | 735,166 | $ | | $ | 735,202 | ||||||||||||||
Forward foreign currency exchange contracts |
| | | (130,125 | ) | | | (130,125 | ) | |||||||||||||||||||
Options purchased(b) |
| | | | 922,734 | | 922,734 | |||||||||||||||||||||
Options written |
| | | | 341,300 | | 341,300 | |||||||||||||||||||||
Swaps |
| (4,727,586 | ) | | | 30,956 | | (4,696,630 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | | $ | (4,727,586 | ) | $ | 36 | $ | (130,125 | ) | $ | 2,030,156 | $ | | $ | (2,827,519 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Options purchased are included in net realized gain (loss) from investments unaffiliated. |
(b) |
Options purchased are included in net change in unrealized appreciation (depreciation) on investments unaffiliated. |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts |
||||
Average notional value of contracts long |
$ | 215,192,464 | ||
Average notional value of contracts short |
$ | 345,895,717 | ||
Forward foreign currency exchange contracts |
||||
Average amounts purchased in USD |
$ | 49,466,035 | ||
Average amounts sold in USD |
$ | 37,890,880 | ||
Options |
||||
Average value of option contracts purchased |
$ | 741,870 | ||
Average value of option contracts written |
$ | 691,651 | ||
Average notional value of swaption contracts purchased |
$ | 316,725,081 | ||
Average notional value of swaption contracts written |
$ | 1,288,042,435 | ||
Credit default swaps |
||||
Average notional value buy protection |
$ | 32,279,131 | ||
Average notional value sell protection |
$ | 44,646,743 | ||
Interest rate swaps |
||||
Average notional value pays fixed rate |
$ | 262,787,532 | ||
Average notional value receives fixed rate |
$ | 352,188,370 |
For more information about the Trusts investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
54 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK)
|
Derivative Financial Instruments Offsetting as of Period End
The Trusts derivative assets and liabilities (by type) were as follows:
Assets | Liabilities | |||||||
Derivative Financial Instruments |
||||||||
Futures contracts |
$ | 130,814 | $ | 120,012 | ||||
Forward foreign currency exchange contracts |
55,536 | 351,553 | ||||||
Options(a) |
7,009,179 | (b) | 7,826,472 | |||||
Swaps centrally cleared |
| 126,095 | ||||||
Swaps OTC(c) |
1,283 | 4,424,201 | ||||||
|
|
|
|
|||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities |
7,196,812 | 12,848,333 | ||||||
|
|
|
|
|||||
Derivatives not subject to a Master Netting Agreement or similar agreement (MNA) |
(272,764 | ) | (623,000 | ) | ||||
|
|
|
|
|||||
Total derivative assets and liabilities subject to an MNA |
$ | 6,924,048 | $ | 12,225,333 | ||||
|
|
|
|
(a) |
Includes forward settling swaptions. |
(b) |
Includes options purchased at value which is included in Investments at value unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments. |
(c) |
Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities. |
The following table presents the Trusts derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Trust:
Counterparty |
|
Derivative
Assets Subject to an MNA by Counterparty |
|
|
Derivatives
Available
|
|
|
Non-Cash
Collateral Received |
|
|
Cash
Collateral Received |
|
|
Net Amount
of Derivative Assets |
(b) |
|||||
Bank of America N.A. |
$ | 135,282 | $ | (135,282 | ) | $ | | $ | | $ | | |||||||||
Barclays Bank PLC |
1,338,252 | (1,338,252 | ) | | | | ||||||||||||||
Citibank N.A. |
902,047 | (652,344 | ) | | | 249,703 | ||||||||||||||
Credit Suisse International |
17 | (17 | ) | | | | ||||||||||||||
Deutsche Bank AG |
2,657,743 | (2,657,743 | ) | | | | ||||||||||||||
Goldman Sachs Bank USA |
116,513 | (116,513 | ) | | | | ||||||||||||||
JPMorgan Chase Bank N.A. |
603,771 | (38,113 | ) | | (490,000 | ) | 75,658 | |||||||||||||
Morgan Stanley & Co. International PLC |
814,139 | (814,139 | ) | | | | ||||||||||||||
Natwest Markets PLC |
49,815 | | | | 49,815 | |||||||||||||||
Nomura International PLC |
192,011 | (17,361 | ) | | | 174,650 | ||||||||||||||
UBS AG |
114,458 | (75,383 | ) | | | 39,075 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 6,924,048 | $ | (5,845,147 | ) | $ | | $ | (490,000 | ) | $ | 588,901 | |||||||||
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Derivative
Liabilities Subject to an MNA by Counterparty |
|
|
Derivatives
Available
|
|
|
Non-Cash
Collateral Pledged |
|
|
Cash
Collateral Pledged |
(c) |
|
Net Amount
of Derivative Liabilities |
(d) |
|||||
Bank of America N.A. |
$ | 580,679 | $ | (135,282 | ) | $ | | $ | (445,397 | ) | $ | | ||||||||
Barclays Bank PLC |
3,245,263 | (1,338,252 | ) | (862,526 | ) | (1,038,000 | ) | 6,485 | ||||||||||||
BNP Paribas S.A. |
322,334 | | | | 322,334 | |||||||||||||||
Citibank N.A. |
652,344 | (652,344 | ) | | | | ||||||||||||||
Credit Suisse International |
2,756,372 | (17 | ) | | (2,590,000 | ) | 166,355 | |||||||||||||
Deutsche Bank AG |
2,828,598 | (2,657,743 | ) | | | 170,855 | ||||||||||||||
Goldman Sachs Bank USA |
465,077 | (116,513 | ) | | (20,000 | ) | 328,564 | |||||||||||||
JPMorgan Chase Bank N.A. |
38,113 | (38,113 | ) | | | | ||||||||||||||
Morgan Stanley & Co. International PLC |
1,243,494 | (814,139 | ) | | (420,000 | ) | 9,355 | |||||||||||||
Nomura International PLC |
17,361 | (17,361 | ) | | | |
S C H E D U L E O F I N V E S T M E N T S |
55 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK)
|
Counterparty |
|
Derivative
Liabilities Subject to an MNA by Counterparty |
|
|
Derivatives
Available for Offset |
(a) |
|
Non-Cash
Collateral Pledged |
|
|
Cash
Collateral Pledged |
(c) |
|
Net Amount
of Derivative Liabilities |
(d) |
|||||
Royal Bank of Canada |
$ | 315 | $ | | $ | | $ | | $ | 315 | ||||||||||
UBS AG |
75,383 | (75,383 | ) | | | | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 12,225,333 | $ | (5,845,147 | ) | $ | (862,526 | ) | $ | (4,513,397 | ) | $ | 1,004,263 | ||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
(b) |
Net amount represents the net amount receivable from the counterparty in the event of default. |
(c) |
Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
(d) |
Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trusts policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Trusts investments and derivative financial instruments categorized in the disclosure hierarchy. The breakdown of the Trusts investments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets |
||||||||||||||||
Investments |
||||||||||||||||
Long-Term Investments |
||||||||||||||||
Asset-Backed Securities |
$ | | $ | 67,729,662 | $ | 27,859 | $ | 67,757,521 | ||||||||
Common Stocks |
| | 21,047 | 21,047 | ||||||||||||
Corporate Bonds |
||||||||||||||||
Advertising Agencies |
| 2,136,750 | | 2,136,750 | ||||||||||||
Aerospace & Defense |
| 16,111,882 | | 16,111,882 | ||||||||||||
Airlines |
| 9,110,893 | | 9,110,893 | ||||||||||||
Auto Components |
| 3,627,175 | | 3,627,175 | ||||||||||||
Automobiles |
| 11,571,018 | | 11,571,018 | ||||||||||||
Banks |
| 16,235,644 | | 16,235,644 | ||||||||||||
Beverages |
| 9,700,359 | | 9,700,359 | ||||||||||||
Biotechnology |
| 4,945,060 | | 4,945,060 | ||||||||||||
Building Materials |
| 2,945,910 | | 2,945,910 | ||||||||||||
Building Products |
| 5,123,821 | | 5,123,821 | ||||||||||||
Capital Markets |
| 16,357,726 | | 16,357,726 | ||||||||||||
Chemicals |
| 6,614,595 | | 6,614,595 | ||||||||||||
Commercial Services & Supplies |
| 1,513,928 | | 1,513,928 | ||||||||||||
Communications Equipment |
| 2,468,415 | | 2,468,415 | ||||||||||||
Construction & Engineering |
| 4,804,758 | | 4,804,758 | ||||||||||||
Construction Materials |
| 2,370,405 | | 2,370,405 | ||||||||||||
Consumer Discretionary |
| 787,903 | | 787,903 | ||||||||||||
Consumer Finance |
| 9,043,491 | | 9,043,491 | ||||||||||||
Containers & Packaging |
| 2,520,368 | | 2,520,368 | ||||||||||||
Diversified Consumer Services |
| 3,119,358 | | 3,119,358 | ||||||||||||
Diversified Financial Services |
| 29,384,065 | | 29,384,065 | ||||||||||||
Diversified Telecommunication Services |
| 36,817,485 | | 36,817,485 | ||||||||||||
Electric Utilities |
| 30,241,960 | | 30,241,960 | ||||||||||||
Electrical Equipment |
| 314,624 | | 314,624 | ||||||||||||
Electronic Equipment, Instruments & Components |
| 3,425,362 | | 3,425,362 | ||||||||||||
Energy Equipment & Services |
| 1,974,678 | 260,189 | 2,234,867 | ||||||||||||
Environmental, Maintenance, & Security Service |
| 1,969,223 | | 1,969,223 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) |
| 11,619,119 | | 11,619,119 | ||||||||||||
Food & Staples Retailing |
| 7,040,592 | | 7,040,592 | ||||||||||||
Food Products |
| 2,623,006 | | 2,623,006 | ||||||||||||
Health Care Equipment & Supplies |
| 3,589,157 | | 3,589,157 | ||||||||||||
Health Care Providers & Services |
| 13,751,705 | | 13,751,705 | ||||||||||||
Health Care Technology |
| 2,083,835 | | 2,083,835 | ||||||||||||
Hotels, Restaurants & Leisure |
| 13,862,993 | 4,128,877 | 17,991,870 | ||||||||||||
Household Durables |
| 2,429,685 | | 2,429,685 |
56 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK)
|
Fair Value Hierarchy as of Period End (continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Corporate Bonds (continued) |
||||||||||||||||
Household Products |
$ | | $ | 110,695 | $ | | $ | 110,695 | ||||||||
Independent Power and Renewable Electricity Producers |
| 3,776,896 | | 3,776,896 | ||||||||||||
Insurance |
| 23,815,612 | | 23,815,612 | ||||||||||||
Interactive Media & Services |
| 1,831,349 | | 1,831,349 | ||||||||||||
Internet Software & Services |
| 1,941,849 | | 1,941,849 | ||||||||||||
IT Services |
| 5,539,878 | | 5,539,878 | ||||||||||||
Leisure Products |
| 653,450 | | 653,450 | ||||||||||||
Machinery |
| 1,996,099 | | 1,996,099 | ||||||||||||
Media |
| 44,342,453 | | 44,342,453 | ||||||||||||
Metals & Mining |
| 8,297,185 | | 8,297,185 | ||||||||||||
Multi-line Retail |
| 385,431 | | 385,431 | ||||||||||||
Multi-Utilities |
| 1,419,438 | | 1,419,438 | ||||||||||||
Offshore Drilling & Other Services |
| 120,486 | | 120,486 | ||||||||||||
Oil, Gas & Consumable Fuels |
117,490 | 57,617,773 | 1,814,072 | 59,549,335 | ||||||||||||
Personal Products |
| 107,470 | | 107,470 | ||||||||||||
Pharmaceuticals |
| 19,378,488 | | 19,378,488 | ||||||||||||
Producer Durables: Miscellaneous |
| 4,341,648 | | 4,341,648 | ||||||||||||
Real Estate Management & Development |
| 22,152,386 | | 22,152,386 | ||||||||||||
Road & Rail |
| 8,236,449 | | 8,236,449 | ||||||||||||
Semiconductors & Semiconductor Equipment |
| 6,475,296 | | 6,475,296 | ||||||||||||
Software |
| 10,691,196 | | 10,691,196 | ||||||||||||
Specialty Retail |
| 1,521,977 | | 1,521,977 | ||||||||||||
Technology Hardware, Storage & Peripherals |
| 5,166,439 | | 5,166,439 | ||||||||||||
Textiles, Apparel & Luxury Goods |
| 63,483 | | 63,483 | ||||||||||||
Thrifts & Mortgage Finance |
| 491,166 | | 491,166 | ||||||||||||
Tobacco |
| 10,245,478 | | 10,245,478 | ||||||||||||
Transportation |
| 122,470 | | 122,470 | ||||||||||||
Transportation Infrastructure |
| 2,705,559 | 834,892 | 3,540,451 | ||||||||||||
Utilities |
| 10,287,625 | | 10,287,625 | ||||||||||||
Wireless Telecommunication Services |
| 10,193,479 | | 10,193,479 | ||||||||||||
Floating Rate Loan Interests |
| 19,797,522 | 617,454 | 20,414,976 | ||||||||||||
Foreign Agency Obligations |
| 30,091,766 | | 30,091,766 | ||||||||||||
Municipal Bonds |
| 26,721,926 | | 26,721,926 | ||||||||||||
Non-Agency Mortgage-Backed Securities |
| 44,886,526 | | 44,886,526 | ||||||||||||
Preferred Securities |
||||||||||||||||
Capital Trusts |
| 46,245,034 | | 46,245,034 | ||||||||||||
Preferred Stocks |
||||||||||||||||
Capital Markets |
4,434,818 | | | 4,434,818 | ||||||||||||
Thrifts & Mortgage Finance |
| 85,800 | | 85,800 | ||||||||||||
Trust Preferred |
843,116 | | | 843,116 | ||||||||||||
U.S. Government Sponsored Agency Securities |
| 102,887,251 | | 102,887,251 | ||||||||||||
U.S. Treasury Obligations |
| 253,621,551 | | 253,621,551 | ||||||||||||
Warrants |
| 47,420 | | 47,420 | ||||||||||||
Short-Term Securities |
||||||||||||||||
Money Market Funds |
8,065,454 | | | 8,065,454 | ||||||||||||
U.S. Treasury Obligations |
| 2,851,625 | | 2,851,625 | ||||||||||||
Options Purchased |
||||||||||||||||
Interest Rate Contracts |
141,950 | 6,867,229 | | 7,009,179 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 13,602,828 | $ | 1,158,099,463 | $ | 7,704,390 | $ | 1,179,406,681 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Derivative Financial Instruments(a) |
||||||||||||||||
Assets |
||||||||||||||||
Credit Contracts |
$ | | $ | 1,283 | $ | | $ | 1,283 | ||||||||
Foreign Currency Exchange Contracts |
| 55,536 | | 55,536 | ||||||||||||
Interest Rate Contracts |
51,799 | 3,797,882 | | 3,849,681 | ||||||||||||
Liabilities |
||||||||||||||||
Credit Contracts |
| (1,369,754 | ) | | (1,369,754 | ) | ||||||||||
Foreign Currency Exchange Contracts |
| (351,553 | ) | | (351,553 | ) | ||||||||||
Interest Rate Contracts |
(884,048 | ) | (10,531,316 | ) | | (11,415,364 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | (832,249 | ) | $ | (8,397,922 | ) | $ | | $ | (9,230,171 | ) | ||||||
|
|
|
|
|
|
|
|
(a) |
Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
S C H E D U L E O F I N V E S T M E N T S |
57 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Core Bond Trust (BHK)
|
The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $296,921,014 are categorized as Level 2 within the disclosure hierarchy.
A reconciliation of Level 3 financial instruments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
Asset-Backed
Securities |
Common
Stocks |
Corporate
Bonds |
Floating
Rate Loan Interests |
Total | ||||||||||||||||
Assets |
||||||||||||||||||||
Opening balance, as of December 31, 2019 |
$ | 1,640,060 | $ | | $ | 8,618,085 | $ | 845,594 | $ | 11,103,739 | ||||||||||
Transfers into Level 3 |
| | | 34,674 | 34,674 | |||||||||||||||
Transfers out of Level 3 |
(1,500,000 | ) | | | (258,280 | ) | (1,758,280 | ) | ||||||||||||
Accrued discounts/premiums |
(118,714 | ) | | 8,355 | 612 | (109,747 | ) | |||||||||||||
Net realized gain (loss) |
| | 695 | (27,101 | ) | (26,406 | ) | |||||||||||||
Net change in unrealized appreciation (depreciation)(a)(b) |
6,513 | 13,823 | (1,752,226 | ) | 26,046 | (1,705,844 | ) | |||||||||||||
Purchases |
| 7,224 | 268,956 | 578,288 | 854,468 | |||||||||||||||
Sales |
| | (105,835 | ) | (582,379 | ) | (688,214 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Closing balance, as of December 31, 2020 |
$ | 27,859 | $ | 21,047 | $ | 7,038,030 | $ | 617,454 | $ | 7,704,390 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020(b) |
$ | 6,513 | $ | 13,823 | $ | (1,752,226 | ) | $ | 9,584 | $ | (1,722,306 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
(b) |
Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020 is generally due to investments no longer held or categorized as Level 3 at period end. |
See notes to financial statements.
58 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities |
|
|||||||
Anchorage Capital Europe CLO 2 DAC, Series 2X, Class E, (3 mo. EURIBOR + 5.66%), 5.66%, 05/15/31(a) |
EUR | 203 | $ | 244,356 | ||||
Ares XXXIIR CLO Ltd., Series 2014-32RA, Class B, (3 mo. LIBOR US + 1.80%), 2.02%, 05/15/30(a)(b) |
USD | 500 | 485,000 | |||||
CIFC Funding Ltd., Series 2014-4RA, Class B, (3 mo. LIBOR US + 2.20%), 2.42%, 10/17/30(a)(b) |
250 | 248,506 | ||||||
Galaxy XVIII CLO Ltd., Series 2018-28A, Class C, (3 mo. LIBOR US + 1.95%), 2.19%,
|
250 | 243,789 | ||||||
Greene King Finance PLC(a) |
||||||||
Series B1, (3 mo. LIBOR GBP + 1.80%), 1.84%, 12/15/34 |
GBP | 100 | 100,574 | |||||
Series B2, (3 mo. LIBOR GBP + 2.08%), 2.12%, 03/15/36 |
100 | 97,820 | ||||||
|
|
|||||||
Total Asset-Backed Securities 0.1%
(Cost: $1,461,471) |
1,420,045 | |||||||
|
|
|||||||
Shares | ||||||||
Common Stocks |
|
|||||||
Auto Components 0.0% | ||||||||
Lear Corp. |
227 | 36,100 | ||||||
|
|
|||||||
Building Products 0.0% | ||||||||
AZEK Co., Inc.(c) |
1,120 | 43,064 | ||||||
|
|
|||||||
Chemicals 0.3% | ||||||||
Element Solutions, Inc. |
213,527 | 3,785,834 | ||||||
|
|
|||||||
Consumer Finance 0.0% | ||||||||
Ally Financial, Inc. |
1 | 36 | ||||||
Arrow Global Group PLC(c) |
28,524 | 79,749 | ||||||
|
|
|||||||
79,785 | ||||||||
Diversified Financial Services(d) 0.1% | ||||||||
Kcad Holdings I Ltd.(c) |
2,223,465,984 | 22,235 | ||||||
UCI International Remainco
|
109,729 | 840,524 | ||||||
|
|
|||||||
862,759 | ||||||||
Diversified Telecommunication Services 0.1% | ||||||||
CenturyLink, Inc. |
84,328 | 822,198 | ||||||
Telecom Italia SpA/Milano |
145,490 | 75,810 | ||||||
|
|
|||||||
898,008 | ||||||||
Energy Equipment & Services(c)(d) 0.0% | ||||||||
Osum Oil Sands Corp. 01/14/21(e) |
400,000 | 653,625 | ||||||
Pioneer Energy Services Corp. |
5,062 | 196,573 | ||||||
|
|
|||||||
850,198 | ||||||||
Entertainment 0.1% | ||||||||
Live Nation Entertainment, Inc.(c) |
19,787 | 1,453,949 | ||||||
|
|
|||||||
Equity Real Estate Investment Trusts (REITs)(c) 0.6% | ||||||||
Gaming and Leisure Properties, Inc. |
94,060 | 3,988,144 | ||||||
VICI Properties, Inc. |
217,410 | 5,543,955 | ||||||
|
|
|||||||
9,532,099 | ||||||||
Life Sciences Tools & Services 0.0% | ||||||||
PPD, Inc.(c) |
7,497 | 256,547 | ||||||
|
|
Security | Shares | Value | ||||||||||
Media 0.1% | ||||||||||||
Clear Channel Outdoor Holdings, Inc. |
527,174 | $ | 869,837 | |||||||||
Emmis Communications Corp., Class A |
7,210 | 13,122 | ||||||||||
Mediaco Holding Inc., Class A(c) |
912 | 2,371 | ||||||||||
|
|
|||||||||||
885,330 | ||||||||||||
Metals & Mining 0.3% | ||||||||||||
Constellium SE(c) |
285,624 | 3,995,880 | ||||||||||
|
|
|||||||||||
Oil, Gas & Consumable Fuels 0.0% | ||||||||||||
BP Capital Markets PLC(a)(f) |
125,000 | 183,330 | ||||||||||
|
|
|||||||||||
Pharmaceuticals 0.2% | ||||||||||||
Bausch Health Cos., Inc.(c) |
135,652 | 2,821,562 | ||||||||||
|
|
|||||||||||
Semiconductors & Semiconductor Equipment(c) 0.0% | ||||||||||||
Maxeon Solar Technologies Ltd. |
128 | 3,631 | ||||||||||
SunPower Corp. |
1,025 | 26,281 | ||||||||||
|
|
|||||||||||
29,912 | ||||||||||||
|
|
|||||||||||
Total Common Stocks 1.8%
(Cost: $51,847,654) |
25,714,357 | |||||||||||
|
|
|||||||||||
Par
(000) |
||||||||||||
Corporate Bonds |
||||||||||||
Aerospace & Defense 6.4% | ||||||||||||
Amsted Industries, Inc., 5.63%,
|
USD | 890 | 945,625 | |||||||||
Boeing Co. |
||||||||||||
5.15%, 05/01/30 |
4,000 | 4,841,006 | ||||||||||
5.81%, 05/01/50 |
6,000 | 8,268,870 | ||||||||||
5.93%, 05/01/60 |
5,000 | 7,092,970 | ||||||||||
Bombardier, Inc.(b) |
||||||||||||
8.75%, 12/01/21 |
3,455 | 3,593,200 | ||||||||||
5.75%, 03/15/22 |
404 | 412,189 | ||||||||||
6.13%, 01/15/23 |
1,200 | 1,173,000 | ||||||||||
7.50%, 12/01/24 |
857 | 822,094 | ||||||||||
7.50%, 03/15/25 |
449 | 416,448 | ||||||||||
7.88%, 04/15/27 |
5,092 | 4,681,788 | ||||||||||
EnPro Industries, Inc., 5.75%, 10/15/26 |
2,192 | 2,329,000 | ||||||||||
F-Brasile SpA/F-Brasile US LLC, Series XR, 7.38%, 08/15/26(b) |
2,295 | 2,226,150 | ||||||||||
General Electric Co. |
||||||||||||
4.25%, 05/01/40 |
805 | 951,676 | ||||||||||
4.35%, 05/01/50 |
640 | 778,335 | ||||||||||
Howmet Aerospace, Inc. |
||||||||||||
5.87%, 02/23/22 |
1,363 | 1,426,039 | ||||||||||
5.13%, 10/01/24 |
44 | 48,437 | ||||||||||
Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(b) |
1,810 | 1,898,238 | ||||||||||
Rolls-Royce PLC |
||||||||||||
4.63%, 02/16/26 |
EUR | 100 | 131,938 | |||||||||
5.75%, 10/15/27(b) |
USD | 2,787 | 3,086,602 | |||||||||
Signature Aviation US Holdings, Inc.(b) |
||||||||||||
5.38%, 05/01/26 |
1,467 | 1,503,675 | ||||||||||
4.00%, 03/01/28 |
1,391 | 1,400,250 | ||||||||||
Spirit AeroSystems, Inc., 5.50%, 01/15/25(b) |
926 | 976,837 | ||||||||||
SSL Robotics LLC, 9.75%, 12/31/23(b) |
851 | 961,630 | ||||||||||
TransDigm, Inc. |
||||||||||||
8.00%, 12/15/25(b) |
3,833 | 4,236,615 | ||||||||||
6.25%, 03/15/26(b) |
31,017 | 33,033,105 |
C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S |
59 |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Aerospace & Defense (continued) | ||||||||||||
TransDigm, Inc. (continued) |
||||||||||||
6.38%, 06/15/26 |
USD | 1,083 | $ | 1,120,905 | ||||||||
Triumph Group, Inc., 8.88%, 06/01/24(b) |
4,491 | 4,928,872 | ||||||||||
|
|
|||||||||||
93,285,494 | ||||||||||||
Airlines 1.4% | ||||||||||||
American Airlines, Inc., 11.75%,
|
1,641 | 1,892,483 | ||||||||||
Delta Air Lines, Inc., 7.00%, 05/01/25(b) |
1,917 | 2,213,277 | ||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd.(b) |
||||||||||||
4.50%, 10/20/25 |
975 | 1,042,138 | ||||||||||
4.75%, 10/20/28 |
3,005 | 3,279,995 | ||||||||||
International Consolidated Airlines Group SA, 0.50%, 07/04/23 |
EUR | 100 | 112,659 | |||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(b) |
USD | 5,288 | 5,684,600 | |||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 09/20/25(b) |
360 | 403,166 | ||||||||||
United Airlines Pass-Through Trust, Series 2016-1, Class A, 5.88%, 10/15/27 |
4,953 | 5,350,292 | ||||||||||
|
|
|||||||||||
19,978,610 | ||||||||||||
Auto Components 1.7% | ||||||||||||
Adient US LLC, 9.00%, 04/15/25(b) |
1,088 | 1,213,120 | ||||||||||
Clarios Global LP, 6.75%, 05/15/25(b) |
1,321 | 1,423,377 | ||||||||||
Clarios Global LP/Clarios US Finance Co. |
||||||||||||
4.38%, 05/15/26 |
EUR | 301 | 380,918 | |||||||||
6.25%, 05/15/26(b) |
USD | 5,983 | 6,416,767 | |||||||||
8.50%, 05/15/27(b) |
8,717 | 9,470,230 | ||||||||||
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28(b) |
2,020 | 2,126,919 | ||||||||||
Faurecia SE, 3.75%, 06/15/28 |
EUR | 100 | 128,121 | |||||||||
Goodyear Tire & Rubber Co., 9.50%, 05/31/25 |
USD | 1,085 | 1,226,375 | |||||||||
IHO Verwaltungs GmbH(g) |
||||||||||||
(3.88% Cash or 4.63% PIK), 3.88%, 05/15/27 |
EUR | 252 | 319,361 | |||||||||
(6.00% Cash or 6.75% PIK), 6.00%, 05/15/27(b) . |
USD | 200 | 212,000 | |||||||||
Meritor, Inc., 4.50%, 12/15/28(b) |
383 | 392,575 | ||||||||||
Schaeffler AG, 3.38%, 10/12/28 |
EUR | 100 | 134,381 | |||||||||
Tenneco, Inc., 7.88%, 01/15/29(b) |
USD | 402 | 451,350 | |||||||||
ZF Europe Finance BV, 2.00%, 02/23/26 |
EUR | 100 | 120,638 | |||||||||
ZF Finance GmbH |
||||||||||||
3.00%, 09/21/25 |
200 | 252,271 | ||||||||||
3.75%, 09/21/28 |
200 | 262,044 | ||||||||||
|
|
|||||||||||
24,530,447 | ||||||||||||
Automobiles 3.1% | ||||||||||||
Allison Transmission, Inc.(b) |
||||||||||||
5.88%, 06/01/29 |
USD | 1,991 | 2,200,055 | |||||||||
3.75%, 01/30/31 |
1,595 | 1,631,884 | ||||||||||
Asbury Automotive Group, Inc. |
||||||||||||
4.50%, 03/01/28 |
751 | 782,917 | ||||||||||
4.75%, 03/01/30 |
732 | 785,070 | ||||||||||
FCE Bank PLC, 1.62%, 05/11/23 |
EUR | 100 | 122,228 | |||||||||
Fiat Chrysler Automobiles NV |
||||||||||||
3.88%, 01/05/26 |
150 | 208,182 | ||||||||||
4.50%, 07/07/28 |
200 | 298,083 | ||||||||||
Ford Motor Co. |
||||||||||||
8.50%, 04/21/23 |
USD | 1,362 | 1,532,945 | |||||||||
4.75%, 01/15/43 |
426 | 434,520 | ||||||||||
5.29%, 12/08/46 |
532 | 555,940 | ||||||||||
Ford Motor Credit Co. LLC |
||||||||||||
3.20%, 01/15/21 |
200 | 200,100 |
Security |
Par
(000) |
Value | ||||||||||
Automobiles (continued) | ||||||||||||
Ford Motor Credit Co. LLC (continued) |
||||||||||||
5.88%, 08/02/21 |
USD | 1,636 | $ | 1,674,446 | ||||||||
5.60%, 01/07/22 |
387 | 400,034 | ||||||||||
2.98%, 08/03/22 |
595 | 604,936 | ||||||||||
3.09%, 01/09/23 |
200 | 203,489 | ||||||||||
4.14%, 02/15/23 |
829 | 853,870 | ||||||||||
3.10%, 05/04/23 |
400 | 404,124 | ||||||||||
4.38%, 08/06/23 |
410 | 425,375 | ||||||||||
3.81%, 01/09/24 |
2,063 | 2,114,575 | ||||||||||
1.74%, 07/19/24 |
EUR | 100 | 121,384 | |||||||||
4.06%, 11/01/24 |
USD | 200 | 210,114 | |||||||||
5.13%, 06/16/25 |
2,539 | 2,760,655 | ||||||||||
4.13%, 08/04/25 |
2,166 | 2,271,592 | ||||||||||
3.25%, 09/15/25 |
EUR | 100 | 128,188 | |||||||||
3.38%, 11/13/25 |
USD | 489 | 502,379 | |||||||||
2.33%, 11/25/25 |
EUR | 300 | 371,571 | |||||||||
4.39%, 01/08/26 |
USD | 507 | 532,188 | |||||||||
4.13%, 08/17/27 |
240 | 251,400 | ||||||||||
4.00%, 11/13/30 |
207 | 217,350 | ||||||||||
General Motors Co. |
||||||||||||
5.00%, 10/01/28 |
254 | 302,229 | ||||||||||
5.00%, 04/01/35 |
655 | 788,672 | ||||||||||
6.25%, 10/02/43 |
2,032 | 2,741,106 | ||||||||||
5.20%, 04/01/45 |
1,654 | 2,008,662 | ||||||||||
6.75%, 04/01/46 |
529 | 762,150 | ||||||||||
5.95%, 04/01/49 |
1,690 | 2,285,591 | ||||||||||
General Motors Financial Co., Inc., 5.65%, 01/17/29 |
281 | 348,184 | ||||||||||
Group 1 Automotive, Inc., 4.00%,
|
838 | 863,794 | ||||||||||
Jaguar Land Rover Automotive PLC, 4.50%, 01/15/26 |
EUR | 100 | 115,141 | |||||||||
Ken Garff Automotive LLC, 4.88%,
|
USD | 680 | 707,200 | |||||||||
Navistar International Corp.(b) |
||||||||||||
9.50%, 05/01/25 |
411 | 461,348 | ||||||||||
6.63%, 11/01/25 |
2,325 | 2,435,786 | ||||||||||
Nissan Motor Co. Ltd., 4.81%, 09/17/30(b) |
1,701 | 1,915,354 | ||||||||||
Penske Automotive Group, Inc. |
||||||||||||
3.50%, 09/01/25 |
1,101 | 1,118,891 | ||||||||||
5.50%, 05/15/26 |
299 | 310,586 | ||||||||||
RCI Banque SA, (5 year EUR Swap + 2.85%), 2.63%, 02/18/30(a) |
EUR | 100 | 123,142 | |||||||||
Renault SA, 2.38%, 05/25/26 |
100 | 123,539 | ||||||||||
Tesla, Inc., 5.30%, 08/15/25(b) |
USD | 2,146 | 2,237,205 | |||||||||
Volvo Car AB, 2.50%, 10/07/27 |
EUR | 100 | 129,165 | |||||||||
Wabash National Corp., 5.50%, 10/01/25(b) |
USD | 2,154 | 2,197,080 | |||||||||
|
|
|||||||||||
44,774,419 | ||||||||||||
Banks 0.5% | ||||||||||||
Banca Monte dei Paschi di Siena SpA 2.63%, 04/28/25 |
EUR | 125 | 156,554 | |||||||||
(5 year EUR Swap + 8.92%), 8.50%, 09/10/30(a) |
100 | 122,470 | ||||||||||
Banco de Sabadell SA, (5 year EUR Swap + 2.20%), 2.00%, 01/17/30(a) |
200 | 236,931 | ||||||||||
Banco Espirito Santo SA(a)(c)(h) |
||||||||||||
4.75%, 01/15/21 |
1,900 | 301,747 | ||||||||||
4.00%, 01/21/21 |
1,100 | 174,696 | ||||||||||
CIT Group, Inc. |
||||||||||||
5.00%, 08/15/22 |
USD | 278 | 294,680 | |||||||||
5.00%, 08/01/23 |
404 | 441,370 |
60 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Banks (continued) | ||||||||||||
CIT Group, Inc. (continued) |
||||||||||||
6.00%, 04/01/36 |
USD | 3,261 | $ | 3,741,997 | ||||||||
Commerzbank AG(a) |
||||||||||||
(5 year EUR Swap + 4.35%), 4.00%, 12/05/30 |
EUR | 100 | 133,384 | |||||||||
(5 year EUR Swap + 6.36%), 6.13%(f) |
200 | 260,517 | ||||||||||
Deutsche Pfandbriefbank AG, 4.60%, 02/22/27 |
100 | 124,297 | ||||||||||
Freedom Mortgage Corp., 7.63%, 05/01/26(b) |
USD | 400 | 423,080 | |||||||||
Intesa Sanpaolo SpA, 5.15%, 06/10/30 |
GBP | 125 | 199,671 | |||||||||
Unione di Banche Italiane SpA, (5 year EUR Swap + 5.75%), 5.88%, 03/04/29(a) |
EUR | 200 | 272,936 | |||||||||
|
|
|||||||||||
6,884,330 | ||||||||||||
Beverages 2.0% | ||||||||||||
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(b)(g) |
USD | 4,894 | 5,224,505 | |||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. |
||||||||||||
5.25%, 04/30/25(b) |
798 | 841,890 | ||||||||||
4.13%, 08/15/26(b) |
1,138 | 1,189,210 | ||||||||||
4.75%, 07/15/27(b) |
GBP | 427 | 605,094 | |||||||||
4.75%, 07/15/27 |
212 | 300,421 | ||||||||||
5.25%, 08/15/27(b) |
USD | 3,429 | 3,599,799 | |||||||||
Ball Corp., 4.88%, 03/15/26 |
830 | 937,485 | ||||||||||
Canpack SA/Eastern PA Land Investment Holding LLC, 3.13%, 11/01/25(b) |
584 | 582,540 | ||||||||||
Crown Cork & Seal Co., Inc., 7.38%, 12/15/26 |
155 | 188,713 | ||||||||||
Mauser Packaging Solutions Holding Co., 5.50%, 04/15/24(b) |
2,321 | 2,366,793 | ||||||||||
OI European Group BV, 3.13%, 11/15/24 |
EUR | 100 | 126,209 | |||||||||
Silgan Holdings, Inc. |
||||||||||||
3.25%, 03/15/25 |
300 | 370,286 | ||||||||||
4.13%, 02/01/28 |
USD | 51 | 52,976 | |||||||||
2.25%, 06/01/28 |
EUR | 199 | 246,740 | |||||||||
Trivium Packaging Finance BV |
||||||||||||
3.75%, 08/15/26 |
320 | 401,483 | ||||||||||
5.50%, 08/15/26(b) |
USD | 3,383 | 3,577,523 | |||||||||
8.50%, 08/15/27(b) |
7,641 | 8,366,895 | ||||||||||
|
|
|||||||||||
28,978,562 | ||||||||||||
Biotechnology 0.0% | ||||||||||||
Emergent BioSolutions, Inc., 3.88%, 08/15/28(b) |
393 | 406,952 | ||||||||||
|
|
|||||||||||
Building Materials 1.5% | ||||||||||||
Boise Cascade Co., 4.88%, 07/01/30(b) |
717 | 776,153 | ||||||||||
Builders FirstSource, Inc., 6.75%, 06/01/27(b) |
682 | 739,772 | ||||||||||
Cemex SAB de CV, 3.13%, 03/19/26 |
EUR | 150 | 188,115 | |||||||||
Cornerstone Building Brands, Inc., 6.13%, 01/15/29(b) |
USD | 1,977 | 2,100,562 | |||||||||
CP Atlas Buyer, Inc., 7.00%, 12/01/28(b) |
475 | 494,000 | ||||||||||
Forterra Finance LLC/FRTA Finance Corp., 6.50%, 07/15/25(b) |
2,144 | 2,304,800 | ||||||||||
Griffon Corp., 5.75%, 03/01/28 |
456 | 482,220 | ||||||||||
HT Troplast GmbH, 9.25%, 07/15/25 |
EUR | 128 | 173,103 | |||||||||
James Hardie International Finance
|
||||||||||||
4.75%, 01/15/25 |
USD | 406 | 412,987 | |||||||||
5.00%, 01/15/28 |
458 | 486,474 | ||||||||||
Jeld-Wen, Inc.(b) |
||||||||||||
6.25%, 05/15/25 |
852 | 920,160 | ||||||||||
4.63%, 12/15/25 |
321 | 327,584 | ||||||||||
4.88%, 12/15/27 |
99 | 104,693 | ||||||||||
Masonite International Corp.(b) |
||||||||||||
5.75%, 09/15/26 |
701 | 732,545 | ||||||||||
5.38%, 02/01/28 |
239 | 256,626 |
Security |
Par
(000) |
Value | ||||||||||
Building Materials (continued) | ||||||||||||
Norbord, Inc., 6.25%, 04/15/23(b) |
USD | 1,566 | $ | 1,699,110 | ||||||||
SRM Escrow Issuer LLC, 6.00%, 11/01/28(b) |
2,267 | 2,369,366 | ||||||||||
Standard Industries, Inc. |
||||||||||||
2.25%, 11/21/26 |
EUR | 134 | 165,123 | |||||||||
5.00%, 02/15/27(b) |
USD | 576 | 601,920 | |||||||||
4.38%, 07/15/30(b) |
2,489 | 2,662,558 | ||||||||||
3.38%, 01/15/31(b) |
3,268 | 3,284,340 | ||||||||||
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29(b) |
923 | 969,150 | ||||||||||
|
|
|||||||||||
22,251,361 | ||||||||||||
Building Products(b) 0.7% | ||||||||||||
Advanced Drainage Systems, Inc., 5.00%, 09/30/27 |
1,464 | 1,537,756 | ||||||||||
LBM Acquisition LLC, 6.25%, 01/15/29 |
1,056 | 1,090,320 | ||||||||||
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26 |
1,974 | 2,091,927 | ||||||||||
SRS Distribution, Inc., 8.25%, 07/01/26 |
2,201 | 2,338,562 | ||||||||||
White Cap Buyer LLC, 6.88%, 10/15/28 |
2,515 | 2,681,619 | ||||||||||
|
|
|||||||||||
9,740,184 | ||||||||||||
Capital Markets 1.7% | ||||||||||||
Charles Schwab Corp., (10 year CMT + 3.08%), 4.00%(a)(f) |
4,775 | 5,025,687 | ||||||||||
ESC Lehman Brothers Holding Production, 1.00%, 12/31/49(a)(c)(h) |
1,535 | 17,192 | ||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. |
||||||||||||
6.25%, 02/01/22 |
14 | 14,035 | ||||||||||
4.75%, 09/15/24 |
591 | 613,901 | ||||||||||
6.38%, 12/15/25 |
532 | 550,354 | ||||||||||
6.25%, 05/15/26 |
3,129 | 3,313,298 | ||||||||||
5.25%, 05/15/27 |
848 | 909,056 | ||||||||||
Lehman Brothers Holding Escrow, 1.00%, 09/22/19(c)(h) |
430 | 4,816 | ||||||||||
Lehman Brothers Holdings, Inc.(c)(h) |
||||||||||||
4.75%, 01/15/21(a)(d) |
EUR | 1,890 | 24,013 | |||||||||
1.00%, 02/05/21(a) |
3,950 | 55,493 | ||||||||||
5.38%, 10/17/49 |
350 | 4,404 | ||||||||||
LHC3 PLC, (4.13% Cash or 4.88% PIK), 4.13%, 08/15/24(g) |
220 | 273,066 | ||||||||||
LPL Holdings, Inc., 5.75%, 09/15/25(b) |
USD | 323 | 334,118 | |||||||||
NFP Corp.(b) |
||||||||||||
7.00%, 05/15/25 |
531 | 570,825 | ||||||||||
6.88%, 08/15/28 |
4,879 | 5,209,211 | ||||||||||
Owl Rock Capital Corp. |
||||||||||||
5.25%, 04/15/24 |
658 | 712,133 | ||||||||||
4.00%, 03/30/25 |
715 | 746,571 | ||||||||||
3.75%, 07/22/25 |
2,908 | 3,017,645 | ||||||||||
4.25%, 01/15/26 |
996 | 1,049,115 | ||||||||||
3.40%, 07/15/26 |
495 | 502,088 | ||||||||||
Owl Rock Technology Finance Corp., 3.75%, 06/17/26(b) |
700 | 703,800 | ||||||||||
RP Escrow Issuer LLC, 5.25%, 12/15/25(b) |
803 | 839,183 | ||||||||||
|
|
|||||||||||
24,490,004 | ||||||||||||
Chemicals 3.1% | ||||||||||||
Ashland Services BV, 2.00%, 01/30/28 |
EUR | 251 | 305,484 | |||||||||
Atotech Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23(b)(g) |
USD | 1,651 | 1,663,714 | |||||||||
Atotech Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 02/01/25(b) |
9,638 | 9,806,665 | ||||||||||
Axalta Coating Systems LLC, 3.38%, 02/15/29(b) |
1,522 | 1,522,000 |
C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S |
61 |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Chemicals (continued) | ||||||||||||
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27(b) |
USD | 626 | $ | 665,907 | ||||||||
Blue Cube Spinco LLC |
||||||||||||
9.75%, 10/15/23 |
223 | 229,132 | ||||||||||
10.00%, 10/15/25 |
1,225 | 1,296,969 | ||||||||||
Chemours Co., 5.75%, 11/15/28(b) |
609 | 621,180 | ||||||||||
Element Solutions, Inc., 3.88%, 09/01/28(b) |
6,284 | 6,464,665 | ||||||||||
GCP Applied Technologies, Inc., 5.50%, 04/15/26(b) |
791 | 814,730 | ||||||||||
HB Fuller Co., 4.25%, 10/15/28 |
541 | 554,525 | ||||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(b) |
1,692 | 1,861,200 | ||||||||||
INEOS Finance PLC, 3.38%, 03/31/26 |
EUR | 248 | 312,133 | |||||||||
Ingevity Corp., 3.88%, 11/01/28(b) |
USD | 494 | 497,705 | |||||||||
K&S AG, 3.00%, 06/20/22 |
EUR | 100 | 121,737 | |||||||||
Kraton Polymers LLC/Kraton Polymers Capital Corp., 5.25%, 05/15/26 |
100 | 125,957 | ||||||||||
Minerals Technologies,
Inc.,
|
USD | 878 | 918,739 | |||||||||
Monitchem HoldCo 2 SA, 9.50%, 09/15/26 |
EUR | 100 | 130,778 | |||||||||
Monitchem HoldCo 3 SA, 5.25%, 03/15/25 |
222 | 280,739 | ||||||||||
NOVA Chemicals Corp., 4.88%,
|
USD | 456 | 474,810 | |||||||||
OCI NV |
||||||||||||
3.13%, 11/01/24 |
EUR | 100 | 125,525 | |||||||||
5.25%, 11/01/24(b) |
USD | 1,218 | 1,265,197 | |||||||||
3.63%, 10/15/25 |
EUR | 129 | 163,503 | |||||||||
PQ Corp., 5.75%, 12/15/25(b) |
USD | 3,618 | 3,712,972 | |||||||||
Rayonier AM Products, Inc., 7.63%, 01/15/26(b) |
339 | 353,492 | ||||||||||
Synthomer PLC, 3.88%, 07/01/25 |
EUR | 100 | 127,895 | |||||||||
Valvoline, Inc. |
||||||||||||
4.38%, 08/15/25 |
USD | 680 | 702,284 | |||||||||
4.25%, 02/15/30(b) |
278 | 294,680 | ||||||||||
, 06/15/31(b)(i) |
6 | 6,158 | ||||||||||
WESCO Distribution, Inc.(b) |
||||||||||||
7.13%, 06/15/25 |
3,608 | 3,968,187 | ||||||||||
7.25%, 06/15/28 |
3,271 | 3,720,076 | ||||||||||
WR Grace & Co-Conn(b) |
||||||||||||
5.63%, 10/01/24 |
559 | 603,021 | ||||||||||
4.88%, 06/15/27 |
1,061 | 1,125,212 | ||||||||||
|
|
|||||||||||
44,836,971 | ||||||||||||
Commercial Services & Supplies 1.2% | ||||||||||||
ADT Security Corp. |
||||||||||||
4.13%, 06/15/23 |
293 | 316,633 | ||||||||||
4.88%, 07/15/32(b) |
1,341 | 1,453,309 | ||||||||||
AMN Healthcare, Inc., 4.00%, 04/15/29(b) |
502 | 513,295 | ||||||||||
APX Group, Inc. |
||||||||||||
7.88%, 12/01/22 |
840 | 842,100 | ||||||||||
8.50%, 11/01/24 |
274 | 287,700 | ||||||||||
6.75%, 02/15/27(b) |
1,620 | 1,741,500 | ||||||||||
ASGN, Inc., 4.63%, 05/15/28(b) |
351 | 365,040 | ||||||||||
Ashtead Capital, Inc., 4.00%, 05/01/28(b) |
1,245 | 1,322,364 | ||||||||||
Fortress Transportation & Infrastructure Investors LLC, 6.50%, 10/01/25(b) |
386 | 403,412 | ||||||||||
Fortress Transportation and Infrastructure Investors LLC, 9.75%, 08/01/27(b) |
261 | 299,171 | ||||||||||
Herc Holdings, Inc., 5.50%, 07/15/27(b) |
2,667 | 2,827,020 | ||||||||||
House of Finance NV (The), 4.38%, 07/15/26 |
EUR | 100 | 121,648 | |||||||||
Interface, Inc., 5.50%, 12/01/28(b) |
USD | 609 | 640,973 | |||||||||
Intertrust Group BV, 3.38%, 11/15/25 |
EUR | 200 | 249,160 |
Security |
Par
(000) |
Value | ||||||||||
Commercial Services & Supplies (continued) | ||||||||||||
Loxam SAS |
||||||||||||
4.25%, 04/15/24 |
EUR | 100 | $ | 124,010 | ||||||||
3.25%, 01/14/25 |
268 | 326,993 | ||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc.(b) |
||||||||||||
5.25%, 04/15/24 |
USD | 491 | 524,143 | |||||||||
5.75%, 04/15/26 |
653 | 715,035 | ||||||||||
3.38%, 08/31/27 |
1,317 | 1,307,122 | ||||||||||
6.25%, 01/15/28 |
1,187 | 1,274,351 | ||||||||||
United Rentals North America, Inc. |
||||||||||||
3.88%, 11/15/27 |
652 | 682,970 | ||||||||||
5.25%, 01/15/30 |
496 | 550,560 | ||||||||||
4.00%, 07/15/30 |
107 | 112,618 | ||||||||||
Verisure Holding AB, 3.88%, 07/15/26 |
EUR | 140 | 174,879 | |||||||||
Verisure Midholding AB, 5.75%, 12/01/23 |
100 | 123,448 | ||||||||||
|
|
|||||||||||
17,299,454 | ||||||||||||
Communications Equipment 1.3% | ||||||||||||
Avaya, Inc., 6.13%, 09/15/28(b) |
USD | 3,320 | 3,546,623 | |||||||||
CommScope Technologies LLC(b) |
||||||||||||
6.00%, 06/15/25 |
1,996 | 2,040,910 | ||||||||||
5.00%, 03/15/27 |
1,438 | 1,416,430 | ||||||||||
CommScope, Inc.(b) |
||||||||||||
5.50%, 03/01/24 |
2,502 | 2,579,562 | ||||||||||
6.00%, 03/01/26 |
1,458 | 1,536,149 | ||||||||||
8.25%, 03/01/27 |
168 | 179,340 | ||||||||||
7.13%, 07/01/28 |
147 | 156,555 | ||||||||||
Nokia OYJ |
||||||||||||
3.38%, 06/12/22 |
714 | 737,876 | ||||||||||
4.38%, 06/12/27 |
439 | 478,786 | ||||||||||
ViaSat, Inc.(b) |
||||||||||||
5.63%, 04/15/27 |
3,512 | 3,687,600 | ||||||||||
6.50%, 07/15/28 |
2,431 | 2,630,852 | ||||||||||
|
|
|||||||||||
18,990,683 | ||||||||||||
Construction & Engineering 0.2% | ||||||||||||
Ferrovial Netherlands BV, (5 year EUR Swap + 2.13%), 2.12%(a)(f) |
EUR | 100 | 120,638 | |||||||||
frontdoor, Inc., 6.75%, 08/15/26(b) |
USD | 1,382 | 1,473,557 | |||||||||
KBR, Inc., 4.75%, 09/30/28(b) |
955 | 995,588 | ||||||||||
SPIE SA, 2.63%, 06/18/26 |
EUR | 100 | 127,785 | |||||||||
Weekley Homes LLC/Weekley Finance Corp., 4.88%, 09/15/28(b) |
USD | 393 | 410,685 | |||||||||
|
|
|||||||||||
3,128,253 | ||||||||||||
Construction Materials(b) 1.3% | ||||||||||||
American Builders & Contractors Supply Co., Inc. |
||||||||||||
5.88%, 05/15/26 |
1,270 | 1,316,037 | ||||||||||
4.00%, 01/15/28 |
357 | 369,495 | ||||||||||
Core & Main LP, 6.13%, 08/15/25 |
7,720 | 7,980,550 | ||||||||||
H&E Equipment Services, Inc., 3.88%, 12/15/28 |
658 | 665,041 | ||||||||||
IAA, Inc., 5.50%, 06/15/27 |
1,538 | 1,630,280 | ||||||||||
KAR Auction Services, Inc., 5.13%, 06/01/25 |
1,866 | 1,920,170 | ||||||||||
Picasso Finance Sub, Inc., 6.13%, 06/15/25 |
2,624 | 2,807,680 | ||||||||||
Williams Scotsman International, Inc., 4.63%, 08/15/28 |
1,256 | 1,299,960 | ||||||||||
Winnebago Industries, Inc., 6.25%, 07/15/28 |
703 | 755,725 | ||||||||||
Wolverine Escrow LLC |
||||||||||||
8.50%, 11/15/24 |
312 | 297,657 | ||||||||||
9.00%, 11/15/26 |
636 | 602,006 | ||||||||||
|
|
|||||||||||
19,644,601 |
62 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Consumer Discretionary 1.2% | ||||||||||||
Carnival Corp. |
||||||||||||
11.50%, 04/01/23(b) |
USD | 3,254 | $ | 3,763,967 | ||||||||
10.13%, 02/01/26 |
EUR | 101 | 142,441 | |||||||||
10.50%, 02/01/26(b) |
USD | 639 | 744,435 | |||||||||
7.63%, 03/01/26(b) |
1,213 | 1,321,551 | ||||||||||
7.63%, 03/01/26 |
EUR | 128 | 165,530 | |||||||||
9.88%, 08/01/27(b) |
USD | 1,052 | 1,209,800 | |||||||||
IPD 3 BV, 5.50%, 12/01/25 |
EUR | 158 | 198,811 | |||||||||
NCL Corp. Ltd.(b) |
||||||||||||
10.25%, 02/01/26 |
USD | 632 | 739,440 | |||||||||
5.88%, 03/15/26 |
1,002 | 1,053,924 | ||||||||||
Nielsen Finance LLC/Nielsen Finance
|
||||||||||||
5.63%, 10/01/28 |
2,432 | 2,642,490 | ||||||||||
5.88%, 10/01/30 |
1,365 | 1,544,156 | ||||||||||
Royal Caribbean Cruises Ltd.(b) |
||||||||||||
10.88%, 06/01/23 |
565 | 642,902 | ||||||||||
9.13%, 06/15/23 |
884 | 959,140 | ||||||||||
11.50%, 06/01/25 |
1,215 | 1,420,396 | ||||||||||
Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 07/30/26 |
EUR | 200 | 255,960 | |||||||||
|
|
|||||||||||
16,804,943 | ||||||||||||
Consumer Finance 3.0% | ||||||||||||
Encore Capital Group, Inc. |
||||||||||||
4.88%, 10/15/25 |
100 | 127,059 | ||||||||||
5.38%, 02/15/26 |
GBP | 100 | 138,596 | |||||||||
Iron Mountain UK PLC, 3.88%, 11/15/25 |
200 | 277,081 | ||||||||||
MPH Acquisition Holdings LLC, 5.75%, 11/01/28(b) . |
USD | 3,951 | 3,883,043 | |||||||||
Navient Corp. |
||||||||||||
6.13%, 03/25/24 |
1,359 | 1,450,733 | ||||||||||
5.88%, 10/25/24 |
665 | 706,563 | ||||||||||
5.00%, 03/15/27 |
42 | 42,368 | ||||||||||
OneMain Finance Corp. |
||||||||||||
6.88%, 03/15/25 |
585 | 679,331 | ||||||||||
8.88%, 06/01/25 |
433 | 489,831 | ||||||||||
7.13%, 03/15/26 |
2,395 | 2,832,087 | ||||||||||
6.63%, 01/15/28 |
720 | 855,000 | ||||||||||
5.38%, 11/15/29 |
113 | 127,125 | ||||||||||
4.00%, 09/15/30 |
773 | 802,073 | ||||||||||
Refinitiv US Holdings, Inc. |
||||||||||||
4.50%, 05/15/26(b) |
EUR | 2,465 | 3,165,700 | |||||||||
4.50%, 05/15/26 |
595 | 764,134 | ||||||||||
6.25%, 05/15/26(b) |
USD | 318 | 339,465 | |||||||||
8.25%, 11/15/26(b) |
5,788 | 6,316,155 | ||||||||||
Sabre GLBL, Inc.(b) |
||||||||||||
5.25%, 11/15/23 |
219 | 221,738 | ||||||||||
9.25%, 04/15/25 |
2,638 | 3,139,220 | ||||||||||
7.38%, 09/01/25 |
1,322 | 1,434,370 | ||||||||||
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(b) |
1,506 | 1,566,240 | ||||||||||
Verscend Escrow Corp., 9.75%,
|
9,470 | 10,263,112 | ||||||||||
WEX, Inc., 4.75%, 02/01/23(b) |
4,000 | 4,005,000 | ||||||||||
|
|
|||||||||||
43,626,024 | ||||||||||||
Containers & Packaging 0.7% | ||||||||||||
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26 |
965 | 1,063,575 | ||||||||||
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26 |
439 | 455,462 | ||||||||||
Graham Packaging Co., Inc., 7.13%, 08/15/28(b) |
554 | 612,170 | ||||||||||
Graphic Packaging International LLC(b) 4.75%, 07/15/27 |
574 | 635,705 |
Security |
Par
(000) |
Value | ||||||||||
Containers & Packaging (continued) | ||||||||||||
Graphic Packaging International LLC(b) (continued) |
|
|||||||||||
3.50%, 03/15/28 |
USD | 269 | $ | 278,751 | ||||||||
3.50%, 03/01/29 |
283 | 289,368 | ||||||||||
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.00%, 09/15/28(b) |
843 | 866,182 | ||||||||||
Intertape Polymer Group, Inc., 7.00%, 10/15/26(b) |
747 | 792,201 | ||||||||||
LABL Escrow Issuer LLC(b) |
||||||||||||
6.75%, 07/15/26 |
2,208 | 2,391,198 | ||||||||||
10.50%, 07/15/27 |
944 | 1,063,180 | ||||||||||
Sealed Air Corp.(b) |
||||||||||||
5.13%, 12/01/24 |
142 | 154,780 | ||||||||||
6.88%, 07/15/33 |
700 | 924,000 | ||||||||||
WEPA Hygieneprodukte GmbH, (3 mo. EURIBOR + 2.88%), 2.88%, 12/15/26(a) |
EUR | 100 | 122,226 | |||||||||
|
|
|||||||||||
9,648,798 | ||||||||||||
Diversified Consumer Services 2.0% | ||||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.(b) |
||||||||||||
6.63%, 07/15/26 |
USD | 10,303 | 10,986,089 | |||||||||
9.75%, 07/15/27 |
3,625 | 3,951,250 | ||||||||||
Ascend Learning LLC, 6.88%, 08/01/25 |
4,706 | 4,839,023 | ||||||||||
Brinks Co., 5.50%, 07/15/25(b) |
281 | 299,968 | ||||||||||
Garda World Security Corp.(b) |
||||||||||||
4.63%, 02/15/27 |
1,802 | 1,820,020 | ||||||||||
9.50%, 11/01/27 |
1,130 | 1,251,475 | ||||||||||
Graham Holdings Co., 5.75%, 06/01/26(b) |
705 | 740,250 | ||||||||||
Laureate Education, Inc., 8.25%,
|
452 | 479,120 | ||||||||||
Service Corp. International |
||||||||||||
5.13%, 06/01/29 |
269 | 297,918 | ||||||||||
3.38%, 08/15/30 |
1,357 | 1,411,565 | ||||||||||
Sothebys, 7.38%, 10/15/27(b) |
2,688 | 2,879,520 | ||||||||||
|
|
|||||||||||
28,956,198 | ||||||||||||
Diversified Financial Services 1.7% | ||||||||||||
Ally Financial, Inc., 8.00%, 11/01/31 |
6,309 | 9,260,792 | ||||||||||
Arrow Global Finance PLC, 5.13%, 09/15/24 |
GBP | 225 | 306,420 | |||||||||
Barclays PLC, 5.20%, 05/12/26 |
USD | 800 | 930,176 | |||||||||
BNP Paribas SA, 6.50%(f) |
22 | 22,220 | ||||||||||
Cabot Financial Luxembourg SA, 7.50%, 10/01/23 . |
GBP | 44 | 61,320 | |||||||||
Central Garden & Pet Co., 4.13%, 10/15/30 |
USD | 1,036 | 1,080,030 | |||||||||
Citigroup, Inc., (5 year CMT + 3.60%), 4.00%(a)(f) |
855 | 877,444 | ||||||||||
Credit Suisse Group AG, (5 year CMT + 3.55%), 4.50%(a)(b)(f) |
1,085 | 1,090,316 | ||||||||||
Fairstone Financial, Inc.,
7.88%,
|
852 | 903,120 | ||||||||||
Garfunkelux Holdco 3 SA |
||||||||||||
6.75%, 11/01/25 |
EUR | 138 | 172,802 | |||||||||
7.75%, 11/01/25 |
GBP | 100 | 140,445 | |||||||||
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%,
|
USD | 1,699 | 1,515,834 | |||||||||
Goldman Sachs Group, Inc., Series R, (5 year CMT + 3.22%), 4.95%(a)(f) |
3,780 | 3,998,938 | ||||||||||
HSBC Holdings PLC, (5 year CMT + 3.65%), 4.60%(a)(f) |
445 | 452,841 | ||||||||||
Intrum AB |
||||||||||||
4.88%, 08/15/25 |
EUR | 100 | 126,135 | |||||||||
3.50%, 07/15/26 |
201 | 243,096 | ||||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(b) |
||||||||||||
5.25%, 03/15/22 |
USD | 264 | 265,320 | |||||||||
4.25%, 02/01/27 |
1,504 | 1,477,680 |
C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S |
63 |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Diversified Financial Services (continued) | ||||||||||||
Spectrum Brands, Inc.(b) |
||||||||||||
5.00%, 10/01/29 |
USD | 566 | $ | 607,827 | ||||||||
5.50%, 07/15/30 |
792 | 853,380 | ||||||||||
Starwood Property Trust Inc., 5.50%, 11/01/23(b) |
157 | 164,065 | ||||||||||
UniCredit SpA(a) |
||||||||||||
(5 year EUR Swap + 2.80%), 2.73%, 01/15/32 |
EUR | 200 | 246,778 | |||||||||
(5 year EURIBOR ICE Swap Rate + 4.74%), 4.88%, 02/20/29 |
200 | 266,096 | ||||||||||
|
|
|||||||||||
25,063,075 | ||||||||||||
Diversified Telecommunication Services 5.2% | ||||||||||||
CenturyLink, Inc. |
||||||||||||
5.13%, 12/15/26(b) |
USD | 5,470 | 5,776,101 | |||||||||
4.00%, 02/15/27(b) |
2,336 | 2,411,920 | ||||||||||
4.50%, 01/15/29(b) |
3,236 | 3,292,630 | ||||||||||
Series P, 7.60%, 09/15/39 |
1,857 | 2,256,255 | ||||||||||
Series U, 7.65%, 03/15/42 |
2,489 | 3,011,690 | ||||||||||
Series W, 6.75%, 12/01/23 |
1,228 | 1,367,685 | ||||||||||
Series Y, 7.50%, 04/01/24 |
1,254 | 1,420,155 | ||||||||||
Cincinnati Bell, Inc.(b) |
||||||||||||
7.00%, 07/15/24 |
1,479 | 1,538,160 | ||||||||||
8.00%, 10/15/25 |
408 | 435,030 | ||||||||||
Consolidated Communications, Inc., 6.50%, 10/01/28(b) |
2,397 | 2,564,790 | ||||||||||
Frontier Communications Corp.(b) |
||||||||||||
5.88%, 10/15/27 |
2,553 | 2,760,431 | ||||||||||
5.00%, 05/01/28 |
3,673 | 3,829,102 | ||||||||||
6.75%, 05/01/29 |
2,270 | 2,428,900 | ||||||||||
Intelsat Jackson Holdings SA, 8.00%, 02/15/24(b) |
370 | 378,788 | ||||||||||
Level 3 Financing, Inc.(b) |
||||||||||||
4.63%, 09/15/27 |
489 | 510,729 | ||||||||||
4.25%, 07/01/28 |
3,754 | 3,857,235 | ||||||||||
3.63%, 01/15/29 |
2,018 | 2,012,955 | ||||||||||
Oi SA, (10.00% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25(g) |
189 | 201,226 | ||||||||||
SoftBank Group Corp. |
||||||||||||
4.75%, 09/19/24 |
200 | 209,504 | ||||||||||
4.75%, 07/30/25 |
EUR | 515 | 684,704 | |||||||||
3.13%, 09/19/25 |
500 | 625,851 | ||||||||||
5.00%, 04/15/28 |
400 | 544,123 | ||||||||||
4.00%, 09/19/29 |
100 | 129,407 | ||||||||||
Sprint Capital Corp. |
||||||||||||
6.88%, 11/15/28 |
USD | 4,167 | 5,494,106 | |||||||||
8.75%, 03/15/32 |
7,033 | 11,135,876 | ||||||||||
Switch Ltd., 3.75%, 09/15/28(b) |
1,778 | 1,804,670 | ||||||||||
Telecom Italia Capital SA |
||||||||||||
6.38%, 11/15/33 |
1,521 | 1,870,830 | ||||||||||
6.00%, 09/30/34 |
2,322 | 2,828,405 | ||||||||||
7.20%, 07/18/36 |
266 | 358,879 | ||||||||||
7.72%, 06/04/38 |
539 | 749,210 | ||||||||||
Telecom Italia Finance SA, 7.75%, 01/24/33 |
EUR | 83 | 149,097 | |||||||||
Telecom Italia SpA |
||||||||||||
4.00%, 04/11/24 |
139 | 183,452 | ||||||||||
5.30%, 05/30/24(b) |
USD | 1,049 | 1,140,787 | |||||||||
2.75%, 04/15/25 |
EUR | 239 | 305,495 | |||||||||
3.00%, 09/30/25 |
100 | 129,987 |
Security |
Par
(000) |
Value | ||||||||||
Diversified Telecommunication Services (continued) | ||||||||||||
Zayo Group Holdings, Inc.(b) |
||||||||||||
4.00%, 03/01/27 |
USD | 1,113 | $ | 1,115,783 | ||||||||
6.13%, 03/01/28 |
6,026 | 6,372,495 | ||||||||||
|
|
|||||||||||
75,886,443 | ||||||||||||
Electric Utilities 0.8% | ||||||||||||
FirstEnergy Corp. |
||||||||||||
2.65%, 03/01/30 |
142 | 142,450 | ||||||||||
Series B, 3.90%, 07/15/27 |
524 | 577,603 | ||||||||||
Series B, 2.25%, 09/01/30 |
117 | 113,174 | ||||||||||
Series C, 4.85%, 07/15/47 |
2,605 | 3,241,910 | ||||||||||
Series C, 3.40%, 03/01/50 |
1,050 | 1,005,725 | ||||||||||
FirstEnergy Transmission LLC(b) |
||||||||||||
5.45%, 07/15/44 |
1,649 | 2,092,356 | ||||||||||
4.55%, 04/01/49 |
796 | 929,594 | ||||||||||
NextEra Energy Operating Partners LP, 4.25%, 07/15/24(b) |
858 | 918,060 | ||||||||||
PG&E Corp., 5.25%, 07/01/30 |
1,791 | 1,970,100 | ||||||||||
Pike Corp., 5.50%, 09/01/28(b) |
874 | 923,162 | ||||||||||
|
|
|||||||||||
11,914,134 | ||||||||||||
Electrical Equipment(b) 0.2% | ||||||||||||
Gates Global LLC/Gates Corp., 6.25%, 01/15/26 |
1,964 | 2,062,200 | ||||||||||
GrafTech Finance, Inc., 4.63%, 12/15/28 |
717 | 725,066 | ||||||||||
|
|
|||||||||||
2,787,266 | ||||||||||||
Electronic Equipment, Instruments & Components 0.5% | ||||||||||||
Belden, Inc., 3.88%, 03/15/28 |
EUR | 100 | 127,125 | |||||||||
Brightstar Escrow Corp., 9.75%, 10/15/25(b) |
USD | 477 | 509,794 | |||||||||
BWX Technologies, Inc.(b) |
||||||||||||
5.38%, 07/15/26 |
200 | 207,750 | ||||||||||
4.13%, 06/30/28 |
1,344 | 1,399,440 | ||||||||||
CDW LLC/CDW Finance Corp. |
||||||||||||
4.13%, 05/01/25 |
1,071 | 1,120,459 | ||||||||||
3.25%, 02/15/29 |
2,062 | 2,102,621 | ||||||||||
Energizer Holdings, Inc.(b) |
||||||||||||
4.75%, 06/15/28 |
714 | 751,485 | ||||||||||
4.38%, 03/31/29 |
96 | 99,410 | ||||||||||
Itron, Inc., 5.00%, 01/15/26(b) |
231 | 235,909 | ||||||||||
Xerox Corp., 4.80%, 03/01/35 |
1,375 | 1,385,312 | ||||||||||
|
|
|||||||||||
7,939,305 | ||||||||||||
Energy Equipment & Services 0.7% | ||||||||||||
Archrock Partners LP/Archrock Partners Finance Corp.(b) |
||||||||||||
6.88%, 04/01/27 |
1,214 | 1,306,568 | ||||||||||
6.25%, 04/01/28 |
1,477 | 1,537,498 | ||||||||||
ChampionX Corp., 6.38%, 05/01/26 |
1,109 | 1,120,090 | ||||||||||
Pioneer Energy Services Corp.(b)(d)(g) |
||||||||||||
(11.00% Cash), 11.00%, 05/15/25 |
2,056 | 1,645,065 | ||||||||||
(5.00% PIK), 5.00%, 11/15/25(j) |
1,448 | 782,362 | ||||||||||
USA Compression Partners LP/USA Compression Finance Corp. |
||||||||||||
6.88%, 04/01/26 |
2,237 | 2,337,665 | ||||||||||
6.88%, 09/01/27 |
1,702 | 1,817,021 | ||||||||||
|
|
|||||||||||
10,546,269 |
64 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Environmental, Maintenance, & Security Service 1.1% | ||||||||||||
Clean Harbors, Inc.(b) |
||||||||||||
4.88%, 07/15/27 |
USD | 678 | $ | 707,364 | ||||||||
5.13%, 07/15/29 |
1,069 | 1,167,882 | ||||||||||
Covanta Holding Corp., 5.00%, 09/01/30 |
467 | 499,661 | ||||||||||
GFL Environmental, Inc.(b) |
||||||||||||
4.25%, 06/01/25 |
487 | 505,263 | ||||||||||
3.75%, 08/01/25 |
1,369 | 1,403,225 | ||||||||||
5.13%, 12/15/26 |
2,531 | 2,692,351 | ||||||||||
8.50%, 05/01/27 |
1,340 | 1,487,400 | ||||||||||
4.00%, 08/01/28 |
1,780 | 1,793,350 | ||||||||||
3.50%, 09/01/28 |
1,671 | 1,701,287 | ||||||||||
Stericycle Inc., 3.88%, 01/15/29(b) |
828 | 850,770 | ||||||||||
Tervita Corp., 11.00%, 12/01/25(b) |
581 | 625,179 | ||||||||||
Waste Pro USA, Inc., 5.50%, 02/15/26(b) |
2,432 | 2,486,720 | ||||||||||
|
|
|||||||||||
15,920,452 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) 2.4% | ||||||||||||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 5.75%, 05/15/26(b) |
1,701 | 1,675,485 | ||||||||||
Diversified Healthcare Trust, 9.75%, 06/15/25 |
1,006 | 1,142,957 | ||||||||||
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27(b) |
1,409 | 1,452,660 | ||||||||||
Host Hotels & Resorts LP, Series I, 3.50%, 09/15/30 |
620 | 653,197 | ||||||||||
Iron Mountain, Inc.(b) |
||||||||||||
4.88%, 09/15/29 |
274 | 289,070 | ||||||||||
5.25%, 07/15/30 |
2,169 | 2,342,520 | ||||||||||
5.63%, 07/15/32 |
2,512 | 2,769,480 | ||||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. |
||||||||||||
5.63%, 05/01/24 |
1,472 | 1,598,813 | ||||||||||
4.63%, 06/15/25(b) |
1,948 | 2,086,308 | ||||||||||
4.50%, 09/01/26 |
2,274 | 2,446,597 | ||||||||||
5.75%, 02/01/27 |
117 | 131,259 | ||||||||||
4.50%, 01/15/28 |
1,964 | 2,089,460 | ||||||||||
3.88%, 02/15/29(b) |
2,191 | 2,240,297 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp. |
||||||||||||
5.00%, 10/15/27 |
394 | 419,117 | ||||||||||
4.63%, 08/01/29 |
2,863 | 3,059,831 | ||||||||||
3.50%, 03/15/31 |
2,377 | 2,454,252 | ||||||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co.Issuer, 5.88%, 10/01/28(b) |
465 | 495,225 | ||||||||||
RHP Hotel Properties LP/RHP Finance Corp., 4.75%, 10/15/27 |
3,304 | 3,419,640 | ||||||||||
Service Properties Trust |
||||||||||||
4.50%, 06/15/23 |
220 | 221,100 | ||||||||||
4.35%, 10/01/24 |
217 | 214,288 | ||||||||||
7.50%, 09/15/25 |
1,798 | 2,071,870 | ||||||||||
5.50%, 12/15/27 |
658 | 719,430 | ||||||||||
Starwood Property Trust, Inc., 5.00%, 12/15/21 |
1,027 | 1,044,223 | ||||||||||
|
|
|||||||||||
35,037,079 | ||||||||||||
Food & Staples Retailing 3.0% | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC |
||||||||||||
5.75%, 03/15/25 |
34 | 35,020 | ||||||||||
3.25%, 03/15/26(b) |
1,678 | 1,703,170 | ||||||||||
4.63%, 01/15/27(b) |
1,668 | 1,774,335 |
Security |
Par
(000) |
Value | ||||||||||
Food & Staples Retailing (continued) | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC (continued) |
||||||||||||
5.88%, 02/15/28(b) |
USD | 2,805 | $ | 3,052,373 | ||||||||
4.88%, 02/15/30(b) |
765 | 842,938 | ||||||||||
Iceland Bondco PLC, BRTCK3871, 4.63%, 03/15/25 |
GBP | 100 | 135,377 | |||||||||
Kraft Heinz Foods Co. |
||||||||||||
4.25%, 03/01/31(b) |
USD | 3,573 | 3,984,101 | |||||||||
5.00%, 07/15/35 |
750 | 909,182 | ||||||||||
6.88%, 01/26/39 |
1,474 | 2,042,458 | ||||||||||
4.63%, 10/01/39(b) |
497 | 554,928 | ||||||||||
6.50%, 02/09/40 |
980 | 1,324,675 | ||||||||||
5.00%, 06/04/42 |
15 | 17,599 | ||||||||||
5.20%, 07/15/45 |
626 | 744,348 | ||||||||||
4.38%, 06/01/46 |
1,594 | 1,724,620 | ||||||||||
4.88%, 10/01/49(b) |
5,270 | 6,148,105 | ||||||||||
5.50%, 06/01/50(b) |
6,739 | 8,489,472 | ||||||||||
Lamb Weston Holdings, Inc., 4.88%, 05/15/28(b) |
1,673 | 1,867,486 | ||||||||||
Picard Groupe SAS, (3 mo. EURIBOR + 3.00%), 3.00%, 11/30/23(a) |
EUR | 300 | 365,579 | |||||||||
Post Holdings, Inc.(b) |
||||||||||||
5.00%, 08/15/26 |
USD | 22 | 22,715 | |||||||||
5.75%, 03/01/27 |
4 | 4,235 | ||||||||||
5.63%, 01/15/28 |
484 | 515,460 | ||||||||||
5.50%, 12/15/29 |
40 | 43,650 | ||||||||||
4.63%, 04/15/30 |
1,138 | 1,197,130 | ||||||||||
Premier Foods Finance PLC, 6.25%, 10/15/23 |
GBP | 100 | 140,853 | |||||||||
Quatrim SASU, 5.88%, 01/15/24 |
EUR | 100 | 126,581 | |||||||||
Sysco Corp. |
||||||||||||
6.60%, 04/01/40 |
USD | 1,100 | 1,609,032 | |||||||||
6.60%, 04/01/50 |
1,100 | 1,694,178 | ||||||||||
TreeHouse Foods, Inc., 4.00%, 09/01/28 |
405 | 418,922 | ||||||||||
U.S. Foods, Inc., 6.25%, 04/15/25(b) |
841 | 898,819 | ||||||||||
United Natural Foods, Inc.,
6.75%,
|
696 | 728,176 | ||||||||||
|
|
|||||||||||
43,115,517 | ||||||||||||
Food Products 0.9% | ||||||||||||
Aramark Services, Inc. |
||||||||||||
5.00%, 04/01/25(b) |
20 | 20,600 | ||||||||||
6.38%, 05/01/25(b) |
1,371 | 1,465,256 | ||||||||||
4.75%, 06/01/26 |
140 | 144,123 | ||||||||||
5.00%, 02/01/28(b) |
914 | 963,128 | ||||||||||
Chobani LLC/Chobani Finance Corp., Inc.(b) |
||||||||||||
7.50%, 04/15/25 |
2,200 | 2,306,920 | ||||||||||
4.63%, 11/15/28 |
1,493 | 1,515,395 | ||||||||||
JBS USA LUX SA/JBS USA Finance, Inc.(b) |
||||||||||||
5.75%, 06/15/25 |
2,552 | 2,633,026 | ||||||||||
6.75%, 02/15/28 |
1,116 | 1,248,874 | ||||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 6.50%, 04/15/29(b) |
1,137 | 1,323,582 | ||||||||||
Simmons Foods, Inc., 7.75%, 01/15/24(b) |
1,306 | 1,359,872 | ||||||||||
Tereos Finance Groupe I SA, 7.50%, 10/30/25 |
EUR | 145 | 187,360 | |||||||||
|
|
|||||||||||
13,168,136 | ||||||||||||
Gas Utilities 0.1% | ||||||||||||
Ferrellgas LP/Ferrellgas Finance Corp., 10.00%, 04/15/25(b) |
USD | 1,618 | 1,788,731 | |||||||||
|
|
|||||||||||
Health Care Equipment & Supplies(b) 1.2% | ||||||||||||
Avantor Funding, Inc., 4.63%, 07/15/28 |
5,020 | 5,308,650 |
C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S |
65 |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Health Care Equipment & Supplies (continued) | ||||||||||||
Hologic, Inc. |
||||||||||||
4.63%, 02/01/28 |
USD | 439 | $ | 465,889 | ||||||||
3.25%, 02/15/29 |
507 | 515,872 | ||||||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA |
||||||||||||
7.38%, 06/01/25 |
3,136 | 3,339,840 | ||||||||||
7.25%, 02/01/28 |
7,407 | 7,814,385 | ||||||||||
|
|
|||||||||||
17,444,636 | ||||||||||||
Health Care Providers & Services 5.7% | ||||||||||||
Acadia Healthcare Co., Inc. |
||||||||||||
5.63%, 02/15/23 |
240 | 240,600 | ||||||||||
5.50%, 07/01/28(b) |
1,071 | 1,150,308 | ||||||||||
5.00%, 04/15/29(b) |
834 | 890,295 | ||||||||||
AdaptHealth LLC(b) |
||||||||||||
6.13%, 08/01/28 |
744 | 798,870 | ||||||||||
, 08/01/29(i) |
374 | 384,285 | ||||||||||
AHP Health Partners, Inc., 9.75%, 07/15/26(b) |
1,561 | 1,722,954 | ||||||||||
Centene Corp. |
||||||||||||
5.38%, 06/01/26(b) |
418 | 440,869 | ||||||||||
5.38%, 08/15/26(b) |
1,659 | 1,752,319 | ||||||||||
4.25%, 12/15/27 |
1,209 | 1,281,540 | ||||||||||
4.63%, 12/15/29 |
5,407 | 6,002,905 | ||||||||||
3.00%, 10/15/30 |
1,631 | 1,728,697 | ||||||||||
CHS/Community Health Systems, Inc.(b) |
||||||||||||
8.63%, 01/15/24 |
3,460 | 3,607,050 | ||||||||||
6.63%, 02/15/25 |
2,321 | 2,442,806 | ||||||||||
8.00%, 03/15/26 |
6,249 | 6,733,297 | ||||||||||
5.63%, 03/15/27 |
4,580 | 4,924,645 | ||||||||||
6.00%, 01/15/29 |
3,440 | 3,716,094 | ||||||||||
Encompass Health Corp. |
||||||||||||
4.50%, 02/01/28 |
131 | 136,895 | ||||||||||
4.75%, 02/01/30 |
345 | 369,581 | ||||||||||
4.63%, 04/01/31 |
520 | 556,400 | ||||||||||
HCA, Inc. |
||||||||||||
5.38%, 02/01/25 |
590 | 663,473 | ||||||||||
5.88%, 02/15/26 |
142 | 163,300 | ||||||||||
5.63%, 09/01/28 |
1,761 | 2,077,980 | ||||||||||
5.88%, 02/01/29 |
2,666 | 3,208,478 | ||||||||||
3.50%, 09/01/30 |
5,021 | 5,335,195 | ||||||||||
Legacy LifePoint Health LLC(b) |
||||||||||||
6.75%, 04/15/25 |
1,050 | 1,127,500 | ||||||||||
4.38%, 02/15/27 |
420 | 420,525 | ||||||||||
LifePoint Health, Inc., 5.38%, 01/15/29(b) |
777 | 775,329 | ||||||||||
Molina Healthcare, Inc.(b) |
||||||||||||
4.38%, 06/15/28 |
1,368 | 1,439,820 | ||||||||||
3.88%, 11/15/30 |
1,268 | 1,359,930 | ||||||||||
Prime Healthcare Services, Inc., 7.25%, 11/01/25(b) |
782 | 830,875 | ||||||||||
Providence Service Corp., 5.88%, 11/15/25(b) |
391 | 413,483 | ||||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/01/26(b) |
433 | 476,300 | ||||||||||
Surgery Center Holdings, Inc.(b) |
||||||||||||
6.75%, 07/01/25 |
1,992 | 2,026,860 | ||||||||||
10.00%, 04/15/27 |
3,515 | 3,884,075 | ||||||||||
Teleflex, Inc. |
||||||||||||
4.88%, 06/01/26 |
751 | 782,009 | ||||||||||
4.63%, 11/15/27 |
214 | 229,988 | ||||||||||
4.25%, 06/01/28(b) |
1,829 | 1,938,740 | ||||||||||
Tenet Healthcare Corp. |
||||||||||||
4.63%, 07/15/24 |
1,378 | 1,412,478 |
Security |
Par
(000) |
Value | ||||||||||
Health Care Providers & Services (continued) | ||||||||||||
Tenet Healthcare Corp. (continued) |
||||||||||||
4.63%, 09/01/24(b) |
USD | 1,234 | $ | 1,274,105 | ||||||||
7.50%, 04/01/25(b) |
833 | 910,052 | ||||||||||
4.88%, 01/01/26(b) |
4,694 | 4,910,440 | ||||||||||
6.25%, 02/01/27(b) |
559 | 592,540 | ||||||||||
5.13%, 11/01/27(b) |
2,492 | 2,638,405 | ||||||||||
4.63%, 06/15/28(b) |
465 | 487,087 | ||||||||||
6.13%, 10/01/28(b) |
2,410 | 2,511,172 | ||||||||||
Vizient, Inc., 6.25%, 05/15/27(b) |
2,585 | 2,778,875 | ||||||||||
|
|
|||||||||||
83,549,424 | ||||||||||||
Health Care Technology 1.4% | ||||||||||||
Catalent Pharma Solutions, Inc. |
||||||||||||
5.00%, 07/15/27(b) |
625 | 660,088 | ||||||||||
2.38%, 03/01/28 |
EUR | 432 | 528,882 | |||||||||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25(b) |
USD | 6,190 | 6,313,800 | |||||||||
Charles River Laboratories International, Inc., 4.25%, 05/01/28(b) |
1,108 | 1,160,630 | ||||||||||
IQVIA, Inc. |
||||||||||||
3.25%, 03/15/25 |
EUR | 800 | 987,093 | |||||||||
5.00%, 10/15/26(b) |
USD | 1,504 | 1,571,680 | |||||||||
5.00%, 05/15/27(b) |
1,811 | 1,925,138 | ||||||||||
Mednax, Inc.(b) |
||||||||||||
5.25%, 12/01/23 |
933 | 944,476 | ||||||||||
6.25%, 01/15/27 |
1,163 | 1,247,271 | ||||||||||
Syneos Health, Inc., 3.63%, 01/15/29(b) |
2,207 | 2,213,102 | ||||||||||
Synlab Bondco PLC, (3 mo. EURIBOR + 4.75%), 4.75%, 07/01/25(a) |
EUR | 275 | 342,589 | |||||||||
West Street Merger Sub, Inc., 6.38%, 09/01/25(b) |
USD | 2,240 | 2,296,000 | |||||||||
|
|
|||||||||||
20,190,749 | ||||||||||||
Healthcare 0.0% | ||||||||||||
Akumin, Inc., 7.00%, 11/01/25(b) |
294 | 308,700 | ||||||||||
|
|
|||||||||||
Hotels, Restaurants & Leisure 6.3% | ||||||||||||
1011778 BC ULC/New Red Finance, Inc.(b) |
||||||||||||
5.75%, 04/15/25 |
648 | 693,360 | ||||||||||
3.88%, 01/15/28 |
1,312 | 1,332,690 | ||||||||||
4.38%, 01/15/28 |
1,701 | 1,752,030 | ||||||||||
3.50%, 02/15/29 |
571 | 570,286 | ||||||||||
4.00%, 10/15/30 |
608 | 616,165 | ||||||||||
Accor SA, 0.70%, 12/07/27(j) |
EUR | 235 | 148,902 | |||||||||
Affinity Gaming, 6.88%, 12/15/27(b) |
USD | 608 | 637,056 | |||||||||
Boyd Gaming Corp. |
||||||||||||
8.63%, 06/01/25(b) |
1,191 | 1,324,618 | ||||||||||
6.38%, 04/01/26 |
585 | 607,704 | ||||||||||
4.75%, 12/01/27 |
931 | 967,076 | ||||||||||
Boyne USA, Inc., 7.25%, 05/01/25(b) |
1,136 | 1,191,380 | ||||||||||
Burger King France SAS, 6.00%, 05/01/24 |
EUR | 100 | 124,256 | |||||||||
Caesars Entertainment, Inc.(b) |
||||||||||||
6.25%, 07/01/25 |
USD | 7,617 | 8,112,105 | |||||||||
8.13%, 07/01/27 |
5,311 | 5,879,396 | ||||||||||
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25(b) |
1,582 | 1,676,252 | ||||||||||
CCM Merger, Inc., 6.38%, 05/01/26(b) |
915 | 960,750 | ||||||||||
Cedar Fair LP/Canadas Wonderland Co./Magnum Management Corp./Millennium Op(b) |
||||||||||||
5.50%, 05/01/25 |
3,928 | 4,094,940 | ||||||||||
6.50%, 10/01/28 |
293 | 317,729 | ||||||||||
Churchill Downs, Inc.(b) |
||||||||||||
5.50%, 04/01/27 |
3,439 | 3,641,041 | ||||||||||
4.75%, 01/15/28 |
1,528 | 1,608,220 |
66 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
Cirsa Finance International Sarl, 4.75%, 05/22/25 |
EUR | 247 | $ | 293,600 | ||||||||
Codere Finance 2 Luxembourg SA, 11.63%, 11/01/23(b)(c)(g)(h) |
USD | 200 | 130,000 | |||||||||
Codere Finance Luxembourg SA, 10.75%, 09/30/23(k) |
EUR | 113 | 142,173 | |||||||||
Dave & Busters, Inc., 7.63%, 11/01/25(b) |
USD | 1,059 | 1,114,598 | |||||||||
Gamma Bidco SpA, 6.25%, 07/15/25 |
EUR | 249 | 316,359 | |||||||||
GLP Capital LP/GLP Financing II, Inc. |
||||||||||||
5.25%, 06/01/25 |
USD | 1,963 | 2,208,532 | |||||||||
5.38%, 04/15/26 |
602 | 690,897 | ||||||||||
Golden Nugget, Inc., 6.75%, 10/15/24(b) |
6,456 | 6,409,646 | ||||||||||
Hilton Domestic Operating Co., Inc. |
||||||||||||
5.38%, 05/01/25(b) |
772 | 820,250 | ||||||||||
5.13%, 05/01/26 |
38 | 39,235 | ||||||||||
5.75%, 05/01/28(b) |
600 | 652,500 | ||||||||||
4.88%, 01/15/30 |
2,616 | 2,857,980 | ||||||||||
4.00%, 05/01/31(b) |
2,151 | 2,269,542 | ||||||||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.88%, 04/01/27 |
240 | 254,022 | ||||||||||
InterContinental Hotels Group PLC, 3.38%, 10/08/28 |
GBP | 125 | 187,801 | |||||||||
International Game Technology PLC, 3.50%, 07/15/24 |
EUR | 200 | 254,470 | |||||||||
IRB Holding Corp., 7.00%, 06/15/25(b) |
USD | 794 | 867,445 | |||||||||
Las Vegas Sands Corp. |
||||||||||||
2.90%, 06/25/25 |
238 | 249,051 | ||||||||||
3.50%, 08/18/26 |
259 | 277,154 | ||||||||||
3.90%, 08/08/29 |
239 | 257,031 | ||||||||||
Marriott Ownership Resorts, Inc./ILG LLC, 6.50%, 09/15/26 |
386 | 403,370 | ||||||||||
MGM Resorts International |
||||||||||||
7.75%, 03/15/22 |
2,168 | 2,308,920 | ||||||||||
6.00%, 03/15/23 |
1,243 | 1,334,671 | ||||||||||
5.75%, 06/15/25 |
322 | 356,019 | ||||||||||
Newell Brands Inc., 4.88%, 06/01/25 |
506 | 556,752 | ||||||||||
Peninsula Pacific Entertainment LLC/Peninsula Pacific Entertainment Finance, Inc., 8.50%, 11/15/27(b) |
591 | 632,370 | ||||||||||
Powdr Corp., 6.00%, 08/01/25(b) |
1,098 | 1,155,645 | ||||||||||
Scientific Games International, Inc. |
||||||||||||
8.63%, 07/01/25(b) |
1,054 | 1,154,130 | ||||||||||
5.00%, 10/15/25(b) |
2,186 | 2,255,712 | ||||||||||
3.38%, 02/15/26 |
EUR | 800 | 968,769 | |||||||||
8.25%, 03/15/26(b) |
USD | 3,634 | 3,915,998 | |||||||||
7.00%, 05/15/28(b) |
706 | 759,098 | ||||||||||
7.25%, 11/15/29(b) |
241 | 264,498 | ||||||||||
SeaWorld Parks & Entertainment, Inc., 9.50%, 08/01/25(b) |
825 | 895,641 | ||||||||||
Sisal Group SpA, 7.00%, 07/31/23 |
EUR | 69 | 84,828 | |||||||||
Six Flags Theme Parks, Inc., 7.00%, 07/01/25(b) |
USD | 4,350 | 4,698,000 | |||||||||
Station Casinos LLC, 4.50%, 02/15/28(b) |
1,147 | 1,155,603 | ||||||||||
Stonegate Pub Co. Financing PLC |
||||||||||||
8.00%, 07/13/25 |
GBP | 136 | 184,389 | |||||||||
8.25%, 07/31/25 |
100 | 138,459 | ||||||||||
Vail Resorts, Inc., 6.25%, 05/15/25(b) |
USD | 811 | 865,743 | |||||||||
Wyndham Destinations, Inc., 6.63%, 07/31/26(b) |
871 | 997,295 | ||||||||||
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28(b) |
811 | 842,670 |
Security |
Par
(000) |
Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27(b) |
USD | 1,353 | $ | 1,394,605 | ||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(b) |
||||||||||||
7.75%, 04/15/25 |
1,164 | 1,261,485 | ||||||||||
5.13%, 10/01/29 |
2,740 | 2,870,150 | ||||||||||
Yum! Brands, Inc. |
||||||||||||
3.88%, 11/01/23 |
721 | 754,346 | ||||||||||
7.75%, 04/01/25(b) |
1,888 | 2,090,960 | ||||||||||
4.75%, 01/15/30(b) |
688 | 754,392 | ||||||||||
3.63%, 03/15/31 |
338 | 341,661 | ||||||||||
5.35%, 11/01/43 |
30 | 33,900 | ||||||||||
|
|
|||||||||||
91,978,321 | ||||||||||||
Household Durables 1.7% | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co., 6.63%, 01/15/28(b) |
406 | 427,315 | ||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp.(b) |
||||||||||||
6.25%, 09/15/27 |
1,234 | 1,312,667 | ||||||||||
4.88%, 02/15/30 |
1,783 | 1,843,176 | ||||||||||
CD&R Smokey Buyer, Inc.,
6.75%,
|
1,212 | 1,295,325 | ||||||||||
Diebold Nixdorf, Inc., 9.38%, 07/15/25(b) |
645 | 722,400 | ||||||||||
Hurricane Finance PLC, 8.00%, 10/15/25 |
GBP | 100 | 148,169 | |||||||||
Installed Building Products, Inc., 5.75%, 02/01/28(b) |
USD | 723 | 769,995 | |||||||||
K Hovnanian Enterprises, Inc., 7.75%, 02/15/26(b) . |
2,650 | 2,782,500 | ||||||||||
Lennar Corp. |
||||||||||||
4.75%, 05/30/25 |
2 | 2,285 | ||||||||||
5.25%, 06/01/26 |
302 | 357,870 | ||||||||||
4.75%, 11/29/27 |
635 | 750,443 | ||||||||||
Mattamy Group Corp.(b) |
||||||||||||
5.25%, 12/15/27 |
830 | 877,725 | ||||||||||
4.63%, 03/01/30 |
1,141 | 1,209,460 | ||||||||||
MDC Holdings, Inc., 6.00%, 01/15/43 |
1,060 | 1,420,978 | ||||||||||
Meritage Homes Corp., 5.13%, 06/06/27 |
286 | 319,605 | ||||||||||
NCR Corp.(b) |
||||||||||||
5.75%, 09/01/27 |
761 | 808,563 | ||||||||||
5.00%, 10/01/28 |
563 | 593,965 | ||||||||||
6.13%, 09/01/29 |
815 | 902,612 | ||||||||||
5.25%, 10/01/30 |
576 | 617,760 | ||||||||||
New Home Co., Inc., 7.25%, 10/15/25(b) |
378 | 388,202 | ||||||||||
PulteGroup, Inc. |
||||||||||||
5.00%, 01/15/27 |
106 | 125,080 | ||||||||||
7.88%, 06/15/32 |
94 | 140,648 | ||||||||||
6.38%, 05/15/33 |
2,805 | 3,843,130 | ||||||||||
Taylor Morrison Communities, Inc.(b) |
||||||||||||
5.88%, 06/15/27 |
1,377 | 1,560,582 | ||||||||||
5.13%, 08/01/30 |
767 | 859,040 | ||||||||||
Toll Brothers Finance Corp., 4.35%, 02/15/28 |
66 | 73,260 | ||||||||||
TRI Pointe Group, Inc., 5.70%, 06/15/28 |
291 | 328,539 | ||||||||||
|
|
|||||||||||
24,481,294 | ||||||||||||
Household Products 0.0% | ||||||||||||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., 5.00%, 12/31/26(b) |
370 | 385,988 | ||||||||||
|
|
|||||||||||
Independent Power and Renewable Electricity Producers 1.6% | ||||||||||||
Calpine Corp.(b) |
||||||||||||
5.25%, 06/01/26 |
420 | 434,490 | ||||||||||
4.50%, 02/15/28 |
2,536 | 2,637,440 |
C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S |
67 |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Interactive Media & Services (continued) | ||||||||||||
Twitter, Inc., 3.88%, 12/15/27(b) |
USD | 699 | $ | 744,435 | ||||||||
United Group BV |
||||||||||||
4.88%, 07/01/24 |
EUR | 199 | 247,971 | |||||||||
4.00%, 11/15/27 |
224 | 273,037 | ||||||||||
|
|
|||||||||||
12,028,591 | ||||||||||||
Internet Software & Services(b) 1.2% | ||||||||||||
Expedia Group, Inc. |
||||||||||||
6.25%, 05/01/25 |
USD | 2,847 | 3,299,959 | |||||||||
4.63%, 08/01/27 |
1,210 | 1,351,576 | ||||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc., 5.25%, 12/01/27 |
1,113 | 1,171,432 | ||||||||||
Match Group Holdings II LLC |
||||||||||||
4.63%, 06/01/28 |
813 | 852,126 | ||||||||||
5.63%, 02/15/29 |
318 | 346,620 | ||||||||||
4.13%, 08/01/30 |
1,400 | 1,456,000 | ||||||||||
Uber Technologies, Inc. |
||||||||||||
7.50%, 05/15/25 |
4,572 | 4,938,766 | ||||||||||
8.00%, 11/01/26 |
1,744 | 1,903,349 | ||||||||||
7.50%, 09/15/27 |
1,505 | 1,655,500 | ||||||||||
6.25%, 01/15/28 |
1,033 | 1,123,388 | ||||||||||
|
|
|||||||||||
18,098,716 | ||||||||||||
IT Services 2.7% | ||||||||||||
Austin BidCo, Inc., 7.13%, 12/15/28(b) |
372 | 388,275 | ||||||||||
Banff Merger Sub, Inc. |
||||||||||||
8.38%, 09/01/26 |
EUR | 100 | 127,296 | |||||||||
9.75%, 09/01/26(b) |
USD | 9,082 | 9,809,922 | |||||||||
Booz Allen Hamilton, Inc.,
3.88%,
|
1,867 | 1,923,010 | ||||||||||
Camelot Finance SA, 4.50%, 11/01/26(b) |
3,451 | 3,601,981 | ||||||||||
Castle U.S. Holding Corp.,
9.50%,
|
1,890 | 1,890,000 | ||||||||||
Centurion Bidco SpA, 5.88%, 09/30/26 |
EUR | 125 | 157,097 | |||||||||
Dun & Bradstreet Corp.(b) |
||||||||||||
6.88%, 08/15/26 |
USD | 2,137 | 2,297,275 | |||||||||
10.25%, 02/15/27 |
1,362 | 1,535,655 | ||||||||||
Fair Isaac Corp., 4.00%, 06/15/28(b) |
915 | 963,038 | ||||||||||
Gartner, Inc.(b) |
||||||||||||
4.50%, 07/01/28 |
1,523 | 1,606,765 | ||||||||||
3.75%, 10/01/30 |
2,101 | 2,213,950 | ||||||||||
Presidio Holdings, Inc., 4.88%, 02/01/27(b) |
2,044 | 2,168,234 | ||||||||||
Rackspace Technology Global, Inc., 5.38%, 12/01/28(b) |
2,268 | 2,376,184 | ||||||||||
Science Applications International Corp., 4.88%, 04/01/28(b) |
1,431 | 1,516,860 | ||||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp.(b) |
||||||||||||
5.75%, 06/01/25 |
1,117 | 1,186,812 | ||||||||||
6.75%, 06/01/25 |
4,922 | 5,087,133 | ||||||||||
Unisys Corp., 6.88%, 11/01/27(b) |
574 | 627,095 | ||||||||||
|
|
|||||||||||
39,476,582 | ||||||||||||
Leisure Products 0.4% | ||||||||||||
Mattel, Inc. |
||||||||||||
6.75%, 12/31/25(b) |
2,764 | 2,917,319 | ||||||||||
5.88%, 12/15/27(b) |
769 | 854,551 | ||||||||||
6.20%, 10/01/40 |
349 | 407,458 | ||||||||||
5.45%, 11/01/41 |
948 | 1,043,132 | ||||||||||
|
|
|||||||||||
5,222,460 | ||||||||||||
Machinery 1.3% | ||||||||||||
ATS Automation Tooling Systems, Inc., 4.13%, 12/15/28(b) |
553 | 562,677 |
68 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Machinery (continued) | ||||||||||||
Clark Equipment Co., 5.88%, 06/01/25(b) |
USD | 1,375 | $ | 1,450,625 | ||||||||
Colfax Corp.(b) |
||||||||||||
6.00%, 02/15/24 |
1,426 | 1,477,721 | ||||||||||
6.38%, 02/15/26 |
1,004 | 1,071,770 | ||||||||||
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(b)(g) |
1,472 | 1,600,800 | ||||||||||
Loxam SAS, 3.75%, 07/15/26 |
EUR | 115 | 142,281 | |||||||||
Mueller Water Products, Inc., 5.50%, 06/15/26(b) |
USD | 1,130 | 1,170,963 | |||||||||
Novafives SAS, 5.00%, 06/15/25 |
EUR | 200 | 212,567 | |||||||||
RBS Global, Inc./Rexnord LLC, 4.88%, 12/15/25(b). |
USD | 932 | 949,475 | |||||||||
Rebecca Bidco GmbH, 5.75%, 07/15/25 |
EUR | 129 | 165,866 | |||||||||
Sofima Holding SpA |
||||||||||||
3.75%, 01/15/28 |
123 | 152,352 | ||||||||||
(3 mo. EURIBOR + 4.00%), 4.00%, 01/15/28(a) . |
117 | 144,005 | ||||||||||
Stevens Holding Co., Inc., 6.13%, 10/01/26(b) |
USD | 813 | 878,040 | |||||||||
Terex Corp., 5.63%, 02/01/25(b) |
1,055 | 1,086,782 | ||||||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26(b) |
2,649 | 2,754,960 | ||||||||||
Vertical Holdco GmbH, 7.63%,
|
1,432 | 1,560,880 | ||||||||||
Vertical Midco GmbH, 4.38%, 07/15/27 |
EUR | 173 | 222,388 | |||||||||
Vertical US Newco, Inc., 5.25%,
|
USD | 3,533 | 3,744,980 | |||||||||
|
|
|||||||||||
19,349,132 | ||||||||||||
Media 13.9% | ||||||||||||
Advantage Sales & Marketing, Inc., 6.50%, 11/15/28(b) |
798 | 843,885 | ||||||||||
Altice Financing SA |
||||||||||||
2.25%, 01/15/25 |
EUR | 170 | 200,204 | |||||||||
7.50%, 05/15/26(b) |
USD | 4,428 | 4,672,868 | |||||||||
3.00%, 01/15/28 |
EUR | 196 | 230,208 | |||||||||
5.00%, 01/15/28(b) |
USD | 2,220 | 2,274,690 | |||||||||
Altice France Holding SA(b) |
||||||||||||
8.00%, 05/15/27 |
EUR | 100 | 132,415 | |||||||||
10.50%, 05/15/27 |
USD | 9,160 | 10,282,100 | |||||||||
6.00%, 02/15/28 |
2,001 | 2,026,012 | ||||||||||
AMC Networks, Inc., 4.75%, 08/01/25 |
1,216 | 1,255,763 | ||||||||||
Block Communications, Inc., 4.88%, 03/01/28(b) |
791 | 814,730 | ||||||||||
Cable One, Inc., 4.00%, 11/15/30(b) |
1,354 | 1,406,467 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.(b) |
||||||||||||
5.13%, 05/01/27 |
1,999 | 2,121,319 | ||||||||||
5.88%, 05/01/27 |
142 | 147,503 | ||||||||||
5.00%, 02/01/28 |
262 | 277,065 | ||||||||||
5.38%, 06/01/29 |
2,119 | 2,322,954 | ||||||||||
4.75%, 03/01/30 |
1,252 | 1,350,908 | ||||||||||
4.50%, 08/15/30 |
5,597 | 5,939,816 | ||||||||||
4.25%, 02/01/31 |
4,406 | 4,643,307 | ||||||||||
4.50%, 05/01/32 |
6,316 | 6,743,720 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, 3.85%, 04/01/61 |
3,625 | 3,654,534 | ||||||||||
Clear Channel International BV, 6.63%, 08/01/25(b) |
1,965 | 2,073,075 | ||||||||||
Clear Channel Worldwide Holdings, Inc. |
||||||||||||
9.25%, 02/15/24 |
3,116 | 3,154,950 | ||||||||||
5.13%, 08/15/27(b) |
7,948 | 8,027,480 | ||||||||||
Connect Finco Sarl/Connect US Finco LLC, 6.75%, 10/01/26(b) |
10,767 | 11,598,212 | ||||||||||
CSC Holdings LLC |
||||||||||||
5.25%, 06/01/24 |
859 | 929,782 | ||||||||||
5.75%, 01/15/30(b) |
2,953 | 3,237,226 | ||||||||||
4.13%, 12/01/30(b) |
1,817 | 1,899,855 |
Security |
Par
(000) |
Value | ||||||||||
Media (continued) | ||||||||||||
CSC Holdings LLC (continued) |
||||||||||||
4.63%, 12/01/30(b) |
USD | 9,480 | $ | 9,894,750 | ||||||||
3.38%, 02/15/31(b) |
2,600 | 2,551,250 | ||||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 08/15/26(b) |
1,569 | 1,274,812 | ||||||||||
DISH DBS Corp. |
||||||||||||
6.75%, 06/01/21 |
2,590 | 2,642,344 | ||||||||||
5.88%, 07/15/22 |
5,096 | 5,325,320 | ||||||||||
5.00%, 03/15/23 |
1,948 | 2,011,310 | ||||||||||
7.75%, 07/01/26 |
5,863 | 6,566,619 | ||||||||||
DISH Network Corp.(j) |
||||||||||||
2.38%, 03/15/24 |
1,680 | 1,565,642 | ||||||||||
3.38%, 08/15/26 |
2,495 | 2,378,313 | ||||||||||
Entercom Media Corp., 6.50%, 05/01/27(b) |
2,322 | 2,359,732 | ||||||||||
GCI LLC, 4.75%, 10/15/28(b) |
448 | 477,814 | ||||||||||
Hughes Satellite Systems Corp., 5.25%, 08/01/26 . |
|
755 | 833,331 | |||||||||
Informa PLC, 2.13%, 10/06/25 |
EUR | 125 | 160,803 | |||||||||
Lamar Media Corp., 4.00%, 02/15/30 |
USD | 695 | 721,063 | |||||||||
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(b) |
3,216 | 3,461,220 | ||||||||||
Liberty Broadband Corp.(b)(j) |
||||||||||||
1.25%, 09/30/50 |
1,418 | 1,431,487 | ||||||||||
2.75%, 09/30/50 |
4,538 | 4,854,581 | ||||||||||
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(b)(g) |
4,128 | 4,004,160 | ||||||||||
Lions Gate Capital Holdings LLC(b) |
||||||||||||
6.38%, 02/01/24 |
147 | 150,675 | ||||||||||
5.88%, 11/01/24 |
1,016 | 1,031,240 | ||||||||||
Live Nation Entertainment, Inc. |
||||||||||||
2.50%, 03/15/23(j) |
953 | 1,230,133 | ||||||||||
4.88%, 11/01/24(b) |
134 | 135,675 | ||||||||||
2.00%, 02/15/25(b)(j) |
756 | 800,027 | ||||||||||
6.50%, 05/15/27(b) |
5,230 | 5,849,860 | ||||||||||
4.75%, 10/15/27(b) |
624 | 639,550 | ||||||||||
, 01/15/28(b)(i) |
971 | 981,098 | ||||||||||
Lorca Telecom Bondco SAU, 4.00%, 09/18/27 |
EUR | 105 | 134,841 | |||||||||
Meredith Corp., 6.88%, 02/01/26 |
USD | 382 | 372,450 | |||||||||
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27(b) |
972 | 1,015,740 | ||||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp., 5.00%, 08/15/27(b) |
1,937 | 1,970,897 | ||||||||||
Pinewood Finance Co. Ltd., 3.25%, 09/30/25 |
GBP | 206 | 286,776 | |||||||||
Qualitytech LP/QTS Finance Corp., 3.88%, 10/01/28(b) |
USD | 1,513 | 1,543,260 | |||||||||
Radiate Holdco LLC/Radiate Finance, Inc.(b) |
||||||||||||
4.50%, 09/15/26 |
3,306 | 3,409,312 | ||||||||||
6.50%, 09/15/28 |
6,404 | 6,748,215 | ||||||||||
Sable International Finance Ltd., 5.75%, 09/07/27(b) |
600 | 638,250 | ||||||||||
Scripps Escrow II, Inc.(b) |
||||||||||||
3.88%, 01/15/29 |
486 | 505,083 | ||||||||||
5.38%, 01/15/31 |
870 | 906,975 | ||||||||||
SES SA, (5 year EUR Swap + 5.40%), 5.63%(a)(f) |
EUR | 200 | 268,061 | |||||||||
Sinclair Television Group, Inc., 4.13%, 12/01/30(b) |
USD | 3,607 | 3,690,791 | |||||||||
Sirius XM Radio, Inc.(b) |
||||||||||||
4.63%, 07/15/24 |
928 | 961,640 | ||||||||||
5.50%, 07/01/29 |
2,576 | 2,834,405 | ||||||||||
4.13%, 07/01/30 |
1,054 | 1,121,851 | ||||||||||
Summer BC Holdco A Sarl, 9.25%, 10/31/27 |
EUR | 180 | 232,219 | |||||||||
Summer BC Holdco B Sarl, 5.75%, 10/31/26 |
400 | 514,681 |
C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S |
69 |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Media (continued) | ||||||||||||
Summer BidCo BV, (9.00% Cash or 9.75% PIK), 9.00%, 11/15/25(g) |
EUR | 151 | $ | 190,114 | ||||||||
TEGNA, Inc., 5.50%, 09/15/24(b) |
USD | 144 | 146,340 | |||||||||
Tele Columbus AG, 3.88%, 05/02/25 |
EUR | 100 | 122,385 | |||||||||
Telenet Finance Luxembourg Notes Sarl, 5.50%, 03/01/28(b) |
USD | 2,000 | 2,133,000 | |||||||||
Telesat Canada/Telesat LLC, 4.88%, 06/01/27(b) |
1,477 | 1,528,695 | ||||||||||
Terrier Media Buyer, Inc.,
8.88%,
|
4,158 | 4,584,195 | ||||||||||
Townsquare Media, Inc., 02/01/26(b)(i) |
391 | 409,506 | ||||||||||
Univision Communications, Inc.(b) |
||||||||||||
5.13%, 02/15/25 |
800 | 806,000 | ||||||||||
6.63%, 06/01/27 |
1,732 | 1,860,255 | ||||||||||
UPCB Finance VII Ltd., 3.63%, 06/15/29 |
EUR | 260 | 328,905 | |||||||||
Videotron Ltd., 5.13%, 04/15/27(b) |
USD | 1,786 | 1,895,392 | |||||||||
Virgin Media Finance PLC, 3.75%, 07/15/30 |
EUR | 142 | 176,510 | |||||||||
Virgin Media Secured Finance PLC |
||||||||||||
5.00%, 04/15/27 |
GBP | 200 | 286,150 | |||||||||
5.50%, 05/15/29(b) |
USD | 2,441 | 2,645,434 | |||||||||
4.50%, 08/15/30(b) |
1,798 | 1,878,910 | ||||||||||
Virgin Media Vendor Financing Notes III DAC, 4.88%, 07/15/28 |
GBP | 100 | 139,485 | |||||||||
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28(b) |
USD | 3,554 | 3,696,160 | |||||||||
WMG Acquisition Corp.(b) |
||||||||||||
5.50%, 04/15/26 |
918 | 951,277 | ||||||||||
3.88%, 07/15/30 |
876 | 930,987 | ||||||||||
3.00%, 02/15/31 |
344 | 337,120 | ||||||||||
Ziggo Bond Co. BV(b) |
||||||||||||
6.00%, 01/15/27 |
291 | 307,520 | ||||||||||
5.13%, 02/28/30 |
1,395 | 1,472,143 | ||||||||||
Ziggo BV |
||||||||||||
4.25%, 01/15/27 |
EUR | 206 | 262,322 | |||||||||
5.50%, 01/15/27(b) |
USD | 1,541 | 1,608,419 | |||||||||
2.88%, 01/15/30 |
EUR | 106 | 131,761 | |||||||||
4.88%, 01/15/30(b) |
USD | 1,250 | 1,314,062 | |||||||||
|
|
|||||||||||
202,892,351 | ||||||||||||
Metals & Mining 3.3% | ||||||||||||
Allegheny Technologies, Inc., 7.88%, 08/15/23 |
284 | 310,793 | ||||||||||
Arconic Corp.(b) |
||||||||||||
6.00%, 05/15/25 |
1,484 | 1,584,170 | ||||||||||
6.13%, 02/15/28 |
1,359 | 1,465,172 | ||||||||||
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(b) |
5,101 | 5,509,080 | ||||||||||
Constellium SE(b) |
||||||||||||
5.75%, 05/15/24 |
1,060 | 1,081,645 | ||||||||||
6.63%, 03/01/25 |
941 | 960,996 | ||||||||||
5.88%, 02/15/26 |
3,827 | 3,941,810 | ||||||||||
5.63%, 06/15/28 |
1,235 | 1,330,713 | ||||||||||
Freeport-McMoRan, Inc. |
||||||||||||
4.38%, 08/01/28 |
2,188 | 2,324,750 | ||||||||||
4.63%, 08/01/30 |
2,597 | 2,850,207 | ||||||||||
5.45%, 03/15/43 |
6,723 | 8,370,135 | ||||||||||
Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23(b) |
1,645 | 1,669,675 | ||||||||||
Joseph T Ryerson & Son, Inc., 8.50%, 08/01/28(b) . |
850 | 962,625 | ||||||||||
Kaiser Aluminum Corp.(b) |
||||||||||||
6.50%, 05/01/25 |
861 | 921,270 | ||||||||||
4.63%, 03/01/28 |
447 | 463,763 | ||||||||||
New Gold, Inc.(b) |
||||||||||||
6.38%, 05/15/25 |
239 | 249,755 |
Security |
Par
(000) |
Value | ||||||||||
Metals & Mining (continued) | ||||||||||||
New Gold, Inc.(b) (continued) |
||||||||||||
7.50%, 07/15/27 |
USD | 2,178 | $ | 2,406,690 | ||||||||
Novelis Corp.(b) |
||||||||||||
5.88%, 09/30/26 |
2,012 | 2,102,540 | ||||||||||
4.75%, 01/30/30 |
4,149 | 4,469,987 | ||||||||||
thyssenkrupp AG |
||||||||||||
1.88%, 03/06/23 |
EUR | 127 | 154,851 | |||||||||
2.88%, 02/22/24 |
737 | 905,083 | ||||||||||
2.50%, 02/25/25 |
1 | 1,219 | ||||||||||
United States Steel Corp., 12.00%, 06/01/25(b) |
USD | 2,915 | 3,366,825 | |||||||||
Vedanta Resources Finance II PLC, 13.88%, 01/21/24(b) |
479 | 503,249 | ||||||||||
|
|
|||||||||||
47,907,003 | ||||||||||||
Multi-line Retail 0.5% | ||||||||||||
Dufry One BV, 2.00%, 02/15/27 |
EUR | 194 | 221,536 | |||||||||
Macys, Inc., 8.38%, 06/15/25(b) |
USD | 3,066 | 3,404,793 | |||||||||
Marks & Spencer PLC, 4.50%, 07/10/27 |
GBP | 200 | 283,596 | |||||||||
Nordstrom, Inc., 8.75%, 05/15/25(b) |
USD | 2,659 | 2,978,216 | |||||||||
|
|
|||||||||||
6,888,141 | ||||||||||||
Offshore Drilling & Other Services(b) 0.2% | ||||||||||||
Entegris, Inc. |
||||||||||||
4.63%, 02/10/26 |
1,250 | 1,296,875 | ||||||||||
4.38%, 04/15/28 |
1,037 | 1,105,701 | ||||||||||
|
|
|||||||||||
2,402,576 | ||||||||||||
Oil, Gas & Consumable Fuels 16.6% | ||||||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp., 7.88%, 05/15/26(b) |
1,766 | 1,823,536 | ||||||||||
Antero Resources Corp., 07/15/26(b)(i) |
277 | 282,731 | ||||||||||
Apache Corp. |
||||||||||||
4.88%, 11/15/27 |
1,094 | 1,159,640 | ||||||||||
5.10%, 09/01/40 |
520 | 554,450 | ||||||||||
5.25%, 02/01/42 |
135 | 145,508 | ||||||||||
4.75%, 04/15/43 |
1,832 | 1,899,537 | ||||||||||
4.25%, 01/15/44 |
229 | 225,938 | ||||||||||
5.35%, 07/01/49 |
305 | 312,939 | ||||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 9.00%, 11/01/27(b) |
2,218 | 2,461,980 | ||||||||||
Baytex Energy Corp., 8.75%, 04/01/27(b) |
1,746 | 1,111,015 | ||||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.63%, 12/15/25(b) |
867 | 923,355 | ||||||||||
Brand Industrial Services, Inc., 8.50%, 07/15/25(b) . |
2,543 | 2,597,039 | ||||||||||
Buckeye Partners LP |
||||||||||||
4.13%, 03/01/25(b) |
151 | 152,888 | ||||||||||
3.95%, 12/01/26 |
302 | 305,926 | ||||||||||
4.50%, 03/01/28(b) |
1,312 | 1,351,360 | ||||||||||
5.85%, 11/15/43 |
816 | 802,895 | ||||||||||
5.60%, 10/15/44 |
1,073 | 1,031,421 | ||||||||||
Cellnex Telecom SA, Series CLNX, 0.75%, 11/20/31(j) |
EUR | 200 | 234,982 | |||||||||
Cenovus Energy, Inc. |
||||||||||||
3.00%, 08/15/22 |
USD | 453 | 462,884 | |||||||||
3.80%, 09/15/23 |
257 | 266,953 | ||||||||||
5.38%, 07/15/25 |
1,651 | 1,861,420 | ||||||||||
5.40%, 06/15/47 |
594 | 697,300 | ||||||||||
Centennial Resource Production LLC, 6.88%, 04/01/27(b) |
1,284 | 921,270 | ||||||||||
Cheniere Energy Partners LP |
||||||||||||
5.63%, 10/01/26 |
1,480 | 1,539,200 | ||||||||||
4.50%, 10/01/29 |
2,308 | 2,441,356 | ||||||||||
5.25%, 10/01/25 |
329 | 337,636 |
70 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
Cheniere Energy, Inc., 4.63%, 10/15/28(b) |
USD | 6,712 | $ | 7,047,600 | ||||||||
CITGO Petroleum Corp., 7.00%,
|
1,453 | 1,449,367 | ||||||||||
CNX Resources Corp.(b) |
||||||||||||
7.25%, 03/14/27 |
1,367 | 1,462,690 | ||||||||||
6.00%, 01/15/29 |
1,343 | 1,375,883 | ||||||||||
Comstock Resources, Inc. |
||||||||||||
7.50%, 05/15/25(b) |
2,722 | 2,788,934 | ||||||||||
9.75%, 08/15/26 |
2,912 | 3,135,387 | ||||||||||
Continental Resources, Inc. |
||||||||||||
5.00%, 09/15/22 |
843 | 844,265 | ||||||||||
4.50%, 04/15/23 |
146 | 150,541 | ||||||||||
5.75%, 01/15/31(b) |
1,272 | 1,411,895 | ||||||||||
4.90%, 06/01/44 |
1,171 | 1,158,131 | ||||||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. |
||||||||||||
6.25%, 04/01/23 |
385 | 385,963 | ||||||||||
5.63%, 05/01/27(b) |
1,096 | 1,085,040 | ||||||||||
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(b) |
5,663 | 5,783,225 | ||||||||||
CVR Energy, Inc.(b) |
||||||||||||
5.25%, 02/15/25 |
868 | 837,620 | ||||||||||
5.75%, 02/15/28 |
460 | 435,850 | ||||||||||
DCP Midstream Operating LP |
||||||||||||
5.38%, 07/15/25 |
1,417 | 1,557,028 | ||||||||||
5.63%, 07/15/27 |
1,044 | 1,158,840 | ||||||||||
5.13%, 05/15/29 |
39 | 43,256 | ||||||||||
6.45%, 11/03/36(b) |
1,282 | 1,384,560 | ||||||||||
6.75%, 09/15/37(b) |
2,344 | 2,531,520 | ||||||||||
Diamondback Energy, Inc. |
||||||||||||
4.75%, 05/31/25 |
710 | 799,310 | ||||||||||
3.50%, 12/01/29 |
3,200 | 3,418,610 | ||||||||||
Double Eagle III Midco 1 LLC/Double Eagle Finance Corp., 7.75%, 12/15/25(b) |
1,220 | 1,293,664 | ||||||||||
eG Global Finance PLC |
||||||||||||
4.38%, 02/07/25 |
EUR | 133 | 159,555 | |||||||||
6.75%, 02/07/25(b) |
USD | 1,047 | 1,078,410 | |||||||||
6.25%, 10/30/25 |
EUR | 463 | 580,837 | |||||||||
8.50%, 10/30/25(b) |
USD | 1,586 | 1,689,090 | |||||||||
Endeavor Energy Resources LP/EER Finance, Inc.(b) |
||||||||||||
6.63%, 07/15/25 |
1,039 | 1,111,730 | ||||||||||
5.50%, 01/30/26 |
3,785 | 3,883,978 | ||||||||||
5.75%, 01/30/28 |
2,230 | 2,405,501 | ||||||||||
Energy Transfer Operating LP |
||||||||||||
6.50%, 02/01/42 |
1,327 | 1,618,921 | ||||||||||
5.15%, 03/15/45 |
269 | 291,513 | ||||||||||
6.13%, 12/15/45 |
185 | 218,540 | ||||||||||
6.00%, 06/15/48 |
1,111 | 1,309,127 | ||||||||||
6.25%, 04/15/49 |
511 | 618,084 | ||||||||||
5.00%, 05/15/50 |
3,626 | 3,926,571 | ||||||||||
Energy Transfer Partners LP, 5.80%, 06/15/38 |
255 | 292,945 | ||||||||||
EnLink Midstream LLC |
||||||||||||
5.63%, 01/15/28(b) |
899 | 917,160 | ||||||||||
5.38%, 06/01/29 |
474 | 460,965 | ||||||||||
EnLink Midstream Partners LP |
||||||||||||
4.40%, 04/01/24 |
1,638 | 1,616,329 | ||||||||||
4.15%, 06/01/25 |
108 | 105,300 | ||||||||||
4.85%, 07/15/26 |
297 | 289,973 | ||||||||||
5.60%, 04/01/44 |
1,350 | 1,083,375 | ||||||||||
5.05%, 04/01/45 |
323 | 257,395 |
Security |
Par
(000) |
Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
EQM Midstream Partners LP |
||||||||||||
6.00%, 07/01/25(b) |
USD | 1,338 | $ | 1,465,110 | ||||||||
4.13%, 12/01/26 |
361 | 363,708 | ||||||||||
6.50%, 07/01/27(b) |
1,929 | 2,172,122 | ||||||||||
EQT Corp. |
||||||||||||
3.90%, 10/01/27 |
1,920 | 1,907,424 | ||||||||||
5.00%, 01/15/29 |
762 | 803,392 | ||||||||||
8.75%, 02/01/30 |
798 | 977,550 | ||||||||||
Extraction Oil & Gas, Inc.(b)(c)(h) |
||||||||||||
7.38%, 05/15/24 |
2,593 | 466,740 | ||||||||||
5.63%, 02/01/26 |
2,937 | 528,660 | ||||||||||
Genesis Energy LP/Genesis Energy Finance Corp. |
||||||||||||
5.63%, 06/15/24 |
201 | 195,975 | ||||||||||
6.50%, 10/01/25 |
350 | 340,375 | ||||||||||
8.00%, 01/15/27 |
1,093 | 1,082,289 | ||||||||||
7.75%, 02/01/28 |
188 | 180,010 | ||||||||||
Great Western Petroleum LLC/Great Western Finance Corp., 9.00%,
|
1,813 | 1,051,540 | ||||||||||
Harvest Midstream I LP, 7.50%, 09/01/28(b) |
1,530 | 1,627,537 | ||||||||||
Hess Midstream Operations LP(b) |
||||||||||||
5.63%, 02/15/26 |
1,075 | 1,118,000 | ||||||||||
5.13%, 06/15/28 |
862 | 901,057 | ||||||||||
Holly Energy Partners LP/Holly Energy Finance Corp., 5.00%, 02/01/28(b) |
1,252 | 1,261,390 | ||||||||||
Indigo Natural Resources LLC, 6.88%, 02/15/26(b) . |
3,118 | 3,188,155 | ||||||||||
Ithaca Energy North Sea PLC, 9.38%, 07/15/24(b) |
200 | 195,828 | ||||||||||
Kinder Morgan Energy Partners LP |
||||||||||||
4.70%, 11/01/42 |
1,500 | 1,716,918 | ||||||||||
5.00%, 03/01/43 |
600 | 704,868 | ||||||||||
Kinder Morgan, Inc. |
||||||||||||
5.55%, 06/01/45 |
535 | 687,544 | ||||||||||
5.05%, 02/15/46 |
428 | 522,495 | ||||||||||
MasTec, Inc., 4.50%, 08/15/28(b) |
1,122 | 1,178,100 | ||||||||||
Matador Resources Co., 5.88%, 09/15/26 |
3,623 | 3,550,540 | ||||||||||
MEG Energy Corp.(b) |
||||||||||||
7.00%, 03/31/24 |
2,507 | 2,532,070 | ||||||||||
6.50%, 01/15/25 |
2,625 | 2,703,881 | ||||||||||
7.13%, 02/01/27 |
1,017 | 1,050,052 | ||||||||||
MPLX LP |
||||||||||||
5.20%, 03/01/47 |
500 | 608,238 | ||||||||||
4.70%, 04/15/48 |
1,721 | 2,040,899 | ||||||||||
5.50%, 02/15/49 |
1,285 | 1,692,105 | ||||||||||
Murphy Oil Corp. |
||||||||||||
5.75%, 08/15/25 |
833 | 824,670 | ||||||||||
6.38%, 12/01/42 |
141 | 124,256 | ||||||||||
Murphy Oil USA, Inc., 4.75%, 09/15/29 |
928 | 987,160 | ||||||||||
New Enterprise Stone & Lime Co. Inc., 9.75%, 07/15/28(b) |
438 | 479,610 | ||||||||||
New Enterprise Stone & Lime Co., Inc., 6.25%, 03/15/26(b) |
480 | 492,000 | ||||||||||
New Fortress Energy, Inc.,
6.75%,
|
5,973 | 6,344,401 | ||||||||||
NGPL PipeCo LLC, 7.77%, 12/15/37(b) |
1,640 | 2,217,245 | ||||||||||
NuStar Logistics LP |
||||||||||||
5.75%, 10/01/25 |
719 | 765,735 | ||||||||||
6.00%, 06/01/26 |
908 | 982,011 | ||||||||||
6.38%, 10/01/30 |
75 | 84,960 | ||||||||||
Occidental Petroleum Corp. |
||||||||||||
2.70%, 08/15/22 |
2,224 | 2,226,780 | ||||||||||
2.70%, 02/15/23 |
1,420 | 1,418,651 | ||||||||||
6.95%, 07/01/24 |
363 | 392,040 |
C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S |
71 |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
Occidental Petroleum Corp. (continued) |
||||||||||||
2.90%, 08/15/24 |
USD | 1,875 | $ | 1,804,687 | ||||||||
5.50%, 12/01/25 |
614 | 640,163 | ||||||||||
3.40%, 04/15/26 |
440 | 419,498 | ||||||||||
3.20%, 08/15/26 |
90 | 84,150 | ||||||||||
3.00%, 02/15/27 |
25 | 22,250 | ||||||||||
8.88%, 07/15/30 |
164 | 192,495 | ||||||||||
6.13%, 01/01/31 |
1,235 | 1,321,697 | ||||||||||
4.30%, 08/15/39 |
2,394 | 2,024,175 | ||||||||||
6.20%, 03/15/40 |
3,637 | 3,600,630 | ||||||||||
4.50%, 07/15/44 |
1,099 | 931,403 | ||||||||||
4.63%, 06/15/45 |
2,824 | 2,461,483 | ||||||||||
6.60%, 03/15/46 |
57 | 57,836 | ||||||||||
4.40%, 04/15/46 |
2,413 | 2,102,845 | ||||||||||
4.10%, 02/15/47 |
273 | 223,164 | ||||||||||
4.20%, 03/15/48 |
1,598 | 1,302,370 | ||||||||||
4.40%, 08/15/49 |
472 | 397,802 | ||||||||||
Ovintiv Exploration, Inc., 5.75%, 01/30/22 |
430 | 446,620 | ||||||||||
Parkland Corp., 5.88%, 07/15/27(b) |
1,223 | 1,322,344 | ||||||||||
Parsley Energy LLC/Parsley Finance Corp.(b) |
||||||||||||
5.38%, 01/15/25 |
1,806 | 1,857,290 | ||||||||||
5.25%, 08/15/25 |
408 | 424,932 | ||||||||||
5.63%, 10/15/27 |
937 | 1,025,546 | ||||||||||
4.13%, 02/15/28 |
1,738 | 1,824,900 | ||||||||||
PBF Holding Co. LLC/PBF Finance Corp., 9.25%, 05/15/25(b) |
5,637 | 5,557,518 | ||||||||||
PDC Energy, Inc. |
||||||||||||
1.13%, 09/15/21(j) |
1,153 | 1,120,231 | ||||||||||
6.13%, 09/15/24 |
978 | 1,005,003 | ||||||||||
6.25%, 12/01/25 |
298 | 294,275 | ||||||||||
5.75%, 05/15/26 |
1,632 | 1,685,040 | ||||||||||
Plains All American Pipeline LP/PAA Finance Corp. |
||||||||||||
3.55%, 12/15/29 |
498 | 521,159 | ||||||||||
3.80%, 09/15/30 |
419 | 450,446 | ||||||||||
6.65%, 01/15/37 |
535 | 653,077 | ||||||||||
5.15%, 06/01/42 |
215 | 230,796 | ||||||||||
4.30%, 01/31/43 |
590 | 580,501 | ||||||||||
4.70%, 06/15/44 |
375 | 388,841 | ||||||||||
4.90%, 02/15/45 |
873 | 926,510 | ||||||||||
QEP Resources, Inc. |
||||||||||||
5.38%, 10/01/22 |
2,656 | 2,765,560 | ||||||||||
5.25%, 05/01/23 |
1,558 | 1,639,795 | ||||||||||
5.63%, 03/01/26 |
460 | 504,413 | ||||||||||
Range Resources Corp. |
||||||||||||
5.88%, 07/01/22 |
230 | 230,000 | ||||||||||
5.00%, 08/15/22 |
1,313 | 1,299,870 | ||||||||||
5.00%, 03/15/23 |
520 | 507,000 | ||||||||||
4.88%, 05/15/25 |
464 | 438,290 | ||||||||||
Rattler Midstream LP, 5.63%, 07/15/25(b) |
1,222 | 1,290,737 | ||||||||||
Sabine Pass Liquefaction LLC, 4.50%, 05/15/30(b) |
1,788 | 2,119,276 | ||||||||||
SM Energy Co. |
||||||||||||
6.13%, 11/15/22 |
203 | 195,895 | ||||||||||
10.00%, 01/15/25(b) |
4,914 | 5,282,550 | ||||||||||
Southwestern Energy Co. |
||||||||||||
4.10%, 03/15/22 |
1,362 | 1,368,810 | ||||||||||
6.45%, 01/23/25 |
76 | 79,040 | ||||||||||
7.50%, 04/01/26 |
331 | 347,219 | ||||||||||
8.38%, 09/15/28 |
500 | 542,500 | ||||||||||
Sunoco Logistics Partners Operations LP |
||||||||||||
5.30%, 04/01/44 |
1,065 | 1,150,867 |
Security |
Par
(000) |
Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
Sunoco Logistics Partners Operations
|
||||||||||||
5.35%, 05/15/45 |
USD | 419 | $ | 461,575 | ||||||||
5.40%, 10/01/47 |
1,948 | 2,176,568 | ||||||||||
Sunoco LP/Sunoco Finance Corp. |
||||||||||||
4.88%, 01/15/23 |
1,170 | 1,184,742 | ||||||||||
5.50%, 02/15/26 |
27 | 27,675 | ||||||||||
6.00%, 04/15/27 |
339 | 360,364 | ||||||||||
5.88%, 03/15/28 |
808 | 872,640 | ||||||||||
4.50%, 05/15/29(b) |
900 | 936,000 | ||||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(b) |
||||||||||||
5.50%, 09/15/24 |
1,057 | 1,075,497 | ||||||||||
7.50%, 10/01/25 |
711 | 767,588 | ||||||||||
6.00%, 12/31/30 |
784 | 806,775 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. |
||||||||||||
4.25%, 11/15/23 |
116 | 116,580 | ||||||||||
5.13%, 02/01/25 |
245 | 251,125 | ||||||||||
5.88%, 04/15/26 |
1,082 | 1,147,158 | ||||||||||
5.38%, 02/01/27 |
188 | 197,470 | ||||||||||
6.50%, 07/15/27 |
786 | 852,810 | ||||||||||
5.00%, 01/15/28 |
1,547 | 1,632,951 | ||||||||||
6.88%, 01/15/29 |
919 | 1,035,024 | ||||||||||
5.50%, 03/01/30 |
1,677 | 1,820,719 | ||||||||||
4.88%, 02/01/31(b) |
1,732 | 1,887,170 | ||||||||||
Transocean, Inc., 11.50%, 01/30/27(b) |
965 | 689,975 | ||||||||||
UGI International LLC, 3.25%, 11/01/25 |
EUR | 100 | 125,500 | |||||||||
Viper Energy Partners LP, 5.38%,
|
USD | 1,246 | 1,302,070 | |||||||||
Western Midstream Operating LP |
||||||||||||
3.95%, 06/01/25 |
907 | 925,140 | ||||||||||
4.75%, 08/15/28 |
145 | 150,800 | ||||||||||
5.45%, 04/01/44 |
1,518 | 1,535,108 | ||||||||||
5.30%, 03/01/48 |
2,281 | 2,260,380 | ||||||||||
5.50%, 08/15/48 |
392 | 384,783 | ||||||||||
6.25%, 02/01/50 |
3,053 | 3,358,300 | ||||||||||
Williams Cos., Inc. |
||||||||||||
5.80%, 11/15/43 |
1,500 | 1,957,381 | ||||||||||
5.10%, 09/15/45 |
340 | 420,225 | ||||||||||
WPX Energy, Inc. |
||||||||||||
8.25%, 08/01/23 |
1,006 | 1,144,949 | ||||||||||
5.25%, 09/15/24 |
77 | 83,874 | ||||||||||
5.75%, 06/01/26 |
326 | 342,708 | ||||||||||
5.25%, 10/15/27 |
536 | 567,956 | ||||||||||
5.88%, 06/15/28 |
1,088 | 1,185,953 | ||||||||||
4.50%, 01/15/30 |
2,407 | 2,551,420 | ||||||||||
|
|
|||||||||||
241,774,180 | ||||||||||||
Personal Products 0.1% | ||||||||||||
Coty, Inc. |
||||||||||||
4.00%, 04/15/23 |
EUR | 200 | 234,558 | |||||||||
4.75%, 04/15/26 |
100 | 114,136 | ||||||||||
6.50%, 04/15/26(b) |
USD | 100 | 97,242 | |||||||||
Edgewell Personal Care Co., 5.50%, 06/01/28(b) |
762 | 818,922 | ||||||||||
|
|
|||||||||||
1,264,858 | ||||||||||||
Pharmaceuticals 3.0% | ||||||||||||
Bausch Health Americas, Inc.(b) |
||||||||||||
9.25%, 04/01/26 |
306 | 341,190 | ||||||||||
8.50%, 01/31/27 |
3,330 | 3,703,526 | ||||||||||
Bausch Health Cos., Inc.(b) |
||||||||||||
6.13%, 04/15/25 |
355 | 365,884 |
72 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Pharmaceuticals (continued) | ||||||||||||
Bausch Health Cos., Inc.(b) (continued) |
||||||||||||
9.00%, 12/15/25 |
USD | 339 | $ | 374,239 | ||||||||
5.75%, 08/15/27 |
1,292 | 1,385,670 | ||||||||||
7.00%, 01/15/28 |
1,393 | 1,531,186 | ||||||||||
5.00%, 01/30/28 |
1,385 | 1,427,298 | ||||||||||
5.00%, 02/15/29 |
2,842 | 2,922,144 | ||||||||||
6.25%, 02/15/29 |
2,823 | 3,066,484 | ||||||||||
7.25%, 05/30/29 |
2,892 | 3,250,926 | ||||||||||
5.25%, 01/30/30 |
3,763 | 3,951,150 | ||||||||||
5.25%, 02/15/31 |
1,493 | 1,559,767 | ||||||||||
Cheplapharm Arzneimittel GmbH |
||||||||||||
3.50%, 02/11/27 |
EUR | 166 | 203,301 | |||||||||
4.38%, 01/15/28 |
100 | 125,102 | ||||||||||
5.50%, 01/15/28(b) |
USD | 1,643 | 1,716,935 | |||||||||
Diocle SpA, (3 mo. EURIBOR + 3.88%), 3.88%, 06/30/26(a) |
EUR | 98 | 119,616 | |||||||||
Elanco Animal Health, Inc., 5.90%, 08/28/28 |
USD | 918 | 1,083,240 | |||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc.(b) |
||||||||||||
9.50%, 07/31/27 |
1,477 | 1,648,701 | ||||||||||
6.00%, 06/30/28 |
687 | 583,950 | ||||||||||
Jaguar Holding Co. II/PPD Development LP(b) |
||||||||||||
4.63%, 06/15/25 |
2,488 | 2,623,870 | ||||||||||
5.00%, 06/15/28 |
3,331 | 3,555,842 | ||||||||||
Nidda BondCo GmbH |
||||||||||||
5.00%, 09/30/25 |
EUR | 100 | 123,372 | |||||||||
7.25%, 09/30/25 |
237 | 299,665 | ||||||||||
Nidda Healthcare Holding GmbH, 3.50%, 09/30/24 |
244 | 297,606 | ||||||||||
P&L Development LLC/PLD Finance Corp., 7.75%, 11/15/25(b) |
USD | 745 | 800,875 | |||||||||
Par Pharmaceutical, Inc., 7.50%,
|
5,373 | 5,829,705 | ||||||||||
Rossini Sarl, 6.75%, 10/30/25 |
EUR | 201 | 261,513 | |||||||||
Teva Pharmaceutical Finance
|
||||||||||||
1.88%, 03/31/27 |
100 | 110,827 | ||||||||||
1.63%, 10/15/28 |
100 | 107,352 | ||||||||||
|
|
|||||||||||
43,370,936 | ||||||||||||
Real Estate Management & Development 0.7% | ||||||||||||
ADLER Group SA |
||||||||||||
3.25%, 08/05/25 |
200 | 254,323 | ||||||||||
2.75%, 11/13/26 |
100 | 125,066 | ||||||||||
ADLER Real Estate AG, 3.00%, 04/27/26 |
200 | 256,889 | ||||||||||
Consus Real Estate AG, 9.63%, 05/15/24 |
200 | 261,980 | ||||||||||
Cushman & Wakefield US Borrower LLC, 6.75%, 05/15/28(b) |
USD | 1,654 | 1,823,535 | |||||||||
DEMIRE Deutsche Mittelstand Real Estate AG, 1.88%, 10/15/24 |
EUR | 100 | 118,914 | |||||||||
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(b) |
USD | 2,113 | 2,236,716 | |||||||||
Greystar Real Estate Partners LLC, 5.75%, 12/01/25(b) |
412 | 419,828 | ||||||||||
Heimstaden Bostad AB(a)(f) |
||||||||||||
(5 year EUR Swap + 3.67%), 3.25% |
EUR | 100 | 125,525 | |||||||||
(5 year EUR Swap + 3.91%), 3.38% |
100 | 126,817 | ||||||||||
Howard Hughes Corp.(b) |
||||||||||||
5.38%, 03/15/25 |
USD | 479 | 493,969 | |||||||||
5.38%, 08/01/28 |
1,769 | 1,902,559 | ||||||||||
Peach Property Finance GmbH |
||||||||||||
3.50%, 02/15/23 |
EUR | 179 | 223,049 | |||||||||
4.38%, 11/15/25 |
100 | 127,470 |
Security |
Par
(000) |
Value | ||||||||||
Real Estate Management & Development (continued) | ||||||||||||
Realogy Group LLC/Realogy Co-Issuer Corp., 7.63%, 06/15/25(b) |
USD | 684 | $ | 742,632 | ||||||||
Summit Properties Ltd., 2.00%, 01/31/25 |
EUR | 145 | 173,425 | |||||||||
Unique Pub Finance Co. PLC, Series N, 6.46%, 03/30/32 |
GBP | 500 | 665,363 | |||||||||
|
|
|||||||||||
10,078,060 | ||||||||||||
Road & Rail 0.1% | ||||||||||||
Autostrade per lItalia SpA |
||||||||||||
6.25%, 06/09/22 |
100 | 144,332 | ||||||||||
5.88%, 06/09/24 |
EUR | 300 | 417,804 | |||||||||
1.88%, 11/04/25 |
100 | 121,860 | ||||||||||
CMA CGM SA |
||||||||||||
6.50%, 07/15/22 |
100 | 123,997 | ||||||||||
7.50%, 01/15/26 |
115 | 150,324 | ||||||||||
Getlink SE, 3.50%, 10/30/25 |
220 | 277,052 | ||||||||||
|
|
|||||||||||
1,235,369 | ||||||||||||
Semiconductors & Semiconductor Equipment 1.1% | ||||||||||||
ams AG |
||||||||||||
6.00%, 07/31/25 |
340 | 439,680 | ||||||||||
2.13%, 11/03/27(j) |
300 | 366,041 | ||||||||||
Infineon Technologies AG, (5 year EUR Swap + 3.39%), 2.88%(a)(f) |
200 | 253,133 | ||||||||||
Microchip Technology, Inc., 4.25%, 09/01/25(b) |
USD | 5,208 | 5,509,769 | |||||||||
ON Semiconductor Corp., 3.88%,
|
1,700 | 1,759,500 | ||||||||||
Qorvo, Inc., 3.38%, 04/01/31(b) |
1,378 | 1,422,785 | ||||||||||
Sensata Technologies BV(b) |
||||||||||||
5.63%, 11/01/24 |
1,400 | 1,564,556 | ||||||||||
5.00%, 10/01/25 |
2,021 | 2,248,362 | ||||||||||
Sensata Technologies, Inc.(b) |
||||||||||||
4.38%, 02/15/30 |
994 | 1,069,793 | ||||||||||
3.75%, 02/15/31 |
1,167 | 1,209,689 | ||||||||||
|
|
|||||||||||
15,843,308 | ||||||||||||
Software 3.5% | ||||||||||||
ACI Worldwide, Inc., 5.75%, 08/15/26(b) |
3,505 | 3,706,537 | ||||||||||
ANGI Group LLC, 3.88%, 08/15/28(b) |
1,361 | 1,384,817 | ||||||||||
Black Knight InfoServ LLC, 3.63%, 09/01/28(b) |
1,997 | 2,044,429 | ||||||||||
Boxer Parent Co., Inc. |
||||||||||||
6.50%, 10/02/25 |
EUR | 373 | 481,084 | |||||||||
7.13%, 10/02/25(b) |
USD | 2,034 | 2,207,800 | |||||||||
9.13%, 03/01/26(b) |
3,346 | 3,596,950 | ||||||||||
BY Crown Parent LLC, 7.38%, 10/15/24(b) |
4,370 | 4,446,475 | ||||||||||
BY Crown Parent LLC/BY Bond Finance, Inc., 4.25%, 01/31/26(b) |
3,105 | 3,182,625 | ||||||||||
CDK Global, Inc., 5.25%, 05/15/29(b) |
512 | 567,255 | ||||||||||
MSCI, Inc.(b) |
||||||||||||
4.75%, 08/01/26 |
181 | 188,691 | ||||||||||
4.00%, 11/15/29 |
17 | 18,105 | ||||||||||
3.63%, 09/01/30 |
682 | 712,690 | ||||||||||
3.88%, 02/15/31 |
962 | 1,017,315 | ||||||||||
Nuance Communications, Inc., 5.63%, 12/15/26 |
884 | 935,378 | ||||||||||
Open Text Corp., 3.88%, 02/15/28(b) |
1,263 | 1,313,520 | ||||||||||
Open Text Holdings, Inc., 4.13%,
|
1,640 | 1,744,632 | ||||||||||
PTC, Inc.(b) |
||||||||||||
3.63%, 02/15/25 |
451 | 463,643 | ||||||||||
4.00%, 02/15/28 |
493 | 516,726 | ||||||||||
Solera LLC/Solera Finance, Inc., 10.50%, 03/01/24(b) |
11,061 | 11,461,961 |
C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S |
73 |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Software (continued) | ||||||||||||
SS&C Technologies, Inc., 5.50%, 09/30/27(b) |
USD | 5,506 | $ | 5,880,518 | ||||||||
Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(b) |
4,916 | 5,045,045 | ||||||||||
|
|
|||||||||||
50,916,196 | ||||||||||||
Specialty Retail 1.0% | ||||||||||||
Gap, Inc., 8.88%, 05/15/27(b) |
932 | 1,081,120 | ||||||||||
L Brands, Inc. |
||||||||||||
6.88%, 07/01/25(b) |
2,244 | 2,436,490 | ||||||||||
6.63%, 10/01/30(b) |
737 | 819,913 | ||||||||||
6.88%, 11/01/35 |
2,966 | 3,329,335 | ||||||||||
6.75%, 07/01/36 |
384 | 427,824 | ||||||||||
PetSmart, Inc.(b) |
||||||||||||
7.13%, 03/15/23 |
1,421 | 1,421,000 | ||||||||||
5.88%, 06/01/25 |
1,130 | 1,161,075 | ||||||||||
Staples, Inc., 7.50%, 04/15/26(b) |
3,611 | 3,770,859 | ||||||||||
Tendam Brands SAU, (3 mo. EURIBOR + 5.25%), 5.25%, 09/15/24(a) |
EUR | 100 | 112,697 | |||||||||
|
|
|||||||||||
14,560,313 | ||||||||||||
Technology Hardware, Storage & Peripherals 0.0% | ||||||||||||
Seagate HDD Cayman, 4.13%, 01/15/31(b) |
USD | 370 | 394,513 | |||||||||
|
|
|||||||||||
Textiles, Apparel & Luxury Goods 0.2% |
|
|||||||||||
European TopSoho Sarl, Series SMCP, 4.00%, 09/21/21(j) |
EUR | 200 | 160,109 | |||||||||
Hanesbrands, Inc., 5.38%, 05/15/25(b) |
USD | 277 | 293,072 | |||||||||
Levi Strauss & Co., 5.00%, 05/01/25 |
1,051 | 1,077,275 | ||||||||||
William Carter Co.(b) |
||||||||||||
5.50%, 05/15/25 |
264 | 280,364 | ||||||||||
5.63%, 03/15/27 |
543 | 571,508 | ||||||||||
Wolverine World Wide, Inc.,
6.38%,
|
391 | 416,415 | ||||||||||
|
|
|||||||||||
2,798,743 | ||||||||||||
Thrifts & Mortgage Finance 0.5% | ||||||||||||
Genworth Mortgage Holdings, Inc., 6.50%, 08/15/25(b) |
3,140 | 3,399,050 | ||||||||||
LD Holdings Group LLC, 6.50%, 11/01/25(b) |
279 | 293,648 | ||||||||||
MGIC Investment Corp., 5.25%, 08/15/28 |
857 | 916,990 | ||||||||||
Nationstar Mortgage Holdings, Inc.(b) |
||||||||||||
6.00%, 01/15/27 |
422 | 447,847 | ||||||||||
5.50%, 08/15/28 |
1,314 | 1,379,700 | ||||||||||
5.13%, 12/15/30 |
713 | 745,242 | ||||||||||
|
|
|||||||||||
7,182,477 | ||||||||||||
Transportation 0.0% | ||||||||||||
Autostrade per lItalia SpA, 2.00%, 12/04/28 |
EUR | 326 | 399,254 | |||||||||
Transportation Infrastructure 0.0% | ||||||||||||
Heathrow Finance PLC, 4.65%, 09/01/29 |
GBP | 215 | 292,175 | |||||||||
National Express Group PLC, (5 year UK |
||||||||||||
Government Bond + 4.14%), 4.25%(a)(f) |
100 | 139,964 | ||||||||||
|
|
|||||||||||
432,139 | ||||||||||||
Utilities 0.2% | ||||||||||||
ContourGlobal Power Holdings SA, 4.13%, 08/01/25 |
EUR | 127 | 158,659 | |||||||||
Orano SA, 2.75%, 03/08/28 |
100 | 128,114 |
Security |
Par
(000) |
Value | ||||||||||
Utilities (continued) | ||||||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%,
|
USD | 2,636 | $ | 2,780,980 | ||||||||
Thames Water Kemble Finance PLC, 4.63%, 05/19/26 |
GBP | 100 | 138,104 | |||||||||
|
|
|||||||||||
3,205,857 | ||||||||||||
Wireless Telecommunication Services 3.4% | ||||||||||||
Altice France SA |
||||||||||||
2.50%, 01/15/25 |
EUR | 169 | 202,224 | |||||||||
7.38%, 05/01/26(b) |
USD | 5,120 | 5,388,800 | |||||||||
5.88%, 02/01/27 |
EUR | 100 | 129,965 | |||||||||
8.13%, 02/01/27(b) |
USD | 5,777 | 6,369,200 | |||||||||
5.50%, 01/15/28(b) |
2,881 | 3,012,114 | ||||||||||
4.13%, 01/15/29 |
EUR | 300 | 373,459 | |||||||||
5.13%, 01/15/29(b) |
USD | 794 | 821,790 | |||||||||
GLP Capital LP/GLP Financing II, Inc. |
||||||||||||
5.30%, 01/15/29 |
180 | 208,251 | ||||||||||
4.00%, 01/15/31 |
1,490 | 1,625,918 | ||||||||||
Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc., 9.88%, 05/01/24(b) |
931 | 996,859 | ||||||||||
Matterhorn Telecom SA, 4.00%, 11/15/27 |
EUR | 200 | 250,072 | |||||||||
PPF Telecom Group BV, 3.25%, 09/29/27 |
150 | 196,533 | ||||||||||
SBA Communications Corp., 3.88%, 02/15/27 |
USD | 6,927 | 7,273,350 | |||||||||
Sprint Corp. |
||||||||||||
7.88%, 09/15/23 |
924 | 1,069,807 | ||||||||||
7.13%, 06/15/24 |
764 | 893,880 | ||||||||||
7.63%, 03/01/26 |
616 | 764,576 | ||||||||||
T-Mobile USA, Inc. |
||||||||||||
6.50%, 01/15/26 |
182 | 188,370 | ||||||||||
4.50%, 02/01/26 |
424 | 433,470 | ||||||||||
4.75%, 02/01/28 |
357 | 383,736 | ||||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC |
||||||||||||
6.00%, 04/15/23(b) |
1,156 | 1,179,120 | ||||||||||
8.25%, 10/15/23 |
2,711 | 2,731,333 | ||||||||||
7.88%, 02/15/25(b) |
1,089 | 1,169,815 | ||||||||||
VICI Properties LP/VICI Note Co., Inc.(b) |
||||||||||||
3.50%, 02/15/25 |
560 | 572,754 | ||||||||||
4.25%, 12/01/26 |
3,382 | 3,507,641 | ||||||||||
3.75%, 02/15/27 |
1,223 | 1,250,518 | ||||||||||
4.63%, 12/01/29 |
1,285 | 1,374,950 | ||||||||||
4.13%, 08/15/30 |
6,027 | 6,362,282 | ||||||||||
Vmed O2 UK Financing I PLC, 3.25%, 01/31/31 |
EUR | 200 | 250,681 | |||||||||
VTR Comunicaciones SpA, 5.13%, 01/15/28(b) |
USD | 1,065 | 1,133,559 | |||||||||
|
|
|||||||||||
50,115,027 | ||||||||||||
|
|
|||||||||||
Total Corporate Bonds 124.4%
|
|
1,812,914,280 | ||||||||||
|
|
74 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Floating Rate Loan Interests |
||||||||||||
Aerospace & Defense(a) 0.1% | ||||||||||||
Spirit Aerosystems, Inc., 2020 Term Loan B, (1 mo. LIBOR + 5.25%, 0.75% Floor), 6.00%, 01/15/25. |
USD | 1,033 | $ | 1,040,747 | ||||||||
WP CPP Holdings LLC, 2018 Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 04/30/25. |
323 | 300,820 | ||||||||||
|
|
|||||||||||
1,341,567 | ||||||||||||
Airlines(a) 0.2% | ||||||||||||
JetBlue Airways Corp., Term Loan, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/17/24 |
307 | 315,236 | ||||||||||
Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/20/27 |
962 | 999,884 | ||||||||||
SkyMiles IP Ltd., 2020 Skymiles Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/20/27 |
1,648 | 1,706,240 | ||||||||||
|
|
|||||||||||
3,021,360 | ||||||||||||
Auto Components 0.1% | ||||||||||||
Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 04/30/26(a) |
1,425 | 1,417,093 | ||||||||||
|
|
|||||||||||
Building Materials(a) 0.0% | ||||||||||||
CP Atlas Buyer, Inc. |
||||||||||||
2020 Delayed Draw Term Loan B2, (3 mo. LIBOR + 4.50%, 0.75% Floor), 5.25%, 11/23/27 |
129 | 128,911 | ||||||||||
2020 Term Loan B1, (3 mo. LIBOR + 4.50%, 0.75% Floor), 5.25%, 11/23/27 |
386 | 386,733 | ||||||||||
|
|
|||||||||||
515,644 | ||||||||||||
Building Products 0.0% | ||||||||||||
CPG International, Inc., 2017 Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/05/24(a) |
359 | 358,691 | ||||||||||
|
|
|||||||||||
Capital Markets 0.0% | ||||||||||||
Jefferies Finance LLC, 2019 Term Loan, (1 mo. LIBOR + 3.00%), 3.19%, 06/03/26(a) |
650 | 644,107 | ||||||||||
|
|
|||||||||||
Chemicals(a) 0.6% | ||||||||||||
Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 01/31/24 |
3,606 | 3,590,312 | ||||||||||
Ascend Performance Materials Operations LLC, 2019 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 08/27/26 |
2,356 | 2,362,065 | ||||||||||
Illuminate Buyer LLC, Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 06/30/27 |
2,172 | 2,170,645 | ||||||||||
Invictus US LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 6.90%, 03/30/26 |
298 | 283,755 | ||||||||||
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 05/15/24 |
461 | 453,994 | ||||||||||
|
|
|||||||||||
8,860,771 | ||||||||||||
Commercial Services & Supplies 0.9% | ||||||||||||
Asurion LLC, 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 6.65%, 08/04/25(a) |
2,788 | 2,805,547 | ||||||||||
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%,
|
492 | 487,518 |
Security |
Par
(000) |
Value | ||||||||||
Commercial Services & Supplies (continued) | ||||||||||||
Diamond (BC) BV, USD Term Loan, (3 mo. LIBOR + 3.00%), 3.21%, 09/06/24(a) |
USD | 2,622 | $ | 2,580,332 | ||||||||
GFL Environmental, Inc., 2020 Term Loan, (3 mo. LIBOR + 3.00%, 0.50% Floor), 3.50%, 05/30/25(b) |
548 | 548,497 | ||||||||||
Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 4.65%, 08/27/25(a) |
6,179 | 6,166,609 | ||||||||||
|
|
|||||||||||
12,588,503 | ||||||||||||
Construction & Engineering(a) 0.9% | ||||||||||||
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, 06/21/24(i)(l) |
11,201 | 10,900,795 | ||||||||||
SRS Distribution, Inc. |
||||||||||||
2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 05/23/25 |
1,780 | 1,749,068 | ||||||||||
2019 Incremental Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 05/23/25 |
997 | 993,642 | ||||||||||
|
|
|||||||||||
13,643,505 | ||||||||||||
Construction Materials 0.0% | ||||||||||||
Forterra Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/25/23(a) |
448 | 448,594 | ||||||||||
|
|
|||||||||||
Containers & Packaging 0.1% | ||||||||||||
BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 3.48%, 04/03/24(a) |
1,656 | 1,595,620 | ||||||||||
|
|
|||||||||||
Diversified Consumer Services(a) 0.2% | ||||||||||||
Amentum Government Services Holdings LLC, Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 02/01/27 |
367 | 365,778 | ||||||||||
Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 07/12/24 |
562 | 557,883 | ||||||||||
BidFair MergerRight, Inc., Term Loan B, (1 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 01/15/27 |
746 | 748,109 | ||||||||||
TruGreen Limited Partnership, 2020 2nd Lien Term Loan, (1 mo. LIBOR + 8.50%, 0.75% Floor), 9.25%, 11/02/28(d) |
868 | 868,000 | ||||||||||
|
|
|||||||||||
2,539,770 | ||||||||||||
Diversified Financial Services(a) 0.6% | ||||||||||||
Applecaramel Buyer LLC, Term Loan B, (6 mo. LIBOR + 4.00%), 4.50%, 10/19/27 |
2,933 | 2,929,334 | ||||||||||
Delta TopCo, Inc., 2020 Term Loan B, (6 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 09/30/27 |
2,298 | 2,295,773 | ||||||||||
LBM Acquisition LLC(i)(l) |
||||||||||||
Delayed Draw Term Loan, 12/09/27 |
48 | 47,942 | ||||||||||
Term Loan B, 12/17/27 |
216 | 215,737 | ||||||||||
Milano Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 10/01/27 |
2,539 | 2,534,760 | ||||||||||
|
|
|||||||||||
8,023,546 | ||||||||||||
Diversified Telecommunication Services 1.4% | ||||||||||||
Frontier Communications Corp., 2020 DIP Exit Term Loan, (1 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 10/08/21(a) |
1,624 | 1,629,083 | ||||||||||
Intelsat Jackson Holdings SA |
||||||||||||
2017 Term Loan B3, (PRIME + 4.75%), 8.00%, 11/27/23(a) |
904 | 915,463 |
C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S |
75 |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Diversified Telecommunication Services (continued) | ||||||||||||
Intelsat Jackson Holdings SA (continued) |
||||||||||||
2017 Term Loan B4, (PRIME + 5.50%), 8.75%, 01/02/24(a) |
USD | 1,899 | $ | 1,925,896 | ||||||||
2017 Term Loan B5, (Fixed), 8.63%, 01/02/24 |
10,040 | 10,193,944 | ||||||||||
2020 DIP Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 07/13/22(a) |
4,441 | 4,522,607 | ||||||||||
Northwest Fiber LLC, Term Loan B, (1 mo. LIBOR + 5.50%), 5.65%,
|
1,321 | 1,323,421 | ||||||||||
|
|
|||||||||||
20,510,414 | ||||||||||||
Entertainment 0.1% | ||||||||||||
MSG National Properties LLC, Term Loan, (3 mo. LIBOR + 6.25%, 0.75% Floor), 7.00%, 11/12/25(a)(d) |
2,107 | 2,117,535 | ||||||||||
|
|
|||||||||||
Health Care Equipment & Supplies(a) 0.1% | ||||||||||||
Ortho-Clinical Diagnostics SA |
||||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 06/30/25 |
770 | 757,606 | ||||||||||
EUR Term Loan B, (3 mo. LIBOR + 3.50%), 3.50%, 06/30/25 |
EUR | 992 | 1,192,482 | |||||||||
|
|
|||||||||||
1,950,088 | ||||||||||||
Health Care Providers & Services(a) 1.0% | ||||||||||||
AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/30/25. |
USD | 943 | 945,720 | |||||||||
Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 01/08/27. |
1,143 | 1,145,164 | ||||||||||
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 10/10/25 . |
3,830 | 3,183,191 | ||||||||||
EyeCare Partners LLC, 2020 2nd Lien Term Loan, (1 mo. LIBOR + 8.25%), 8.40%, 02/18/28(d) |
3,500 | 3,185,000 | ||||||||||
Gentiva Health Services, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.44%, 07/02/25 |
1,192 | 1,183,568 | ||||||||||
Quorum Health Corp., 2020 Term Loan, (3 mo. LIBOR + 8.25%, 1.00% Floor), 9.25%, 04/29/25. |
1,182 | 1,153,933 | ||||||||||
RegionalCare Hospital Partners Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 11/16/25 |
442 | 440,140 | ||||||||||
Sotera Health Holdings LLC, 2019 Term Loan, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/11/26 |
2,541 | 2,548,101 | ||||||||||
Surgery Center Holdings, Inc., 2020 Incremental Term Loan, (1 mo. LIBOR + 8.00%, 1.00% Floor), 9.00%, 09/03/24 |
91 | 93,479 | ||||||||||
|
|
|||||||||||
13,878,296 | ||||||||||||
Health Care Services 0.1% | ||||||||||||
Azalea Topco, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 3.71%, 07/25/26(a) |
988 | 974,330 | ||||||||||
|
|
|||||||||||
Hotels, Restaurants & Leisure(a) 0.4% | ||||||||||||
Caesars Resort Collection LLC, 2020 Term Loan B1, (1 mo. LIBOR + 4.50%), 4.65%, 07/20/25 |
902 | 902,978 | ||||||||||
Golden Nugget LLC, 2017 Incremental Term Loan B, (2 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 10/04/23 |
2,086 | 2,009,405 |
Security |
Par
(000) |
Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
Golden Nugget, Inc., 2020 Initial Term Loan, (3 mo. LIBOR + 12.00%, 1.00% Floor), 13.00%, 10/04/23(d) |
USD | 292 | $ | 329,697 | ||||||||
IRB Holding Corp., 2020 Fourth Amendment Incremental Term Loan, 11/12/27(i)(l) |
2,035 | 2,035,631 | ||||||||||
|
|
|||||||||||
5,277,711 | ||||||||||||
Independent Power and Renewable Electricity Producers 0.0% | ||||||||||||
Calpine Corp., 2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.15%, 08/12/26(a) |
94 | 92,323 | ||||||||||
|
|
|||||||||||
Industrial Conglomerates(a) 0.2% | ||||||||||||
PSAV Holdings LLC, 2018 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 8.25%, 09/01/25 |
1,279 | 790,947 | ||||||||||
Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, 11/28/23(d)(i)(l) |
1,796 | 1,804,445 | ||||||||||
|
|
|||||||||||
2,595,392 | ||||||||||||
Insurance(a) 0.4% | ||||||||||||
Ryan Specialty Group LLC, Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 09/01/27. |
1,056 | 1,052,391 | ||||||||||
Sedgwick Claims Management Services, Inc. |
||||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 12/31/25 |
2,111 | 2,074,967 | ||||||||||
2019 Term Loan B, (1 mo. LIBOR + 4.00%), 4.15%, 09/03/26 |
1,264 | 1,258,233 | ||||||||||
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26 |
1,088 | 1,094,332 | ||||||||||
|
|
|||||||||||
5,479,923 | ||||||||||||
Interactive Media & Services(a) 0.1% | ||||||||||||
Camelot U.S. Acquisition 1 Co., 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/31/26 |
643 | 642,396 | ||||||||||
TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/06/24. |
908 | 903,199 | ||||||||||
|
|
|||||||||||
1,545,595 | ||||||||||||
Internet & Direct Marketing Retail 0.1% | ||||||||||||
CNT Holdings I Corp., 2020 Term Loan, (6 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 11/08/27(a) |
1,272 | 1,269,812 | ||||||||||
|
|
|||||||||||
IT Services(a) 1.3% | ||||||||||||
Airbnb, Inc., Term Loan, (1 mo. LIBOR + 7.50%, 1.00% Floor), 8.50%, 04/17/25 |
381 | 412,048 | ||||||||||
Greeneden US Holdings II LLC, 2020 USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/01/27 |
1,473 | 1,474,539 | ||||||||||
Peak 10 Holding Corp. |
||||||||||||
2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50%), 3.75%, 08/01/24 |
867 | 771,491 | ||||||||||
2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 7.48%, 08/01/25 |
420 | 262,874 | ||||||||||
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 02/12/27 |
1,085 | 1,032,170 | ||||||||||
Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/03/23 |
122 | 121,729 |
76 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
IT Services (continued) | ||||||||||||
Sophia LP, 2020 2nd Lien Term Loan, (3 mo. LIBOR + 8.00%, 1.00% Floor), 9.00%, 10/09/28(d) |
USD | 10,251 | $ | 10,148,490 | ||||||||
Veritas US, Inc., 2020 USD Term Loan B, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 09/01/25 |
4,745 | 4,727,534 | ||||||||||
|
|
|||||||||||
18,950,875 | ||||||||||||
Life Sciences Tools & Services 0.1% | ||||||||||||
Parexel International Corp., Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 09/27/24(a) |
1,402 | 1,376,371 | ||||||||||
|
|
|||||||||||
Machinery(a) 0.5% | ||||||||||||
MHI Holdings LLC, Term Loan B, (1 mo. LIBOR + 5.00%), 5.15%, 09/21/26 |
2,354 | 2,342,149 | ||||||||||
Titan Acquisition Ltd., 2018 Term Loan B, (6 mo. LIBOR + 3.00%), 3.27%, 03/28/25 |
4,758 | 4,629,554 | ||||||||||
|
|
|||||||||||
6,971,703 | ||||||||||||
Media(a) 1.0% | ||||||||||||
Altice Financing SA, 2017 USD Term Loan B, (1 mo. LIBOR + 2.75%), 2.91%, 07/15/25 |
242 | 235,855 | ||||||||||
Altice France SA, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 4.24%, 08/14/26 |
1,005 | 999,522 | ||||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 3.71%, 08/21/26 |
4,306 | 4,136,857 | ||||||||||
Connect Finco Sarl, Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/12/26 |
1,018 | 1,020,558 | ||||||||||
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/01/23 |
477 | 428,832 | ||||||||||
Radiate Holdco LLC, 2020 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 09/25/26. |
194 | 194,304 | ||||||||||
Terrier Media Buyer, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 12/17/26 |
852 | 852,023 | ||||||||||
Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 03/09/27 |
6,160 | 6,113,611 | ||||||||||
|
|
|||||||||||
13,981,562 | ||||||||||||
Oil, Gas & Consumable Fuels 0.7% | ||||||||||||
Ascent Resources Utica LLC, 2020 Fixed 2nd Lien Term Loan(i)(l)(m) |
6,723 | 7,285,800 | ||||||||||
Chesapeake Energy Corp., 2019 Last Out Term Loan, 9.00%, 06/24/24(a)(c)(h) |
4,162 | 3,454,423 | ||||||||||
McDermott Technology Americas, Inc., 2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 06/30/24(a)(d) |
90 | 72,319 | ||||||||||
|
|
|||||||||||
10,812,542 | ||||||||||||
Paper & Forest Products 0.0% | ||||||||||||
Charter NEX US, Inc., 2020 Term Loan, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 12/01/27(a) |
468 | 470,293 | ||||||||||
|
|
|||||||||||
Pharmaceuticals(a) 0.2% | ||||||||||||
Endo International PLC, 2017 Term Loan B, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 04/29/24 |
2,568 | 2,522,711 | ||||||||||
Jaguar Holding Co. II, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 08/18/22. |
409 | 409,144 | ||||||||||
|
|
|||||||||||
2,931,855 |
Security |
Par
(000) |
Value | ||||||||||
Professional Services 0.1% | ||||||||||||
Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 02/06/26(a) |
USD | 2,056 | $ | 2,055,557 | ||||||||
|
|
|||||||||||
Software 1.7% | ||||||||||||
Barracuda Networks, Inc., 2020 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%, 0.75% Floor), 7.50%, 10/30/28(a) |
688 | 693,535 | ||||||||||
BMC Software Finance, Inc., 2018 USD Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 10/02/25(a) |
1,656 | 1,647,312 | ||||||||||
By Crown Parent LLC, Term Loan B1, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 01/31/26(a) |
131 | 131,057 | ||||||||||
Castle US Holding Corp., USD Term Loan B, (3 mo. LIBOR + 3.75%), 4.00%, 01/29/27(a) |
1,186 | 1,160,718 | ||||||||||
Cypress Intermediate Holdings III, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 04/29/24(a) |
982 | 978,140 | ||||||||||
Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 3.51%, 05/27/24(a) |
1,716 | 1,565,213 | ||||||||||
Epicor Software Corp.(a) |
||||||||||||
2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 8.75%, 07/31/28 |
506 | 526,559 | ||||||||||
2020 Term Loan, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 07/31/27 |
1,403 | 1,409,370 | ||||||||||
Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 10/01/25(a) |
1,194 | 1,191,855 | ||||||||||
Informatica LLC |
||||||||||||
2020 USD 2nd Lien Term Loan, (Fixed), 7.13%, 02/25/25 |
2,634 | 2,675,486 | ||||||||||
2020 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 02/25/27(a) |
1,271 | 1,258,496 | ||||||||||
Mitchell International, Inc.(a) |
||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 11/29/24 |
885 | 867,563 | ||||||||||
2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.40%, 12/01/25 |
613 | 591,867 | ||||||||||
Omnitracs, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 8.00%), 8.15%,
|
218 | 214,730 | ||||||||||
Planview Parent, Inc., 2nd Lien Term Loan, 0.24%, 12/11/28(a)(d)(l) |
850 | 841,500 | ||||||||||
Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 05/30/25(a) |
45 | 44,438 | ||||||||||
Sabre GLBL, Inc., 2020 Term Loan B, 6.25%, 12/17/27(a) |
485 | 485,606 | ||||||||||
Severin Acquisition LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 08/01/25(a) |
714 | 704,309 | ||||||||||
Solera LLC, USD Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 03/03/23(a) |
572 | 567,156 | ||||||||||
Sophia LP, 2020 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 10/07/27(a) |
3,397 | 3,399,412 | ||||||||||
Tempo Acquisition LLC, 2020 Extended Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 11/02/26(a) |
172 | 170,707 |
C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S |
77 |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Software (continued) | ||||||||||||
Tibco Software, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.40%, 03/04/28(a) |
USD | 1,576 | $ | 1,589,128 | ||||||||
Ultimate Software Group, Inc.(a) |
||||||||||||
2020 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 05/03/26 |
885 | 888,702 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 05/03/26 |
567 | 566,049 | ||||||||||
|
|
|||||||||||
24,168,908 | ||||||||||||
Specialty Retail 0.2% | ||||||||||||
PetSmart, Inc., Consenting Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 03/11/22(a) |
2,892 | 2,883,567 | ||||||||||
|
|
|||||||||||
Wireless Telecommunication Services 0.2% | ||||||||||||
Xplornet Communications, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.75%), 4.90%, 06/10/27(a) |
2,520 | 2,520,996 | ||||||||||
|
|
|||||||||||
Total Floating Rate Loan Interests 13.6% (Cost: $197,787,148) |
|
197,814,419 | ||||||||||
|
|
|||||||||||
Shares | ||||||||||||
Investment Companies |
||||||||||||
Equity Funds 0.7%
iShares Preferred & Income Securities
|
247,000 | 9,511,970 | ||||||||||
|
|
|||||||||||
Total Investment Companies 0.7% (Cost: $9,040,084) |
9,511,970 | |||||||||||
|
|
|||||||||||
Par
(000) |
||||||||||||
Preferred Securities |
||||||||||||
Capital Trusts 4.7% | ||||||||||||
Automobiles 0.1% | ||||||||||||
General Motors Financial Co., Inc., Series C, 5.70%(a)(f) |
USD | 655 | 722,137 | |||||||||
|
|
|||||||||||
Banks(f) 0.5% | ||||||||||||
Bankia SA, 6.38%(a) |
EUR | 400 | 523,477 | |||||||||
CaixaBank SA(a) |
||||||||||||
5.25% |
200 | 250,194 | ||||||||||
6.75% |
200 | 269,679 | ||||||||||
CIT Group, Inc., Series A, 5.80%(a) |
USD | 1,647 | 1,679,940 | |||||||||
Erste Group Bank AG, 6.50%(a) |
EUR | 200 | 272,641 | |||||||||
ING Groep NV, 6.75%(a) |
USD | 200 | 218,000 | |||||||||
Intesa Sanpaolo SpA, 7.75%(a) |
EUR | 200 | 292,280 | |||||||||
National Westminster Bank PLC,
|
USD | 200 | 184,464 | |||||||||
Stichting AK Rabobank Certificaten, 6.50% |
EUR | 155 | 250,787 | |||||||||
Wells Fargo & Co., Series U, 5.88%(a) |
USD | 3,035 | 3,440,931 | |||||||||
|
|
|||||||||||
7,382,393 | ||||||||||||
Diversified Financial Services(a)(f) 3.8% | ||||||||||||
Banco Santander SA |
||||||||||||
4.38% |
EUR | 200 | 244,452 | |||||||||
6.75% |
200 | 257,890 | ||||||||||
Bank of America Corp. |
||||||||||||
Series AA, 6.10% |
USD | 8,608 | 9,753,294 | |||||||||
Series DD, 6.30% |
432 | 504,360 |
Security |
Par
(000) |
Value | ||||||||||
Diversified Financial Services (continued) | ||||||||||||
Bank of America Corp. (continued) |
||||||||||||
Series X, 6.25% |
USD | 3,534 | $ | 3,921,194 | ||||||||
Series Z, 6.50% |
1,634 | 1,866,845 | ||||||||||
BNP Paribas SA, 4.50%(b) |
1,230 | 1,242,952 | ||||||||||
Citigroup, Inc., Series Q, 4.32% |
1,370 | 1,363,150 | ||||||||||
Credit Suisse Group AG(b) |
||||||||||||
5.10% |
860 | 894,400 | ||||||||||
6.38% |
3,145 | 3,502,744 | ||||||||||
5.25% |
1,325 | 1,401,188 | ||||||||||
6.25% |
200 | 218,475 | ||||||||||
7.50% |
750 | 817,500 | ||||||||||
HSBC Holdings PLC, 6.00% |
2,298 | 2,501,948 | ||||||||||
JPMorgan Chase & Co. |
||||||||||||
Series FF, 5.00% |
5,918 | 6,225,917 | ||||||||||
Series HH, 4.60% |
1,416 | 1,462,020 | ||||||||||
Series I, 3.68% |
1,915 | 1,911,083 | ||||||||||
Series Q, 5.15% |
850 | 877,642 | ||||||||||
Series U, 6.13% |
4,228 | 4,608,520 | ||||||||||
Series V, 3.56% |
3,370 | 3,310,823 | ||||||||||
Series X, 6.10% |
640 | 701,927 | ||||||||||
Morgan Stanley, Series H, 3.85% |
6,728 | 6,679,558 | ||||||||||
Natwest Group PLC, 8.63% |
607 | 630,011 | ||||||||||
UniCredit SpA, 9.25% |
EUR | 225 | 300,984 | |||||||||
|
|
|||||||||||
55,198,877 | ||||||||||||
Diversified Telecommunication Services(a)(f) 0.1% | ||||||||||||
Telefonica Europe BV |
||||||||||||
5.88% |
200 | 274,566 | ||||||||||
4.38% |
600 | 795,291 | ||||||||||
|
|
|||||||||||
1,069,857 | ||||||||||||
Electric Utilities 0.0% | ||||||||||||
Naturgy Finance BV, 3.38%(a)(f) |
100 | 129,495 | ||||||||||
|
|
|||||||||||
Electronic Equipment, Instruments & Components 0.0% | ||||||||||||
Belden, Inc., 4.13%, 10/15/26 |
320 | 402,640 | ||||||||||
|
|
|||||||||||
Insurance(a)(f) 0.0% | ||||||||||||
Achmea BV, 4.63% |
200 | 261,739 | ||||||||||
Assicurazioni Generali SpA, 4.60% |
100 | 137,069 | ||||||||||
Legal & General Group PLC, 5.63% |
GBP | 200 | 302,901 | |||||||||
|
|
|||||||||||
701,709 | ||||||||||||
Media 0.0% | ||||||||||||
NBCUniversal Enterprise, Inc., 5.25%(b)(f) |
USD | 400 | 408,000 | |||||||||
|
|
|||||||||||
Oil, Gas & Consumable Fuels(a)(f) 0.0% | ||||||||||||
Abertis Infraestructuras Finance BV, 3.25% |
EUR | 200 | 253,187 | |||||||||
Repsol International Finance BV |
||||||||||||
3.75% |
100 | 130,976 | ||||||||||
4.25% |
100 | 135,450 | ||||||||||
|
|
|||||||||||
519,613 | ||||||||||||
Real Estate Management & Development(a)(f) 0.0% | ||||||||||||
Aroundtown SA, 3.38% |
200 | 255,325 | ||||||||||
Citycon OYJ, 4.50% |
100 | 121,524 | ||||||||||
|
|
|||||||||||
376,849 | ||||||||||||
Utilities(a)(f) 0.1% | ||||||||||||
Electricite de France SA |
||||||||||||
3.00% |
200 | 259,881 | ||||||||||
2.88% |
200 | 256,547 |
78 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Utilities (continued) | ||||||||||||
Electricite de France SA (continued) |
||||||||||||
3.38% |
EUR | 400 | $ | 531,906 | ||||||||
6.00% |
GBP | 100 | 155,690 | |||||||||
|
|
|||||||||||
1,204,024 | ||||||||||||
Wireless Telecommunication Services(a) 0.1% | ||||||||||||
Vodafone Group PLC |
||||||||||||
3.10%, 01/03/79 |
EUR | 400 | 506,483 | |||||||||
4.20%, 10/03/78 |
200 | 277,100 | ||||||||||
|
|
|||||||||||
783,583 | ||||||||||||
|
|
|||||||||||
Total Capital Trusts 4.7% |
|
68,899,177 | ||||||||||
|
|
|||||||||||
Shares | ||||||||||||
Preferred Stocks 0.7%(c) | ||||||||||||
Banks 0.0% | ||||||||||||
CF-B L2 (D) LLC, (Acquired 04/08/15, Cost: $656,674)(o) |
671,058 | 9,059 | ||||||||||
|
|
|||||||||||
Insurance 0.1% | ||||||||||||
Alliant Holdings, Inc.(d) |
1,431 | 1,408,090 | ||||||||||
|
|
|||||||||||
Interactive Media & Services 0.5% | ||||||||||||
ByteDance Ltd., Series E-1, (Acquired 11/11/20, Cost: $7,000,256)(d)(o) |
63,886 | 7,000,256 | ||||||||||
|
|
|||||||||||
Wireless Telecommunication Services 0.1% | ||||||||||||
Ligado Networks LLC(d) |
32,169 | 1,930,104 | ||||||||||
|
|
|||||||||||
Total Preferred Stocks 0.7% |
|
10,347,509 | ||||||||||
|
|
|||||||||||
Total Preferred Securities 5.4%
|
|
79,246,686 | ||||||||||
|
|
|||||||||||
Warrants |
|
|||||||||||
Oil, Gas & Consumable Fuels 0.0% | ||||||||||||
SM Energy Co. (Expires 06/30/23)(c) |
106,505 | 650,746 | ||||||||||
|
|
|||||||||||
Total Warrants 0.0%
|
|
650,746 | ||||||||||
|
|
|||||||||||
Total Long-Term Investments 146.0%
|
|
2,127,272,503 | ||||||||||
|
|
|||||||||||
Options Purchased 0.0%
|
|
4,215 | ||||||||||
|
|
|||||||||||
Total Investments 146.0%
|
|
2,127,276,718 | ||||||||||
Liabilities in Excess of Other Assets (46.0)% |
|
(670,369,808 | ) | |||||||||
|
|
|||||||||||
Net Assets 100.0% |
$ | 1,456,906,910 | ||||||||||
|
|
(a) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(b) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) |
Non-income producing security. |
(d) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(e) |
All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly-owned subsidiary. |
(f) |
Perpetual security with no stated maturity date. |
(g) |
Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(h) |
Issuer filed for bankruptcy and/or is in default. |
(i) |
When-issued security. |
(j) |
Convertible security. |
(k) |
Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end. |
(l) |
Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(m) |
Fixed rate. |
(n) |
Affiliate of the Trust. |
(o) |
Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $7,009,315, representing 0.48% of its net assets as of period end, and an original cost of $7,656,930. |
C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S |
79 |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT)
|
Affiliates
Investments in issuers considered to be affiliate(s) of the Trust during the year ended December 31, 2020 for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:
Affiliated Issuer |
Value at 12/31/19 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 12/31/20 |
Shares Held at 12/31/20 |
Income |
Capital Gain
Distributions from Underlying Funds |
|||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class(a) |
$ | | $ | | (b) | $ | | $ | | $ | | $ | | | $ | 9,211 | $ | | ||||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF(a) |
37,616,423 | 28,561,781 | (65,929,644) | 177,865 | (426,425) | | | 156,483 | | |||||||||||||||||||||||||||
iShares Preferred & Income Securities ETF |
| 9,040,084 | | | 471,886 | 9,511,970 | 247,000 | 167,655 | | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | 177,865 | $ | 45,461 | $ | 9,511,970 | $ | 333,349 | $ | | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
As of period end, the entity is no longer held. |
(b) |
Represents net amount purchased (sold). |
For Trust compliance purposes, the Trusts industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description |
Number of Contracts |
Expiration Date |
Notional Amount (000) |
Value/
Unrealized Appreciation (Depreciation) |
||||||||||||
Short Contracts |
||||||||||||||||
10-Year U.S. Treasury Note |
250 | 03/22/21 | $ | 34,520 | $ | (54,930 | ) | |||||||||
Long U.S. Treasury Bond |
69 | 03/22/21 | 11,950 | 82,701 | ||||||||||||
U.S. Treasury Ultra Bond |
129 | 03/22/21 | 27,550 | 109,839 | ||||||||||||
5-Year U.S. Treasury Note |
180 | 03/31/21 | 22,710 | (50,188 | ) | |||||||||||
|
|
|||||||||||||||
$ | 87,422 | |||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||
EUR | 4,533,000 | USD | 5,515,544 | Commonwealth Bank of Australia | 01/06/21 | $ | 22,358 | |||||||||
EUR | 461,000 | USD | 558,853 | Toronto-Dominion Bank | 01/06/21 | 4,344 | ||||||||||
USD | 24,644,986 | EUR | 20,124,500 | UBS AG | 02/03/21 | 42,683 | ||||||||||
|
|
|||||||||||||||
69,385 | ||||||||||||||||
|
|
|||||||||||||||
EUR | 20,124,500 | USD | 24,628,363 | UBS AG | 01/06/21 | (42,547 | ) | |||||||||
USD | 422,044 | CAD | 548,000 | Royal Bank of Canada | 01/06/21 | (8,475 | ) | |||||||||
USD | 41,000 | EUR | 34,000 | Citibank N.A. | 01/06/21 | (537 | ) | |||||||||
USD | 26,377,362 | EUR | 22,123,500 | Goldman Sachs International | 01/06/21 | (650,603 | ) | |||||||||
USD | 129,012 | EUR | 107,000 | Morgan Stanley & Co. International PLC | 01/06/21 | (1,709 | ) | |||||||||
USD | 251,908 | EUR | 208,000 | Morgan Stanley & Co. International PLC | 01/06/21 | (2,203 | ) | |||||||||
USD | 280,659 | EUR | 230,000 | Morgan Stanley & Co. International PLC | 01/06/21 | (329 | ) | |||||||||
USD | 393,919 | EUR | 326,000 | Morgan Stanley & Co. International PLC | 01/06/21 | (4,351 | ) | |||||||||
USD | 110,186 | EUR | 91,000 | Toronto-Dominion Bank | 01/06/21 | (987 | ) | |||||||||
USD | 26,495,015 | EUR | 22,123,500 | UBS AG | 01/06/21 | (532,951 | ) | |||||||||
USD | 6,068,138 | GBP | 4,541,000 | BNP Paribas S.A. | 01/06/21 | (141,754 | ) | |||||||||
|
|
|||||||||||||||
(1,386,446 | ) | |||||||||||||||
|
|
|||||||||||||||
$ | (1,317,061 | ) | ||||||||||||||
|
|
80 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT)
|
Exchange-Traded Options Purchased
Description |
Number of
Contracts |
Expiration
Date |
Exercise Price |
Notional
Amount (000) |
Value | |||||||||||||||||||||||
Call |
||||||||||||||||||||||||||||
Stoxx Euro 600 Telecom |
69 | 06/18/21 | EUR | 230.00 | EUR | 10 | $ | 4,215 | ||||||||||||||||||||
|
|
OTC Credit Default Swaps Buy Protection
Reference Obligations/Index |
Financing
Rate Paid by the Trust |
Payment
Frequency |
Counterparty |
Termination
Date |
Notional Amount (000) |
Value |
Upfront
Premium Paid (Received) |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||||||||||||
Nordstrom, Inc. |
1.00 | % | Quarterly | Barclays Bank PLC | 06/20/25 | USD | 318 | $ | 19,710 | $ | 67,864 | $ | (48,154 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps Sell Protection
Reference Obligation/Index |
|
Financing
Rate Received by the Trust |
|
|
Payment
Frequency |
|
Counterparty |
|
Termination
Date |
|
|
Credit
Rating |
(a) |
|
Notional
Amount (000)(b) |
|
Value |
|
Upfront
Premium Paid (Received) |
|
|
Unrealized
Appreciation (Depreciation) |
|
|||||||||||||||||
CenturyLink, Inc. |
1.00 | % | Quarterly |
|
Barclays
Bank PLC |
|
12/20/23 | NR | USD | 856 | $ | (20,436 | ) | $ | (40,167 | ) | $ | 19,731 | ||||||||||||||||||||||
Altice France SA |
5.00 | Quarterly |
|
Credit
Suisse International |
|
06/20/25 | B | EUR | 80 | 8,920 | 8,309 | 611 | ||||||||||||||||||||||||||||
CenturyLink, Inc. |
1.00 | Quarterly |
|
Barclays
Bank PLC |
|
06/20/25 | NR | USD | 1,221 | (86,362 | ) | (149,722 | ) | 63,360 | ||||||||||||||||||||||||||
Rolls-Royce PLC |
1.00 | Quarterly | Citibank N.A. | 06/20/25 | BB- | EUR | 38 | (3,657 | ) | (6,041 | ) | 2,384 | ||||||||||||||||||||||||||||
Rolls-Royce PLC |
1.00 | Quarterly | Citibank N.A. | 06/20/25 | BB- | EUR | 82 | (8,019 | ) | (13,291 | ) | 5,272 | ||||||||||||||||||||||||||||
GKN Holdings PLC |
1.00 | Quarterly | Citibank N.A. | 12/20/25 | BB+ | EUR | 60 | (3,060 | ) | (3,099 | ) | 39 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
$ | (112,614 | ) | $ | (204,011 | ) | $ | 91,397 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
(a) |
Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) |
The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. |
OTC Total Return Swaps
Upfront | ||||||||||||||||||||||||||||||||||||||||
Paid by the Trust | Received by the Trust | Premium | Unrealized | |||||||||||||||||||||||||||||||||||||
Rate | Frequency | Reference | Frequency | Counterparty |
Effective
Date |
Termination
Date |
Notional Amount (000) |
Value |
Paid
(Received) |
Appreciation
Depreciation |
||||||||||||||||||||||||||||||
3-Month LIBOR, plus 0.24%. |
Quarterly |
Markit iBoxx $
Liquid High Yield Index |
At Maturity |
Morgan Stanley
& Co. International PLC |
N/A | 03/20/21 | USD | 7,709 | $ | 573,180 | $ | 262 | $ | 572,918 | ||||||||||||||||||||||||||
3-Month LIBOR, plus 0.24%. |
Quarterly |
Markit iBoxx $
Liquid High Yield Index |
At Maturity |
Morgan Stanley
& Co. International PLC |
N/A | 03/20/21 | USD | 1,000 | 72,993 | 34 | 72,959 | |||||||||||||||||||||||||||||
3-Month LIBOR, plus 0.24%. |
Quarterly |
Markit iBoxx $
Liquid High Yield Index |
At Maturity |
Morgan Stanley
& Co. International PLC |
N/A | 03/20/21 | USD | 1,000 | 56,950 | 34 | 56,916 | |||||||||||||||||||||||||||||
3-Month LIBOR, plus 0.24%. |
Quarterly |
Markit iBoxx $
Liquid High Yield Index |
At Maturity |
Morgan Stanley
& Co. International PLC |
N/A | 06/20/21 | USD | 1,386 | 60,109 | 18 | 60,091 | |||||||||||||||||||||||||||||
3-Month LIBOR, plus 0.24%. |
Quarterly |
Markit iBoxx $
Liquid High Yield Index |
At Maturity |
Morgan Stanley
& Co. International PLC |
N/A | 06/20/21 | USD | 3,000 | 38,111 | 57 | 38,054 | |||||||||||||||||||||||||||||
3-Month LIBOR, plus 0.24%. |
Quarterly |
Markit iBoxx $
Liquid High Yield Index |
At Maturity |
Morgan Stanley
& Co. International PLC |
N/A | 06/20/21 | USD | 5,119 | 136,979 | 129 | 136,850 | |||||||||||||||||||||||||||||
3-Month LIBOR, plus 0.24%. |
Quarterly |
Markit iBoxx $
Liquid High Yield Index |
At Maturity |
Morgan Stanley
& Co. International PLC |
N/A | 06/20/21 | USD | 1,800 | 36,312 | 45 | 36,267 | |||||||||||||||||||||||||||||
3-Month LIBOR, plus 0.24%. |
Quarterly |
Markit iBoxx $
Liquid High Yield Index |
At Maturity |
Barclays Bank
PLC |
N/A | 06/20/21 | USD | 5,044 | 39,800 | 127 | 39,673 |
C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S |
81 |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT)
|
OTC Total Return Swaps (continued)
Upfront | ||||||||||||||||||||||||||||||||||||||||||||
Paid by the Trust | Received by the Trust | Premium | Unrealized | |||||||||||||||||||||||||||||||||||||||||
Rate | Frequency | Reference | Frequency | Counterparty |
Effective
Date |
Termination
Date |
Notional Amount (000) |
Value |
Paid
(Received) |
Appreciation
Depreciation |
||||||||||||||||||||||||||||||||||
3-Month LIBOR, plus 0.24%. |
Quarterly |
|
Markit iBoxx $
Liquid High Yield Index |
|
At Maturity |
|
Morgan Stanley &
Co. International PLC |
|
N/A | 06/20/21 | USD | 1,707 | $41,445 | $43 | $41,402 | |||||||||||||||||||||||||||||
3-Month LIBOR, plus 0.24%. |
Quarterly |
|
Markit iBoxx $
Liquid High Yield Index |
|
At Maturity |
|
Morgan Stanley &
Co. International PLC |
|
N/A | 09/20/21 | USD | 5,139 | 122,231 | 130 | 122,101 | |||||||||||||||||||||||||||||
3-Month LIBOR, plus 0.24%. |
Quarterly |
|
Markit iBoxx $
Liquid High Yield Index |
|
At Maturity |
|
Morgan Stanley &
Co. International PLC |
|
N/A | 09/20/21 | USD | 1,513 | 22,398 | 19 | 22,379 | |||||||||||||||||||||||||||||
3-Month LIBOR, plus 0.24%. |
Quarterly |
|
Markit iBoxx $
Liquid High Yield Index |
|
At Maturity |
|
Morgan Stanley &
Co. International PLC |
|
N/A | 09/20/21 | USD | 1,766 | 8,593 | 22 | 8,571 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||||||
$1,209,101 | $920 | $1,208,181 | ||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
Balances Reported in the Consolidated Statements of Assets and Liabilities for OTC Swaps
Description |
Swap
Premiums Paid |
Swap
Premiums Received |
Unrealized
Appreciation |
Unrealized
Depreciation |
||||
OTC Swaps | $77,093 | $(212,320) | $1,299,578 | $(48,154) |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Consolidated Statements of Assets and Liabilities were as follows:
Commodity
Contracts |
Credit
Contracts |
Equity
Contracts |
Foreign
Currency Exchange Contracts |
Interest
Rate Contracts |
Other
Contracts |
Total | ||||||||||||||||||||||
Assets Derivative Financial Instruments |
||||||||||||||||||||||||||||
Futures contracts |
||||||||||||||||||||||||||||
Unrealized appreciation on futures contracts(a) |
$ | | $ | | $ | | $ | | $ | 192,540 | $ | | $ | 192,540 | ||||||||||||||
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts |
| | | 69,385 | | | 69,385 | |||||||||||||||||||||
Options purchased |
||||||||||||||||||||||||||||
Investments at value unaffiliated(b) |
| | 4,215 | | | | 4,215 | |||||||||||||||||||||
Swaps OTC |
||||||||||||||||||||||||||||
Unrealized appreciation on OTC swaps; Swap premiums paid |
| 167,570 | | | 1,208,181 | | 1,375,751 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | | $ | 167,570 | $ | 4,215 | $ | 69,385 | $ | 1,400,721 | $ | | $ | 1,641,891 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Liabilities Derivative Financial Instruments |
||||||||||||||||||||||||||||
Futures contracts |
||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(a) |
$ | | $ | | $ | | $ | | $ | 105,118 | $ | | $ | 105,118 | ||||||||||||||
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts |
| | | 1,386,446 | | | 1,386,446 | |||||||||||||||||||||
Swaps OTC |
||||||||||||||||||||||||||||
Unrealized depreciation on OTC swaps; Swap premiums received |
| 260,474 | | | | | 260,474 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | | $ | 260,474 | $ | | $ | 1,386,446 | $ | 105,118 | $ | | $ | 1,752,038 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Consolidated Schedule of Investments. In the Consolidated Statements of Assets and Liabilities, only current days variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
(b) |
Includes options purchased at value as reported in the Consolidated Schedule of Investments. |
82 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT)
|
For the year ended December 31, 2020, the effect of derivative financial instruments in the Consolidated Statements of Operations was as follows:
Commodity
Contracts |
Credit
Contracts |
Equity
Contracts |
Foreign
Currency Exchange Contracts |
Interest
Rate Contracts |
Other
Contracts |
Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from |
||||||||||||||||||||||||||||
Futures contracts |
$ | | $ | | $ | (2,635,862 | ) | $ | | $ | (729,529 | ) | $ | | $ | (3,365,391 | ) | |||||||||||
Forward foreign currency exchange contracts |
| | | (3,757,417 | ) | | | (3,757,417 | ) | |||||||||||||||||||
Options purchased(a) |
| (341,596 | ) | (487,663 | ) | | (455,258 | ) | | (1,284,517 | ) | |||||||||||||||||
Options written |
| (4,556,938 | ) | 102,423 | | 51,610 | | (4,402,905 | ) | |||||||||||||||||||
Swaps |
| (2,862,688 | ) | | | 3,161,093 | | 298,405 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | | $ | (7,761,222 | ) | $ | (3,021,102 | ) | $ | (3,757,417 | ) | $ | 2,027,916 | $ | | $ | (12,511,825 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on |
||||||||||||||||||||||||||||
Futures contracts |
$ | | $ | | $ | 853 | $ | | $ | 52,243 | $ | | $ | 53,096 | ||||||||||||||
Forward foreign currency exchange contracts |
| | | (281,022 | ) | | | (281,022 | ) | |||||||||||||||||||
Options purchased(b) |
| | (6,102 | ) | | 13,958 | | 7,856 | ||||||||||||||||||||
Options written |
| | | | 1,271 | | 1,271 | |||||||||||||||||||||
Swaps |
| (667,375 | ) | | | 1,208,181 | | 540,806 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | | $ | (667,375 | ) | $ | (5,249 | ) | $ | (281,022 | ) | $ | 1,275,653 | $ | | $ | 322,007 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Options purchased are included in net realized gain (loss) from investments unaffiliated. |
(b) |
Options purchased are included in net change in unrealized appreciation (depreciation) on investments unaffiliated. |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts |
||||
Average notional value of contracts long |
$ | | (a) | |
Average notional value of contracts short |
$ | 98,606,293 | ||
Forward foreign currency exchange contracts |
||||
Average amounts purchased in USD |
$ | 106,668,308 | ||
Average amounts sold in USD |
$ | 50,153,356 | ||
Options |
||||
Average value of option contracts purchased |
$ | 391,295 | ||
Average value of option contracts written |
$ | 238,076 | ||
Average notional value of swaption contracts purchased |
$ | 32,402,500 | ||
Average notional value of swaption contracts written |
$ | 12,902,500 | ||
Credit default swaps |
||||
Average notional value buy protection |
$ | 464,502 | ||
Average notional value sell protection |
$ | 22,065,174 | ||
Total return swaps |
||||
Average notional value |
$ | 25,637,250 |
(a) |
Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. |
For more information about the Trusts investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments Offsetting as of Period End
The Trusts derivative assets and liabilities (by type) were as follows:
Assets | Liabilities | |||||||
Derivative Financial Instruments |
||||||||
Futures contracts |
$ | | $ | 156,251 | ||||
Forward foreign currency exchange contracts |
69,385 | 1,386,446 | ||||||
Options |
4,215 | (a) | | |||||
Swaps OTC(b) |
1,376,671 | 260,474 | ||||||
|
|
|
|
|||||
Total derivative assets and liabilities in the Consolidated Statements of Assets and Liabilities |
1,450,271 | 1,803,171 | ||||||
|
|
|
|
|||||
Derivatives not subject to a Master Netting Agreement or similar agreement (MNA) |
(4,215 | ) | (156,251 | ) | ||||
|
|
|
|
|||||
Total derivative assets and liabilities subject to an MNA |
$ | 1,446,056 | $ | 1,646,920 | ||||
|
|
|
|
(a) |
Includes options purchased at value which is included in Investments at value unaffiliated in the Consolidated Statements of Assets and Liabilities and reported in the Consolidated Schedule of Investments. |
(b) |
Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Consolidated Statements of Assets and Liabilities. |
C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S |
83 |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT)
|
The following table presents the Trusts derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Trust:
Counterparty |
|
Derivative
Assets Subject to an MNA by Counterparty |
|
|
Derivatives
Available for Offset |
(a) |
|
Non-Cash
Collateral Received |
|
|
Cash
Collateral Received |
|
|
Net Amount
of Derivative Assets |
(b)(c) |
|||||
Barclays Bank PLC |
$ | 190,755 | $ | (190,755 | ) | $ | | $ | | $ | | |||||||||
Citibank N.A. |
7,695 | (7,695 | ) | | | | ||||||||||||||
Commonwealth Bank of Australia |
22,358 | | | | 22,358 | |||||||||||||||
Credit Suisse International |
8,920 | | | | 8,920 | |||||||||||||||
Morgan Stanley & Co. International PLC |
1,169,301 | (8,592 | ) | | (840,000 | ) | 320,709 | |||||||||||||
Toronto-Dominion Bank |
4,344 | (987 | ) | | | 3,357 | ||||||||||||||
UBS AG |
42,683 | (42,683 | ) | | | | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 1,446,056 | $ | (250,712 | ) | $ | | $ | (840,000 | ) | $ | 355,344 | |||||||||
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Derivative
Liabilities Subject to an MNA by Counterparty |
|
|
Derivatives
Available for Offset |
(a) |
|
Non-Cash
Collateral Pledged |
|
|
Cash
Collateral Pledged |
(d) |
|
Net Amount
of Derivative Liabilities |
(e) |
|||||
Barclays Bank PLC |
$ | 238,043 | $ | (190,755 | ) | $ | | $ | (47,288 | ) | $ | | ||||||||
BNP Paribas S.A. |
141,754 | | | | 141,754 | |||||||||||||||
Citibank N.A. |
22,968 | (7,695 | ) | | | 15,273 | ||||||||||||||
Goldman Sachs International |
650,603 | | | | 650,603 | |||||||||||||||
Morgan Stanley & Co. International PLC |
8,592 | (8,592 | ) | | | | ||||||||||||||
Royal Bank of Canada |
8,475 | | | | 8,475 | |||||||||||||||
Toronto-Dominion Bank |
987 | (987 | ) | | | | ||||||||||||||
UBS AG |
575,498 | (42,683 | ) | | | 532,815 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 1,646,920 | $ | (250,712 | ) | $ | | $ | (47,288 | ) | $ | 1,348,920 | |||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
(b) |
Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
(c) |
Net amount represents the net amount receivable from the counterparty in the event of default. |
(d) |
Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
(e) |
Net amount represents the net amount payable due to counterparty in the event of default. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trusts policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Trusts investments and derivative financial instruments categorized in the disclosure hierarchy. The breakdown of the Trusts investments into major categories is disclosed in the Consolidated Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets |
||||||||||||||||
Investments |
||||||||||||||||
Long-Term Investments |
||||||||||||||||
Asset-Backed Securities |
$ | | $ | 1,420,045 | $ | | $ | 1,420,045 | ||||||||
Common Stocks |
||||||||||||||||
Auto Components |
36,100 | | | 36,100 | ||||||||||||
Building Products |
43,064 | | | 43,064 | ||||||||||||
Chemicals |
3,785,834 | | | 3,785,834 | ||||||||||||
Consumer Finance |
36 | 79,749 | | 79,785 | ||||||||||||
Diversified Financial Services |
| | 862,759 | 862,759 | ||||||||||||
Diversified Telecommunication Services |
822,198 | 75,810 | | 898,008 | ||||||||||||
Energy Equipment & Services |
| | 850,198 | 850,198 | ||||||||||||
Entertainment |
1,453,949 | | | 1,453,949 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) |
9,532,099 | | | 9,532,099 | ||||||||||||
Life Sciences Tools & Services |
256,547 | | | 256,547 | ||||||||||||
Media |
885,330 | | | 885,330 |
84 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT)
|
Fair Value Hierarchy as of Period End (continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks (continued) |
||||||||||||||||
Metals & Mining |
$ | 3,995,880 | $ | | $ | | $ | 3,995,880 | ||||||||
Oil, Gas & Consumable Fuels |
| 183,330 | | 183,330 | ||||||||||||
Pharmaceuticals |
2,821,562 | | | 2,821,562 | ||||||||||||
Semiconductors & Semiconductor Equipment |
29,912 | | | 29,912 | ||||||||||||
Corporate Bonds |
||||||||||||||||
Aerospace & Defense |
| 93,285,494 | | 93,285,494 | ||||||||||||
Airlines |
| 19,978,610 | | 19,978,610 | ||||||||||||
Auto Components |
| 24,530,447 | | 24,530,447 | ||||||||||||
Automobiles |
| 44,774,419 | | 44,774,419 | ||||||||||||
Banks |
| 6,884,330 | | 6,884,330 | ||||||||||||
Beverages |
| 28,978,562 | | 28,978,562 | ||||||||||||
Biotechnology |
| 406,952 | | 406,952 | ||||||||||||
Building Materials |
| 22,251,361 | | 22,251,361 | ||||||||||||
Building Products |
| 9,740,184 | | 9,740,184 | ||||||||||||
Capital Markets |
| 24,465,991 | 24,013 | 24,490,004 | ||||||||||||
Chemicals |
| 44,836,971 | | 44,836,971 | ||||||||||||
Commercial Services & Supplies |
| 17,299,454 | | 17,299,454 | ||||||||||||
Communications Equipment |
| 18,990,683 | | 18,990,683 | ||||||||||||
Construction & Engineering |
| 3,128,253 | | 3,128,253 | ||||||||||||
Construction Materials |
| 19,644,601 | | 19,644,601 | ||||||||||||
Consumer Discretionary |
| 16,804,943 | | 16,804,943 | ||||||||||||
Consumer Finance |
| 43,626,024 | | 43,626,024 | ||||||||||||
Containers & Packaging |
| 9,648,798 | | 9,648,798 | ||||||||||||
Diversified Consumer Services |
| 28,956,198 | | 28,956,198 | ||||||||||||
Diversified Financial Services |
| 25,063,075 | | 25,063,075 | ||||||||||||
Diversified Telecommunication Services |
| 75,886,443 | | 75,886,443 | ||||||||||||
Electric Utilities |
| 11,914,134 | | 11,914,134 | ||||||||||||
Electrical Equipment |
| 2,787,266 | | 2,787,266 | ||||||||||||
Electronic Equipment, Instruments & Components |
| 7,939,305 | | 7,939,305 | ||||||||||||
Energy Equipment & Services |
| 8,118,842 | 2,427,427 | 10,546,269 | ||||||||||||
Environmental, Maintenance, & Security Service |
| 15,920,452 | | 15,920,452 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) |
| 35,037,079 | | 35,037,079 | ||||||||||||
Food & Staples Retailing |
| 43,115,517 | | 43,115,517 | ||||||||||||
Food Products |
| 13,168,136 | | 13,168,136 | ||||||||||||
Gas Utilities |
| 1,788,731 | | 1,788,731 | ||||||||||||
Health Care Equipment & Supplies |
| 17,444,636 | | 17,444,636 | ||||||||||||
Health Care Providers & Services |
| 83,549,424 | | 83,549,424 | ||||||||||||
Health Care Technology |
| 20,190,749 | | 20,190,749 | ||||||||||||
Healthcare |
| 308,700 | | 308,700 | ||||||||||||
Hotels, Restaurants & Leisure |
148,902 | 91,829,419 | | 91,978,321 | ||||||||||||
Household Durables |
| 24,481,294 | | 24,481,294 | ||||||||||||
Household Products |
| 385,988 | | 385,988 | ||||||||||||
Independent Power and Renewable Electricity Producers |
| 22,820,026 | | 22,820,026 | ||||||||||||
Insurance |
| 32,495,665 | | 32,495,665 | ||||||||||||
Interactive Media & Services |
| 12,028,591 | | 12,028,591 | ||||||||||||
Internet Software & Services |
| 18,098,716 | | 18,098,716 | ||||||||||||
IT Services |
| 39,476,582 | | 39,476,582 | ||||||||||||
Leisure Products |
| 5,222,460 | | 5,222,460 | ||||||||||||
Machinery |
| 19,349,132 | | 19,349,132 | ||||||||||||
Media |
| 202,892,351 | | 202,892,351 | ||||||||||||
Metals & Mining |
| 47,907,003 | | 47,907,003 | ||||||||||||
Multi-line Retail |
| 6,888,141 | | 6,888,141 | ||||||||||||
Offshore Drilling & Other Services |
| 2,402,576 | | 2,402,576 | ||||||||||||
Oil, Gas & Consumable Fuels |
234,982 | 241,539,198 | | 241,774,180 | ||||||||||||
Personal Products |
| 1,264,858 | | 1,264,858 | ||||||||||||
Pharmaceuticals |
| 43,370,936 | | 43,370,936 | ||||||||||||
Real Estate Management & Development |
| 10,078,060 | | 10,078,060 | ||||||||||||
Road & Rail |
| 1,235,369 | | 1,235,369 | ||||||||||||
Semiconductors & Semiconductor Equipment |
366,041 | 15,477,267 | | 15,843,308 | ||||||||||||
Software |
| 50,916,196 | | 50,916,196 | ||||||||||||
Specialty Retail |
| 14,560,313 | | 14,560,313 | ||||||||||||
Technology Hardware, Storage & Peripherals |
| 394,513 | | 394,513 | ||||||||||||
Textiles, Apparel & Luxury Goods |
160,109 | 2,638,634 | | 2,798,743 |
C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S |
85 |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT)
|
Fair Value Hierarchy as of Period End (continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Corporate Bonds (continued) |
||||||||||||||||
Thrifts & Mortgage Finance |
$ | | $ | 7,182,477 | $ | | $ | 7,182,477 | ||||||||
Transportation |
| 399,254 | | 399,254 | ||||||||||||
Transportation Infrastructure |
| 432,139 | | 432,139 | ||||||||||||
Utilities |
| 3,205,857 | | 3,205,857 | ||||||||||||
Wireless Telecommunication Services |
| 50,115,027 | | 50,115,027 | ||||||||||||
Floating Rate Loan Interests |
| 178,447,433 | 19,366,986 | 197,814,419 | ||||||||||||
Investment Companies |
9,511,970 | | | 9,511,970 | ||||||||||||
Preferred Securities |
||||||||||||||||
Capital Trusts |
| 68,899,177 | | 68,899,177 | ||||||||||||
Preferred Stocks |
| | 10,338,450 | 10,338,450 | ||||||||||||
Warrants |
| 650,746 | | 650,746 | ||||||||||||
Options Purchased |
||||||||||||||||
Equity Contracts |
4,215 | | | 4,215 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 34,088,730 | $ | 2,059,309,096 | $ | 33,869,833 | 2,127,267,659 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Investments Valued at NAV(a) |
9,059 | |||||||||||||||
$ | 2,127,276,718 | |||||||||||||||
Derivative Financial Instruments(b) |
||||||||||||||||
Assets |
||||||||||||||||
Credit Contracts |
$ | | $ | 91,397 | $ | | $ | 91,397 | ||||||||
Foreign Currency Exchange Contracts |
| 69,385 | | 69,385 | ||||||||||||
Interest Rate Contracts |
192,540 | 1,208,181 | | 1,400,721 | ||||||||||||
Liabilities |
||||||||||||||||
Credit Contracts |
| (48,154 | ) | | (48,154 | ) | ||||||||||
Foreign Currency Exchange Contracts |
| (1,386,446 | ) | | (1,386,446 | ) | ||||||||||
Interest Rate Contracts |
(105,118 | ) | | | (105,118 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 87,422 | $ | (65,637 | ) | $ | | $ | 21,785 | ||||||||
|
|
|
|
|
|
|
|
(a) |
Certain investments of the Trust were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
(b) |
Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $685,000,000 are categorized as Level 2 within the disclosure hierarchy.
A reconciliation of Level 3 financial instruments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
Common
Stocks |
Corporate
Bonds |
Floating Rate Loan Interests |
Other
Interests |
Preferred
Stocks |
Total | |||||||||||||||||||
Assets |
||||||||||||||||||||||||
Opening balance, as of December 31, 2019 |
$ | 2,297,448 | $ | 25,016 | $ | 12,707,738 | $ | 12 | $ | 2,496,335 | $ | 17,526,549 | ||||||||||||
Transfers into Level 3 |
| | | | | | ||||||||||||||||||
Transfers out of Level 3 |
| | (2,985,152 | ) | | | (2,985,152 | ) | ||||||||||||||||
Accrued discounts/premiums |
| 77,881 | 9,438 | | | 87,319 | ||||||||||||||||||
Net realized gain (loss) |
| 10,493 | (215,268 | ) | 2,774 | 779,373 | 577,372 | |||||||||||||||||
Net change in unrealized appreciation (depreciation)(a)(b) . |
(1,469,185 | ) | (96,698 | ) | 67,079 | (13 | ) | (799,517 | ) | (2,298,334 | ) | |||||||||||||
Purchases |
1,652,597 | 2,509,258 | 19,449,280 | | 13,265,315 | 36,876,450 | ||||||||||||||||||
Sales |
(767,903 | ) | (74,510 | ) | (9,666,129 | ) | (2,773 | ) | (5,403,056 | ) | (15,914,371 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Closing balance, as of December 31, 2020 |
$ | 1,712,957 | $ | 2,451,440 | $ | 19,366,986 | $ | | $ | 10,338,450 | $ | 33,869,833 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020(b) |
$ | (1,469,185 | ) | $ | (96,698 | ) | $ | (7,130 | ) | $ | | $ | (2,926,865 | ) | $ | (4,499,878 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statements of Operations. |
(b) |
Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020 is generally due to investments no longer held or categorized as Level 3 at period end. |
86 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Consolidated Schedule of Investments (continued) December 31, 2020 |
BlackRock Corporate High Yield Fund, Inc. (HYT)
|
The Trusts financial instruments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 financial instruments.
See notes to financial statements.
C O N S O L I D A T E D S C H E D U L E O F I N V E S T M E N T S |
87 |
Schedule of Investments December 31, 2020 |
BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Asset-Backed Securities | ||||||||
Allegro CLO II-S Ltd., Series 2014-1RA, Class B, (3 mo. LIBOR US + 2.15%), 2.36%, 10/21/28(a)(b) |
$ | 500 | $ | 495,075 | ||||
Allegro CLO VI Ltd.(a)(b) |
||||||||
Series 2017-2A, Class B, (3 mo. LIBOR US + 1.50%), 1.72%, 01/17/31 |
360 | 355,980 | ||||||
Series 2017-2A, Class C, (3 mo. LIBOR US + 1.80%), 2.02%, 01/17/31 |
2,400 | 2,343,904 | ||||||
Allegro CLO X Ltd., Series 2019-1A, Class C, (3 mo. LIBOR US + 2.75%), 2.97%, 04/20/32(a)(b) |
500 | 500,497 | ||||||
ALM VII R Ltd.(a)(b) |
||||||||
Series 2013-7R2A, Class A2R2, (3 mo. LIBOR US + 1.65%), 1.89%, 10/15/27 |
750 | 749,998 | ||||||
Series 2013-7R2A, Class BR2, (3 mo. LIBOR US + 2.20%), 2.44%, 10/15/27 |
400 | 398,706 | ||||||
ALM XVI Ltd./ALM XVI LLC(a)(b) |
||||||||
Series 2015-16A, Class BR2, (3 mo. LIBOR US + 1.90%), 2.14%, 07/15/27 |
1,000 | 988,942 | ||||||
Series 2015-16A, Class CR2, (3 mo. LIBOR US + 2.70%), 2.94%, 07/15/27 |
1,000 | 991,982 | ||||||
American Airlines Group, Inc.,
5.18%,
|
1,867 | 1,757,735 | ||||||
Anchorage Capital CLO Ltd.(a)(b) |
||||||||
Series 2013-1A, Class BR, (3 mo. LIBOR US + 2.15%), 2.37%, 10/13/30 |
1,000 | 997,323 | ||||||
Series 2014-3RA, Class C, (3 mo. LIBOR US + 1.85%), 2.07%, 01/28/31 |
1,000 | 988,479 | ||||||
Anchorage Capital CLO R Ltd., Series 2014-3RA, Class D, (3 mo. LIBOR US + 2.60%), 2.82%, 01/28/31(a)(b) |
1,000 | 946,498 | ||||||
Apidos CLO XV, Series 2013-15A, Class DRR, (3 mo. LIBOR US + 2.70%), 2.92%, 04/20/31(a)(b) |
1,000 | 957,571 | ||||||
Apidos CLO XX, Series 2015-20A, Class BRR, (3 mo. LIBOR US + 1.95%), 2.18%, 07/16/31(a)(b) |
1,000 | 977,199 | ||||||
Ares XLIX CLO Ltd., Series 2018-49A, Class D, (3 mo. LIBOR US + 3.00%), 3.22%, 07/22/30(a)(b) |
1,000 | 987,995 | ||||||
ARES XLVII CLO Ltd., Series 2018-47A, Class D, (3 mo. LIBOR US + 2.70%), 2.94%, 04/15/30(a)(b) |
1,500 | 1,424,458 | ||||||
Ares XLVIII CLO Ltd., Series 2018-48A, Class C, (3 mo. LIBOR US + 1.80%), 2.02%, 07/20/30(a)(b) |
500 | 487,683 | ||||||
Ares XXXVII CLO Ltd.(a)(b) |
||||||||
Series 2015-4A, Class A3R, (3 mo. LIBOR US + 1.50%), 1.74%, 10/15/30 |
1,000 | 992,421 | ||||||
Series 2015-4A, Class BR, (3 mo. LIBOR US + 1.80%), 2.04%, 10/15/30 |
1,750 | 1,703,274 | ||||||
Atlas Senior Loan Fund VII Ltd.(a)(b) |
||||||||
Series 2016-7A, Class A1R, (3 mo. LIBOR US + 1.28%), 1.51%, 11/27/31 |
1,988 | 1,987,378 | ||||||
Series 2016-7A, Class B1R, (3 mo. LIBOR US + 1.80%), 2.03%, 11/27/31 |
550 | 540,444 | ||||||
Atlas Senior Loan Fund XII Ltd., Series 2018-12A, Class A1, (3 mo. LIBOR US + 1.18%), 1.39%, 10/24/31(a)(b) |
400 | 400,325 | ||||||
Atrium XV, Series 15A, Class C, (3 mo. LIBOR US + 2.20%), 2.41%, 01/23/31(a)(b) |
250 | 248,034 | ||||||
Benefit Street Partners Clo XII Ltd., Series 2017-12A, Class B, (3 mo. LIBOR US + 2.00%), 2.24%, 10/15/30(a)(b) |
1,000 | 981,372 | ||||||
Canyon CLO Ltd., Series 2020-3A, Class C, (3 mo. LIBOR US + 2.50%), 2.73%, 01/15/34(a)(b)(d) |
500 | 500,000 |
Security |
Par (000) |
Value | ||||||
Asset-Backed Securities (continued) | ||||||||
CarVal CLO Ltd., Series 2018-1A, Class D, (3 mo. LIBOR US + 2.89%), 3.12%,
|
$ | 500 | $ | 486,070 | ||||
Cedar Funding VI CLO Ltd., Series 2016-6A, Class BR, (3 mo. LIBOR US + 1.60%), 1.82%, 10/20/28(a)(b) |
250 | 249,537 | ||||||
Cent CLO Ltd., Series C17A, Class BR, (3 mo. LIBOR US + 1.85%), 2.06%, 04/30/31(a)(b) |
1,000 | 987,670 | ||||||
CIFC Funding II Ltd.(a)(b) |
||||||||
Series 2013-2A, Class A3LR, (3 mo. LIBOR US + 1.95%), 2.17%, 10/18/30 |
1,000 | 985,149 | ||||||
Series 2013-2A, Class B1LR, (3 mo. LIBOR US + 3.05%), 3.27%, 10/18/30 |
1,000 | 975,418 | ||||||
CIFC Funding Ltd.(a)(b) |
||||||||
Series 2014-4RA, Class A2, (3 mo. LIBOR US + 1.65%), 1.87%, 10/17/30 |
600 | 598,781 | ||||||
Series 2014-4RA, Class B, (3 mo. LIBOR US + 2.20%), 2.42%, 10/17/30 |
400 | 397,609 | ||||||
Series 2018-1A, Class C, (3 mo. LIBOR US + 1.75%), 1.97%, 04/18/31 |
1,000 | 976,325 | ||||||
Series 2018-1A, Class D, (3 mo. LIBOR US + 2.65%), 2.87%, 04/18/31 |
1,200 | 1,173,623 | ||||||
Elevation CLO Ltd., Series 2017-7A, Class C, (3 mo. LIBOR US + 1.90%), 2.14%,
|
1,500 | 1,469,513 | ||||||
Galaxy XX CLO Ltd., Series 2015-20A, Class D1R, (3 mo. LIBOR US + 2.60%), 2.82%, 04/20/31(a)(b) |
1,000 | 977,810 | ||||||
Greenwood Park CLO Ltd., Series 2018-1A, Class D, (3 mo. LIBOR US + 2.50%), 2.74%,
|
1,000 | 975,721 | ||||||
Highbridge Loan Management Ltd.(a)(b) |
||||||||
Series 12A-18, Class B, (3 mo. LIBOR US + 1.85%), 2.07%, 07/18/31 |
1,250 | 1,224,140 | ||||||
Series 4A-2014, Class A2R, (3 mo. LIBOR US + 1.50%), 1.72%, 01/28/30 |
650 | 643,522 | ||||||
Series 6A-2015, Class BR, (3 mo. LIBOR US + 1.75%), 1.97%, 02/05/31 |
1,500 | 1,465,180 | ||||||
Limerock CLO III LLC, Series 2014-3A, Class C, (3 mo. LIBOR US + 3.60%), 3.82%,
|
1,000 | 995,460 | ||||||
Long Point Park CLO Ltd., Series 2017-1A, Class B, (3 mo. LIBOR US + 1.70%), 1.92%,
|
1,000 | 975,107 | ||||||
Madison Park Funding XIII Ltd., Series 2014-13A, Class CR2, (3 mo. LIBOR US + 1.90%), 2.12%, 04/19/30(a)(b) |
1,000 | 985,770 | ||||||
Madison Park Funding XV Ltd., Series 2014-15A, Class B1R, (3 mo. LIBOR US + 2.20%), 2.42%, 01/27/26(a)(b) |
2,000 | 1,999,984 | ||||||
Madison Park Funding XXVII Ltd.(a)(b) |
||||||||
Series 2018-27A, Class B, (3 mo. LIBOR US + 1.80%), 2.02%, 04/20/30 |
1,000 | 972,230 | ||||||
Series 2018-27A, Class C, (3 mo. LIBOR US + 2.60%), 2.82%, 04/20/30 |
1,000 | 968,369 | ||||||
Marble Point CLO XI Ltd., Series 2017-2A, Class B, (3 mo. LIBOR US + 1.50%), 1.72%,
|
1,000 | 986,784 | ||||||
MP CLO III Ltd., Series 2013-1A, Class CR, (3 mo. LIBOR US + 2.00%), 2.22%,
|
1,000 | 973,543 | ||||||
Neuberger Berman CLO XV, Series 2013-15A, Class CR, (3 mo. LIBOR US + 2.05%),
|
1,000 | 993,613 | ||||||
Neuberger Berman CLO XVIII Ltd.,
|
2,700 | 2,618,439 |
88 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Asset-Backed Securities (continued) | ||||||||
Neuberger Berman CLO XXI Ltd.(a)(b) |
||||||||
Series 2016-21A, Class CR, (3 mo. LIBOR US + 1.60%), 1.82%, 04/20/27 |
$ | 1,000 | $ | 978,709 | ||||
Series 2016-21A, Class DR, (3 mo. LIBOR US + 2.40%), 2.62%, 04/20/27 |
1,000 | 971,555 | ||||||
Neuberger Berman CLO XXII Ltd.(a)(b) |
||||||||
Series 2016-22A, Class BR, (3 mo. LIBOR US + 1.65%), 1.87%, 10/17/30 |
400 | 399,998 | ||||||
Series 2016-22A, Class CR, (3 mo. LIBOR US + 2.20%), 2.42%, 10/17/30 |
1,000 | 993,311 | ||||||
Neuberger Berman CLO XXIII Ltd., Series 2016-23A, Class CR, (3 mo. LIBOR US + 2.15%), 2.37%, 10/17/27(a)(b) |
500 | 498,843 | ||||||
Neuberger Berman Loan Advisers
CLO
|
||||||||
Series 2017-26A, Class A, (3 mo. LIBOR US + 1.17%), 1.39%, 10/18/30 |
2,000 | 1,991,814 | ||||||
Series 2017-26A, Class B, (3 mo. LIBOR US + 1.50%), 1.72%, 10/18/30 |
1,000 | 996,126 | ||||||
Series 2017-26A, Class C, (3 mo. LIBOR US + 1.75%), 1.97%, 10/18/30 |
1,500 | 1,460,424 | ||||||
Series 2018-27A, Class D, (3 mo. LIBOR US + 2.60%), 2.84%, 01/15/30 |
1,000 | 968,245 | ||||||
Oak Hill Credit Partners X-R Ltd., Series 2014-10RA, Class C, (3 mo. LIBOR US + 2.20%), 2.42%, 12/12/30(a)(b) |
300 | 299,998 | ||||||
OCP CLO Ltd.(a)(b) |
||||||||
Series 2014-6A, Class BR, 2.37%, 10/17/30 |
500 | 495,741 | ||||||
Series 2015-10A, Class CR, (3 mo. LIBOR US + 2.60%), 2.81%, 10/26/27 |
600 | 589,428 | ||||||
Series 2016-11A, Class BR, (3 mo. LIBOR US + 2.45%), 2.66%, 10/26/30 |
1,500 | 1,501,688 | ||||||
Series 2016-12A, Class BR, 2.42%, 10/18/28 |
1,000 | 999,994 | ||||||
Series 2017-14A, Class B, (3 mo. LIBOR US + 1.95%), 2.17%, 11/20/30 |
1,000 | 985,801 | ||||||
Octagon Investment Partners 26 Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 2.85%), 3.09%, 07/15/30(a)(b) |
500 | 478,108 | ||||||
Octagon Investment Partners 34 Ltd., Series 2017-1A, Class B1, (3 mo. LIBOR US + 1.40%), 1.62%, 01/20/30(a)(b) |
1,000 | 987,087 | ||||||
Octagon Investment Partners Ltd., Series 2017-1A, Class C, (3 mo. LIBOR US + 2.75%), 2.97%, 01/20/31(a)(b) |
1,000 | 964,424 | ||||||
Octagon Investment Partners XVII Ltd.(a)(b) |
||||||||
Series 2013-1A, Class BR2, (3 mo. LIBOR US + 1.40%), 1.61%, 01/25/31 |
1,000 | 981,823 | ||||||
Series 2013-1A, Class CR2, (3 mo. LIBOR US + 1.70%), 1.91%, 01/25/31 |
1,000 | 974,418 | ||||||
Octagon Investment Partners XXII Ltd., Series 2014- 1A, Class CRR, (3 mo. LIBOR US + 1.90%), 2.12%, 01/22/30(a)(b) |
900 | 884,463 | ||||||
OHA Credit Partners XII Ltd., Series 2015-12A, Class DR, (3 mo. LIBOR US + 2.90%), 3.11%, 07/23/30(a)(b) |
600 | 577,886 | ||||||
OHA Loan Funding Ltd., Series 2015-1A, Class DR2, (3 mo. LIBOR US + 4.00%), 4.22%, 11/15/32(a)(b) |
1,000 | 1,004,378 | ||||||
OZLM XXI Ltd., Series 2017-21A, Class B, (3 mo. LIBOR US + 1.90%), 2.12%,
|
1,800 | 1,756,835 |
Security |
Par (000) |
Value | ||||||
Asset-Backed Securities (continued) | ||||||||
Palmer Square CLO Ltd.(a)(b) |
||||||||
Series 2013-2A, Class A2RR, (3 mo. LIBOR US + 1.75%), 1.97%, 10/17/31 |
$ | 650 | $ | 650,727 | ||||
Series 2013-2A, Class BRR, (3 mo. LIBOR US + 2.20%), 2.42%, 10/17/31 |
750 | 749,995 | ||||||
Series 2013-2A, Class CRR, (3 mo. LIBOR US + 3.20%), 3.42%, 10/17/31 |
250 | 249,997 | ||||||
Series 2018-1A, Class A2, (3 mo. LIBOR US + 1.45%), 1.67%, 04/18/31 |
1,500 | 1,472,418 | ||||||
Series 2019-1A, Class C, (3 mo. LIBOR US + 3.75%), 3.97%, 11/14/32 |
1,000 | 1,002,107 | ||||||
Park Avenue Institutional Advisers CLO Ltd., Series 2019-1A, Class C, (3 mo. LIBOR US + 3.85%), 4.07%, 05/15/32(a)(b) |
1,500 | 1,500,589 | ||||||
Regatta VII Funding Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 2.75%), 2.99%, 12/20/28(a)(b) |
500 | 485,335 | ||||||
Regatta XVI Funding Ltd.(a)(b) |
||||||||
Series 2019-2A, Class C, (3 mo. LIBOR US + 2.70%), 2.94%, 01/15/33 |
1,000 | 1,003,096 | ||||||
Series 2019-2A, Class D, (3 mo. LIBOR US + 3.90%), 4.14%, 01/15/33 |
1,000 | 1,004,176 | ||||||
Rockford Tower CLO Ltd.(a)(b) |
||||||||
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.19%), 1.41%, 10/20/30 |
2,000 | 1,999,789 | ||||||
Series 2017-3A, Class D, (3 mo. LIBOR US + 2.65%), 2.87%, 10/20/30 |
1,000 | 971,823 | ||||||
RR Ltd., Series 2018-5A, Class C, (3 mo. LIBOR US + 3.10%), 3.34%, 10/15/31(a)(b) |
650 | 632,779 | ||||||
Sound Point Clo XXI Ltd., Series 2018-3A, Class A1A, (3 mo. LIBOR US + 1.18%), 1.39%, 10/26/31(a)(b) |
1,400 | 1,395,866 | ||||||
Stewart Park CLO Ltd., Series 2015-1A, Class DR, (3 mo. LIBOR US + 2.60%), 2.84%, 01/15/30(a)(b) |
1,500 | 1,458,782 | ||||||
Tiaa CLO III Ltd., Series 2017-2A, Class A, (3 mo. LIBOR US + 1.15%), 1.38%,
|
2,500 | 2,491,333 | ||||||
TICP CLO IX Ltd., Series 2017-9A, Class A, (3 mo. LIBOR US + 1.14%), 1.36%,
|
1,000 | 998,534 | ||||||
TICP CLO XIII Ltd., Series 2019-13A, Class D, (3 mo. LIBOR US + 3.45%), 3.69%,
|
500 | 500,351 | ||||||
York CLO Ltd.(a)(b) |
||||||||
Series 2014-1A, Class ARR, (3 mo. LIBOR US + 1.12%), 1.34%, 10/22/29 |
2,000 | 1,992,113 | ||||||
Series 2015-1A, Class CR, (3 mo. LIBOR US + 1.85%), 2.07%, 01/22/31 |
1,500 | 1,464,621 | ||||||
Series 2015-1A, Class DR, (3 mo. LIBOR US + 2.60%), 2.82%, 01/22/31 |
1,800 | 1,712,705 | ||||||
|
|
|||||||
Total Asset-Backed Securities 6.6% | ||||||||
(Cost: $97,295,124) |
96,236,873 | |||||||
|
|
|||||||
Corporate Bonds | ||||||||
Advertising Agencies 0.2% | ||||||||
Interpublic Group of Cos., Inc., 5.40%, 10/01/48 |
2,215 | 3,034,917 | ||||||
|
|
|||||||
Aerospace & Defense 4.1% | ||||||||
Boeing Co., 5.15%, 05/01/30 |
6,775 | 8,199,454 | ||||||
Bombardier, Inc.(b) |
||||||||
8.75%, 12/01/21(e) |
1,794 | 1,865,760 | ||||||
5.75%, 03/15/22 |
280 | 285,676 | ||||||
6.00%, 10/15/22 |
5 | 4,908 | ||||||
6.13%, 01/15/23 |
52 | 50,830 | ||||||
7.50%, 12/01/24 |
166 | 159,239 |
S C H E D U L E O F I N V E S T M E N T S |
89 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Aerospace & Defense (continued) | ||||||||
Bombardier, Inc.(b) (continued) |
||||||||
7.50%, 03/15/25 |
$ | 114 | $ | 105,735 | ||||
7.88%, 04/15/27(e) |
1,436 | 1,320,316 | ||||||
F-Brasile SpA/F-Brasile US LLC, Series XR, 7.38%, 08/15/26(b) |
516 | 500,520 | ||||||
General Dynamics Corp., 4.25%, 04/01/50 |
1,260 | 1,713,914 | ||||||
General Electric Co., 3.63%, 05/01/30 |
2,340 | 2,674,356 | ||||||
Howmet Aerospace, Inc., 5.13%, 10/01/24 |
45 | 49,537 | ||||||
Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(b) |
1,010 | 1,059,237 | ||||||
Lockheed Martin Corp., 2.80%, 06/15/50 |
1,965 | 2,124,521 | ||||||
Moog, Inc., 4.25%, 12/15/27(b) |
320 | 332,000 | ||||||
Northrop Grumman Corp. |
||||||||
4.03%, 10/15/47 |
2,400 | 3,011,325 | ||||||
5.25%, 05/01/50 |
3,050 | 4,533,943 | ||||||
Raytheon Technologies Corp., 3.13%, 07/01/50 |
3,545 | 3,909,043 | ||||||
Rolls-Royce PLC, 5.75%, 10/15/27(b) |
1,333 | 1,476,297 | ||||||
Signature Aviation US Holdings, Inc.(b) |
||||||||
5.38%, 05/01/26 |
441 | 452,025 | ||||||
4.00%, 03/01/28 |
541 | 544,598 | ||||||
TransDigm, Inc. |
||||||||
8.00%, 12/15/25(b) |
1,596 | 1,764,059 | ||||||
6.25%, 03/15/26(b)(e) |
15,876 | 16,907,940 | ||||||
6.38%, 06/15/26 |
448 | 463,680 | ||||||
Triumph Group, Inc., 8.88%, 06/01/24(b) |
2,033 | 2,231,217 | ||||||
United Technologies Corp., 4.63%, 11/16/48 |
2,805 | 3,808,062 | ||||||
|
|
|||||||
59,548,192 | ||||||||
Airlines 1.5% | ||||||||
American Airlines Group, Inc., 5.18%, 10/15/23(a)(c) |
1,833 | 1,638,697 | ||||||
British Airways Pass Through Trust, Series 2020-1, Class A, 4.25%, 11/15/32(b) |
3,240 | 3,462,750 | ||||||
Delta Air Lines Pass-Through Trust, Series 02G1, 6.72%, 01/02/23 |
2,130 | 2,188,918 | ||||||
Delta Air Lines, Inc., 7.00%, 05/01/25(b) |
174 | 200,892 | ||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(b) |
2,480 | 2,666,000 | ||||||
Turkish Airlines Pass-Through Trust, Series 2015-1, Class A, 4.20%, 03/15/27(b) |
2,058 | 1,701,633 | ||||||
United Airlines Pass-Through Trust |
||||||||
Series 2016-1, Class A, 5.88%, 10/15/27 |
6,789 | 7,333,563 | ||||||
Series B, 4.75%, 04/11/22(e) |
2,102 | 2,110,006 | ||||||
|
|
|||||||
21,302,459 | ||||||||
Auto Components 1.1% | ||||||||
BorgWarner, Inc., 2.65%, 07/01/27 |
2,710 | 2,914,028 | ||||||
Clarios Global LP, 6.75%, 05/15/25(b) |
552 | 594,780 | ||||||
Clarios Global LP/Clarios US Finance
|
||||||||
6.25%, 05/15/26(e) |
5,334 | 5,720,715 | ||||||
8.50%, 05/15/27 |
6,141 | 6,671,640 | ||||||
|
|
|||||||
15,901,163 | ||||||||
Automobiles 2.9% | ||||||||
Allison Transmission, Inc.(b) |
||||||||
5.88%, 06/01/29 |
855 | 944,775 | ||||||
3.75%, 01/30/31 |
678 | 693,679 | ||||||
Asbury Automotive Group, Inc. |
||||||||
4.50%, 03/01/28 |
197 | 205,372 | ||||||
4.75%, 03/01/30 |
191 | 204,848 | ||||||
Ford Motor Co., 7.45%, 07/16/31(e) |
3,660 | 4,693,950 | ||||||
Ford Motor Credit Co. LLC |
||||||||
5.88%, 08/02/21(e) |
9,420 | 9,641,370 |
Security |
Par (000) |
Value | ||||||
Automobiles (continued) | ||||||||
Ford Motor Credit Co. LLC (continued) |
||||||||
4.06%, 11/01/24 |
$ | 200 | $ | 210,114 | ||||
5.13%, 06/16/25 |
1,070 | 1,163,411 | ||||||
3.38%, 11/13/25 |
207 | 212,664 | ||||||
General Motors Co. |
||||||||
4.88%, 10/02/23 |
1,875 | 2,080,086 | ||||||
6.25%, 10/02/43 |
940 | 1,268,031 | ||||||
5.95%, 04/01/49(e) |
3,455 | 4,672,613 | ||||||
General Motors Financial Co., Inc. |
||||||||
4.25%, 05/15/23 |
931 | 1,003,405 | ||||||
2.75%, 06/20/25(e) |
4,235 | 4,528,502 | ||||||
Group 1 Automotive, Inc., 4.00%,
|
360 | 371,081 | ||||||
Nissan Motor Co. Ltd., 4.81%, 09/17/30(b)(e) |
7,125 | 8,022,868 | ||||||
Penske Automotive Group, Inc. |
||||||||
3.50%, 09/01/25 |
441 | 448,166 | ||||||
5.50%, 05/15/26 |
1,160 | 1,204,950 | ||||||
Tesla, Inc., 5.30%, 08/15/25(b) |
785 | 818,362 | ||||||
|
|
|||||||
42,388,247 | ||||||||
Banks 2.8% | ||||||||
Australia & New Zealand Banking Group Ltd., (5 year CMT + 1.70%), 2.57%,
|
5,445 | 5,554,829 | ||||||
CIT Group, Inc., 5.00%, 08/01/23 |
370 | 404,225 | ||||||
Credit Suisse AG, 6.50%, 08/08/23(b)(e) |
6,000 | 6,748,704 | ||||||
Fifth Third Bancorp, Series H, (3 mo. LIBOR US + 3.03%), 5.10%(a)(f) |
5,000 | 5,073,250 | ||||||
Intesa Sanpaolo SpA, 5.71%, 01/15/26(b)(e) |
9,840 | 11,262,786 | ||||||
Santander Holdings USA, Inc., 4.40%, 07/13/27 |
830 | 948,565 | ||||||
Truist Financial Corp., Series L, (3 mo. LIBOR US + 3.10%), 5.05%(a)(f) |
5,270 | 5,349,050 | ||||||
Wells Fargo & Co., 5.61%, 01/15/44(e) |
4,119 | 5,837,853 | ||||||
|
|
|||||||
41,179,262 | ||||||||
Beverages 2.2% | ||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46(e) |
6,170 | 8,022,423 | ||||||
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 01/23/49(e) |
5,000 | 7,109,366 | ||||||
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(b)(g) |
2,659 | 2,838,482 | ||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.(b) 5.25%, 04/30/25 |
472 | 497,960 | ||||||
4.13%, 08/15/26 |
1,315 | 1,374,175 | ||||||
5.25%, 08/15/27 |
1,662 | 1,744,784 | ||||||
Ball Corp. |
||||||||
5.25%, 07/01/25 |
30 | 34,237 | ||||||
4.88%, 03/15/26 |
352 | 397,584 | ||||||
Canpack SA/Eastern PA Land Investment Holding LLC, 3.13%, 11/01/25(b) |
228 | 227,430 | ||||||
Crown Cork & Seal Co., Inc., 7.38%, 12/15/26 |
151 | 183,842 | ||||||
Keurig Dr. Pepper, Inc., 4.60%, 05/25/28(e) |
3,215 | 3,912,987 | ||||||
Trivium Packaging Finance BV(b)(e) |
||||||||
5.50%, 08/15/26 |
2,830 | 2,992,725 | ||||||
8.50%, 08/15/27 |
3,036 | 3,324,420 | ||||||
|
|
|||||||
32,660,415 | ||||||||
Biotechnology 0.6% |
||||||||
Baxalta, Inc., 5.25%, 06/23/45(e) |
6,000 | 8,217,661 | ||||||
|
|
90 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Building Materials(b) 0.4% | ||||||||
Forterra Finance LLC/FRTA Finance Corp., 6.50%, 07/15/25 |
$ | 849 | $ | 912,675 | ||||
Jeld-Wen, Inc. |
||||||||
4.63%, 12/15/25 |
96 | 97,969 | ||||||
4.88%, 12/15/27 |
74 | 78,255 | ||||||
Masonite International Corp. |
||||||||
5.75%, 09/15/26 |
282 | 294,690 | ||||||
5.38%, 02/01/28 |
206 | 221,192 | ||||||
SRM Escrow Issuer LLC, 6.00%, 11/01/28 |
1,032 | 1,078,600 | ||||||
Standard Industries, Inc. |
||||||||
5.00%, 02/15/27 |
303 | 316,635 | ||||||
4.38%, 07/15/30 |
1,046 | 1,118,938 | ||||||
3.38%, 01/15/31 |
1,371 | 1,377,855 | ||||||
Summit Materials LLC/Summit Materials Finance` Corp., 5.25%, 01/15/29 |
386 | 405,300 | ||||||
|
|
|||||||
5,902,109 | ||||||||
Building Products(b) 0.2% | ||||||||
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26 |
846 | 896,540 | ||||||
SRS Distribution, Inc., 8.25%, 07/01/26 |
674 | 716,125 | ||||||
White Cap Buyer LLC, 6.88%, 10/15/28 |
1,283 | 1,367,999 | ||||||
|
|
|||||||
2,980,664 | ||||||||
Capital Markets 1.1% | ||||||||
Charles Schwab Corp., (10 year CMT + 3.08%), 4.00%(a)(f) |
5,215 | 5,488,788 | ||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. |
||||||||
4.75%, 09/15/24 |
520 | 540,150 | ||||||
6.38%, 12/15/25 |
316 | 326,902 | ||||||
6.25%, 05/15/26 |
782 | 828,060 | ||||||
5.25%, 05/15/27 |
1,995 | 2,138,640 | ||||||
Jefferies Financial Group, Inc., 5.50%, 10/18/23(e) |
4,000 | 4,404,766 | ||||||
NFP Corp., 6.88%, 08/15/28(b) |
483 | 515,689 | ||||||
RP Escrow Issuer LLC, 5.25%, 12/15/25(b) |
340 | 355,320 | ||||||
State Street Corp., (Secured Overnight Financing Rate + 2.65%), 3.15%,
|
840 | 957,323 | ||||||
|
|
|||||||
15,555,638 | ||||||||
Chemicals 2.4% | ||||||||
Atotech Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23(b)(g) |
362 | 364,370 | ||||||
Axalta Coating Systems LLC,
3.38%,
|
646 | 646,000 | ||||||
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27(b) |
372 | 395,715 | ||||||
DuPont de Nemours, Inc., 5.42%, 11/15/48(e) |
7,500 | 10,898,661 | ||||||
Element Solutions, Inc., 3.88%, 09/01/28(b) |
2,671 | 2,747,791 | ||||||
GCP Applied Technologies, Inc., 5.50%, 04/15/26(b) |
299 | 307,970 | ||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(b) |
203 | 223,300 | ||||||
Ingevity Corp., 3.88%, 11/01/28(b) |
100 | 100,750 | ||||||
LYB Finance Co. BV, 8.10%, 03/15/27(b)(e) |
6,000 | 8,287,881 | ||||||
NOVA Chemicals Corp., 4.88%, 06/01/24(b) |
240 | 249,900 | ||||||
Nutrition & Biosciences, Inc.,
3.47%,
|
4,765 | 5,176,101 | ||||||
Valvoline, Inc.(b) |
||||||||
4.25%, 02/15/30 |
216 | 228,960 | ||||||
3.63%, 06/15/31(d) |
3 | 3,079 |
Security |
Par (000) |
Value | ||||||
Chemicals (continued) | ||||||||
WESCO Distribution, Inc.(b) |
||||||||
7.13%, 06/15/25 |
$ | 1,485 | $ | 1,633,248 | ||||
7.25%, 06/15/28 |
1,354 | 1,539,891 | ||||||
WR Grace & Co-Conn(b) |
||||||||
5.63%, 10/01/24 |
1,493 | 1,610,574 | ||||||
4.88%, 06/15/27 |
269 | 285,280 | ||||||
|
|
|||||||
34,699,471 | ||||||||
Commercial Services & Supplies 0.7% | ||||||||
ADT Security Corp. |
||||||||
4.13%, 06/15/23 |
174 | 185,510 | ||||||
4.88%, 07/15/32(b) |
1,140 | 1,235,475 | ||||||
AerCap Global Aviation Trust, (3 mo. LIBOR US + 4.30%), 6.50%, 06/15/45(a)(b) |
5,000 | 5,100,000 | ||||||
ASGN, Inc., 4.63%, 05/15/28(b) |
230 | 239,200 | ||||||
Fortress Transportation & Infrastructure Investors LLC, 6.50%, 10/01/25(b) |
163 | 170,353 | ||||||
Herc Holdings, Inc., 5.50%, 07/15/27(b) |
796 | 843,760 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc.(b) |
||||||||
5.75%, 04/15/26 |
252 | 275,940 | ||||||
3.38%, 08/31/27 |
697 | 691,772 | ||||||
6.25%, 01/15/28 |
712 | 764,396 | ||||||
United Rentals North America, Inc. |
||||||||
3.88%, 11/15/27 |
306 | 320,535 | ||||||
4.88%, 01/15/28 |
777 | 827,505 | ||||||
5.25%, 01/15/30 |
44 | 48,840 | ||||||
4.00%, 07/15/30 |
159 | 167,348 | ||||||
|
|
|||||||
10,870,634 | ||||||||
Communications Equipment 0.6% | ||||||||
Avaya, Inc., 6.13%, 09/15/28(b) |
1,396 | 1,491,291 | ||||||
CommScope Technologies LLC(b) |
||||||||
6.00%, 06/15/25 |
646 | 660,535 | ||||||
5.00%, 03/15/27 |
1,035 | 1,019,475 | ||||||
CommScope, Inc.(b) |
||||||||
5.50%, 03/01/24 |
1,114 | 1,148,534 | ||||||
6.00%, 03/01/26 |
1,084 | 1,142,102 | ||||||
8.25%, 03/01/27 |
69 | 73,658 | ||||||
7.13%, 07/01/28 |
148 | 157,620 | ||||||
Nokia OYJ, 6.63%, 05/15/39 |
324 | 413,848 | ||||||
ViaSat, Inc.(b) |
||||||||
5.63%, 04/15/27 |
1,332 | 1,398,600 | ||||||
6.50%, 07/15/28 |
1,296 | 1,402,544 | ||||||
|
|
|||||||
8,908,207 | ||||||||
Construction & Engineering 0.0% | ||||||||
frontdoor, Inc., 6.75%, 08/15/26(b) |
272 | 290,020 | ||||||
|
|
|||||||
Construction Materials(b) 0.5% | ||||||||
American Builders & Contractors Supply
|
||||||||
5.88%, 05/15/26 |
101 | 104,661 | ||||||
4.00%, 01/15/28 |
764 | 790,740 | ||||||
Core & Main LP, 6.13%, 08/15/25 |
2,671 | 2,761,146 | ||||||
H&E Equipment Services, Inc., 3.88%, 12/15/28 |
280 | 282,996 | ||||||
IAA, Inc., 5.50%, 06/15/27 |
1,054 | 1,117,240 | ||||||
KAR Auction Services, Inc., 5.13%, 06/01/25 |
446 | 458,948 | ||||||
Picasso Finance Sub, Inc., 6.13%, 06/15/25 |
1,015 | 1,086,050 |
S C H E D U L E O F I N V E S T M E N T S |
91 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Construction Materials (continued) | ||||||||
Williams Scotsman International, Inc., 4.63%, 08/15/28 |
$ | 541 | $ | 559,935 | ||||
Wolverine Escrow LLC |
||||||||
8.50%, 11/15/24 |
435 | 415,003 | ||||||
9.00%, 11/15/26 |
249 | 235,691 | ||||||
|
|
|||||||
7,812,410 | ||||||||
Consumer Discretionary(b) 0.1% | ||||||||
Carnival Corp., 9.88%, 08/01/27 |
434 | 499,100 | ||||||
Nielsen Finance LLC/Nielsen Finance Co. |
||||||||
5.63%, 10/01/28 |
768 | 834,470 | ||||||
5.88%, 10/01/30 |
444 | 502,275 | ||||||
|
|
|||||||
1,835,845 | ||||||||
Consumer Finance 1.8% | ||||||||
Global Payments, Inc., 2.90%, 05/15/30 |
4,715 | 5,134,036 | ||||||
HSBC Finance Corp., 6.68%, 01/15/21(e) |
5,150 | 5,156,906 | ||||||
MPH Acquisition Holdings LLC, 5.75%, 11/01/28(b) |
1,630 | 1,601,964 | ||||||
Navient Corp. |
||||||||
7.25%, 09/25/23 |
498 | 545,798 | ||||||
6.13%, 03/25/24 |
59 | 62,983 | ||||||
5.00%, 03/15/27 |
329 | 331,879 | ||||||
OneMain Finance Corp. |
||||||||
7.13%, 03/15/26 |
1,231 | 1,455,658 | ||||||
6.63%, 01/15/28 |
506 | 600,875 | ||||||
5.38%, 11/15/29 |
57 | 64,125 | ||||||
4.00%, 09/15/30 |
130 | 134,889 | ||||||
Refinitiv US Holdings, Inc.(b) |
||||||||
6.25%, 05/15/26(e) |
3,374 | 3,601,745 | ||||||
8.25%, 11/15/26 |
1,389 | 1,515,746 | ||||||
Sabre GLBL, Inc.(b) |
||||||||
5.25%, 11/15/23 |
36 | 36,450 | ||||||
9.25%, 04/15/25 |
697 | 829,430 | ||||||
Verscend Escrow Corp., 9.75%, 08/15/26(b) |
3,791 | 4,108,496 | ||||||
WEX, Inc., 4.75%, 02/01/23(b) |
610 | 610,763 | ||||||
|
|
|||||||
25,791,743 | ||||||||
Containers & Packaging 1.7% | ||||||||
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26 |
224 | 246,882 | ||||||
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26 |
355 | 368,312 | ||||||
Graphic Packaging International LLC, 3.50%, |
||||||||
03/01/29(b) |
479 | 489,777 | ||||||
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.00%, 09/15/28(b) |
64 | 65,760 | ||||||
International Paper Co.(e) |
||||||||
8.70%, 06/15/38 |
4,000 | 6,767,802 | ||||||
7.30%, 11/15/39 |
10,000 | 16,024,467 | ||||||
LABL Escrow Issuer LLC(b) |
||||||||
6.75%, 07/15/26 |
742 | 803,564 | ||||||
10.50%, 07/15/27 |
311 | 350,264 | ||||||
Sealed Air Corp., 6.88%, 07/15/33(b) |
182 | 240,240 | ||||||
|
|
|||||||
25,357,068 | ||||||||
Diversified Consumer Services 0.7% | ||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.(b) |
||||||||
6.63%, 07/15/26(e) |
5,419 | 5,778,280 | ||||||
9.75%, 07/15/27(e) |
1,642 | 1,789,780 | ||||||
Ascend Learning LLC, 6.88%, 08/01/25 |
1,611 | 1,656,785 |
Security |
Par (000) |
Value | ||||||
Diversified Consumer Services (continued) | ||||||||
Garda World Security Corp., 9.50%, 11/01/27(b) |
$ | 413 | $ | 457,397 | ||||
Service Corp. International |
||||||||
5.13%, 06/01/29 |
468 | 518,310 | ||||||
3.38%, 08/15/30 |
585 | 608,523 | ||||||
|
|
|||||||
10,809,075 | ||||||||
Diversified Financial Services 5.1% | ||||||||
Ally Financial, Inc., 8.00%, 11/01/31 |
3,727 | 5,470,751 | ||||||
Aviation Capital Group LLC, 6.75%, 04/06/21(b) |
7,850 | 7,955,088 | ||||||
Barclays PLC |
||||||||
4.84%, 05/09/28(e) |
4,000 | 4,610,325 | ||||||
(3 mo. LIBOR US + 1.90%),
4.97%,
|
3,220 | 3,862,751 | ||||||
Citigroup, Inc., 6.68%, 09/13/43(e) |
4,125 | 6,715,913 | ||||||
Credit Suisse Group AG, (5 year USD Swap + 4.60%), 7.50%(a)(b)(f) |
3,250 | 3,613,187 | ||||||
Deutsche Bank AG, New York, (Secured Overnight Financing Rate + 1.87%), 2.13%, 11/24/26(a) |
3,260 | 3,336,409 | ||||||
Doric Nimrod Air Alpha Pass-Through Trust,
|
913 | 852,749 | ||||||
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24(b)(g) |
315 | 281,155 | ||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(b) |
||||||||
5.25%, 03/15/22 |
480 | 482,400 | ||||||
4.25%, 02/01/27 |
178 | 174,885 | ||||||
Lloyds Banking Group PLC, 4.65%, 03/24/26(e) |
8,650 | 9,955,179 | ||||||
Natwest Group PLC |
||||||||
6.10%, 06/10/23 |
2,500 | 2,802,303 | ||||||
6.00%, 12/19/23(e) |
10,080 | 11,520,070 | ||||||
5.13%, 05/28/24(e) |
5,250 | 5,931,409 | ||||||
Spectrum Brands, Inc. |
||||||||
5.75%, 07/15/25 |
1,002 | 1,034,665 | ||||||
5.00%, 10/01/29(b) |
72 | 77,321 | ||||||
UniCredit SPA, (5 year CMT + 4.75%), 5.46%, 06/30/35(a)(b) |
6,135 | 6,750,571 | ||||||
|
|
|||||||
75,427,131 | ||||||||
Diversified Telecommunication Services 7.9% | ||||||||
AT&T, Inc. |
||||||||
4.65%, 06/01/44 |
28 | 33,629 | ||||||
4.35%, 06/15/45 |
95 | 109,761 | ||||||
3.50%, 09/15/53(b)(e) |
15,960 | 15,983,424 | ||||||
3.55%, 09/15/55(b) |
727 | 724,532 | ||||||
CenturyLink, Inc. |
||||||||
5.63%, 04/01/25(e) |
1,909 | 2,059,334 | ||||||
5.13%, 12/15/26(b) |
1,767 | 1,865,881 | ||||||
4.00%, 02/15/27(b) |
890 | 918,925 | ||||||
4.50%, 01/15/29(b) |
1,377 | 1,401,098 | ||||||
Series P, 7.60%, 09/15/39 |
684 | 831,060 | ||||||
Series S, 6.45%, 06/15/21 |
1,176 | 1,199,767 | ||||||
Series U, 7.65%, 03/15/42 |
1,481 | 1,792,010 | ||||||
Series Y, 7.50%, 04/01/24(e) |
564 | 638,730 | ||||||
Cincinnati Bell, Inc.(b) |
||||||||
7.00%, 07/15/24 |
222 | 230,880 | ||||||
8.00%, 10/15/25 |
132 | 140,745 | ||||||
Consolidated Communications, Inc., 6.50%, 10/01/28(b) |
1,313 | 1,404,910 | ||||||
Frontier Communications Corp.(b) |
||||||||
5.88%, 10/15/27 |
1,001 | 1,082,331 | ||||||
5.00%, 05/01/28 |
1,372 | 1,430,310 |
92 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Diversified Telecommunication Services (continued) | ||||||||
Frontier Communications Corp.(b) (continued) |
||||||||
6.75%, 05/01/29 |
$ | 984 | $ | 1,052,880 | ||||
Intelsat Jackson Holdings SA, 8.00%, 02/15/24(b) |
1,040 | 1,064,700 | ||||||
Level 3 Financing, Inc. |
||||||||
5.38%, 05/01/25 |
614 | 631,468 | ||||||
4.63%, 09/15/27(b) |
1,065 | 1,112,323 | ||||||
3.63%, 01/15/29(b) |
964 | 961,590 | ||||||
Sprint Capital Corp. |
||||||||
6.88%, 11/15/28 |
2,587 | 3,410,908 | ||||||
8.75%, 03/15/32 |
1,642 | 2,599,902 | ||||||
Switch Ltd., 3.75%, 09/15/28(b) |
688 | 698,320 | ||||||
Telecom Italia Capital SA |
||||||||
6.38%, 11/15/33 |
442 | 543,660 | ||||||
6.00%, 09/30/34 |
818 | 996,398 | ||||||
7.20%, 07/18/36 |
186 | 250,946 | ||||||
7.72%, 06/04/38 |
319 | 443,410 | ||||||
Telecom Italia SpA, 5.30%, 05/30/24(b) |
1,662 | 1,807,425 | ||||||
Telefonica Emisiones SAU, 5.21%, 03/08/47 |
5,000 | 6,409,053 | ||||||
Verizon Communications, Inc.(e) |
||||||||
5.15%, 09/15/23 |
8,775 | 9,888,033 | ||||||
6.40%, 09/15/33 |
9,475 | 13,449,177 | ||||||
6.55%, 09/15/43 |
13,225 | 21,257,376 | ||||||
5.01%, 04/15/49 |
6,998 | 9,700,771 | ||||||
Zayo Group Holdings, Inc.(b) |
||||||||
4.00%, 03/01/27 |
5,175 | 5,187,937 | ||||||
6.13%, 03/01/28 |
2,586 | 2,734,695 | ||||||
|
|
|||||||
116,048,299 | ||||||||
Electric Utilities 3.5% | ||||||||
Emera, Inc., Series 16-A, (3 mo. LIBOR US + 5.44%), 6.75%, 06/15/76(a) |
7,500 | 8,765,625 | ||||||
FirstEnergy Corp. |
||||||||
2.65%, 03/01/30 |
55 | 55,174 | ||||||
Series B, 3.90%, 07/15/27 |
204 | 224,868 | ||||||
Series B, 2.25%, 09/01/30 |
46 | 44,496 | ||||||
Series C, 4.85%, 07/15/47 |
987 | 1,228,317 | ||||||
Series C, 3.40%, 03/01/50 |
408 | 390,796 | ||||||
FirstEnergy Transmission LLC(b) |
||||||||
5.45%, 07/15/44 |
642 | 814,610 | ||||||
4.55%, 04/01/49 |
310 | 362,028 | ||||||
NextEra Energy Capital Holdings, Inc., (3 mo. LIBOR US + 2.41%), 4.80%, 12/01/77(a) |
5,000 | 5,475,000 | ||||||
NextEra Energy Operating Partners LP(b) |
||||||||
4.25%, 07/15/24 |
1,140 | 1,219,800 | ||||||
4.25%, 09/15/24 |
26 | 27,820 | ||||||
Oncor Electric Delivery Co. LLC, 5.30%, 06/01/42 |
2,750 | 3,930,557 | ||||||
PG&E Corp., 5.25%, 07/01/30 |
739 | 812,900 | ||||||
Pike Corp., 5.50%, 09/01/28(b) |
374 | 395,037 | ||||||
Progress Energy, Inc., 7.00%, 10/30/31(e) |
12,000 | 17,121,939 | ||||||
Puget Energy, Inc. |
||||||||
6.00%, 09/01/21 |
275 | 284,597 | ||||||
5.63%, 07/15/22(e) |
5,550 | 5,875,198 | ||||||
Sempra Energy, (5 year CMT +
4.55%),
|
4,375 | 4,675,781 | ||||||
|
|
|||||||
51,704,543 | ||||||||
Electrical Equipment(b) 0.1% | ||||||||
Gates Global LLC/Gates Corp., 6.25%,
|
714 | 749,700 | ||||||
GrafTech Finance, Inc., 4.63%, 12/15/28 |
296 | 299,330 | ||||||
|
|
|||||||
1,049,030 |
Security |
Par (000) |
Value | ||||||
Electronic Equipment, Instruments & Components 0.2% | ||||||||
BWX Technologies, Inc., 5.38%, 07/15/26(b) |
$ | 737 | $ | 765,559 | ||||
CDW LLC/CDW Finance Corp. |
||||||||
4.13%, 05/01/25 |
371 | 388,133 | ||||||
3.25%, 02/15/29 |
886 | 903,454 | ||||||
Energizer Holdings, Inc.(b) |
||||||||
4.75%, 06/15/28 |
450 | 473,625 | ||||||
4.38%, 03/31/29 |
41 | 42,456 | ||||||
|
|
|||||||
2,573,227 | ||||||||
Energy Equipment & Services 0.2% |
||||||||
Archrock Partners LP/Archrock Partners Finance Corp.(b) |
||||||||
6.88%, 04/01/27 |
515 | 554,269 | ||||||
6.25%, 04/01/28 |
449 | 467,391 | ||||||
USA Compression Partners LP/USA Compression Finance Corp. |
||||||||
6.88%, 04/01/26 |
655 | 684,475 | ||||||
6.88%, 09/01/27 |
1,101 | 1,175,405 | ||||||
|
|
|||||||
2,881,540 | ||||||||
Environmental, Maintenance, & Security Service 0.5% | ||||||||
Clean Harbors, Inc., 5.13%, 07/15/29(b) |
1,278 | 1,396,215 | ||||||
Covanta Holding Corp., 5.00%, 09/01/30 |
206 | 220,407 | ||||||
GFL Environmental, Inc.(b) |
||||||||
3.75%, 08/01/25 |
587 | 601,675 | ||||||
5.13%, 12/15/26(e) |
1,887 | 2,007,296 | ||||||
8.50%, 05/01/27(e) |
562 | 623,820 | ||||||
4.00%, 08/01/28 |
199 | 200,493 | ||||||
3.50%, 09/01/28 |
707 | 719,814 | ||||||
Tervita Corp., 11.00%, 12/01/25(b) |
246 | 264,706 | ||||||
Waste Pro USA, Inc., 5.50%, 02/15/26(b) |
1,010 | 1,032,725 | ||||||
|
|
|||||||
7,067,151 | ||||||||
Equity Real Estate Investment Trusts (REITs) 1.4% | ||||||||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 5.75%, 05/15/26(b) |
383 | 377,255 | ||||||
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27(b) |
596 | 614,468 | ||||||
Host Hotels & Resorts LP, Series D,
3.75%,
|
3,600 | 3,801,210 | ||||||
Iron Mountain, Inc.(b) |
||||||||
4.88%, 09/15/27 |
606 | 633,270 | ||||||
4.88%, 09/15/29 |
77 | 81,235 | ||||||
5.25%, 07/15/30 |
909 | 981,720 | ||||||
5.63%, 07/15/32 |
1,024 | 1,128,960 | ||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. |
||||||||
5.63%, 05/01/24 |
4,627 | 5,025,616 | ||||||
4.63%, 06/15/25(b) |
755 | 808,605 | ||||||
4.50%, 09/01/26 |
1,658 | 1,783,842 | ||||||
4.50%, 01/15/28 |
430 | 457,468 | ||||||
3.88%, 02/15/29(b) |
924 | 944,790 | ||||||
MPT Operating Partnership LP/MPT Finance Corp. |
||||||||
5.00%, 10/15/27 |
374 | 397,843 | ||||||
4.63%, 08/01/29 |
847 | 905,231 | ||||||
3.50%, 03/15/31 |
1,006 | 1,038,695 | ||||||
RHP Hotel Properties LP/RHP Finance Corp., 4.75%, 10/15/27 |
1,500 | 1,552,500 | ||||||
|
|
|||||||
20,532,708 |
S C H E D U L E O F I N V E S T M E N T S |
93 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Food & Staples Retailing 2.0% | ||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC |
||||||||
5.75%, 03/15/25 |
$ | 49 | $ | 50,470 | ||||
3.25%, 03/15/26(b) |
1,296 | 1,315,440 | ||||||
4.63%, 01/15/27(b) |
1,885 | 2,005,169 | ||||||
5.88%, 02/15/28(b) |
928 | 1,009,840 | ||||||
4.88%, 02/15/30(b) |
244 | 268,859 | ||||||
General Mills, Inc. |
||||||||
4.20%, 04/17/28 |
620 | 743,366 | ||||||
2.88%, 04/15/30 |
725 | 803,874 | ||||||
Kraft Heinz Foods Co. |
||||||||
4.25%, 03/01/31(b) |
1,627 | 1,814,199 | ||||||
5.00%, 07/15/35 |
297 | 360,036 | ||||||
7.13%, 08/01/39(b) |
4,415 | 6,321,018 | ||||||
4.63%, 10/01/39(b) |
100 | 111,655 | ||||||
5.00%, 06/04/42 |
12 | 14,079 | ||||||
5.20%, 07/15/45 |
9 | 10,702 | ||||||
4.38%, 06/01/46 |
219 | 236,946 | ||||||
4.88%, 10/01/49(b) |
551 | 642,809 | ||||||
5.50%, 06/01/50(b) |
2,794 | 3,519,748 | ||||||
Lamb Weston Holdings, Inc.,
4.88%,
|
734 | 819,328 | ||||||
Post Holdings, Inc.(b) |
||||||||
5.63%, 01/15/28 |
428 | 455,820 | ||||||
4.63%, 04/15/30 |
1,146 | 1,205,546 | ||||||
Walmart, Inc., 5.25%, 09/01/35(e) |
5,150 | 7,498,433 | ||||||
|
|
|||||||
29,207,337 | ||||||||
Food Products(b) 0.6% | ||||||||
Aramark Services, Inc. |
||||||||
5.00%, 04/01/25 |
1,367 | 1,408,010 | ||||||
6.38%, 05/01/25 |
1,038 | 1,109,362 | ||||||
5.00%, 02/01/28 |
929 | 978,934 | ||||||
Chobani LLC/Chobani Finance Corp., Inc., 7.50%, 04/15/25 |
246 | 257,956 | ||||||
JBS USA LUX SA/JBS USA Finance, Inc. |
||||||||
5.75%, 06/15/25 |
2,093 | 2,159,453 | ||||||
6.75%, 02/15/28 |
399 | 446,506 | ||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 6.50%, 04/15/29 |
1,826 | 2,125,646 | ||||||
Simmons Foods, Inc., 7.75%, 01/15/24 |
395 | 411,294 | ||||||
|
|
|||||||
8,897,161 | ||||||||
Health Care Equipment & Supplies 0.3% | ||||||||
Avantor Funding, Inc., 4.63%, 07/15/28(b) |
2,351 | 2,486,182 | ||||||
Hologic, Inc.(b) |
||||||||
4.63%, 02/01/28 |
226 | 239,843 | ||||||
3.25%, 02/15/29 |
327 | 332,722 | ||||||
Medtronic, Inc., 4.63%, 03/15/45(e) |
647 | 917,947 | ||||||
|
|
|||||||
3,976,694 | ||||||||
Health Care Providers & Services 4.7% | ||||||||
Aetna, Inc., 3.88%, 08/15/47 |
3,500 | 4,174,358 | ||||||
AHP Health Partners, Inc., 9.75%, 07/15/26(b) |
860 | 949,225 | ||||||
Anthem, Inc., 4.55%, 03/01/48(e) |
5,000 | 6,660,739 | ||||||
Centene Corp. |
||||||||
5.38%, 08/15/26(b) |
1,231 | 1,300,244 | ||||||
4.25%, 12/15/27 |
1,849 | 1,959,940 | ||||||
4.63%, 12/15/29 |
3,232 | 3,588,199 | ||||||
3.00%, 10/15/30 |
934 | 989,947 | ||||||
CHS/Community Health Systems, Inc.(b) |
||||||||
8.63%, 01/15/24 |
1,343 | 1,400,077 | ||||||
6.63%, 02/15/25 |
2,109 | 2,219,680 |
Security |
Par (000) |
Value | ||||||
Health Care Providers & Services (continued) | ||||||||
CHS/Community Health Systems, Inc.(b) (continued) |
|
|||||||
8.00%, 03/15/26 |
$ | 1,716 | $ | 1,848,990 | ||||
5.63%, 03/15/27 |
1,705 | 1,833,301 | ||||||
6.00%, 01/15/29 |
1,241 | 1,340,603 | ||||||
HCA, Inc. |
||||||||
5.38%, 09/01/26 |
665 | 764,351 | ||||||
5.63%, 09/01/28 |
1,297 | 1,530,460 | ||||||
5.88%, 02/01/29 |
312 | 375,486 | ||||||
3.50%, 09/01/30 |
1,798 | 1,910,512 | ||||||
5.25%, 06/15/49 |
3,500 | 4,622,786 | ||||||
Legacy LifePoint Health LLC(b) |
||||||||
6.75%, 04/15/25 |
409 | 439,188 | ||||||
4.38%, 02/15/27 |
491 | 491,614 | ||||||
LifePoint Health, Inc., 5.38%, 01/15/29(b) |
330 | 329,291 | ||||||
Molina Healthcare, Inc.(b) |
||||||||
4.38%, 06/15/28 |
568 | 597,820 | ||||||
3.88%, 11/15/30 |
496 | 531,960 | ||||||
Providence Service Corp., 5.88%, 11/15/25(b) |
152 | 160,740 | ||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/01/26(b) |
72 | 79,200 | ||||||
Surgery Center Holdings, Inc.(b) |
||||||||
6.75%, 07/01/25 |
375 | 381,562 | ||||||
10.00%, 04/15/27 |
887 | 980,135 | ||||||
Teleflex, Inc., 4.25%, 06/01/28(b) |
748 | 792,880 | ||||||
Tenet Healthcare Corp. |
||||||||
4.63%, 07/15/24 |
1,145 | 1,173,648 | ||||||
4.63%, 09/01/24(b) |
882 | 910,665 | ||||||
7.50%, 04/01/25(b) |
367 | 400,947 | ||||||
4.88%, 01/01/26(b)(e) |
4,187 | 4,380,063 | ||||||
6.25%, 02/01/27(b) |
297 | 314,820 | ||||||
5.13%, 11/01/27(b) |
2,318 | 2,454,182 | ||||||
4.63%, 06/15/28(b) |
37 | 38,758 | ||||||
6.13%, 10/01/28(b) |
940 | 979,461 | ||||||
UnitedHealth Group, Inc., 6.88%, 02/15/38(e) |
10,000 | 16,383,016 | ||||||
|
|
|||||||
69,288,848 | ||||||||
Health Care Technology(b) 0.4% | ||||||||
Catalent Pharma Solutions, Inc., 5.00%, 07/15/27 |
733 | 774,150 | ||||||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25 |
650 | 663,000 | ||||||
Charles River Laboratories International, Inc. |
||||||||
5.50%, 04/01/26 |
457 | 478,662 | ||||||
4.25%, 05/01/28 |
324 | 339,390 | ||||||
IQVIA, Inc. |
||||||||
5.00%, 10/15/26 |
554 | 578,930 | ||||||
5.00%, 05/15/27 |
1,192 | 1,267,126 | ||||||
Mednax, Inc. |
||||||||
5.25%, 12/01/23 |
323 | 326,973 | ||||||
6.25%, 01/15/27 |
426 | 456,868 | ||||||
Syneos Health, Inc., 3.63%, 01/15/29 |
1,446 | 1,449,998 | ||||||
|
|
|||||||
6,335,097 | ||||||||
Hotels, Restaurants & Leisure 2.6% | ||||||||
1011778 BC ULC/New Red Finance, Inc.(b) |
||||||||
5.75%, 04/15/25 |
552 | 590,640 | ||||||
3.88%, 01/15/28 |
1,559 | 1,583,585 | ||||||
4.38%, 01/15/28 |
2,509 | 2,584,270 | ||||||
3.50%, 02/15/29 |
130 | 129,838 | ||||||
Boyd Gaming Corp. |
||||||||
8.63%, 06/01/25(b) |
169 | 187,960 | ||||||
6.38%, 04/01/26 |
505 | 524,599 | ||||||
6.00%, 08/15/26 |
330 | 342,375 |
94 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Hotels, Restaurants & Leisure (continued) | ||||||||
Boyd Gaming Corp. (continued) |
||||||||
4.75%, 12/01/27 |
$ | 393 | $ | 408,229 | ||||
Caesars Entertainment, Inc.(b) |
||||||||
6.25%, 07/01/25 |
3,215 | 3,423,975 | ||||||
8.13%, 07/01/27 |
2,296 | 2,541,724 | ||||||
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25(b) |
1,048 | 1,110,437 | ||||||
Cedar Fair LP/Canadas Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 05/01/25(b) |
1,111 | 1,158,217 | ||||||
Churchill Downs, Inc.(b) |
||||||||
5.50%, 04/01/27 |
2,042 | 2,161,967 | ||||||
4.75%, 01/15/28 |
282 | 296,805 | ||||||
Golden Nugget, Inc., 6.75%, 10/15/24(b) |
1,269 | 1,259,889 | ||||||
Hilton Domestic Operating Co., Inc. |
||||||||
5.38%, 05/01/25(b) |
319 | 338,938 | ||||||
5.13%, 05/01/26 |
1,327 | 1,370,127 | ||||||
5.75%, 05/01/28(b) |
451 | 490,463 | ||||||
4.88%, 01/15/30 |
1,909 | 2,085,582 | ||||||
4.00%, 05/01/31(b) |
886 | 934,827 | ||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC,
|
399 | 413,963 | ||||||
Las Vegas Sands Corp. |
||||||||
3.50%, 08/18/26 |
96 | 102,729 | ||||||
3.90%, 08/08/29 |
88 | 94,639 | ||||||
Marriott International, Inc., Series EE,
|
1,295 | 1,514,763 | ||||||
Marriott Ownership Resorts, Inc./ILG LLC,
|
186 | 194,370 | ||||||
McDonalds Corp., 4.20%, 04/01/50(e) |
480 | 617,082 | ||||||
MGM Resorts International |
||||||||
7.75%, 03/15/22 |
1,059 | 1,127,835 | ||||||
6.00%, 03/15/23 |
1,335 | 1,433,456 | ||||||
Scientific Games International, Inc.(b) |
||||||||
8.63%, 07/01/25 |
442 | 483,990 | ||||||
5.00%, 10/15/25 |
270 | 278,610 | ||||||
8.25%, 03/15/26 |
2,063 | 2,223,089 | ||||||
7.00%, 05/15/28 |
451 | 484,920 | ||||||
7.25%, 11/15/29 |
218 | 239,255 | ||||||
Six Flags Theme Parks, Inc.,
7.00%,
|
1,648 | 1,779,840 | ||||||
Vail Resorts, Inc., 6.25%, 05/15/25(b) |
341 | 364,018 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27(b) |
602 | 620,512 | ||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29(b) |
1,298 | 1,359,655 | ||||||
Yum! Brands, Inc. |
||||||||
7.75%, 04/01/25(b) |
802 | 888,215 | ||||||
4.75%, 01/15/30(b) |
246 | 269,739 | ||||||
3.63%, 03/15/31 |
281 | 284,043 | ||||||
|
|
|||||||
38,299,170 | ||||||||
Household Durables 0.4% | ||||||||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp., 4.88%, 02/15/30(b) |
770 | 795,987 | ||||||
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25(b) |
507 | 541,856 | ||||||
Lennar Corp. |
||||||||
4.75%, 11/15/22 |
1,605 | 1,693,275 | ||||||
4.75%, 05/30/25 |
2 | 2,285 | ||||||
5.25%, 06/01/26 |
890 | 1,054,650 | ||||||
Mattamy Group Corp., 4.63%, 03/01/30(b) |
524 | 555,440 |
Security |
Par (000) |
Value | ||||||
Household Durables (continued) | ||||||||
MDC Holdings, Inc., 6.00%, 01/15/43 |
$ | 345 | $ | 462,488 | ||||
NCR Corp.(b) |
||||||||
5.75%, 09/01/27 |
512 | 544,000 | ||||||
5.00%, 10/01/28 |
241 | 254,255 | ||||||
6.13%, 09/01/29 |
175 | 193,813 | ||||||
5.25%, 10/01/30 |
245 | 262,763 | ||||||
PulteGroup, Inc. |
||||||||
5.00%, 01/15/27 |
106 | 125,080 | ||||||
7.88%, 06/15/32 |
56 | 83,790 | ||||||
Toll Brothers Finance Corp., 4.35%, 02/15/28 |
35 | 38,850 | ||||||
|
|
|||||||
6,608,532 | ||||||||
Household Products 0.0% | ||||||||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., 5.00%, 12/31/26(b) |
157 | 163,784 | ||||||
|
|
|||||||
Independent Power and Renewable Electricity Producers 0.9% | ||||||||
Calpine Corp.(b) |
||||||||
5.25%, 06/01/26 |
906 | 937,257 | ||||||
4.50%, 02/15/28 |
1,386 | 1,441,440 | ||||||
5.13%, 03/15/28 |
3,279 | 3,449,410 | ||||||
4.63%, 02/01/29 |
500 | 514,140 | ||||||
5.00%, 02/01/31 |
546 | 570,570 | ||||||
3.75%, 03/01/31 |
525 | 519,923 | ||||||
Clearway Energy Operating LLC |
||||||||
5.75%, 10/15/25 |
545 | 573,612 | ||||||
4.75%, 03/15/28(b) |
630 | 675,675 | ||||||
NRG Energy, Inc. |
||||||||
6.63%, 01/15/27 |
2,029 | 2,142,705 | ||||||
5.75%, 01/15/28 |
52 | 56,810 | ||||||
5.25%, 06/15/29(b) |
960 | 1,056,000 | ||||||
3.63%, 02/15/31(b) |
860 | 884,768 | ||||||
TerraForm Power Operating LLC(b) |
||||||||
4.25%, 01/31/23 |
214 | 221,223 | ||||||
5.00%, 01/31/28 |
231 | 259,563 | ||||||
4.75%, 01/15/30 |
127 | 135,890 | ||||||
|
|
|||||||
13,438,986 | ||||||||
Insurance 3.8% | ||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(b) |
2,837 | 3,035,590 | ||||||
American International Group, Inc., (3 mo. LIBOR US + 4.20%), 8.18%, 05/15/58(a) |
3,755 | 5,501,484 | ||||||
AmWINS Group, Inc., 7.75%, 07/01/26(b) |
167 | 179,341 | ||||||
Aon PLC, 4.25%, 12/12/42(e) |
6,500 | 7,826,348 | ||||||
AssuredPartners, Inc., 5.63%, 01/15/29(b) |
581 | 606,419 | ||||||
Farmers Exchange Capital II, (3 mo. LIBOR US + 3.74%), 6.15%, 11/01/53(a)(b) |
4,890 | 6,185,030 | ||||||
Global Atlantic Fin Co., 8.63%, 04/15/21(b)(e) |
3,400 | 3,457,200 | ||||||
HUB International Ltd., 7.00%, 05/01/26(b) |
1,724 | 1,802,942 | ||||||
Northwestern Mutual Life Insurance Co., 6.06%, 03/30/40(b)(e) |
12,000 | 17,455,324 | ||||||
Principal Financial Group, Inc., (3 mo. LIBOR US + 3.04%), 3.27%, 05/15/55(a) |
5,000 | 4,800,000 | ||||||
Progressive Corp., Series B, (3 mo. LIBOR US + 2.54%), 5.38%(a)(f) |
5,000 | 5,212,500 | ||||||
|
|
|||||||
56,062,178 | ||||||||
Interactive Media & Services 0.4% |
||||||||
Cablevision Lightpath LLC(b) |
||||||||
3.88%, 09/15/27 |
368 | 370,300 |
S C H E D U L E O F I N V E S T M E N T S |
95 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Interactive Media & Services (continued) | ||||||||
Cablevision Lightpath LLC(b) (continued) |
||||||||
5.63%, 09/15/28 |
$ | 540 | $ | 564,975 | ||||
Netflix, Inc. |
||||||||
3.63%, 06/15/25(b) |
210 | 224,855 | ||||||
5.88%, 11/15/28 |
1,698 | 2,035,478 | ||||||
5.38%, 11/15/29(b) |
1,934 | 2,279,702 | ||||||
4.88%, 06/15/30(b) |
387 | 445,050 | ||||||
Twitter, Inc., 3.88%, 12/15/27(b) |
299 | 318,435 | ||||||
|
|
|||||||
6,238,795 | ||||||||
Internet Software & Services 1.2% | ||||||||
Booking Holdings, Inc. |
||||||||
3.55%, 03/15/28 |
3,375 | 3,887,269 | ||||||
4.63%, 04/13/30 |
2,185 | 2,715,036 | ||||||
Expedia Group, Inc., 6.25%, 05/01/25(b)(e) |
5,550 | 6,433,008 | ||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc., 5.25%, 12/01/27(b) |
370 | 389,425 | ||||||
Match Group Holdings II LLC, 4.13%, 08/01/30(b) |
517 | 537,680 | ||||||
Uber Technologies, Inc.(b) |
||||||||
7.50%, 05/15/25 |
1,590 | 1,717,550 | ||||||
8.00%, 11/01/26 |
347 | 378,705 | ||||||
7.50%, 09/15/27 |
1,639 | 1,802,900 | ||||||
6.25%, 01/15/28 |
440 | 478,500 | ||||||
|
|
|||||||
18,340,073 | ||||||||
IT Services 1.1% | ||||||||
Banff Merger Sub, Inc., 9.75%, 09/01/26(b) |
2,752 | 2,972,573 | ||||||
Booz Allen Hamilton, Inc., 3.88%, 09/01/28(b) |
735 | 757,050 | ||||||
Camelot Finance SA, 4.50%, 11/01/26(b) |
1,377 | 1,437,244 | ||||||
Dun & Bradstreet Corp.(b) |
||||||||
6.88%, 08/15/26 |
1,210 | 1,300,750 | ||||||
10.25%, 02/15/27 |
822 | 926,805 | ||||||
Fidelity National Information Services, Inc., 5.00%, 10/15/25 |
538 | 637,438 | ||||||
Gartner, Inc.(b) |
||||||||
4.50%, 07/01/28 |
587 | 619,285 | ||||||
3.75%, 10/01/30 |
940 | 990,534 | ||||||
Leidos, Inc., 4.38%, 05/15/30(b) |
2,215 | 2,652,352 | ||||||
Presidio Holdings, Inc., 4.88%, 02/01/27(b) |
379 | 402,035 | ||||||
Rackspace Technology Global, Inc., 5.38%, 12/01/28(b) |
920 | 963,884 | ||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 06/01/25(b) |
2,026 | 2,093,972 | ||||||
|
|
|||||||
15,753,922 | ||||||||
Leisure Products 0.2% | ||||||||
Mattel, Inc. |
||||||||
6.75%, 12/31/25(b)(e) |
886 | 935,146 | ||||||
5.88%, 12/15/27(b) |
503 | 558,959 | ||||||
6.20%, 10/01/40 |
227 | 265,023 | ||||||
5.45%, 11/01/41 |
460 | 506,161 | ||||||
|
|
|||||||
2,265,289 | ||||||||
Machinery(b) 0.4% | ||||||||
Colfax Corp. |
||||||||
6.00%, 02/15/24 |
734 | 760,622 | ||||||
6.38%, 02/15/26 |
894 | 954,345 | ||||||
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(g) |
74 | 80,475 | ||||||
RBS Global, Inc./Rexnord LLC, 4.88%, 12/15/25 |
878 | 894,463 |
Security |
Par (000) |
Value | ||||||
Machinery (continued) |
|
|||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26 |
$ | 1,307 | $ | 1,359,280 | ||||
Vertical Holdco GmbH, 7.63%, 07/15/28 |
664 | 723,760 | ||||||
Vertical US Newco, Inc., 5.25%, 07/15/27 |
1,547 | 1,639,820 | ||||||
|
|
|||||||
6,412,765 | ||||||||
Media 9.2% | ||||||||
Altice Financing SA(b) |
||||||||
7.50%, 05/15/26 |
2,172 | 2,292,112 | ||||||
5.00%, 01/15/28 |
863 | 884,260 | ||||||
Altice France Holding SA(b) |
||||||||
10.50%, 05/15/27 |
4,698 | 5,273,505 | ||||||
6.00%, 02/15/28 |
734 | 743,175 | ||||||
Cable One, Inc., 4.00%, 11/15/30(b) |
525 | 545,344 | ||||||
CCO Holdings LLC/CCO Holdings
Capital
|
||||||||
5.13%, 05/01/27(e) |
3,132 | 3,323,647 | ||||||
5.00%, 02/01/28 |
162 | 171,315 | ||||||
5.38%, 06/01/29 |
1,823 | 1,998,464 | ||||||
4.75%, 03/01/30 |
313 | 337,727 | ||||||
4.50%, 08/15/30 |
3,937 | 4,178,141 | ||||||
4.25%, 02/01/31 |
1,913 | 2,016,034 | ||||||
4.50%, 05/01/32 |
3,027 | 3,231,988 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital |
||||||||
6.38%, 10/23/35 |
479 | 656,253 | ||||||
6.48%, 10/23/45(e) |
9,584 | 13,556,180 | ||||||
5.38%, 05/01/47 |
1,500 | 1,872,158 | ||||||
6.83%, 10/23/55 |
3,540 | 5,369,048 | ||||||
Clear Channel Worldwide Holdings, Inc. |
||||||||
9.25%, 02/15/24 |
1,258 | 1,273,725 | ||||||
5.13%, 08/15/27(b)(e) |
6,446 | 6,510,460 | ||||||
Comcast Corp. |
||||||||
3.75%, 04/01/40 |
545 | 658,374 | ||||||
4.95%, 10/15/58 |
3,795 | 5,761,802 | ||||||
Connect Finco Sarl/Connect US Finco LLC, 6.75%, 10/01/26(b)(e) |
5,388 | 5,803,954 | ||||||
Cox Communications, Inc., 8.38%, 03/01/39(b) |
5,000 | 8,612,414 | ||||||
CSC Holdings LLC |
||||||||
5.25%, 06/01/24 |
1,061 | 1,148,426 | ||||||
5.38%, 02/01/28(b) |
336 | 358,680 | ||||||
7.50%, 04/01/28(b) |
877 | 986,625 | ||||||
5.75%, 01/15/30(b) |
406 | 445,077 | ||||||
4.13%, 12/01/30(b) |
880 | 920,128 | ||||||
4.63%, 12/01/30(b) |
3,854 | 4,022,612 | ||||||
3.38%, 02/15/31(b) |
1,036 | 1,016,575 | ||||||
Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 08/15/26(b) |
1,332 | 1,082,250 | ||||||
Discovery Communications LLC, 4.88%, 04/01/43 |
4,000 | 4,953,005 | ||||||
DISH DBS Corp. |
||||||||
5.88%, 07/15/22 |
2,545 | 2,659,525 | ||||||
5.88%, 11/15/24 |
164 | 171,960 | ||||||
7.75%, 07/01/26 |
2,123 | 2,377,781 | ||||||
Fox Corp., 3.05%, 04/07/25 |
475 | 518,324 | ||||||
Gray Television, Inc., 7.00%, 05/15/27(b) |
415 | 454,425 | ||||||
Hughes Satellite Systems Corp., 5.25%, 08/01/26 |
351 | 387,416 | ||||||
iHeartCommunications, Inc. |
||||||||
6.38%, 05/01/26 |
370 | 395,881 | ||||||
5.25%, 08/15/27(b) |
376 | 394,800 | ||||||
4.75%, 01/15/28(b) |
184 | 188,830 |
96 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Media (continued) | ||||||||
Lamar Media Corp. |
||||||||
5.75%, 02/01/26 |
$ | 282 | $ | 290,813 | ||||
4.00%, 02/15/30 |
307 | 318,513 | ||||||
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(b) |
1,155 | 1,243,069 | ||||||
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(b)(g) |
707 | 685,790 | ||||||
Lions Gate Capital Holdings LLC, 6.38%, 02/01/24(b) |
253 | 259,325 | ||||||
Live Nation Entertainment, Inc.(b) |
||||||||
4.88%, 11/01/24 |
136 | 137,700 | ||||||
6.50%, 05/15/27 |
2,164 | 2,420,477 | ||||||
4.75%, 10/15/27 |
391 | 400,744 | ||||||
3.75%, 01/15/28(d) |
411 | 415,274 | ||||||
Meredith Corp., 6.88%, 02/01/26 |
144 | 140,400 | ||||||
Outfront Media Capital LLC/Outfront Media Capital Corp., 5.00%, 08/15/27(b) |
920 | 936,100 | ||||||
Radiate Holdco LLC/Radiate Finance, Inc.(b) |
||||||||
4.50%, 09/15/26 |
1,356 | 1,398,375 | ||||||
6.50%, 09/15/28 |
2,880 | 3,034,800 | ||||||
Scripps Escrow II, Inc.(b) |
||||||||
3.88%, 01/15/29 |
205 | 213,049 | ||||||
5.38%, 01/15/31 |
367 | 382,598 | ||||||
Sinclair Television Group, Inc., 4.13%, 12/01/30(b) |
960 | 982,301 | ||||||
Sirius XM Radio, Inc.(b) |
||||||||
5.00%, 08/01/27 |
626 | 665,131 | ||||||
5.50%, 07/01/29 |
1,669 | 1,836,422 | ||||||
4.13%, 07/01/30 |
415 | 441,716 | ||||||
Telenet Finance Luxembourg Notes Sarl, 5.50%, 03/01/28(b) |
1,000 | 1,066,500 | ||||||
Telesat Canada/Telesat LLC, 4.88%, 06/01/27(b) |
1,566 | 1,620,810 | ||||||
Time Warner Cable LLC, 6.55%, 05/01/37 |
3,519 | 4,830,607 | ||||||
ViacomCBS, Inc. |
||||||||
5.85%, 09/01/43 |
1,300 | 1,808,321 | ||||||
(3 mo. LIBOR US + 3.90%), 5.88%, 02/28/57(a) |
2,111 | 2,190,162 | ||||||
Videotron Ltd., 5.13%, 04/15/27(b) |
999 | 1,060,189 | ||||||
Virgin Media Secured Finance PLC(b) |
||||||||
5.50%, 08/15/26 |
487 | 505,871 | ||||||
5.50%, 05/15/29 |
1,761 | 1,908,484 | ||||||
4.50%, 08/15/30 |
754 | 787,930 | ||||||
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28(b) |
1,652 | 1,718,080 | ||||||
WMG Acquisition Corp.(b) |
||||||||
3.88%, 07/15/30 |
336 | 357,091 | ||||||
3.00%, 02/15/31 |
147 | 144,060 | ||||||
Ziggo Bond Co. BV, 6.00%, 01/15/27(b) |
955 | 1,009,215 | ||||||
Ziggo BV(b) |
||||||||
5.50%, 01/15/27 |
874 | 912,237 | ||||||
4.88%, 01/15/30 |
682 | 716,952 | ||||||
|
|
|||||||
134,391,506 | ||||||||
Metals & Mining 2.5% | ||||||||
Allegheny Technologies, Inc., 7.88%, 08/15/23 |
286 | 312,981 | ||||||
AngloGold Ashanti Holdings PLC, 5.13%, 08/01/22 |
5,000 | 5,259,375 | ||||||
Arconic Corp.(b) |
||||||||
6.00%, 05/15/25 |
705 | 752,588 | ||||||
6.13%, 02/15/28 |
552 | 595,125 | ||||||
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(b) |
2,181 | 2,355,480 | ||||||
Commercial Metals Co., 4.88%, 05/15/23(e) |
2,194 | 2,309,185 | ||||||
Constellium SE(b) |
||||||||
6.63%, 03/01/25(e) |
609 | 621,941 |
Security |
Par (000) |
Value | ||||||
Metals & Mining (continued) | ||||||||
Constellium SE(b) (continued) |
||||||||
5.88%, 02/15/26 |
$ | 1,701 | $ | 1,752,030 | ||||
Freeport-McMoRan, Inc. |
||||||||
4.38%, 08/01/28 |
887 | 942,438 | ||||||
4.63%, 08/01/30 |
1,131 | 1,241,273 | ||||||
5.40%, 11/14/34 |
2,250 | 2,815,312 | ||||||
5.45%, 03/15/43 |
2,707 | 3,370,215 | ||||||
Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23(b) |
817 | 829,255 | ||||||
Kaiser Aluminum Corp., 4.63%, 03/01/28(b) |
704 | 730,400 | ||||||
New Gold, Inc., 7.50%, 07/15/27(b) |
1,190 | 1,314,950 | ||||||
Novelis Corp.(b) |
||||||||
5.88%, 09/30/26 |
1,876 | 1,960,420 | ||||||
4.75%, 01/30/30 |
2,718 | 2,928,278 | ||||||
Southern Copper Corp., 5.88%, 04/23/45 |
3,870 | 5,589,731 | ||||||
Steel Dynamics, Inc., 3.25%, 10/15/50 |
1,145 | 1,195,865 | ||||||
|
|
|||||||
36,876,842 | ||||||||
Multi-line Retail 0.0% | ||||||||
Nordstrom, Inc., 8.75%, 05/15/25(b) |
297 | 332,655 | ||||||
|
|
|||||||
Multi-Utilities 0.2% | ||||||||
NiSource, Inc., 3.60%, 05/01/30 |
2,200 | 2,545,782 | ||||||
|
|
|||||||
Offshore Drilling & Other Services 0.1% | ||||||||
Lam Research Corp., 4.88%, 03/15/49 |
875 | 1,264,779 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 16.1% | ||||||||
Aker BP ASA(b) |
||||||||
4.75%, 06/15/24 |
1,169 | 1,209,434 | ||||||
5.88%, 03/31/25 |
570 | 590,468 | ||||||
Apache Corp., 4.88%, 11/15/27 |
470 | 498,200 | ||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 9.00%, 11/01/27(b) |
576 | 639,360 | ||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.63%, 12/15/25(b) |
367 | 390,855 | ||||||
Brand Industrial Services, Inc.,
8.50%,
|
984 | 1,004,910 | ||||||
Buckeye Partners LP |
||||||||
4.13%, 03/01/25(b) |
594 | 601,425 | ||||||
4.50%, 03/01/28(b) |
821 | 845,630 | ||||||
5.85%, 11/15/43 |
383 | 376,849 | ||||||
5.60%, 10/15/44 |
376 | 361,430 | ||||||
Cenovus Energy, Inc. |
||||||||
3.00%, 08/15/22 |
183 | 186,993 | ||||||
3.80%, 09/15/23 |
104 | 108,028 | ||||||
5.38%, 07/15/25 |
1,186 | 1,337,156 | ||||||
5.40%, 06/15/47 |
77 | 90,391 | ||||||
Cheniere Energy Partners LP |
||||||||
5.63%, 10/01/26 |
380 | 395,200 | ||||||
4.50%, 10/01/29 |
1,206 | 1,275,683 | ||||||
Cheniere Energy, Inc., 4.63%, 10/15/28(b) |
2,872 | 3,015,600 | ||||||
Cimarex Energy Co., 4.38%, 06/01/24 |
38 | 41,446 | ||||||
CNOOC Petroleum North America ULC, 6.40%, 05/15/37 |
2,000 | 2,746,875 | ||||||
CNX Resources Corp., 7.25%, 03/14/27(b) |
478 | 511,460 | ||||||
Comstock Resources, Inc. |
||||||||
7.50%, 05/15/25(b) |
569 | 582,992 | ||||||
9.75%, 08/15/26 |
724 | 780,110 | ||||||
Concho Resources, Inc., 4.88%, 10/01/47 |
3,815 | 5,158,771 | ||||||
Continental Resources, Inc. |
||||||||
5.75%, 01/15/31(b) |
534 | 592,729 | ||||||
4.90%, 06/01/44 |
3,500 | 3,461,535 |
S C H E D U L E O F I N V E S T M E N T S |
97 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 5.63%,
|
$ | 567 | $ | 561,330 | ||||
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(b) |
2,479 | 2,531,629 | ||||||
CVR Energy, Inc.(b) |
||||||||
5.25%, 02/15/25 |
336 | 324,240 | ||||||
5.75%, 02/15/28 |
175 | 165,813 | ||||||
DCP Midstream Operating LP |
||||||||
5.38%, 07/15/25 |
120 | 131,858 | ||||||
5.63%, 07/15/27 |
438 | 486,180 | ||||||
5.13%, 05/15/29 |
48 | 53,238 | ||||||
6.45%, 11/03/36(b) |
247 | 266,760 | ||||||
6.75%, 09/15/37(b) |
1,527 | 1,649,160 | ||||||
Diamondback Energy, Inc. |
||||||||
4.75%, 05/31/25 |
2,170 | 2,442,962 | ||||||
3.50%, 12/01/29 |
692 | 739,274 | ||||||
Double Eagle III Midco 1 LLC/Double Eagle Finance Corp., 7.75%, 12/15/25(b) |
571 | 605,477 | ||||||
eG Global Finance PLC(b) |
||||||||
6.75%, 02/07/25 |
503 | 518,090 | ||||||
8.50%, 10/30/25 |
787 | 838,155 | ||||||
El Paso Natural Gas Co. LLC, 8.63%, 01/15/22 |
2,345 | 2,536,394 | ||||||
Enbridge, Inc.(a) |
||||||||
(3 mo. LIBOR US + 3.64%), 6.25%, 03/01/78 |
5,000 | 5,468,363 | ||||||
Series 16-A, (3 mo. LIBOR US + 3.89%), 6.00%, 01/15/77 |
5,880 | 6,276,900 | ||||||
Endeavor Energy Resources LP/EER Finance, Inc.(b) |
||||||||
6.63%, 07/15/25 |
322 | 344,540 | ||||||
5.50%, 01/30/26 |
2,136 | 2,191,856 | ||||||
5.75%, 01/30/28 |
518 | 558,767 | ||||||
Energy Transfer Operating LP |
||||||||
5.20%, 02/01/22(e) |
10,200 | 10,579,664 | ||||||
4.25%, 03/15/23 |
553 | 587,649 | ||||||
5.88%, 01/15/24(e) |
3,366 | 3,783,671 | ||||||
5.50%, 06/01/27 |
406 | 477,861 | ||||||
6.13%, 12/15/45 |
3,579 | 4,227,862 | ||||||
Series B, (3 mo. LIBOR US + 4.16%), 6.63%(a)(f) |
5,000 | 4,225,000 | ||||||
EnLink Midstream LLC |
||||||||
5.63%, 01/15/28(b) |
380 | 387,676 | ||||||
5.38%, 06/01/29 |
188 | 182,830 | ||||||
EnLink Midstream Partners LP |
||||||||
4.40%, 04/01/24 |
613 | 604,890 | ||||||
4.15%, 06/01/25 |
48 | 46,800 | ||||||
4.85%, 07/15/26 |
64 | 62,486 | ||||||
5.60%, 04/01/44 |
523 | 419,708 | ||||||
5.05%, 04/01/45 |
161 | 128,299 | ||||||
Enterprise Products Operating LLC 4.90%, 05/15/46(e) |
5,375 | 6,841,299 | ||||||
Series E, (3 mo. LIBOR US + 3.03%), 5.25%, 08/16/77(a) |
4,800 | 4,866,569 | ||||||
EOG Resources, Inc., 4.38%, 04/15/30 |
2,965 | 3,603,531 | ||||||
EQM Midstream Partners LP, 4.13%, 12/01/26 |
226 | 227,695 | ||||||
EQT Corp. |
||||||||
3.90%, 10/01/27 |
791 | 785,819 | ||||||
8.75%, 02/01/30 |
374 | 458,150 | ||||||
Extraction Oil & Gas, Inc.(b)(h)(i) |
||||||||
7.38%, 05/15/24 |
718 | 129,240 | ||||||
5.63%, 02/01/26 |
1,546 | 278,280 | ||||||
Exxon Mobil Corp., 3.45%, 04/15/51 |
3,890 | 4,445,834 | ||||||
Genesis Energy LP/Genesis Energy Finance Corp., 7.75%, 02/01/28 |
293 | 280,548 |
Security |
Par (000) |
Value | ||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||
Harvest Midstream I LP, 7.50%, 09/01/28(b) |
$ | 660 | $ | 702,075 | ||||
Hess Corp., 5.80%, 04/01/47 |
5,000 | 6,361,834 | ||||||
Hess Midstream Operations LP, 5.63%, 02/15/26(b) |
402 | 418,080 | ||||||
Indigo Natural Resources LLC,
6.88%,
|
1,150 | 1,175,875 | ||||||
Kinder Morgan, Inc. |
||||||||
7.80%, 08/01/31 |
197 | 281,331 | ||||||
7.75%, 01/15/32(e) |
4,586 | 6,629,937 | ||||||
Marathon Petroleum Corp. |
||||||||
4.75%, 12/15/23 |
1,230 | 1,361,618 | ||||||
4.70%, 05/01/25 |
4,280 | 4,902,976 | ||||||
5.13%, 12/15/26 |
937 | 1,116,883 | ||||||
Matador Resources Co., 5.88%, 09/15/26 |
1,218 | 1,193,640 | ||||||
MEG Energy Corp.(b) |
||||||||
7.00%, 03/31/24 |
130 | 131,300 | ||||||
6.50%, 01/15/25 |
1,486 | 1,530,654 | ||||||
MPLX LP |
||||||||
4.13%, 03/01/27 |
825 | 951,501 | ||||||
5.20%, 03/01/47 |
3,500 | 4,257,663 | ||||||
4.70%, 04/15/48(e) |
5,000 | 5,929,399 | ||||||
5.50%, 02/15/49 |
2,640 | 3,476,386 | ||||||
Murphy Oil Corp. |
||||||||
5.75%, 08/15/25 |
49 | 48,510 | ||||||
6.38%, 12/01/42 |
47 | 41,419 | ||||||
Murphy Oil USA, Inc., 4.75%, 09/15/29 |
323 | 343,591 | ||||||
New Fortress Energy, Inc., 6.75%, 09/15/25(b) |
2,261 | 2,401,589 | ||||||
NGPL PipeCo LLC, 7.77%, 12/15/37(b) |
1,117 | 1,510,160 | ||||||
NuStar Logistics LP |
||||||||
6.00%, 06/01/26 |
373 | 403,403 | ||||||
6.38%, 10/01/30 |
45 | 50,976 | ||||||
Occidental Petroleum Corp. |
||||||||
2.70%, 08/15/22 |
579 | 579,724 | ||||||
2.70%, 02/15/23 |
786 | 785,253 | ||||||
6.95%, 07/01/24 |
92 | 99,360 | ||||||
2.90%, 08/15/24 |
928 | 893,200 | ||||||
5.50%, 12/01/25 |
297 | 309,655 | ||||||
3.40%, 04/15/26 |
149 | 142,057 | ||||||
3.20%, 08/15/26 |
52 | 48,620 | ||||||
3.00%, 02/15/27 |
10 | 8,900 | ||||||
8.88%, 07/15/30 |
17 | 19,954 | ||||||
6.13%, 01/01/31 |
522 | 558,644 | ||||||
4.30%, 08/15/39 |
915 | 773,651 | ||||||
6.20%, 03/15/40 |
1,368 | 1,354,320 | ||||||
4.50%, 07/15/44 |
557 | 472,058 | ||||||
4.63%, 06/15/45 |
967 | 842,866 | ||||||
4.40%, 04/15/46 |
902 | 786,061 | ||||||
4.10%, 02/15/47 |
110 | 89,920 | ||||||
4.20%, 03/15/48 |
914 | 744,910 | ||||||
4.40%, 08/15/49 |
161 | 135,691 | ||||||
Ovintiv Exploration, Inc., 5.75%, 01/30/22 |
193 | 200,460 | ||||||
Parsley Energy LLC/Parsley Finance Corp.(b) |
||||||||
5.25%, 08/15/25 |
598 | 622,817 | ||||||
5.63%, 10/15/27 |
951 | 1,040,869 | ||||||
PBF Holding Co. LLC/PBF Finance Corp., 9.25%, 05/15/25(b) |
724 | 713,792 | ||||||
PDC Energy, Inc. |
||||||||
6.25%, 12/01/25 |
135 | 133,313 | ||||||
5.75%, 05/15/26 |
759 | 783,668 | ||||||
Petroleos Mexicanos |
||||||||
3.50%, 01/30/23 |
5,000 | 5,099,000 | ||||||
4.63%, 09/21/23(e) |
3,965 | 4,111,209 | ||||||
4.88%, 01/18/24 |
2,000 | 2,092,500 |
98 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||
Plains All American Pipeline LP, Series B, (3 mo. LIBOR US + 4.11%), 6.13%(a)(f) |
$ | 2,215 | $ | 1,799,687 | ||||
QEP Resources, Inc. |
||||||||
5.38%, 10/01/22 |
1,861 | 1,937,766 | ||||||
5.25%, 05/01/23 |
400 | 421,000 | ||||||
5.63%, 03/01/26 |
229 | 251,110 | ||||||
Range Resources Corp. |
||||||||
5.88%, 07/01/22 |
280 | 280,000 | ||||||
5.00%, 08/15/22 |
559 | 553,410 | ||||||
5.00%, 03/15/23(e) |
551 | 537,225 | ||||||
4.88%, 05/15/25 |
30 | 28,338 | ||||||
Rattler Midstream LP, 5.63%, 07/15/25(b) |
530 | 559,813 | ||||||
Rockies Express Pipeline LLC, 6.88%, 04/15/40(b) |
580 | 631,243 | ||||||
Sabine Pass Liquefaction LLC |
||||||||
5.63%, 04/15/23(e) |
10,510 | 11,546,594 | ||||||
5.75%, 05/15/24 |
2,575 | 2,943,978 | ||||||
5.88%, 06/30/26 |
1,481 | 1,790,681 | ||||||
SM Energy Co. |
||||||||
6.13%, 11/15/22 |
52 | 50,180 | ||||||
10.00%, 01/15/25(b) |
1,870 | 2,010,250 | ||||||
Southwestern Energy Co. |
||||||||
4.10%, 03/15/22 |
550 | 552,750 | ||||||
6.45%, 01/23/25 |
214 | 222,560 | ||||||
7.50%, 04/01/26 |
130 | 136,370 | ||||||
Sunoco LP/Sunoco Finance Corp. |
||||||||
4.88%, 01/15/23 |
672 | 680,467 | ||||||
6.00%, 04/15/27 |
141 | 149,886 | ||||||
5.88%, 03/15/28 |
317 | 342,360 | ||||||
4.50%, 05/15/29(b) |
382 | 397,280 | ||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.50%, 09/15/24(b) |
188 | 191,290 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. |
||||||||
5.13%, 02/01/25 |
136 | 139,400 | ||||||
5.88%, 04/15/26 |
669 | 709,287 | ||||||
5.38%, 02/01/27 |
5 | 5,252 | ||||||
6.50%, 07/15/27 |
228 | 247,380 | ||||||
5.00%, 01/15/28 |
869 | 917,282 | ||||||
6.88%, 01/15/29 |
1,231 | 1,386,414 | ||||||
5.50%, 03/01/30 |
836 | 907,645 | ||||||
4.88%, 02/01/31(b) |
678 | 738,742 | ||||||
TransCanada PipeLines Ltd., 4.88%, 05/15/48 |
4,000 | 5,172,449 | ||||||
Transcanada Trust, (3 mo. LIBOR US + 3.53%), 5.63%, 05/20/75(a) |
2,755 | 3,019,116 | ||||||
Transocean, Inc., 11.50%, 01/30/27(b) |
294 | 210,210 | ||||||
Viper Energy Partners LP, 5.38%, 11/01/27(b) |
382 | 399,190 | ||||||
Western Midstream Operating LP |
||||||||
5.38%, 06/01/21(e) |
5,125 | 5,150,625 | ||||||
5.45%, 04/01/44 |
12 | 12,135 | ||||||
5.30%, 03/01/48 |
1,180 | 1,169,333 | ||||||
5.50%, 08/15/48 |
16 | 15,705 | ||||||
6.25%, 02/01/50 |
1,448 | 1,592,800 | ||||||
Williams Cos., Inc. |
||||||||
3.70%, 01/15/23 |
2,245 | 2,378,185 | ||||||
4.55%, 06/24/24 |
527 | 589,900 | ||||||
8.75%, 03/15/32 |
2,478 | 3,624,920 | ||||||
5.10%, 09/15/45(e) |
5,075 | 6,272,477 | ||||||
WPX Energy, Inc. |
||||||||
6.00%, 01/15/22 |
72 | 73,081 | ||||||
8.25%, 08/01/23 |
811 | 923,015 |
Security |
Par (000) |
Value | ||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||
WPX Energy, Inc. (continued) |
||||||||
5.25%, 09/15/24 |
$ | 100 | $ | 108,927 | ||||
5.75%, 06/01/26 |
501 | 526,676 | ||||||
5.25%, 10/15/27 |
200 | 211,924 | ||||||
5.88%, 06/15/28 |
314 | 342,269 | ||||||
4.50%, 01/15/30 |
180 | 190,800 | ||||||
|
|
|||||||
236,838,526 | ||||||||
Personal Products 0.0% | ||||||||
Edgewell Personal Care
Co.,
|
285 | 306,290 | ||||||
Pharmaceuticals 4.5% | ||||||||
AbbVie, Inc. |
||||||||
5.00%, 12/15/21(e) |
1,631 | 1,683,777 | ||||||
2.80%, 03/15/23 |
3,000 | 3,137,172 | ||||||
4.75%, 03/15/45(e) |
5,485 | 7,168,477 | ||||||
4.70%, 05/14/45(e) |
3,255 | 4,258,241 | ||||||
Bausch Health Americas, Inc.,
8.50%,
|
1,137 | 1,264,537 | ||||||
Bausch Health Cos., Inc.(b) |
||||||||
9.00%, 12/15/25 |
1,014 | 1,119,405 | ||||||
5.75%, 08/15/27 |
326 | 349,635 | ||||||
7.00%, 01/15/28 |
536 | 589,171 | ||||||
5.00%, 01/30/28 |
37 | 38,130 | ||||||
5.00%, 02/15/29 |
1,134 | 1,165,979 | ||||||
6.25%, 02/15/29 |
1,122 | 1,218,773 | ||||||
7.25%, 05/30/29 |
1,242 | 1,396,145 | ||||||
5.25%, 01/30/30 |
402 | 422,100 | ||||||
5.25%, 02/15/31 |
633 | 661,308 | ||||||
CVS Health Corp.(e) |
||||||||
5.13%, 07/20/45 |
3,879 | 5,222,536 | ||||||
5.05%, 03/25/48 |
8,205 | 11,120,060 | ||||||
Elanco Animal Health, Inc., 5.90%, 08/28/28 |
353 | 416,540 | ||||||
Endo Dac/Endo Finance LLC/Endo
Finco,
|
||||||||
9.50%, 07/31/27 |
751 | 838,304 | ||||||
6.00%, 06/30/28 |
271 | 230,350 | ||||||
Jaguar Holding Co. II/PPD Development LP(b) |
||||||||
4.63%, 06/15/25 |
861 | 908,019 | ||||||
5.00%, 06/15/28 |
1,219 | 1,301,282 | ||||||
Merck & Co., Inc., 6.50%, 12/01/33(e) |
6,420 | 10,016,657 | ||||||
Par Pharmaceutical, Inc., 7.50%, 04/01/27(b) |
3,021 | 3,277,785 | ||||||
Takeda Pharmaceutical Co. Ltd., 2.05%, 03/31/30(e) |
8,270 | 8,465,103 | ||||||
|
|
|||||||
66,269,486 | ||||||||
Producer Durables: Miscellaneous 0.0% | ||||||||
Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 02/01/23(b) |
684 | 685,642 | ||||||
|
|
|||||||
Real Estate Management & Development(b) 0.4% | ||||||||
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25 |
183 | 193,715 | ||||||
Greystar Real Estate Partners LLC, 5.75%, 12/01/25 |
360 | 366,840 | ||||||
Howard Hughes Corp., 5.38%, 08/01/28 |
762 | 819,531 | ||||||
Northwest Florida Timber Finance LLC, 4.75%, 03/04/29 |
4,485 | 4,682,200 | ||||||
|
|
|||||||
6,062,286 | ||||||||
Road & Rail 1.8% | ||||||||
BNSF Funding Trust I, (3 mo. LIBOR US + 2.35%), 6.61%, 12/15/55(a) |
6,125 | 6,990,156 | ||||||
CSX Corp., 3.80%, 04/15/50 |
770 | 954,170 | ||||||
Norfolk Southern Corp., 6.00%, 03/15/05(e) |
12,700 | 18,907,829 | ||||||
|
|
|||||||
26,852,155 |
S C H E D U L E O F I N V E S T M E N T S |
99 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||
Semiconductors & Semiconductor Equipment 2.8% | ||||||||
Analog Devices, Inc., 2.95%, 04/01/25 |
$ | 2,010 | $ | 2,193,804 | ||||
Broadcom, Inc. |
||||||||
4.70%, 04/15/25(e) |
5,865 | 6,721,101 | ||||||
5.00%, 04/15/30 |
10,970 | 13,335,263 | ||||||
Microchip Technology, Inc.,
4.25%,
|
2,061 | 2,180,421 | ||||||
NVIDIA Corp. |
||||||||
3.50%, 04/01/50(e) |
2,785 | 3,378,452 | ||||||
3.70%, 04/01/60 |
1,760 | 2,261,403 | ||||||
NXP BV/NXP Funding LLC/NXP USA, Inc., 3.40%, 05/01/30(b) |
1,755 | 1,990,196 | ||||||
ON Semiconductor Corp., 3.88%, 09/01/28(b) |
728 | 753,480 | ||||||
Qorvo, Inc., 3.38%, 04/01/31(b) |
879 | 907,568 | ||||||
QUALCOMM, Inc., 4.30%, 05/20/47(e) |
3,500 | 4,745,564 | ||||||
Sensata Technologies BV(b) |
||||||||
5.63%, 11/01/24 |
695 | 776,690 | ||||||
5.00%, 10/01/25 |
572 | 636,350 | ||||||
Sensata Technologies, Inc.(b) |
||||||||
4.38%, 02/15/30 |
1,390 | 1,495,987 | ||||||
3.75%, 02/15/31 |
424 | 439,510 | ||||||
|
|
|||||||
41,815,789 | ||||||||
Software 1.4% | ||||||||
ANGI Group LLC, 3.88%, 08/15/28(b) |
582 | 592,185 | ||||||
Black Knight InfoServ LLC,
3.63%,
|
859 | 879,401 | ||||||
Boxer Parent Co., Inc.(b) |
||||||||
7.13%, 10/02/25 |
850 | 922,630 | ||||||
9.13%, 03/01/26 |
336 | 361,200 | ||||||
BY Crown Parent LLC/BY Bond Finance, Inc., 4.25%, 01/31/26(b) |
1,231 | 1,261,775 | ||||||
CDK Global, Inc. |
||||||||
5.88%, 06/15/26 |
378 | 396,556 | ||||||
4.88%, 06/01/27 |
457 | 482,135 | ||||||
5.25%, 05/15/29(b) |
1,526 | 1,690,686 | ||||||
MSCI, Inc., 3.88%, 02/15/31(b) |
1,115 | 1,179,113 | ||||||
Open Text Corp., 3.88%, 02/15/28(b) |
794 | 825,760 | ||||||
Open Text Holdings, Inc., 4.13%, 02/15/30(b) |
1,086 | 1,155,287 | ||||||
PTC, Inc.(b) |
||||||||
3.63%, 02/15/25 |
166 | 170,653 | ||||||
4.00%, 02/15/28 |
867 | 908,724 | ||||||
Solera LLC/Solera Finance, Inc., 10.50%, 03/01/24(b) . |
1,831 | 1,897,374 | ||||||
SS&C Technologies, Inc., 5.50%, 09/30/27(b) |
4,171 | 4,454,712 | ||||||
Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(b) |
2,824 | 2,898,130 | ||||||
|
|
|||||||
20,076,321 | ||||||||
Specialty Retail 0.4% | ||||||||
Gap, Inc., 8.88%, 05/15/27(b) |
350 | 406,000 | ||||||
L Brands, Inc. |
||||||||
6.88%, 07/01/25(b) |
604 | 655,811 | ||||||
6.88%, 11/01/35 |
1,119 | 1,256,078 | ||||||
PetSmart, Inc.(b) |
||||||||
7.13%, 03/15/23 |
433 | 433,000 | ||||||
5.88%, 06/01/25 |
2,317 | 2,380,717 | ||||||
Staples, Inc., 7.50%, 04/15/26(b) |
1,182 | 1,234,327 | ||||||
|
|
|||||||
6,365,933 | ||||||||
Technology Hardware, Storage & Peripherals(b) 0.6% | ||||||||
Dell International LLC/EMC Corp. |
||||||||
5.88%, 06/15/21 |
407 | 407,733 | ||||||
7.13%, 06/15/24 |
1,233 | 1,278,775 |
Security |
Par
(000) |
Value | ||||||
Technology Hardware, Storage & Peripherals (continued) | ||||||||
Dell International LLC/EMC Corp. (continued) |
||||||||
5.85%, 07/15/25 |
$ | 2,395 | $ | 2,875,956 | ||||
8.35%, 07/15/46 |
2,355 | 3,562,684 | ||||||
|
|
|||||||
8,125,148 | ||||||||
Textiles, Apparel & Luxury Goods 0.1% | ||||||||
Hanesbrands, Inc., 5.38%, 05/15/25(b) |
117 | 123,788 | ||||||
Levi Strauss & Co., 5.00%, 05/01/25 |
270 | 276,750 | ||||||
William Carter Co., 5.63%, 03/15/27(b) |
365 | 384,163 | ||||||
|
|
|||||||
784,701 | ||||||||
Thrifts & Mortgage Finance 0.2% | ||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.25%, 10/01/25(b) |
268 | 267,330 | ||||||
MGIC Investment Corp., 5.25%, 08/15/28 |
337 | 360,590 | ||||||
Nationstar Mortgage Holdings, Inc.(b) |
||||||||
6.00%, 01/15/27 |
794 | 842,632 | ||||||
5.50%, 08/15/28 |
565 | 593,250 | ||||||
5.13%, 12/15/30 |
303 | 316,702 | ||||||
|
|
|||||||
2,380,504 | ||||||||
Tobacco 2.0% | ||||||||
Altria Group, Inc., 10.20%, 02/06/39(e) |
13,392 | 22,975,013 | ||||||
BAT Capital Corp., 4.54%, 08/15/47 |
3,000 | 3,331,355 | ||||||
Reynolds American, Inc., 5.85%, 08/15/45 |
2,335 | 2,985,882 | ||||||
|
|
|||||||
29,292,250 | ||||||||
Transportation Infrastructure 0.6% | ||||||||
FedEx Corp., 5.25%, 05/15/50 |
6,000 | 8,498,586 | ||||||
|
|
|||||||
Utilities(b) 0.3% | ||||||||
Midland Cogeneration Venture LP, 5.25%, 03/15/25(e) . |
2,443 | 2,441,767 | ||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28 |
1,087 | 1,146,785 | ||||||
Vistra Operations Co. LLC, 5.63%, 02/15/27 |
812 | 863,675 | ||||||
|
|
|||||||
4,452,227 | ||||||||
Wireless Telecommunication Services 3.6% | ||||||||
Altice France SA(b) |
||||||||
7.38%, 05/01/26(e) |
6,371 | 6,705,478 | ||||||
8.13%, 02/01/27 |
1,112 | 1,225,991 | ||||||
5.50%, 01/15/28 |
2,001 | 2,092,066 | ||||||
5.13%, 01/15/29 |
338 | 349,830 | ||||||
American Tower Corp., 3.60%, 01/15/28 |
4,000 | 4,543,447 | ||||||
Crown Castle International Corp. |
||||||||
3.65%, 09/01/27(e) |
8,000 | 9,031,883 | ||||||
3.30%, 07/01/30 |
1,220 | 1,365,520 | ||||||
4.15%, 07/01/50 |
820 | 996,701 | ||||||
Digicel International Finance Ltd./Digicel Holdings Bermuda Ltd., 8.75%, 05/25/24(b) |
635 | 669,131 | ||||||
Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc., 9.88%, 05/01/24(b) |
401 | 429,367 | ||||||
SBA Communications Corp. |
||||||||
4.88%, 09/01/24 |
1,938 | 1,987,865 | ||||||
3.88%, 02/15/27 |
2,908 | 3,053,400 | ||||||
Sprint Corp. |
||||||||
7.88%, 09/15/23 |
421 | 487,434 | ||||||
7.13%, 06/15/24 |
796 | 931,320 | ||||||
7.63%, 03/01/26 |
1,196 | 1,484,469 | ||||||
T-Mobile USA, Inc. |
||||||||
4.50%, 02/01/26 |
538 | 550,016 | ||||||
4.75%, 02/01/28 |
913 | 981,375 | ||||||
3.88%, 04/15/30(b)(e) |
2,925 | 3,387,735 |
100 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Wireless Telecommunication Services (continued) | ||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 8.25%, 10/15/23 |
$ | 1,414 | $ | 1,424,605 | ||||
VICI Properties LP/VICI Note Co., Inc.(b) |
||||||||
3.50%, 02/15/25 |
946 | 967,545 | ||||||
4.25%, 12/01/26 |
2,963 | 3,073,075 | ||||||
3.75%, 02/15/27 |
1,004 | 1,026,590 | ||||||
4.63%, 12/01/29 |
1,298 | 1,388,860 | ||||||
4.13%, 08/15/30 |
3,469 | 3,661,980 | ||||||
VTR Comunicaciones SpA, 5.13%, 01/15/28(b) |
449 | 477,904 | ||||||
|
|
|||||||
52,293,587 | ||||||||
|
|
|||||||
Total Corporate Bonds 110.3% | ||||||||
(Cost: $1,403,972,720) |
1,620,128,455 | |||||||
|
|
|||||||
Floating Rate Loan Interests(a) |
|
|||||||
Oil, Gas & Consumable Fuels 0.1% | ||||||||
Ascent Resources Utica LLC, 2020 Fixed 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 10.00% |
784 | 849,660 | ||||||
|
|
|||||||
Total Floating Rate Loan Interests 0.1% | ||||||||
(Cost: $784,000) |
849,660 | |||||||
|
|
|||||||
Foreign Agency Obligations |
|
|||||||
Brazil 0.5% | ||||||||
Brazilian Government International Bond, 5.00%, 01/27/45 |
6,525 | 7,248,867 | ||||||
|
|
|||||||
Colombia 0.4% | ||||||||
Colombia Government International Bond, 5.63%, 02/26/44 |
4,000 | 5,186,250 | ||||||
|
|
|||||||
Indonesia 0.3% | ||||||||
Indonesia Government International Bond, 5.88%, 01/15/24(b) |
4,400 | 5,060,000 | ||||||
|
|
|||||||
Mexico 0.5% | ||||||||
Mexico Government International Bond, 4.75%, 03/08/44(e) |
5,800 | 6,900,550 | ||||||
|
|
|||||||
Uruguay 0.3% | ||||||||
Uruguay Government International Bond, 5.10%, 06/18/50 |
3,500 | 4,897,813 | ||||||
|
|
|||||||
Total Foreign Agency Obligations 2.0% | ||||||||
(Cost: $23,633,158) |
29,293,480 | |||||||
|
|
|||||||
Municipal Bonds |
|
|||||||
New York 0.8% | ||||||||
Metropolitan Transportation Authority, RB, BAB, 6.55%, 11/15/31 |
10,000 | 11,949,000 | ||||||
|
|
|||||||
Total Municipal Bonds 0.8% | ||||||||
(Cost: $9,833,900) |
11,949,000 | |||||||
|
|
Security |
Par (000) |
Value | ||||||
Preferred Securities |
|
|||||||
Capital Trusts 17.2% | ||||||||
Automobiles 0.2% | ||||||||
General Motors Financial Co., Inc.,
|
$ | 2,565 | $ | 2,827,912 | ||||
|
|
|||||||
Banks(a)(f) 3.7% | ||||||||
CIT Group, Inc., Series A, 5.80% |
3,000 | 3,060,000 | ||||||
HSBC Capital Funding Dollar 1 LP, 10.18%(b)(e) |
11,835 | 20,208,263 | ||||||
Huntington Bancshares, Inc., Series F, 5.63% |
6,450 | 7,530,375 | ||||||
Macquarie Bank Ltd., 6.13%(b) |
1,885 | 2,016,950 | ||||||
Nordea Bank Abp, 6.13%(b) |
5,540 | 6,049,015 | ||||||
US Bancorp, Series J, 5.30%(e) |
10,415 | 11,714,271 | ||||||
Wells Fargo & Co. |
||||||||
Series S, 5.90% |
281 | 298,211 | ||||||
Series U, 5.88% |
2,655 | 3,010,106 | ||||||
|
|
|||||||
53,887,191 | ||||||||
Capital Markets 0.1% | ||||||||
State Street Corp., Series F, 3.81%(a)(f) |
1,855 | 1,845,725 | ||||||
|
|
|||||||
Consumer Finance(a)(f) 0.6% | ||||||||
American Express Co., Series C, 3.50% |
4,510 | 4,389,899 | ||||||
Capital One Financial Corp., Series E, 4.03% |
5,000 | 4,956,500 | ||||||
|
|
|||||||
9,346,399 | ||||||||
Diversified Financial Services 9.2% | ||||||||
Bank of America Corp.(a)(f) |
||||||||
Series AA, 6.10% |
8,630 | 9,778,221 | ||||||
Series U, 5.20%(e) |
5,785 | 6,030,863 | ||||||
Barclays PLC, 8.00%(a)(f) |
4,500 | 5,017,500 | ||||||
BNP Paribas SA(a)(b)(f) |
||||||||
7.20%(e) |
5,000 | 5,550,000 | ||||||
6.75%(e) |
5,000 | 5,225,000 | ||||||
7.38% |
4,535 | 5,246,405 | ||||||
Citigroup, Inc.(a)(f) |
||||||||
5.90% |
2,210 | 2,321,605 | ||||||
Series Q, 4.32% |
5,465 | 5,437,675 | ||||||
Credit Agricole SA, 8.13%(a)(b)(f) |
5,000 | 6,075,000 | ||||||
Credit Suisse Group AG(a)(b)(f) |
||||||||
5.10% |
1,230 | 1,279,200 | ||||||
6.25%(e) |
7,255 | 7,925,188 | ||||||
7.50% |
1,865 | 2,032,850 | ||||||
HSBC Holdings PLC, 6.50%(a)(f) |
2,615 | 2,935,338 | ||||||
JPMorgan Chase & Co. |
||||||||
8.75%, 09/01/30 |
2,000 | 2,976,229 | ||||||
Series I, 3.68%(a)(f) |
2,542 | 2,536,800 | ||||||
Series Q, 5.15%(a)(f) |
4,000 | 4,130,080 | ||||||
Series R, 6.00%(a)(e)(f) |
14,130 | 14,977,800 | ||||||
Series S, 6.75%(a)(e)(f) |
9,775 | 10,974,407 | ||||||
Lloyds Banking Group PLC, 7.50%(a)(f) |
8,285 | 9,527,750 | ||||||
Morgan Stanley, Series H, 3.85%(a)(f) |
8,675 | 8,612,540 | ||||||
Natwest Group PLC(a)(f) |
||||||||
8.00% |
970 | 1,130,050 | ||||||
8.63%(e) |
5,135 | 5,329,668 | ||||||
Societe Generale SA, 7.38%(a)(b)(f) |
1,980 | 2,027,579 | ||||||
UBS Group AG, 7.00%(a)(b)(e)(f) |
7,500 | 8,221,875 | ||||||
|
|
|||||||
135,299,623 |
S C H E D U L E O F I N V E S T M E N T S |
101 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Electric Utilities 0.5% | ||||||||
PPL Capital Funding, Inc.,
|
$ | 8,300 | $ | 7,158,593 | ||||
|
|
|||||||
Insurance 1.9% | ||||||||
ACE Capital Trust II, 9.70%, 04/01/30(e) |
7,000 | 10,715,292 | ||||||
Allstate Corp., Series B, 5.75%, 08/15/53(a) |
5,000 | 5,350,300 | ||||||
Equitable of Iowa Cos. Capital Trust II, Series B, 8.42%, 04/01/27 |
5,000 | 5,243,245 | ||||||
MetLife, Inc., 6.40%, 12/15/36(e) |
5,000 | 6,467,197 | ||||||
|
|
|||||||
27,776,034 | ||||||||
Media 0.4% | ||||||||
NBCUniversal Enterprise, Inc., 5.25%(b)(f) |
5,600 | 5,712,000 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 0.2% | ||||||||
Enterprise Products Operating LLC, 3.00%, 06/01/67(a) |
2,500 | 2,145,000 | ||||||
|
|
|||||||
Wireless Telecommunication Services 0.4% | ||||||||
Vodafone Group PLC, 7.00%, 04/04/79(a) |
4,745 | 5,902,945 | ||||||
|
|
|||||||
Total Capital Trusts 17.2% | 251,901,422 | |||||||
|
|
|||||||
Shares | ||||||||
Preferred Stocks 3.0% | ||||||||
Banks(a)(f) 2.0% | ||||||||
Citigroup, Inc., Series K, 6.88% |
488,320 | 14,019,667 | ||||||
Wells Fargo & Co., Series Q |
550,500 | 14,780,925 | ||||||
|
|
|||||||
28,800,592 | ||||||||
Capital Markets(a)(f) 0.7% | ||||||||
Goldman Sachs Group, Inc.,
|
162,450 | 4,439,759 | ||||||
State Street Corp., Series D, 5.90% |
220,495 | 6,246,623 | ||||||
|
|
|||||||
10,686,382 | ||||||||
Equity Real Estate Investment Trusts (REITs) 0.1% | ||||||||
Vornado Realty Trust, Series K, 5.70%(f) |
50,000 | 1,258,000 | ||||||
|
|
|||||||
Interactive Media & Services 0.2% | ||||||||
ByteDance Ltd., Series E-1, (Acquired 11/11/20, Cost: $3,526,645)(c)(j) |
32,185 | 3,526,645 | ||||||
|
|
|||||||
Total Preferred Stocks 3.0% | 44,271,619 | |||||||
|
|
|||||||
Total Preferred Securities 20.2% | ||||||||
(Cost: $270,337,469) |
296,173,041 | |||||||
|
|
|||||||
Warrants |
||||||||
Oil, Gas & Consumable Fuels 0.0% | ||||||||
SM Energy Co. (Expires
|
29,074 | 177,642 | ||||||
|
|
|||||||
Total Warrants 0.0% | ||||||||
(Cost: $124,728) |
177,642 | |||||||
|
|
|||||||
Total Long-Term Investments 140.0% | ||||||||
(Cost: $1,805,981,099) |
2,054,808,151 | |||||||
|
|
Security | Shares | Value | ||||||
Short-Term Securities |
|
|||||||
Money Market Funds 1.6% | ||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.00%(k)(l) |
24,122,699 | $ | 24,122,699 | |||||
|
|
|||||||
Total Short-Term Securities 1.6% | ||||||||
(Cost: $24,122,699) |
24,122,699 | |||||||
|
|
|||||||
Options Purchased 0.2% | ||||||||
(Cost: $5,318,095) |
2,939,309 | |||||||
|
|
|||||||
Total Investments Before Options Written 141.8% | ||||||||
(Cost: $1,835,421,893) |
2,081,870,159 | |||||||
|
|
|||||||
Options Written (0.2)% | ||||||||
(Premiums Received: $(3,128,928)) |
|
(3,216,486 | ) | |||||
|
|
|||||||
Total Investments, Net of Options Written 141.6% | ||||||||
(Cost: $1,832,292,965) |
2,078,653,673 | |||||||
Liabilities in Excess of Other Assets (41.6)% | (610,500,525) | |||||||
|
|
|||||||
Net Assets 100.0% | $1,468,153,148 | |||||||
|
|
(a) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(b) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(d) |
When-issued security. |
(e) |
All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
(f) |
Perpetual security with no stated maturity date. |
(g) |
Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(h) |
Issuer filed for bankruptcy and/or is in default. |
(i) |
Non-income producing security. |
(j) |
Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $3,526,645, representing 0.24% of its net assets as of period end, and an original cost of $3,526,645. |
(k) |
Affiliate of the Trust. |
(l) |
Annualized 7-day yield as of period end. |
102 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Credit Allocation Income Trust (BTZ)
|
Affiliates
Investments in issuers considered to be affiliate(s) of the Trust during the year ended December 31, 2020 for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:
Affiliated Issuer |
Value at
12/31/19 |
Purchases at Cost |
Proceeds
from Sales |
Net
Realized Gain (Loss) |
Change in
Unrealized Appreciation (Depreciation) |
Value at
12/31/20 |
Shares
Held at
|
Income |
Capital Gain
Distributions from Underlying Funds |
|||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class |
$ | 9,646,385 | $ | 14,476,314 | (a) | $ | | $ | | $ | | $ | 24,122,699 | 24,122,699 | $ | 77,889 | $ | | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Represents net amount purchased (sold). |
For Trust compliance purposes, the Trusts industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Reverse Repurchase Agreements
Counterparty |
|
Interest
Rate |
|
|
Trade
Date |
|
Maturity Date(a) |
Face Value |
|
Face Value
Including Accrued Interest |
|
Type of Non-Cash Underlying Collateral |
Remaining Contractual Maturity of the Agreements(a) |
|||||||||
Barclays Capital, Inc. |
0.50 | %(b) | 01/31/20 | Open | $ | 488,565 | $ | 491,598 | Corporate Bonds | Open/Demand | ||||||||||||
Barclays Capital, Inc. |
1.10 | (b) | 03/18/20 | Open | 7,188,750 | 7,252,231 | Corporate Bonds | Open/Demand | ||||||||||||||
J.P. Morgan Securities LLC |
0.75 | (b) | 03/20/20 | Open | 385,193 | 387,496 | Corporate Bonds | Open/Demand | ||||||||||||||
J.P. Morgan Securities LLC |
0.75 | (b) | 03/20/20 | Open | 495,158 | 498,118 | Corporate Bonds | Open/Demand | ||||||||||||||
J.P. Morgan Securities LLC |
0.80 | (b) | 03/20/20 | Open | 1,653,728 | 1,664,275 | Corporate Bonds | Open/Demand | ||||||||||||||
HSBC Securities (USA), Inc. |
0.45 | (b) | 03/27/20 | Open | 5,255,000 | 5,280,115 | Corporate Bonds | Open/Demand | ||||||||||||||
HSBC Securities (USA), Inc. |
0.45 | (b) | 04/08/20 | Open | 5,016,000 | 5,035,242 | Capital Trusts | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
0.90 | (b) | 04/15/20 | Open | 8,907,469 | 8,965,367 | Capital Trusts | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
0.90 | (b) | 04/15/20 | Open | 8,826,712 | 8,884,086 | Capital Trusts | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
0.90 | (b) | 04/15/20 | Open | 12,275,437 | 12,355,228 | Capital Trusts | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
0.90 | (b) | 04/15/20 | Open | 15,341,119 | 15,440,836 | Capital Trusts | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
1.00 | (b) | 04/15/20 | Open | 1,830,567 | 1,843,788 | Corporate Bonds | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
1.00 | (b) | 04/15/20 | Open | 2,275,000 | 2,291,431 | Corporate Bonds | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
1.00 | (b) | 04/15/20 | Open | 3,931,250 | 3,959,642 | Corporate Bonds | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
1.00 | (b) | 04/15/20 | Open | 4,542,125 | 4,574,929 | Corporate Bonds | Open/Demand | ||||||||||||||
HSBC Securities (USA), Inc. |
0.45 | (b) | 05/04/20 | Open | 2,989,000 | 2,999,063 | Corporate Bonds | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
0.65 | (b) | 05/29/20 | Open | 3,905,000 | 3,920,300 | Corporate Bonds | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
0.65 | (b) | 05/29/20 | Open | 5,675,175 | 5,697,411 | Corporate Bonds | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
0.65 | (b) | 05/29/20 | Open | 4,950,000 | 4,969,394 | Corporate Bonds | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
1.20 | (b) | 06/15/20 | Open | 4,656,250 | 4,687,292 | Capital Trusts | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
0.55 | (b) | 06/26/20 | Open | 4,436,606 | 4,449,146 | Corporate Bonds | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
0.55 | (b) | 06/26/20 | Open | 5,390,437 | 5,405,673 | Corporate Bonds | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
0.55 | (b) | 06/26/20 | Open | 5,677,031 | 5,693,077 | Corporate Bonds | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
1.00 | (b) | 06/26/20 | Open | 6,066,994 | 6,098,340 | Capital Trusts | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
1.00 | (b) | 06/26/20 | Open | 6,403,125 | 6,436,741 | Capital Trusts | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
1.00 | (b) | 06/26/20 | Open | 4,162,500 | 4,183,891 | Capital Trusts | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
0.85 | (b) | 07/29/20 | Open | 6,912,500 | 6,937,798 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.55 | (b) | 08/11/20 | Open | 6,392,850 | 6,406,817 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 08/20/20 | Open | 21,611,340 | 21,647,539 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 08/31/20 | Open | 7,157,200 | 7,168,204 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 08/31/20 | Open | 7,908,187 | 7,920,346 | Corporate Bonds | Open/Demand | ||||||||||||||
Credit Suisse Securities (USA) LLC |
0.25 | (b) | 09/02/20 | Open | 436,668 | 437,034 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 09/10/20 | Open | 10,102,406 | 10,116,550 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 09/10/20 | Open | 858,084 | 859,285 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 09/10/20 | Open | 16,605,000 | 16,628,247 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 09/10/20 | Open | 7,732,500 | 7,743,326 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 09/10/20 | Open | 11,150,000 | 11,165,610 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 09/10/20 | Open | 4,008,025 | 4,013,636 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 09/10/20 | Open | 9,501,600 | 9,514,902 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 09/10/20 | Open | 5,662,500 | 5,670,428 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 09/10/20 | Open | 5,598,562 | 5,606,400 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 09/10/20 | Open | 16,350,000 | 16,372,890 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 09/10/20 | Open | 9,255,500 | 9,268,458 | Corporate Bonds | Open/Demand |
S C H E D U L E O F I N V E S T M E N T S |
103 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Credit Allocation Income Trust (BTZ)
|
Reverse Repurchase Agreements (continued)
Counterparty |
Interest
Rate |
Trade
Date |
Maturity Date(a) |
Face Value |
Face Value
Including Accrued Interest |
Type of Non-Cash Underlying
Collateral |
Remaining Contractual Maturity of the Agreements(a) |
|||||||||||||||
RBC Capital Markets LLC |
0.45 | %(b) | 09/10/20 | Open | $ | 5,915,000 | $ | 5,923,281 | Corporate Bonds | Open/Demand | ||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 09/10/20 | Open | 3,555,000 | 3,559,977 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 09/10/20 | Open | 8,530,000 | 8,541,942 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 09/10/20 | Open | 8,302,406 | 8,314,030 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 09/10/20 | Open | 8,002,500 | 8,013,704 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
1.04 | (b) | 09/10/20 | Open | 15,550,000 | 15,600,313 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.85 | (b) | 09/15/20 | Open | 2,709,180 | 2,716,024 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.60 | (b) | 09/18/20 | Open | 14,728,984 | 14,754,759 | Corporate Bonds | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
0.50 | (b) | 09/21/20 | Open | 972,500 | 973,864 | Corporate Bonds | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
0.50 | (b) | 09/21/20 | Open | 4,888,325 | 4,895,182 | Capital Trusts | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
0.50 | (b) | 09/21/20 | Open | 6,442,500 | 6,451,537 | Corporate Bonds | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
0.80 | (b) | 09/21/20 | Open | 1,184,553 | 1,187,211 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.40 | (b) | 09/25/20 | Open | 9,805,947 | 9,816,298 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.65 | (b) | 09/25/20 | Open | 1,656,890 | 1,659,732 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.65 | (b) | 09/25/20 | Open | 4,695,781 | 4,703,836 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.65 | (b) | 09/25/20 | Open | 3,955,000 | 3,961,784 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.65 | (b) | 09/25/20 | Open | 3,536,633 | 3,542,699 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.65 | (b) | 09/25/20 | Open | 4,793,349 | 4,801,571 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.65 | (b) | 09/25/20 | Open | 4,647,875 | 4,655,847 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.68 | (b) | 09/25/20 | Open | 3,503,908 | 3,510,195 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.70 | (b) | 09/25/20 | Open | 2,375,419 | 2,379,807 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.75 | (b) | 09/25/20 | Open | 1,105,256 | 1,107,444 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.43 | (b) | 09/28/20 | Open | 1,111,250 | 1,112,498 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.45 | (b) | 09/28/20 | Open | 551,400 | 552,048 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.45 | (b) | 09/28/20 | Open | 5,943,750 | 5,950,734 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.45 | (b) | 09/28/20 | Open | 3,140,625 | 3,144,315 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.45 | (b) | 09/28/20 | Open | 3,891,194 | 3,895,766 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.45 | (b) | 09/28/20 | Open | 8,620,000 | 8,630,129 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.65 | (b) | 09/28/20 | Open | 533,900 | 534,806 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.65 | (b) | 09/28/20 | Open | 4,095,000 | 4,101,950 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.65 | (b) | 09/28/20 | Open | 2,019,795 | 2,023,223 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.65 | (b) | 09/28/20 | Open | 4,826,900 | 4,835,092 | Capital Trusts | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 09/29/20 | Open | 20,416,094 | 20,439,827 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 09/29/20 | Open | 3,425,500 | 3,429,482 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.85 | (b) | 09/29/20 | Open | 3,005,200 | 3,011,799 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.85 | (b) | 09/29/20 | Open | 8,708,400 | 8,727,522 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.85 | (b) | 09/29/20 | Open | 2,947,388 | 2,953,859 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.85 | (b) | 09/29/20 | Open | 2,904,345 | 2,910,722 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.85 | (b) | 09/29/20 | Open | 10,542,400 | 10,565,549 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.85 | (b) | 09/29/20 | Open | 9,160,200 | 9,180,314 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.85 | (b) | 09/29/20 | Open | 2,806,040 | 2,812,202 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.85 | (b) | 09/29/20 | Open | 2,715,436 | 2,721,399 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.75 | (b) | 09/30/20 | Open | 1,418,886 | 1,421,606 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
1.10 | (b) | 10/07/20 | Open | 958,530 | 961,020 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 10/29/20 | Open | 7,081,250 | 7,086,826 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 10/29/20 | Open | 2,862,500 | 2,864,754 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 10/29/20 | Open | 6,971,250 | 6,976,740 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 10/29/20 | Open | 2,290,000 | 2,291,803 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.45 | (b) | 10/29/20 | Open | 2,190,000 | 2,191,725 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.85 | (b) | 10/29/20 | Open | 3,559,350 | 3,564,645 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.85 | (b) | 10/29/20 | Open | 4,725,000 | 4,732,028 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.95 | (b) | 10/29/20 | Open | 10,365,487 | 10,382,720 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.95 | (b) | 10/29/20 | Open | 3,370,208 | 3,375,810 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.95 | (b) | 10/29/20 | Open | 9,626,250 | 9,642,254 | Corporate Bonds | Open/Demand | ||||||||||||||
Barclays Capital, Inc. |
0.65 | (b) | 11/19/20 | Open | 5,305,290 | 5,309,409 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.45 | (b) | 11/19/20 | Open | 1,604,496 | 1,605,359 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.65 | (b) | 11/27/20 | Open | 15,340,185 | 15,349,047 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.40 | (b) | 12/10/20 | Open | 7,463,437 | 7,465,179 | Corporate Bonds | Open/Demand | ||||||||||||||
RBC Capital Markets LLC |
0.40 | (b) | 12/10/20 | Open | 4,256,175 | 4,257,168 | Corporate Bonds | Open/Demand | ||||||||||||||
BNP Paribas S.A. |
0.45 | (b) | 12/14/20 | Open | 9,948,750 | 9,950,864 | Capital Trusts | Open/Demand |
104 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Credit Allocation Income Trust (BTZ)
|
Reverse Repurchase Agreements (continued)
Counterparty |
Interest
Rate |
Trade
Date |
Maturity Date(a) |
Face Value |
Face Value
Including Accrued Interest |
Type of Non-Cash Underlying
Collateral |
Remaining Contractual Maturity of the Agreements(a) |
|||||||||||||||
Barclays Capital, Inc. |
0.40 | %(b) | 12/30/20 | Open | $ | 5,104,687 | $ | 5,104,801 | Corporate Bonds | Open/Demand | ||||||||||||
Barclays Capital, Inc. |
0.45 | (b) | 12/30/20 | Open | 6,091,817 | 6,091,969 | Foreign Agency Obligations | Open/Demand | ||||||||||||||
|
|
|
|
|||||||||||||||||||
$ | 612,722,484 | $ | 614,172,180 | |||||||||||||||||||
|
|
|
|
(a) |
Certain agreements have no stated maturity and can be terminated by either party at any time. |
(b) |
Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description |
Number of
Contracts |
Expiration
Date |
Notional
Amount (000) |
Value/
(Depreciation) |
||||||||||||
Long Contracts |
||||||||||||||||
U.S. Ultra Bond |
98 | 03/22/21 | $ | 20,929 | $ | (181,845 | ) | |||||||||
|
|
|||||||||||||||
Short Contracts |
||||||||||||||||
10-Year U.S. Treasury Note |
719 | 03/22/21 | 99,278 | (24,647 | ) | |||||||||||
10-Year U.S. Ultra Long Treasury Note |
68 | 03/22/21 | 10,632 | 36,728 | ||||||||||||
Long U.S. Treasury Bond |
107 | 03/22/21 | 18,531 | 184,749 | ||||||||||||
5-Year U.S. Treasury Note |
140 | 03/31/21 | 17,663 | (39,037 | ) | |||||||||||
|
|
|||||||||||||||
157,793 | ||||||||||||||||
|
|
|||||||||||||||
$ | (24,052 | ) | ||||||||||||||
|
|
Exchange-Traded Options Purchased
Description |
Number of
Contracts |
Expiration
Date |
Exercise
Price |
Notional Amount (000) |
Value | |||||||||||||||||||||
Call |
||||||||||||||||||||||||||
Euro Stoxx Banks |
4,085 | 03/19/21 | EUR | 80.00 | EUR | 200 | $ | 648,757 | ||||||||||||||||||
|
|
|||||||||||||||||||||||||
Put |
||||||||||||||||||||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF |
29,372 | 02/19/21 | USD | 134.00 | USD | 393,585 | 2,129,470 | |||||||||||||||||||
|
|
|||||||||||||||||||||||||
$ | 2,778,227 | |||||||||||||||||||||||||
|
|
OTC Interest Rate Swaptions Purchased
Paid by the Trust |
Received by the Trust |
Expiration | Exercise | Notional | ||||||||||||||||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Date | Rate | Amount (000) | Value | |||||||||||||||||||||||||||||||||||
Put |
||||||||||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 01/17/31 |
2.50 | % | Semi-Annual |
|
3-Month USD,
LIBOR, 0.24 |
% |
Quarterly | Citibank N.A. | 01/15/21 | 2.50 | % | USD | 67,000 | $ | 1 | |||||||||||||||||||||||||||||
30-Year Interest Rate Swap, 08/15/51 |
2.50 | % | Semi-Annual |
|
3-Month USD,
LIBOR, 0.24 |
% |
Quarterly |
|
JPMorgan Chase
Bank N.A. |
|
08/13/21 | 2.50 | USD | 40,000 | 161,081 | |||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||||||||||||
$ | 161,082 | |||||||||||||||||||||||||||||||||||||||||||
|
|
S C H E D U L E O F I N V E S T M E N T S |
105 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Credit Allocation Income Trust (BTZ)
|
Exchange-Traded Options Written
Description |
Number of
Contracts |
Expiration
Date |
Exercise Price |
Notional Amount (000) |
Value | |||||||||||||||||||||
Call |
||||||||||||||||||||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF |
29,372 | 02/19/21 | USD | 140.00 | USD | 411,208 | $ | (1,527,344 | ) | |||||||||||||||||
Euro Stoxx Banks |
4,085 | 03/19/21 | EUR | 90.00 | EUR | 225 | (205,856 | ) | ||||||||||||||||||
|
|
|||||||||||||||||||||||||
(1,733,200 | ) | |||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||
Put |
||||||||||||||||||||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF |
29,372 | 02/19/21 | USD | 131.00 | USD | 384,773 | (1,483,286 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
$ | (3,216,486 | ) | ||||||||||||||||||||||||
|
|
OTC Credit Default Swaps Buy Protection
Reference Obligations/Index |
Financing
Rate Paid by the Trust |
Payment
Frequency |
Counterparty |
Termination
Date |
Notional Amount (000) |
Value |
Upfront
(Received) |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||||||||||
Prudential Financial, Inc. |
1.00 | % | Quarterly | Citibank N.A. | 06/20/21 | USD | 1,920 | $ | (9,137 | ) | $ | 2,644 | $ | (11,781 | ) | |||||||||||||||||||
Prudential Financial, Inc. |
1.00 | Quarterly | Goldman Sachs International | 06/20/21 | USD | 1,155 | (5,497 | ) | 1,691 | (7,188 | ) | |||||||||||||||||||||||
Prudential Financial, Inc. |
1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/21 | USD | 9,500 | (45,211 | ) | 11,441 | (56,652 | ) | |||||||||||||||||||||||
$ | (59,845 | ) | $ | 15,776 | $ | (75,621 | ) |
Balances Reported in the Statements of Assets and Liabilities for OTC Swaps and Options Written
Description |
Swap
Premiums Paid |
Swap
Premiums Received |
Unrealized
Appreciation |
Unrealized
Depreciation |
Value | |||||||||||||||
OTC Swaps |
$ | 15,776 | $ | | $ | | $ | (75,621 | ) | $ | | |||||||||
Options Written |
| | 565,799 | (653,357 | ) | (3,216,486 | ) |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
Commodity
Contracts |
Credit
Contracts |
Equity
Contracts |
Foreign
Currency Exchange Contracts |
Interest
Rate Contracts |
Other
Contracts |
Total | ||||||||||||||||||||||
Assets Derivative Financial Instruments |
||||||||||||||||||||||||||||
Futures contracts |
||||||||||||||||||||||||||||
Unrealized appreciation on futures contracts(a) |
$ | | $ | | $ | | $ | | $ | 221,477 | $ | | $ | 221,477 | ||||||||||||||
Options purchased |
||||||||||||||||||||||||||||
Investments at value unaffiliated(b) |
| | 2,778,227 | | 161,082 | | 2,939,309 | |||||||||||||||||||||
Swaps OTC |
||||||||||||||||||||||||||||
Unrealized appreciation on OTC swaps; Swap premiums paid |
| 15,776 | | | | | 15,776 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | | $ | 15,776 | $ | 2,778,227 | $ | | $ | 382,559 | $ | | $ | 3,176,562 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Liabilities Derivative Financial Instruments |
||||||||||||||||||||||||||||
Futures contracts |
||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(a) |
$ | | $ | | $ | | $ | | $ | 245,529 | $ | | $ | 245,529 | ||||||||||||||
Options written |
||||||||||||||||||||||||||||
Options written at value |
| | 3,216,486 | | | | 3,216,486 | |||||||||||||||||||||
Swaps OTC |
||||||||||||||||||||||||||||
Unrealized depreciation on OTC swaps; Swap premiums received |
| 75,621 | | | | | 75,621 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | | $ | 75,621 | $ | 3,216,486 | $ | | $ | 245,529 | $ | | $ | 3,537,636 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current days variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
(b) |
Includes options purchased at value as reported in the Schedule of Investments. |
106 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Credit Allocation Income Trust (BTZ)
|
For the year ended December 31, 2020, the effect of derivative financial instruments in the Statements of Operations was as follows:
Commodity
Contracts |
Credit
Contracts |
Equity
Contracts |
Foreign
Currency Exchange Contracts |
Interest
Rate Contracts |
Other
Contracts |
Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from |
||||||||||||||||||||||||||||
Futures contracts |
$ | | $ | | $ | 538,584 | $ | | $ | 8,582,545 | $ | | $ | 9,121,129 | ||||||||||||||
Options purchased(a) |
| (102,124 | ) | (5,237,013 | ) | | (3,870,712 | ) | | (9,209,849 | ) | |||||||||||||||||
Options written |
| 267,566 | 2,226,634 | | 1,810,000 | | 4,304,200 | |||||||||||||||||||||
Swaps |
| (1,142,465 | ) | | | | | (1,142,465 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | | $ | (977,023 | ) | $ | (2,471,795 | ) | $ | | $ | 6,521,833 | $ | | $ | 3,073,015 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on |
||||||||||||||||||||||||||||
Futures contracts |
$ | | $ | | $ | | $ | | $ | 407,558 | $ | | $ | 407,558 | ||||||||||||||
Options purchased(b) |
| | (1,325,668 | ) | | (764,993 | ) | | (2,090,661 | ) | ||||||||||||||||||
Options written |
| | (87,558 | ) | | 596,276 | | 508,718 | ||||||||||||||||||||
Swaps |
| 136,869 | | | | | 136,869 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | | $ | 136,869 | $ | (1,413,226 | ) | $ | | $ | 238,841 | $ | | $ | (1,037,516 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Options purchased are included in net realized gain (loss) from investments unaffiliated. |
(b) |
Options purchased are included in net change in unrealized appreciation (depreciation) on investments unaffiliated. |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts |
||||
Average notional value of contracts long |
$ | 29,423,277 | ||
Average notional value of contracts short |
$ | 115,039,424 | ||
Options |
||||
Average value of option contracts purchased |
$ | 739,493 | ||
Average value of option contracts written |
$ | 814,149 | ||
Average notional value of swaption contracts purchased |
$ | 357,325,000 | ||
Average notional value of swaption contracts written |
$ | 77,000,000 | ||
Credit default swaps |
||||
Average notional value buy protection |
$ | 12,575,000 | ||
Average notional value sell protection |
$ | 7,150,000 |
For more information about the Trusts investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments Offsetting as of Period End
The Trusts derivative assets and liabilities (by type) were as follows:
Assets | Liabilities | |||||||
Derivative Financial Instruments |
||||||||
Futures contracts |
$ | 73,500 | $ | 134,933 | ||||
Options |
2,939,309 | (a) | 3,216,486 | |||||
Swaps OTC(b) |
15,776 | 75,621 | ||||||
|
|
|
|
|||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities |
3,028,585 | 3,427,040 | ||||||
|
|
|
|
|||||
Derivatives not subject to a Master Netting Agreement or similar agreement (MNA) |
(2,851,727 | ) | (3,351,419 | ) | ||||
|
|
|
|
|||||
Total derivative assets and liabilities subject to an MNA |
$ | 176,858 | $ | 75,621 | ||||
|
|
|
|
(a) |
Includes options purchased at value which is included in Investments at value unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments. |
(b) |
Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities. |
S C H E D U L E O F I N V E S T M E N T S |
107 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Credit Allocation Income Trust (BTZ)
|
The following table presents the Trusts derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Trust:
Counterparty |
|
Derivative
Assets Subject to
an
MNA by
|
|
|
Derivatives
Available for Offset |
(a) |
|
Non-Cash
Collateral Received |
|
|
Cash
Collateral
|
|
|
Net Amount
of Derivative Assets |
|
|||||
Citibank N.A. |
$ | 2,645 | $ | (2,645 | ) | $ | | $ | | $ | | |||||||||
Goldman Sachs International |
1,691 | (1,691 | ) | | | | ||||||||||||||
JPMorgan Chase Bank N.A. |
172,522 | (56,652 | ) | | (115,870 | ) | | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 176,858 | $ | (60,988 | ) | $ | | $ | (115,870 | ) | $ | | |||||||||
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Derivative
Liabilities Subject to an MNA by Counterparty |
|
|
Derivatives
Available for Offset |
(a) |
|
Non-Cash
Collateral Pledged |
|
|
Cash
Collateral Pledged |
|
|
Net Amount
of Derivative Liabilities |
(c) |
|||||
Citibank N.A. |
$ | 11,781 | $ | (2,645 | ) | $ | | $ | | $ | 9,136 | |||||||||
Goldman Sachs International |
7,188 | (1,691 | ) | | | 5,497 | ||||||||||||||
JPMorgan Chase Bank N.A. |
56,652 | (56,652 | ) | | | | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 75,621 | $ | (60,988 | ) | $ | | $ | | $ | 14,633 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
(b) |
Excess of collateral received from the individual counterparty is not shown for financial reporting purposes. |
(c) |
Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trusts policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Trusts investments and derivative financial instruments categorized in the disclosure hierarchy. The breakdown of the Trusts investments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets |
||||||||||||||||
Investments |
||||||||||||||||
Long-Term Investments |
||||||||||||||||
Asset-Backed Securities |
$ | | $ | 94,479,138 | $ | 1,757,735 | $ | 96,236,873 | ||||||||
Corporate Bonds |
| 1,618,489,758 | 1,638,697 | 1,620,128,455 | ||||||||||||
Floating Rate Loan Interests |
| 849,660 | | 849,660 | ||||||||||||
Foreign Agency Obligations |
| 29,293,480 | | 29,293,480 | ||||||||||||
Municipal Bonds |
| 11,949,000 | | 11,949,000 | ||||||||||||
Preferred Securities |
||||||||||||||||
Capital Trusts |
| 251,901,422 | | 251,901,422 | ||||||||||||
Preferred Stocks |
40,744,974 | | 3,526,645 | 44,271,619 | ||||||||||||
Warrants |
| 177,642 | | 177,642 | ||||||||||||
Short-Term Securities |
||||||||||||||||
Money Market Funds |
24,122,699 | | | 24,122,699 | ||||||||||||
Options Purchased |
||||||||||||||||
Equity Contracts |
2,778,227 | | | 2,778,227 | ||||||||||||
Interest Rate Contracts |
| 161,082 | | 161,082 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 67,645,900 | $ | 2,007,301,182 | $ | 6,923,077 | $ | 2,081,870,159 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Derivative Financial Instruments |
||||||||||||||||
Assets |
||||||||||||||||
Interest Rate Contracts |
$ | 221,477 | $ | | $ | | $ | 221,477 | ||||||||
Liabilities |
||||||||||||||||
Credit Contracts |
| (75,621 | ) | | (75,621 | ) |
108 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Credit Allocation Income Trust (BTZ)
|
Fair Value Hierarchy as of Period End (continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Liabilities (continued) |
||||||||||||||||
Equity Contracts |
$ | (3,216,486 | ) | $ | | $ | | $ | (3,216,486 | ) | ||||||
Interest Rate Contracts |
(245,529 | ) | | | (245,529 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | (3,240,538 | ) | $ | (75,621 | ) | $ | | $ | (3,316,159 | ) | ||||||
|
|
|
|
|
|
|
|
Derivative financial instruments are swaps, futures contracts and options written. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.
The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $614,172,180 are categorized as Level 2 within the disclosure hierarchy.
See notes to financial statements.
S C H E D U L E O F I N V E S T M E N T S |
109 |
Schedule of Investments December 31, 2020 |
BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
Security |
Shares |
Value | ||||||||||
Common Stocks | ||||||||||||
Auto Components 0.0% | ||||||||||||
Lear Corp. |
89 | $ | 14,154 | |||||||||
|
|
|||||||||||
Construction & Engineering 0.0% | ||||||||||||
McDermott International Ltd.(a) |
76,644 | 62,081 | ||||||||||
|
|
|||||||||||
Energy Equipment & Services 0.0% | ||||||||||||
Pioneer Energy Services Corp.(b) |
546 | 21,203 | ||||||||||
|
|
|||||||||||
Health Care Management Services 0.0% | ||||||||||||
New Millennium HoldCo, Inc. |
9,191 | 9 | ||||||||||
|
|
|||||||||||
Household Durables 0.0% | ||||||||||||
Berkline Benchcraft Equity LLC(b) |
6,155 | | ||||||||||
|
|
|||||||||||
Media 0.0% | ||||||||||||
Clear Channel Outdoor Holdings, Inc.(a) |
72,096 | 118,958 | ||||||||||
|
|
|||||||||||
Metals & Mining 0.0% | ||||||||||||
Ameriforge Group, Inc. |
832 | 14,560 | ||||||||||
Preferred Proppants LLC(b) |
7,476 | 11,214 | ||||||||||
|
|
|||||||||||
25,774 | ||||||||||||
Oil, Gas & Consumable Fuels 0.0% | ||||||||||||
California Resources Corp.(a) |
1,252 | 29,535 | ||||||||||
|
|
|||||||||||
Software 0.0% | ||||||||||||
Avaya Holdings Corp.(a) |
40 | 766 | ||||||||||
|
|
|||||||||||
Specialty Retail 0.1% | ||||||||||||
NMG Parent LLC |
2,218 | 143,283 | ||||||||||
|
|
|||||||||||
Total Common Stocks 0.1% | ||||||||||||
(Cost: $2,854,316) |
415,763 | |||||||||||
|
|
|||||||||||
Par
(000) |
||||||||||||
Corporate Bonds |
||||||||||||
Aerospace & Defense 0.1% | ||||||||||||
TransDigm, Inc., 8.00%, 12/15/25(c) |
USD | 198 | 218,849 | |||||||||
|
|
|||||||||||
Airlines 1.9% | ||||||||||||
Allegiant Travel Co., 8.50%, 02/05/24(c) |
740 | 791,800 | ||||||||||
American Airlines, Inc., 11.75%, 07/15/25(c) |
1,452 | 1,674,519 | ||||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(c) |
1,507 | 1,620,025 | ||||||||||
United Airlines Pass-Through Trust, Series 2016-1, Class A, 5.88%, 10/15/27 |
1,471 | 1,588,993 | ||||||||||
|
|
|||||||||||
5,675,337 | ||||||||||||
Auto Components 0.1% | ||||||||||||
Clarios Global LP, 6.75%, 05/15/25(c) |
305 | 328,638 | ||||||||||
|
|
|||||||||||
Automobiles 1.0% | ||||||||||||
AutoNation, Inc., 4.75%, 06/01/30 |
87 | 104,690 | ||||||||||
Ford Motor Co., 8.50%, 04/21/23 |
1,256 | 1,413,641 | ||||||||||
Ford Motor Credit Co. LLC, 5.13%, 06/16/25 |
200 | 217,460 | ||||||||||
General Motors Co., 6.13%, 10/01/25 |
406 | 492,465 |
Security |
Par
(000) |
Value | ||||||||||
Automobiles (continued) | ||||||||||||
General Motors Financial Co., Inc., 2.75%, 06/20/25 |
USD | 569 | $ | 608,434 | ||||||||
Group 1 Automotive, Inc., 4.00%, 08/15/28(c) |
105 | 108,232 | ||||||||||
|
|
|||||||||||
2,944,922 | ||||||||||||
Building Materials(c) 0.4% | ||||||||||||
SRM Escrow Issuer LLC, 6.00%, 11/01/28 |
1,130 | 1,181,025 | ||||||||||
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29 |
73 | 76,650 | ||||||||||
|
|
|||||||||||
1,257,675 | ||||||||||||
Chemicals 0.0% | ||||||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(c) |
32 | 35,200 | ||||||||||
|
|
|||||||||||
Construction Materials(c) 0.4% | ||||||||||||
Core & Main LP, 6.13%, 08/15/25 |
140 | 144,725 | ||||||||||
Wolverine Escrow LLC, 9.00%, 11/15/26 |
960 | 908,688 | ||||||||||
|
|
|||||||||||
1,053,413 | ||||||||||||
Consumer Finance 0.1% | ||||||||||||
PayPal Holdings, Inc., 1.65%, 06/01/25 |
261 | 272,688 | ||||||||||
|
|
|||||||||||
Containers & Packaging 0.0% | ||||||||||||
Graham Packaging Co., Inc., 7.13%, 08/15/28(c) |
72 | 79,560 | ||||||||||
|
|
|||||||||||
Diversified Telecommunication Services(c) 0.5% | ||||||||||||
Zayo Group Holdings, Inc. |
||||||||||||
4.00%, 03/01/27 |
1,233 | 1,236,082 | ||||||||||
6.13%, 03/01/28 |
175 | 185,063 | ||||||||||
|
|
|||||||||||
1,421,145 | ||||||||||||
Electric Utilities 0.0% | ||||||||||||
Pike Corp., 5.50%, 09/01/28(c) |
89 | 94,007 | ||||||||||
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc.(b) |
||||||||||||
11.50%, 10/01/20(c) |
654 | | ||||||||||
Term Loan, 1.00%, 11/10/21 |
1,050 | | ||||||||||
|
|
|||||||||||
94,007 | ||||||||||||
Energy Equipment & Services(b)(c)(d) 0.1% | ||||||||||||
Pioneer Energy Services Corp. |
||||||||||||
(11.00% Cash), 11.00%, 05/15/25 |
222 | 177,512 | ||||||||||
(5.00% PIK), 5.00%, 11/15/25(e) |
156 | 84,594 | ||||||||||
|
|
|||||||||||
262,106 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) 0.0% | ||||||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.63%, 06/15/25(c) |
85 | 91,035 | ||||||||||
|
|
|||||||||||
Hotels, Restaurants & Leisure 0.1% | ||||||||||||
Marriott International, Inc., Series EE, 5.75%, 05/01/25 |
233 | 272,540 | ||||||||||
|
|
|||||||||||
Household Products 0.0% | ||||||||||||
Berkline Benchcraft LLC,
4.50%,
|
400 | | ||||||||||
|
|
|||||||||||
Internet Software & Services(c) 0.3% | ||||||||||||
Expedia Group, Inc. |
||||||||||||
3.60%, 12/15/23 |
277 | 295,200 | ||||||||||
6.25%, 05/01/25 |
473 | 548,255 |
110 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Internet Software & Services (continued) | ||||||||||||
TripAdvisor, Inc., 7.00%, 07/15/25 |
USD | 53 | $ | 57,240 | ||||||||
Uber Technologies, Inc., 6.25%, 01/15/28 |
137 | 148,987 | ||||||||||
|
|
|||||||||||
1,049,682 | ||||||||||||
IT Services 0.5% | ||||||||||||
Castle U.S. Holding Corp.,
9.50%,
|
401 | 401,000 | ||||||||||
Fiserv, Inc., 2.25%, 06/01/27 |
968 | 1,031,643 | ||||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 5.75%, 06/01/25(c) |
47 | 49,937 | ||||||||||
|
|
|||||||||||
1,482,580 | ||||||||||||
Machinery(c) 0.2% | ||||||||||||
Clark Equipment Co., 5.88%, 06/01/25 |
73 | 77,015 | ||||||||||
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(d) |
561 | 610,088 | ||||||||||
|
|
|||||||||||
687,103 | ||||||||||||
Media(c) 0.5% | ||||||||||||
Liberty Broadband Corp., 2.75%, 09/30/50(e) |
315 | 336,975 | ||||||||||
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(d) |
111 | 107,670 | ||||||||||
Radiate Holdco LLC/Radiate Finance, Inc. |
|
|||||||||||
4.50%, 09/15/26 |
353 | 364,031 | ||||||||||
6.50%, 09/15/28 |
484 | 510,015 | ||||||||||
Univision Communications, Inc., 6.63%, 06/01/27 |
140 | 150,367 | ||||||||||
|
|
|||||||||||
1,469,058 | ||||||||||||
Oil, Gas & Consumable Fuels 0.1% | ||||||||||||
eG Global Finance PLC, 8.50%, 10/30/25(c) |
182 | 193,746 | ||||||||||
|
|
|||||||||||
Real Estate Management & Development(c) 0.2% | ||||||||||||
Cushman & Wakefield US Borrower LLC, 6.75%, 05/15/28 . |
512 | 564,480 | ||||||||||
Realogy Group LLC/Realogy Co-Issuer Corp., 7.63%, 06/15/25 |
76 | 82,515 | ||||||||||
|
|
|||||||||||
646,995 | ||||||||||||
Semiconductors & Semiconductor Equipment 0.6% | ||||||||||||
Broadcom, Inc. |
||||||||||||
4.70%, 04/15/25 |
1,097 | 1,257,127 | ||||||||||
3.15%, 11/15/25 |
406 | 443,332 | ||||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, 05/01/25(c) |
47 | 50,586 | ||||||||||
|
|
|||||||||||
1,751,045 | ||||||||||||
Software(c) 0.2% | ||||||||||||
BY Crown Parent LLC/BY Bond Finance, Inc., 4.25%, 01/31/26 |
180 | 184,500 | ||||||||||
Solera LLC/Solera Finance, Inc., 10.50%, 03/01/24 |
409 | 423,826 | ||||||||||
|
|
|||||||||||
608,326 | ||||||||||||
Wireless Telecommunication Services 0.1% | ||||||||||||
GLP Capital LP/GLP Financing II, Inc., 4.00%, 01/15/31 |
251 | 273,896 | ||||||||||
|
|
|||||||||||
Total Corporate Bonds 7.4% | ||||||||||||
(Cost: $20,566,989) |
22,169,546 | |||||||||||
|
|
|||||||||||
Floating Rate Loan Interests(g) |
|
|||||||||||
Aerospace & Defense 2.4% | ||||||||||||
Bleriot US Bidco, Inc. |
||||||||||||
Delayed Draw Term Loan, (3 mo. LIBOR + 4.75%), 5.00%, 10/31/26 |
60 | 60,236 | ||||||||||
Term Loan B, (3 mo. LIBOR + 4.75%), 5.00%, 10/31/26 . |
387 | 385,507 |
Security |
Par
(000) |
Value | ||||||||||
Aerospace & Defense (continued) | ||||||||||||
Dynasty Acquisition Co., Inc. |
||||||||||||
2020 CAD Term Loan B2, (3 mo. LIBOR + 3.50%), 3.75%, 04/06/26 |
USD | 1,259 | $ | 1,195,694 | ||||||||
2020 Term Loan B1, (3 mo. LIBOR + 3.50%), 3.75%, 04/06/26 |
2,341 | 2,223,989 | ||||||||||
Nordam Group, Inc., Term Loan B, (1 mo. LIBOR + 5.50%), 5.65%, 04/09/26 |
465 | 371,936 | ||||||||||
Spirit Aerosystems, Inc., 2020 Term Loan B, (1 mo. LIBOR + 5.25%, 0.75% Floor), 6.00%, 01/15/25 |
617 | 621,627 | ||||||||||
Trandigm, Inc., 2020 Term Loan F, (1 mo. LIBOR + 2.25%), 2.40%, 12/09/25 |
2,322 | 2,271,932 | ||||||||||
|
|
|||||||||||
7,130,921 | ||||||||||||
Air Freight & Logistics 0.7% | ||||||||||||
WestJet Airlines Ltd., Term Loan B, (6 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/11/26 |
2,142 | 2,049,275 | ||||||||||
|
|
|||||||||||
Airlines 1.3% | ||||||||||||
American Airlines, Inc. |
||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 1.90%, 01/29/27 |
243 | 207,994 | ||||||||||
2017 Incremental Term Loan, (1 mo. LIBOR + 2.00%), 2.16%, 12/14/23 |
1,213 | 1,087,145 | ||||||||||
Repriced TL B due 2023, (1 mo. LIBOR + 2.00%), 2.15%, 04/28/23 |
846 | 759,968 | ||||||||||
JetBlue Airways Corp., Term Loan, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/17/24 |
466 | 478,359 | ||||||||||
Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/20/27 |
1,472 | 1,529,967 | ||||||||||
|
|
|||||||||||
4,063,433 | ||||||||||||
Auto Components 2.6% | ||||||||||||
Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 04/30/26 |
3,948 | 3,927,582 | ||||||||||
USI, Inc. |
||||||||||||
2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 3.25%, 05/16/24 |
2,361 | 2,325,096 | ||||||||||
2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%), 4.25%, 12/02/26 |
135 | 134,220 | ||||||||||
Wand NewCo 3, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 02/05/26 |
1,613 | 1,587,889 | ||||||||||
|
|
|||||||||||
7,974,787 | ||||||||||||
Automobiles(h) 0.6% | ||||||||||||
Mavis Tire Express Services Corp. |
||||||||||||
2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 3.50%, 03/20/25 |
913 | 894,868 | ||||||||||
2020 Add-On Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 03/20/25 |
827 | 829,067 | ||||||||||
|
|
|||||||||||
1,723,935 | ||||||||||||
Building Materials 0.8% | ||||||||||||
Allied Universal Holdco LLC, 2019 Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%,
|
1,462 | 1,454,629 | ||||||||||
CHI Overhead Doors, Inc., Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%,
|
113 | 112,858 |
S C H E D U L E O F I N V E S T M E N T S |
111 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Building Materials (continued) | ||||||||||||
CP Atlas Buyer, Inc.(h) |
||||||||||||
2020 Delayed Draw Term Loan B2, (3 mo. LIBOR + 4.50%, 0.75% Floor), 5.25%, 11/23/27 |
USD | 186 | $ | 185,732 | ||||||||
2020 Term Loan B1, (3 mo. LIBOR + 4.50%, 0.75% Floor), 5.25%, 11/23/27 |
556 | 557,196 | ||||||||||
|
|
|||||||||||
2,310,415 | ||||||||||||
Building Products 1.1% | ||||||||||||
CPG International, Inc., 2017 Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/05/24(h) |
1,067 | 1,065,131 | ||||||||||
MI Windows and Doors LLC, 2020 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/18/27(h) |
330 | 330,413 | ||||||||||
Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/19/23 |
1,985 | 1,986,978 | ||||||||||
|
|
|||||||||||
3,382,522 | ||||||||||||
Capital Markets 2.3% | ||||||||||||
Deerfield Dakota Holding LLC, 2020 USD Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 04/09/27 |
3,609 | 3,610,232 | ||||||||||
Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%), 3.75%, 11/12/27 |
881 | 879,353 | ||||||||||
FinCo I LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.50%), 2.65%, 06/27/25 |
516 | 514,949 | ||||||||||
Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 04/12/24 |
728 | 718,718 | ||||||||||
GT Polaris, Inc., Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 09/24/27 |
511 | 512,124 | ||||||||||
Jefferies Finance LLC, 2019 Term Loan, (1 mo. LIBOR + 3.00%), 3.19%, 06/03/26 |
714 | 708,261 | ||||||||||
|
|
|||||||||||
6,943,637 | ||||||||||||
Chemicals 4.5% | ||||||||||||
Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 01/31/24 |
1,770 | 1,762,089 | ||||||||||
Ascend Performance Materials Operations LLC, 2019 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 08/27/26 |
1,590 | 1,594,322 | ||||||||||
Axalta Coating Systems US Holdings, Inc., USD Term Loan B3, (3 mo. LIBOR + 1.75%), 2.00%, 06/01/24 |
1,153 | 1,142,670 | ||||||||||
Chemours Co., 2018 USD Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 04/03/25 |
403 | 394,600 | ||||||||||
Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/28/24 |
720 | 702,053 | ||||||||||
Encapsys LLC, 2020 Term Loan B2, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 11/07/24 |
764 | 758,443 | ||||||||||
Illuminate Buyer LLC, Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 06/30/27 |
1,530 | 1,528,827 | ||||||||||
Invictus US LLC |
||||||||||||
1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 03/28/25 |
475 | 465,962 | ||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 6.90%, 03/30/26 |
526 | 499,977 | ||||||||||
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 2.75%, 03/02/26 |
1,767 | 1,752,057 | ||||||||||
Minerals Technologies, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 02/14/24(b) |
262 | 260,948 |
Security |
Par
(000) |
Value | ||||||||||
Chemicals (continued) | ||||||||||||
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 05/15/24 |
USD | 924 | $ | 909,781 | ||||||||
Oxea Holding Drei GmbH, 2017 USD Term Loan B2, (3 mo. LIBOR + 3.50%), 3.75%, 10/14/24 |
1,595 | 1,573,185 | ||||||||||
Starfruit Finco BV, 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 10/01/25 |
127 | 125,523 | ||||||||||
|
|
|||||||||||
13,470,437 | ||||||||||||
Commercial Services & Supplies 4.1% | ||||||||||||
Aramark Services, Inc., 2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.90%, 03/11/25 |
95 | 93,813 | ||||||||||
Asurion LLC |
||||||||||||
2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 6.65%, 08/04/25 |
931 | 936,758 | ||||||||||
2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 3.15%, 11/03/23 |
1,306 | 1,292,436 | ||||||||||
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 3.15%, 11/03/24 |
705 | 698,581 | ||||||||||
2020 Term Loan B8, (3 mo. LIBOR + 3.25%), 3.49%, 12/23/26 |
493 | 486,898 | ||||||||||
Creative Artists Agency LLC |
||||||||||||
2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 11/26/26 |
361 | 356,310 | ||||||||||
2020 Incremental Term Loan B1, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 11/26/26 |
1,219 | 1,202,674 | ||||||||||
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 12/12/25 |
1,447 | 1,434,107 | ||||||||||
Diamond (BC) BV, USD Term Loan, (3 mo. LIBOR + 3.00%), 3.21%, 09/06/24 |
1,188 | 1,169,329 | ||||||||||
EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/09/25 |
350 | 343,753 | ||||||||||
Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 11/03/23 |
274 | 241,244 | ||||||||||
KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.44%, 09/19/26(b) |
610 | 599,548 | ||||||||||
Prime Security Services Borrower LLC, 2019 Term Loan B1, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 09/23/26 |
1,233 | 1,235,939 | ||||||||||
Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 4.65%, 08/27/25 |
1,652 | 1,648,679 | ||||||||||
West Corp., 2017 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 10/10/24 |
707 | 683,095 | ||||||||||
|
|
|||||||||||
12,423,164 | ||||||||||||
Communications Equipment 0.2% | ||||||||||||
Avantor, Inc., USD Term Loan B3, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 11/21/24 |
707 | 706,573 | ||||||||||
|
|
|||||||||||
Construction & Engineering 1.6% | ||||||||||||
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/21/24 |
2,468 | 2,401,808 | ||||||||||
Pike Corp., 2020 Term Loan B, (1 mo. LIBOR + 3.97%), 4.12%, 07/24/26 |
323 | 321,396 |
112 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Construction & Engineering (continued) | ||||||||||||
Ply Gem Midco, Inc., 2018 Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 04/12/25 |
USD | 264 | $ | 263,250 | ||||||||
SRS Distribution, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 05/23/25 |
1,804 | 1,773,610 | ||||||||||
|
|
|||||||||||
4,760,064 | ||||||||||||
Construction Materials 2.2% | ||||||||||||
Core & Main LP, 2017 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 08/01/24 |
3,119 | 3,100,223 | ||||||||||
Filtration Group Corp. |
||||||||||||
2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 03/29/25 |
1,495 | 1,477,169 | ||||||||||
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 03/29/25 |
750 | 750,120 | ||||||||||
Forterra Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/25/23 |
714 | 714,547 | ||||||||||
Potters Industries LLC, Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/09/27(b)(h) |
498 | 498,000 | ||||||||||
|
|
|||||||||||
6,540,059 | ||||||||||||
Consumer Discretionary(h) 0.4% | ||||||||||||
Zaxbys Operating Company LLC |
||||||||||||
1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/10/27 |
858 | 858,000 | ||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 0.75% Floor), 7.25%,
|
391 | 394,910 | ||||||||||
|
|
|||||||||||
1,252,910 | ||||||||||||
Containers & Packaging 1.9% | ||||||||||||
Berry Global, Inc. |
||||||||||||
Term Loan W, (1 mo. LIBOR + 2.00%), 2.15%, 10/01/22. |
1,524 | 1,521,953 | ||||||||||
Term Loan Y, (1 mo. LIBOR + 2.00%), 2.15%, 07/01/26 . |
300 | 298,083 | ||||||||||
BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 3.48%, 04/03/24 |
1,501 | 1,446,550 | ||||||||||
Flex Acquisition Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/29/23 |
1,265 | 1,256,265 | ||||||||||
Pregis TopCo Corp. |
||||||||||||
1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 08/01/26 |
387 | 384,838 | ||||||||||
2020 Incremental Term Loan, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 08/01/26(b)(h) |
179 | 177,657 | ||||||||||
Tosca Services LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 08/18/27 |
509 | 510,486 | ||||||||||
|
|
|||||||||||
5,595,832 | ||||||||||||
Distributors 1.3% | ||||||||||||
American Builders & Contractors Supply Co., Inc., |
||||||||||||
2019 Term Loan, (1 mo. LIBOR + 2.00%), 2.15%, 01/15/27 |
1,784 | 1,765,319 | ||||||||||
TMK Hawk Parent Corp. |
||||||||||||
2020 Super Priority First Out Term Loan A, (1 mo. LIBOR + 9.50%, 1.00% Floor), 10.50%, 05/30/24 |
583 | 559,596 | ||||||||||
2020 Super Priority Second Out Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 08/28/24(b) |
1,934 | 1,508,603 | ||||||||||
|
|
|||||||||||
3,833,518 | ||||||||||||
Diversified Consumer Services 3.6% | ||||||||||||
Amentum Government Services Holdings LLC, Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 02/01/27 |
342 | 340,997 | ||||||||||
Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 07/12/24 |
966 | 959,818 |
Security |
Par
(000) |
Value | ||||||||||
Diversified Consumer Services (continued) | ||||||||||||
Ascend Learning, LLC, 2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 07/12/24 |
USD | 630 | $ | 631,473 | ||||||||
BidFair MergerRight, Inc., Term Loan B, (1 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 01/15/27 |
2,027 | 2,032,558 | ||||||||||
Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (1 mo. LIBOR + 1.75%, 0.75% Floor), 2.50%, 11/07/23 |
1,148 | 1,135,750 | ||||||||||
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 07/11/25 |
1,610 | 1,556,795 | ||||||||||
Midas Intermediate Holdco II LLC, 2020 Term Loan B, (3 mo. LIBOR + 6.75%), 7.50%, 12/22/25(h) |
963 | 975,524 | ||||||||||
Nomad Foods Europe Midco Ltd., 2017 USD Term Loan B4, (1 mo. LIBOR + 2.25%), 2.41%, 05/15/24 |
701 | 691,440 | ||||||||||
PAI Holdco, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 10/28/27 |
473 | 473,000 | ||||||||||
Serta Simmons Bedding LLC |
||||||||||||
2020 Super Priority First Out Term Loan, (1 mo. LIBOR + 7.50%), 8.50%, 08/10/23 |
292 | 294,804 | ||||||||||
2020 Super Priority Second Out Term Loan, (1 mo. LIBOR + 7.50%, 1.00% Floor), 8.50%, 08/10/23 |
459 | 412,076 | ||||||||||
Uber Technologies, Inc., 2018 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 07/13/23 |
1,318 | 1,314,199 | ||||||||||
|
|
|||||||||||
10,818,434 | ||||||||||||
Diversified Financial Services 5.3% | ||||||||||||
Advisor Group, Inc., 2019 Term Loan B, (1 mo. LIBOR + 5.00%), 5.15%, 08/01/26 |
655 | 647,933 | ||||||||||
Alchemy Copyrights LLC, Term Loan B, (3 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 08/16/27(b) |
529 | 529,997 | ||||||||||
AlixPartners LLP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 2.65%, 04/04/24 |
1,809 | 1,786,359 | ||||||||||
Allsups Convenience Stores, Inc., Term Loan, (1 mo. LIBOR + 6.25%), 6.40%, 11/18/24 |
379 | 379,787 | ||||||||||
Applecaramel Buyer LLC, Term Loan B, (6 mo. LIBOR + 4.00%), 4.50%, 10/19/27 |
770 | 769,038 | ||||||||||
Delta TopCo, Inc. |
||||||||||||
2020 2nd Lien Term Loan, (6 mo. LIBOR + 7.25%, 0.75% Floor), 8.00%, 12/01/28 |
412 | 414,575 | ||||||||||
2020 Term Loan B, (6 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 09/30/27 |
2,261 | 2,258,649 | ||||||||||
EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 4.25%, 02/07/25 |
566 | 559,140 | ||||||||||
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/03/24 |
1,045 | 990,000 | ||||||||||
LBM Acquisition LLC(h) |
||||||||||||
Delayed Draw Term Loan, 5.25%, 12/09/27 |
131 | 130,775 | ||||||||||
Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/17/27 |
589 | 588,488 | ||||||||||
LEB Holdings (USA), Inc, Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/02/27 |
473 | 474,026 | ||||||||||
Milano Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 10/01/27 |
1,570 | 1,567,378 | ||||||||||
SMG US Midco 2, Inc., 2020 Term Loan, (3 mo. LIBOR + 2.50%), 2.71%, 01/23/25 |
959 | 900,348 | ||||||||||
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 4.50%, 07/30/25 |
317 | 301,461 | ||||||||||
Therma Intermediate LLC, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/10/27 |
435 | 433,212 |
S C H E D U L E O F I N V E S T M E N T S |
113 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Diversified Financial Services (continued) | ||||||||||||
VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 02/28/27 |
USD | 2,136 | $ | 2,122,590 | ||||||||
Ziggo Financing Partnership, USD Term Loan I, (1 mo. LIBOR + 2.50%), 2.66%, 04/30/28 |
1,003 | 995,788 | ||||||||||
|
|
|||||||||||
15,849,544 | ||||||||||||
Diversified Telecommunication Services 3.6% | ||||||||||||
Cablevision Lightpath LLC, Term Loan B, (3 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 09/29/27(h) |
356 | 355,000 | ||||||||||
Consolidated Communications, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 10/02/27 |
694 | 696,468 | ||||||||||
Frontier Communications Corp., 2020 DIP Exit Term Loan, (1 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 10/08/21 |
948 | 950,967 | ||||||||||
GCI LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%, 0.75% Floor), 3.50%, 10/15/25(h) |
764 | 760,028 | ||||||||||
Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 05/16/24 |
1,628 | 1,627,307 | ||||||||||
Intelsat Jackson Holdings SA |
||||||||||||
2017 Term Loan B3, (PRIME + 4.75%), 8.00%, 11/27/23 |
245 | 248,063 | ||||||||||
2020 DIP Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 07/13/22 |
85 | 86,406 | ||||||||||
Iridium Satellite LLC, Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 11/04/26 |
1,080 | 1,084,309 | ||||||||||
Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 03/01/27 |
1,183 | 1,161,894 | ||||||||||
MTN Infrastructure TopCo, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/15/24 |
1,421 | 1,415,880 | ||||||||||
Northwest Fiber LLC, Term Loan B, (1 mo. LIBOR + 5.50%), 5.65%, 04/30/27 |
590 | 590,955 | ||||||||||
TDC A/S, EUR Term Loan, (6 mo. LIBOR + 3.00%), 3.00%, 06/04/25 |
EUR | 819 | 994,255 | |||||||||
Virgin Media SFA Finance Ltd., GBP Term Loan L, (LIBOR - GBP + 3.25%), 3.28%, 01/15/27 |
GBP | 600 | 800,160 | |||||||||
|
|
|||||||||||
10,771,692 | ||||||||||||
Electric Utilities 0.3% | ||||||||||||
ExGen Renewables IV LLC, 2020 Term Loan, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 12/15/27 |
USD | 837 | 835,745 | |||||||||
|
|
|||||||||||
Electrical Equipment 0.6% | ||||||||||||
Gates Global LLC, 2017 USD Repriced Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/01/24 |
1,951 | 1,943,966 | ||||||||||
|
|
|||||||||||
Electronic Equipment, Instruments & Components 0.2% | ||||||||||||
GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 02/12/25 |
529 | 528,333 | ||||||||||
|
|
|||||||||||
Energy Equipment & Services 0.2% | ||||||||||||
Dell International LLC, 2019 Term Loan B, (1 mo. LIBOR + 2.00%, 0.75% Floor), 2.75%, 09/19/25 |
529 | 529,512 | ||||||||||
|
|
|||||||||||
Entertainment 0.4% | ||||||||||||
MSG National Properties LLC, Term Loan, (3 mo. LIBOR + 6.25%, 0.75% Floor), 7.00%, 11/12/25(b)(h) |
1,223 | 1,229,115 | ||||||||||
|
|
Security |
Par
(000) |
Value | ||||||||||
Environmental, Maintenance, & Security Service 0.9% | ||||||||||||
Asplundh Tree Expert LLC, Term Loan B, (1 mo. LIBOR + 2.50%), 2.65%, 09/07/27 |
USD | 1,235 | $ | 1,237,227 | ||||||||
TruGreen Limited Partnership, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/02/27 |
1,524 | 1,529,334 | ||||||||||
|
|
|||||||||||
2,766,561 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) 0.7% | ||||||||||||
RHP Hotel Properties LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 05/11/24 |
448 | 437,180 | ||||||||||
VICI Properties LLC, Replacement Term Loan B, (1 mo. LIBOR + 1.75%), 1.89%, 12/20/24 |
1,824 | 1,791,457 | ||||||||||
|
|
|||||||||||
2,228,637 | ||||||||||||
Food & Staples Retailing 1.1% | ||||||||||||
Hearthside Food Solutions LLC |
||||||||||||
2018 Incremental Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 05/23/25 |
587 | 577,159 | ||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.68%), 3.83%, 05/23/25 |
521 | 511,384 | ||||||||||
2020 Incremental Term Loan B3, (1 mo. LIBOR + 5.00%, 1.00% Floor), 6.00%, 05/23/25 |
102 | 102,570 | ||||||||||
US Foods, Inc. |
||||||||||||
2016 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 06/27/23 |
1,618 | 1,592,072 | ||||||||||
2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 09/13/26 |
401 | 394,066 | ||||||||||
|
|
|||||||||||
3,177,251 | ||||||||||||
Food Products 3.0% | ||||||||||||
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 10/01/25 |
674 | 671,300 | ||||||||||
B&G Foods, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 2.65%, 10/10/26(h) |
262 | 261,430 | ||||||||||
Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/23/27 |
1,921 | 1,914,461 | ||||||||||
Froneri International Ltd. |
||||||||||||
2020 USD 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 5.90%, 01/29/28(b) |
248 | 249,317 | ||||||||||
2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 2.40%, 01/29/27 |
2,865 | 2,833,215 | ||||||||||
JBS USA LUX SA, 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 05/01/26 |
320 | 317,109 | ||||||||||
Pathway Vet Alliance LLC |
||||||||||||
2020 Delayed Draw Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 03/31/27 |
27 | 27,003 | ||||||||||
2020 Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 03/31/27 |
331 | 330,589 | ||||||||||
Reynolds Group Holdings, Inc. |
||||||||||||
2017 Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 02/05/23 |
1,392 | 1,385,502 | ||||||||||
2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 02/05/26 |
252 | 249,515 | ||||||||||
Shearers Foods, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 09/23/27 |
391 | 390,899 | ||||||||||
Sovos Brands Intermediate, Inc., 2018 Term Loan, (3 mo. LIBOR + 4.75%), 4.96%, 11/20/25(b) |
465 | 465,395 | ||||||||||
|
|
|||||||||||
9,095,735 |
114 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Health Care Equipment & Supplies 1.1% | ||||||||||||
Avantor Funding, Inc., 2020 Incremental Term Loan B4, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 11/06/27(h) |
USD | 1,282 | $ | 1,282,808 | ||||||||
Ortho-Clinical Diagnostics SA, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 06/30/25 |
2,168 | 2,134,587 | ||||||||||
|
|
|||||||||||
3,417,395 | ||||||||||||
Health Care Providers & Services 4.5% | ||||||||||||
AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/30/25 |
491 | 492,240 | ||||||||||
CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 06/07/23 |
1,171 | 1,162,270 | ||||||||||
Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 01/08/27 |
597 | 597,997 | ||||||||||
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 10/10/25 |
1,204 | 1,000,435 | ||||||||||
EyeCare Partners LLC |
||||||||||||
2020 2nd Lien Term Loan, (1 mo. LIBOR + 8.25%), 8.40%, 02/18/28(b) |
780 | 709,800 | ||||||||||
2020 Delayed Draw Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 02/18/27 |
201 | 195,324 | ||||||||||
2020 Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 02/18/27 |
855 | 830,824 | ||||||||||
Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 4.75%, 03/05/26(h) |
607 | 565,303 | ||||||||||
Gentiva Health Services, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.44%, 07/02/25 |
1,340 | 1,331,243 | ||||||||||
HC Group Holdings II, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 08/06/26 |
1,415 | 1,411,767 | ||||||||||
MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 06/07/23 |
728 | 724,545 | ||||||||||
Precision Medicine Group LLC, Term Loan, (3 mo. LIBOR + 3.75%), 4.50%, 11/18/27(b)(h) |
1,210 | 1,210,252 | ||||||||||
Sotera Health Holdings LLC, 2019 Term Loan, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/11/26 |
3,167 | 3,176,411 | ||||||||||
|
|
|||||||||||
13,408,411 | ||||||||||||
Health Care Services 1.1% | ||||||||||||
Azalea Topco, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 3.71%, 07/25/26 |
1,292 | 1,274,510 | ||||||||||
Unified Physician Management LLC, 2020 Term Loan, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 12/16/27(b)(h) |
883 | 876,377 | ||||||||||
WP CityMD Bidco LLC, 2019 Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 08/13/26 |
1,104 | 1,101,014 | ||||||||||
|
|
|||||||||||
3,251,901 | ||||||||||||
Health Care Technology 1.5% | ||||||||||||
Change Healthcare Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 03/01/24 |
1,732 | 1,722,090 | ||||||||||
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 10/10/25 |
1,780 | 1,766,232 | ||||||||||
Press Ganey Holdings, Inc., 2020 Incremental Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 07/25/26 |
595 | 593,513 | ||||||||||
Quintiles IMS, Inc., 2017 USD Term Loan B1, (1 mo. LIBOR + 1.75%), 1.90%, 03/07/24 |
307 | 304,564 | ||||||||||
|
|
|||||||||||
4,386,399 | ||||||||||||
Hotels, Restaurants & Leisure 8.3% | ||||||||||||
1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.90%, 11/19/26 |
1,520 | 1,496,609 |
Security |
Par
(000) |
Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 02/02/26 |
USD | 267 | $ | 251,037 | ||||||||
Aristocrat Leisure Ltd., 2020 Incremental Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/24 |
618 | 619,057 | ||||||||||
Aristocrat Technologies, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 1.75%), 1.96%, 10/19/24 |
605 | 598,940 | ||||||||||
Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.25%), 2.35%, 09/15/23 |
705 | 698,505 | ||||||||||
Caesars Resort Collection LLC |
||||||||||||
2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 12/23/24 |
1,709 | 1,674,900 | ||||||||||
2020 Term Loan B1, (1 mo. LIBOR + 4.50%), 4.65%, 07/20/25 |
2,245 | 2,245,703 | ||||||||||
CCM Merger, Inc., 2020 Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 11/04/25(h) |
443 | 441,706 | ||||||||||
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 03/08/24 |
2,403 | 2,145,671 | ||||||||||
Four Seasons Hotels Ltd., New 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 2.15%, 11/30/23 |
836 | 829,252 | ||||||||||
Gateway Casinos & Entertainment Ltd., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 12/01/23 |
95 | 90,268 | ||||||||||
Golden Nugget LLC, 2017 Incremental Term Loan B, (2 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 10/04/23 |
1,307 | 1,259,429 | ||||||||||
Golden Nugget, Inc., 2020 Initial Term Loan, (3 mo. LIBOR + 12.00%, 1.00% Floor), 13.00%, 10/04/23(b) |
110 | 123,943 | ||||||||||
Herschend Entertainment Co. LLC, Term Loan B, (3 mo. LIBOR + 5.75%, 1.00% Floor), 6.75%, 08/25/25 |
369 | 370,920 | ||||||||||
IRB Holding Corp. |
||||||||||||
2020 Fourth Amendment Incremental Term Loan, (3 mo. LIBOR + 3.25%), 4.25%, 11/12/27(h) |
2,811 | 2,811,871 | ||||||||||
2020 Term Loan B, (6 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 02/05/25 |
1,416 | 1,401,942 | ||||||||||
KFC Holding Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.91%, 04/03/25 |
862 | 854,776 | ||||||||||
Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/29/24 |
370 | 338,755 | ||||||||||
Playtika Holding Corp., Term Loan B, (3 mo. LIBOR + 6.00%, 1.00% Floor), 7.00%, 12/10/24 |
887 | 891,391 | ||||||||||
Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 2.90%, 08/14/24 |
651 | 635,262 | ||||||||||
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 3.50%), 3.75%, 07/10/25 |
551 | 552,366 | ||||||||||
Station Casinos LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 2.50%, 02/08/27 |
1,283 | 1,261,593 | ||||||||||
Travelport Finance (Luxembourg) Sarl |
||||||||||||
(3 mo. LIBOR + 7.00%, 1.00% Floor), 9.00%, 02/28/25 |
798 | 773,665 | ||||||||||
2019 Term Loan, (3 mo. LIBOR + 5.00%), 5.25%, 05/29/26 |
1,380 | 931,009 | ||||||||||
Whatabrands LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.97%, 08/02/26 |
1,302 | 1,289,015 | ||||||||||
Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 05/30/25 |
343 | 340,170 | ||||||||||
|
|
|||||||||||
24,927,755 | ||||||||||||
Household Durables 0.6% | ||||||||||||
Reynolds Consumer Products LLC, Term Loan, (1 mo. LIBOR + 1.75%), 1.90%, 02/04/27 |
990 | 982,672 | ||||||||||
Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 10/30/27 |
739 | 739,369 | ||||||||||
|
|
|||||||||||
1,722,041 |
S C H E D U L E O F I N V E S T M E N T S |
115 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Independent Power and Renewable Electricity Producers 0.9% | ||||||||||||
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 01/15/25 |
USD | 316 | $ | 312,176 | ||||||||
Calpine Corp. |
||||||||||||
2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.15%, 08/12/26 |
476 | 468,817 | ||||||||||
Term Loan B9, (1 mo. LIBOR + 2.25%), 2.40%, 04/06/26 |
1,939 | 1,916,612 | ||||||||||
|
|
|||||||||||
2,697,605 | ||||||||||||
Industrial Conglomerates 3.1% | ||||||||||||
AVSC Holding Corp. |
||||||||||||
(3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 03/03/25 |
2,355 | 2,000,319 | ||||||||||
(6 mo. LIBOR + 15.00%), 15.26%, 10/15/26(h) |
680 | 778,696 | ||||||||||
Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor),
7.75%,
|
810 | 814,207 | ||||||||||
Vertical US Newco, Inc., USD Term Loan B, (6 mo. LIBOR + 4.25%), 4.57%, 07/30/27 |
1,188 | 1,192,050 | ||||||||||
Vertiv Group Corp., Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 03/02/27(h) |
4,527 | 4,495,107 | ||||||||||
|
|
|||||||||||
9,280,379 | ||||||||||||
Insurance 3.9% | ||||||||||||
Alliant Holdings I, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 05/09/25 |
1,807 | 1,776,886 | ||||||||||
Alliant Holdings Intermediate LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 05/09/25 |
638 | 626,714 | ||||||||||
AmWINS Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 01/25/24 |
1,337 | 1,334,066 | ||||||||||
AssuredPartners Capital, Inc., 2020 Incremental Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/13/27 |
421 | 421,085 | ||||||||||
AssuredPartners, Inc., 2020 Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 02/13/27 |
887 | 873,094 | ||||||||||
HUB International Ltd. |
||||||||||||
2018 Term Loan B, (3 mo. LIBOR + 2.75%), 3.00%, 04/25/25 |
2,108 | 2,067,942 | ||||||||||
2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 04/25/25 |
545 | 546,281 | ||||||||||
Ryan Specialty Group LLC, Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 09/01/27 |
1,021 | 1,016,616 | ||||||||||
Sedgwick Claims Management Services, Inc. |
||||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 12/31/25 |
1,213 | 1,192,623 | ||||||||||
2019 Term Loan B, (1 mo. LIBOR + 4.00%), 4.15%, 09/03/26 |
747 | 743,515 | ||||||||||
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26 |
1,045 | 1,051,109 | ||||||||||
|
|
|||||||||||
11,649,931 | ||||||||||||
Interactive Media & Services 1.8% | ||||||||||||
Adevinta ASA, USD Term Loan B, (3 mo. LIBOR + 3.00%, 0.75% Floor), 3.75%, 10/13/27(h) |
1,545 | 1,542,876 | ||||||||||
Camelot U.S. Acquisition 1 Co., 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/31/26 |
2,212 | 2,209,921 |
Security |
Par
(000) |
Value | ||||||||||
Interactive Media & Services (continued) | ||||||||||||
Go Daddy Operating Co. LLC, 2020 Term Loan B3, (1 mo. LIBOR + 2.50%), 2.65%, 08/10/27 |
USD | 1,195 | $ | 1,198,484 | ||||||||
TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/06/24 |
600 | 596,427 | ||||||||||
|
|
|||||||||||
5,547,708 | ||||||||||||
Internet & Direct Marketing Retail 0.6% | ||||||||||||
CNT Holdings I Corp., 2020 Term Loan, (6 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 11/08/27 |
1,688 | 1,685,097 | ||||||||||
|
|
|||||||||||
IT Services 8.2% | ||||||||||||
Ancestry.com, Inc., 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.50% Floor), 4.50%, 12/06/27(h) |
1,482 | 1,482,741 | ||||||||||
Aruba Investments, Inc.(h) |
||||||||||||
2020 2nd Lien Term Loan, (3 mo. LIBOR + 7.75%, 0.75% Floor), 8.50%, 11/24/28 |
885 | 885,000 | ||||||||||
2020 USD Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/24/27 |
479 | 478,401 | ||||||||||
Camelot U.S. Acquisition 1 Co., Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 10/31/26 |
2,432 | 2,418,432 | ||||||||||
Greeneden US Holdings II LLC, 2018 USD Term Loan B, (1 mo. LIBOR + 3.25%), 0.00%, 12/01/23 |
2,068 | 2,960,217 | ||||||||||
GreenSky Holdings LLC, 2020 Term Loan B2, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 03/29/25(b) |
964 | 944,872 | ||||||||||
Peak 10 Holding Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 7.48%, 08/01/25 |
605 | 378,664 | ||||||||||
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 02/12/27 |
1,984 | 1,888,028 | ||||||||||
Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/03/23 |
233 | 232,309 | ||||||||||
Sophia LP, 2020 2nd Lien Term Loan, (3 mo. LIBOR + 8.00%, 1.00% Floor), 9.00%, 10/09/28(b) |
2,590 | 2,564,100 | ||||||||||
Trans Union LLC, 2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.90%, 11/16/26 |
1,962 | 1,952,704 | ||||||||||
Veritas US, Inc., 2020 USD Term Loan B, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 09/01/25 |
4,428 | 4,411,282 | ||||||||||
Virtusa Corp., Term Loan B, (3 mo. LIBOR + 4.50%, 0.75% Floor), 5.25%, 12/01/27(h) |
653 | 648,103 | ||||||||||
WEX, Inc., Term Loan B3, (1 mo. LIBOR + 2.25%), 2.40%, 05/15/26 |
1,955 | 1,940,571 | ||||||||||
Zephyr Bidco Ltd., 2018 GBP Term Loan B1, (LIBOR - GBP + 4.50%), 4.52%, 07/23/25 |
GBP | 1,000 | 1,338,441 | |||||||||
|
|
|||||||||||
24,523,865 | ||||||||||||
Leisure Products 0.2% | ||||||||||||
MND Holdings III Corp., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/19/24 |
USD | 623 | 576,079 | |||||||||
|
|
|||||||||||
Life Sciences Tools & Services 0.8% | ||||||||||||
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/04/27 |
1,653 | 1,634,904 | ||||||||||
Maravai Intermediate Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 10/19/27(b) |
769 | 775,623 | ||||||||||
|
|
|||||||||||
2,410,527 |
116 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Machinery 2.0% | ||||||||||||
Columbus McKinnon Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 01/31/24 |
USD | 82 | $ | 81,298 | ||||||||
Hayward Industries, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 08/05/24 |
900 | 888,372 | ||||||||||
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1 mo. LIBOR + 1.75%), 1.90%, 02/28/27 |
1,406 | 1,386,332 | ||||||||||
Terex Corp., 2019 Term Loan B1, (1 mo. LIBOR + 2.75%, 0.75% Floor), 3.50%, 01/31/24(b) |
197 | 194,535 | ||||||||||
Titan Acquisition Ltd., 2018 Term Loan B, (6 mo. LIBOR + 3.00%), 3.27%, 03/28/25 |
3,440 | 3,347,650 | ||||||||||
|
|
|||||||||||
5,898,187 | ||||||||||||
Media 15.3% | ||||||||||||
Altice Financing SA |
||||||||||||
2017 USD Term Loan B, (1 mo. LIBOR + 2.75%), 2.91%, 07/15/25 |
702 | 686,186 | ||||||||||
USD 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 01/31/26 |
970 | 947,491 | ||||||||||
Altice France SA, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 4.24%, 08/14/26 |
2,174 | 2,161,744 | ||||||||||
Charter Communications Operating LLC, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 1.90%, 04/30/25 |
2,093 | 2,083,820 | ||||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 3.71%, 08/21/26 |
4,029 | 3,870,658 | ||||||||||
Connect Finco Sarl, Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/12/26 |
5,676 | 5,689,619 | ||||||||||
CSC Holdings LLC |
||||||||||||
2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 2.41%, 07/17/25 |
1,333 | 1,310,893 | ||||||||||
2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 2.66%, 04/15/27 |
1,314 | 1,299,814 | ||||||||||
E.W. Scripps Co., 2020 Term Loan B3, 3.75%, 12/15/27(h) . |
635 | 635,000 | ||||||||||
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/01/23 |
2,670 | 2,401,642 | ||||||||||
Liberty Latin America Ltd., Term Loan B, (1 mo. LIBOR + 5.00%), 5.15%, 10/15/26 |
799 | 801,165 | ||||||||||
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 2.40%, 03/24/25 |
837 | 823,114 | ||||||||||
Live Nation Entertainment, Inc., Term Loan B4, (1 Week LIBOR + 1.75%), 1.88%, 10/19/26 |
1,725 | 1,672,883 | ||||||||||
MCC Iowa LLC, Term Loan N, (1 Week LIBOR + 1.75%), 1.86%, 02/15/24 |
164 | 163,334 | ||||||||||
MH Sub I LLC |
||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 09/13/24 |
2,179 | 2,147,567 | ||||||||||
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 09/15/24 |
1,206 | 1,200,895 | ||||||||||
Midcontinent Communications, 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 08/15/26 |
452 | 449,836 | ||||||||||
Nexstar Broadcasting, Inc., 2019 Term Loan B4, (3 mo. LIBOR + 2.75%), 2.90%, 09/19/26 |
828 | 821,718 | ||||||||||
Radiate Holdco LLC, 2020 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 09/25/26 |
1,507 | 1,508,012 | ||||||||||
Sinclair Television Group, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%), 2.40%, 01/03/24 |
518 | 510,773 | ||||||||||
Terrier Media Buyer, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 12/17/26 |
1,933 | 1,932,345 | ||||||||||
Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 09/28/23(b) |
2,539 | 2,519,532 |
Security |
Par
(000) |
Value | ||||||||||
Media (continued) | ||||||||||||
Virgin Media Bristol LLC |
||||||||||||
2020 USD Term Loan Q, (3 mo. LIBOR + 3.25%), 3.25%, 01/31/29(h) |
USD | 1,453 | $ | 1,450,646 | ||||||||
USD Term Loan N, (1 mo. LIBOR + 2.50%), 2.66%, 01/31/28 |
1,461 | 1,446,258 | ||||||||||
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 05/18/25 |
1,839 | 1,688,919 | ||||||||||
Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 03/09/27 |
5,657 | 5,614,695 | ||||||||||
|
|
|||||||||||
45,838,559 | ||||||||||||
Metals & Mining 0.4% | ||||||||||||
Ball Metalpack LLC, 2018 1st Lien Term Loan B, (2 mo. LIBOR + 4.50%), 4.73%, 07/31/25 |
1,098 | 1,075,963 | ||||||||||
|
|
|||||||||||
Multi-line Retail 0.2% | ||||||||||||
Eyemart Express LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 08/04/24 |
587 | 582,448 | ||||||||||
Neiman Marcus Group Ltd. LLC, 2020 Exit Term Loan, (3 mo. LIBOR + 12.00%, 1.00% Floor), 13.00%, 09/25/25 |
172 | 182,480 | ||||||||||
|
|
|||||||||||
764,928 | ||||||||||||
Oil, Gas & Consumable Fuels 0.5% | ||||||||||||
Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 12/13/25 |
913 | 893,323 | ||||||||||
EG Group Ltd., 2018 USD Term Loan B, (3 mo. LIBOR + 4.00%), 4.25%, 02/07/25 |
481 | 475,072 | ||||||||||
McDermott Technology Americas, Inc. |
||||||||||||
2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 06/30/24(b)(h) |
25 | 643 | ||||||||||
2020 Take Back Term Loan, 3.00%, 06/30/25(d) |
175 | 113,096 | ||||||||||
|
|
|||||||||||
1,482,134 | ||||||||||||
Paper & Forest Products 0.8% | ||||||||||||
Charter NEX US, Inc., 2020 Term Loan, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 12/01/27(h) |
2,451 | 2,461,140 | ||||||||||
|
|
|||||||||||
Personal Products 1.4% | ||||||||||||
Sunshine Luxembourg VII Sarl, USD Term Loan B1, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 09/25/26 |
4,114 | 4,121,939 | ||||||||||
|
|
|||||||||||
Pharmaceuticals 3.4% | ||||||||||||
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 3.69%, 05/04/25 |
1,220 | 1,186,433 | ||||||||||
Catalent Pharma Solutions, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 05/18/26 |
1,265 | 1,264,134 | ||||||||||
Elanco Animal Health, Inc., Term Loan B, (3 mo. LIBOR + 1.75%), 1.90%, 08/01/27 |
770 | 762,859 | ||||||||||
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 Week LIBOR + 2.00%), 2.10%, 11/15/27 |
1,050 | 1,039,975 | ||||||||||
Jaguar Holding Co. II, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 08/18/22 |
2,096 | 2,094,092 | ||||||||||
Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 06/02/25 |
3,778 | 3,761,340 | ||||||||||
|
|
|||||||||||
10,108,833 | ||||||||||||
Professional Services 1.9% | ||||||||||||
Dun & Bradstreet Corp. |
||||||||||||
2020 Add-On Term Loan, 3.98%,
|
635 | 634,733 |
S C H E D U L E O F I N V E S T M E N T S |
117 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Professional Services (continued) | ||||||||||||
Dun & Bradstreet Corp. (continued) |
||||||||||||
Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 02/06/26 |
USD | 4,182 | $ | 4,180,144 | ||||||||
STG-Fairway Holdings LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 01/31/27 |
959 | 942,395 | ||||||||||
|
|
|||||||||||
5,757,272 | ||||||||||||
Real Estate Management & Development 0.7% | ||||||||||||
CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 04/18/24 |
1,271 | 1,251,492 | ||||||||||
Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 08/21/25 |
907 | 888,801 | ||||||||||
Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 02/08/25 |
124 | 121,891 | ||||||||||
|
|
|||||||||||
2,262,184 | ||||||||||||
Road & Rail 0.3% | ||||||||||||
Moda Ingleside Energy Center LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 09/25/25 |
155 | 153,566 | ||||||||||
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 5.71%, 08/04/25(b) |
761 | 694,597 | ||||||||||
|
|
|||||||||||
848,163 | ||||||||||||
Semiconductors & Semiconductor Equipment 0.1% | ||||||||||||
ON Semiconductor Corp., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 09/19/26 |
302 | 302,163 | ||||||||||
|
|
|||||||||||
Software 20.4% | ||||||||||||
Applied Systems, Inc. |
||||||||||||
2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 09/19/24 |
2,073 | 2,070,012 | ||||||||||
2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.00%, 09/19/25 |
449 | 450,183 | ||||||||||
Barracuda Networks, Inc.(h) |
||||||||||||
1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/12/25 |
2,214 | 2,206,903 | ||||||||||
2020 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%, 0.75% Floor), 7.50%, 10/30/28 |
535 | 539,012 | ||||||||||
BMC Software Finance, Inc., 2018 USD Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 10/02/25 |
1,436 | 1,428,855 | ||||||||||
By Crown Parent LLC, Term Loan B1, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 01/31/26 |
1,484 | 1,480,645 | ||||||||||
Cloudera, Inc., Term Loan B, (3 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%,
|
371 | 370,072 | ||||||||||
Cornerstone OnDemand, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.39%, 04/22/27 |
444 | 445,407 | ||||||||||
Cypress Intermediate Holdings III, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 04/29/24 |
1,160 | 1,155,772 | ||||||||||
Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 3.51%, 05/27/24 |
714 | 651,604 | ||||||||||
DTI Holdco, Inc., 2018 Term Loan B, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 09/29/23 |
998 | 889,635 | ||||||||||
Epicor Software Corp. |
||||||||||||
2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 8.75%, 07/31/28 |
1,316 | 1,369,469 | ||||||||||
2020 Term Loan, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 07/31/27 |
2,630 | 2,642,150 | ||||||||||
Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 10/01/25 |
5,810 | 5,797,721 | ||||||||||
Informatica LLC 2020 USD 2nd Lien Term Loan, (Fixed), 7.13%, 02/25/25 |
1,093 | 1,110,215 |
Security |
Par
(000) |
Value | ||||||||||
Software (continued) | ||||||||||||
Informatica LLC (continued) |
||||||||||||
2020 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 02/25/27 |
USD | 5,026 | $ | 4,978,476 | ||||||||
McAfee LLC, 2018 USD Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 09/30/24 |
1,940 | 1,938,340 | ||||||||||
MED ParentCo LP, 2020 Incremental Term Loan B, (1 mo. LIBOR + 6.25%, 1.00% Floor), 7.25%, 08/31/26(b) |
538 | 543,029 | ||||||||||
Mitchell International, Inc. |
||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 11/29/24 |
1,356 | 1,329,367 | ||||||||||
2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.40%, 12/01/25 |
666 | 642,937 | ||||||||||
2020 Add-On Term Loan, (1 mo. LIBOR + 4.25%, 0.50% Floor), 4.75%, 12/01/24 |
1,275 | 1,274,168 | ||||||||||
Netsmart Technologies, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 10/01/27 |
903 | 900,932 | ||||||||||
Omnitracs, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 8.00%), 8.15%, 10/01/28 |
663 | 653,055 | ||||||||||
Planview Parent, Inc.(b)(h) |
||||||||||||
2nd Lien Term Loan, 0.24%, 12/11/28 |
572 | 566,280 | ||||||||||
Delayed Draw Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/17/27 |
228 | 227,790 | ||||||||||
Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/17/27 |
977 | 974,943 | ||||||||||
Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 05/30/25 |
424 | 416,105 | ||||||||||
Sabre GLBL, Inc., 2020 Term Loan B, 6.25%, 12/17/27(h) |
687 | 687,859 | ||||||||||
Severin Acquisition LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 08/01/25 |
2,277 | 2,245,486 | ||||||||||
Solera LLC, USD Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 03/03/23 |
1,810 | 1,794,016 | ||||||||||
Sophia LP, 2020 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 10/07/27 |
3,177 | 3,179,256 | ||||||||||
SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.90%, 04/16/25 |
534 | 526,440 | ||||||||||
SS&C Technologies, Inc. |
||||||||||||
2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.90%, 04/16/25 |
690 | 680,426 | ||||||||||
2018 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.90%, 04/16/25 |
995 | 982,976 | ||||||||||
Tempo Acquisition LLC, 2020 Extended Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 11/02/26 |
4,254 | 4,219,423 | ||||||||||
Tibco Software, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.40%, 03/04/28 |
2,104 | 2,121,631 | ||||||||||
Ultimate Software Group, Inc. |
||||||||||||
2020 2nd Lien Incremental Term Loan, (3 mo. LIBOR + 6.75%, 0.75% Floor), 7.50%, 05/03/27 |
1,225 | 1,257,156 | ||||||||||
2020 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 05/03/26 |
3,005 | 3,018,782 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 05/03/26 |
3,574 | 3,568,547 | ||||||||||
|
|
|||||||||||
61,335,075 | ||||||||||||
Specialty Retail 3.0% | ||||||||||||
Belron Finance US LLC |
||||||||||||
2018 Term Loan B, (3 mo. LIBOR + 2.25%), 2.46%, 11/13/25 |
273 | 272,736 | ||||||||||
2019 USD Term Loan B, (3 mo. LIBOR + 2.25%), 2.46%, 10/30/26 |
668 | 666,579 | ||||||||||
USD Term Loan B, (3 mo. LIBOR + 2.25%), 2.46%, 11/07/24 |
1,465 | 1,461,038 |
118 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
Security |
Par
(000) |
Value | ||||||||||
Specialty Retail (continued) | ||||||||||||
CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (LIBOR - GBP + 4.25%), 4.31%, 06/23/25 |
GBP | 1,000 | $ | 1,344,787 | ||||||||
IAA, Inc., Term Loan B, (1 mo. LIBOR + 2.25%), 2.44%, 06/28/26 |
USD | 296 | 293,234 | |||||||||
MED ParentCo LP |
||||||||||||
1st Lien Delayed Draw Term Loan, (1 mo. LIBOR + 4.25%), 4.39%, 08/31/26 |
215 | 211,865 | ||||||||||
1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 4.40%, 08/31/26 |
860 | 844,864 | ||||||||||
PetSmart, Inc., Consenting Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 03/11/22 |
2,001 | 1,995,217 | ||||||||||
Research Now Group, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 12/20/24 |
1,353 | 1,328,341 | ||||||||||
WOOF Holdings, Inc.(h) |
||||||||||||
1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/16/27 |
341 | 340,291 | ||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 7.25%, 0.75% Floor), 8.00%, 12/11/28 |
345 | 345,862 | ||||||||||
|
|
|||||||||||
9,104,814 | ||||||||||||
Technology Hardware, Storage & Peripherals 0.4% | ||||||||||||
Electronics for Imaging, Inc., Term Loan, (1 mo. LIBOR + 5.00%), 5.15%, 07/23/26 |
862 | 732,688 | ||||||||||
Western Digital Corp., 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.90%, 04/29/23 |
445 | 444,125 | ||||||||||
|
|
|||||||||||
1,176,813 | ||||||||||||
Thrifts & Mortgage Finance 0.6% | ||||||||||||
IG Investment Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 05/23/25 |
1,869 | 1,862,776 | ||||||||||
|
|
|||||||||||
Wireless Telecommunication Services 1.4% | ||||||||||||
SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 04/11/25 |
2,096 | 2,070,837 | ||||||||||
Xplornet Communications, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.75%), 4.90%, 06/10/27 |
2,227 | 2,227,087 | ||||||||||
|
|
|||||||||||
4,297,924 | ||||||||||||
|
|
|||||||||||
Total Floating Rate Loan Interests 137.3% | ||||||||||||
(Cost: $412,389,428) |
412,119,967 | |||||||||||
|
|
|||||||||||
Shares | ||||||||||||
Investment Companies | ||||||||||||
Equity Funds 0.1% | ||||||||||||
SPDR S&P Oil & Gas Exploration & Production ETF |
3,125 | 182,813 | ||||||||||
|
|
|||||||||||
Fixed Income Funds 2.7% | ||||||||||||
Invesco Senior Loan ETF |
23,000 | 512,440 | ||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF(i)(j) |
63,000 | 5,499,900 | ||||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF(i)(j) |
15,000 | 2,071,950 | ||||||||||
|
|
|||||||||||
8,084,290 | ||||||||||||
|
|
|||||||||||
Total Investment Companies 2.8% | ||||||||||||
(Cost: $7,722,619) |
8,267,103 | |||||||||||
|
|
Security |
Benefical
Interest (000) |
Value | ||||||
Other Interests(k) |
||||||||
IT Services(b) 0.0% | ||||||||
Millennium Corp |
USD | 991 | $ | | ||||
Millennium Lender Claims |
930 | | ||||||
|
|
|||||||
Total Other Interests 0.0% | ||||||||
(Cost: $ ) |
| |||||||
|
|
|||||||
Shares | ||||||||
Warrants |
||||||||
Metals & Mining 0.0% | ||||||||
AFGlobal Corp. (Expires 06/08/22)(b) |
2,642 | | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 0.0% | ||||||||
California Resources Corp.
|
617 | 2,468 | ||||||
|
|
|||||||
Total Warrants 0.0% | ||||||||
(Cost: $ ) |
2,468 | |||||||
|
|
|||||||
Total Investments 147.6% | ||||||||
(Cost: $443,533,352) |
442,974,847 | |||||||
Liabilities in Excess of Other Assets (47.6)% |
|
(142,848,760 | ) | |||||
|
|
|||||||
Net Assets 100.0% |
$ | 300,126,087 | ||||||
|
|
(a) |
Non-income producing security. |
(b) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(c) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(d) |
Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(e) |
Convertible security. |
(f) |
Issuer filed for bankruptcy and/or is in default. |
(g) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(h) |
Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(i) |
Affiliate of the Trust. |
(j) |
Annualized 7-day yield as of period end. |
(k) |
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
S C H E D U L E O F I N V E S T M E N T S |
119 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Floating Rate Income Trust (BGT)
|
Affiliates
Investments in issuers considered to be affiliate(s) of the Trust during the year ended December 31, 2020 for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:
Affiliated Issuer |
Value at
12/31/19 |
Purchases
at Cost |
Proceeds
from Sales |
Net
Realized
|
Change
in
(Depreciation) |
Value at
12/31/20 |
Shares
Held at 12/31/20 |
Income |
Capital Gain
Distributions from Underlying Funds |
|||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund,
Institutional
|
$ | | $ | | (b) | $ | | $ | | $ | | $ | | | $ | 4,342 | $ | | ||||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF |
| 10,819,847 | (5,865,845 | ) | 67,641 | 478,257 | 5,499,900 | 63,000 | 239,613 | | ||||||||||||||||||||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF |
| 3,880,891 | (2,071,155 | ) | 111,161 | 151,053 | 2,071,950 | 15,000 | 48,979 | | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | 178,802 | $ | 629,310 | $ | 7,571,850 | $ | 292,934 | $ | | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
As of period end, the entity is no longer held. |
(b) |
Represents net amount purchased (sold). |
For Trust compliance purposes, the Trusts industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Derivative Financial Instruments Outstanding as of Period End
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||||||||||
USD |
462,909 | EUR | 378,000 | UBS AG | 02/03/21 | $ | 802 | |||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||
EUR |
378,000 | USD | 462,596 | UBS AG | 01/06/21 | (799 | ) | |||||||||||||||||||||||
USD |
450,681 | EUR | 378,000 | Goldman Sachs International | 01/06/21 | (11,116 | ) | |||||||||||||||||||||||
USD |
452,691 | EUR | 378,000 | UBS AG | 01/06/21 | (9,106 | ) | |||||||||||||||||||||||
USD |
3,090,862 | GBP | 2,313,000 | BNP Paribas S.A. | 01/06/21 | (72,204 | ) | |||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||
(93,225 | ) | |||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||
$ | (92,423 | ) | ||||||||||||||||||||||||||||
|
|
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
Commodity
Contracts |
Credit
Contracts |
Equity
Contracts |
Foreign
Currency Exchange Contracts |
Interest
Rate Contracts |
Other
Contracts |
Total | ||||||||||||||||||||||
Assets Derivative Financial Instruments |
||||||||||||||||||||||||||||
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts |
$ | | $ | | $ | | $ | 802 | $ | | $ | | $ | 802 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Liabilities Derivative Financial Instruments |
||||||||||||||||||||||||||||
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts |
$ | | $ | | $ | | $ | 93,225 | $ | | $ | | $ | 93,225 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
120 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Floating Rate Income Trust (BGT)
|
For the year ended December 31, 2020, the effect of derivative financial instruments in the Statements of Operations was as follows:
Commodity
Contracts |
Credit
Contracts |
Equity
Contracts |
Foreign
Currency Exchange Contracts |
Interest
Rate Contracts |
Other
Contracts |
Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from |
||||||||||||||||||||||||||||
Forward foreign currency exchange contracts |
$ | | $ | | $ | | $ | (148,237 | ) | $ | | $ | | $ | (148,237 | ) | ||||||||||||
Options purchased(a) |
| | (65,618 | ) | | | | (65,618 | ) | |||||||||||||||||||
Swaps |
| 313,937 | | | | | 313,937 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | | $ | 313,937 | $ | (65,618 | ) | $ | (148,237 | ) | $ | | $ | | $ | 100,082 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on |
||||||||||||||||||||||||||||
Forward foreign currency exchange contracts |
$ | | $ | | $ | | $ | 4,732 | $ | | $ | | $ | 4,732 | ||||||||||||||
Options purchased(b) |
| | (40,820 | ) | | | | (40,820 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | | $ | | $ | (40,820 | ) | $ | 4,732 | $ | | $ | | $ | (36,088 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Options purchased are included in net realized gain (loss) from investments unaffiliated. |
(b) |
Options purchased are included in net change in unrealized appreciation (depreciation) on investments unaffiliated. |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Forward foreign currency exchange contracts |
||||
Average amounts purchased in USD |
$ | 6,923,069 | ||
Average amounts sold in USD |
$ | 2,986,822 | ||
Options |
||||
Average value of option contracts purchased |
$ | | (a) | |
Credit default swaps |
||||
Average notional value sell protection |
$ | 3,455,125 |
(a) |
Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. |
For more information about the Trusts investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments Offsetting as of Period End
The Trusts derivative assets and liabilities (by type) were as follows:
Assets | Liabilities | |||||||
Derivative Financial Instruments |
||||||||
Forward foreign currency exchange contracts |
$ | 802 | $ | 93,225 | ||||
|
|
|
|
|||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities |
802 | 93,225 | ||||||
|
|
|
|
|||||
Derivatives not subject to a Master Netting Agreement or similar agreement (MNA) |
| | ||||||
|
|
|
|
|||||
Total derivative assets and liabilities subject to an MNA |
$ | 802 | $ | 93,225 | ||||
|
|
|
|
The following table presents the Trusts derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Trust:
Counterparty |
|
Derivative
Assets Subject to an MNA by Counterparty |
|
|
Derivatives
Available for Offset |
(a) |
|
Non-Cash
Collateral Received |
|
|
Cash
Collateral Received |
|
|
Net Amount
of Derivative Assets |
|
|||||
UBS AG |
$ | 802 | $ | (802 | ) | $ | | $ | | $ | | |||||||||
|
|
|
|
|
|
|
|
|
|
S C H E D U L E O F I N V E S T M E N T S |
121 |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Floating Rate Income Trust (BGT)
|
Counterparty |
|
Derivative
Liabilities Subject to an MNA by Counterparty |
|
|
Derivatives
Available for Offset |
(a) |
|
Non-Cash
Collateral Pledged |
|
|
Cash
Collateral Pledged |
|
|
Net
Amount of Derivative Liabilities |
(b) |
|||||
BNP Paribas S.A. |
$ | 72,204 | $ | | $ | | $ | | $ | 72,204 | ||||||||||
Goldman Sachs International |
11,116 | | | | 11,116 | |||||||||||||||
UBS AG |
9,905 | (802 | ) | | | 9,103 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 93,225 | $ | (802 | ) | $ | | $ | | $ | 92,423 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
(b) |
Net amount represents the net amount payable due to counterparty in the event of default. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trusts policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Trusts investments and derivative financial instruments categorized in the disclosure hierarchy. The breakdown of the Trusts investments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets |
||||||||||||||||
Investments |
||||||||||||||||
Long-Term Investments |
||||||||||||||||
Common Stocks |
||||||||||||||||
Auto Components |
$ | 14,154 | $ | | $ | | $ | 14,154 | ||||||||
Construction & Engineering |
62,081 | | | 62,081 | ||||||||||||
Energy Equipment & Services |
| | 21,203 | 21,203 | ||||||||||||
Health Care Management Services |
| 9 | | 9 | ||||||||||||
Household Durables |
| | | | ||||||||||||
Media |
118,958 | | | 118,958 | ||||||||||||
Metals & Mining |
| 14,560 | 11,214 | 25,774 | ||||||||||||
Oil, Gas & Consumable Fuels |
29,535 | | | 29,535 | ||||||||||||
Software |
766 | | | 766 | ||||||||||||
Specialty Retail |
| 143,283 | | 143,283 | ||||||||||||
Corporate Bonds |
| 21,907,440 | 262,106 | 22,169,546 | ||||||||||||
Floating Rate Loan Interests |
| 392,465,954 | 19,654,013 | 412,119,967 | ||||||||||||
Investment Companies |
8,267,103 | | | 8,267,103 | ||||||||||||
Other Interests |
| | | | ||||||||||||
Warrants |
| 2,468 | | 2,468 | ||||||||||||
Unfunded Floating Rate Loan Interests(a) |
| | | | ||||||||||||
Liabilities |
||||||||||||||||
Unfunded Floating Rate Loan Interests(a) |
| (278 | ) | | (278 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 8,492,597 | $ | 414,533,436 | $ | 19,948,536 | $ | 442,974,569 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Derivative Financial Instruments(b) |
||||||||||||||||
Assets |
||||||||||||||||
Foreign Currency Exchange Contracts |
$ | | $ | 802 | $ | | $ | 802 | ||||||||
Liabilities |
||||||||||||||||
Foreign Currency Exchange Contracts |
| (93,225 | ) | | (93,225 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | | $ | (92,423 | ) | $ | | $ | (92,423 | ) | |||||||
|
|
|
|
|
|
|
|
(a) |
Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(b) |
Derivative financial instruments are forward foreign currency exchange contracts. Forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
122 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) December 31, 2020 |
BlackRock Floating Rate Income Trust (BGT)
|
The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $129,000,000 are categorized as Level 2 within the disclosure hierarchy.
Common
Stocks |
Corporate
Bonds |
Floating
Rate Loan
|
Other
Interests |
Warrants | Total | |||||||||||||||||||
Assets |
||||||||||||||||||||||||
Opening balance, as of December 31, 2019 |
$ | 212,857 | $ | | $ | 18,429,479 | $ | 5 | $ | | $ | 18,642,341 | ||||||||||||
Transfers into Level 3(a) |
| | 819,751 | | | 819,751 | ||||||||||||||||||
Transfers out of Level 3(b) |
| | (7,233,383 | ) | | | (7,233,383 | ) | ||||||||||||||||
Accrued discounts/premiums |
| 8,414 | 64,332 | | | 72,746 | ||||||||||||||||||
Net realized gain (loss) |
(10,500 | ) | 701 | (381,497 | ) | 1,082 | (2,743 | ) | (392,957 | ) | ||||||||||||||
Net change in unrealized appreciation (depreciation)(c)(d) |
(24,025 | ) | (10,339 | ) | 413,647 | (5 | ) | 2,743 | 382,021 | |||||||||||||||
Purchases |
7,279 | 270,939 | 15,711,724 | | | 15,989,942 | ||||||||||||||||||
Sales |
(153,194 | ) | (7,609 | ) | (8,170,040 | ) | (1,082 | ) | | (8,331,925 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Closing balance, as of December 31, 2020 |
$ | 32,417 | $ | 262,106 | $ | 19,654,013 | $ | | $ | | $ | 19,948,536 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020(d) |
$ | 8,318 | $ | (10,339 | ) | $ | 410,850 | $ | | $ | | $ | 408,829 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
As of December 31, 2019, the Trust used observable inputs in determining the value of certain investments. As of December 31, 2020, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy. |
(b) |
As of December 31, 2019, the Trust used significant unobservable inputs in determining the value of certain investments. As of December 31, 2020, the Trust used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. |
(c) |
Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
(d) |
Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020 is generally due to investments no longer held or categorized as Level 3 at period end. |
See notes to financial statements.
S C H E D U L E O F I N V E S T M E N T S |
123 |
Statements of Assets and Liabilities December 31, 2020 |
124 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statement of Assets and Liabilities (continued)
December 31, 2020
BHK | HYT(a) | BTZ | BGT | |||||||||||||
NET ASSETS CONSIST OF |
|
|||||||||||||||
Paid-in capital(f)(g)(h) |
$ | 754,357,286 | $ | 1,562,470,898 | $ | 1,266,567,413 | $ | 331,705,751 | ||||||||
Accumumlated earnings (loss) |
132,612,526 | (105,563,988 | ) | 201,585,735 | (31,579,664 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
NET ASSETS |
$ | 886,969,812 | $ | 1,456,906,910 | $ | 1,468,153,148 | $ | 300,126,087 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value(f)(g)(h) |
$ | 16.45 | $ | 11.95 | $ | 15.71 | $ | 13.40 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(a) Consolidated Statement of Assets and Liabilities. |
||||||||||||||||
(b) Investments at cost unaffiliated |
$ | 1,041,377,646 | $ | 2,027,805,921 | $ | 1,811,299,194 | $ | 436,590,812 | ||||||||
(c) Investments at cost affiliated |
$ | 8,065,454 | $ | 9,040,084 | $ | 24,122,699 | $ | 6,942,540 | ||||||||
(d) Foreign currency at cost |
$ | 1,515,705 | $ | 55,592 | $ | 125,190 | $ | 8,697 | ||||||||
(e) Premiums received |
$ | 10,637,821 | $ | | $ | 3,128,928 | $ | | ||||||||
(f) Shares outstanding |
53,935,126 | 121,904,056 | 93,478,999 | 22,395,660 | ||||||||||||
(g) Shares authorized |
Unlimited | 200 million | Unlimited | Unlimited | ||||||||||||
(h) Par value |
$ | 0.001 | $ | 0.10 | $ | 0.001 | $ | 0.001 |
See notes to financial statements.
F I N A N C I A L S T A T E M E N T S |
125 |
Year Ended December 31, 2020
(a) |
Consolidated Statement of Operations. |
See notes to financial statements.
126 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Changes in Net Assets
(a) |
Consolidated Statement of Changes in Net Assets. |
(b) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
F I N A N C I A L S T A T E M E N T S |
127 |
Statements of Changes in Net Assets (continued)
(a) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
128 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Year Ended December 31, 2020
F I N A N C I A L S T A T E M E N T S |
129 |
Statements of Cash Flows (continued)
Year Ended December 31, 2020
BHK | HYT(a) | BTZ | BGT | |||||||||||||
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND
|
|
|||||||||||||||
Cash |
$ | | $ | | $ | 167,836 | $ | 2,762,466 | ||||||||
Cash pledged |
||||||||||||||||
Collateral exchange-traded options written |
| | 1,200,000 | | ||||||||||||
Collateral OTC derivatives |
4,838,000 | 240,000 | | | ||||||||||||
Futures contracts |
1,232,970 | 1,870,000 | 1,125,000 | | ||||||||||||
Centrally cleared swaps |
4,897,940 | | | | ||||||||||||
Foreign currency at value |
1,582,153 | 58,516 | 130,967 | 8,811 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 12,551,063 | $ | 2,168,516 | $ | 2,623,803 | $ | 2,771,277 | |||||||||
|
|
|
|
|
|
|
|
(a) |
Consolidated Statement of Cash Flows. |
See notes to financial statements.
130 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
(For a share outstanding throughout each period)
|
BHK |
|
||||||||||||||||||||||
|
Period from
09/01/19 to 12/31/19 |
|
||||||||||||||||||||||
|
Year Ended
12/31/20 |
|
Year Ended August 31, | |||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||
Net asset value, beginning of period |
$ | 15.32 | $ | 15.79 | $ | 14.08 | $ | 14.96 | $ | 15.25 | $ | 14.29 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net investment income(a) |
0.72 | 0.22 | 0.66 | 0.72 | 0.76 | 0.79 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net realized and unrealized gain (loss) |
1.24 | (0.36 | ) | 1.82 | (0.82 | ) | (0.27 | ) | 1.01 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net increase (decrease) from investment operations |
1.96 | (0.14 | ) | 2.48 | (0.10 | ) | 0.49 | 1.80 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Distributions(b) |
||||||||||||||||||||||||
From net investment income |
(0.64 | ) | (0.27 | ) | (0.73 | ) | (0.78 | ) | (0.78 | ) | (0.84 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
From net realized gain |
(0.19 | ) | (0.04 | ) | (0.04 | ) | | | | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Return of capital |
| (0.02 | ) | | | | | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total distributions |
(0.83 | ) | (0.33 | ) | (0.77 | ) | (0.78 | ) | (0.78 | ) | (0.84 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net asset value, end of period |
$ | 16.45 | $ | 15.32 | $ | 15.79 | $ | 14.08 | $ | 14.96 | $ | 15.25 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Market price, end of period |
$ | 16.30 | $ | 14.58 | $ | 14.56 | $ | 12.85 | $ | 14.10 | $ | 14.33 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total Return(c) |
||||||||||||||||||||||||
Based on net asset value |
13.24 | % | (0.75 | )%(d) | 18.86 | % | (0.24 | )% | 3.88 | % | 13.67 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Based on market price |
17.90 | % | 2.43 | %(d) | 20.09 | % | (3.40 | )% | 4.20 | % | 20.85 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Ratios to Average Net Assets |
||||||||||||||||||||||||
Total expenses |
0.91 | %(e) | 1.42 | %(f)(g) | 1.72 | % | 1.60 | % | 1.16 | % | 0.97 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total expenses after fees waived and/or reimbursed |
0.90 | % | 1.42 | %(f) | 1.72 | % | 1.60 | % | 1.16 | % | 0.97 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total expenses after fees waived and/or reimbursed and excluding interest expense |
0.75 | % | 0.79 | %(f) | 0.77 | % | 0.82 | % | 0.78 | % | 0.78 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net investment income |
4.52 | % | 4.15 | %(f) | 4.63 | % | 4.99 | % | 5.19 | % | 5.48 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000) |
$ | 886,970 | $ | 826,349 | $ | 851,650 | $ | 759,385 | $ | 806,848 | $ | 822,549 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Borrowings outstanding, end of period (000) |
$ | 296,921 | $ | 271,749 | $ | 273,621 | $ | 316,216 | $ | 289,078 | $ | 288,239 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Portfolio turnover rate(h) |
69 | % | 21 | % | 27 | % | 28 | % | 32 | % | 35 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Based on average shares outstanding. |
(b) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(c) |
Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(d) |
Aggregate total return. |
(e) |
Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.01%. |
(f) |
Annualized. |
(g) |
Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 1.45%. |
(h) |
Includes mortgage dollar roll transactions (MDRs). Additional information regarding portfolio turnover rate is as follows: |
Year Ended |
Period from 09/01/19 to 12/31/19 |
Year Ended August 31, | ||||||||||||||||||||||
12/31/20 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Portfolio turnover rate (excluding MDRs) |
55 | % | 11 | % | 27 | % | 28 | % | 32 | % | 35 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements.
F I N A N C I A L H I G H L I G H T S |
131 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
HYT(a) | ||||||||||||||||||||||||
Year Ended 12/31/20 |
Period from
to 12/31/19 |
Year Ended August 31, | ||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||
Net asset value, beginning of period |
$ | 11.91 | $ | 11.82 | $ | 11.90 | $ | 12.22 | $ | 11.79 | $ | 12.06 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net investment income(b) |
0.79 | 0.25 | 0.79 | 0.83 | 0.85 | 0.82 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
0.18 | 0.22 | (0.01 | ) | (0.31 | ) | 0.47 | (0.10 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net increase from investment operations |
0.97 | 0.47 | 0.78 | 0.52 | 1.32 | 0.72 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Distributions(c) |
||||||||||||||||||||||||
From net investment income |
(0.82 | ) | (0.35 | ) | (0.86 | ) | (0.84 | ) | (0.89 | ) | (0.99 | ) | ||||||||||||
Return of capital |
(0.11 | ) | (0.03 | ) | | | | | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total distributions |
(0.93 | ) | (0.38 | ) | (0.86 | ) | (0.84 | ) | (0.89 | ) | (0.99 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net asset value, end of period |
$ | 11.95 | $ | 11.91 | $ | 11.82 | $ | 11.90 | $ | 12.22 | $ | 11.79 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Market price, end of period |
$ | 11.43 | $ | 11.20 | $ | 10.51 | $ | 10.70 | $ | 11.13 | $ | 10.88 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total Return(d) |
||||||||||||||||||||||||
Based on net asset value |
9.57 | % | 4.28 | %(e) | 8.06 | % | 5.25 | % | 12.41 | %(f) | 7.76 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Based on market price |
11.45 | % | 10.28 | %(e) | 6.86 | % | 3.91 | % | 10.94 | % | 20.29 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Ratios to Average Net Assets(g) |
||||||||||||||||||||||||
Total expenses |
1.50 | % | 1.92 | %(h)(i) | 2.19 | % | 1.99 | % | 1.54 | % | 1.39 | %(j) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total expenses after fees waived and/or reimbursed |
1.49 | % | 1.92 | %(h) | 2.19 | % | 1.99 | % | 1.54 | % | 1.39 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total expenses after fees waived and/or reimbursed and excluding interest expense |
0.94 | % | 0.93 | %(h) | 0.92 | % | 0.94 | % | 0.91 | % | 0.93 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net investment income |
7.06 | % | 6.39 | %(h) | 6.87 | % | 6.88 | % | 7.04 | % | 7.30 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000) |
$ | 1,456,907 | $ | 1,451,868 | $ | 1,440,436 | $ | 1,482,422 | $ | 1,545,622 | $ | 1,492,948 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Borrowings outstanding, end of period (000) |
$ | 685,000 | $ | 607,000 | $ | 486,000 | $ | 647,000 | $ | 649,000 | $ | 604,000 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Asset coverage, end of period per $1,000 of bank borrowings |
$ | 3,127 | $ | 3,392 | $ | 3,965 | $ | 3,292 | $ | 3,382 | $ | 3,472 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Portfolio turnover rate |
82 | % | 20 | % | 64 | % | 65 | % | 75 | % | 66 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Consolidated Financial Highlights. |
(b) |
Based on average shares outstanding. |
(c) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) |
Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(e) |
Aggregate total return. |
(f) |
Includes proceeds received from a settlement of litigation, which had no impact on the Trusts total return. |
(g) |
Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
Year Ended
12/31/20 |
Period from
09/01/19 to 12/31/19 |
Year Ended August 31, | ||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||
Investments in underlying funds |
0.01 | % | 0.01 | % | | % | 0.01 | % | 0.04 | % | 0.11 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(h) |
Annualized. |
(i) |
Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 1.95%. |
(j) |
Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.34%, 1.34% and 0.97%, respectively. |
See notes to consolidated financial statements.
132 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BTZ | ||||||||||||||||||||||||
Year Ended 12/31/20 |
Period from
to 12/31/19 |
Year Ended October 31, | ||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||
Net asset value, beginning of period |
$ | 14.97 | $ | 14.94 | $ | 13.72 | $ | 14.88 | $ | 14.61 | $ | 14.33 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net investment income(a) |
0.84 | 0.13 | 0.79 | 0.81 | 0.81 | 0.88 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
0.91 | 0.15 | 1.25 | (1.17 | ) | 0.30 | 0.32 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net increase (decrease) from investment operations |
1.75 | 0.28 | 2.04 | (0.36 | ) | 1.11 | 1.20 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Distributions(b) |
||||||||||||||||||||||||
From net investment income |
(0.85 | ) | (0.23 | ) | (0.79 | ) | (0.80 | ) | (0.79 | ) | (0.86 | ) | ||||||||||||
Return of capital |
(0.16 | ) | (0.02 | ) | (0.03 | ) | | (0.05 | ) | (0.06 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total distributions |
(1.01 | ) | (0.25 | ) | (0.82 | ) | (0.80 | ) | (0.84 | ) | (0.92 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net asset value, end of period |
$ | 15.71 | $ | 14.97 | $ | 14.94 | $ | 13.72 | $ | 14.88 | $ | 14.61 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Market price, end of period |
$ | 14.71 | $ | 13.98 | $ | 13.55 | $ | 11.72 | $ | 13.36 | $ | 12.87 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total Return(c) |
||||||||||||||||||||||||
Based on net asset value |
12.78 | % | 2.02 | %(d) | 16.17 | % | (1.72 | )% | 8.53 | % | 9.61 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Based on market price |
13.07 | % | 5.05 | %(d) | 23.34 | % | (6.49 | )% | 10.62 | % | 10.43 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Ratios to Average Net Assets |
||||||||||||||||||||||||
Total expenses |
1.35 | % | 1.68 | %(e)(f) | 2.26 | % | 1.82 | % | 1.23 | % | 1.20 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total expenses after fees waived and/or reimbursed |
1.35 | % | 1.68 | %(e)(f) | 2.25 | % | 1.82 | % | 1.23 | % | 1.20 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total expenses after fees waived and/or reimbursed and excluding interest expense |
0.94 | % | 0.92 | %(e) | 1.08 | % | 0.94 | % | 0.87 | % | 0.95 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net investment income |
5.69 | % | 5.29 | %(e) | 5.57 | % | 5.69 | % | 5.53 | % | 6.21 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000) |
$ | 1,468,153 | $ | 1,554,828 | $ | 1,551,243 | $ | 1,439,954 | $ | 1,598,034 | $ | 1,579,170 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Borrowings outstanding, end of period (000) |
$ | 614,172 | $ | 577,231 | $ | 568,461 | $ | 707,102 | $ | 477,822 | $ | 638,327 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Portfolio turnover rate |
34 | % | 2 | % | 18 | % | 30 | % | 25 | % | 29 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Based on average shares outstanding. |
(b) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(c) |
Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(d) |
Aggregate total return. |
(e) |
Annualized. |
(f) |
Audit costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 1.70%. |
See notes to financial statements.
F I N A N C I A L H I G H L I G H T S |
133 |
Financial Highlights (continued) (For a share outstanding throughout each period) |
BGT | ||||||||||||||||||||||||
Year Ended 12/31/20 |
Period from
to 12/31/19 |
Year Ended October 31, | ||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||
Net asset value, beginning of period |
$ | 14.10 | $ | 13.95 | $ | 14.33 | $ | 14.49 | $ | 14.41 | $ | 14.18 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net investment income(a) |
0.66 | 0.12 | 0.80 | 0.76 | 0.73 | 0.74 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
(0.47 | ) | 0.26 | (0.37 | ) | (0.21 | ) | 0.12 | 0.19 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net increase from investment operations |
0.19 | 0.38 | 0.43 | 0.55 | 0.85 | 0.93 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Distributions(b) |
||||||||||||||||||||||||
From net investment income |
(0.69 | ) | (0.23 | ) | (0.81 | ) | (0.71 | ) | (0.77 | ) | (0.70 | ) | ||||||||||||
Return of capital |
(0.20 | ) | | | | | | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total distributions |
(0.89 | ) | | | | | | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net asset value, end of period |
$ | 13.40 | $ | 14.10 | $ | 13.95 | $ | 14.33 | $ | 14.49 | $ | 14.41 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Market price, end of period |
$ | 11.79 | $ | 12.87 | $ | 12.42 | $ | 12.72 | $ | 14.31 | $ | 13.58 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total Return(c) |
||||||||||||||||||||||||
Based on net asset value |
2.83 | % | 2.89 | %(d) | 4.00 | % | 4.25 | % | 6.13 | % | 7.27 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Based on market price |
(0.88 | )% | 5.48 | %(d) | 4.31 | % | (6.30 | )% | 11.21 | % | 12.25 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Ratios to Average Net Assets(e) |
||||||||||||||||||||||||
Total expenses |
1.72 | % | 2.11 | %(f) | 2.41 | % | 2.29 | % | 1.92 | % | 1.58 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total expenses after fees waived and/or reimbursed |
1.70 | % | 2.11 | %(f) | 2.41 | % | 2.29 | % | 1.92 | % | 1.58 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total expenses after fees waived and/or reimbursed and excluding interest expense |
1.17 | % | 1.28 | %(f) | 1.16 | % | 1.21 | % | 1.20 | % | 1.16 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net investment income |
5.13 | % | 5.23 | %(f) | 5.68 | % | 5.27 | % | 5.02 | % | 5.29 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000) |
$ | 300,126 | $ | 323,708 | $ | 321,091 | $ | 339,096 | $ | 342,890 | $ | 340,944 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Borrowings outstanding, end of period (000) |
$ | 129,000 | $ | 130,000 | $ | 123,000 | $ | 142,000 | $ | 150,000 | $ | 148,000 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Asset coverage, end of period per $1,000 of bank borrowings |
$ | 3,327 | $ | 3,490 | $ | 3,610 | $ | 3,389 | $ | 3,287 | $ | 3,304 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Portfolio turnover rate |
65 | % | 6 | % | 53 | % | 57 | % | 63 | % | 47 | % | ||||||||||||
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(a) |
Based on average shares outstanding. |
(b) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(c) |
Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(d) |
Aggregate total return. |
(e) |
Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
Year Ended |
Period from 11/01/19 |
Year Ended October 31, | ||||||||||||||||||||||
12/31/20 | to 12/31/19 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Investments in underlying funds |
0.02 | % | 0.04 | % | 0.04 | % | 0.01 | % | | % | | % | ||||||||||||
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(f) |
Annualized. |
See notes to financial statements.
134 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
1. ORGANIZATION
The following are registered under the Investment Company Act of 1940, as amended (the 1940 Act), as closed-end management investment companies and are referred to herein collectively as the Trusts, or individually as a Trust:
Trust Name | Herein Referred To As | Organized |
Diversification
Classification |
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BlackRock Core Bond Trust |
BHK | Delaware | Diversified | |||||||||
BlackRock Corporate High Yield Fund, Inc. |
HYT | Maryland | Diversified | |||||||||
BlackRock Credit Allocation Income Trust |
BTZ | Delaware | Diversified | |||||||||
BlackRock Floating Rate Income Trust |
BGT | Delaware | Diversified |
The Boards of Directors and Boards of Trustees of the Trusts are collectively referred to throughout this report as the Board, and the trustees thereof are collectively referred to throughout this report as Trustees. The Trusts determine and make available for publication the net asset values (NAVs) of their Common Shares on a daily basis.
The Trusts, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the Manager) or its affiliates, are included in a complex of non-index fixed-income mutual funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income Complex.
Basis of Consolidation: The accompanying consolidated financial statements of HYT include the accounts of BLK HYT (Luxembourg) Investments, S.a.r.l., BLK HYV (Luxembourg) Investments, S.a.r.l., BLK COY (Luxembourg) Investments, S.a.r.l. and BLK CYE (Luxembourg) Investments, S.a.r.l. (collectively, the Taxable Subsidiary), which are wholly-owned taxable subsidiaries of HYT which holds shares of private Canadian companies. Gains on the sale of such shares will generally not be subject to capital gains taxes in Canada. Income earned on the investment held by the Taxable Subsidiary may be taxable to such subsidiary in Luxembourg. An income tax provision for income, is shown as income tax in the Consolidated Statement of Operations. A tax provision for realized and unrealized gains, if any, is included as a reduction of realized and/or unrealized gain (loss) in the Consolidated Statement of Operations for HYT. The net assets of the Taxable Subsidiary as of period end were $464,364, which is less than 0.1% of HYTs consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Taxable Subsidiary is subject to the same investment policies and restrictions that apply to HYT.
2. SIGNIFICANT ACCOUNTING POLICIES
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend date. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Trusts are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis. For convertible securities, premiums attributable to the debt instrument are amortized, but premiums attributable to the conversion feature are not amortized.
Foreign Currency Translation: Each Trusts books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (NYSE). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.
Each Trust does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Realized currency gains (losses) on foreign currency related transactions are reported as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes. Each Trust has elected to treat realized gains (losses) from certain forward foreign currency exchange contracts as capital gain (loss) for U.S. federal income tax purposes.
Foreign Taxes: Certain Trusts may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which each Trust invests. These foreign taxes, if any, are paid by each Trust and are reflected in its Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as Foreign taxes withheld, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of December 31, 2020, if any, are disclosed in the Statements of Assets and Liabilities.
N O T E S T O F I N A N C I A L S T A T E M E N T S |
135 |
Notes to Financial Statements (continued)
Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., dollar rolls, futures contracts, forward foreign currency exchange contracts, options written and swaps) or certain borrowings (e.g., reverse repurchase transactions) that would be treated as senior securities for 1940 Act purposes, a Trust may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowings to be excluded from treatment as a senior security. Furthermore, if required by an exchange or counterparty agreement, the Trusts may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
Distributions: Distributions paid by the Trusts are recorded on the ex-dividend date. Subject to the Trusts managed distribution plan, the Trusts intend to make monthly cash distributions to shareholders, which may consist of net investment income, and net realized and unrealized gains on investments and/or return of capital.
The character of distributions is determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. The portion of distributions that exceeds a Trusts current and accumulated earnings and profits, which are measured on a tax basis, will constitute a non-taxable return of capital. See Income Tax Information note for the tax character of each Trusts distributions paid during the period.
Deferred Compensation Plan: Under the Deferred Compensation Plan (the Plan) approved by each Trusts Board, the trustees who are not interested persons of the Trusts, as defined in the 1940 Act (Independent Trustees), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.
The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, as applicable. Deferred compensation liabilities, if any, are included in the Trustees and Officers fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.
Indemnifications: In the normal course of business, a Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trusts maximum exposure under these arrangements is unknown because it involves future potential claims against a Trust, which cannot be predicted with any certainty.
Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.
3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
Investment Valuation Policies: Each Trusts investments are valued at fair value (also referred to as market value within the financial statements) each day that the Trust is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Each Trust determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board. If a securitys market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. The BlackRock Global Valuation Methodologies Committee (the Global Valuation Committee) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Trusts assets and liabilities:
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Equity investments traded on a recognized securities exchange are valued at that days official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. |
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the NYSE that may not be reflected in the computation of the Trusts net assets. Each business day, the Trusts use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (OTC) options (the Systematic Fair Value Price). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.
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Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value. |
136 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (continued)
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Exchange-traded funds (ETFs) and closed-end funds traded on a recognized securities exchange are valued at that days official closing price, as applicable, on the exchange where the stock is primarily traded. ETFs and closed-end funds traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. |
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Investments in open-end U.S. mutual funds (including money market funds) are valued at that days published NAV. |
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Futures contracts are valued based on that days last reported settlement price on the exchange where the contract is traded. |
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Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE based on that days prevailing forward exchange rate for the underlying currencies. |
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Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior days price will be used, unless it is determined that the prior days price no longer reflects the fair value of the option. OTC options and options on swaps (swaptions) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments. |
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Swap agreements are valued utilizing quotes received daily by independent pricing services or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. |
If events (e.g., a market closure, market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (Fair Valued Investments). The fair valuation approaches that may be used by the Global Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arms-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
For investments in equity or debt issued by privately held companies or funds (Private Company or collectively, the Private Companies) and other Fair Valued Investments, the fair valuation approaches that are used by the Global Valuation Committee and third party pricing services utilize one or a combination of, but not limited to, the following inputs.
Standard Inputs Generally Considered By Third Party Pricing Services |
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Market approach |
(i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; |
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(ii) recapitalizations and other transactions across the capital structure; and |
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(iii) market multiples of comparable issuers. |
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Income approach |
(i) future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; |
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(ii) quoted prices for similar investments or assets in active markets; and |
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(iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. |
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Cost approach |
(i) audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; |
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(ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; |
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(iii) relevant news and other public sources; and |
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(iv) known secondary market transactions in the Private Companys interests and merger or acquisition activity in companies comparable to the Private Company. |
Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as an option pricing model (OPM), a probability weighted expected return model (PWERM) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards applicable to other investments held by a Trust. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Trust is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Trust could receive upon the sale of the investment.
Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
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Level 1 Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Trust has the ability to access; |
N O T E S T O F I N A N C I A L S T A T E M E N T S |
137 |
Notes to Financial Statements (continued)
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Level 2 Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other marketcorroborated inputs); and |
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Level 3 Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committees assumptions used in determining the fair value of financial instruments). |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
As of December 31, 2020, certain investments of HYT were fair valued using NAV as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
4. SECURITIES AND OTHER INVESTMENTS
Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
For mortgage pass-through securities (the Mortgage Assets) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.
Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrowers ability to repay its loans.
Collateralized Debt Obligations: Collateralized debt obligations (CDOs), including collateralized bond obligations (CBOs) and collateralized loan obligations (CLOs), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called tranches, which will vary in risk profile and yield. The riskiest segment is the subordinated or equity tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a senior tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.
Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (CMOs) and commercial mortgage backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (IOs), principal only (POs), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a funds initial investment in the IOs may not fully recoup.
138 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (continued)
Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are typically issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. Stripped mortgage-backed securities may be privately issued.
Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.
Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing companys senior debt securities and are freely callable at the issuers option.
Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuers board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.
Warrants: Warrants entitle a fund to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.
Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the borrower) by banks, other financial institutions, or privately and publicly offered corporations (the lender). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (LIBOR), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a funds investment policies.
When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
Floating rate loan interests are usually freely callable at the borrowers option. A fund may invest in such loans in the form of participations in loans (Participations) or assignments (Assignments) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A funds investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.
In connection with floating rate loan interests, certain Trusts may also enter into unfunded floating rate loan interests (commitments). In connection with these commitments, a fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of
N O T E S T O F I N A N C I A L S T A T E M E N T S |
139 |
Notes to Financial Statements (continued)
Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the Trusts had the following unfunded floating rate loan interests:
Trust Name | Borrower | Par |
Commitment
Amount |
Value |
Unrealized
(Depreciation) |
|||||||||||||
BGT |
Precision Medicine Group LLC | $ | 157,859 | $ | 157,859 | $ | 157,859 | $ | | |||||||||
Therma Intermediate LLC |
83,588 | 83,588 | 83,310 | (278 | ) |
Forward Commitments, When-Issued and Delayed Delivery Securities: Certain Trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. A Trust may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, a Trust may be required to pay more at settlement than the security is worth. In addition, a Trust is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a Trust assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a Trusts maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.
Mortgage Dollar Roll Transactions: Certain Trusts may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.
Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third party broker dealers in which a fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a fund continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a fund would still be required to pay the full repurchase price. Further, a fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a fund would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.
Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a fund may receive a fee for the use of the security by the counterparty, which may result in interest income to a fund.
For the year ended December 31, 2020, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for the Trusts were as follows:
Trust Name |
Average Amount
Outstanding |
Daily Weighted Average
Interest Rate |
||||||
BHK |
$ | 280,919,803 | 0.45 | % | ||||
BTZ |
555,217,959 | 1.04 |
Reverse repurchase transactions are entered into by a fund under Master Repurchase Agreements (each, an MRA), which permit a fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a fund. With reverse repurchase transactions, typically a fund and counterparty under an MRA are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterpartys bankruptcy or insolvency. Pursuant to the terms of the MRA, a fund receives or posts securities and cash as collateral with a market value in excess of the repurchase price to be paid or received by a fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.
As of period end, the following table is a summary of BHK and BTZs open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:
Trust Name/Counterparty |
|
Reverse Repurchase
Agreements |
|
|
Fair Value of
Non-Cash Collateral Pledged Including Accrued Interest |
(a) |
|
Cash Collateral
Pledged/Received |
|
Net Amount | ||||||
BHK |
||||||||||||||||
BNP Paribas S.A. |
$ | (130,688,233 | ) | $ | 130,688,233 | $ | | $ | | |||||||
BofA Securities, Inc. |
(69,502 | ) | 69,502 | | |
140 |
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Notes to Financial Statements (continued)
(a) |
Net collateral, including accrued interest, with a value of $688,791,160 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a funds use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a funds obligation to repurchase the securities.
5. DERIVATIVE FINANCIAL INSTRUMENTS
The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are exchange-traded agreements between the Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contracts size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (variation margin). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.
Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded OTC and not on an organized exchange.
The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amount(s)reflected in the Statements of Assets and Liabilities. Cash amounts pledged for forward
N O T E S T O F I N A N C I A L S T A T E M E N T S |
141 |
Notes to Financial Statements (continued) |
foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities. A Trusts risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Trust.
Options: Certain Trusts purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.
A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.
Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Trusts write a call option, such option is typically covered, meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.
|
Swaptions Certain Trusts purchase and write options on swaps (swaptions) primarily to preserve a return or spread on a particular investment or portion of the Trusts holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option. |
|
Interest rate caps and floors Interest rate caps and floors are entered into to gain or reduce exposure to interest rates (interest rate risk and/or other risk). Caps are agreements whereby one party agrees to make payments to the other, in return for a premium, to the extent that interest rate indexes exceed a specified rate, or cap. Floors are agreements whereby one party agrees to make payments to the other, in return for a premium, to the extent that interest rate indexes fall below a specified rate, or floor. The maximum potential amount of future payments that a Fund would be required to make under an interest rate cap would be the notional amount times the percentage increase in interest rates determined by the difference between the interest rate index current value and the value at the time the cap was entered into. |
|
Foreign currency options Certain Trusts purchase and write foreign currency options, foreign currency futures and options on foreign currency futures to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk). Foreign currency options give the purchaser the right to buy from or sell to the writer a foreign currency at any time before the expiration of the option. |
In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security when they otherwise would not, or at a price different from the current market value.
Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Trusts and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (OTC swaps) or centrally cleared (centrally cleared swaps).
For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Trusts basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.
In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the CCP) and the CCP becomes the Trusts counterparty on the swap. Each Trust is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, each Trust is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, each Trust agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (variation margin). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty are amortized over the term of the contract and recorded as realized gains (losses) in the Statements of Operations, including those at termination.
|
Credit default swaps Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk). |
The Trusts may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Trusts will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount
142 |
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Notes to Financial Statements (continued)
of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Trusts will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
|
Total return swaps Total return swaps are entered into to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one security or market (e.g., fixed-income) with another security or market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk). |
Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket of underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instrument(s) or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Trusts receive payment from or make a payment to the counterparty.
|
Interest rate swaps Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk). |
Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another partys stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, a Trust may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Trust and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Trust may, under certain circumstances, offset with the counterparty certain derivative financial instruments payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Trust and the counterparty.
Cash collateral that has been pledged to cover obligations of the Trusts and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Trusts, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Trusts. Any additional required collateral is delivered to/pledged by the Trusts on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Trust generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Trusts from the counterparties are not fully collateralized, each Trust bears the risk of loss from counterparty non-performance. Likewise, to the extent the Trusts have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, each Trust bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
For financial reporting purposes, the Trusts do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.
6. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Advisory: Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (BlackRock), to provide investment advisory and administrative services. The Manager is responsible for the management of each Trusts portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Trust.
For such services, BHK, BTZ and BGT pays the Manager a monthly fee at an annual rate equal to the following percentages of the average weekly value of the Trusts managed assets.
Trust Name |
Investment
Advisory Fees |
|||
BHK |
0.50 | % | ||
BTZ |
0.62 | |||
BGT |
0.75 |
N O T E S T O F I N A N C I A L S T A T E M E N T S |
143 |
Notes to Financial Statements (continued) |
For purposes of calculating these fees, managed assets are determined as total assets of (including any assets attributable to money borrowed for investment purposes) less the sum of its accrued liabilities (other than money borrowed for investment purposes).
For such services, HYT pays the Manager a monthly fee at an annual rate equal to 0.60% of the average daily value of HYTs net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage.
The Manager provides investment management and other services to the Taxable Subsidiary. The Manager does not receive separate compensation from the Taxable Subsidiary for providing investment management or administrative services. However, HYT pays the Manager based on HYTs net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage, which includes the assets of the Taxable Subsidiary.
Effective November 21, 2019, with respect to BHK and HYT, the Manager entered into separate sub-advisory agreements with BlackRock International Limited (BIL) and, with respect to BHK, BlackRock (Singapore) Limited (BRS) (together, the Sub-Advisers), each an affiliate of the Manager. Effective March 2, 2020, with respect to BTZ and BGT, the Manager entered into separate sub-advisory agreements with BIL. The Manager pays BIL and BRS for services they provide for that portion of each Trust for which BIL and BRS, as applicable, acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by each Trust to the Manager.
Expense Waivers and Reimbursements: With respect to each Trust, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds (the affiliated money market fund waiver) through June 30, 2022. The contractual agreement may be terminated upon 90 days notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of a Trust. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the year ended December 31, 2020, the amounts waived were as follows:
Trust Name | Amounts Waived | |||
BHK |
$ | 22,765 | ||
HYT |
1,460 | |||
BTZ |
17,675 | |||
BGT |
626 |
The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Trusts assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2022. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days notice, each subject to approval by a majority of the Trusts Independent Trustees. For the year ended December 31, 2020, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:
Trust Name | Amounts Waived | |||
HYT |
$ | 51,813 | ||
BGT |
48,992 |
Trustees and Officers: Certain trustees and/or officers of the Trust are directors and/or officers of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts Chief Compliance Officer, which is included in Trustees and Officer in the Statements of Operations.
Other Transactions: The Trusts may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the year ended December 31, 2020, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:
Trust Name | Purchases | Sales |
Net Realized
Gain (Loss) |
|||||||||
BHK |
$ | 1,210,343 | $ | 2,814,471 | $ | (2,944 | ) | |||||
HYT |
16,016,108 | 16,492,984 | 58,045 | |||||||||
BTZ |
287,024 | | | |||||||||
BGT |
| 386,655 | (58,110 | ) |
7. PURCHASES AND SALES
For the year ended December 31, 2020, purchases and sales of investments, including paydowns/payups and mortgage dollar rolls and excluding short-term securities, were as follows:
Trust Name | Purchases | Sales | ||||||
BHK |
$ | 786,563,550 | $ | 833,207,716 | ||||
HYT |
1,654,301,477 | 1,616,591,110 | ||||||
BTZ |
668,820,688 | 804,041,703 | ||||||
BGT |
278,622,476 | 282,035,448 |
For the year ended December 31, 2020, purchases and sales related to mortgage dollar rolls were as follows:
Trust Name | Purchases | Sales | ||||||
BHK |
$ | 157,539,503 | $ | 157,736,657 |
144 |
2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (continued)
8. INCOME TAX INFORMATION
It is each Trusts policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required, except with respect to any taxes related to the Taxable Subsidiaries.
Each Trust files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Trusts U.S. federal tax returns generally remains open for a period of three fiscal years after they are filed. The statutes of limitations on each Trusts state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Trusts as of December 31, 2020, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Trusts financial statements.
The tax character of distributions paid was as follows:
Period | BHK | HYT | BTZ | BGT | ||||||||||||||||
Ordinary income |
12/31/2020 | $ | 34,793,265 | $ | 100,401,035 | $ | 79,320,638 | $ | 15,793,436 | |||||||||||
12/31/2019 | 16,633,478 | 43,177,944 | 23,997,745 | 5,265,812 | ||||||||||||||||
10/31/2019 | | | 82,221,384 | 18,989,845 | ||||||||||||||||
8/31/2019 | 41,530,051 | 106,289,272 | | | ||||||||||||||||
Long-term capital gains |
12/31/2020 | 9,714,000 | | | | |||||||||||||||
12/31/2019 | | | | | ||||||||||||||||
Return of Capital |
12/31/2020 | | 13,554,877 | 14,794,018 | 4,425,207 | |||||||||||||||
12/31/2019 | 1,186,687 | 3,584,451 | 2,145,215 | | ||||||||||||||||
10/31/2019 | | | 3,261,831 | | ||||||||||||||||
8/31/2019 | | | | | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Total |
12/31/2020 | $ | 44,507,265 | $ | 113,955,912 | $ | 94,114,656 | $ | 20,218,643 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
12/31/2019 | $ | 17,820,165 | $ | 46,762,395 | $ | 26,142,960 | $ | 5,265,812 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
10/31/2019 | $ | | $ | | $ | 85,483,215 | $ | 18,989,845 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
8/31/2019 | $ | 41,530,051 | $ | 106,289,272 | $ | | $ | | ||||||||||||
|
|
|
|
|
|
|
|
As of period end, the tax components of accumulated earnings (loss) were as follows:
BHK | HYT | BTZ | BGT | |||||||||||||
Undistributed ordinary income |
$ | 2,013,673 | $ | | $ | | $ | | ||||||||
Non-expiring capital loss carryforwards(a) |
| (180,070,278 | ) | (30,497,786 | ) | (28,596,408 | ) | |||||||||
Net unrealized gains (losses)(b) |
130,598,853 | 74,506,290 | 232,083,521 | (2,809,870 | ) | |||||||||||
Qualified late-year losses(c) |
| | | (173,386 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 132,612,526 | $ | (105,563,988 | ) | $ | 201,585,735 | $ | (31,579,664 | ) | |||||||
|
|
|
|
|
|
|
|
(a) |
Amounts available to offset future realized capital gains. |
(b) |
The difference between book-basis and tax-basis net unrealized gains (losses) was attributable primarily to the tax deferral of losses on wash sales and straddles, the realization for tax purposes of unrealized gains/losses on certain futures, options and foreign currency exchange contracts, amortization methods for premiums and discounts on fixed income securities, the accrual of income on securities in default, the timing and recognition of partnership income, the accounting for swap agreements, the deferral of compensation to Trustees, the classification of investment, investments in wholly owned subsidiaries and dividend recognized for tax purposes. |
(c) |
The Trust has elected to defer certain qualified late-year losses and recognize such losses in the next taxable period. |
During the year ended December 31, 2020, the Trusts listed below utilized the following amounts of their respective capital loss carryforward:
Trust Name | Amounts | |||
BHK |
$ | 5,785,613 | ||
BTZ |
21,128,775 | |||
|
|
As of December 31, 2020, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
BHK | HYT | BTZ | BGT | |||||||||||||
Tax cost |
$ | 1,050,588,426 | $ | 2,039,663,657 | $ | 1,839,947,510 | $ | 444,035,373 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Gross unrealized appreciation |
$ | 147,230,045 | $ | 140,389,853 | $ | 252,933,758 | $ | 5,793,875 | ||||||||
Gross unrealized depreciation |
(15,952,195 | ) | (52,578,546 | ) | (12,099,495 | ) | (6,854,401 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net unrealized appreciation (depreciation) |
$ | 131,277,850 | $ | 87,811,307 | $ | 240,834,263 | $ | (1,060,526 | ) | |||||||
|
|
|
|
|
|
|
|
N O T E S T O F I N A N C I A L S T A T E M E N T S |
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Notes to Financial Statements (continued) |
9. BANK BORROWINGS
BGT and HYT are party to a senior committed secured, 360-day rolling line of credit facility and a separate security agreement (the SSB Agreement) with State Street Bank and Trust Company (SSB). SSB may elect to terminate its commitment upon 360-days written notice to HYT and BGT. As of period end, HYT has not received any notice to terminate. HYT and BGT has granted a security interest in substantially all of its assets to SSB.
The SSB Agreement allows for the maximum commitment of $732,000,000 for HYT and $168,000,000 for BGT.
Advances will be made by SSB to BGT and HYT, at HYT and BGTs option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR. Overnight LIBOR and LIBOR rates are subject to a 0% floor.
In addition, BGT and HYT paid a commitment fee (based on the daily unused portion of the commitments). The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs, if any. Advances to BGT and HYT as of period end, if any, are shown in the Statements of Assets and Liabilities as bank borrowings payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.
BGT and HYT may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.
For the year ended December 31, 2020, the average amount of bank borrowings and the daily weighted average interest rates for BGT and HYT for loans under the revolving credit agreements were as follows:
Trust Name |
Average Amount
Outstanding |
Daily Weighted Average
Interest Rate |
||||||
HYT |
$ | 598,918,033 | 1.27 | % | ||||
BGT |
122,934,426 | 1.29 |
10. PRINCIPAL RISKS
In the normal course of business, certain Trusts invest in securities or other instruments and may enter into certain transactions, and such activities subject each Trust to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Trusts and their investments.
Each Trust may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. A Trust may not be able to readily dispose of such investments at prices that approximate those at which a Trust could sell such investments if they were more widely traded and, as a result of such illiquidity, a Trust may have to sell other investments or engage in borrowing transactions if necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting a Trusts net asset value and ability to make dividend distributions. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.
Market Risk: Each Trust may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Trust to reinvest in lower yielding securities. Each Trust may also be exposed to reinvestment risk, which is the risk that income from each Trusts portfolio will decline if each Trust invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Trust portfolios current earnings rate.
Municipal securities are subject to the risk that litigation, legislation or other political events, local business or economic conditions, credit rating downgrades, or the bankruptcy of the issuer could have a significant effect on an issuers ability to make payments of principal and/or interest or otherwise affect the value of such securities. Municipal securities can be significantly affected by political or economic changes, including changes made in the law after issuance of the securities, as well as uncertainties in the municipal market related to, taxation, legislative changes or the rights of municipal security holders, including in connection with an issuer insolvency. Municipal securities backed by current or anticipated revenues from a specific project or specific assets can be negatively affected by the discontinuance of the tax benefits supporting the project or assets or the inability to collect revenues for the project or from the assets. Municipal securities may be less liquid than taxable bonds, and there may be less publicly available information on the financial condition of municipal security issuers than for issuers of other securities.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a funds investments. The duration of this pandemic and its effects cannot be determined with certainty.
Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries.
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Notes to Financial Statements (continued)
A Trust may invest in illiquid investments. An illiquid investment is any investment that a Trust reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Trust may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Trusts NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Trust may lose value, regardless of the individual results of the securities and other instruments in which a Trust invests.
The price a Trust could receive upon the sale of any particular portfolio investment may differ from a Trusts valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Trusts results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Trust, and a Trust could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Trusts ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.
Counterparty Credit Risk: The Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
For OTC options purchased, each Trust bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Trusts should the counterparty fail to perform under the contracts. Options written by the Trusts do not typically give rise to counterparty credit risk, as options written generally obligate the Trusts, and not the counterparty, to perform. The Trusts may be exposed to counterparty credit risk with respect to options written to the extent each Trust deposits collateral with its counterparty to a written option.
With exchange-traded options purchased and futures and centrally cleared swaps, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing brokers customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing brokers customers, potentially resulting in losses to the Trusts.
Concentration Risk: A diversified portfolio, where this is appropriate and consistent with a funds objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within certain Trusts portfolio are disclosed in its Schedule of Investments.
Certain Trusts invest a significant portion of their assets in high yield securities. High yield securities that are rated below investment-grade (commonly referred to as junk bonds) or are unrated may be deemed speculative, involve greater levels of risk than higher-rated securities of similar maturity and are more likely to default. High yield securities may be issued by less creditworthy issuers, and issuers of high yield securities may be unable to meet their interest or principal payment obligations. High yield securities are subject to extreme price fluctuations, may be less liquid than higher rated fixed-income securities, even under normal economic conditions, and frequently have redemption features.
Certain Trusts invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Trusts may be subject to a greater risk of rising interest rates due to the current period of historically low rates.
Certain Trusts invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. When a Trust concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuers. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions. Investment percentages in these securities are presented in the Schedules of Investments.
LIBOR Transition Risk: The United Kingdoms Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (LIBOR) by the end of 2021, and it is expected that LIBOR will cease to be published after that time. The Trusts may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against, instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Trusts is uncertain.
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Notes to Financial Statements (continued)
11. CAPITAL SHARE TRANSACTIONS
BHK, BTZ and BGT is authorized to issue an unlimited number of shares, par value $0.001, all of which were initially classified as Common Shares. HYT is authorized to issue 200 million shares, par value $0.10, all of which were initially classified as Common Shares. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.
The Trusts participate in an open market share repurchase program (the Repurchase Program). From December 1, 2019 through November 30, 2020, each Trust may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2019, subject to certain conditions.
On September 28, 2020, each Trust announced a continuation of its open market share repurchase program. Commencing on December 1, 2020, each Trust may repurchase through November 30, 2021, up to 5% of its common shares outstanding as of the close of business on November 30, 2020, subject to certain conditions. There is no assurance that the Trusts will purchase shares in any particular amounts. For the year ended December 31, 2020, BHK, HYT and BTZ did not repurchase any shares.
The total cost of the shares repurchased is reflected in Trusts Statements of Changes in Net Assets. For the periods shown, shares repurchased and cost, including transaction costs were as follows:
BTZ | BGT | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Year Ended December 31, 2020 |
10,386,555 | (a) | $ | 155,227,064 | 557,488 | $ | 6,057,572 | |||||||||
Period Ended December 31, 2019 |
| | 64,799 | 810,222 | ||||||||||||
Year Ended October 31, 2019 |
1,057,409 | 12,507,349 | 649,075 | 7,974,829 |
(a) |
Common shares issued and outstanding had a net decrease of 10,386,555 as a result of shares repurchased in a tender offer. |
With respect to BHK, for the year ended December 31, 2020, the period ended December 31, 2019 and the year ended August 31, 2019, shares issued and outstanding remained constant.
With respect to HYT, for the year ended December 31, 2020 and the period ended December 31, 2019, shares issued and outstanding remained constant. For the year ended August 31, 2019, common shares issued and outstanding had a decrease of 2,645,529 as a result of shares repurchased.
BTZ conducted a tender offer to purchase for cash up to 10% of BTZs outstanding common shares of beneficial interest, at a price equal to 98% of the NAV per share, determined on the business day on which the Tender Offer expires (Valuation Date).
With respect to BTZ, tender offers for the year ended December 31, 2020, were as follows:
Commencement Date(a) |
Valuation Date |
Number of Shares
Tendered |
Tendered Shares
as a Percentage of Outstanding Shares |
Number of Tendered
Purchased |
Tendered Shares
as a Percentage
of
|
Purchase Price |
Total Amount
of Purchases |
|||||||||||||||||||||
January 2, 2020 |
February 3, 2020 | 41,241,878 | 40.0 | % | 10,386,555 | 10.0 | % | $ | 14.9450 | $ | 155,227,064 |
(a) |
Date the tender offer period began. |
12. SUBSEQUENT EVENTS
Managements evaluation of the impact of all subsequent events on the Trusts financial statements was completed through the date the financial statements were issued and the following items were noted:
The Trusts declared and paid distributions to Common Shareholders as follows:
Dividend Per Common Share | ||||||||
Trust Name | Paid | (a) | Declared | (b) | ||||
BHK |
$ | 0.074600 | $ | 0.074600 | ||||
HYT |
0.077900 | 0.077900 | ||||||
BTZ |
0.083900 | 0.083900 | ||||||
BGT |
0.064700 | 0.064700 |
(a) |
Net investment income dividend paid on January 11, 2021 to Common Shareholders of record on December 31, 2020. |
(b) |
Net investment income dividend declared on February 1, 2021, payable to Common Shareholders of record on February 16, 2021. |
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Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees/Directors of BlackRock Core Bond Trust, BlackRock Corporate High Yield Fund, Inc., BlackRock Credit Allocation Income Trust and BlackRock Floating Rate Income Trust:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of BlackRock Core Bond Trust, BlackRock Credit Allocation Income Trust, and BlackRock Floating Rate Income Trust, including the schedules of investments, as of December 31, 2020, the related statements of operations and cash flows for the year then ended, the statements of changes in net assets and the financial highlights for the periods indicated in the table below, and the related notes. We have also audited the accompanying consolidated statement of assets and liabilities of BlackRock Corporate High Yield Fund, Inc. (collectively with the BlackRock Core Bond Trust, BlackRock Credit Allocation Income Trust, and BlackRock Floating Rate Income Trust, the Funds), including the consolidated schedule of investments, as of December 31, 2020, the related consolidated statements of operations and cash flows for the year then ended, the consolidated statements of changes in net assets and the consolidated financial highlights for the periods indicated in the table below, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of December 31, 2020, and the results of their operations and their cash flows for the year then ended, the changes in their net assets and the financial highlights for the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.
Fund | Statements of Changes in Net Assets | Financial Highlights | ||
BlackRock Core Bond Trust, BlackRock Corporate High Yield Fund, Inc. |
For the year ended December 31, 2020, for the period from September 1, 2019 through December 31, 2019, and for the year ended August 31, 2019 | For the year ended December 31, 2020, for the period from September 1, 2019 through December 31, 2019, and for each of the four years in the period ended August 31, 2019 | ||
BlackRock Credit Allocation Income Trust, BlackRock Floating Rate Income Trust |
For the year ended December 31, 2020, for the period from November 1, 2019 through December 31, 2019, and for the year ended October 31, 2019 | For the year ended December 31, 2020, for the period from November 1, 2019 through December 31, 2019, and for each of the four years in the period ended October 31, 2019 |
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds management. Our responsibility is to express an opinion on the Funds financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2020, by correspondence with the custodian, agent banks, and brokers; when replies were not received from agent banks or brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Deloitte & Touche LLP
Boston, Massachusetts
February 23, 2021
We have served as the auditor of one or more BlackRock investment companies since 1992.
R E P O R T O F I N D E P E N D E N T R E G I S T E R E D P U B L I C A C C O U N T I N G F I R M |
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Important Tax Information (unaudited)
For corporate shareholders, the percentage of ordinary income distributions paid during the fiscal year ended December 31, 2020 that qualified for the dividends-received deduction were as follows:
Trust Name |
Dividends-Received
Deduction |
|||
BHK |
7.82 | % | ||
HYT |
3.21 | |||
BTZ |
10.33 |
The following maximum amounts are hereby designated as qualified dividend income for individuals for the fiscal year ended December 31, 2020:
Trust Name |
Qualified Dividend
Income |
|||
BHK |
$ | 4,466,657 | ||
HYT |
4,242,446 | |||
BTZ |
14,066,234 |
For the fiscal year ended December 31, 2020, the Trusts hereby designate the following maximum amounts allowable as interest-related dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations:
Trust Name |
Interest-Related
Dividends |
|||
BHK |
$ | 28,075,256 | ||
HYT |
77,052,857 | |||
BTZ |
52,761,986 | |||
BGT |
11,086,906 |
The Trusts hereby designate the following amount of distributions from direct federal obligation interest for the fiscal year ended December 31, 2020:
Trust Name |
Federal Obligation
Interest |
|||
BHK |
$ | 246,008 |
The law varies in each state as to whether and what percent of ordinary income dividends attributable to federal obligations is exempt from state income tax. Shareholders are advised to check with their tax advisers to determine if any portion of the dividends received is exempt from state income tax.
The following distribution amounts are hereby designated for the fiscal year ended December 31, 2020:
Trust Name |
Short-Term
Capital Gain Dividends |
20% Rate
Long-Term Capital Gain Dividends |
||||||
BHK |
$ | 658,305 | $ | 9,714,000 |
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Investment Objectives, Policies and Risks
Recent Changes
The following information is a summary of certain changes since December 31, 2019.This information may not reflect all of the changes that have occurred since you purchased the relevant Trust.
During each Trusts most recent fiscal year, there were no material changes in the Trusts investment objectives or policies that have not been approved by shareholders or in the principal risk factors associated with investment in the Trust.
Investment Objectives and Policies
BlackRock Credit Allocation Income Trust (BTZ)
The investment objective of the Trust is to seek current income, current gains and capital appreciation.
The Trust, under normal market conditions, seeks to achieve its investment objective by investing at least 80% of its assets in credit-related securities, including, but not limited to, investment grade corporate bonds, high yield bonds (commonly referred to as junk bonds), bank loans, preferred securities or convertible bonds or derivatives with economic characteristics similar to these credit-related securities.
The Trust may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security subject to such a prepayment feature will have the effect of shortening the maturity of the security. If the Trust has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
The Trust may purchase certain mortgage pass-through securities. There are a number of important differences among the agencies and instrumentalities of the U.S. government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed Mortgage Pass-Through Certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States but are supported by the right of the issuer to borrow from the Treasury.
The Trust may invest in collateralized debt obligations (CDOs), which include collateralized bond obligations (CBOs) and collateralized loan obligations (CLOs). CBOs and CLOs are types of asset-backed securities. A CDO is a bankruptcy remote entity which is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called tranches, which will vary in risk profile and yield. The riskiest segment is the subordinated or equity tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a senior tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.
The Trust may invest in zero-coupon bonds, which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may experience greater volatility in market value than similar maturity debt obligations which provide for regular interest payments.
The Trust may invest in capital trusts. These securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities generally are rated below that of the issuing companys senior debt securities.
The Trust may invest in preferred stocks. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuers board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.
Under normal market conditions, the Trust may invest without limitation in securities rated below investment grade at the time of purchase. However, it is anticipated, under current market conditions, that the Trust will have an average credit quality of at least investment grade.
Securities rated below investment grade include securities that are rated Ba or lower by Moodys Investors Service, Inc. (Moodys) and BB or lower by S&P Global Ratings (S&P) or Fitch Ratings Inc. (Fitch) or securities comparably rated by other rating agencies or in unrated securities determined by the BlackRock Advisors, LLC (the
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Investment Objectives, Policies and Risks (continued)
Manager) to be of comparable quality. Securities rated Ba by Moodys are judged to have speculative elements, their future cannot be considered as well assured and often the protection of interest and principal payments may be very moderate. Securities rated BB by S&P or Fitch are regarded as having predominantly speculative characteristics and, while such obligations have less near-term vulnerability to default than other speculative grade debt, they face major ongoing uncertainties or exposure to adverse business, financial or economic conditions that could lead to inadequate capacity to meet timely interest and principal payments. Securities rated C are generally regarded as having extremely poor prospects of ever attaining any real investment standing. Securities rated D are in default and the payment of interest and/or repayment of principal is in arrears.
The prices of debt securities generally are inversely related to interest rate changes; however, the price volatility caused by fluctuating interest rates of securities also is inversely related to the coupon of such securities. Accordingly, lower grade securities may be relatively less sensitive to interest rate changes than higher quality securities of comparable maturity because of their higher coupon. This higher coupon is what the investor receives in return for bearing greater credit risk. The higher credit risk associated with lower grade securities potentially can have a greater effect on the value of such securities than may be the case with higher quality issues of comparable maturity and will be a substantial factor in the Trusts relative share price volatility.
Lower grade securities may be particularly susceptible to economic downturns. It is likely that an economic recession could disrupt severely the market for such securities and may have an adverse impact on the value of such securities. In addition, it is likely that any such economic downturn could adversely affect the ability of the issuers of such securities to repay principal and pay interest thereon and increase the incidence of default for such securities.
The ratings of Moodys, S&P and the other rating agencies represent their opinions as to the quality of the obligations which they undertake to rate. Ratings are relative and subjective and, although ratings may be useful in evaluating the safety of interest and principal payments, they do not evaluate the market value risk of such obligations. Although these ratings may be an initial criterion for selection of portfolio investments, the Manager also will independently evaluate these securities and the ability of the issuers of such securities to pay interest and principal. To the extent that the Trust invests in lower grade securities that have not been rated by a rating agency, the Trusts ability to achieve its investment objective(s) will be more dependent on the Managers credit analysis than would be the case when the Trust invests in rated securities.
Under normal market conditions, up to 50% of the Trusts Managed Assets may be invested in non-U.S. securities, which may include securities denominated in U.S. dollars or in non-U.S. currencies or multinational currency units. The Trust may also invest in non-U.S. securities of so-called emerging market issuers. A company is deemed to be a non-U.S. company if it meets any of the following tests: (i) such company was not organized in the United States; (ii) such companys primary business office is not in the United States; (iii) the principal trading market for such companys assets is not located in the United States; (iv) less than 50% of such companys assets are located in the United States; or (v) 50% or more of such issuers revenues are derived from outside the United States.
The Trust may make short sales of securities. However, the Trust may not make a short sale if, after giving effect to such sale, the market value of all securities sold short exceeds 25% of the value of the Trusts total assets, or the Trusts aggregate short sales of a particular class of securities exceeds 25% of the outstanding securities of that class. The Trust may also make short sales against the box without respect to such limitations. In this type of short sale, at the time of the sale, the Trust owns or has the immediate and unconditional right to acquire at no additional cost the identical security.
During periods in which the Manager determines that they are temporarily unable to follow the Trusts investment strategy or that it is impractical to do so or pending re-investment of proceeds received in connection with the sale of a security, the Trust may deviate from its investment strategy and invest all or any portion of its assets in cash, cash equivalents or short-term debt instruments.
The Managers determination that they are temporarily unable to follow the Trusts investment strategy or that it is impractical to do so will generally occur only in situations in which a market disruption event has occurred and where trading in the securities selected through application of the Trusts investment strategy is extremely limited or absent. In such a case, shares of the Trust may be adversely affected and the Trust may not pursue or achieve its investment objective. The Manager currently anticipates that these are the only circumstances in which the Trust will invest in short-term debt securities.
The Trust may also lend the securities it owns to others, which allows the Trust the opportunity to earn additional income. Although the Trust will require the borrower of the securities to post collateral for the loan in accordance with market practice and the terms of the loan will require that the Trust be able to reacquire the loaned securities if certain events occur, the Trust is still subject to the risk that the borrower of the securities may default, which could result in the Trust losing money, which would result in a decline in the Trusts net asset value. The Trust may also purchase securities for delayed settlement. This means that the Trust is generally obligated to purchase the securities at a future date for a set purchase price, regardless of whether the value of the securities is more or less than the purchase price at the time of settlement.
The Trust may enter into interest rate swap or cap transactions.
The Trust may, but is not required to, use various strategic transactions to facilitate portfolio management, mitigate risks and enhance total return. Although the Manager seeks to use the practices to further the Trusts investment objective, no assurance can be given that these practices will achieve this result.
The Trust may purchase and sell derivative instruments such as exchange listed and over-the-counter put and call options on securities, financial futures, equity indices and other financial instruments, purchase and sell financial futures contracts and options thereon and engage in swaps. These derivative instruments may be transacted on an exchange or over-the-counter. The Trust also may purchase derivative instruments that combine features of these instruments. Collectively, all of the above are referred to as Strategic Transactions.
The Trust generally seeks to use Strategic Transactions as a portfolio management or hedging technique to seek to protect against possible adverse changes in the market value of securities held in or to be purchased for the Trusts portfolio, protect the value of the Trusts portfolio, facilitate the sale of certain securities for investment purposes, or establish positions in the derivatives markets as a temporary substitute for purchasing or selling particular securities. The Trust may use Strategic Transactions to enhance potential total returns.
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Leverage: The Trust uses leverage to seek to obtain its investment objective. The Trust may utilize leverage to seek to enhance the yield and net asset value of its common shares. However, these objectives cannot be achieved in all interest rate environments. The Trust may utilize leverage by borrowing through a credit facility or through entering into reverse repurchase agreements.
The Trust may also borrow money as a temporary measure for extraordinary or emergency purposes, including the payment of dividends and the settlement of securities transactions which otherwise might require untimely dispositions of Trust securities.
Borrowings may be made by the Trust through dollar roll transactions.
The Trust is able to issue preferred shares.
BlackRock Floating Rate Income Trust (BGT)
The Trusts investment objective is to provide a high level of current income. The Trust, as a secondary objective, also seeks the preservation of capital to the extent consistent with its primary objective of high current income. The Trust will pursue its objectives by investing in a global portfolio of floating rate securities, including investing a significant amount in U.S. and non-U.S. senior secured floating rate loans (Senior Loans). Senior Loans are made to corporations, partnerships and other business entities which operate in various industries and geographical regions. Senior Loans pay interest at rates which are redetermined periodically by reference to a base lending rate, primarily LIBOR, plus a premium. It is anticipated that the proceeds of the Senior Loans in which the Trust will acquire interests primarily will be used to finance leveraged buyouts, recapitalizations, mergers, acquisitions, stock repurchases, refinancing and internal growth and for other corporate purposes of borrowers.
Under normal market conditions, the Trust will invest at least 80% of its Managed Assets in floating and variable rate instruments of U.S. and non-U.S. issuers, including a substantial portion of its assets in senior, secured loans made to corporate and other business entities. The Trust will provide shareholders with notice at least 60 days prior to changing this non-fundamental policy of the Trust unless such change was previously approved by shareholders. The Trust may also invest up to 20% of its Managed Assets in fixed rate instruments of U.S. and non-U.S. issuers, including developed and emerging markets debt, investment grade and high yield corporate debt, sovereign debt, and mortgage-related and asset-backed securities.
Under normal market conditions, the Trust expects its portfolio to have a duration of no more than 1.5 years (including the effect of anticipated leverage). In comparison to maturity (which is the date on which the issuer of a debt instrument is obligated to repay the principal amount), duration is a measure of the price volatility of a debt instrument as a result in changes in market rates of interest, based on the weighted average timing of the instruments expected principal and interest payments. Duration differs from maturity in that it takes into account a securitys yield, coupon payments and its principal payments in addition to the amount of time until the security finally matures. As the value of a security changes over time, so will its duration. Prices of securities with longer durations tend to be more sensitive to interest rate changes than securities with shorter durations. In general, a portfolio of securities with a longer duration can be expected to be more sensitive to interest rate changes than a portfolio with a shorter duration. For example, a hypothetical portfolio with a duration of 1.5 years means that a 1% decrease in interest rates will increase the net asset value of the portfolio by approximately 1.5%; if interest rates increase by 1%, the net asset value will decrease by 1.5%. If this portfolio were leveraged, its net asset value, in the example, may fall more than 1.5% because changes in the net asset value of the Trust are borne entirely by the common shareholders.
Under current market conditions, the Trust expects that substantially all of its portfolio will consist of below investment grade debt securities, commonly referred to as junk bonds, rated as such at the time of investment, meaning that such bonds are rated by national rating agencies below the four highest grades or are unrated but judged to be of comparable quality by BlackRock Advisors, LLC (the Manager). S&P Global Ratings (S&P) and Fitch Ratings consider securities rated below BBB- to be below investment grade and Moodys Investors Service, Inc. (Moodys) considers securities rated below Baa3 to be below investment grade. Securities of below investment grade quality are regarded as having predominantly speculative characteristics with respect to issuers capacity to pay interest and repay principal. The remainder of the Trusts assets will be invested in investment grade debt securities. The Trust may invest in individual securities of any credit quality.
The Trust expects to invest 30% of its Managed Assets in securities of non-U.S. issuers. The Trust will generally invest in U.S. dollar-denominated securities or in non U.S. dollar-denominated securities for which currency exchange exposure versus the U.S. dollar has been hedged. However, the Trust may invest up to 10% of its Managed Assets in non-U.S. dollar-denominated securities whose currency exchange exposure versus the U.S. dollar remains unhedged. The Trust will not invest 25% or more of its Managed Assets in securities issued or guaranteed by any non-U.S. government, its agencies, instrumentalities or corporations.
The Trust may engage in foreign currency transactions, including foreign currency forward contracts, options, swaps and other strategic transactions in connection with its investments in Non-U.S. Securities.
The Trust may invest in illiquid securities and securities for which prices are not readily available without limit. The Trust may implement various temporary defensive strategies at times when the Manager determines that conditions in the markets make pursuing the Trusts basic investment strategy inconsistent with the best interests of its shareholders. These strategies may include investing all or a portion of the Trusts assets in U.S. Government obligations and high-quality, short-term debt securities.
Leverage: The Fund currently utilizes leverage for investment purposes in the form of a bank credit facility. The Trust may borrow through reverse repurchase agreements, dollar rolls and other investment techniques. The Fund also has the ability to utilize leverage through the issuance of preferred shares.
BlackRock Core Bond Trust (BHK)
The Trusts investment objective is to provide current income and capital appreciation.
As a non-fundamental policy, under normal market conditions, the Trust invests at least 80% of its assets in bonds. Bonds held by the Trust may take the form of bonds, notes, bills, debentures, convertible securities, warrants attached to bonds, bank debt obligations, loan participations and assignments, trust preferred securities and securities issued by entities organized and operated for the purpose of restructuring the investment characteristics of securities. Under current market conditions, the Trust intends to
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invest its assets primarily in a diversified portfolio of investment grade bonds, which may include, but are not limited to, corporate bonds, mortgage-related securities and U.S. government and agency debt securities.
The Trust will also invest in bonds that, in the BlackRock Advisors, LLCs (the Manager) opinion, are underrated or undervalued or have the potential for above-average current income and capital appreciation. Underrated bonds are those whose ratings do not, in the Managers opinion, reflect their true creditworthiness. Undervalued bonds are bonds that, in the opinion of the Manager, are worth more than the value assigned to them in the marketplace. The Manager may at times believe that bonds associated with a particular market sector (for example, mortgage-related securities), or issued by a particular issuer, are undervalued. The Manager may purchase those bonds for the Trusts portfolio because they represent a market sector or issuer that the Manager considers undervalued, even if the value of those particular bonds appears to be consistent with the value of similar bonds. Bonds of particular issuers (for example, the Federal Home Loan Mortgage Association) may be undervalued because there is a temporary excess of supply in that market sector, or because of a general decline in the market price of bonds of the market sector for reasons that do not apply to the particular bonds that are considered undervalued. The Trusts investment in underrated or undervalued bonds will be based on the Managers belief that their yield is higher than that available on bonds bearing equivalent levels of interest rate risk, credit risk and other forms of risk, and that their prices will ultimately rise, relative to the market, to reflect their true value. The Trust may engage in active and frequent trading of portfolio securities to achieve its principal investment strategies.
The Trust invests primarily in investment grade bonds. Under normal market conditions, the Trust invests at least 75% of its total managed assets in investment grade quality bonds. Investment grade quality means that such bonds are rated, at the time of investment, within the four highest grades (Baa or BBB or better by Moodys Investors Service, Inc. (Moodys), S&P Global Ratings (S&P), Fitch Ratings Inc. (Fitch) or another nationally recognized rating agency) by one nationally recognized rating agency or are unrated but judged to be of comparable quality by the Manager. Bonds that are rated by two or more nationally recognized rating agencies will be considered to have the higher credit rating. Changes in economic conditions or other circumstances are more likely to lead to a weakened capacity for bonds that are rated BBB or Baa (or that have equivalent ratings) to make principal and interest payments than is the case for higher rated bonds. The Trust may invest up to 25% of its total managed assets in bonds that are rated, at the time of investment, Ba/BB or below by Moodys, S&P, Fitch or another nationally recognized rating agency or that are unrated but judged to be of comparable quality by the Manager. Bonds of below investment grade quality are commonly referred to as junk bonds. Bonds of below investment grade quality are regarded as having predominantly speculative characteristics with respect to the issuers capacity to pay interest and repay principal. The lowest rated bonds in which the Trust may invest are securities rated in the category C or determined by the Manager to be of comparable quality. Securities rated C are considered highly speculative and may be used to cover a situation where the issuer has filed a bankruptcy petition but debt service payments are continued. While such debt will likely have some quality and protective characteristics, those are outweighed by large uncertainties or major risk exposure to adverse conditions. These credit quality policies apply only at the time a security is purchased, and the Trust is not required to dispose of a security if a rating agency downgrades its assessment of the credit characteristics of a particular issue. In determining whether to retain or sell a security that a rating agency has downgraded, the Manager may consider such factors as the Managers assessment of the credit quality of the issuer of the security, the price at which the security could be sold and the rating, if any, assigned to the security by other rating agencies.
The Trust may invest up to 10% of its total managed assets in bonds denominated in currencies other than the U.S. dollar.
The Trust may also invest in securities of other open- or closed-end investment companies that invest primarily in bonds of the types in which the Trust may invest directly.
As part of the management of the Trust, the Manager manages the effective duration of the Trusts portfolio. The target duration of the Trusts portfolio may change from time to time.
The Manager may, but is not required to, when consistent with the Trusts investment objective, use various strategic investment transactions to earn income, facilitate portfolio management and mitigate risks, including currency risk. The Trust may purchase and sell derivative instruments such as exchange-listed and over-the-counter put and call options on securities, financial futures, equity, fixed-income and interest rate indices, and other financial instruments, purchase and sell financial futures contracts and options thereon, enter into various interest rate transactions such as swaps, caps, floors or collars and enter into various currency transactions such as currency forward contracts, currency futures contracts, currency swaps or options on currency or currency futures or credit transactions and credit default swaps. The Trust also may purchase derivative instruments that combine features of these instruments. Collectively, all of the above are referred to as Strategic Transactions. The Trust generally seeks to use Strategic Transactions as a portfolio management or hedging technique to seek to protect against possible adverse changes in the market value of securities held in or to be purchased for the Trusts portfolio, protect the value of the Trusts portfolio, facilitate the sale of certain securities for investment purposes, manage the effective interest rate exposure of the Trust, protect against changes in currency exchange rates, manage the effective maturity or duration of the Trusts portfolio, or establish positions in the derivatives markets as a temporary substitute for purchasing or selling particular securities. The Trust may use Strategic Transactions to enhance potential gain, although no more than 5% of the Trusts total managed assets will be committed to variation margin for Strategic Transactions for non-hedging purposes.
During temporary defensive periods and in order to keep the Trust fully invested, the Trust may invest up to 100% of its total managed assets in short-term investments. The Trust may not achieve its investment objective under these circumstances.
Leverage: The Trust currently utilizes leverage for investment purposes in the form of reverse repurchase agreements. The Trust may borrow from banks or other financial institutions and may also borrow additional funds using such investment techniques and in such amounts as the Manager may from time to time determine.
Borrowings may be made by the Trust through dollar roll transactions.
Although the Trust is authorized to issue preferred shares, the Trust anticipates that under current market conditions it will not offer preferred shares.
BlackRock Corporate High Yield Fund, Inc. (HYT)
The Trusts primary investment objective is to provide shareholders with current income. The Trusts secondary investment objective is to provide shareholders with capital appreciation. The Trusts investment objectives are fundamental policies and may not be changed without the approval of a majority of the outstanding voting securities of the Trust (as defined in the Investment Company Act of 1940 Act, as amended (the 1940 Act).
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The Trust seeks to achieve its investment objectives by investing primarily in a diversified portfolio of fixed income securities which are rated below investment grade by the established rating services (Ba or lower by Moodys Investors Service, Inc. (Moodys), BB or lower by S&P Global Ratings (S&P) or BB or lower by Fitch Ratings Inc. (Fitch)) or, if unrated, are considered by BlackRock Advisors, LLC (the Manager) to be of comparable quality. The Trust may invest directly in fixed income securities or synthetically through the use of derivatives. The Trust may invest in securities of any maturity.
Under normal market conditions, the Trust invests at least 80% of its net assets (including assets acquired from the sale of preferred stock), plus the amount of any borrowings for investment purposes, in high yield securities, including high yield bonds, corporate loans, convertible debt securities and preferred securities. This is a non-fundamental policy and may be changed by the Board of Directors of the Trust provided that stockholders are provided with at least 60 days prior written notice of any change, unless such change was previously approved by shareholders, as required by the rules under the 1940 Act.
High yield securities include high yield bonds (commonly referred to as junk bonds), corporate loans, mortgage-related securities, convertible debt securities and preferred securities, which are rated below investment grade or, if unrated, are considered by the Manager to be of comparable quality. The high yield securities in which the Trust invests may also include credit linked notes, structured notes or other instruments evidencing interests in special purpose vehicles or trusts that hold interests in high yield securities.
The Trust may receive warrants or other non-income producing equity securities in connection with its investments in high yield securities, including in unit offerings, in an exchange offer, upon the conversion of a convertible security, or upon the restructuring or bankruptcy of investments owned by the Trust. The Trust may continue to hold such securities until, in the Managers judgment in light of current market conditions, it is advantageous to effect a disposition of such securities.
Although the Trust will invest primarily in below investment grade securities, other than with respect to Distressed Securities (described below), it will not invest in securities in the lowest rating categories (Ca or lower by Moodys, CC or lower by S&P or CC or lower by Fitch) unless the Manager believes that the financial condition of the issuer or the protection afforded to the particular securities is stronger than would otherwise be indicated by such low ratings.
The Trust may invest up to 10% of its total assets in high yield securities which are the subject of bankruptcy proceedings or otherwise in default as to the repayment of principal and/or payment of interest at the time of acquisition by the Trust or are rated in the lowest rating categories (Ca or lower by Moodys, CC or lower by S&P or CC or lower by Fitch) or, if unrated, are considered by the Manager to be of comparable quality (Distressed Securities).
The Trust may invest, without limitation, in securities of issuers domiciled outside the United States or that are denominated in various foreign currencies and multinational currency units (Non-U.S. Securities).
The Trust may invest up to 25% of its total assets in corporate loans extended to borrowers by commercial banks or other financial institutions (Corporate Loans). The Corporate Loans in which the Trust may invest may be rated below investment grade (Ba or lower by Moodys, BB or lower by S&P or BB or lower by Fitch) or, if unrated, are considered by the Manager to be of comparable quality.
The Trust may invest up to 15% of its total assets in convertible debt securities and up to 15% of its total assets in preferred securities, including preferred securities that may be converted into common stock or other securities of the same or a different issuer, and non-convertible preferred securities. The convertible debt securities and preferred securities in which the Trust may invest may be rated below investment grade by the established rating services (Ba or lower by Moodys, BB or lower by S&P or BB or lower by Fitch) or, if unrated, are considered by the Manager to be of comparable quality.
The Trust may make short sales of securities, provided that the market value of all securities sold short does not exceed 10% of its total assets. The Trust may make short sales both as a form of hedging to offset potential declines in long positions in similar securities and in order to seek to enhance return. The Trust also may make short sales against the box. Short sales against the box are not subject to the foregoing 10% limitation.
The Trust may not purchase securities of other investment companies, except to the extent that such purchases are permitted by applicable law.
The Trust has no limitation on the amount of its investments that are not readily marketable or are subject to restrictions on resale.
The Trust may engage in various portfolio strategies both to seek to increase its return and to hedge its portfolio against movements in interest rates and in the securities markets through the use of derivatives, such as indexed and inverse securities, options, futures, options on futures, interest rate transactions, credit default swaps and short selling.
Leverage: The Trust currently utilizes leverage for investment purposes in the form of a bank credit facility. The Trust generally will not utilize leverage if it anticipates that the Trusts leveraged capital structure would result in a lower return to common stockholders than that obtainable if the common stock were unleveraged for any significant amount of time. At times, the Trust could utilize leverage through borrowings, including the issuance of short term debt securities, the issuance of shares of preferred stock or a combination thereof. The Trust may also leverage through the use of reverse repurchase agreements.
There can be no assurance that the Trust will borrow in order to leverage its assets or, if it does, what percentage of the Trusts assets such borrowings will represent. The Trust does not currently anticipate issuing any preferred stock.
The Trust also may borrow money as a temporary measure for extraordinary or emergency purposes, including the payment of dividends and the settlement of securities transactions which otherwise might require untimely dispositions of Trust securities.
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Risk Factors
This section contains a discussion of the general risks of investing in each Trust. The net asset value and market price of, and dividends paid on, the common shares will fluctuate with and be affected by, among other things, the risks more fully described below. As with any fund, there can be no guarantee that a Trust will meet its investment objective or that the Trusts performance will be positive for any period of time. Each risk noted below is applicable to each Trust unless the specific Trust or Trusts are noted in a parenthetical.
Investment and Market Discount Risk: An investment in the Trusts common shares is subject to investment risk, including the possible loss of the entire amount that you invest. As with any stock, the price of the Trusts common shares will fluctuate with market conditions and other factors. If shares are sold, the price received may be more or less than the original investment. Common shares are designed for long-term investors and the Trust should not be treated as a trading vehicle. Shares of closed-end management investment companies frequently trade at a discount from their net asset value. This risk is separate and distinct from the risk that the Trusts net asset value could decrease as a result of its investment activities. At any point in time an investment in the Trusts common shares may be worth less than the original amount invested, even after taking into account distributions paid by the Trust. During periods in which the Trust may use leverage, the Trusts investment, market discount and certain other risks will be magnified.
Debt Securities Risk: Debt securities, such as bonds, involve interest rate risk, credit risk, extension risk, and prepayment risk, among other things.
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Interest rate risk The market value of bonds and other fixed-income securities changes in response to interest rate changes and other factors. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. |
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The Trust may be subject to a greater risk of rising interest rates due to the current period of historically low rates. For example, if interest rates increase by 1%, assuming a current portfolio duration of ten years, and all other factors being equal, the value of the Trusts investments would be expected to decrease by 10%. The magnitude of these fluctuations in the market price of bonds and other fixed-income securities is generally greater for those securities with longer maturities. Fluctuations in the market price of the Trusts investments will not affect interest income derived from instruments already owned by the Trust, but will be reflected in the Trusts net asset value. The Trust may lose money if short-term or long-term interest rates rise sharply in a manner not anticipated by Trust management. |
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To the extent the Trust invests in debt securities that may be prepaid at the option of the obligor (such as mortgage-backed securities), the sensitivity of such securities to changes in interest rates may increase (to the detriment of the Trust) when interest rates rise. Moreover, because rates on certain floating rate debt securities typically reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the net asset value of the Trust to the extent that it invests in floating rate debt securities. |
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These basic principles of bond prices also apply to U.S. Government securities. A security backed by the full faith and credit of the U.S. Government is guaranteed only as to its stated interest rate and face value at maturity, not its current market price. Just like other fixed-income securities, government-guaranteed securities will fluctuate in value when interest rates change. |
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A general rise in interest rates has the potential to cause investors to move out of fixed-income securities on a large scale, which may increase redemptions from funds that hold large amounts of fixed-income securities. Heavy redemptions could cause the Trust to sell assets at inopportune times or at a loss or depressed value and could hurt the Trusts performance. |
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Credit risk Credit risk refers to the possibility that the issuer of a debt security (i.e., the borrower) will not be able to make payments of interest and principal when due. Changes in an issuers credit rating or the markets perception of an issuers creditworthiness may also affect the value of the Trusts investment in that issuer. The degree of credit risk depends on both the financial condition of the issuer and the terms of the obligation. |
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Extension risk : When interest rates rise, certain obligations will be paid off by the obligor more slowly than anticipated, causing the value of these obligations to fall. |
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Prepayment risk When interest rates fall, certain obligations will be paid off by the obligor more quickly than originally anticipated, and the Trust may have to invest the proceeds in securities with lower yields. |
Mortgage- and Asset-Backed Securities Risks (BTZ, BGT and BHK): Mortgage- and asset-backed securities represent interests in pools of mortgages or other assets, including consumer loans or receivables held in trust. Mortgage- and asset-backed securities are subject to credit, interest rate, prepayment and extension risks. These securities also are subject to risk of default on the underlying mortgage or asset, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-backed securities.
U.S. Government Mortgage-Related Securities Risk (BTZ): There are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. Mortgage-related securities guaranteed by the Government National Mortgage Association (GNMA or Ginnie Mae) are guaranteed as to the timely payment of principal and interest by GNMA and such guarantee is backed by the full faith and credit of the United States. GNMA securities also are supported by the right of GNMA to borrow funds from the U.S. Treasury to make payments under its guarantee. Mortgage-related securities issued by Fannie Mae or Freddie Mac are solely the obligations of Fannie Mae or Freddie Mac, as the case may be, and are not backed by or entitled to the full faith and credit of the United States but are supported by the right of the issuer to borrow from the Treasury.
U.S. Government Obligations Risk (BTZ, BGT and BHK): Certain securities in which the Trust may invest, including securities issued by certain U.S. Government agencies and U.S. Government sponsored enterprises, are not guaranteed by the U.S. Government or supported by the full faith and credit of the United States.
Senior Loans Risk (BGT): There is less readily available, reliable information about most senior loans than is the case for many other types of securities. An economic downturn generally leads to a higher non-payment rate, and a senior loan may lose significant value before a default occurs. Moreover, any specific collateral used to secure
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a senior loan may decline in value or become illiquid, which would adversely affect the senior loans value. No active trading market may exist for certain senior loans, which may impair the ability of the Trust to realize full value in the event of the need to sell a senior loan and which may make it difficult to value senior loans. Although senior loans in which the Trust will invest generally will be secured by specific collateral, there can be no assurance that liquidation of such collateral would satisfy the borrowers obligation in the event of non-payment of scheduled interest or principal or that such collateral could be readily liquidated. To the extent that a senior loan is collateralized by stock in the borrower or its subsidiaries, such stock may lose all of its value in the event of the bankruptcy of the borrower. Uncollateralized senior loans involve a greater risk of loss.
Risks of Loan Assignments and Participations (BHK): As the purchaser of an assignment, the Trust typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement with respect to the debt obligation; however, the Trust may not be able unilaterally to enforce all rights and remedies under the loan and with regard to any associated collateral. Because assignments may be arranged through private negotiations between potential assignees and potential assignors, the rights and obligations acquired by the Trust as the purchaser of an assignment may differ from, and be more limited than, those held by the assigning lender. In addition, if the loan is foreclosed, the Trust could become part owner of any collateral and could bear the costs and liabilities of owning and disposing of the collateral. The Trust may be required to pass along to a purchaser that buys a loan from the Trust by way of assignment a portion of any fees to which the Trust is entitled under the loan. In connection with purchasing participations, the Trust generally will have no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loan, nor any rights of set-off against the borrower, and the Trust may not directly benefit from any collateral supporting the loan in which it has purchased the participation. As a result, the Trust will be subject to the credit risk of both the borrower and the lender that is selling the participation. In the event of the insolvency of the lender selling a participation, the Trust may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower.
Corporate Loans Risk (BTZ and HYT): Commercial banks and other financial institutions or institutional investors make corporate loans to companies that need capital to grow or restructure. Borrowers generally pay interest on corporate loans at rates that change in response to changes in market interest rates such as the London Interbank Offered Rate (LIBOR) or the prime rates of U.S. banks. As a result, the value of corporate loan investments is generally less exposed to the adverse effects of shifts in market interest rates than investments that pay a fixed rate of interest. The market for corporate loans may be subject to irregular trading activity and wide bid/ask spreads. In addition, transactions in corporate loans may settle on a delayed basis. As a result, the proceeds from the sale of corporate loans may not be readily available to make additional investments or to meet the Trusts redemption obligations. To the extent the extended settlement process gives rise to short-term liquidity needs, the Trust may hold additional cash, sell investments or temporarily borrow from banks and other lenders. The corporate loans in which the Trust invests are usually rated below investment grade.
Variable and Floating Rate Instrument Risk (BGT): Variable and floating rate securities provide for periodic adjustment in the interest rate paid on the securities. These securities may be subject to greater illiquidity risk than other fixed income securities, meaning the absence of an active market for these securities could make it difficult for the Trust to dispose of them at any given time.
Junk Bonds Risk: Although junk bonds generally pay higher rates of interest than investment grade bonds, junk bonds are high risk investments that are considered speculative and may cause income and principal losses for the Trust.
Distressed Securities Risk (HYT): Distressed securities are speculative and involve substantial risks in addition to the risks of investing in junk bonds. The Trust will generally not receive interest payments on the distressed securities and may incur costs to protect its investment. In addition, distressed securities involve the substantial risk that principal will not be repaid. These securities may present a substantial risk of default or may be in default at the time of investment. The Trust may incur additional expenses to the extent it is required to seek recovery upon a default in the payment of principal of or interest on its portfolio holdings. In any reorganization or liquidation proceeding relating to a portfolio company, the Trust may lose its entire investment or may be required to accept cash or securities with a value less than its original investment. Distressed securities and any securities received in an exchange for such securities may be subject to restrictions on resale.
Collateralized Bond Obligations Risk (BTZ): The pool of high yield securities underlying collateralized bond obligations is typically separated into groupings called tranches representing different degrees of credit quality. The higher quality tranches have greater degrees of protection and pay lower interest rates. The lower tranches, with greater risk, pay higher interest rates.
Collateralized Debt Obligations Risk (BTZ) In addition to the typical risks associated with fixed-income securities and asset-backed securities, collateralized debt obligations (CDOs), including collateralized loan obligations, carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the risk that the collateral may default or decline in value or be downgraded, if rated by a nationally recognized statistical rating organization; (iii) the Trust may invest in tranches of CDOs that are subordinate to other tranches; (iv) the structure and complexity of the transaction and the legal documents could lead to disputes among investors regarding the characterization of proceeds; (v) the investment return achieved by the Trust could be significantly different than those predicted by financial models; (vi) the lack of a readily available secondary market for CDOs; (vii) the risk of forced fire sale liquidation due to technical defaults such as coverage test failures; and (viii) the CDOs manager may perform poorly.
Zero Coupon Securities Risk (BTZ): While interest payments are not made on such securities, holders of such securities are deemed to have received income (phantom income) annually, notwithstanding that cash may not be received currently. The effect of owning instruments that do not make current interest payments is that a fixed yield is earned not only on the original investment but also, in effect, on all discount accretion during the life of the obligations. This implicit reinvestment of earnings at a fixed rate eliminates the risk of being unable to invest distributions at a rate as high as the implicit yield on the zero coupon bond, but at the same time eliminates the holders ability to reinvest at higher rates in the future. For this reason, some of these securities may be subject to substantially greater price fluctuations during periods of changing market interest rates than are comparable securities that pay interest currently. Longer term zero coupon bonds are more exposed to interest rate risk than shorter term zero coupon bonds. These investments benefit the issuer by mitigating its need for cash to meet debt service, but also require a higher rate of return to attract investors who are willing to defer receipt of cash.
Capital Trusts Risk (BTZ): These securities are subject to interest rate risk and credit risk.
Foreign Securities Risk: Foreign investments often involve special risks not present in U.S. investments that can increase the chances that the Trust will lose money. These risks include:
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Investment Objectives, Policies and Risks (continued)
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The Trust generally holds its foreign securities and cash in foreign banks and securities depositories, which may be recently organized or new to the foreign custody business and may be subject to only limited or no regulatory oversight. |
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Changes in foreign currency exchange rates can affect the value of the Trusts portfolio. |
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The economies of certain foreign markets may not compare favorably with the economy of the United States with respect to such issues as growth of gross national product, reinvestment of capital, resources and balance of payments position. |
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The governments of certain countries may prohibit or impose substantial restrictions on foreign investments in their capital markets or in certain industries. |
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Many foreign governments do not supervise and regulate stock exchanges, brokers and the sale of securities to the same extent as does the United States and may not have laws to protect investors that are comparable to U.S. securities laws. |
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Settlement and clearance procedures in certain foreign markets may result in delays in payment for or delivery of securities not typically associated with settlement and clearance of U.S. investments. |
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The Trusts claims to recover foreign withholding taxes may not be successful, and if the likelihood of recovery of foreign withholding taxes materially decreases, due to, for example, a change in tax regulation or approach in the foreign country, accruals in the Trusts net asset value for such refunds may be written down partially or in full, which will adversely affect the Trusts net asset value. |
Emerging Markets Risk (BTZ and BGT): Emerging markets are riskier than more developed markets because they tend to develop unevenly and may never fully develop. Investments in emerging markets may be considered speculative. Emerging markets are more likely to experience hyperinflation and currency devaluations, which adversely affect returns to U.S. investors. In addition, many emerging securities markets have far lower trading volumes and less liquidity than developed markets.
Sovereign Debt Risk (BGT): Sovereign debt instruments are subject to the risk that a governmental entity may delay or refuse to pay interest or repay principal on its sovereign debt, due, for example, to cash flow problems, insufficient foreign currency reserves, political considerations, the relative size of the governmental entitys debt position in relation to the economy or the failure to put in place economic reforms required by the International Monetary Fund or other multilateral agencies.
Equity Securities Risk (HYT) Stock markets are volatile. The price of equity securities fluctuates based on changes in a companys financial condition and overall market and economic conditions.
Preferred Securities Risk: Preferred securities may pay fixed or adjustable rates of return. Preferred securities are subject to issuer-specific and market risks applicable generally to equity securities. In addition, a companys preferred securities generally pay dividends only after the company makes required payments to holders of its bonds and other debt. For this reason, the value of preferred securities will usually react more strongly than bonds and other debt to actual or perceived changes in the companys financial condition or prospects. Preferred securities of smaller companies may be more vulnerable to adverse developments than preferred securities of larger companies.
Convertible Securities Risk (BTZ, BHK and HYT): The market value of a convertible security performs like that of a regular debt security; that is, if market interest rates rise, the value of a convertible security usually falls. In addition, convertible securities are subject to the risk that the issuer will not be able to pay interest or dividends when due, and their market value may change based on changes in the issuers credit rating or the markets perception of the issuers creditworthiness. Since it derives a portion of its value from the common stock into which it may be converted, a convertible security is also subject to the same types of market and issuer risks that apply to the underlying common stock.
Warrants Risk (BHK and HYT): If the price of the underlying stock does not rise above the exercise price before the warrant expires, the warrant generally expires without any value and the Trust will lose any amount it paid for the warrant. Thus, investments in warrants may involve substantially more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.
Derivatives Risk: The Trusts use of derivatives may increase its costs, reduce the Trusts returns and/or increase volatility. Derivatives involve significant risks, including:
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Volatility Risk: Volatility is defined as the characteristic of a security, an index or a market to fluctuate significantly in price within a short time period. A risk of the Trusts use of derivatives is that the fluctuations in their values may not correlate with the overall securities markets. |
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Counterparty Risk: Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. |
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Market and Illiquidity Risk: The possible lack of a liquid secondary market for derivatives and the resulting inability of the Trust to sell or otherwise close a derivatives position could expose the Trust to losses and could make derivatives more difficult for the Trust to value accurately. |
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Valuation Risk: Valuation may be more difficult in times of market turmoil since many investors and market makers may be reluctant to purchase complex instruments or quote prices for them. |
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Hedging Risk: Hedges are sometimes subject to imperfect matching between the derivative and the underlying security, and there can be no assurance that the Trusts hedging transactions will be effective. The use of hedging may result in certain adverse tax consequences. |
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Tax Risk: Certain aspects of the tax treatment of derivative instruments, including swap agreements and commodity-linked derivative instruments, are currently unclear and may be affected by changes in legislation, regulations or other legally binding authority. Such treatment may be less favorable than that given to a direct investment in an underlying asset and may adversely affect the timing, character and amount of income the Trust realizes from its investments. |
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Investment Objectives, Policies and Risks (continued)
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Regulatory Risk: Derivative contracts, including, without limitation, swaps, currency forwards and non-deliverable forwards, are subject to regulation under the Dodd-Frank Wall Street Reform and Consumer Protection Act (the Dodd-Frank Act) in the United States and under comparable regimes in Europe, Asia and other non-U.S. jurisdictions. Under the Dodd-Frank Act, certain derivatives are subject to margin requirements and swap dealers are required to collect margin from the Trust with respect to such derivatives. Specifically, regulations are now in effect that require swap dealers to post and collect variation margin (comprised of specified liquid instruments and subject to a required haircut) in connection with trading of OTC swaps with the Trust. Shares of investment companies (other than certain money market funds) may not be posted as collateral under these regulations. Requirements for posting of initial margin in connection with OTC swaps will be phased-in through at least 2021. In addition, regulations adopted by global prudential regulators that are now in effect require certain bank-regulated counterparties and certain of their affiliates to include in certain financial contracts, including many derivatives contracts, terms that delay or restrict the rights of counterparties, such as the Trust, to terminate such contracts, foreclose upon collateral, exercise other default rights or restrict transfers of credit support in the event that the counterparty and/or its affiliates are subject to certain types of resolution or insolvency proceedings. The implementation of these requirements with respect to derivatives, as well as regulations under the Dodd-Frank Act regarding clearing, mandatory trading and margining of other derivatives, may increase the costs and risks to the Trust of trading in these instruments and, as a result, may affect returns to investors in the Trust. |
On October 28, 2020, the Securities and Exchange Commission (the SEC) adopted new regulations governing the use of derivatives by registered investment companies (Rule 18f-4). The Trust will be required to implement and comply with Rule 18f-4 by August 19, 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the Investment Company Act of 1940, as amended (the Investment Company Act), treat derivatives as senior securities so that a failure to comply with the limits would result in a statutory violation and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.
Structured Notes Risk (HYT): Structured notes and other related instruments purchased by the Trust are generally privately negotiated debt obligations where the principal and/or interest is determined by reference to the performance of a specific asset, benchmark asset, market or interest rate (reference measure). The purchase of structured notes exposes the Trust to the credit risk of the issuer of the structured product. Structured notes may be leveraged, increasing the volatility of each structured notes value relative to the change in the reference measure. Structured notes may also be less liquid and more difficult to price accurately than less complex securities and instruments or more traditional debt securities.
Leverage Risk: The Trust currently utilizes leverage for investment purposes by borrowing through a credit facility and entering into reverse repurchase agreements, derivative instruments with leverage embedded in them and dollar rolls, as applicable. The Trusts use of leverage may increase or decrease from time to time in its discretion and the Trust may, in the future, determine not to use leverage.
The use of leverage creates an opportunity for increased common share net investment income dividends, but also creates risks for the holders of common shares. The Trust cannot assure you that the use of leverage will result in a higher yield on the common shares. Any leveraging strategy the Trust employs may not be successful.
Leverage involves risks and special considerations for common shareholders, including:
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the likelihood of greater volatility of net asset value, market price and dividend rate of the common shares than a comparable portfolio without leverage; |
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the risk that fluctuations in interest rates or dividend rates on any leverage that the Trust must pay will reduce the return to the common shareholders; |
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the effect of leverage in a declining market, which is likely to cause a greater decline in the net asset value of the common shares than if the Trust were not leveraged, which may result in a greater decline in the market price of the common shares; |
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leverage may increase operating costs, which may reduce total return. |
Any decline in the net asset value of the Trusts investments will be borne entirely by the holders of common shares. Therefore, if the market value of the Trusts portfolio declines, leverage will result in a greater decrease in net asset value to the holders of common shares than if the Trust were not leveraged. This greater net asset value decrease will also tend to cause a greater decline in the market price for the common shares.
Reverse Repurchase Agreements Risk: Reverse repurchase agreements involve the sale of securities held by the Trust with an agreement to repurchase the securities at an agreed-upon price, date and interest payment. Reverse repurchase agreements involve the risk that the other party may fail to return the securities in a timely manner or at all. The Trust could lose money if it is unable to recover the securities and the value of the collateral held by the Trust, including the value of the investments made with cash collateral, is less than the value of the securities. These events could also trigger adverse tax consequences for the Trust. In addition, reverse repurchase agreements involve the risk that the interest income earned in the investment of the proceeds will be less than the interest expense.
Dollar Rolls Risk (BTZ, BGT and BHK): Dollar rolls involve the risk that the market value of the securities that the Trust is committed to buy may decline below the price of the securities the Trust has sold. These transactions may involve leverage.
Short Sales Risk (BTZ and HYT): Because making short sales in securities that it does not own exposes the Trust to the risks associated with those securities, such short sales involve speculative exposure risk. The Trust will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Trust replaces the security sold short.
Illiquid Investments Risk: The Trust may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. The Trust may not be able to readily dispose of such investments at prices that approximate those at which the Trust could sell such investments if they were more widely traded and, as a result of such illiquidity, the Trust may have to sell other investments or engage in borrowing transactions if necessary to raise cash to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting the Trusts net asset
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Investment Objectives, Policies and Risks (continued)
value and ability to make dividend distributions. The financial markets in general, and certain segments of the mortgage-related securities markets in particular, have in recent years experienced periods of extreme secondary market supply and demand imbalance, resulting in a loss of liquidity during which market prices were suddenly and substantially below traditional measures of intrinsic value. During such periods, some investments could be sold only at arbitrary prices and with substantial losses. Periods of such market dislocation may occur again at any time. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.
Investment Companies and ETFs Risk (BHK and HYT): Subject to the limitations set forth in the Investment Company Act, or as otherwise limited by the SEC, the Trust may acquire shares in other investment companies and in exchange-traded funds (ETFs), some of which may be affiliated investment companies. The market value of the shares of other investment companies and ETFs may differ from their net asset value. As an investor in investment companies and ETFs, the Trust would bear its ratable share of that entitys expenses, including its investment advisory and administration fees, while continuing to pay its own advisory and administration fees and other expenses (to the extent not offset by the Manager through waivers). As a result, shareholders will be absorbing duplicate levels of fees with respect to investments in other investment companies and ETFs (to the extent not offset by the Manager through waivers).
The securities of other investment companies and ETFs in which the Trust may invest may be leveraged. As a result, the Trust may be indirectly exposed to leverage through an investment in such securities. An investment in securities of other investment companies and ETFs that use leverage may expose the Trust to higher volatility in the market value of such securities and the possibility that the Trusts long-term returns on such securities (and, indirectly, the long-term returns of shares of the Trust) will be diminished.
As with other investments, investments in other investment companies, including ETFs, are subject to market and selection risk. To the extent the Trust is held by an affiliated fund, the ability of the Trust itself to hold other investment companies may be limited.
Market Risk and Selection Risk: Market risk is the risk that one or more markets in which the Trust invests will go down in value, including the possibility that the markets will go down sharply and unpredictably. The value of a security or other asset may decline due to changes in general market conditions, economic trends or events that are not specifically related to the issuer of the security or other asset, or factors that affect a particular issuer or issuers, exchange, country, group of countries, region, market, industry, group of industries, sector or asset class. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues like pandemics or epidemics, recessions, or other events could have a significant impact on the Trust and its investments. Selection risk is the risk that the securities selected by Trust management will underperform the markets, the relevant indices or the securities selected by other funds with similar investment objectives and investment strategies. This means you may lose money.
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Automatic Dividend Reinvestment Plan
Pursuant to BHK, HYT, BTZ and BGTs Dividend Reinvestment Plan (the Reinvestment Plan), Common Shareholders are automatically enrolled to have all distributions of dividends and capital gains and other distributions reinvested by Computershare Trust Company, N.A. (the Reinvestment Plan Agent) in the respective Trusts Common Shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street name or other nominee name, then to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.
After BHK, HYT, BTZ and BGT declare a dividend or determine to make a capital gain or other distribution, the Reinvestment Plan Agent will acquire shares for the participants accounts, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Trusts (newly issued shares) or (ii) by purchase of outstanding shares on the open market or on the Trusts primary exchange (open-market purchases). If, on the dividend payment date, the net asset value per share (NAV) is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to as a market premium), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares acquired on behalf of the participants. The number of newly issued shares to be credited to each participants account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the dividend payment date, the dollar amount of the dividend will be divided by 95% of the market price on the dividend payment date. If, on the dividend payment date, the NAV is greater than the market price per share plus estimated brokerage commissions (such condition often referred to as a market discount), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment Plan Agent is unable to invest the full dividend amount in open-market purchases, or if the market discount shifts to a market premium during the purchase period, the Reinvestment Plan Agent will invest any un-invested portion in newly issued shares. Investments in newly issued shares made in this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.
You may elect not to participate in the Reinvestment Plan and to receive all dividends in cash by contacting the Reinvestment Plan Agent, at the address set forth below.
Participation in the Reinvestment Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend record date. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.
The Reinvestment Plan Agents fees for the handling of the reinvestment of distributions will be paid by each Trust. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Reinvestment Plan Agents open-market purchases in connection with the reinvestment of all distributions. The automatic reinvestment of all distributions will not relieve participants of any U.S. federal, state or local income tax that may be payable on such dividends or distributions.
Each Trust reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan; however, each Trust reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants in that request a sale of shares are subject to a $2.50 sales fee and a $0.15 per share sold brokerage commission fee. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N.A. through the internet at computershare.com/blackrock, or in writing to Computershare, P.O. Box 505000, Louisville, KY 40233, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at Computershare, 462 South 4th Street, Suite 1600, Louisville, KY 40202.
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Trustee and Officer Information
Independent Trustees(a) | ||||||||
Name Year of Birth(b) |
Position(s) Held (Length of Service)(c) |
Principal Occupation(s) During Past Five Years |
Number of BlackRock-Advised
(Portfolios) Overseen |
Public Company and Other Investment
Company
During Past Five Years |
||||
Richard E. Cavanagh 1946 |
Co-Chair of the Board and Trustee (Since 2007) |
Director, The Guardian Life Insurance Company of America since 1998; Board Chair, Volunteers of America (a not-for-profit organization) from 2015 to 2018 (board member since 2009); Director, Arch Chemicals (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007 and Executive Dean from 1987 to 1995; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007. | 84 RICs consisting of 108 Portfolios | None | ||||
Karen P. Robards 1950 |
Co-Chair of the Board and Trustee (Since 2007) |
Principal of Robards & Company, LLC (consulting and private investing) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Director of Enable Injections, LLC (medical devices) since 2019; Investment Banker at Morgan Stanley from 1976 to 1987. | 84 RICs consisting of 108 Portfolios | Greenhill & Co., Inc.; AtriCure, Inc. (medical devices) from 2000 until 2017 | ||||
Michael J. Castellano 1946 |
Trustee (Since 2011) | Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non-profit) from 2009 to June 2015 and from 2017 to September 2020; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012; Director, CircleBlack Inc. (financial technology company) from 2015 to July 2020. | 84 RICs consisting of 108 Portfolios | None | ||||
Cynthia L. Egan 1955 |
Trustee (Since 2016) | Advisor, U.S. Department of the Treasury from 2014 to 2015; President, Retirement Plan Services, for T. Rowe Price Group, Inc. from 2007 to 2012; executive positions within Fidelity Investments from 1989 to 2007. | 84 RICs consisting of 108 Portfolios | Unum (insurance); The Hanover Insurance Group (Board Chair) (insurance); Huntsman Corporation (chemical products); Envestnet (investment platform) from 2013 until 2016 | ||||
Frank J. Fabozzi(d) 1948 |
Trustee (Since 2007) | Editor of The Journal of Portfolio Management since 1986; Professor of Finance, EDHEC Business School (France) since 2011; Visiting Professor, Princeton University for the 2013 to 2014 academic year and Spring 2017 semester; Professor in the Practice of Finance, Yale University School of Management from 1994 to 2011 and currently a Teaching Fellow in Yales Executive Programs; Board Member, BlackRock Equity-Liquidity Funds from 2014 to 2016; affiliated professor Karlsruhe Institute of Technology from 2008 to 2011; Visiting Professor, Rutgers University for the Spring 2019 semester; Visiting Professor, New York University for the 2019 academic year. | 85 RICs consisting of 109 Portfolios | None |
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Trustee and Officer Information (continued)
Independent Trustees(a) (continued)
Name Year of Birth(b) |
Position(s) Held (Length of Service)(c) |
Principal Occupation(s) During Past Five Years |
Number of BlackRock-Advised
Registered Investment Companies (RICs) Consisting of Investment Portfolios (Portfolios) Overseen |
Public Company and Other Investment Company Directorships Held During Past Five Years |
||||
R. Glenn Hubbard 1958 |
Trustee (Since 2007) |
Dean, Columbia Business School from 2004 to 2019; Faculty member, Columbia Business School since 1988. |
84 RICs consisting of 108 Portfolios |
ADP (data and
information services); Metropolitan Life Insurance Company (insurance); KKR Financial Corporation (finance) from 2004 until 2014 |
||||
W. Carl Kester(d) 1951 |
Trustee (Since 2007) |
George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008; Deputy Dean for Academic Affairs from 2006 to 2010; Chairman of the Finance Unit, from 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981. | 85 RICs consisting of 109 Portfolios | None | ||||
Catherine A. Lynch(d) 1961 |
Trustee (Since 2016) |
Chief Executive Officer, Chief Investment Officer and various other positions, National Railroad Retirement Investment Trust from 2003 to 2016; Associate Vice President for Treasury Management, The George Washington University from 1999 to 2003; Assistant Treasurer, Episcopal Church of America from 1995 to 1999. | 85 RICs consisting of 109 Portfolios | None |
Interested Trustees(a)(e)
Name Year of Birth(b) |
Position(s) Held (Length of Service)(c) |
Principal Occupation(s) During Past Five Years |
Number of BlackRock-
Advised Registered Investment Companies (RICs) Consisting of Investment Portfolios (Portfolios) Overseen |
Public Company and Other
Investment Company Directorships Held During Past Five Years |
||||
Robert Fairbairn 1965 |
Trustee (Since 2018) |
Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRocks Global Executive and Global Operating Committees; Co-Chair of BlackRocks Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRocks Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRocks Retail and iShares® businesses from 2012 to 2016. | 117 RICs consisting of 267 Portfolios | None | ||||
John M. Perlowski(d) 1964 |
Trustee (Since 2015); President and Chief Executive Officer (Since 2010) |
Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009. | 118 RICs consisting of 268 Portfolios | None |
(a) |
The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. |
(b) |
Each Independent Trustee holds office until his or her successor is duly elected and qualifies or until his or her earlier death, resignation, retirement or removal as provided by the Trusts by-laws or charter or statute, or until December 31 of the year in which he or she turns 75. Trustees who are interested persons, as defined in the Investment Company Act serve until their successor is duly elected and qualifies or until their earlier death, resignation, retirement or removal as provided by the Trusts by-laws or statute, or until December 31 of the year in which they turn 72. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. |
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Trustee and Officer Information (continued)
(c) |
Following the combination of Merrill Lynch Investment Managers, L.P. (MLIM) and BlackRock, Inc. in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. Certain Independent Trustees first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; R. Glenn Hubbard, 2004; W. Carl Kester, 1995; and Karen P. Robards, 1998. |
(d) |
Dr. Fabozzi, Dr. Kester, Ms. Lynch and Mr. Perlowski are also trustees of the BlackRock Credit Strategies Fund. |
(e) |
Mr. Fairbairn and Mr. Perlowski are both interested persons, as defined in the 1940 Act, of the Trust based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Multi-Asset Complex. |
Officers Who Are Not Trustees(a) | ||||
Name Year of Birth(b) |
Position(s) Held (Length of Service) |
Principal Occupation(s) During Past Five Years | ||
Jonathan Diorio 1980 |
Vice President (Since 2015) | Managing Director of BlackRock, Inc. since 2015; Director of BlackRock, Inc. from 2011 to 2015. | ||
Neal J. Andrews 1966 |
Chief Financial Officer (Since 2007) | Chief Financial Officer of the iShares® exchange traded funds from 2019 to 2020; Managing Director of BlackRock, Inc. since 2006. | ||
Jay M. Fife 1970 |
Treasurer (Since 2007) | Managing Director of BlackRock, Inc. since 2007. | ||
Charles Park 1967 |
Chief Compliance Officer (Since 2014) | Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (BFA) since 2006; Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012. | ||
Janey Ahn 1975 |
Secretary (Since 2012) |
Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017. |
(a) |
The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055. |
(b) |
Officers of the Trust serve at the pleasure of the Board. |
Neal J. Andrews retired as the Chief Financial Officer effective December 31, 2020, and Trent Walker was elected as the Chief Financial Officer effective January 1, 2021. Effective October 15, 2020, BHKs portfolio managers are Scott MacLellan, James Keenan and Akiva Dickstein. Mr. Dickstein has been a Managing Director of BlackRock since 2009. |
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Proxy Results
The Annual Meeting of Shareholders was held on July 27, 2020 for shareholders of record on May 29, 2020, to elect trustee nominees for each Trust. There were no broker non-votes with regard to any of the Trusts.
Shareholders elected the Class I Trustees as follows:
Michael J. Castellano | R. Glenn Hubbard | John M. Perlowski | W. Carl Kester | |||||||||||||||||||||||||||||
Trust Name | Votes For | Votes Withheld | Votes For | Votes Withheld | Votes For | Votes Withheld | Votes For | Votes Withheld | ||||||||||||||||||||||||
BHK |
41,874,090 | 4,545,955 | 43,763,132 | 2,656,913 | 45,161,085 | 1,258,960 | 45,173,354 | 1,246,691 | ||||||||||||||||||||||||
BTZ |
75,570,582 | 6,855,801 | 78,940,076 | 3,486,307 | 80,247,078 | 2,179,305 | 80,114,252 | 2,312,131 | ||||||||||||||||||||||||
BGT |
17,303,287 | 2,420,198 | 17,123,897 | 2,599,588 | 17,360,140 | 2,363,345 | 17,361,991 | 2,361,494 |
For the Trusts listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Richard E. Cavanagh, Cynthia L. Egan, Robert Fairbairn, Catherine A. Lynch, Karen P. Robards and Frank J. Fabozzi.
Shareholders elected the Class I Trustees as follows:
Cynthia L. Egan | Michael J. Castellano | Catherine A. Lynch | ||||||||||||||||||||||
Trust Name | Votes For | Votes Withheld | Votes For | Votes Withheld | Votes For | Votes Withheld | ||||||||||||||||||
HYT |
92,468,929 | 4,616,042 | 92,271,586 | 4,813,385 | 95,128,953 | 1,956,018 |
For the Trust listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Richard E. Cavanagh, Robert Fairbairn, R. Glenn Hubbard, John M. Perlowski, Karen P. Robards, Frank J. Fabozzi and W. Carl Kester.
Trust Certification
The Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSEs listing standards. The Trusts filed with the SEC the certification of its chief executive officer and chief financial officer required by Section 302 of the Sarbanes-Oxley Act.
Regulation Regarding Derivatives
On October 28, 2020, the Securities and Exchange Commission (the SEC) adopted new regulations governing the use of derivatives by registered investment companies (Rule 18f-4). The Trusts will be required to implement and comply with Rule 18f-4 by the third quarter of 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treat derivatives as senior securities so that a failure to comply with the limits would result in a statutory violation and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.
Environmental, Social and Governance (ESG) Integration
Although a Trust does not seek to implement a specific ESG, impact or sustainability strategy unless otherwise disclosed, Trust management will consider ESG characteristics as part of the investment process for actively managed Trusts. These considerations will vary depending on a Trusts particular investment strategies and may include consideration of third-party research as well as consideration of proprietary BlackRock research across the ESG risks and opportunities regarding an issuer. Trust management will consider those ESG characteristics it deems relevant or additive when making investment decisions for a Trust. The ESG characteristics utilized in a Trusts investment process are anticipated to evolve over time and one or more characteristics may not be relevant with respect to all issuers that are eligible for investment. ESG characteristics are not the sole considerations when making investment decisions for a Trust. Further, investors can differ in their views of what constitutes positive or negative ESG characteristics. As a result, a Trust may invest in issuers that do not reflect the beliefs and values with respect to ESG of any particular investor. ESG considerations may affect a Trusts exposure to certain companies or industries and a Trust may forego certain investment opportunities. While Trust management views ESG considerations as having the potential to contribute to a Trusts long-term performance, there is no guarantee that such results will be achieved.
Dividend Policy
Each Trusts policy is to make monthly distributions to shareholders. In order to provide shareholders with a more stable level of dividend distributions, each Trust employs a managed distribution plan (the Plan), the goal of which is to provide shareholders with consistent and predictable cash flows by setting distribution rates based on expected long-term returns of each Trust.
The distributions paid by a Trust for any particular month may be more or less than the amount of net investment income earned by a Trust during such month. Furthermore, the final tax characterization of distributions is determined after the year-end of a Trust and is reported in each Trusts annual report to shareholders. Distributions can be characterized as ordinary income, capital gains and/or return of capital. Each Trusts taxable net investment income and net realized capital gains (taxable income) may not be sufficient to support the level of distributions paid. To the extent that distributions exceed the Trusts current and accumulated earnings and profits, the excess may be treated as a non-taxable return of capital.
A D D I T I O N A L I N F O R M A T I O N |
165 |
Additional Information (continued)
Dividend Policy (continued)
A return of capital is a return of a portion of an investors original investment. A return of capital is not expected to be taxable, but it reduces a shareholders tax basis in his or her shares, thus reducing any loss or increasing any gain on a subsequent disposition by the shareholder of his or her shares. It is possible that a substantial portion of the distributions paid during a calendar year may ultimately be classified as return of capital for U.S. federal income tax purposes when the final determination of the source and character of the distributions is made.
Such distributions, under certain circumstances, may exceed a Trusts total return performance. When total distributions exceed total return performance for the period, the difference reduces the Trusts total assets and net asset value per share (NAV) and, therefore, could have the effect of increasing the Trusts expense ratio and reducing the amount of assets the Trust has available for long term investment.
General Information
The Trusts do not make available copies of their 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 the respective Trusts offerings and the information contained in each Trusts Statement of Additional Information may have become outdated.
The following information is a summary of certain changes since December 31, 2019. This information may not reflect all of the changes that have occurred since you purchased the relevant Trust.
Effective October 19, 2020, HYT has elected to be subject to the Maryland Control Share Acquisition Act (the MCSAA). In general, the MCSAA limits the ability of holders of control shares to vote those shares above various threshold levels that start at 10% unless the other stockholders of HYT, as applicable, reinstate those voting rights at a meeting of stockholders as provided in the MCSAA. Control shares are generally defined in the MCSAA as shares of stock that, if aggregated with all other shares of stock that are either (i) owned by a person or (ii) as to which that person is entitled to exercise or direct the exercise of voting power, except solely by virtue of a revocable proxy, would entitle that person to exercise voting power in electing directors above various thresholds of voting power starting at 10%. HYTs Bylaws also provide that the provisions of the MCSAA shall not apply to the voting rights of the holders of any shares of preferred stock of HYT, but the MCSAA would apply to any common stock held by the same holder.
Except if noted otherwise herein, there were no changes to the Trusts charters or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders. Except if noted otherwise herein, there have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts portfolios.
In accordance with Section 23(c) of the Investment Company Act of 1940, each Trust may from time to time purchase shares of its common stock in the open market or in private transactions.
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Trusts may be found on BlackRocks website, which can be accessed at blackrock.com. Any reference to BlackRocks website in this report is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRocks website in this report.
Electronic Delivery
Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRocks website.
To enroll in electronic delivery:
Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:
Please contact your financial adviser. Please note that not all investment advisers, banks or brokerages may offer this service.
Householding
The Trusts will mail only one copy of shareholder documents, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called householding and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 882-0052.
Availability of Quarterly Schedule of Investments
The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Trusts Forms N-PORT are available on the SECs website at sec.gov. Additionally, each Trust makes its portfolio holdings for the first and third quarters of each fiscal year available at blackrock.com/fundreports.
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Additional Information (continued)
Availability of Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at blackrock.com; and (3) on the SECs website at sec.gov.
Availability of Proxy Voting Record
Information about how the Trusts voted proxies relating to securities held in the Trusts portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at blackrock.com; or by calling (800) 882-0052 and (2) on the SECs website at sec.gov.
Availability of Trust Updates
BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the Closed-end Funds section of blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRocks website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRocks website in this report.
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, Clients) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.
A D D I T I O N A L I N F O R M A T I O N |
167 |
Additional Information (continued)
(continued)
Trust and Service Providers
Investment Adviser |
Transfer Agent |
|
BlackRock Advisors, LLC |
Computershare Trust Company, N.A. |
|
Wilmington, DE 19809 |
Canton, MA 02021 |
|
Sub-Adviser |
Independent Registered Public Accounting Firm |
|
BlackRock International Limited |
Deloitte & Touche LLP |
|
Edinburgh, EH3 8BL |
Boston, MA 02116 |
|
United Kingdom |
||
Legal Counsel |
||
BlackRock (Singapore) Limited(a) |
Willkie Farr & Gallagher LLP |
|
079912 Singapore |
New York, NY 10019 |
|
Accounting Agent and Custodian |
Address of the Trusts |
|
State Street Bank and Trust Company |
100 Bellevue Parkway |
|
Boston, MA 02111 |
Wilmington, DE 19809 |
|
(a) For BHK. |
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Glossary of Terms Used in this Report
Currency Abbreviation
CAD |
Canadian Dollar |
|
EUR |
Euro |
|
GBP |
British Pound |
|
JPY |
Japanese Yen |
|
USD |
United States Dollar |
Portfolio Abbreviation
ABS |
Asset-Backed Security |
|
AGM |
Assured Guaranty Municipal Corp. |
|
BAB |
Build America Bond |
|
CD |
Certificate of Deposit |
|
CLO |
Collateralized Loan Obligation |
|
CMT |
Constant Maturity Treasury |
|
CR |
Custodian Receipt |
|
DAC |
Designated Activity Company |
|
DIP |
Debtor-In-Possession |
|
ETF |
Exchange-Traded Fund |
|
EURIBOR |
Euro Interbank Offered Rate |
|
GO |
General Obligation Bonds |
|
LIBOR |
London Interbank Offered Rate |
|
MSCI |
Morgan Stanley Capital International |
|
MTN |
Medium-Term Note |
|
PCL |
Public Company Limited |
|
PIK |
Payment-in-Kind |
|
PJSC |
Public Joint Stock Company |
|
RB |
Revenue Bond |
|
REIT |
Real Estate Investment Trust |
|
S&P |
Standard & Poors |
|
SAB |
Special Assessment Bonds |
|
SPDR |
Standard & Poors Depository Receipt |
G L O S S A R Y O F T E R M S U S E D I N T H I S R E P O R T |
169 |
Want to know more?
blackrock.com | 800-882-0052 |
This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. Statements and other information herein are as dated and are subject to change.
TAXBOND-12/20-AR
|
|
(b) |
Not Applicable |
Item 3 |
Audit Committee Financial Expert The registrants board of directors (the board of directors), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent: |
Michael Castellano
Frank J. Fabozzi Catherine A. Lynch
Karen P. Robards
The registrants board of directors has determined that Karen P. Robards qualifies as an audit committee financial expert pursuant to Item 3(c)(4) of Form N-CSR.
Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization. Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an expert for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.
Item 4 |
Principal Accountant Fees and Services |
The following table presents fees billed by Deloitte & Touche LLP (D&T) in each of the last two fiscal years for the services rendered to the Fund:
2
(a) Audit Fees | (b) Audit-Related Fees1 | (c) Tax Fees2 | (d) All Other Fees | |||||||||||||||||||||||||||||||||||||
Entity Name |
Current
Fiscal Year End |
Previous
Fiscal Year End3 |
Current
Fiscal Year End |
Previous
Fiscal Year End3 |
Current
Fiscal Year End |
Previous
Fiscal Year End3 |
Current
Fiscal Year End |
Previous
Fiscal Year End3 |
||||||||||||||||||||||||||||||||
BlackRock Core Bond Trust |
$76,602 | $68,952 | $0 | $0 | $15,400 | $7,950 | $0 | $0 |
The following table presents fees billed by D&T that were required to be approved by the registrants audit committee (the Committee) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (Investment Adviser or BlackRock) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (Affiliated Service Providers):
Current Fiscal Year End | Previous Fiscal Year End3 | |||||||||
(b) Audit-Related Fees1 |
$0 | $0 | ||||||||
(c) Tax Fees2 |
$0 | $0 | ||||||||
(d) All Other Fees4 |
$1,984,000 | $2,050,500 |
1 The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.
2 The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.
3The registrant changed its fiscal year end from August 31 to December 31 effective December 31, 2019 whereby this fiscal year consists of the four months ended December 31, 2019.
4 Non-audit fees of $1,984,000 and $2,050,500 for the current fiscal year and previous fiscal year, respectively, were paid to the Funds principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of the Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.
(e)(1) Audit Committee Pre-Approval Policies and Procedures:
The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SECs auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (general pre-approval). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.
3
Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.
(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not Applicable
(g) The aggregate non-audit fees, defined as the sum of the fees shown under Audit-Related Fees, Tax Fees and All Other Fees, paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:
Entity Name |
Current Fiscal
Year End |
Previous Fiscal
Year End1 |
||||||||
BlackRock Core Bond Trust |
$15,400 | $7,950 |
1The registrant changed its fiscal year end from August 31 to December 31 effective
December 31, 2019 whereby this fiscal year consists of the four months ended December 31, 2019.
Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Fund and of other funds sponsored or advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:
Current Fiscal
Year End |
Previous Fiscal
Year End1 |
||||
$1,984,000 |
$2,050,500 |
1The registrant changed its fiscal year end from August 31 to December 31 effective
December 31, 2019 whereby this fiscal year consists of the four months ended December 31, 2019.
These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.
(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Affiliated Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountants independence.
Item 5 |
Audit Committee of Listed Registrant |
(a) The following individuals are members of the registrants separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):
4
Michael Castellano
Frank J. Fabozzi
Catherine A. Lynch
Karen P. Robards
(b) Not Applicable
Item 6 |
Investments |
(a) The registrants Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 |
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies The board of directors has delegated the voting of proxies for the Funds portfolio securities to the Investment Adviser pursuant to the Investment Advisers proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Funds stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Advisers Equity Investment Policy Oversight Committee, or a sub-committee thereof (the Oversight Committee) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Advisers clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Advisers Portfolio Management Group and/or the Investment Advisers Legal and Compliance Department and concluding that the vote cast is in its clients best interest notwithstanding the conflict. A copy of the Funds Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL, a copy of the Funds Global Corporate Governance & Engagement Principles are attached as Exhibit 99.GLOBAL.CORP.GOV and a copy of the Funds Corporate Governance and Proxy Voting Guidelines for U.S. Securities are attached as Exhibit 99.US.CORP.GOV. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SECs website at http://www.sec.gov. |
Item 8 |
Portfolio Managers of Closed-End Management Investment Companies |
(a)(1) As of the date of filing this Report:
The registrant is managed by a team of investment professionals comprised of James E. Keenan, Managing Director at BlackRock, Scott MacLellan, Director at BlackRock and Akiva Dickstein, Managing Director at BlackRock. Messrs. Keenan, MacLellan and
5
Dickstein are the Funds co-portfolio managers. Mr. Keenan is responsible for setting the registrants overall investment strategy and overseeing the registrants investment process and performance. Messrs. MacLellan and Dickstein are responsible for the day-to-day management of the Funds portfolio, which includes setting the Funds overall investment strategy, overseeing the management of the Fund and/or selection of its investments. Messrs. Keenan and MacLellan have been members of the Funds portfolio management team since 2007 and 2018, respectively. Mr. Dickstein became a portfolio manager to the Fund on October 15, 2020.
Portfolio Manager
|
Biography
|
|
James E. Keenan |
Managing Director of BlackRock since 2008 and Head of the Leveraged Finance Portfolio team; Director of BlackRock from 2006 to 2007.
|
|
Scott MacLellan |
Director of BlackRock since 2010; Vice President of BlackRock from 2007 to 2009.
|
|
Akiva Dickstein |
Managing Director of BlackRock since 2009; Managing Director of Merrill Lynch Investment Managers, L.P. from 2003 to 2009 and Head of the U.S. Rates & Structured Credit Research Group.
|
(a)(2) As of December 31, 2020:
(ii) Number of Other Accounts Managed and Assets by Account Type |
(iii) Number of Other Accounts and Assets for Which Advisory Fee is Performance-Based |
|||||||||||
(i) Name of Portfolio Manager |
Other Registered Investment Companies |
Other Pooled Investment Vehicles |
Other Accounts |
Other Registered Investment Companies |
Other Pooled Investment Vehicles |
Other Accounts |
||||||
James E. Keenan |
21 | 30 | 20 | 0 | 0 | 6 | ||||||
$41.88 Billion | $16.85 Billion | $10.19 Billion | $0 | $0 | $1.38 Billion | |||||||
Scott MacLellan |
12 | 16 | 134 | 0 | 0 | 2 | ||||||
$15.49 Billion | $4.36 Billion | $56.32 Billion | $0 | $0 | $877.0 Million | |||||||
Akiva Dickstein |
24 | 27 | 266 | 0 | 0 | 6 | ||||||
$28.54 Billion | $9.91 Billion | $101.6 Billion | $0 | $0 | $2.17 Billion |
(iv) Portfolio Manager Potential Material Conflicts of Interest
BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or
6
accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, Inc., its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, Inc., or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.s (or its affiliates or significant shareholders) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund. It should also be noted that Messrs. Keenan, MacLellan and Dickstein may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Messrs. Keenan, MacLellan and Dickstein may therefore be entitled to receive a portion of any incentive fees earned on such accounts.
As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock, Inc. has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.
(a)(3) As of December 31, 2020:
Portfolio Manager Compensation Overview
The discussion below describes the portfolio managers compensation as of December 31, 2020.
BlackRocks financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.
Base Compensation. Generally, portfolio managers receive base compensation based on their position with the firm.
7
Discretionary Incentive Compensation. Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio managers group within BlackRock, the investment performance, including risk-adjusted returns, of the firms assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individuals performance and contribution to the overall performance of these portfolios and BlackRock. In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Funds or other accounts managed by the portfolio managers are measured. Among other things, BlackRocks Chief Investment Officers make a subjective determination with respect to each portfolio managers compensation based on the performance of the Funds and other accounts managed by each portfolio manager relative to the various benchmarks. Performance of fixed income funds is measured on a pre-tax and/or after-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable. With respect to these portfolio managers, such benchmarks for the Fund and other accounts are:
Portfolio Manager | Benchmark | |
James E. Keenan |
A combination of market-based indices (e.g., The Bloomberg Barclays U.S. Corporate High
Yield 2% Issuer Cap Index), certain customized indices and certain fund industry peer groups. |
|
Scott MacLellan | A combination of market-based indices (e.g., Bank of America Merrill Lynch U.S. Corporate & Government Index, 1-3 Years), certain customized indices and certain fund industry peer groups. | |
Akiva Dickstein | A combination of market-based indices (e.g. Bloomberg Barclays US Aggregate Index, Bloomberg Barclays US Universal Index and Bloomberg Barclays Intermediate Aggregate Index), certain customized indices and certain fund industry peer groups. |
Distribution of Discretionary Incentive Compensation. Discretionary incentive compensation is distributed to portfolio managers in a combination of cash, deferred BlackRock, Inc. stock awards, and/or deferred cash awards that notionally track the return of certain BlackRock investment products.
Portfolio managers receive their annual discretionary incentive compensation in the form of cash. Portfolio managers whose total compensation is above a specified threshold also receive deferred BlackRock, Inc. stock awards annually as part of their discretionary incentive compensation. Paying a portion of discretionary incentive compensation in the form of deferred BlackRock, Inc. stock puts compensation earned by a portfolio manager for a given year at risk based on BlackRocks ability to sustain and improve its performance over future periods. In some cases, additional deferred BlackRock, Inc. stock may be granted to certain key employees as part of a long-term incentive award to aid in retention, align interests with long-term shareholders and motivate performance. Deferred BlackRock, Inc. stock awards are generally granted in the form of BlackRock, Inc. restricted stock units that vest pursuant to the terms of the applicable plan and, once vested, settle in BlackRock, Inc. common stock. The portfolio managers of this Fund have deferred BlackRock, Inc. stock awards.
For certain portfolio managers, a portion of the discretionary incentive compensation is also distributed in the form of deferred cash awards that notionally track the returns of select BlackRock investment products they manage, which provides direct alignment of portfolio manager discretionary incentive compensation with investment product results. Deferred cash awards vest
8
ratably over a number of years and, once vested, settle in the form of cash. Only portfolio managers who manage specified products and whose total compensation is above a specified threshold are eligible to participate in the deferred cash award program.
Other Compensation Benefits. In addition to base salary and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:
Incentive Savings Plans BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($285,000 for 2020). The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a target date fund that corresponds to, or is closest to, the year in which the participant attains age 65. The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date. All of the eligible portfolio managers are eligible to participate in these plans.
(a)(4) Beneficial Ownership of Securities As of December 31, 2020.
Portfolio Manager |
Dollar Range of Equity Securities
of the Fund Beneficially Owned |
|
James E. Keenan |
$50,001 - $100,000 | |
Scott MacLellan |
$10,001-$50,000 | |
Akiva Dickstein |
None |
(b) Not Applicable
Item 9 |
Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers Not Applicable due to no such purchases during the period covered by this report. |
Item 10 |
Submission of Matters to a Vote of Security Holders There have been no material changes to these procedures. |
Item 11 |
Controls and Procedures |
(a) The registrants principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the 1940 Act)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
9
(b) There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting.
Item 12 |
Disclosure of Securities Lending Activities for Closed-End Management Investment Companies Not Applicable |
Item 13 |
Exhibits attached hereto |
(a)(1) Code of Ethics See Item 2
(a)(2) Section 302 Certifications are attached
(a)(3) Not Applicable
(a)(4) Not Applicable
(b) Section 906 Certifications are attached
1 The Fund has received exemptive relief from the Securities and Exchange Commission permitting it to make periodic distributions of long-term capital gains with respect to its outstanding common stock as frequently as twelve times each year, and as frequently as distributions are specified by or in accordance with the terms of its outstanding preferred stock. This relief is conditioned, in part, on an undertaking by the Fund to make the disclosures to the holders of the Funds common shares, in addition to the information required by Section 19(a) of the 1940 Act and Rule 19a-1 thereunder. The Fund is likewise obligated to file with the SEC the information contained in any such notice to shareholders and, in that regard, has attached hereto copies of each such notice made during the period. |
10
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Core Bond Trust
By: |
/s/ John M. Perlowski |
|||
John M. Perlowski | ||||
Chief Executive Officer (principal executive officer) of | ||||
BlackRock Core Bond Trust |
Date: March 5, 2021
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: |
/s/ John M. Perlowski |
|||
John M. Perlowski | ||||
Chief Executive Officer (principal executive officer) of | ||||
BlackRock Core Bond Trust |
Date: March 5, 2021
By: |
/s/ Trent Walker |
|||
Trent Walker | ||||
Chief Financial Officer (principal financial officer) of | ||||
BlackRock Core Bond Trust |
Date: March 5, 2021
11
EX-99. CERT
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002
I, John M. Perlowski, Chief Executive Officer (principal executive officer) of BlackRock Core Bond Trust, certify that:
1. I have reviewed this report on Form N-CSR of BlackRock Core Bond Trust;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c) evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
d) disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
Date: March 5, 2021 |
/s/ John M. Perlowski |
John M. Perlowski |
Chief Executive Officer (principal executive officer) of BlackRock Core Bond Trust |
EX-99. CERT
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002
I, Trent Walker, Chief Financial Officer (principal financial officer) of BlackRock Core Bond Trust, certify that:
1. I have reviewed this report on Form N-CSR of BlackRock Core Bond Trust;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c) evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
d) disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions):
a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and
b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting.
Date: March 5, 2021 |
/s/ Trent Walker |
Trent Walker |
Chief Financial Officer (principal financial officer) of BlackRock Core Bond Trust |
Exhibit 99.906CERT
Certification Pursuant to Rule 30a-2(b) under the 1940 Act and
Section 906 of the Sarbanes-Oxley Act of 2002
Pursuant to 18 U.S.C. § 1350, the undersigned officer of BlackRock Core Bond Trust (the Registrant), hereby certifies, to the best of his knowledge, that the Registrants Report on Form N-CSR for the period ended December 31, 2020 (the Report) fully complies with the requirements of Section 13(a) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.
Date: March 5, 2021 |
/s/ John M. Perlowski |
John M. Perlowski |
Chief Executive Officer (principal executive officer) of BlackRock Core Bond Trust |
Pursuant to 18 U.S.C. § 1350, the undersigned officer of BlackRock Core Bond Trust (the Registrant), hereby certifies, to the best of his knowledge, that the Registrants Report on Form N-CSR for the period ended December 31, 2020 (the Report) fully complies with the requirements of Section 13(a) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.
Date: March 5, 2021 |
/s/ Trent Walker |
Trent Walker |
Chief Financial Officer (principal financial officer) of BlackRock Core Bond Trust |
This certification is being furnished pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Securities and Exchange Commission.
BlackRock Core Bond Trust
Cusip: 09249E101
Ticker: BHK
Record Date |
December 31, 2020 | |
Pay Date |
January 11, 2021 | |
Distribution Amount per share |
$ 0.074600 |
The following table sets forth the estimated amounts of the current distribution and the cumulative distributions paid this fiscal year to date from the following sources: net investment income, net realized capital gains and return of capital. All amounts are expressed per common share.
Current Distribution |
% Breakdown of the Current Distribution |
Total Cumulative Distributions for the Fiscal Year to Date |
% Breakdown of the Total Cumulative Distributions for the Fiscal Year to Date |
|||||||||||||
Net Investment Income |
$ | 0.030841 | 41% | $ | 0.755712 | 92% | ||||||||||
Net Realized Short-Term Capital Gains |
$ | 0.043759 | 59% | $ | 0.069488 | 8% | ||||||||||
Net Realized Long-Term Capital Gains |
$ | - | 0% | $ | - | 0% | ||||||||||
Return of Capital |
$ | - | 0% | $ | - | 0% | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total (per common share) |
$ | 0.074600 | 100% | $ | 0.825200 | 100% | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Average annual total return (in relation to NAV) for the 5-year period ending on November 30, 2020 |
|
9.16% | ||||||||||||||
|
|
|||||||||||||||
Annualized current distribution rate expressed as a percentage of NAV as of November 30, 2020 |
|
5.45% | ||||||||||||||
|
|
|||||||||||||||
Cumulative total return (in relation to NAV) for the fiscal year through November 30, 2020 |
|
12.05% | ||||||||||||||
|
|
|||||||||||||||
Cumulative fiscal year distributions as a percentage of NAV as of November 30, 2020 |
|
4.57% | ||||||||||||||
|
|
You should not draw any conclusions about the Funds investment performance from the amount of this distribution or from the terms of the Funds Managed Distribution Plan.
The amounts and sources of distributions reported in this Notice are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting purposes will depend upon the Funds investment experience during its fiscal year and may be subject to changes based on tax regulations. The Fund 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.
Contact Number: 800-882-0052
Closed-End Fund Proxy Voting Policy
October 1, 2020
Closed-End Fund Proxy Voting Policy
Procedures Governing Delegation of Proxy Voting to Fund Adviser |
Effective Date: October 1, 2020 |
Applies to the following types of Funds registered under the 1940 Act: ☐ Open-End Mutual Funds (including money market funds)
☐ Money Market Funds Only
☐ iShares and BlackRock ETFs
☒ Closed-End Funds
☐ Other |
The Boards of Trustees/Directors (the Directors) of the closed-end funds advised by BlackRock Advisors, LLC (BlackRock) (the Funds) have the responsibility for the oversight of voting proxies relating to portfolio securities of the Funds, and have determined that it is in the best interests of the Funds and their shareholders to delegate that responsibility to BlackRock as part of BlackRocks authority to manage, acquire and dispose of account assets, all as contemplated by the Funds respective investment management agreements.
BlackRock has adopted guidelines and procedures (together and as from time to time amended, the BlackRock Proxy Voting Guidelines) governing proxy voting by accounts managed by BlackRock. BlackRock will cast votes on behalf of each of the Funds on specific proxy issues in respect of securities held by each such Fund in accordance with the BlackRock Proxy Voting Guidelines; provided, however, that in the case of underlying closed-end funds (including business development companies and other similarly-situated asset pools) held by the Funds that have, or are proposing to adopt, a classified board structure, BlackRock will typically (a) vote in favor of proposals to adopt classification and against proposals to eliminate classification, and (b) not vote against directors as a result of their adoption of a classified board structure.
BlackRock will report on an annual basis to the Directors on (1) a summary of all proxy votes that BlackRock has made on behalf of the Funds in the preceding year together with a representation that all votes were in accordance with the BlackRock Proxy Voting Guidelines (as modified pursuant to the immediately preceding paragraph), and (2) any changes to the BlackRock Proxy Voting Guidelines that have not previously been reported.
|
Public | Page 1 of 1 |
Introduction to BlackRock |
3 | |||
Philosophy on investment stewardship |
3 | |||
Key themes |
4 | |||
Boards and directors |
5 | |||
Auditors and audit-related issues |
7 | |||
Capital structure, mergers, asset sales and other special transactions |
7 | |||
Compensation and benefits |
8 | |||
Environmental and social issues |
9 | |||
General corporate governance matters and shareholder protections |
10 | |||
Shareholder proposals |
10 | |||
BlackRocks oversight of our investment stewardship activities |
11 | |||
Vote execution |
11 | |||
Conflicts management policies and procedures |
12 | |||
Voting guidelines |
13 | |||
Reporting and vote transparency |
13 |
The purpose of this document is to provide an overarching explanation of
BlackRocks approach globally to our responsibilities as a shareholder on
behalf of our clients, our expectations of companies, and our commitments to
clients in terms of our own governance and transparency.
If you would like additional information, please contact:
ContactStewardship@blackrock.com
|
BlackRocks purpose is to help more and more people experience financial well-being. We manage assets on behalf of institutional and individual clients, across a full spectrum of investment strategies, asset classes, and regions. Our client base includes pension plans, endowments, foundations, charities, official institutions, insurers, and other financial institutions, as well as individuals around the world. As part of our fiduciary duty to our clients, we have determined that it is generally in the best long-term interest of our clients to promote sound corporate governance through voting as an informed, engaged shareholder. This is the responsibility of the Investment Stewardship Team.
Philosophy on investment stewardship
Companies are responsible for ensuring they have appropriate governance structures to serve the interests of shareholders and other key stakeholders. We believe that there are certain fundamental rights attached to shareholding. Companies and their boards should be accountable to shareholders and structured with appropriate checks and balances to ensure that they operate in shareholders best interests to create sustainable value. Shareholders should have the right to vote to elect, remove, and nominate directors, approve the appointment of the auditor, and amend the corporate charter or by-laws. Shareholders should be able to vote on matters that are material to the protection of their investment, including but not limited to, changes to the purpose of the business, dilution levels and pre-emptive rights, and the distribution of income and capital structure. In order to make informed decisions, we believe that shareholders have the right to sufficient and timely information. In addition, shareholder voting rights should be proportionate to their economic ownershipthe principle of one share, one vote helps achieve this balance.
Consistent with these shareholder rights, we believe BlackRock has a responsibility to monitor and provide feedback to companies, in our role as stewards of our clients investments. BlackRock Investment Stewardship (BIS) does this through engagement with management teams and/or board members on material business issues including environmental, social, and governance (ESG) matters and, for those clients who have given us authority, through voting proxies in the best long-term economic interests of our clients. We also participate in the public debate to shape global norms and industry standards with the goal of a policy framework consistent with our clients interests as long-term shareholders.
BlackRock looks to companies to provide timely, accurate, and comprehensive reporting on all material governance and business matters, including ESG issues. This allows shareholders to appropriately understand and assess how relevant risks and opportunities are being effectively identified and managed. Where company reporting and disclosure is inadequate or the approach taken is inconsistent with our view of what supports sustainable long-term value creation, we will engage with a company and/or use our vote to encourage a change in practice.
BlackRock views engagement as an important activity; engagement provides us with the opportunity to improve our understanding of the business and ESG risks and opportunities that are material to the companies in which our clients invest. As long-term investors on behalf of clients, we seek to have regular and continuing dialogue with executives and board directors to advance sound governance and sustainable business practices, as well as to understand the effectiveness of the companys management and oversight of material issues. Engagement is an important mechanism for providing feedback on company practices and disclosures, particularly where we believe they could be enhanced. We primarily engage through direct dialogue but may use other tools such as written correspondence to share our perspectives. Engagement also informs our voting decisions.
We vote in support of management and boards where and to the extent they demonstrate an approach consistent with creating sustainable long-term value. If we have concerns about a companys approach, we may choose to engage to explain our expectations. Where we consider that a company has failed to address one or more material issues within an appropriate timeframe, we may hold directors accountable or take other voting actions to signal our concerns. We apply our voting guidelines to achieve the outcome we believe is most aligned with our clients long-term economic interests.
|
3 |
We recognize that accepted standards and norms of corporate governance differ between markets; however, there are sufficient common threads globally to identify this overarching set of principles (the Principles) which are anchored in transparency and accountability. At a minimum, we expect companies to observe the accepted corporate governance standards in their domestic market or to explain why not doing so supports sustainable long-term value creation.
Our regional and market-specific voting guidelines explain how these Principles inform our voting decisions in relation to specific ballot items for shareholder meetings.
These Principles cover seven key themes:
● |
Boards and directors |
● |
Auditors and audit-related issues |
● |
Capital structure, mergers, asset sales, and other special transactions |
● |
Compensation and benefits |
● |
Environmental and social issues |
● |
General corporate governance matters and shareholder protections |
● |
Shareholder proposals |
|
4 |
The performance of the board is critical to the economic success of the company and the protection of shareholders interests. As part of their responsibilities, board members owe fiduciary duties to shareholders in overseeing the strategic direction and operation of the company. For this reason, BlackRock focuses on directors in many of our engagements and sees the election of directors as one of our most important responsibilities in the proxy voting context.
We support boards whose approach is consistent with creating sustainable long-term value. This includes the effective management of strategic, operational, and material ESG factors and the consideration of key stakeholder interests. Our primary focus is on the performance of the board of directors. The board should establish and maintain a framework of robust and effective governance mechanisms to support its oversight of the companys strategic aims. We look to the board to articulate the effectiveness of these mechanisms in overseeing the management of business risks and opportunities and the fulfillment of the companys purpose. Disclosure of material issues that affect the companys long-term strategy and value creation, including material ESG factors, is essential for shareholders to be able to appropriately understand and assess how the board is effectively identifying, managing, and mitigating risks.
Where a company has not adequately disclosed and demonstrated these responsibilities, we will consider withholding our support for the re-election of directors whom we hold accountable. We assess director performance on a case-by-case basis and in light of each companys particular circumstances, taking into consideration our assessment of their governance, sustainable business practices, and performance. In serving the interests of shareholders, the responsibility of the board of directors includes, but is not limited to, the following:
● |
Establishing an appropriate corporate governance structure |
● |
Supporting and overseeing management in setting long-term strategic goals, applicable measures of value-creation and milestones that will demonstrate progress, and steps taken if any obstacles are anticipated or incurred |
● |
Providing oversight on the identification and management of material, business operational and sustainability-related risks |
● |
Overseeing the financial resilience of the company, the integrity of financial statements, and the robustness of a companys Enterprise Risk Management1 frameworks |
● |
Making decisions on matters that require independent evaluation which may include mergers, acquisitions and disposals, activist situations or other similar cases |
● |
Establishing appropriate executive compensation structures |
● |
Addressing business issues, including environmental and social issues, when they have the potential to materially impact the companys long-term value |
There should be clear definitions of the role of the board, the committees of the board and senior management. We set out below ways in which boards and directors can demonstrate a commitment to acting in the best interests of long-term shareholders. We will seek to engage with the appropriate directors where we have concerns about the performance of the company, board, or individual directors. As noted above, we believe that when a company is not effectively addressing a material issue, its directors should be held accountable.
1 Enterprise risk management is a process, effected by the entitys board of directors, management, and other personnel, applied in strategy setting and across the enterprise, designed to identify potential events that may affect the entity, and manage risk to be within the risk appetite, to provide reasonable assurance regarding the achievement of objectives. (Committee of Sponsoring Organizations of the Treadway Commission (COSO), Enterprise Risk Management Integrated Framework, September 2004, New York, NY).
|
5 |
Regular accountability
BlackRock believes that directors should stand for re-election on a regular basis, ideally annually. In our experience, annual re-elections allow shareholders to reaffirm their support for board members or hold them accountable for their decisions in a timely manner. When board members are not re-elected annually, we believe it is good practice for boards to have a rotation policy to ensure that, through a board cycle, all directors have had their appointment re-confirmed, with a proportion of directors being put forward for re-election at each annual general meeting.
Effective board composition
Regular director elections also give boards the opportunity to adjust their composition in an orderly way to reflect the evolution of the companys strategy and the market environment. BlackRock believes it is beneficial for new directors to be brought onto the board periodically to refresh the groups thinking and in a manner that supports both continuity and appropriate succession planning. We expect companies to keep under regular review the effectiveness of its board (including its size), and assess directors nominated for election or re-election in the context of the composition of the board as a whole. This assessment should consider a number of factors, including the potential need to address gaps in skills or experience, the diversity of the board, and the balance of independent and non-independent directors. We also consider the average tenure of the overall board, where we are seeking a balance between the knowledge and experience of longer-serving members and the fresh perspectives of newer members.
When nominating new directors to the board, there should be detailed information on the individual candidates in order for shareholders to assess the suitability of an individual nominee and the overall board composition. These disclosures should give a clear sense of how the collective experience and expertise of the board aligns with the companys long-term strategy and business model. We also expect disclosures to demonstrate how diversity is accounted for within the proposed board composition, including demographic factors such as gender, ethnicity, and age; as well as professional characteristics, such as a directors industry experience, specialist areas of expertise, and geographic location.
We expect there to be a sufficient number of independent directors, free from conflicts of interest or undue influence from connected parties, to ensure objectivity in the decision-making of the board and its ability to oversee management. Common impediments to independence may include but are not limited to:
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Current or recent employment at the company or a subsidiary |
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Being, or representing, a shareholder with a substantial shareholding in the company |
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Interlocking directorships |
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Having any other interest, business, or other relationship which could, or could reasonably be perceived to, materially interfere with a directors ability to act in the best interests of the company |
BlackRock believes that the board is able to fulfill its fiduciary duty when there is a clearly independent, senior non-executive director to chair it or, where the chairman is also the CEO (or is otherwise not independent), a lead independent director. The role of this director is to enhance the effectiveness of the independent members of the board through shaping the agenda, ensuring adequate information is provided to the board and encouraging independent participation in board deliberations. The lead independent director or another appropriate director should be available to shareholders in those situations where an independent director is best placed to explain and justify a companys approach.
There are matters for which the board has responsibility that may involve a conflict of interest for executives or for affiliated directors. BlackRock believes that objective oversight of such matters is best achieved when the board forms committees comprised entirely of independent directors. In many markets, these committees of the board specialize in audit, director nominations and compensation matters. An ad hoc committee might also be formed to decide on a special transaction, particularly one involving a related party, or to investigate a significant adverse event.
Sufficient capacity
As the role of a director is demanding, directors must be able to commit an appropriate amount of time to board and committee matters. It is important that every director has the capacity to meet all of his/her responsibilities including when there are unforeseen events and therefore, he/she should not take on an excessive number of roles that would impair his/her ability to fulfill his/her duties.
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Auditors and audit-related issues
BlackRock recognizes the critical importance of financial statements, which should provide a true and fair picture of a companys financial condition. Accordingly, the assumptions made by management and reviewed by the auditor in preparing the financial statements should be reasonable and justified.
The accuracy of financial statements, inclusive of financial and non-financial information, is clearly of paramount importance to BlackRock. Investors views on financial materiality are developing to encompass a broader range of risks. Over time, we expect increased scrutiny of the assumptions underlying financial reports.
In this context, audit committees, or equivalent, play a vital role in a companys financial reporting system by providing independent oversight of the accounts, material financial and non-financial information, internal control frameworks, and Enterprise Risk Management systems. BlackRock believes that effective audit and risk committee oversight strengthens the quality and reliability of a companys financial statements and provides an important level of reassurance to shareholders.
We hold the members of the audit committee or equivalent responsible for overseeing the management of the audit function. Audit committees or equivalent should have clearly articulated charters that set out the committees responsibilities and have a rotation plan in place that allows for a periodic refreshment of the committee memberships.
We take particular note of critical accounting matters, cases involving significant financial restatements or ad hoc notifications of material financial weakness. In this respect, audit committees should provide timely disclosure on the remediation of Key and Critical Audit Matters identified either by the external auditor or Internal Audit function.
The integrity of financial statements depends on the auditor being free of any impediments to being an effective check on management. To that end, we believe it is important that auditors are, and are seen to be, independent. Where the audit firm provides services to the company in addition to the audit, the fees earned should be disclosed and explained. Audit committees should have in place a procedure for assessing annually the independence of the auditor and the quality of the external audit process.
Comprehensive disclosure provides investors with a sense of the companys long-term operational risk management practices and, more broadly, the quality of the boards oversight. The audit committee or equivalent should periodically review the companys risk assessment and risk management policies and significant risks and exposures identified by management, the internal auditors or the independent accountants, and managements steps to address them. In the absence of robust disclosures, we may reasonably conclude that companies are not adequately managing risk.
Capital structure, mergers, asset sales, and other special transactions
The capital structure of a company is critical to shareholders as it impacts the value of their investment and the priority of their interest in the company relative to that of other equity or debt investors. Pre-emptive rights are a key protection for shareholders against the dilution of their interests.
Effective voting rights are basic rights of share ownership and we believe strongly in one vote for one share as a guiding principle that supports effective corporate governance. Shareholders, as the residual claimants, have the strongest interest in protecting company value, and voting power should match economic exposure.
In principle, we disagree with the creation of a share class with equivalent economic exposure and preferential, differentiated voting rights as it violates the fundamental corporate governance principle of proportionality, and results in a concentration of power in the hands of a few shareholders, thus disenfranchising other shareholders and amplifying any potential conflicts of interest. However, we recognize that in certain markets, at least for a period of time, companies may have a valid argument for dual-class listings. We believe that such companies should review these share class structures on a regular basis or as company circumstances change. Additionally, they should receive shareholder approval of their capital structure on a periodic basis via a management proposal at the companys shareholder meeting. The proposal should give unaffiliated shareholders the opportunity to affirm the current structure or establish mechanisms to end or phase out controlling structures at the appropriate time, while minimizing costs to shareholders.
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In assessing mergers, asset sales, or other special transactions, BlackRocks primary consideration is the long-term economic interests of our clients as shareholders. Boards proposing a transaction need to clearly explain the economic and strategic rationale behind it. We will review a proposed transaction to determine the degree to which it enhances long-term shareholder value. We would prefer that proposed transactions have the unanimous support of the board and have been negotiated at arms length. We may seek reassurance from the board that executives and/or board members financial interests in a given transaction have not adversely affected their ability to place shareholders interests before their own. Where the transaction involves related parties, we would expect the recommendation to support it to come from the independent directors, and ideally, the terms have been assessed through an independent appraisal process. In addition, it is good practice that it be approved by a separate vote of the non-conflicted shareholders.
BlackRock believes that shareholders have a right to dispose of company shares in the open market without unnecessary restriction. In our view, corporate mechanisms designed to limit shareholders ability to sell their shares are contrary to basic property rights. Such mechanisms can serve to protect and entrench interests other than those of the shareholders. We believe that shareholders are broadly capable of making decisions in their own best interests. We expect any so-called shareholder rights plans proposed by a board to be subject to shareholder approval upon introduction and periodically thereafter for continuation.
BlackRock expects a companys board of directors to put in place a compensation structure that incentivizes and rewards executives appropriately and is linked with performance that aligns with shareholder interests, particularly the generation of sustainable long-term value. We would expect the compensation committee to carefully consider the specific circumstances of the company and the key individuals the board is trying to incentivize. We encourage companies to ensure that their compensation plans incorporate appropriate and rigorous performance metrics consistent with corporate strategy and market practice. We use third party research, in addition to our own analysis, to evaluate existing and proposed compensation structures. We hold members of the compensation committee or equivalent board members accountable for poor compensation practices or structures.
BlackRock believes that there should be a clear link between variable pay and company performance that drives value creation. We are not supportive of one-off or special bonuses unrelated to company or individual performance. Where discretion has been used by the compensation committee, we expect disclosure relating to how and why the discretion was used, and further, how the adjusted outcome is aligned with the interests of shareholders. We acknowledge that the use of peer group evaluation by compensation committees can help ensure competitive pay; however, we are concerned when the rationale for increases in total compensation at a company is solely based on peer benchmarking rather than a rigorous measure of outperformance.
We support incentive plans that foster the sustainable achievement of results consistent with the companys long-term strategic initiatives. The vesting timeframes associated with incentive plans should facilitate a focus on long-term value creation. We believe consideration should be given to building claw back provisions into incentive plans such that executives would be required to forgo rewards when they are not justified by actual performance and/or when compensation was based on faulty financial reporting or deceptive business practices. We also favor recoupment from any senior executive whose behavior caused material financial harm to shareholders, material reputational risk to the company, or resulted in a criminal investigation, even if such actions did not ultimately result in a material restatement of past results. Compensation committees should guard against contractual arrangements that would entitle executives to material compensation for early termination of their contract. Finally, pension contributions and other deferred compensation arrangements should be reasonable in light of market practice.
Non-executive directors should be compensated in a manner that is commensurate with the time and effort expended in fulfilling their professional responsibilities. Additionally, these compensation arrangements should not risk compromising their independence or aligning their interests too closely with those of the management, whom they are charged with overseeing.
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Environmental and social issues
We believe that well-managed companies will deal effectively with material ESG factors relevant to their businesses. As stated throughout this document, governance is the core structure by which boards can oversee the creation of sustainable long-term value appropriate risk oversight of environmental and social (E&S) considerations stems from this construct.
Robust disclosure is essential for investors to effectively gauge companies business practices and strategic planning related to E&S risks and opportunities. When a companys reporting is inadequate, investors, including BlackRock, will increasingly conclude that companies are not adequately managing risk. Given the increased understanding of material sustainability risks and opportunities, and the need for better information to assess them, BlackRock will advocate for continued improvement in companies reporting and will hold management and/or directors accountable where disclosures or the business practices underlying them are inadequate.
BlackRock views the recommendations of the Task Force on Climate-related Financial Disclosures (TCFD) and the standards put forward by the Sustainability Accounting Standards Board (SASB) as appropriate and complementary frameworks for companies to adopt for the disclosure of financially material sustainability information. While the TCFD framework was crafted with the aim of climate-related risk disclosure, the four pillars of the TCFD Governance, Strategy, Risk Management, and Metrics and Targets are a useful way for companies to disclose how they identify, assess, manage, and oversee a variety of sustainability-related risks and opportunities. SASBs industry-specific guidance (as identified in its materiality map) is beneficial in helping companies identify key performance indicators (KPIs) across various dimensions of sustainability that are considered to be financially material and decision-useful within their industry,
Accordingly, we ask companies to:
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Disclose the identification, assessment, management, and oversight of sustainability-related risks in accordance with the four pillars of TCFD; and |
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Publish SASB-aligned reporting with industry-specific, material metrics and rigorous targets2. |
Companies may also adopt or refer to guidance on sustainable and responsible business conduct issued by supranational organizations such as the United Nations or the Organization for Economic Cooperation and Development. Further, industry specific initiatives on managing specific operational risks may be useful. Companies should disclose any global standards adopted, the industry initiatives in which they participate, any peer group benchmarking undertaken, and any assurance processes to help investors understand their approach to sustainable and responsible business practices.
Climate risk
BlackRock believes that climate change has become a defining factor in companies long-term prospects. We expect every company to help their investors understand how the company may be impacted by climate-related risk and opportunities, and how they are considered within strategy. Specifically, we expect companies to articulate how they are aligned to a scenario in which global warming is limited to well below 2°C and is consistent with a global aspiration to reach net zero GHG emissions by 20503.
The public and private sectors have roles to play in aligning greenhouse gas reduction efforts with targets based on science, where available, to curb the worst effects of climate change and reach the global goal of carbon neutrality by the mid-century. Companies have an opportunity to utilize and contribute to the development of current and future low-carbon transition technologies, which are an important consideration for the rate at which emissions can be reduced. We expect companies to disclose how they are considering these challenges, alongside opportunities for innovation, within their strategy and emissions reduction efforts.
2 See our commentary on our approach to engagement on TCFD and SASB aligned reporting for greater detail of our expectations.
3 The global aspiration is reflective of aggregated efforts; companies in developed and emerging markets are not equally equipped to transition their business and reduce emissions at the same ratethose in developed markets with the largest market capitalization are better positioned to adapt their business models at an accelerated pace. Government policy and regional targets may be reflective of these realities.
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Key stakeholder interests
Given our expectation that companies operate in long-term shareholders interests to create sustainable value and fulfill their purpose, BlackRock believes that companies should take due account of their key stakeholders interests. It is for each company to determine its key stakeholders based on what is material to its business, but they are likely to include employees, business partners (such as suppliers and distributors), clients and consumers, government and regulators, and the communities in which they operate, as well as investors.
Having regard to the interests of key stakeholders recognizes the collective nature of long-term value creation, and the extent to which each companys prospects for growth are tied to its ability to foster strong sustainable relationships with those stakeholders. Companies should articulate how they address adverse impacts that could arise from their business practices and affect critical business relationships with their stakeholders. We expect companies to implement, to the extent appropriate, monitoring processes (often referred to as due diligence) to identify and mitigate potential adverse impacts, and grievance mechanisms to remediate any actual adverse impacts. The maintenance of trust within these relationships is often equated with a companys social license to operate.
To ensure transparency and accountability, companies should report on how they have identified their key stakeholders and considered their interests in business decision-making, demonstrating the applicable governance, strategy, risk management, and metrics and targets. This approach should be overseen by the board, whose job it is to ensure that the approach taken is informed by and aligns with the companys purpose.
General corporate governance matters and shareholder protections
BlackRock believes that shareholders have a right to material and timely information on the financial performance and viability of the companies in which they invest. In addition, companies should also publish information on the governance structures in place and the rights of shareholders to influence these structures. The reporting and disclosure provided by companies help shareholders assess whether their economic interests have been protected and the quality of the boards oversight of management. We believe shareholders should have the right to vote on key corporate governance matters, including changes to governance mechanisms, to submit proposals to the shareholders meeting, and to call special meetings of shareholders.
In most markets in which BlackRock invests on behalf of clients, shareholders have the right to submit proposals to be voted on by shareholders at a companys annual or extraordinary meeting, as long as eligibility and procedural requirements are met. The matters that we see put forward by shareholders address a wide range of topics, including governance reforms, capital management, and improvements in the management or disclosure of environmental and social risks.
When assessing shareholder proposals, we evaluate each proposal on its merit, with a singular focus on its implications for long-term value creation. We consider the business and economic relevance of the issue raised, as well as its materiality and the urgency with which we believe it should be addressed. We take into consideration the legal effect of the proposal, as shareholder proposals may be advisory or legally binding depending on the jurisdiction. We would not support proposals that we believe would result in over-reaching into the basic business decisions of the issuer.
Where a proposal is focused on an issue that we agree needs to be addressed and the intended outcome is consistent with long-term value creation, we will look to the board and management to demonstrate that the company has met the intent of the request made in the shareholder proposal. Where our analysis and / or engagement indicate a need for improvement in the companys approach to the issue, we will support shareholder proposals that are reasonable and not unduly constraining on management. Alternatively, or in addition, we may vote against the re-election of one of more directors if, in our assessment, the board has not responded sufficiently or with an appropriate sense of urgency.
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BlackRocks oversight of its investment
stewardship activities
Oversight
We hold ourselves to a very high standard in our investment stewardship activities, including proxy voting. To meet this standard, BIS is comprised of BlackRock employees who do not have other responsibilities other than their roles in BIS. BIS is considered an investment function.
BlackRock maintains three regional advisory committees (Stewardship Advisory Committees) for (a) the Americas; (b) Europe, the Middle East and Africa (EMEA); and (c) Asia-Pacific, generally consisting of senior BlackRock investment professionals and/or senior employees with practical boardroom experience. The regional Stewardship Advisory Committees review and advise on amendments to BIS proxy voting guidelines covering markets within each respective region (Guidelines).
In addition to the regional Stewardship Advisory Committees, the Investment Stewardship Global Oversight Committee (Global Committee) is a risk-focused committee, comprised of senior representatives from various BlackRock investment teams, a senior legal representative, the Global Head of Investment Stewardship (Global Head), and other senior executives with relevant experience and team oversight.
The Global Head has primary oversight of the activities of BIS, including voting in accordance with the Guidelines, which require the application of professional judgment and consideration of each companys unique circumstances. The Global Committee reviews and approves amendments to these Principles. The Global Committee also reviews and approves amendments to the regional Guidelines, as proposed by the regional Stewardship Advisory Committees.
In addition, the Global Committee receives and reviews periodic reports regarding the votes cast by BIS, as well as updates on material process issues, procedural changes, and other risk oversight considerations. The Global Committee reviews these reports in an oversight capacity as informed by the BIS corporate governance engagement program and the Guidelines.
BIS carries out engagement with companies, monitors and executes proxy votes, and conducts vote operations (including maintaining records of votes cast) in a manner consistent with the relevant Guidelines. BIS also conducts research on corporate governance issues and participates in industry discussions to contribute to and keep abreast of important developments in the corporate governance field. BIS may utilize third parties for certain of the foregoing activities and performs oversight of those third parties. BIS may raise complicated or particularly controversial matters for internal discussion with the relevant investment teams and/or refer such matters to the appropriate regional Stewardship Advisory Committees for review, discussion and guidance prior to making a voting decision.
We carefully consider proxies submitted to funds and other fiduciary account(s) (Fund or Funds) for which we have voting authority. BlackRock votes (or refrains from voting) proxies for each Fund for which we have voting authority based on our evaluation of the best long-term economic interests of our clients as shareholders, in the exercise of our independent business judgment, and without regard to the relationship of the issuer of the proxy (or any shareholder proponent or dissident shareholder) to the Fund, the Funds affiliates (if any), BlackRock or BlackRocks affiliates, or BlackRock employees (see Conflicts management policies and procedures, below).
When exercising voting rights, BlackRock will normally vote on specific proxy issues in accordance with the Guidelines for the relevant market. The Guidelines are reviewed regularly and are amended consistent with changes in the local market practice, as developments in corporate governance occur, or as otherwise deemed advisable by the applicable Stewardship Advisory Committees. BIS analysts may, in the exercise of their professional judgment, conclude that the Guidelines do not cover the specific matter upon which a proxy vote is required or that an exception to the Guidelines would be in the best long-term economic interests of BlackRocks clients.
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In the uncommon circumstance of there being a vote with respect to fixed income securities or the securities of privately held issuers, the decision generally will be made by a Funds portfolio managers and/or BIS based on their assessment of the particular transactions or other matters at issue.
In certain markets, proxy voting involves logistical issues which can affect BlackRocks ability to vote such proxies, as well as the desirability of voting such proxies. These issues include, but are not limited to: (i) untimely notice of shareholder meetings; (ii) restrictions on a foreigners ability to exercise votes; (iii) requirements to vote proxies in person; (iv) share-blocking (requirements that investors who exercise their voting rights surrender the right to dispose of their holdings for some specified period in proximity to the shareholder meeting); (v) potential difficulties in translating the proxy; (vi) regulatory constraints; and (vii) requirements to provide local agents with unrestricted powers of attorney to facilitate voting instructions. We are not supportive of impediments to the exercise of voting rights such as share-blocking or overly burdensome administrative requirements.
As a consequence, BlackRock votes proxies on a best-efforts basis. In addition, BIS may determine that it is generally in the best interests of BlackRocks clients not to vote proxies if the costs (including but not limited to opportunity costs associated with share-blocking constraints) associated with exercising a vote are expected to outweigh the benefit the client would derive by voting on the proposal.
Portfolio managers have full discretion to vote the shares in the Funds they manage based on their analysis of the economic impact of a particular ballot item. Portfolio managers may from time to time reach differing views on how best to maximize economic value with respect to a particular investment. Therefore, portfolio managers may, and sometimes do, vote shares in the Funds under their management differently from one another. However, because BlackRocks clients are mostly long-term investors with long-term economic goals, ballots are frequently cast in a uniform manner.
Conflicts management policies and procedures
BIS maintains policies and procedures that seek to prevent undue influence on BlackRocks proxy voting activity. Such influence might stem from any relationship between the investee company (or any shareholder proponent or dissident shareholder) and BlackRock, BlackRocks affiliates, a Fund or a Funds affiliates, or BlackRock employees. The following are examples of sources of perceived or potential conflicts of interest:
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BlackRock clients who may be issuers of securities or proponents of shareholder resolutions |
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BlackRock business partners or third parties who may be issuers of securities or proponents of shareholder resolutions |
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BlackRock employees who may sit on the boards of public companies held in Funds managed by BlackRock |
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Significant BlackRock, Inc. investors who may be issuers of securities held in Funds managed by BlackRock |
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Securities of BlackRock, Inc. or BlackRock investment funds held in Funds managed by BlackRock |
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BlackRock, Inc. board members who serve as senior executives of public companies held in Funds managed by BlackRock |
BlackRock has taken certain steps to mitigate perceived or potential conflicts including, but not limited to, the following:
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Adopted the Guidelines which are designed to advance our clients interests in the companies in which BlackRock invests on behalf of clients. |
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Established a reporting structure that separates BIS from employees with sales, vendor management, or business partnership roles. In addition, BlackRock seeks to ensure that all engagements with corporate issuers, dissident shareholders or shareholder proponents are managed consistently and without regard to BlackRocks relationship with such parties. Clients or business partners are not given special treatment or differentiated access to BIS. BIS prioritizes engagements based on factors including, but not limited to, our need for additional information to make a voting decision or our view on the likelihood that an engagement could lead to positive outcome(s) over time for the economic value of the company. Within the normal course of business, BIS may engage directly with BlackRock clients, business partners and/or third parties, and/or with employees with sales, vendor management, or business partnership roles, in discussions regarding our approach to stewardship, general corporate governance matters, client reporting needs, and/or to otherwise ensure that proxy-related client service levels are met. |
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Determined to engage, in certain instances, an independent fiduciary to vote proxies as a further safeguard to avoid potential conflicts of interest, to satisfy regulatory compliance requirements, or as may be otherwise required by applicable law. In such circumstances, the independent fiduciary provides BlackRocks proxy voting agent with instructions, in accordance with the Guidelines, as to how to vote such proxies, and BlackRocks proxy voting agent votes the proxy in accordance with the independent fiduciarys determination. BlackRock uses an independent fiduciary to vote proxies of BlackRock, Inc. and companies affiliated with BlackRock, Inc. BlackRock may also use an independent fiduciary to vote proxies of: |
i. |
public companies that include BlackRock employees on their boards of directors, |
ii. |
public companies of which a BlackRock, Inc. board member serves as a senior executive, |
iii. |
public companies that are the subject of certain transactions involving BlackRock Funds, |
iv. |
public companies that are joint venture partners with BlackRock, and |
v. |
public companies when legal or regulatory requirements compel BlackRock to use an independent fiduciary. |
In selecting an independent fiduciary, we assess several characteristics, including but not limited to: independence, an ability to analyze proxy issues and vote in the best economic interest of our clients, reputation for reliability and integrity, and operational capacity to accurately deliver the assigned votes in a timely manner. We may engage more than one independent fiduciary, in part in order to mitigate potential or perceived conflicts of interest at an independent fiduciary. The Global Committee appoints and reviews the performance of the independent fiduciaries, generally on an annual basis.
When so authorized, BlackRock acts as a securities lending agent on behalf of Funds. With regard to the relationship between securities lending and proxy voting, BlackRocks approach is driven by our clients economic interests. The decision whether to recall securities on loan to vote is based on a formal analysis of the revenue producing value to clients of loans, against the assessed economic value of casting votes. Generally, we expect that the likely economic value to clients of casting votes would be less than the securities lending income, either because, in our assessment, the resolutions being voted on will not have significant economic consequences or because the outcome would not be affected by BlackRock voting the loaned securities that were recalled in order to vote. BlackRock also may, in our discretion, determine that the value of voting outweighs the cost of recalling shares, and thus recall shares to vote in that instance.
Periodically, BlackRock reviews our process for determining whether to recall securities on loan in order to vote and may modify it as necessary.
The issue-specific Guidelines published for each region/country in which we vote are intended to summarize BlackRocks general philosophy and approach to issues that may commonly arise in the proxy voting context in each market where we invest. The Guidelines are not intended to be exhaustive. BIS applies the Guidelines on a case-by-case basis, in the context of the individual circumstances of each company and the specific issue under review. As such, the Guidelines do not indicate how BIS will vote in every instance. Rather, they reflect our view about corporate governance issues generally, and provide insight into how we typically approach issues that commonly arise on corporate ballots.
Reporting and vote transparency
Investment stewardship is how we use our voice as an investor to promote sound corporate governance and business practices to help maximize long-term shareholder value for our clients, the vast majority of whom are investing for long-term goals such as retirement. We are committed to transparency in the stewardship work we do on behalf of clients. We inform clients about our engagement and voting policies and activities through direct communication and through disclosure on our website. Each year we publish an annual report as well as quarterly stewardship reports which provide a global overview of our investment stewardship engagement and voting activities during the quarter, including market
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developments, speaking engagements, and engagement, and voting statistics. Additionally, we make public our market-specific voting guidelines for the benefit of clients and companies with whom we engage. We also publish commentaries to share our perspective on market developments and emerging key themes.
At a more granular level, we publish quarterly our vote record for each company that held a shareholder meeting during the period, showing how we voted on each proposal and explaining any votes against management proposals or on shareholder proposals. For shareholder meetings where a vote might be high profile or of significant interest to clients, we publish a voting bulletin shortly after the meeting, disclosing and explaining our vote on key proposals. We also publish a quarterly list of all companies we engaged and the key topics addressed in the engagement meeting.
In this way, we help inform our clients about the work we do on their behalf in promoting the governance and business practices that support long-term sustainable value creation.
This document is provided for information purposes only and is subject to change. Reliance upon this information is at the sole discretion of the reader.
Prepared by BlackRock, Inc.
©2020 BlackRock, Inc. All rights reserved.
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Contents
Introduction |
3 | |||
Voting guidelines |
3 | |||
Boards and directors |
3 | |||
Auditors and audit-related issues |
9 | |||
Capital structure proposals |
9 | |||
Mergers, acquisitions, asset sales, and other special transactions |
10 | |||
Executive compensation |
11 | |||
Environmental and social issues |
13 | |||
General corporate governance matters |
15 | |||
Shareholder protections |
16 |
If you would like additional information, please contact:
ContactStewardship@blackrock.com
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These guidelines should be read in conjunction with the BlackRock Investment Stewardship Global Principles.
Introduction
We believe BlackRock has a responsibility to monitor and provide feedback to companies, in our role as stewards of our clients investments. BlackRock Investment Stewardship (BIS) does this through engagement with management teams and/or board members on material business issues, including environmental, social, and governance (ESG) matters and, for those clients who have given us authority, through voting proxies in the best long-term economic interests of our clients.
The following issue-specific proxy voting guidelines (the Guidelines) are intended to summarize BIS general philosophy and approach to ESG factors, as well as our expectations of directors, that most commonly arise in proxy voting for U.S. securities. These Guidelines are not intended to limit the analysis of individual issues at specific companies or provide a guide to how BlackRock will vote in every instance. They are applied with discretion, taking into consideration the range of issues and facts specific to the company, as well as individual ballot items.
Voting guidelines
These guidelines are divided into eight key themes, which group together the issues that frequently appear on the agenda of annual and extraordinary meetings of shareholders:
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Boards and directors |
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Auditors and audit-related issues |
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Capital structure |
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Mergers, acquisitions, asset sales, and other special transactions |
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Executive compensation |
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Environmental and social issues |
● |
General corporate governance matters |
● |
Shareholder protections |
Boards and directors
The effective performance of the board is critical to the economic success of the company and the protection of shareholders interests. As part of their responsibilities, board members owe fiduciary duties to shareholders in overseeing the strategic direction and operation of the company. For this reason, BlackRock focuses on directors in many of our engagements and sees the election of directors as one of our most critical responsibilities.
Disclosure of material issues that affect the companys long-term strategy and value creation, including material ESG factors, is essential for shareholders to be able to appropriately understand and assess how effectively the board is identifying, managing, and mitigating risks.
Where we conclude that a board has failed to address or disclose one or more material issues within a specified timeframe, we may hold directors accountable or take other appropriate action in the context of our voting decisions.
Director elections
Where a board has not adequately demonstrated, through company disclosures and actions, how material issues are appropriately identified, managed, and overseen, we will consider withholding our support for the re-election of directors whom we hold accountable.
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Proxy voting guidelines for U.S. securities | 3 |
In addition, we may withhold votes from directors or members of particular board committees in certain situations, as indicated below.
Independence
We expect a majority of the directors on the board to be independent. In addition, all members of key committees, including audit, compensation, and nominating/ governance committees, should be independent. Our view of independence may vary from listing standards.
Common impediments to independence may include:
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Employment as a senior executive by the company or a subsidiary within the past five years |
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An equity ownership in the company in excess of 20% |
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Having any other interest, business, or relationship (professional or personal) which could, or could reasonably be perceived to, materially interfere with the directors ability to act in the best interests of the company |
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When evaluating controlled companies, as defined by the U.S. stock exchanges, we may vote against insiders or affiliates who sit on the audit committee, but not other key committees |
We may vote against directors serving on key committees who we do not consider to be independent.
Oversight
We expect the board to exercise appropriate oversight over management and business activities of the company. We will consider voting against committee members and/or individual directors in the following circumstances:
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Where the board has failed to exercise sufficient oversight with regard to material ESG risk factors, or the company has failed to provide shareholders with adequate disclosure to conclude appropriate strategic consideration is given to these factors by the board |
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Where the board has failed to exercise oversight with regard to accounting practices or audit oversight, we will consider voting against the current audit committee, and any other members of the board who may be responsible. For example, we may vote against members of the audit committee during a period when the board failed to facilitate quality, independent auditing if substantial accounting irregularities suggest insufficient oversight by that committee |
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Members of the compensation committee during a period in which executive compensation appears excessive relative to performance and peers, and where we believe the compensation committee has not already substantially addressed this issue |
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The chair of the nominating/ governance committee, or where no chair exists, the nominating/governance committee member with the longest tenure, where the board is not comprised of a majority of independent directors. This may not apply in the case of a controlled company |
● |
Where it appears the director has acted (at the company or at other companies) in a manner that compromises his/ her ability to represent the best long-term economic interests of shareholders |
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Where a director has a multi-year pattern of poor attendance at combined board and applicable committee meetings, or a director has poor attendance in a single year with no disclosed rationale. Excluding exigent circumstances, BlackRock generally considers attendance at less than 75% of the combined board and applicable committee meetings to be poor attendance |
● |
Where a director serves on an excessive number of boards, which may limit his/ her capacity to focus on each boards requirements. The following identifies the maximum number of boards on which a director may serve, before he/ she is considered to be over-committed: |
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Proxy voting guidelines for U.S. securities | 4 |
Public Company Executive or Fund Manager1
|
# Outside Public Boards2 | Total # of Public Boards | ||||
Director A
|
✓ | 1 | 2 | |||
Director B
|
3 | 4 |
Responsiveness to shareholders
We expect a board to be engaged and responsive to its shareholders, including acknowledging voting outcomes for shareholder proposals, director elections, compensation, and other ballot items. Where we believe a board has not substantially addressed shareholder concerns, we may vote against the responsible committees and/or individual directors. The following illustrates common circumstances:
● |
The independent chair or lead independent director, members of the nominating/governance committee, and/or the longest tenured director(s), where we observe a lack of board responsiveness to shareholders, evidence of board entrenchment, and/or failure to plan for adequate board member succession |
● |
The chair of the nominating/governance committee, or where no chair exists, the nominating/governance committee member with the longest tenure, where board member(s) at the most recent election of directors have received against votes from more than 25% of shares voted, and the board has not taken appropriate action to respond to shareholder concerns. This may not apply in cases where BlackRock did not support the initial against vote |
● |
The independent chair or lead independent director and/ or members of the nominating/governance committee, where a board fails to consider shareholder proposals that receive substantial support, and the proposals, in our view, have a material impact on the business, shareholder rights, or the potential for long-term value creation |
Shareholder rights
We expect a board to act with integrity and to uphold governance best practices. Where we believe a board has not acted in the best interests of its shareholders, we may vote against the appropriate committees and/or individual directors. The following illustrates common circumstances:
● |
The independent chair or lead independent director and members of the nominating/governance committee, where a board implements or renews a poison pill without shareholder approval |
● |
The independent chair or lead independent director and members of the nominating/governance committee, where a board amends the charter/articles/bylaws such that the effect may be to entrench directors or to significantly reduce shareholder rights |
● |
Members of the compensation committee where the company has repriced options without shareholder approval |
● |
If a board maintains a classified structure, it is possible that the director(s) with whom we have a particular concern may not be subject to election in the year that the concern arises. In such situations, if we have a concern regarding the actions of a committee and the responsible member(s) or committee chair are not up for re-election, we will generally register our concern by voting against all available members of the relevant committee |
1 In this instance, fund manager refers to individuals whose full-time employment involves responsibility for the investment and oversight of fund vehicles, and those who have employment as professional investors and provide oversight for those holdings.
2 In addition to the company under review
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Proxy voting guidelines for U.S. securities | 5 |
Board composition and effectiveness
We encourage boards to periodically renew their membership to ensure relevant skills and experience within the boardroom. To this end, regular performance reviews and skills assessments should be conducted by the nominating/ governance committee or the lead independent director.
Furthermore, we expect boards to be comprised of a diverse selection of individuals who bring their personal and professional experiences to bear in order to create a constructive debate of a variety of views and opinions in the boardroom. We recognize that diversity has multiple dimensions. In identifying potential candidates, boards should take into consideration the full breadth of diversity, including personal factors, such as gender, ethnicity, race, and age, as well as professional characteristics, such as a directors industry, area of expertise, and geographic location. In addition to other elements of diversity, we encourage companies to have at least two women directors on their board. Our publicly available commentary explains our approach to engaging on board diversity.
We encourage boards to disclose:
● |
The mix of competencies, experience, and other qualities required to effectively oversee and guide management in light of the stated long-term strategy of the company |
● |
The process by which candidates are identified and selected, including whether professional firms or other sources outside of incumbent directors networks have been engaged to identify and/or assess candidates |
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The process by which boards evaluate themselves and any significant outcomes of the evaluation process, without divulging inappropriate and/ or sensitive details |
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Demographics related to board diversity, including, but not limited to, gender, ethnicity, race, age, and geographic location, in addition to measurable milestones to achieve a boardroom reflective of multi-faceted racial, ethnic, and gender representation |
Our primary concern is that board members are able to contribute effectively as corporate strategy evolves and business conditions change. We acknowledge that no single person can be expected to bring all relevant skill sets to a board; at the same time, we generally do not believe it is necessary or appropriate to have any particular director on the board solely by virtue of a singular background or specific area of expertise.
Where boards find that age limits or term limits are the most efficient and objective mechanism for ensuring periodic board refreshment, we generally defer to the boards determination in setting such limits. BlackRock will also consider the average board tenure to evaluate processes for board renewal. We may oppose boards that appear to have an insufficient mix of short-, medium-, and long-tenured directors.
To the extent that a company has not adequately accounted for diversity in its board composition within a reasonable timeframe, based on our assessment, we may vote against members of the nominating/governance committee for an apparent lack of commitment to board effectiveness.
Board size
We typically defer to the board in setting the appropriate size and believe directors are generally in the best position to assess the optimal board size to ensure effectiveness. However, we may oppose boards that appear too small to allow for the necessary range of skills and experience or too large to function efficiently.
CEO and management succession planning
There should be a robust CEO and senior management succession plan in place at the board level that is reviewed and updated on a regular basis. We expect succession planning to cover both long-term planning consistent with the strategic direction of the company and identified leadership needs over time, as well as short-term planning in the event of an unanticipated executive departure. We encourage the company to explain its executive succession planning process,
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Proxy voting guidelines for U.S. securities | 6 |
including where accountability lies within the boardroom for this task, without prematurely divulging sensitive information commonly associated with this exercise.
Classified board of directors/staggered terms
We believe that directors should be re-elected annually; classification of the board generally limits shareholders rights to regularly evaluate a boards performance and select directors. While we will typically support proposals requesting board de-classification, we may make exceptions, should the board articulate an appropriate strategic rationale for a classified board structure, such as when a company needs consistency and stability during a time of transition, e.g. newly public companies or companies undergoing a strategic restructuring. A classified board structure may also be justified at non-operating companies, e.g. closed-end funds or business development companies (BDC),3 in certain circumstances. We would, however, expect boards with a classified structure to periodically review the rationale for such structure and consider when annual elections might be more appropriate.
Without a voting mechanism to immediately address concerns about a specific director, we may choose to vote against the available slate of directors (see Shareholder rights for additional detail).
Contested director elections
The details of contested elections, or proxy contests, are assessed on a case-by-case basis. We evaluate a number of factors, which may include: the qualifications of the dissident and management candidates; the validity of the concerns identified by the dissident; the viability of both the dissidents and managements plans; the ownership stake and holding period of the dissident; the likelihood that the dissidents solutions will produce the desired change; and whether the dissident represents the best option for enhancing long-term shareholder value.
Cumulative voting
We believe that a majority vote standard is in the best long-term interests of shareholders. It ensures director accountability through the requirement to be elected by more than half of the votes cast. As such, we will generally oppose proposals requesting the adoption of cumulative voting, which may disproportionately aggregate votes on certain issues or director candidates.
Director compensation and equity programs
We believe that compensation for directors should be structured to attract and retain directors, while also aligning their interests with those of shareholders. We believe director compensation packages that are based on the companys long-term value creation and include some form of long-term equity compensation are more likely to meet this goal. In addition, we expect directors to build meaningful share ownership over time.
Majority vote requirements
BlackRock believes that directors should generally be elected by a majority of the shares voted and will normally support proposals seeking to introduce bylaws requiring a majority vote standard for director elections. Majority vote standards assist in ensuring that directors who are not broadly supported by shareholders are not elected to serve as their representatives. Some companies with a plurality voting standard have adopted a resignation policy for directors who do not receive support from at least a majority of votes cast. Where we believe that the company already has a sufficiently robust majority voting process in place, we may not support a shareholder proposal seeking an alternative mechanism.
We note that majority voting may not be appropriate in all circumstances, for example, in the context of a contested election, or for majority-controlled companies.
3A BDC is a special investment vehicle under the Investment Company Act of 1940 that is designed to facilitate capital formation for small and middle-market companies.
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Proxy voting guidelines for U.S. securities | 7 |
Risk oversight
Companies should have an established process for identifying, monitoring, and managing business and material ESG risks. Independent directors should have access to relevant management information and outside advice, as appropriate, to ensure they can properly oversee risk. We encourage companies to provide transparency around risk management, mitigation, and reporting to the board. We are particularly interested in understanding how risk oversight processes evolve in response to changes in corporate strategy and/or shifts in the business and related risk environment. Comprehensive disclosure provides investors with a sense of the companys long-term operational risk management practices and, more broadly, the quality of the boards oversight. In the absence of robust disclosures, we may reasonably conclude that companies are not adequately managing risk.
Separation of chairman and CEO
We believe that independent leadership is important in the boardroom. There are two commonly accepted structures for independent board leadership: 1) an independent chairman; or 2) a lead independent director when the roles of chairman and CEO are combined.
In the absence of a significant governance concern, we defer to boards to designate the most appropriate leadership structure to ensure adequate balance and independence.
In the event that the board chooses a combined chair/CEO model, we generally support the designation of a lead independent director if they have the power to: 1) provide formal input into board meeting agendas; 2) call meetings of the independent directors; and 3) preside at meetings of independent directors. Furthermore, while we anticipate that most directors will be elected annually, we believe an element of continuity is important for this role to provide appropriate leadership balance to the chair/CEO.
The following table illustrates examples of responsibilities under each board leadership model:
Combined Chair/ CEO Model | Separate Chair Model | |||||
Chair/ CEO | Lead Independent Director | Chair | ||||
Board Meetings |
Authority to call full meetings of the board of directors |
Attends full meetings of the board of directors
Authority to call meetings of independent directors
Briefs CEO on issues arising from executive sessions
|
Authority to call full meetings of the board of directors |
|||
Agenda |
Primary responsibility for shaping board agendas, consulting with the lead independent director
|
Collaborates with chair/ CEO to set board agenda and board information | Primary responsibility for shaping board agendas, in conjunction with CEO | |||
Board
|
Communicates with all directors on key issues and concerns outside of full board meetings |
Facilitates discussion among independent directors on key issues and concerns outside of full board meetings, including contributing to the oversight of CEO and management succession planning |
Facilitates discussion among independent directors on key issues and concerns outside of full board meetings, including contributing to the oversight of CEO and management succession planning |
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Proxy voting guidelines for U.S. securities | 8 |
Auditors and audit-related issues
BlackRock recognizes the critical importance of financial statements to provide a complete and accurate portrayal of a companys financial condition. Consistent with our approach to voting on boards of directors, we seek to hold the audit committee of the board responsible for overseeing the management of the audit function at a company, and may vote against the audit committee members where the board has failed to facilitate quality, independent auditing. We look to the audit committee report for insight into the scope of the audit committee responsibilities, including an overview of audit committee processes, issues on the audit committee agenda, and key decisions taken by the audit committee. We take particular note of cases involving significant financial restatements or material weakness disclosures, and we expect timely disclosure and remediation of accounting irregularities.
The integrity of financial statements depends on the auditor effectively fulfilling its role. To that end, we favor an independent auditor. In addition, to the extent that an auditor fails to reasonably identify and address issues that eventually lead to a significant financial restatement, or the audit firm has violated standards of practice that protect the interests of shareholders, we may also vote against ratification.
From time to time, shareholder proposals may be presented to promote auditor independence or the rotation of audit firms. We may support these proposals when they are consistent with our views as described above.
Capital structure proposals
Equal voting rights
BlackRock believes that shareholders should be entitled to voting rights in proportion to their economic interests. We believe that companies that look to add or already have dual or multiple class share structures should review these structures on a regular basis, or as company circumstances change. Companies with multiple share classes should receive shareholder approval of their capital structure on a periodic basis via a management proposal on the companys proxy. The proposal should give unaffiliated shareholders the opportunity to affirm the current structure or establish mechanisms to end or phase out controlling structures at the appropriate time, while minimizing costs to shareholders.
Blank check preferred stock
We frequently oppose proposals requesting authorization of a class of preferred stock with unspecified voting, conversion, dividend distribution, and other rights (blank check preferred stock) because they may serve as a transfer of authority from shareholders to the board and as a possible entrenchment device. We generally view the boards discretion to establish voting rights on a when-issued basis as a potential anti-takeover device, as it affords the board the ability to place a block of stock with an investor sympathetic to management, thereby foiling a takeover bid without a shareholder vote.
Nonetheless, we may support the proposal where the company:
● |
Appears to have a legitimate financing motive for requesting blank check authority |
● |
Has committed publicly that blank check preferred shares will not be used for anti-takeover purposes |
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Has a history of using blank check preferred stock for financings |
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Has blank check preferred stock previously outstanding such that an increase would not necessarily provide further anti-takeover protection but may provide greater financing flexibility |
Increase in authorized common shares
BlackRock will evaluate requests to increase authorized shares on a case-by-case basis, in conjunction with industry-specific norms and potential dilution, as well as a companys history with respect to the use of its common shares.
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Proxy voting guidelines for U.S. securities | 9 |
Increase or issuance of preferred stock
We generally support proposals to increase or issue preferred stock in cases where the company specifies the voting, dividend, conversion, and other rights of such stock and where the terms of the preferred stock appear reasonable.
Stock splits
We generally support stock splits that are not likely to negatively affect the ability to trade shares or the economic value of a share. We generally support reverse stock splits that are designed to avoid delisting or to facilitate trading in the stock, where the reverse split will not have a negative impact on share value (e.g. one class is reduced while others remain at pre-split levels). In the event of a proposal for a reverse split that would not proportionately reduce the companys authorized stock, we apply the same analysis we would use for a proposal to increase authorized stock.
Mergers, acquisitions, asset sales, and other special transactions
In assessing mergers, acquisitions, asset sales, or other special transactions, BlackRocks primary consideration is the long-term economic interests of our clients as shareholders. Boards proposing a transaction need to clearly explain the economic and strategic rationale behind it. We will review a proposed transaction to determine the degree to which it enhances long-term shareholder value. While mergers, acquisitions, asset sales, and other special transaction proposals vary widely in scope and substance, we closely examine certain salient features in our analyses, such as:
● |
The degree to which the proposed transaction represents a premium to the companys trading price. We consider the share price over multiple time periods prior to the date of the merger announcement. We may consider comparable transaction analyses provided by the parties financial advisors and our own valuation assessments. For companies facing insolvency or bankruptcy, a premium may not apply |
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There should be clear strategic, operational, and/ or financial rationale for the combination |
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Unanimous board approval and arms-length negotiations are preferred. We will consider whether the transaction involves a dissenting board or does not appear to be the result of an arms-length bidding process. We may also consider whether executive and/ or board members financial interests appear likely to affect their ability to place shareholders interests before their own |
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We prefer transaction proposals that include the fairness opinion of a reputable financial advisor assessing the value of the transaction to shareholders in comparison to recent similar transactions |
Poison pill plans
Where a poison pill is put to a shareholder vote by management, our policy is to examine these plans individually. Although we oppose most plans, we may support plans that include a reasonable qualifying offer clause. Such clauses typically require shareholder ratification of the pill and stipulate a sunset provision whereby the pill expires unless it is renewed. These clauses also tend to specify that an all-cash bid for all shares that includes a fairness opinion and evidence of financing does not trigger the pill, but forces either a special meeting at which the offer is put to a shareholder vote, or requires the board to seek the written consent of shareholders, where shareholders could rescind the pill at their discretion. We may also support a pill where it is the only effective method for protecting tax or other economic benefits that may be associated with limiting the ownership changes of individual shareholders.
We generally vote in favor of shareholder proposals to rescind poison pills.
Reimbursement of expenses for successful shareholder campaigns
We generally do not support shareholder proposals seeking the reimbursement of proxy contest expenses, even in situations where we support the shareholder campaign. We believe that introducing the possibility of such reimbursement may incentivize disruptive and unnecessary shareholder campaigns.
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Proxy voting guidelines for U.S. securities | 10 |
Executive compensation
BlackRock expects a companys board of directors to put in place a compensation structure that incentivizes and rewards executives appropriately and is aligned with shareholder interests, particularly the generation of sustainable long-term value.
We expect the compensation committee to carefully consider the specific circumstances of the company and the key individuals the board is focused on incentivizing. We encourage companies to ensure that their compensation plans incorporate appropriate and rigorous performance metrics consistent with corporate strategy and market practice. We use third party research, in addition to our own analysis, to evaluate existing and proposed compensation structures. We hold members of the compensation committee, or equivalent board members, accountable for poor compensation practices or structures.
BlackRock believes that there should be a clear link between variable pay and company performance that drives value creation. We are generally not supportive of one-off or special bonuses unrelated to company or individual performance. Where discretion has been used by the compensation committee, we expect disclosure relating to how and why the discretion was used and further, how the adjusted outcome is aligned with the interests of shareholders.
We acknowledge that the use of peer group evaluation by compensation committees can help calibrate competitive pay; however, we are concerned when the rationale for increases in total compensation is solely based on peer benchmarking, rather than absolute outperformance.
We support incentive plans that foster the sustainable achievement of results consistent with the companys long-term strategic initiatives. The vesting timeframes associated with incentive plans should facilitate a focus on long-term value creation. Compensation committees should guard against contractual arrangements that would entitle executives to material compensation for early termination of their contract. Finally, pension contributions and other deferred compensation arrangements should be reasonable in light of market practice.
Say on Pay advisory resolutions
In cases where there is a Say on Pay vote, BlackRock will respond to the proposal as informed by our evaluation of compensation practices at that particular company and in a manner that appropriately addresses the specific question posed to shareholders. In a commentary on our website, entitled BlackRock Investment Stewardships approach to executive compensation, we explain our expectations related to executive compensation practices, our Say on Pay analysis framework, and our typical approach to engagement and voting on Say on Pay.
Where we conclude that a company has failed to align pay with performance, we will vote against the management compensation proposal and consider voting against the compensation committee members.
Frequency of Say on Pay advisory resolutions
BlackRock will generally support annual advisory votes on executive compensation, and will consider biennial and triennial timeframes, absent compensation concerns. In evaluating pay, we believe that the compensation committee is responsible for constructing a plan that appropriately incentivizes executives for long-term value creation, utilizing relevant metrics and structure to promote overall pay and performance alignment.
Clawback proposals
We generally favor recoupment from any senior executive whose compensation was based on faulty financial reporting or deceptive business practices. We also favor recoupment from any senior executive whose behavior caused material financial harm to shareholders, material reputational risk to the company, or resulted in a criminal proceeding, even if such actions did not ultimately result in a material restatement of past results. This includes, but is not limited to, settlement agreements arising from such behavior and paid for directly by the company. We typically support shareholder proposals on these matters unless the company already has a robust claw back policy that sufficiently addresses our concerns.
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Proxy voting guidelines for U.S. securities | 11 |
Employee stock purchase plans
We believe employee stock purchase plans (ESPP) are an important part of a companys overall human capital management strategy and can provide performance incentives to help align employees interests with those of shareholders. The most common form of ESPP qualifies for favorable tax treatment under Section 423 of the Internal Revenue Code. We will typically support qualified ESPP proposals.
Equity compensation plans
BlackRock supports equity plans that align the economic interests of directors, managers, and other employees with those of shareholders. We believe that boards should establish policies prohibiting the use of equity awards in a manner that could disrupt the intended alignment with shareholder interests (e.g. the use of stock as collateral for a loan; the use of stock in a margin account; the use of stock in hedging or derivative transactions). We may support shareholder proposals requesting the establishment of such policies.
Our evaluation of equity compensation plans is based on a companys executive pay and performance relative to peers and whether the plan plays a significant role in a pay-for-performance disconnect. We generally oppose plans that contain evergreen provisions, which allow for the unlimited increase of shares reserved without requiring further shareholder approval after a reasonable time period. We also generally oppose plans that allow for repricing without shareholder approval. We may also oppose plans that provide for the acceleration of vesting of equity awards even in situations where an actual change of control may not occur. We encourage companies to structure their change of control provisions to require the termination of the covered employee before acceleration or special payments are triggered (commonly referred to as double trigger change of control provisions).
Golden parachutes
We generally view golden parachutes as encouragement to management to consider transactions that might be beneficial to shareholders. However, a large potential pay-out under a golden parachute arrangement also presents the risk of motivating a management team to support a sub-optimal sale price for a company.
When determining whether to support or oppose an advisory vote on a golden parachute plan, BlackRock may consider several factors, including:
● |
Whether we believe that the triggering event is in the best interests of shareholders |
● |
Whether management attempted to maximize shareholder value in the triggering event |
● |
The percentage of total premium or transaction value that will be transferred to the management team, rather than shareholders, as a result of the golden parachute payment |
● |
Whether excessively large excise tax gross-up payments are part of the pay-out |
● |
Whether the pay package that serves as the basis for calculating the golden parachute payment was reasonable in light of performance and peers |
● |
Whether the golden parachute payment will have the effect of rewarding a management team that has failed to effectively manage the company |
It may be difficult to anticipate the results of a plan until after it has been triggered; as a result, BlackRock may vote against a golden parachute proposal even if the golden parachute plan under review was approved by shareholders when it was implemented.
We may support shareholder proposals requesting that implementation of such arrangements require shareholder approval. We generally support proposals requiring shareholder approval of plans that exceed 2.99 times an executives current salary and bonus, including equity compensation.
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Proxy voting guidelines for U.S. securities | 12 |
Option exchanges
We believe that there may be legitimate instances where underwater options create an overhang on a companys capital structure and a repricing or option exchange may be warranted. We will evaluate these instances on a case-by-case basis. BlackRock may support a request to reprice or exchange underwater options under the following circumstances:
● |
The company has experienced significant stock price decline as a result of macroeconomic trends, not individual company performance |
● |
Directors and executive officers are excluded; the exchange is value neutral or value creative to shareholders; tax, accounting, and other technical considerations have been fully contemplated |
● |
There is clear evidence that absent repricing, the company will suffer serious employee incentive or retention and recruiting problems |
BlackRock may also support a request to exchange underwater options in other circumstances, if we determine that the exchange is in the best interests of shareholders.
Supplemental executive retirement plans
BlackRock may support shareholder proposals requesting to put extraordinary benefits contained in supplemental executive retirement plans (SERP) to a shareholder vote unless the companys executive pension plans do not contain excessive benefits beyond what is offered under employee-wide plans.
Environmental and social issues
We believe that well-managed companies deal effectively with material ESG factors relevant to their businesses. As stated throughout this document, governance is the core structure by which boards can oversee the creation of sustainable long-term valueappropriate risk oversight of environmental and social (E&S) considerations stems from this construct.
Robust disclosure is essential for investors to effectively gauge companies business practices and strategic planning related to E&S risks and opportunities. When a companys reporting is inadequate, investors, including BlackRock, will increasingly conclude that the company is not adequately managing risk. Given the increased understanding of material sustainability risks and opportunities, and the need for better information to assess them, BlackRock will advocate for continued improvement in companies reporting and will hold management and/ or directors accountable where disclosures or the business practices underlying them are inadequate.
BlackRock views the recommendations of the Task Force on Climate-related Financial Disclosures (TCFD) and the standards put forth by the Sustainability Accounting Standards Board (SASB) as appropriate and complementary frameworks for companies to disclose financially material sustainability information. While the TCFD framework was crafted with the aim of climate-related risk disclosure, the four pillars of the TCFDGovernance, Strategy, Risk Management, and Metrics and Targetsare a useful way for companies to disclose how they identify, assess, manage, and oversee a variety of sustainability-related risks and opportunities. SASBs industry-specific guidance (as identified in its materiality map) is beneficial in helping companies identify key performance indicators (KPIs) across various dimensions of sustainability that are considered to be financially material and decision-useful within their industry.
Accordingly, we ask companies to:
● |
Disclose the identification, assessment, management, and oversight of sustainability-related risks in accordance with the four pillars of TCFD |
● |
Publish SASB-aligned reporting with industry-specific, material metrics and rigorous targets |
See our commentary on our approach to engagement on TCFD- and SASB-aligned reporting for greater detail of our expectations.
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Proxy voting guidelines for U.S. securities | 13 |
Climate risk
BlackRock believes that climate change has become a defining factor in companies long-term prospects. We expect every company to help their investors understand how the company may be impacted by climate-related risks and opportunities, and how they are considered within the companys strategy.
Specifically, we expect companies to articulate how they are aligned to a scenario in which global warming is limited to well below 2° C and is consistent with a global aspiration to reach net zero GHG emissions by 2050.4 In order to assess companies progress, BIS expects carbon-intensive companies to disclose explicit GHG emissions reduction targets.
The public and private sectors have roles to play in aligning greenhouse gas reduction efforts with targets based on science, where available to curb the worst effects of climate change and reach the global goal of carbon neutrality by mid-century. Companies have an opportunity to utilize and contribute to the development of current and future low-carbon transition technologies, which are an important consideration for the rate at which emissions can be reduced. We expect companies to disclose how they are considering these challenges, alongside opportunities for innovation, within their strategy and emissions reduction efforts.
We may support shareholder proposals that ask companies to disclose climate plans aligned with our expectations.
Key stakeholder interests
As a long-term investor, we believe that in order to deliver value for shareholders, companies should also consider their stakeholders. While stakeholder groups may vary across industries, they are likely to include employees; business partners (such as suppliers and distributors); clients and consumers; government and regulators; and the communities in which companies operate. Companies that build strong relationships with their stakeholders are more likely to meet their own strategic objectives, while poor relationships may create adverse impacts that expose a company to legal, regulatory, operational, and reputational risks and jeopardize their social license to operate. We expect companies to effectively oversee and mitigate these risks with appropriate due diligence processes and board oversight.
Human capital management
A companys approach to human capital management is a critical factor in fostering an inclusive, diverse, and engaged workforce, which contributes to business continuity, innovation, and long-term value creation. As an important component of strategy, we expect boards to oversee human capital management.
We believe that clear and consistent reporting on these matters is critical for investors to understand the composition of a companys workforce. We expect companies to disclose workforce demographics, such as gender, race, and ethnicity in line with the US Equal Employment Opportunity Commissions EEO-1 Survey, alongside the steps they are taking to advance diversity, equity, and inclusion. Where we believe a companys disclosures or practices fall short relative to the market or peers, or we are unable to ascertain the board and managements effectiveness in overseeing related risks and opportunities, we may vote against members of the appropriate committee or support relevant shareholder proposals. Our commentary on human capital management provides more information on our expectations.
Corporate political activities
Companies may engage in certain political activities, within legal and regulatory limits, in order to influence public policy consistent with the companies values and strategies. These activities can also create risks, including: the potential for allegations of corruption; reputational risk associated with a candidate, party, or issue; and risks that arise from the complex legal, regulatory, and compliance considerations associated with corporate political spending and lobbying
4 The global aspiration is reflective of aggregated efforts; companies in developed and emerging markets are not equally equipped to transition their business and reduce emissions at the same ratethose in developed markets with the largest market capitalization are better positioned to adapt their business models at an accelerated pace. Government policy and regional targets may be reflective of these realities.
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Proxy voting guidelines for U.S. securities | 14 |
activity. Companies that engage in political activities should develop and maintain robust processes to guide these activities and mitigate risks, including board oversight.
When presented with shareholder proposals requesting increased disclosure on corporate political activities, BlackRock will evaluate publicly available information to consider how a companys lobbying may impact the company. We will also evaluate whether there is alignment between a companys stated positions on policy matters material to its strategy and the positions taken by industry groups of which it is a member. We may decide to support a shareholder proposal requesting additional disclosure if we identify a material misalignment. Additional detail can be found in our commentary on political contributions and lobbying disclosures.
General corporate governance matters
Adjourn meeting to solicit additional votes
We generally support such proposals unless the agenda contains items that we judge to be detrimental to shareholders best long-term economic interests.
Bundled proposals
We believe that shareholders should have the opportunity to review substantial governance changes individually without having to accept bundled proposals. Where several measures are grouped into one proposal, BlackRock may reject certain positive changes when linked with proposals that generally contradict or impede the rights and economic interests of shareholders.
Exclusive forum provisions
BlackRock generally supports proposals to seek exclusive forum for certain shareholder litigation. In cases where a board unilaterally adopts exclusive forum provisions that we consider unfavorable to the interests of shareholders, we will vote against the independent chair or lead independent director and members of the nominating/governance committee.
Multi-jurisdictional companies
Where a company is listed on multiple exchanges or incorporated in a country different from its primary listing, we will seek to apply the most relevant market guideline(s) to our analysis of the companys governance structure and specific proposals on the shareholder meeting agenda. In doing so, we typically consider the governance standards of the companys primary listing, the market standards by which the company governs itself, and the market context of each specific proposal on the agenda. If the relevant standards are silent on the issue under consideration, we will use our professional judgment as to what voting outcome would best protect the long-term economic interests of investors. We expect companies to disclose the rationale for their selection of primary listing, country of incorporation, and choice of governance structures, particularly where there is conflict between relevant market governance practices.
Other business
We oppose giving companies our proxy to vote on matters where we are not given the opportunity to review and understand those measures and carry out an appropriate level of shareholder oversight.
Reincorporation
Proposals to reincorporate from one state or country to another are most frequently motivated by considerations of anti-takeover protections, legal advantages, and/or cost savings. We will evaluate, on a case-by-case basis, the economic and strategic rationale behind the companys proposal to reincorporate. In all instances, we will evaluate the changes to shareholder protections under the new charter/articles/bylaws to assess whether the move increases or decreases shareholder protections. Where we find that shareholder protections are diminished, we may support reincorporation if we determine that the overall benefits outweigh the diminished rights.
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IPO governance
We expect boards to consider and disclose how the corporate governance structures adopted upon initial public offering (IPO) are in shareholders best long-term interests. We also expect boards to conduct a regular review of corporate governance and control structures, such that boards might evolve foundational corporate governance structures as company circumstances change, without undue costs and disruption to shareholders. In our letter on unequal voting structures, we articulate our view that one vote for one share is the preferred structure for publicly-traded companies. We also recognize the potential benefits of dual class shares to newly public companies as they establish themselves; however, we believe that these structures should have a specific and limited duration. We will generally engage new companies on topics such as classified boards and supermajority vote provisions to amend bylaws, as we believe that such arrangements may not be in the best interest of shareholders in the long-term.
We will typically apply a one-year grace period for the application of certain director-related guidelines (including, but not limited to, responsibilities on other public company boards and board composition concerns), during which we expect boards to take steps to bring corporate governance standards in line with our expectations.
Further, if a company qualifies as an emerging growth company (an EGC) under the Jumpstart Our Business Startups Act of 2012 (the JOBS Act), we will give consideration to the NYSE and NASDAQ governance exemptions granted under the
JOBS Act for the duration such a company is categorized as an EGC. We expect an EGC to have a totally independent audit committee by the first anniversary of its IPO, with our standard approach to voting on auditors and audit-related issues applicable in full for an EGC on the first anniversary of its IPO.
Shareholder protections
Amendment to charter/articles/bylaws
We believe that shareholders should have the right to vote on key corporate governance matters, including changes to governance mechanisms and amendments to the charter/articles/bylaws. We may vote against certain directors where changes to governing documents are not put to a shareholder vote within a reasonable period of time, particularly if those changes have the potential to impact shareholder rights (see Director elections). In cases where a boards unilateral adoption of changes to the charter/articles/bylaws promotes cost and operational efficiency benefits for the company and its shareholders, we may support such action if it does not have a negative effect on shareholder rights or the companys corporate governance structure.
When voting on a management or shareholder proposal to make changes to the charter/articles/bylaws, we will consider in part the companys and/or proponents publicly stated rationale for the changes; the companys governance profile and history; relevant jurisdictional laws; and situational or contextual circumstances which may have motivated the proposed changes, among other factors. We will typically support amendments to the charter/articles/bylaws where the benefits to shareholders outweigh the costs of failing to make such changes.
Proxy access
We believe that long-term shareholders should have the opportunity, when necessary and under reasonable conditions, to nominate directors on the companys proxy card.
In our view, securing the right of shareholders to nominate directors without engaging in a control contest can enhance shareholders ability to meaningfully participate in the director election process, encourage board attention to shareholder interests, and provide shareholders an effective means of directing that attention where it is lacking. Proxy access mechanisms should provide shareholders with a reasonable opportunity to use this right without stipulating overly restrictive or onerous parameters for use, and also provide assurances that the mechanism will not be subject to abuse by short-term investors, investors without a substantial investment in the company, or investors seeking to take control of the board.
In general, we support market-standardized proxy access proposals, which allow a shareholder (or group of up to 20 shareholders) holding three percent of a companys outstanding shares for at least three years the right to nominate the
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greater of up to two directors or 20% of the board. Where a standardized proxy access provision exists, we will generally oppose shareholder proposals requesting outlier thresholds.
Right to act by written consent
In exceptional circumstances and with sufficiently broad support, shareholders should have the opportunity to raise issues of substantial importance without having to wait for management to schedule a meeting. We therefore believe that shareholders should have the right to solicit votes by written consent provided that: 1) there are reasonable requirements to initiate the consent solicitation process (in order to avoid the waste of corporate resources in addressing narrowly supported interests); and 2) shareholders receive a minimum of 50% of outstanding shares to effectuate the action by written consent. We may oppose shareholder proposals requesting the right to act by written consent in cases where the proposal is structured for the benefit of a dominant shareholder to the exclusion of others, or if the proposal is written to discourage the board from incorporating appropriate mechanisms to avoid the waste of corporate resources when establishing a right to act by written consent. Additionally, we may oppose shareholder proposals requesting the right to act by written consent if the company already provides a shareholder right to call a special meeting that we believe offers shareholders a reasonable opportunity to raise issues of substantial importance without having to wait for management to schedule a meeting.
Right to call a special meeting
In exceptional circumstances and with sufficiently broad support, shareholders should have the opportunity to raise issues of substantial importance without having to wait for management to schedule a meeting. Accordingly, shareholders should have the right to call a special meeting in cases where a reasonably high proportion of shareholders (typically a minimum of 15% but no higher than 25%) are required to agree to such a meeting before it is called. However, we may oppose this right in cases where the proposal is structured for the benefit of a dominant shareholder, or where a lower threshold may lead to an ineffective use of corporate resources. We generally believe that a right to act via written consent is not a sufficient alternative to the right to call a special meeting.
Simple majority voting
We generally favor a simple majority voting requirement to pass proposals. Therefore, we will support the reduction or the elimination of supermajority voting requirements to the extent that we determine shareholders ability to protect their economic interests is improved. Nonetheless, in situations where there is a substantial or dominant shareholder, supermajority voting may be protective of minority shareholder interests and we may support supermajority voting requirements in those situations.
Virtual meetings
Shareholders should have the opportunity to participate in the annual and special meetings for the companies in which they are invested, as these meetings facilitate an opportunity for shareholders to provide feedback and hear from the board and management. While these meetings have traditionally been conducted in-person, virtual meetings are an increasingly viable way for companies to utilize technology to facilitate shareholder accessibility, inclusiveness, and cost efficiencies. We expect shareholders to have a meaningful opportunity to participate in the meeting and interact with the board and management in these virtual settings; companies should facilitate open dialogue and allow shareholders to voice concerns and provide feedback without undue censorship.
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This document is provided for information purposes only and is subject to change. Reliance upon this information is at the sole discretion of the reader.
Prepared by BlackRock, Inc.
©2020 BlackRock, Inc. All rights reserved.
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