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: 811-21566
| Name of Fund: | | BlackRock Floating Rate Income Trust (BGT) |
| Fund Address: | | 100 Bellevue Parkway, Wilmington, DE 19809 |
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Floating Rate Income Trust, 55 East 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 12/31/2021
Date of reporting period: 12/31/2021
| Item 1 – | Report to Stockholders |
(a) The Report to Shareholders is attached herewith.
| | |
| | DECEMBER 31, 2021 |
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 Trust’s (BHK), BlackRock Corporate High Yield Fund, Inc.’s (HYT), BlackRock Credit Allocation Income Trust’s (BTZ) and BlackRock Floating Rate Income Trust’s (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 Trust’s 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, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Cumulative Distributions
for the Fiscal Period | | | % Breakdown of the Total Cumulative Distributions for the Fiscal Period | |
| Trust Name | | Net
Income | | | Net Realized
Capital Gains
Short-Term | | | Net Realized
Capital Gains
Long-Term | | | Return of
Capital (a) | | | Total Per
Common
Share | | | Net
Income | | | Net Realized
Capital Gains
Short-Term | | | Net Realized
Capital Gains
Long-Term | | | Return of
Capital | | | Total Per
Common
Share | |
BHK | | $ | 0.861791 | | | $ | 0.095795 | | | $ | 0.092614 | | | $ | — | | | $ | 1.050200 | | | | 82 | % | | | 9 | % | | | 9 | % | | | — | % | | | 100 | % |
HYT | | | 0.754032 | | | | — | | | | — | | | | 0.180768 | | | | 0.934800 | | | | 81 | | | | — | | | | — | | | | 19 | | | | 100 | |
BTZ | | | 0.865057 | | | | — | | | | — | | | | 0.141743 | | | | 1.006800 | | | | 86 | | | | — | | | | — | | | | 14 | | | | 100 | |
BGT | | | 0.651450 | | | | — | | | | — | | | | 0.124950 | | | | 0.776400 | | | | 84 | | | | — | | | | — | | | | 16 | | | | 100 | |
| | (a) | Each Trust estimates that it has distributed more than its net 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 shareholder’s investment in a Trust is returned to the shareholder. A return of capital does not necessarily reflect a Trust’s investment performance and should not be confused with “yield” or “income.” When distributions exceed total return performance, the difference will reduce a Trust’s 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
The Trusts, acting pursuant to a U.S. Securities and Exchange Commission (“SEC”) exemptive order and with the approval of each Trust’s 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, the Trusts currently distribute the following fixed amounts per share on a monthly basis:
| | | | |
| | |
| Exchange Symbol | | Amount Per
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 Trust’s Board. Under its Plan, each Trust will distribute all available net income to its shareholders as required by the Internal Revenue Code of 1986, as amended (the “Code”). If sufficient income (inclusive of net 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 Trust’s investment performance from the amount of these distributions or from the terms of the Plan. Each Trust’s total return performance is presented in its financial highlights table.
The Board may amend, suspend or terminate a Trust’s Plan at any time without prior notice to the Trust’s 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 Trust’s 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 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
The Markets in Review
Dear Shareholder,
The 12-month reporting period as of December 31, 2021 saw a continuation of the resurgent growth that followed the initial coronavirus (or “COVID-19”) pandemic reopening, albeit at a slower pace. The global economy weathered the emergence of several variant strains and the resulting peaks and troughs in infections amid optimism that increasing vaccinations and economic adaptation could help contain the pandemic’s disruptions. Continued growth meant that the U.S. economy regained and then surpassed its pre-pandemic output. However, a rapid rebound in consumer spending pushed up against supply constraints and led to elevated inflation.
Equity prices rose with the broader economy, as the implementation of mass vaccination campaigns and passage of an additional fiscal stimulus package and infrastructure bill further boosted stocks. In the United States, both large- and small-capitalization stocks posted a strong advance, and many equity indices neared or surpassed all-time highs late in the reporting period. International equities from developed markets also gained, although emerging market stocks declined, pressured by a strengthening U.S. dollar.
The 10-year U.S. Treasury yield (which is inversely related to bond prices) rose during the reporting period as the economy expanded rapidly and inflation reached its highest annualized reading in decades. In the corporate bond market, support from the U.S. Federal Reserve (the “Fed”) assuaged credit concerns and led to solid returns for high-yield corporate bonds, outpacing investment-grade corporate bonds, which declined.
The Fed maintained accommodative monetary policy during the reporting period by maintaining near-zero interest rates and by asserting that inflation could exceed its 2% target for a sustained period without triggering a rate increase. However, the Fed’s tone shifted late in the year, as it reduced its bond-buying program and used its market guidance to raise the prospect of higher rates in 2022.
Looking ahead, we believe that the global expansion will continue to broaden as Europe and other developed market economies gain momentum, although the Delta and Omicron variants of the coronavirus remain a threat, particularly in emerging markets. While we expect inflation to abate somewhat as supply bottlenecks are resolved, we anticipate that inflation will remain higher than the pre-COVID norm. The Fed is poised to raise interest rates next year in response, but the Fed’s policy shift means that tightening is likely to be less aggressive than what we’ve seen in previous cycles.
In this environment, we favor an overweight to equities, as we believe low interest rates and continued economic growth will support further gains, albeit likely more modest than what we saw in 2021. Sectors that are better poised to manage the transition to a lower-carbon world, such as technology and health care, are particularly attractive in the long term. U.S. and other developed-market equities have room for further growth, while we believe Chinese equities stand to gain from a more accommodative monetary and fiscal environment as the Chinese economy slows. We are underweight long-term credit, but inflation-protected U.S. Treasuries, Asian fixed income, and emerging market local-currency bonds offer potential 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 today’s markets.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
Rob Kapito
President, BlackRock Advisors, LLC
| | | | |
| Total Returns as of December 31, 2021 |
| | | 6-Month | | 12-Month |
| | |
U.S. large cap equities
(S&P 500® Index) | | 11.67% | | 28.71% |
| | |
U.S. small cap equities
(Russell 2000® Index) | | (2.31) | | 14.82 |
| | |
International equities
(MSCI Europe, Australasia, Far East Index) | | 2.24 | | 11.26 |
| | |
Emerging market equities (MSCI Emerging Markets Index) | | (9.30) | | (2.54) |
| | |
3-month Treasury bills
(ICE BofA 3-Month U.S. Treasury Bill Index) | | 0.02 | | 0.05 |
| | |
U.S. Treasury securities
(ICE BofA 10-Year U.S. Treasury Index) | | 0.44 | | (3.68) |
| | |
U.S. investment grade bonds
(Bloomberg U.S. Aggregate Bond Index) | | 0.06 | | (1.54) |
| | |
Tax-exempt municipal bonds
(S&P Municipal Bond Index) | | 0.52 | | 1.77 |
| | |
U.S. high yield bonds
(Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index) | | 1.59 | | 5.26 |
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 |
Table of Contents
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 Trust’s 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 Trust’s capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Trust’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Trust with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Trust’s financing cost of leverage is significantly lower than the income earned on a Trust’s longer-term investments acquired from such leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.
However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed a Trust’s 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 Trust’s 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 Trust’s intended leveraging strategy will be successful.
The use of leverage also generally causes greater changes in each Trust’s 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 Trust’s 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 Trust’s 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 Trust’s investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to each Trust’s 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. In addition, a Trust may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by the 1940 Act.
If a Trust segregates or designates on its books and records cash or liquid assets having a value not less than the value of a Trust’s 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 adviser’s 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.
| | |
THE BENEFITS AND RISKS OF LEVERAGING / DERIVATIVE FINANCIAL INSTRUMENTS | | 5 |
| | |
| Trust Summary as of December 31, 2021 | | BlackRock Core Bond Trust (BHK) |
Investment Objective
BlackRock Core Bond Trust’s (BHK) (the “Trust”) investment objective is to provide current income and capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 75% of its managed assets in bonds that are investment grade quality at the time of investment. Under normal market conditions, the Trust intends to invest its assets primarily in a diversified portfolio of investment grade bonds, which may include, but are not limited to, 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 Moody’s Investors Service, Inc. (“Moody’s”), 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 Trust’s 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, 2021 ($16.51)(a) | | 5.42% |
Current Monthly Distribution per Common Share(b) | | $0.0746 |
Current Annualized Distribution per Common Share(b) | | $0.8952 |
Leverage as of December 31, 2021(c) | | 33% |
| | (a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance is not an indication of future results. | |
| | (b) | The distribution rate is not constant and is subject to change. | |
| | (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
| | | | | | | | | | | | | | | | | | | | |
| | | 12/31/21 | | | 12/31/20 | | | Change | | | High | | | Low | |
Closing Market Price | | | $ 16.51 | | | | $ 16.30 | | | | 1.29% | | | | $ 17.22 | | | | $ 14.99 | |
Net Asset Value | | | 15.47 | | | | 16.45 | | | | (5.96) | | | | 16.45 | | | | 15.45 | |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
| | (a) | Represents the Trust’s closing market price on the NYSE and reflects the reinvestment of dividends and/or distributions at actual reinvestment prices. | |
| | (b) | Bloomberg U.S. Credit Index (formerly Bloomberg Barclays U.S. Credit Index), an index that measures the investment grade, US dollar-denominated ,fixed-rate, taxable corporate and government related bond markets. It is composed of the US Corporate Index and a non-corporate component that includes foreign agencies, sovereigns, supranationals and local authorities. | |
| | |
| 6 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Trust Summary as of December 31, 2021 (continued) | | BlackRock Core Bond Trust (BHK) |
Performance
Returns for the period ended December 31, 2021 were as follows:
| | | | | | | | | | | | |
| | | Average Annual Total Returns | |
| | | 1 Year | | | 5 Years | | | 10 Years | |
Trust at NAV(a)(b) | | | 0.50 | % | | | 7.88 | % | | | 7.41 | % |
Trust at Market Price(a)(b) | | | 8.25 | | | | 11.18 | | | | 8.61 | |
Bloomberg U.S. Credit Index | | | (1.08 | ) | | | 5.05 | | | | 4.45 | |
Reference Benchmark(c) | | | (0.56 | ) | | | 5.54 | | | | 4.86 | |
Bloomberg U.S. Long Government/Credit Index(d) | | | (2.52 | ) | | | 7.39 | | | | 5.72 | |
Bloomberg Intermediate Credit Index(e) | | | (1.03 | ) | | | 3.77 | | | | 3.53 | |
Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index(f) | | | 5.26 | | | | 6.28 | | | | 6.82 | |
Bloomberg CMBS, Eligible for U.S. Aggregate Index(g) | | | (1.16 | ) | | | 3.80 | | | | 3.68 | |
Bloomberg MBS Index(h) | | | (1.04 | ) | | | 2.50 | | | | 2.28 | |
Bloomberg ABS Index(i) | | | (0.34 | ) | | | 2.39 | | | | 2.04 | |
| | (a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage. | |
| | (b) | The Trust moved from a discount to NAV to a premium 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 U.S. Long Government/Credit Index (40%); Bloomberg Intermediate Credit Index (24%); Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (16%); Bloomberg CMBS, Eligible for U.S. Aggregate Index (8%); Bloomberg MBS Index (8%); and Bloomberg ABS Index (4%). The Reference Benchmark’s index content and weightings may have varied over past periods. | |
| | (d) | Bloomberg U.S. Long Government/Credit Index (formerly Bloomberg Barclays U.S. Long Government/Credit Index), this unmanaged index is the long component of the Bloomberg U.S. Government/Credit Index. It 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) | Bloomberg Intermediate Credit Index (formerly Bloomberg Barclays Intermediate Credit Index), this unmanaged index is the intermediate component of the Bloomberg U.S. Credit Index. The Bloomberg 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) | Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (formerly Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index), an unmanaged index comprised of issues 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) | Bloomberg CMBS, Eligible for U.S. Aggregate Index (formerly Bloomberg Barclays CMBS, Eligible for U.S. Aggregate Index), this unmanaged index is the CMBS component of the Bloomberg U.S. Aggregate Index. | |
| | (h) | Bloomberg MBS Index (formerly Bloomberg Barclays MBS Index), this unmanaged index is a market value-weighted index, which covers the mortgage-backed securities component of the Bloomberg U.S. Aggregate Bond Index. It 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) | Bloomberg ABS Index (formerly Bloomberg Barclays ABS Index), an unmanaged index that is the asset-backed securities component of the Bloomberg 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 an indication of future results.
The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.
More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.
The following discussion relates to the Trust’s absolute performance based on NAV:
What factors influenced performance?
Positive contributions to the Trust’s absolute performance over the period came from its allocations to U.S. high yield and investment grade corporate credit, as well as to securitized assets including commercial mortgage-backed securities (“CMBS”) and asset-backed securities (“ABS”). The use of derivatives (primarily interest rate swaps) and non-U.S. dollar exposures also contributed positively.
The Trust’s exposure to emerging market debt, U.S. Treasuries, agency collateralized mortgage obligations (“CMOs”), 30-year pass-through mortgage-backed securities (“MBS”) and U.S. agency issues detracted from performance.
Derivatives are utilized by the Trust in order to hedge and/or take outright views on interest rates, credit risk and/or foreign exchange positions in the portfolio. During the period, the Trust’s use of derivatives contributed to performance.
The Trust’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Trust’s investment strategy. The distribution policy did not result in return of capital for the period. Refer to the financial highlights and income tax information sections in this report for further information about the distributions.
Describe recent portfolio activity.
Over the reporting period, the Trust increased exposure to U.S. Treasuries, 30-year MBS, non-agency adjustable-rate MBS, emerging market debt and high yield corporate credit. Exposure to non-U.S. dollar currencies, cash and municipal bonds was trimmed.
| | |
| Trust Summary as of December 31, 2021 (continued) | | BlackRock Core Bond Trust (BHK) |
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 pass-through MBS, agency CMOs and U.S. agency securities.
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 Trust’s Total Investments
PORTFOLIO ALLOCATION
| | | | | | | | |
| Asset Type(a) | | 12/31/21 | | | 12/31/20 | |
Corporate Bonds | | | 42 | % | | | 48 | % |
U.S. Treasury Obligations | | | 23 | | | | 22 | |
U.S. Government Sponsored Agency Securities | | | 16 | | | | 9 | |
Asset-Backed Securities | | | 5 | | | | 6 | |
Preferred Securities | | | 4 | | | | 4 | |
Non-Agency Mortgage-Backed Securities | | | 4 | | | | 4 | |
Foreign Agency Obligations | | | 2 | | | | 3 | |
Floating Rate Loan Interests | | | 2 | | | | 2 | |
Municipal Bonds | | | 2 | | | | 2 | |
Other* | | | — | (b) | | | — | (b) |
CREDIT QUALITY ALLOCATION
| | | | | | | | |
| Credit Rating(a)(c) | | 12/31/21 | | | 12/31/20 | |
AAA/Aaa(d) | | | 40 | % | | | 6 | % |
AA/Aa | | | 3 | | | | 31 | |
A | | | 9 | | | | 12 | |
BBB/Baa | | | 22 | | | | 25 | |
BB/Ba | | | 11 | | | | 11 | |
B | | | 8 | | | | 9 | |
CCC/Caa | | | 3 | | | | 3 | |
CC | | | — | (b) | | | 1 | |
C | | | — | (b) | | | — | |
D | | | — | | | | — | (b) |
N/R(e) | | | 4 | | | | 2 | |
| (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 Moody’s 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. |
| (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, 2021, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1% of the Trust’s total investments. |
| * | Includes one or more investment categories that individually represents less than 1% of the Trust’s total investments. Please refer to the Schedule of Investments for details. |
| | |
| 8 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Trust Summary as of December 31, 2021 | | 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 Trust’s secondary investment objective is to provide shareholders with capital appreciation. The Trust seeks to achieve its objectives by investing primarily in a diversified portfolio of fixed income securities which are rated 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 Trust’s 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, 2021 ($12.34)(a) | | 7.58% |
Current Monthly Distribution per Common Share(b) | | $0.0779 |
Current Annualized Distribution per Common Share(b) | | $0.9348 |
Leverage as of December 31, 2021(c) | | 31% |
| | (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 is not an indication of 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
| | | | | | | | | | | | | | | | | | | | |
| | | 12/31/21 | | | 12/31/20 | | | Change | | | High | | | Low | |
Closing Market Price | | $ | 12.34 | | | $ | 11.43 | | | | 7.96 | % | | $ | 12.65 | | | $ | 11.07 | |
Net Asset Value | | | 11.99 | | | | 11.95 | | | | 0.33 | | | | 12.35 | | | | 11.81 | |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
| | (a) | Represents the Trust’s closing market price on the NYSE and reflects the reinvestment of dividends and/or distributions at actual reinvestment prices. | |
| | (b) | Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (formerly Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index), an unmanaged index comprised of issues 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. | |
| | |
| Trust Summary as of December 31, 2021 (continued) | | BlackRock Corporate High Yield Fund, Inc. (HYT) |
Performance
Returns for the period ended December 31, 2021 were as follows:
| | | | | | | | | | | | | | | | |
| | | | | | Average Annual Total Returns | |
| | | | | | 1 Year | | | 5 Years | | | 10 Years | |
Trust at NAV(a)(b) | | | | | | | 8.42 | % | | | 8.74 | % | | | 9.50 | % |
Trust at Market Price(a)(b) | | | | | | | 16.66 | | | | 11.32 | | | | 9.75 | |
Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index | | | | | | | 5.26 | | | | 6.28 | | | | 6.82 | |
| | (a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage. | |
| | (b) | The Trust moved from a discount to NAV to a premium during the period, which accounts for the difference between performance based on market price and performance based on NAV. | |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.
The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.
More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.
The following discussion relates to the Trust’s absolute performance based on NAV:
What factors influenced performance?
High-yield bonds delivered positive returns and outpaced the investment-grade bond market over the 12 months. The gains were driven by the combination of a strong economic recovery, rising oil prices, and continued support from fiscal and monetary policy. Together, these factors helped fuel investors’ appetite for both risk and yield.
From a sector perspective, independent energy, technology and midstream energy were the largest absolute contributors over the period. By credit rating, B and BB rated debt holdings were the largest contributors to return over the period. From an asset allocation perspective, exposure to high yield bonds and a tactical allocation to equities were the most meaningful contributors, while bank loan holdings were also additive.
The Trust’s allocations to the railroads, energy refiner and office real estate investment trust sectors marginally detracted from performance. From an asset allocation perspective, exposure to collateralized loan obligations was a minor detractor.
The Trust’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Trust’s investment strategy. The distribution policy resulted in return of capital for the period. Refer to the financial highlights and income tax information sections in this report for further information about the distributions.
Describe recent portfolio activity.
While key positioning themes have remained broadly consistent, the Trust tactically navigated sector- and issuer-level positioning to take advantage of market opportunities. The Trust decreased exposure to investment grade corporate bonds during the year, while continuing to utilize liquid high yield products such as total return swaps and credit default swap indices. The Trust increased its allocation to floating rate loan interests (“bank loans”). In sector terms, the Trust increased its allocation to the technology, retail and airline sectors, while reduced exposure to the banking, aerospace/defense and automotive sectors. More broadly, the Trust has modestly emphasized COVID-19-sensitive “reopening sectors” including transportation, leisure, lodging and gaming.
Describe portfolio positioning at period end.
The Trust was underweight in BB rated issues and overweight in select CCCs. With that said, it maintained an underweight in the highest-yielding portion of the market with the largest concentration of distressed assets. The Trust also continued to hold a tactical allocation of about 20% to bank loans, which offer attractive value versus high-yield bonds. These senior, secured assets experienced a recovery similar to high yield, but yield spreads remain wide versus historical levels. The top sector overweight positions included technology, cable/satellite and insurance, while media & entertainment, finance companies and retailers were the largest underweights. The Trust also held an out-of-benchmark allocation to equities of approximately 4%.
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 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Trust Summary as of December 31, 2021 (continued) | | BlackRock Corporate High Yield Fund, Inc. (HYT) |
Overview of the Trust’s Total Investments
PORTFOLIO ALLOCATION
| | | | | | | | |
| Asset Type(a) | | 12/31/21 | | | 12/31/20 | |
Corporate Bonds | | | 81 | % | | | 85 | % |
Floating Rate Loan Interests | | | 14 | | | | 9 | |
Common Stocks | | | 3 | | | | 1 | |
Preferred Securities | | | 2 | | | | 4 | |
Investment Companies | | | — | | | | 1 | |
Other* | | | — | (b) | | | — | (b) |
CREDIT QUALITY ALLOCATION
| | | | | | | | |
| Credit Rating(a)(c) | | 12/31/21 | | | 12/31/20 | |
A | | | — | %(b) | | | — | % |
BBB/Baa | | | 6 | | | | 12 | |
BB/Ba | | | 39 | | | | 37 | |
B | | | 38 | | | | 36 | |
CCC/Caa | | | 12 | | | | 12 | |
CC | | | — | (b) | | | — | |
N/R | | | 5 | | | | 3 | |
| (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 Moody’s 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. |
| * | Includes one or more investment categories that individually represents less than 1% of the Trust’s total investments. Please refer to the Consolidated Schedule of Investments for details. |
| | |
| Trust Summary as of December 31, 2021 | | BlackRock Credit Allocation Income Trust (BTZ) |
Investment Objective
BlackRock Credit Allocation Income Trust’s (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 Trust’s 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, 2021 ($15.05)(a) | | 6.69% |
Current Monthly Distribution per Common Share(b) | | $0.0839 |
Current Annualized Distribution per Common Share(b) | | $1.0068 |
Leverage as of December 31, 2021(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 is not an indication of 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
| | | | | | | | | | | | | | | | | | | | |
| | | 12/31/21 | | | 12/31/20 | | | Change | | | High | | | Low | |
Closing Market Price | | $ | 15.05 | | | $ | 14.71 | | | | 2.31 | % | | $ | 15.93 | | | $ | 14.05 | |
Net Asset Value | | | 15.10 | | | | 15.71 | | | | (3.88 | ) | | | 15.79 | | | | 15.06 | |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
| | (a) | Represents the Trust’s closing market price on the NYSE and reflects the reinvestment of dividends and/or distributions at actual reinvestment prices. | |
| | (b) | Bloomberg U.S. Credit Index (formerly Bloomberg Barclays U.S. Credit Index), an index that measures the investment grade, US dollar-denominated, fixed-rate, taxable corporate and government related bond markets. It is composed of the US Corporate Index and a non-corporate component that includes foreign agencies, sovereigns, supranationals and local authorities. | |
| | |
| 12 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Trust Summary as of December 31, 2021 (continued) | | BlackRock Credit Allocation Income Trust (BTZ) |
Performance
Returns for the period ended December 31, 2021 were as follows:
| | | | | | | | | | | | | | | | |
| | | | | | Average Annual Total Returns | |
| | | | | | 1 Year | | | 5 Years | | | 10 Years | |
Trust at NAV(a)(b) | | | | | | | 2.73 | % | | | 8.11 | % | | | 8.22 | % |
Trust at Market Price(a)(b) | | | | | | | 9.36 | | | | 10.09 | | | | 9.48 | |
Reference Benchmark(c) | | | | | | | 1.05 | | | | 5.69 | | | | 5.68 | |
Bloomberg U.S. Credit Index | | | | | | | (1.08 | ) | | | 5.05 | | | | 4.45 | |
Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index(d) | | | | | | | 5.26 | | | | 6.28 | | | | 6.82 | |
Bloomberg USD Capital Securities Index(e) | | | | | | | 0.19 | | | | 6.27 | | | | 7.02 | |
| | (a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage. | |
| | (b) | The Trust’s 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 U.S. Credit Index (50.36%), the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (29.93%), and the Bloomberg USD Capital Securities Index (19.71%). | |
| | (d) | Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (formerly Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index), an unmanaged index comprised of issues 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. | |
| | (e) | Bloomberg USD Capital Securities Index (formerly Bloomberg Barclays USD Capital Securities Index), an unmanaged index that 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 an indication of future results.
The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.
More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.
The following discussion relates to the Trust’s absolute performance based on NAV:
What factors influenced performance?
Positive contributors to the Trust’s performance were led by exposure to certain sectors of global credit markets as spreads tightened modestly throughout the year. In particular, exposure to U.S. high yield and investment grade corporate bonds, preferred securities and European high yield corporates contributed to performance.
Detractors from performance were limited for the period to exposure to Asian credit. Most notably, the Chinese property sector experienced significant volatility surrounding structural reform as the People’s Bank of China made a broad regulatory push.
In addition to employing leverage, the Trust uses derivatives as part of its investment strategy, including forward contracts to hedge 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 period had a positive impact on performance, particularly through the use of equity options and future contracts.
The Trust’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Trust’s investment strategy. The distribution policy resulted in return of capital for the period. Refer to the financial highlights and income tax information sections in this report for further information about the distributions.
Describe recent portfolio activity.
Over the period, the Trust reduced exposure to U.S. investment grade corporate bonds and collateralized loan obligations (“CLOs”), while increasing exposure to U.S. high yield corporates and Asian credit. The Trust’s use of leverage was reduced slightly over the period.
Describe portfolio positioning at period end.
At period end, the Trust was positioned for a stable but slowing growth backdrop that should remain supportive of corporate credit markets. In this vein, the Trust maintained core allocations to U.S. high yield and investment grade corporate bonds, with smaller tactical exposures 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.
| | |
| Trust Summary as of December 31, 2021 (continued) | | BlackRock Credit Allocation Income Trust (BTZ) |
Overview of the Trust’s Total Investments
PORTFOLIO ALLOCATION
| | | | | | | | |
| | | |
| Asset Type(a) | | 12/31/21 | | | 12/31/20 | |
| | |
Corporate Bonds | | | 82 | % | | | 79 | % |
Preferred Securities | | | 12 | | | | 14 | |
Asset-Backed Securities | | | 4 | | | | 5 | |
Foreign Agency Obligations | | | 1 | | | | 1 | |
Municipal Bonds | | | 1 | | | | 1 | |
Other* | | | — | (b) | | | — | (b) |
CREDIT QUALITY ALLOCATION
| | | | | | | | |
| | | |
| Credit Rating(a)(c) | | 12/31/21 | | | 12/31/20 | |
| | |
AAA/Aaa | | | — | %(b) | | | 1 | % |
AA/Aa | | | 2 | | | | 2 | |
A | | | 10 | | | | 10 | |
BBB/Baa | | | 47 | | | | 50 | |
BB/Ba | | | 23 | | | | 23 | |
B | | | 13 | | | | 11 | |
CCC/Caa | | | 4 | | | | 3 | |
C | | | — | (b) | | | — | |
N/R | | | 1 | (d) | | | — | (b) |
| (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 Moody’s 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 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, 2021, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1% of the Trust’s total investments. |
| * | Includes one or more investment categories that individually represents less than 1% of the Trust’s total investments. Please refer to the Schedule of Investments for details. |
| | |
| 14 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Trust Summary as of December 31, 2021 | | BlackRock Floating Rate Income Trust (BGT) |
Investment Objective
BlackRock Floating Rate Income Trust’s (BGT) (the “Trust”) primary investment objective is to provide a high level of current income. The Trust’s 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 global floating and variable rate securities including 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 Trust’s 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, 2021 ($13.99)(a) | | 5.55% |
Current Monthly Distribution per Common Share(b) | | $0.0647 |
Current Annualized Distribution per Common Share(b) | | $0.7764 |
Leverage as of December 31, 2021(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 is not an indication of 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
| | | | | | | | | | | | | | | | | | | | |
| | | 12/31/21 | | | 12/31/20 | | | Change | | | High | | | Low | |
Closing Market Price | | $ | 13.99 | | | $ | 11.79 | | | | 18.66 | % | | $ | 14.51 | | | $ | 11.73 | |
Net Asset Value | | | 13.44 | | | | 13.40 | | | | 0.30 | | | | 13.65 | | | | 13.40 | |
TOTAL RETURN BASED ON A $10,000 INVESTMENT
| | (a) | Represents the Trust’s closing market price on the NYSE and reflects the reinvestment of dividends and/or distributions at actual reinvestment prices. | |
| | (b) | An unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments. | |
| | |
T R U S T S U M M A R Y | | 15 |
| | |
| Trust Summary as of December 31, 2021 (continued) | | BlackRock Floating Rate Income Trust (BGT) |
Performance
Returns for the period ended December 31, 2021 were as follows:
| | | | | | | | | | | | |
| | | Average Annual Total Returns | |
| | | 1 Year | | | 5 Years | | | 10 Years | |
Trust at NAV(a)(b) | | | 6.43 | % | | | 4.91 | % | | | 6.36 | % |
Trust at Market Price(a)(b) | | | 25.91 | | | | 6.29 | | | | 6.85 | |
S&P/LSTA Leveraged Loan Index | | | 5.20 | | | | 4.27 | | | | 4.69 | |
| | (a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage. | |
| | (b) | The Trust moved from a discount to NAV to a premium during the period, which accounts for the difference between performance based on market price and performance based on NAV. | |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.
The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.
More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.
The following discussion relates to the Trust’s absolute performance based on NAV:
What factors influenced performance?
Floating rate loan interests (“bank loans”) delivered positive returns and outpaced the broader U.S. fixed-income market in 2021. The category benefited from the acceleration in economic growth and corporate earnings, which led to an improvement in credit conditions. In addition, floating rate assets experienced rising investor demand due to the Fed’s shift toward tighter monetary policy.
From an asset allocation perspective, the Trust’s core exposure to bank loans and tactical allocations to high yield bonds, equities and investment-grade corporates contributed to performance. From a sector perspective, the largest contributors included technology, health care and consumer cyclical services. With respect to credit tiers, the Trust’s positions in B rated debt made the largest contribution to absolute returns, followed by CCCs and BBs.
The Trust’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Trust’s investment strategy. The distribution policy resulted in return of capital for the period. Refer to the financial highlights and income tax information sections in this report for further information about the distributions.
Describe recent portfolio activity.
The investment adviser marginally reduced the Trust’s allocation to investment-grade bonds in favor of bank loans due to supportive supply-and-demand conditions and attractive relative values. The investment adviser’s credit rating views remained consistent over the year, with a focus on avoiding the more volatile, stressed CCC category. The investment adviser tactically managed the Trust’s 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 of the portfolio primarily invested in high yield bonds. By credit rating, B rated loans were the Trust’s largest position, and it had a much smaller weightings 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 adviser’s core sector views stayed largely intact. Some of the Trust’s top sector positions were technology companies, particularly in the enterprise software area. Health care, consumer cyclical services and building materials were also areas where the investment adviser identified compelling risk-reward opportunities. It maintained a lower allocation to energy and the consumer cyclical sectors on the belief that these market segments continued to face significant headwinds.
The Trust had a bias toward larger loan tranches of $1 billion and above. The investment adviser maintained a preference for loan/bond capital structures over the loan-only segment. The securities that the Trust did own in the latter category were typically transaction of $1 billion or more. 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 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Trust Summary as of December 31, 2021 (continued) | | BlackRock Floating Rate Income Trust (BGT) |
Overview of the Trust’s Total Investments
PORTFOLIO ALLOCATION
| | | | | | | | |
| Asset Type(a) | | 12/31/21 | | | 12/31/20 | |
Floating Rate Loan Interests | | | 99 | % | | | 93 | % |
Corporate Bonds | | | 1 | | | | 5 | |
Investment Companies | |
| —
| (b)
| | | 2 | |
Other* | | | — | (b) | |
| —
| (b)
|
CREDIT QUALITY ALLOCATION
| | | | | | | | |
| Credit Rating(a)(c) | | 12/31/21 | | | 12/31/20 | |
AAA/Aaa | | | — | %(b) | | | — | % |
AA/Aa | | | — | (b) | | | — | |
A | | | — | (b) | | | — | |
BBB/Baa | | | 4 | | | | 6 | |
BB/Ba | | | 23 | | | | 19 | |
B | | | 64 | | | | 67 | |
CCC/Caa | | | 7 | | | | 6 | |
N/R | | | 2 | | | | 2 | (d) |
| (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 Moody’s 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 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 Trust’s total investments. |
| * | Includes one or more investment categories that individually represents less than 1% of the Trust’s total investments. Please refer to the Schedule of Investments for details. |
| | |
Schedule of Investments December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities | |
522 Funding CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 2019-4A, Class CR, (3 mo. LIBOR US + 2.40%), 2.53%, 04/20/30 | | | USD | | | | 500 | | | $ | 499,048 | |
Series 2019-4A, Class DR, (3 mo. LIBOR US + 3.65%), 3.78%, 04/20/30 | | | | | | | 600 | | | | 600,236 | |
AGL CLO Ltd., Series 2020-3A, Class D, (3 mo. LIBOR US + 3.30%), 3.42%, 01/15/33(a)(b) | | | | | | | 250 | | | | 250,014 | |
Anchorage Capital CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.65%), 1.77%, 10/13/30 | | | | | | | 380 | | | | 379,549 | |
Series 2013-1A, Class CR, (3 mo. LIBOR US + 3.20%), 3.32%, 10/13/30 | | | | | | | 720 | | | | 720,076 | |
Apidos CLO XXII, 2015-22A, (3 mo. LIBOR US + 2.95%), 3.08%, 04/20/31(a)(b) | | | | | | | 250 | | | | 249,268 | |
ASSURANT CLO I Ltd., Series 2017-1A, Class CR, (3 mo. LIBOR US + 2.15%), 2.28%, 10/20/34(a)(b) | | | | | | | 500 | | | | 499,999 | |
Bain Capital Credit CLO Ltd., Series 2021-3A, Class D, (3 mo. LIBOR US + 3.10%), 3.29%, 07/24/34(a)(b) | | | | | | | 250 | | | | 249,990 | |
Ballyrock CLO Ltd., Series 2016-1A, Class DR2, (3 mo. LIBOR US + 3.15%), 3.27%, 10/15/28(a)(b) | | | | | | | 250 | | | | 250,024 | |
Beechwood Park CLO Ltd., Series 2019-1A, Class B2A, (3 mo. LIBOR US + 1.75%), 1.87%, 01/17/33(a)(b) | | | | | | | 500 | | | | 500,091 | |
Birch Grove CLO, Series 2021-3A, Class D1,
(1 mo. LIBOR US + 3.20%), 3.29%, 01/19/35(a)(b) | | | | | | | 250 | | | | 250,014 | |
Birch Grove CLO Ltd., Series 19A, Class DR,
(3 mo. LIBOR US + 3.35%), 3.55%, 06/15/31(a)(b) | | | | | | | 1,000 | | | | 999,989 | |
Buttermilk Park CLO Ltd., (3 mo. LIBOR US + 3.10%), 3.22%, 10/15/31(a)(b) | | | | | | | 250 | | | | 250,019 | |
Canyon Capital CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 2016-1A, Class CR, (3 mo. LIBOR US + 1.90%), 2.02%, 07/15/31 | | | | | | | 250 | | | | 249,347 | |
Series 2021-2A, Class D, (3 mo. LIBOR US + 3.35%), 3.47%, 04/15/34 | | | | | | | 500 | | | | 500,343 | |
Carlyle Global Market Strategies CLO 2015-3 Ltd., Series 2015-3A, Class CR, (3 mo. LIBOR US + 2.85%), 2.99%, 07/28/28(a)(b) | | | | | | | 1,000 | | | | 990,351 | |
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class CR, (3 mo. LIBOR US + 3.35%), 3.51%, 08/14/30(a)(b) | | | | | | | 1,000 | | | | 1,000,079 | |
CarVal CLO II Ltd., Series 2019-1A, Class DR,
(3 mo. LIBOR US + 3.20%), 3.33%, 04/20/32(a)(b) | | | | | | | 500 | | | | 497,516 | |
CarVal CLO III Ltd., Series 2019-2A, Class E,
(3 mo. LIBOR US + 6.44%), 6.57%, 07/20/32(a)(b) | | | | | | | 500 | | | | 490,308 | |
CarVal CLO Ltd., Series 2018-1A, Class E,
(3 mo. LIBOR US + 5.77%), 5.89%, 07/16/31(a)(b) | | | | | | | 500 | | | | 485,169 | |
CarVal CLO VC Ltd., (3 mo. LIBOR US + 3.25%), 3.41%, 10/15/34(a)(b) | | | | | | | 250 | | | | 250,000 | |
CBAM Ltd., Series 2017-1A, Class C, (3 mo. LIBOR US + 2.40%), 2.53%, 07/20/30(a)(b) | | | | | | | 350 | | | | 350,116 | |
CIFC Funding Ltd.(a)(b) | | | | | | | | | | | | |
Series 2014-2RA, Class B1, (3 mo. LIBOR US + 2.80%), 2.92%, 04/24/30 | | | | | | | 750 | | | | 742,736 | |
Series 2014-3A, Class BR2, (3 mo. LIBOR US + 1.80%), 1.93%, 10/22/31 | | | | | | | 250 | | | | 250,011 | |
Series 2015-1A, Class ARR, (3 mo. LIBOR US + 1.11%), 1.24%, 01/22/31 | | | | | | | 1,000 | | | | 999,738 | |
Series 2020-1A, Class DR, (3 mo. LIBOR US + 3.10%), 3.22%, 07/15/36 | | | | | | | 500 | | | | 494,136 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Asset-Backed Securities (continued) | |
Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A, 2.01%, 02/15/29(b) | | | USD | | | | 2,000 | | | $ | 2,015,811 | |
CWHEQ Revolving Home Equity Loan Trust, Series 2006-I, Class 1A, (1 mo. LIBOR US + 0.14%), 0.25%, 01/15/37(a) | | | | | | | 1,546 | | | | 1,481,521 | |
Dryden 50 Senior Loan Fund, Series 2017-50A,
Class B, (3 mo. LIBOR US + 1.65%), 1.77%,
07/15/30(a)(b) | | | | | | | 250 | | | | 249,815 | |
Dryden 64 CLO Ltd., Series 2018-64A, Class D,
(3 mo. LIBOR US + 2.65%), 2.77%,
04/18/31(a)(b) | | | | | | | 1,250 | | | | 1,224,620 | |
Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class B1LR, (3 mo. LIBOR US + 3.15%), 3.31%, 08/15/30(a)(b) | | | | | | | 1,000 | | | | 1,000,305 | |
Eaton Vance Clo Ltd., Series 2015-1A, Class A2R, (3 mo. LIBOR US + 1.25%), 1.38%, 01/20/30(a)(b) | | | | | | | 1,000 | | | | 999,621 | |
EDvestinU Private Education Loan Issue No 3 LLC, Series 2021-A, Class B, 3.50%, 11/25/50(b) | | | | | | | 110 | | | | 111,629 | |
Elmwood CLO V Ltd., Series 2020-2A, Class CR,
(3 mo. LIBOR US + 2.00%), 2.13%,
10/20/34(a)(b) | | | | | | | 436 | | | | 432,583 | |
Fairstone Financial Issuance Trust I, Series 2020- 1A, Class C, 5.16%, 10/20/39(b) | | | CAD | | | | 170 | | | | 137,361 | |
Galaxy XX CLO Ltd., Series 2015-20A, Class CR, (3 mo. LIBOR US + 1.75%), 1.88%, 04/20/31(a)(b) | | | USD | | | | 250 | | | | 248,130 | |
Generate CLO 6 Ltd., Series 6A, Class DR, (3 mo. LIBOR US + 3.50%), 3.75%, 01/22/35(a)(b) | | | | | | | 750 | | | | 750,000 | |
Goldentree Loan Management US Clo 3 Ltd., Series 2018-3A, Class B1, (3 mo. LIBOR US + 1.55%), 1.68%, 04/20/30(a)(b) | | | | | | | 250 | | | | 249,418 | |
GoldenTree Loan Opportunities IX Ltd., Series 2014- 9A, Class BR2, (3 mo. LIBOR US + 1.60%), 1.73%, 10/29/29(a)(b) | | | | | | | 1,500 | | | | 1,499,994 | |
Grippen Park CLO Ltd., Series 2017-1A, Class D,
(3 mo. LIBOR US + 3.30%), 3.43%,
01/20/30(a)(b) | | | | | | | 250 | | | | 250,228 | |
Highbridge Loan Management, Series 3A-2014, Class CR, (3 mo. LIBOR US + 3.60%), 3.72%, 07/18/29(a)(b) | | | | | | | 1,000 | | | | 987,753 | |
Kayne CLO III Ltd., Series 2019-3A, Class DR, (3 mo. LIBOR US + 2.75%), 2.87%, 04/15/32(a)(b) | | | | | | | 400 | | | | 399,997 | |
Lending Funding Trust, Series 2020-2A, Class C, 4.30%, 04/21/31(b) | | | | | | | 240 | | | | 254,401 | |
Litigation Fee Residual Funding Trust, 4.00%, 10/30/27(c) | | | | | | | 1,308 | | | | 1,283,038 | |
Long Beach Mortgage Loan Trust, Series 2006-8, Class 2A4, (1 mo. LIBOR US + 0.48%), 0.58%, 09/25/36(a) | | | | | | | 6,465 | | | | 2,479,913 | |
Madison Park Funding X Ltd., Series 2012-10A, Class ER2, (3 mo. LIBOR US + 6.40%), 6.53%, 01/20/29(a)(b) | | | | | | | 250 | | | | 247,983 | |
Madison Park Funding XXIII Ltd., Series 2017-23A, Class CR, (3 mo. LIBOR US + 2.00%), 2.13%, 07/27/31(a)(b) | | | | | | | 600 | | | | 597,217 | |
Madison Park Funding XXV Ltd., Series 2017-25A, Class A2R, (3 mo. LIBOR US + 1.65%), 1.77%, 04/25/29(a)(b) | | | | | | | 250 | | | | 249,526 | |
Madison Park Funding XXXVIII Ltd., Series 2021- 38A, Class C, (3 mo. LIBOR US + 1.90%), 2.03%, 07/17/34(a)(b) | | | | | | | 250 | | | | 249,386 | |
Marble Point CLO XVII Ltd., Series 2020-1A, Class D, (3 mo. LIBOR US + 3.75%), 3.88%, 04/20/33(a)(b) | | | | | | | 250 | | | | 250,236 | |
| | |
| 18 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Marble Point CLO XXIII Ltd., Series 2021-4A, Class D1, (3 mo. LIBOR US + 3.65%), 3.74%, 01/22/35(a)(b) | | | USD | | | | 250 | | | $ | 250,000 | |
Mariner Finance Issuance Trust(b) | | | | | | | | | | | | |
Series 2021-AA, Class C, 2.96%, 03/20/36 | | | | | | | 190 | | | | 189,600 | |
Series 2021-AA, Class D, 3.83%, 03/20/36 | | | | | | | 180 | | | | 182,065 | |
Navient Private Education Refi Loan Trust(b)(c) | | | | | | | | | | | | |
Series 2021-DA, Class C, 3.48%, 04/15/60 | | | | | | | 770 | | | | 766,905 | |
Series 2021-DA, Class D, 4.00%, 04/15/60 | | | | | | | 440 | | | | 424,975 | |
Nelnet Student Loan Trust(b) | | | | | | | | | | | | |
Series 2021-A, Class D, 4.93%, 04/20/62 | | | | | | | 460 | | | | 472,518 | |
Series 2021-BA, Class B, 2.68%, 04/20/62 | | | | | | | 1,983 | | | | 1,974,025 | |
Neuberger Berman CLO XXII Ltd., Series 2016-22A, Class BR, (3 mo. LIBOR US + 1.65%), 1.77%, 10/17/30(a)(b) | | | | | | | 250 | | | | 249,999 | |
Neuberger Berman Loan Advisers CLO 37 Ltd., Series 2020-37A, Class CR, (3 mo. LIBOR US + 1.80%), 1.93%, 07/20/31(a)(b) | | | | | | | 1,162 | | | | 1,159,261 | |
OCP CLO 2017-13 Ltd., Series 2017-13A, Class A1AR, (3 mo. LIBOR US + 0.96%),
1.08%, 07/15/30(a)(b) | | | | | | | 1,000 | | | | 1,000,312 | |
OCP CLO Ltd., Series 2015-9A, Class BR,
(3 mo. LIBOR US + 1.75%), 1.87%, 07/15/27(a)(b) | | | | | | | 250 | | | | 249,744 | |
Octagon 54 Ltd., Series 2021-1A, Class D,
(3 mo. LIBOR US + 3.05%), 3.18%, 07/15/34(a)(b) | | | | | | | 250 | | | | 250,099 | |
Octagon Investment Partners XXII Ltd., Series 2014- 1A, Class DRR, (3 mo. LIBOR US + 2.75%), 2.88%, 01/22/30(a)(b) | | | | | | | 500 | | | | 495,000 | |
OneMain Financial Issuance Trust, Series 2020-1A, Class A, 3.84%, 05/14/32(b) | | | | | | | 2,000 | | | | 2,045,215 | |
OZLM VIII Ltd., Series 2014-8A, Class CRR,
(3 mo. LIBOR US + 3.15%), 3.27%, 10/17/29(a)(b) | | | | | | | 875 | | | | 870,750 | |
OZLM XXI Ltd., Series 2017-21A, Class C,
(3 mo. LIBOR US + 2.67%), 2.80%, 01/20/31(a)(b) | | | | | | | 1,000 | | | | 972,117 | |
Palmer Square CLO Ltd., Series 2015-2A,
Class CR2, (3 mo. LIBOR US +
2.75%), 2.88%, 07/20/30(a)(b) | | | | | | | 250 | | | | 246,677 | |
Palmer Square Loan Funding Ltd.(a)(b) | | | | | | | | | | | | |
Series 2018-5A, Class D, (3 mo. LIBOR US + 4.25%), 4.38%, 01/20/27 | | | | | | | 1,000 | | | | 999,092 | |
Series 2019-2A, Class B, (3 mo. LIBOR US + 2.25%), 2.38%, 04/20/27 | | | | | | | 1,000 | | | | 1,000,348 | |
Series 2019-3A, Class B, (3 mo. LIBOR US + 2.10%), 2.26%, 08/20/27 | | | | | | | 1,750 | | | | 1,750,527 | |
Series 2019-3A, Class C, (3 mo. LIBOR US + 3.40%), 3.56%, 08/20/27 | | | | | | | 750 | | | | 750,506 | |
Series 2019-4A, Class C, (3 mo. LIBOR US + 3.25%), 3.37%, 10/24/27 | | | | | | | 250 | | | | 250,715 | |
Series 2020-1A, Class C, (3 mo. LIBOR US + 2.50%), 2.66%, 02/20/28 | | | | | | | 250 | | | | 250,288 | |
Park Avenue Institutional Advisers CLO Ltd., Series 2017-1A, Class DR, (3 mo. LIBOR US + 6.81%), 6.97%, 02/14/34(a)(b) | | | | | | | 1,300 | | | | 1,268,346 | |
PPM CLO 2 Ltd., Series 2019-2A, Class DR,
(3 mo. LIBOR US + 3.40%), 3.58%, 04/16/32(a)(b) | | | | | | | 250 | | | | 250,063 | |
Prodigy Finance DAC, Series 2021-1A, Class C, (1 mo. LIBOR US + 3.75%), 3.85%, 07/25/51(a)(b) | | | | | | | 250 | | | | 250,918 | |
Regatta XI Funding Ltd., Series 2018-1A, Class D, (3 mo. LIBOR US + 2.85%), 2.97%, 07/17/31(a)(b) | | | | | | | 370 | | | | 368,909 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Republic Finance Issuance Trust, Series 2020-A, Class C, 4.05%, 11/20/30(b) | | | USD | | | | 240 | | | $ | 245,008 | |
Romark CLO Ltd., Series 2017-1A, Class B,
(3 mo. LIBOR US + 2.15%), 2.27%, 10/23/30(a)(b) | | | | | | | 500 | | | | 500,021 | |
Shackleton CLO Ltd., Series 2015-7RA, Class C, (3 mo. LIBOR US + 2.35%), 2.47%, 07/15/31(a)(b) | | | | | | | 250 | | | | 250,144 | |
SLM Private Education Loan Trust, Series 2014-A, Class B, 3.50%, 11/15/44(b) | | | | | | | 330 | | | | 330,883 | |
SMB Private Education Loan Trust(b)(c) | | | | | | | | | | | | |
Series 2021-C, Class C, 3.00%, 01/15/53 | | | | | | | 190 | | | | 188,339 | |
Series 2021-C, Class D, 3.93%, 01/15/53 | | | | | | | 160 | | | | 158,969 | |
Sterling Coofs Trust(b)(c) | | | | | | | | | | | | |
Series 2004-1, Class A, 2.36%, 04/15/29 | | | | | | | 1,105 | | | | 11,051 | |
Series 2004-2, Class Note, 2.08%, 03/30/30 | | | | | | | 1,003 | | | | 10,026 | |
Structured Asset Securities Corp. Pass-Through Certificates, Series 2002-AL1, Class A2, 3.45%, 02/25/32 | | | | | | | 123 | | | | 115,486 | |
TCW CLO Ltd., Series 2020-1A, Class DRR,
(3 mo. LIBOR US + 3.40%), 3.59%, 04/20/34(a)(b) | | | | | | | 250 | | | | 248,306 | |
TICP CLO IX Ltd., Series 2017-9A, Class D,
(3 mo. LIBOR US + 2.90%), 3.03%, 01/20/31(a)(b) | | | | | | | 500 | | | | 499,799 | |
TICP CLO V Ltd., Series 2016-5A, Class ER,
(3 mo. LIBOR US + 5.75%), 5.87%, 07/17/31(a)(b) | | | | | | | 537 | | | | 520,222 | |
TICP CLO X Ltd., Series 2018-10A, Class E,
(3 mo. LIBOR US + 5.50%), 5.63%, 04/20/31(a)(b) | | | | | | | 250 | | | | 244,978 | |
TICP CLO XV Ltd., Series 2020-15A, Class D,
(3 mo. LIBOR US + 3.15%), 3.28%, 04/20/33(a)(b) | | | | | | | 250 | | | | 250,532 | |
TRESTLES CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 2017-1A, Class B1R, (3 mo. LIBOR US + 1.75%), 1.87%, 04/25/32 | | | | | | | 1,750 | | | | 1,736,922 | |
Series 2017-1A, Class CR, (3 mo. LIBOR US + 2.90%), 3.02%, 04/25/32 | | | | | | | 250 | | | | 246,864 | |
Trimaran Cavu Ltd., Series 2021-2A, Class D1, (3 mo. LIBOR US + 3.25%), 3.37%, 10/25/34(a)(b) | | | | | | | 500 | | | | 500,014 | |
Trimaran CAVU Ltd., Series 2019-2A, Class C, (3 mo. LIBOR US + 4.72%), 4.84%, 11/26/32(a)(b) | | | | | | | 500 | | | | 501,761 | |
Unique Pub Finance Co. PLC(d) | | | | | | | | | | | | |
Series M, 7.40%, 03/28/24 | | | GBP | | | | 2,311 | | | | 3,260,054 | |
Series N, 6.46%, 03/30/32 | | | | | | | 100 | | | | 162,385 | |
Voya CLO Ltd., Series 2018-2A, Class A2,
(3 mo. LIBOR US + 1.25%), 1.37%, 07/15/31(a)(b) | | | USD | | | | 1,000 | | | | 990,119 | |
Whitebox Clo I Ltd., Series 2019-1A, Class CR, (3 mo. LIBOR US + 3.05%), 3.17%, 07/24/32(a)(b) | | | | | | | 500 | | | | 500,010 | |
Whitebox CLO II Ltd., Series 2020-2A, Class DR, (3 mo. LIBOR US + 3.35%), 3.47%, 10/24/34(a)(b) | | | | | | | 500 | | | | 500,036 | |
Whitebox CLO III Ltd., Series 2021-3A, Class D, (3 mo. LIBOR US + 3.35%), 3.47%, 10/15/34(a)(b) | | | | | | | 250 | | | | 250,010 | |
York CLO 1 Ltd., Series 2014-1A, Class CRR, (3 mo. LIBOR US + 2.10%), 2.23%, 10/22/29(a)(b) | | | | | | | 250 | | | | 249,763 | |
York Clo Ltd., Series 2016-2A, Class DR, (3 mo LIBOR US + 3.15%), 3.28%, 04/20/32(a)(b) | | | | | | | 1,500 | | | | 1,500,198 | |
York CLO-3 Ltd., Series 2016-1A, Class DR,
(3 mo. LIBOR US + 3.60%), 3.73%, 10/20/29(a)(b) | | | | | | | 1,750 | | | | 1,750,653 | |
| | | | | | | | | | | | |
| |
Total Asset-Backed Securities — 7.8%
(Cost: $65,501,972) | | | | 65,310,180 | |
| | | | | | | | | | | | |
|
| Corporate Bonds | |
|
| Advertising Agencies — 0.1% | |
Interpublic Group of Cos., Inc.,
5.40%, 10/01/48 | | | | | | | 500 | | | | 678,709 | |
| | | | | | | | | | | | |
| | |
SCHEDULE OF INVESTMENTS | | 19 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Aerospace & Defense — 1.5% | |
Amsted Industries, Inc., 5.63%, 07/01/27(b) | | | USD | | | | 30 | | | $ | 31,200 | |
Bombardier, Inc.(b) | | | | | | | | | | | | |
7.50%, 12/01/24 | | | | | | | 126 | | | | 131,276 | |
7.50%, 03/15/25 | | | | | | | 25 | | | | 25,469 | |
7.13%, 06/15/26 | | | | | | | 393 | | | | 407,702 | |
7.88%, 04/15/27 | | | | | | | 260 | | | | 269,646 | |
6.00%, 02/15/28 | | | | | | | 260 | | | | 260,788 | |
7.45%, 05/01/34 | | | | | | | 100 | | | | 122,500 | |
BWX Technologies, Inc., 4.13%, 06/30/28(b) | | | | | | | 181 | | | | 183,715 | |
Eaton Corp., 4.15%, 11/02/42 | | | | | | | 500 | | | | 584,479 | |
F-Brasile SpA/F-Brasile US LLC, Series XR, 7.38%, 08/15/26(b) | | | | | | | 200 | | | | 199,000 | |
General Electric Co., 6.15%, 08/07/37 | | | | | | | 2,150 | | | | 2,952,619 | |
Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(b) | | | | | | | 371 | | | | 381,203 | |
Lockheed Martin Corp., 4.09%, 09/15/52 | | | | | | | 1,410 | | | | 1,742,078 | |
Rolls-Royce PLC, 5.75%, 10/15/27(b) | | | | | | | 600 | | | | 663,540 | |
Smiths Group PLC, 3.63%, 10/12/22(b) | | | | | | | 360 | | | | 367,555 | |
Spirit AeroSystems, Inc., 5.50%, 01/15/25(b) | | | | | | | 105 | | | | 108,806 | |
TransDigm, Inc. | | | | | | | | | | | | |
8.00%, 12/15/25(b) | | | | | | | 130 | | | | 137,146 | |
6.25%, 03/15/26(b) | | | | | | | 2,869 | | | | 2,981,967 | |
6.38%, 06/15/26 | | | | | | | 60 | | | | 61,649 | |
7.50%, 03/15/27 | | | | | | | 71 | | | | 74,195 | |
4.63%, 01/15/29 | | | | | | | 184 | | | | 183,389 | |
4.88%, 05/01/29 | | | | | | | 203 | | | | 203,873 | |
Triumph Group, Inc., 8.88%, 06/01/24(b) | | | | | | | 527 | | | | 574,788 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,648,583 | |
|
| Airlines — 1.2% | |
Air Canada, 3.88%, 08/15/26(b) | | | | | | | 255 | | | | 260,100 | |
American Airlines Pass-Through Trust | | | | | | | | | | | | |
Series 2013-2, Class A, 4.95%, 01/15/23 | | | | | | | 859 | | | | 877,396 | |
Series 2015-2, Class A, 4.00%, 03/22/29 | | | | | | | 1,109 | | | | 1,086,724 | |
Series 2015-2, Class AA, 3.60%, 03/22/29 | | | | | | | 1,109 | | | | 1,143,507 | |
American Airlines, Inc., 11.75%, 07/15/25(b) | | | | | | | 178 | | | | 219,608 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(b) | | | | | | | | | | | | |
5.50%, 04/20/26 | | | | | | | 494 | | | | 513,605 | |
5.75%, 04/20/29 | | | | | | | 591 | | | | 632,069 | |
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28(b) | | | | | | | 92 | | | | 100,462 | |
Deutsche Lufthansa AG, 2.88%, 05/16/27(d) | | | EUR | | | | 100 | | | | 111,364 | |
Gol Finance SA, 7.00%, 01/31/25(b) | | | USD | | | | 200 | | | | 175,475 | |
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 01/20/26(b) | | | | | | | 168 | | | | 175,770 | |
Latam Finance Ltd., 6.88%, 04/11/24(b)(e)(f) | | | | | | | 257 | | | | 243,957 | |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(b) | | | | | | | 454 | | | | 484,645 | |
United Airlines Pass-Through Trust | | | | | | | | | | | | |
Series 2020-1, Class A, 5.88%, 10/15/27 | | | | | | | 230 | | | | 252,310 | |
Series 2020-1, Class B, 4.88%, 01/15/26 | | | | | | | 32 | | | | 32,722 | |
Series A, Class A, 4.30%, 02/15/27 | | | | | | | 2,612 | | | | 2,730,185 | |
United Airlines, Inc.(b) | | | | | | | | | | | | |
4.38%, 04/15/26 | | | | | | | 310 | | | | 323,248 | |
4.63%, 04/15/29 | | | | | | | 393 | | | | 405,281 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,768,428 | |
|
| Auto Components — 0.5% | |
Aptiv PLC, 4.40%, 10/01/46 | | | | | | | 465 | | | | 536,814 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Auto Components (continued) | |
Clarios Global LP, 6.75%, 05/15/25(b) | | | USD | | | | 154 | | | $ | 161,315 | |
Clarios Global LP/Clarios US Finance Co. | | | | | | | | | | | | |
4.38%, 05/15/26(d) | | | EUR | | | | 100 | �� | | | 116,647 | |
6.25%, 05/15/26(b) | | | USD | | | | 627 | | | | 655,999 | |
8.50%, 05/15/27(b) | | | | | | | 1,640 | | | | 1,738,400 | |
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28(b) | | | | | | | 211 | | | | 219,634 | |
Dornoch Debt Merger Sub, Inc., 6.63%, 10/15/29(b) | | | | | | | 75 | | | | 74,063 | |
Faurecia SE, 2.75%, 02/15/27(d) | | | EUR | | | | 100 | | | | 115,938 | |
Goodyear Tire & Rubber Co. | | | | | | | | | | | | |
5.00%, 07/15/29(b) | | | USD | | | | 88 | | | | 94,530 | |
5.25%, 07/15/31(b) | | | | | | | 107 | | | | 116,170 | |
5.63%, 04/30/33 | | | | | | | 208 | | | | 226,980 | |
ZF Finance GmbH, 3.75%, 09/21/28(d) | | | EUR | | | | 100 | | | | 122,673 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,179,163 | |
|
| Automobiles — 1.2% | |
Allison Transmission, Inc.(b) | | | | | | | | | | | | |
5.88%, 06/01/29 | | | USD | | | | 139 | | | | 151,162 | |
3.75%, 01/30/31 | | | | | | | 174 | | | | 169,650 | |
Asbury Automotive Group, Inc. | | | | | | | | | | | | |
4.50%, 03/01/28 | | | | | | | 18 | | | | 18,360 | |
4.75%, 03/01/30 | | | | | | | 84 | | | | 85,365 | |
5.00%, 02/15/32(b) | | | | | | | 106 | | | | 109,996 | |
Carvana Co.(b) | | | | | | | | | | | | |
5.50%, 04/15/27 | | | | | | | 173 | | | | 171,270 | |
4.88%, 09/01/29 | | | | | | | 151 | | | | 143,827 | |
Constellation Automotive Financing PLC, 4.88%, 07/15/27(d) | | | GBP | | | | 100 | | | | 133,149 | |
Ford Motor Co. | | | | | | | | | | | | |
0.00%, 03/15/26(b)(g)(h) | | | USD | | | | 150 | | | | 206,344 | |
4.35%, 12/08/26 | | | | | | | 7 | | | | 7,635 | |
3.25%, 02/12/32 | | | | | | | 420 | | | | 430,080 | |
4.75%, 01/15/43 | | | | | | | 2,000 | | | | 2,207,500 | |
5.29%, 12/08/46 | | | | | | | 19 | | | | 22,330 | |
Ford Motor Credit Co. LLC | | | | | | | | | | | | |
4.69%, 06/09/25 | | | | | | | 200 | | | | 215,000 | |
4.13%, 08/04/25 | | | | | | | 279 | | | | 296,089 | |
4.39%, 01/08/26 | | | | | | | 200 | | | | 215,500 | |
2.70%, 08/10/26 | | | | | | | 200 | | | | 201,750 | |
3.82%, 11/02/27 | | | | | | | 200 | | | | 211,462 | |
2.90%, 02/16/28 | | | | | | | 200 | | | | 200,500 | |
General Motors Co., 6.25%, 10/02/43 | | | | | | | 2,506 | | | | 3,429,310 | |
General Motors Financial Co., Inc., 4.25%, 05/15/23 | | | | | | | 807 | | | | 839,835 | |
Group 1 Automotive, Inc., 4.00%, 08/15/28(b) | | | | | | | 30 | | | | 29,888 | |
Ken Garff Automotive LLC, 4.88%, 09/15/28(b) | | | | | | | 82 | | | | 82,102 | |
LCM Investments Holdings II LLC, 4.88%, 05/01/29(b) | | | | | | | 182 | | | | 187,038 | |
Lithia Motors, Inc., 3.88%, 06/01/29(b) | | | | | | | 89 | | | | 90,860 | |
MajorDrive Holdings IV LLC, 6.38%, 06/01/29(b) | | | | | | | 120 | | | | 116,100 | |
Penske Automotive Group, Inc. | | | | | | | | | | | | |
3.50%, 09/01/25 | | | | | | | 29 | | | | 29,653 | |
3.75%, 06/15/29 | | | | | | | 46 | | | | 45,598 | |
Sonic Automotive, Inc., 4.63%, 11/15/29(b) | | | | | | | 40 | | | | 40,380 | |
Wabash National Corp., 4.50%, 10/15/28(b) | | | | | | | 149 | | | | 150,490 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,238,223 | |
|
| Banks — 1.6% | |
American Finance Trust, Inc./American Finance Operating Partner LP, 4.50%, 09/30/28(b) | | | | | | | 44 | | | | 44,324 | |
| | |
| 20 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par
(000) | | | Value | |
| | | |
Banks (continued) | | | | | | | | | | | | |
Banca Monte dei Paschi di Siena SpA, 2.63%, 04/28/25(d) | | | EUR | | | | 100 | | | $ | 113,714 | |
Banco Bilbao Vizcaya Argentaria SA, (5 year USD Swap + 3.87%), 6.13%(a)(i) | | | USD | | | | 2,200 | | | | 2,323,750 | |
Bangkok Bank PCL(a) | | | | | | | | | | | | |
(5 year CMT + 1.90%), 3.73%, 09/25/34(d) | | | | | | | 288 | | | | 293,634 | |
(5 year CMT + 4.73%), 5.00%(i) | | | | | | | 400 | | | | 414,575 | |
Bank Leumi Le-Israel BM, (5 year CMT+1.63%), 3.28%, 01/29/31(a)(b)(d) | | | | | | | 281 | | | | 281,176 | |
Bank Negara Indonesia Persero Tbk PT, 3.75%, 03/30/26(d) | | | | | | | 252 | | | | 255,780 | |
Bank of Communications Co. Ltd., (5 year CMT + 3.35%), 3.80%(a)(d)(i) | | | | | | | 518 | | | | 539,367 | |
Bank of East Asia Ltd., (5 year CMT + 5.53%), 5.83%(a)(d)(i) | | | | | | | 250 | | | | 262,812 | |
Bank Tabungan Negara Persero Tbk PT, 4.20%, 01/23/25(d) | | | | | | | 200 | | | | 203,760 | |
Intesa Sanpaolo SpA | | | | | | | | | | | | |
5.02%, 06/26/24(b) | | | | | | | 3,151 | | | | 3,376,341 | |
(5 year EUR Swap + 5.75%), 5.88%, 03/04/29(a)(d) | | | EUR | | | | 100 | | | | 124,836 | |
Krung Thai Bank PCL/Cayman Islands, (5 year CMT + 3.53%), 4.40%(a)(d)(i) | | | USD | | | | 252 | | | | 253,260 | |
Standard Chartered PLC, (5 year USD ICE Swap + 1.97%), 4.87%, 03/15/33(a)(b) | | | | | | | 500 | | | | 543,726 | |
SVB Financial Group, Series D, (5 year CMT + 3.07%), 4.25%(a)(i) | | | | | | | 1,275 | | | | 1,292,850 | |
Wells Fargo & Co. | | | | | | | | | | | | |
3.90%, 05/01/45 | | | | | | | 2,250 | | | | 2,574,001 | |
(5 year CMT + 3.45%), 3.90%(a)(i) | | | | | | | 245 | | | | 251,737 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,149,643 | |
Beverages — 1.1% | | | | | | | | | | | | |
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46(j) | | | | | | | 4,600 | | | | 5,814,100 | |
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(b)(k) | | | | | | | 501 | | | | 516,030 | |
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 4.00%, 09/01/29(b) | | | | | | | 606 | | | | 600,394 | |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.25%, 08/15/27(b) | | | | | | | 442 | | | | 444,762 | |
Ball Corp. | | | | | | | | | | | | |
5.25%, 07/01/25 | | | | | | | 12 | | | | 13,230 | |
2.88%, 08/15/30 | | | | | | | 25 | | | | 24,250 | |
3.13%, 09/15/31 | | | | | | | 279 | | | | 275,513 | |
Central American Bottling Corp., 5.75%, 01/31/27(b) | | | | | | | 222 | | | | 227,592 | |
Crown Cork & Seal Co., Inc., 7.38%, 12/15/26 | | | | | | | 23 | | | | 27,744 | |
Mauser Packaging Solutions Holding Co., 5.50%, 04/15/24(b) | | | | | | | 431 | | | | 434,952 | |
Silgan Holdings, Inc., 4.13%, 02/01/28 | | | | | | | 7 | | | | 7,149 | |
Trivium Packaging Finance BV(b) | | | | | | | | | | | | |
5.50%, 08/15/26 | | | | | | | 205 | | | | 213,200 | |
8.50%, 08/15/27 | | | | | | | 738 | | | | 780,435 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,379,351 | |
Biotechnology — 0.2% | | | | | | | | | | | | |
Baxalta, Inc., 5.25%, 06/23/45 | | | | | | | 500 | | | | 664,019 | |
Gilead Sciences, Inc., 4.80%, 04/01/44 | | | | | | | 1,000 | | | | 1,262,248 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,926,267 | |
| | | | | | | | | | | | |
Security | | | | | Par
(000) | | | Value | |
| | | |
Building Materials(b) — 0.3% | | | | | | | | | | | | |
Cornerstone Building Brands, Inc., 6.13%, 01/15/29 | | | USD | | | | 321 | | | $ | 343,101 | |
CP Atlas Buyer, Inc., 7.00%, 12/01/28 | | | | | | | 220 | | | | 218,900 | |
Forterra Finance LLC/FRTA Finance Corp., 6.50%, 07/15/25 | | | | | | | 216 | | | | 229,241 | |
Jeld-Wen, Inc. | | | | | | | | | | | | |
6.25%, 05/15/25 | | | | | | | 98 | | | | 102,410 | |
4.63%, 12/15/25 | | | | | | | 37 | | | | 37,277 | |
4.88%, 12/15/27 | | | | | | | 11 | | | | 11,287 | |
Masonite International Corp. | | | | | | | | | | | | |
3.50%, 02/15/30 | | | | | | | 145 | | | | 143,369 | |
Class C, 5.38%, 02/01/28 | | | | | | | 17 | | | | 17,829 | |
New Enterprise Stone & Lime Co., Inc. | | | | | | | | | | | | |
5.25%, 07/15/28 | | | | | | | 55 | | | | 55,770 | |
9.75%, 07/15/28 | | | | | | | 26 | | | | 27,820 | |
Patrick Industries, Inc., 4.75%, 05/01/29 | | | | | | | 43 | | | | 42,785 | |
SRM Escrow Issuer LLC, 6.00%, 11/01/28 | | | | | | | 327 | | | | 349,089 | |
Standard Industries, Inc. | | | | | | | | | | | | |
4.75%, 01/15/28 | | | | | | | 54 | | | | 55,755 | |
4.38%, 07/15/30 | | | | | | | 373 | | | | 380,648 | |
3.38%, 01/15/31 | | | | | | | 11 | | | | 10,596 | |
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29 | | | | | | | 117 | | | | 122,546 | |
Victors Merger Corp., 6.38%, 05/15/29 | | | | | | | 107 | | | | 100,580 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,249,003 | |
Building Products — 0.7% | | | | | | | | | | | | |
Advanced Drainage Systems, Inc., 5.00%, 09/30/27(b) | | | | | | | 248 | | | | 256,370 | |
Beacon Roofing Supply, Inc., 4.13%, 05/15/29(b) | | | | | | | 68 | | | | 67,964 | |
Foundation Building Materials, Inc., 6.00%, 03/01/29(b) | | | | | | | 115 | | | | 112,988 | |
GYP Holdings III Corp., 4.63%, 05/01/29(b) | | | | | | | 159 | | | | 159,398 | |
Home Depot, Inc., 5.88%, 12/16/36 | | | | | | | 1,660 | | | | 2,351,239 | |
LBM Acquisition LLC, 6.25%, 01/15/29(b) | | | | | | | 326 | | | | 322,332 | |
Lowe’s Cos., Inc., 4.38%, 09/15/45 | | | | | | | 1,000 | | | | 1,195,931 | |
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26(b) | | | | | | | 157 | | | | 164,547 | |
SRS Distribution, Inc.(b) | | | | | | | | | | | | |
4.63%, 07/01/28 | | | | | | | 293 | | | | 294,099 | |
6.13%, 07/01/29 | | | | | | | 233 | | | | 237,455 | |
6.00%, 12/01/29 | | | | | | | 235 | | | | 236,175 | |
White Cap Buyer LLC, 6.88%, 10/15/28(b) | | | | | | | 253 | | | | 263,752 | |
White Cap Parent LLC, (9.00% PIK), 8.25%, 03/15/26(b)(k) | | | | | | | 142 | | | | 145,195 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,807,445 | |
Capital Markets — 2.3% | | | | | | | | | | | | |
Charles Schwab Corp., Series H, (10 year CMT + 3.08%), 4.00%(a)(i) | | | | | | | 5,195 | | | | 5,246,950 | |
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29(b) | | | | | | | 129 | | | | 135,128 | |
FMR LLC, 4.95%, 02/01/33(b) | | | | | | | 2,300 | | | | 2,808,575 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | | | | | | | | | | | | |
4.75%, 09/15/24 | | | | | | | 112 | | | | 116,200 | |
6.25%, 05/15/26 | | | | | | | 57 | | | | 59,351 | |
5.25%, 05/15/27 | | | | | | | 286 | | | | 294,131 | |
4.38%, 02/01/29 | | | | | | | 134 | | | | 130,650 | |
Intercorp Peru Ltd., 3.88%, 08/15/29(b) | | | | | | | 200 | | | | 194,350 | |
NFP Corp.(b) | | | | | | | | | | | | |
4.88%, 08/15/28 | | | | | | | 293 | | | | 295,930 | |
| | |
SCHEDULE OF INVESTMENTS | | 21 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Capital Markets (continued) | | | | | | | | | | | | |
NFP Corp.(b) (continued)
6.88%, 08/15/28 | | | USD | | | | 369 | | | $ | 369,952 | |
Northern Trust Corp., 3.95%, 10/30/25(j) | | | | | | | 8,000 | | | | 8,742,569 | |
Raymond James Financial, Inc., 4.95%, 07/15/46 | | | | | | | 400 | | | | 509,083 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 18,902,869 | |
Chemicals — 0.7% | | | | | | | | | | | | |
Air Liquide Finance SA, 3.50%, 09/27/46(b) | | | | | | | 360 | | | | 408,559 | |
Ashland LLC, 3.38%, 09/01/31(b) | | | | | | | 221 | | | | 219,342 | |
Axalta Coating Systems LLC, 3.38%, 02/15/29(b) | | | | | | | 198 | | | | 191,565 | |
Braskem Netherlands Finance BV, (5 year CMT + 8.22%), 8.50%, 01/23/81(a)(b) | | | | | | | 219 | | | | 254,013 | |
Diamond (BC) B.V., 4.63%, 10/01/29(b) | | | | | | | 177 | | | | 175,579 | |
Element Solutions, Inc., 3.88%, 09/01/28(b) | | | | | | | 656 | | | | 659,280 | |
EverArc Escrow Sarl, 5.00%, 10/30/29(b) | | | | | | | 360 | | | | 360,266 | |
GCP Applied Technologies, Inc., 5.50%, 04/15/26(b) | | | | | | | 101 | | | | 103,525 | |
HB Fuller Co., 4.25%, 10/15/28 | | | | | | | 66 | | | | 67,980 | |
Herens Holdco Sarl, 4.75%, 05/15/28(b) | | | | | | | 200 | | | | 196,000 | |
Herens Midco Sarl, 5.25%, 05/15/29(d) | | | EUR | | | | 100 | | | | 106,781 | |
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(b) | | | USD | | | | 226 | | | | 241,011 | |
Ingevity Corp., 3.88%, 11/01/28(b) | | | | | | | 57 | | | | 55,504 | |
Kobe US Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26(b)(k) | | | | | | | 155 | | | | 158,100 | |
LSF11 A5 HoldCo LLC, 6.63%, 10/15/29(b) | | | | | | | 76 | | | | 74,860 | |
Lune Holdings Sarl, 5.63%, 11/15/28(d) | | | EUR | | | | 100 | | | | 113,850 | |
Minerals Technologies, Inc., 5.00%, 07/01/28(b) | | | USD | | | | 114 | | | | 118,167 | |
Monitchem HoldCo 3 SA, 5.25%, 03/15/25(d) | | | EUR | | | | 100 | | | | 116,212 | |
NOVA Chemicals Corp., 4.88%, 06/01/24(b) | | | USD | | | | 41 | | | | 42,333 | |
SCIH Salt Holdings, Inc., 6.63%, 05/01/29(b)(j) | | | | | | | 86 | | | | 80,410 | |
SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, 11/01/26(b) | | | | | | | 200 | | | | 205,250 | |
Scotts Miracle-Gro Co.(b) | | | | | | | | | | | | |
4.00%, 04/01/31 | | | | | | | 161 | | | | 158,988 | |
4.38%, 02/01/32 | | | | | | | 18 | | | | 17,955 | |
Sherwin-Williams Co., 4.50%, 06/01/47 | | | | | | | 350 | | | | 436,172 | |
Valvoline, Inc., 3.63%, 06/15/31(b) | | | | | | | 1 | | | | 968 | |
WESCO Distribution, Inc.(b) | | | | | | | | | | | | |
7.13%, 06/15/25 | | | | | | | 117 | | | | 124,020 | |
7.25%, 06/15/28 | | | | | | | 252 | | | | 276,255 | |
WR Grace Holdings LLC(b) | | | | | | | | | | | | |
5.63%, 10/01/24 | | | | | | | 21 | | | | 22,105 | |
5.63%, 08/15/29 | | | | | | | 682 | | | | 698,197 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,683,247 | |
Commercial Services & Supplies — 0.3% | | | | | | | | | | | | |
Albion Financing 1 SARL/Aggreko Holdings, Inc., 6.13%, 10/15/26(b) | | | | | | | 200 | | | | 202,000 | |
APX Group, Inc., 5.75%, 07/15/29(b) | | | | | | | 181 | | | | 178,285 | |
ASGN, Inc., 4.63%, 05/15/28(b) | | | | | | | 62 | | | | 64,189 | |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.38%, 03/01/29(b) | | | | | | | 71 | | | | 74,892 | |
BCP V Modular Services Finance II PLC, 4.75%, 11/30/28(d) | | | EUR | | | | 100 | | | | 114,704 | |
EC Finance PLC, 3.00%, 10/15/26(d) | | | | | | | 100 | | | | 116,412 | |
Fortress Transportation & Infrastructure Investors LLC(b) | | | | | | | | | | | | |
6.50%, 10/01/25 | | | USD | | | | 50 | | | | 51,687 | |
5.50%, 05/01/28 | | | | | | | 194 | | | | 197,705 | |
Herc Holdings, Inc., 5.50%, 07/15/27(b) | | | | | | | 133 | | | | 138,320 | |
| | | | | | | | | | | | |
Security | | | | | Par
(000) | | | Value | |
| | | |
Commercial Services & Supplies (continued) | | | | | | | | | | | | |
Hertz Corp.(b) | | | | | | | | | | | | |
4.63%, 12/01/26 | | | USD | | | | 85 | | | $ | 85,531 | |
5.00%, 12/01/29 | | | | | | | 136 | | | | 136,116 | |
Metis Merger Sub LLC, 6.50%, 05/15/29(b) | | | | | | | 145 | | | | 142,418 | |
NESCO Holdings II, Inc., 5.50%, 04/15/29(b) | | | | | | | 146 | | | | 150,745 | |
PECF USS Intermediate Holding III Corp., 8.00%, 11/15/29(b) | | | | | | | 150 | | | | 155,325 | |
Prime Security Services Borrower LLC/Prime Finance, Inc.(b) | | | | | | | | | | | | |
5.75%, 04/15/26 | | | | | | | 78 | | | | 83,746 | |
3.38%, 08/31/27 | | | | | | | 26 | | | | 25,100 | |
6.25%, 01/15/28 | | | | | | | 3 | | | | 3,128 | |
Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29(b) | | | | | | | 400 | | | | 408,000 | |
United Rentals North America, Inc., 5.25%, 01/15/30 | | | | | | | 40 | | | | 43,300 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,371,603 | |
Communications Equipment — 0.2% | | | | | | | | | | | | |
Avaya, Inc., 6.13%, 09/15/28(b) | | | | | | | 275 | | | | 291,500 | |
CommScope Technologies LLC, 6.00%, 06/15/25(b) | | | | | | | 5 | | | | 5,000 | |
CommScope, Inc.(b) | | | | | | | | | | | | |
8.25%, 03/01/27 | | | | | | | 221 | | | | 227,119 | |
7.13%, 07/01/28 | | | | | | | 249 | | | | 244,643 | |
4.75%, 09/01/29 | | | | | | | 317 | | | | 315,038 | |
Nokia OYJ | | | | | | | | | | | | |
4.38%, 06/12/27 | | | | | | | 31 | | | | 33,480 | |
6.63%, 05/15/39 | | | | | | | 88 | | | | 121,770 | |
ViaSat, Inc., 6.50%, 07/15/28(b) | | | | | | | 216 | | | | 216,540 | |
Viavi Solutions, Inc., 3.75%, 10/01/29(b) | | | | | | | 197 | | | | 196,990 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,652,080 | |
Construction & Engineering — 0.5% | | | | | | | | | | | | |
ITR Concession Co. LLC, 4.20%, 07/15/25(b) | | | | | | | 4,000 | | | | 4,172,510 | |
| | | | | | | | | | | | |
Construction Materials(b) — 0.1% | | | | | | | | | | | | |
American Builders & Contractors Supply Co., Inc. | | | | | | | | | | | | |
4.00%, 01/15/28 | | | | | | | 75 | | | | 76,742 | |
3.88%, 11/15/29 | | | | | | | 32 | | | | 31,920 | |
BCPE Empire Holdings, Inc., 7.63%, 05/01/27 | | | | | | | 74 | | | | 75,559 | |
H&E Equipment Services, Inc., 3.88%, 12/15/28 | | | | | | | 37 | | | | 36,723 | |
IAA, Inc., 5.50%, 06/15/27 | | | | | | | 12 | | | | 12,435 | |
Picasso Finance Sub, Inc., 6.13%, 06/15/25 | | | | | | | 175 | | | | 182,875 | |
Thor Industries, Inc., 4.00%, 10/15/29 | | | | | | | 114 | | | | 112,860 | |
Williams Scotsman International, Inc., 4.63%, 08/15/28 | | | | | | | 146 | | | | 150,745 | |
Winnebago Industries, Inc., 6.25%, 07/15/28 | | | | | | | 92 | | | | 98,508 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 778,367 | |
Consumer Discretionary — 0.6% | | | | | | | | | | | | |
APi Escrow Corp., 4.75%, 10/15/29(b) | | | | | | | 68 | | | | 69,360 | |
APi Group DE, Inc., 4.13%, 07/15/29(b) | | | | | | | 89 | | | | 89,445 | |
Carnival Corp.(b) | | | | | | | | | | | | |
10.50%, 02/01/26 | | | | | | | 605 | | | | 690,604 | |
5.75%, 03/01/27 | | | | | | | 460 | | | | 460,000 | |
9.88%, 08/01/27 | | | | | | | 258 | | | | 294,820 | |
4.00%, 08/01/28 | | | | | | | 733 | | | | 727,502 | |
6.00%, 05/01/29 | | | | | | | 367 | | | | 365,165 | |
CoreLogic, Inc., 4.50%, 05/01/28(b) | | | | | | | 333 | | | | 331,735 | |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, 02/01/26(b) | | | | | | | 60 | | | | 60,300 | |
Life Time, Inc.(b) | | | | | | | | | | | | |
5.75%, 01/15/26 | | | | | | | 174 | | | | 180,090 | |
8.00%, 04/15/26 | | | | | | | 118 | | | | 123,655 | |
| | |
| 22 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| Consumer Discretionary (continued) | | | | | | | | | |
NCL Corp. Ltd., 5.88%, 03/15/26(b) | | | USD | | | | 167 | | | $ | 166,260 | |
NCL Finance Ltd., 6.13%, 03/15/28(b) | | | | | | | 368 | | | | 362,480 | |
Nielsen Finance LLC/Nielsen Finance Co.(b)
5.63%, 10/01/28 | | | | | | | 208 | | | | 214,760 | |
5.88%, 10/01/30 | | | | | | | 125 | | | | 131,980 | |
Royal Caribbean Cruises Ltd.(b)
10.88%, 06/01/23 | | | | | | | 45 | | | | 49,163 | |
9.13%, 06/15/23 | | | | | | | 103 | | | | 108,923 | |
11.50%, 06/01/25 | | | | | | | 82 | | | | 91,840 | |
5.50%, 08/31/26 | | | | | | | 77 | | | | 78,294 | |
5.50%, 04/01/28 | | | | | | | 240 | | | | 242,774 | |
Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 07/30/26(d) | | | EUR | | | | 88 | | | | 102,898 | |
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29(b) | | | USD | | | | 124 | | | | 123,845 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,065,893 | |
| | | |
| Consumer Finance — 0.6% | | | | | | | | | |
American Express Co., (5 year CMT + 2.85%), 3.55%(a)(i) | | | | | | | 500 | | | | 500,875 | |
Block, Inc., 3.50%, 06/01/31(b) | | | | | | | 401 | | | | 411,025 | |
HealthEquity, Inc., 4.50%, 10/01/29(b) | | | | | | | 273 | | | | 270,270 | |
MoneyGram International, Inc., 5.38%, 08/01/26(b) | | | | | | | 72 | | | | 73,080 | |
MPH Acquisition Holdings LLC, 5.50%, 09/01/28(b) | | | | | | | 204 | | | | 206,805 | |
Muthoot Finance Ltd.
6.13%, 10/31/22(b) | | | | | | | 247 | | | | 253,221 | |
4.40%, 09/02/23(d) | | | | | | | 400 | | | | 408,000 | |
Navient Corp.
7.25%, 09/25/23 | | | | | | | 28 | | | | 30,187 | |
6.13%, 03/25/24 | | | | | | | 51 | | | | 54,379 | |
5.88%, 10/25/24 | | | | | | | 39 | | | | 41,584 | |
5.50%, 03/15/29 | | | | | | | 184 | | | | 183,540 | |
OneMain Finance Corp.
7.13%, 03/15/26 | | | | | | | 49 | | | | 55,860 | |
3.50%, 01/15/27 | | | | | | | 206 | | | | 203,683 | |
6.63%, 01/15/28 | | | | | | | 141 | | | | 157,920 | |
5.38%, 11/15/29 | | | | | | | 36 | | | | 39,143 | |
Sabre GLBL, Inc.(b)
9.25%, 04/15/25 | | | | | | | 137 | | | | 154,810 | |
7.38%, 09/01/25 | | | | | | | 64 | | | | 66,880 | |
Shift4 Payments Inc., 0.00%,
12/15/25(b)(g)(h) | | | | | | | 236 | | | | 248,838 | |
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(b) | | | | | | | 192 | | | | 198,914 | |
SLM Corp., 3.13%, 11/02/26 | | | | | | | 117 | | | | 115,830 | |
Verscend Escrow Corp., 9.75%, 08/15/26(b) | | | | | | | 1,279 | | | | 1,359,500 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,034,344 | |
| | | |
| Containers & Packaging — 0.2% | | | | | | | | | |
Graphic Packaging International LLC(b)
4.75%, 07/15/27 | | | | | | | 53 | | | | 57,240 | |
3.50%, 03/15/28 | | | | | | | 11 | | | | 10,973 | |
International Paper Co., 6.00%, 11/15/41 | | | | | | | 870 | | | | 1,201,873 | |
Intertape Polymer Group, Inc., 4.38%, 06/15/29(b) | | | | | | | 91 | | | | 91,000 | |
Klabin Austria GmbH, 3.20%, 01/12/31(b) | | | | | | | 200 | | | | 185,000 | |
LABL, Inc., 5.88%, 11/01/28(b) | | | | | | | 176 | | | | 181,390 | |
Sealed Air Corp., 4.00%, 12/01/27(b) | | | | | | | 49 | | | | 51,064 | |
Suzano Austria GmbH, 3.75%, 01/15/31 | | | | | | | 80 | | | | 81,190 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,859,730 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Diversified Consumer Services — 0.5% | |
Allied Universal Holdco LLC/Allied Universal Finance Corp.(b)
6.63%, 07/15/26 | | | USD | | | | 748 | | | $ | 784,802 | |
9.75%, 07/15/27 | | | | | | | 200 | | | | 213,685 | |
6.00%, 06/01/29 | | | | | | | 441 | | | | 428,873 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, 4.63%, 06/01/28(b) | | | | | | | 1,041 | | | | 1,031,944 | |
Clarivate Science Holdings Corp.(b)
3.88%, 07/01/28 | | | | | | | 265 | | | | 266,325 | |
4.88%, 07/01/29 | | | | | | | 395 | | | | 400,577 | |
Garda World Security Corp.(b)
4.63%, 02/15/27 | | | | | | | 175 | | | | 174,125 | |
9.50%, 11/01/27 | | | | | | | 107 | | | | 115,366 | |
Graham Holdings Co., 5.75%, 06/01/26(b) | | | | | | | 27 | | | | 28,046 | |
Rekeep SpA, 7.25%, 02/01/26(d) | | | EUR | | | | 100 | | | | 121,136 | |
Service Corp. International, 4.00%, 05/15/31 | | | USD | | | | 394 | | | | 398,925 | |
Sotheby’s, 7.38%, 10/15/27(b) | | | | | | | 265 | | | | 282,225 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,246,029 | |
| | | |
| Diversified Financial Services — 4.4% | | | | | | | | | |
Acuris Finance US, Inc./Acuris Finance SARL, 5.00%, 05/01/28(b) | | | | | | | 272 | | | | 270,640 | |
ASG Finance Designated Activity Co., 7.88%, 12/03/24(b) | | | | | | | 200 | | | | 193,000 | |
Avianca Midco 2 Ltd., 9.00%, 12/01/28(b) | | | | | | | 150 | | | | 150,372 | |
Bank of America Corp., 3.25%, 10/21/27(j) | | | | | | | 4,000 | | | | 4,257,609 | |
Barclays PLC, 3.65%, 03/16/25(j) | | | | | | | 4,320 | | | | 4,562,801 | |
BNP Paribas SA, (5 year CMT + 3.34%), 4.63%(a)(b)(i) | | | | | | | 2,000 | | | | 2,006,000 | |
Castlelake Aviation Finance DAC, 5.00%, 04/15/27(b) | | | | | | | 50 | | | | 49,625 | |
Central Garden & Pet Co.
4.13%, 10/15/30 | | | | | | | 111 | | | | 111,971 | |
4.13%, 04/30/31(b) | | | | | | | 132 | | | | 132,660 | |
Citigroup, Inc.(a)(i)
(5 year CMT + 3.42%), 3.88% | | | | | | | 3,160 | | | | 3,160,000 | |
Series W, (5 year CMT + 3.60%), 4.00% | | | | | | | 105 | | | | 105,788 | |
Series Y, (5 year CMT + 3.00%), 4.15% | | | | | | | 335 | | | | 340,444 | |
Credit Agricole SA, (5 year USD Swap + 4.90%), 7.88%(a)(b)(i) | | | | | | | 1,000 | | | | 1,093,750 | |
Garfunkelux Holdco 3 SA, 7.75%, 11/01/25(d) | | | GBP | | | | 100 | | | | 140,600 | |
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24(b)(k) | | | USD | | | | 217 | | | | 207,962 | |
Goldman Sachs Group, Inc.
3.75%, 05/22/25(j) | | | | | | | 8,965 | | | | 9,567,524 | |
Series R, (5 year CMT + 3.22%), 4.95%(a)(i) | | | | | | | 465 | | | | 482,437 | |
HSBC Holdings PLC
6.10%, 01/14/42 | | | | | | | 610 | | | | 872,161 | |
(5 year CMT + 3.25%), 4.70%(a)(i) | | | | | | | 275 | | | | 275,000 | |
(5 year USD ICE Swap + 4.37%), 6.38%(a)(i) | | | | | | | 1,750 | | | | 1,888,740 | |
Intercontinental Exchange, Inc., 4.00%, 10/15/23 | | | | | | | 470 | | | | 494,451 | |
Intrum AB, 3.00%, 09/15/27(d) | | | EUR | | | | 100 | | | | 111,837 | |
ION Trading Technologies Sarl, 5.75%, 05/15/28(b) | | | USD | | | | 200 | | | | 206,000 | |
Jefferies Finance LLC/JFIN Co-Issuer Corp., 5.00%, 08/15/28(b) | | | | | | | 220 | | | | 225,500 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(b)
4.25%, 02/01/27 | | | | | | | 78 | | | | 78,509 | |
4.75%, 06/15/29 | | | | | | | 93 | | | | 95,325 | |
Lloyds Banking Group PLC, (5 year CMT + 4.82%), 6.75%(a)(i) | | | | | | | 595 | | | | 670,505 | |
| | |
SCHEDULE OF INVESTMENTS | | 23 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Diversified Financial Services (continued) | |
Manappuram Finance Ltd., 5.90%, 01/13/23(d) | | | USD | | | | 400 | | | $ | 408,500 | |
Morgan Stanley
4.00%, 07/23/25 | | | | | | | 905 | | | | 980,785 | |
3.13%, 07/27/26 | | | | | | | 2,000 | | | | 2,118,645 | |
Operadora de Servicios Mega SA de CV Sofom ER, 8.25%, 02/11/25(b) | | | | | | | 200 | | | | 185,475 | |
Shriram Transport Finance Co. Ltd.(d)
5.95%, 10/24/22 | | | | | | | 200 | | | | 203,260 | |
5.10%, 07/16/23 | | | | | | | 489 | | | | 500,002 | |
Spectrum Brands, Inc.(b)
5.00%, 10/01/29 | | | | | | | 79 | | | | 82,851 | |
5.50%, 07/15/30 | | | | | | | 104 | | | | 111,540 | |
3.88%, 03/15/31 | | | | | | | 15 | | | | 14,813 | |
UBS Group AG, (5 year CMT + 3.31%), 4.38%(a)(b)(i) | | | | | | | 200 | | | | 197,560 | |
UniCredit SpA, (5 year EURIBOR ICE Swap Rate + 4.74%), 4.88%, 02/20/29(a)(d) | | | EUR | | | | 200 | | | | 244,240 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 36,798,882 | |
|
| Diversified Telecommunication Services — 4.1% | |
AT&T, Inc.
6.10%, 07/15/40 | | | USD | | | | 830 | | | | 1,120,935 | |
6.38%, 03/01/41 | | | | | | | 520 | | | | 734,890 | |
5.15%, 03/15/42 | | | | | | | 2,400 | | | | 3,004,955 | |
4.75%, 05/15/46 | | | | | | | 2,710 | | | | 3,272,692 | |
3.65%, 06/01/51 | | | | | | | 350 | | | | 362,476 | |
Consolidated Communications, Inc., 6.50%, 10/01/28(b) | | | | | | | 206 | | | | 218,360 | |
Level 3 Financing, Inc.(b)
4.25%, 07/01/28 | | | | | | | 152 | | | | 150,480 | |
3.63%, 01/15/29 | | | | | | | 81 | | | | 76,950 | |
3.75%, 07/15/29 | | | | | | | 109 | | | | 103,550 | |
Lumen Technologies, Inc.
5.13%, 12/15/26(b) | | | | | | | 324 | | | | 337,164 | |
4.00%, 02/15/27(b) | | | | | | | 22 | | | | 22,320 | |
4.50%, 01/15/29(b) | | | | | | | 218 | | | | 210,915 | |
5.38%, 06/15/29(b) | | | | | | | 339 | | | | 339,000 | |
Series P, 7.60%, 09/15/39 | | | | | | | 49 | | | | 52,553 | |
Series U, 7.65%, 03/15/42 | | | | | | | 167 | | | | 179,708 | |
Series W, 6.75%, 12/01/23 | | | | | | | 74 | | | | 79,920 | |
Oi SA, (10.00% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25(k) | | | | | | | 157 | | | | 138,238 | |
Sprint Capital Corp.
6.88%, 11/15/28 | | | | | | | 928 | | | | 1,173,920 | |
8.75%, 03/15/32 | | | | | | | 516 | | | | 774,000 | |
Switch Ltd.(b)
3.75%, 09/15/28 | | | | | | | 210 | | | | 211,575 | |
4.13%, 06/15/29 | | | | | | | 430 | | | | 439,675 | |
Telecom Italia Capital SA
6.38%, 11/15/33 | | | | | | | 131 | | | | 141,061 | |
6.00%, 09/30/34 | | | | | | | 337 | | | | 356,433 | |
7.20%, 07/18/36 | | | | | | | 60 | | | | 68,793 | |
7.72%, 06/04/38 | | | | | | | 79 | | | | 92,847 | |
Telecom Italia SpA(d)
3.00%, 09/30/25 | | | EUR | | | | 100 | | | | 116,981 | |
1.63%, 01/18/29 | | | | | | | 100 | | | | 104,173 | |
Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 6.00%, 01/15/30(b) | | | USD | | | | 95 | | | | 91,423 | |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.75%, 04/15/28(b) | | | | | | | 237 | | | | 235,040 | |
Verizon Communications, Inc. 6.40%, 02/15/38 | | | | | | | 5,700 | | | | 7,884,777 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Diversified Telecommunication Services (continued) | |
Verizon Communications, Inc. (continued) | |
6.55%, 09/15/43(j) | | | USD | | | | 6,751 | | | $ | 10,551,065 | |
Zayo Group Holdings, Inc.(b)
4.00%, 03/01/27 | | | | | | | 719 | | | | 708,769 | |
6.13%, 03/01/28 | | | | | | | 931 | | | | 917,035 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 34,272,673 | |
|
| Education — 0.1% | |
Grand Canyon University, 5.13%, 10/01/28 | | | | | | | 702 | | | | 721,523 | |
| | | | | | | | | | | | |
|
| Electric Utilities — 3.3% | |
Cleveland Electric Illuminating Co., 5.95%, 12/15/36 | | | | | | | 434 | | | | 579,290 | |
Duke Energy Carolinas LLC
6.10%, 06/01/37 | | | | | | | 640 | | | | 867,664 | |
6.00%, 01/15/38 | | | | | | | 1,675 | | | | 2,331,053 | |
Duke Energy Florida LLC
6.35%, 09/15/37 | | | | | | | 2,775 | | | | 3,960,140 | |
6.40%, 06/15/38 | | | | | | | 770 | | | | 1,110,067 | |
E.ON International Finance BV, 6.65%, 04/30/38(b) | | | | | | | 3,100 | | | | 4,387,437 | |
Empresas Publicas de Medellin ESP, 4.25%, 07/18/29(b) | | | | | | | 201 | | | | 190,360 | |
FirstEnergy Corp.
2.65%, 03/01/30 | | | | | | | 201 | | | | 198,488 | |
Series B, 2.25%, 09/01/30 | | | | | | | 14 | | | | 13,478 | |
Series C, 7.38%, 11/15/31 | | | | | | | 29 | | | | 39,133 | |
Series C, 3.40%, 03/01/50 | | | | | | | 573 | | | | 561,540 | |
FirstEnergy Transmission LLC(b)
5.45%, 07/15/44 | | | | | | | 313 | | | | 394,989 | |
4.55%, 04/01/49 | | | | | | | 109 | | | | 124,431 | |
NextEra Energy Operating Partners LP, 4.25%, 09/15/24(b) | | | | | | | 3 | | | | 3,105 | |
Ohio Power Co., Series D, 6.60%, 03/01/33 | | | | | | | 3,000 | | | | 4,049,323 | |
PacifiCorp, 6.25%, 10/15/37 | | | | | | | 1,225 | | | | 1,702,479 | |
PG&E Corp., 5.25%, 07/01/30 | | | | | | | 116 | | | | 121,649 | |
Public Power Corp SA, 3.88%, 03/30/26(d) | | | EUR | | | | 100 | | | | 116,935 | |
Southern California Edison Co., 5.63%, 02/01/36 | | | USD | | | | 1,300 | | | | 1,634,560 | |
Virginia Electric & Power Co., Series A, 6.00%, 05/15/37 | | | | | | | 3,920 | | | | 5,359,196 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 27,745,317 | |
|
| Electrical Equipment(b) — 0.0% | |
Gates Global LLC/Gates Corp., 6.25%, 01/15/26 | | | | | | | 212 | | | | 218,890 | |
GrafTech Finance, Inc., 4.63%, 12/15/28 | | | | | | | 91 | | | | 92,365 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 311,255 | |
|
| Electronic Equipment, Instruments & Components — 0.4% | |
Corning, Inc., 4.38%, 11/15/57 | | | | | | | 2,000 | | | | 2,377,651 | |
Energizer Holdings, Inc.(b)
4.75%, 06/15/28 | | | | | | | 57 | | | | 58,211 | |
4.38%, 03/31/29 | | | | | | | 13 | | | | 12,687 | |
Imola Merger Corp., 4.75%, 05/15/29(b) | | | | | | | 163 | | | | 167,246 | |
Vertiv Group Corp., 4.13%, 11/15/28(b) | | | | | | | 393 | | | | 396,930 | |
Xerox Corp., 4.80%, 03/01/35 | | | | | | | 67 | | | | 67,086 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,079,811 | |
|
| Energy Equipment & Services — 0.3% | |
Archrock Partners LP/Archrock Partners Finance Corp.(b)
6.88%, 04/01/27 | | | | | | | 227 | | | | 238,350 | |
6.25%, 04/01/28 | | | | | | | 447 | | | | 466,096 | |
ChampionX Corp., 6.38%, 05/01/26 | | | | | | | 49 | | | | 50,960 | |
Halliburton Co., 5.00%, 11/15/45 | | | | | | | 500 | | | | 597,361 | |
| | |
| 24 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Energy Equipment & Services (continued) | |
USA Compression Partners LP/USA Compression Finance Corp.
6.88%, 04/01/26 | | | USD | | | | 215 | | | $ | 223,600 | |
6.88%, 09/01/27 | | | | | | | 388 | | | | 409,825 | |
Vallourec SA, 8.50%, 06/30/26(d) | | | EUR | | | | 17 | | | | 19,925 | |
Weatherford International Ltd.(b)
6.50%, 09/15/28 | | | USD | | | | 9 | | | | 9,523 | |
8.63%, 04/30/30 | | | | | | | 140 | | | | 145,341 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,160,981 | |
|
| Environmental, Maintenance & Security Service — 0.2% | |
Clean Harbors, Inc., 5.13%, 07/15/29(b) | | | | | | | 109 | | | | 115,540 | |
Covanta Holding Corp., 5.00%, 09/01/30 | | | | | | | 93 | | | | 94,860 | |
Covert Mergeco, Inc., 4.88%, 12/01/29(b) | | | | | | | 50 | | | | 50,750 | |
GFL Environmental, Inc.(b)
4.25%, 06/01/25 | | | | | | | 98 | | | | 100,837 | |
3.75%, 08/01/25 | | | | | | | 18 | | | | 18,180 | |
5.13%, 12/15/26 | | | | | | | 103 | | | | 107,120 | |
4.00%, 08/01/28 | | | | | | | 272 | | | | 266,560 | |
3.50%, 09/01/28 | | | | | | | 131 | | | | 129,035 | |
4.75%, 06/15/29 | | | | | | | 177 | | | | 178,549 | |
4.38%, 08/15/29 | | | | | | | 68 | | | | 67,362 | |
Stericycle, Inc., 3.88%, 01/15/29(b) | | | | | | | 92 | | | | 90,620 | |
Tervita Corp., 11.00%, 12/01/25(b) | | | | | | | 77 | | | | 88,646 | |
Waste Pro USA, Inc., 5.50%, 02/15/26(b) | | | | | | | 342 | | | | 340,290 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,648,349 | |
|
| Equity Real Estate Investment Trusts (REITs) — 1.3% | |
Alexandria Real Estate Equities, Inc., 4.00%, 02/01/50 | | | | | | | 550 | | | | 640,854 | |
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 4.50%, 04/01/27(b) | | | | | | | 120 | | | | 117,728 | |
Crown Castle International Corp., 2.90%, 04/01/41 | | | | | | | 350 | | | | 340,384 | |
CTR Partnership LP/CareTrust Capital Corp., 3.88%, 06/30/28(b) | | | | | | | 110 | | | | 112,200 | |
ERP Operating LP, 4.50%, 06/01/45 | | | | | | | 1,155 | | | | 1,450,991 | |
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27(b) | | | | | | | 95 | | | | 92,779 | |
Healthpeak Properties, Inc., 4.00%, 06/01/25 | | | | | | | 2,000 | | | | 2,151,931 | |
Iron Mountain, Inc.(b)
5.25%, 07/15/30 | | | | | | | 134 | | | | 141,212 | |
5.63%, 07/15/32 | | | | | | | 179 | | | | 191,563 | |
LMIRT Capital Pte Ltd., 7.25%, 06/19/24(d) | | | | | | | 250 | | | | 256,250 | |
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.
5.63%, 05/01/24 | | | | | | | 42 | | | | 44,886 | |
4.63%, 06/15/25(b) | | | | | | | 145 | | | | 154,583 | |
4.50%, 09/01/26 | | | | | | | 198 | | | | 212,850 | |
5.75%, 02/01/27 | | | | | | | 16 | | | | 18,080 | |
4.50%, 01/15/28 | | | | | | | 205 | | | | 221,400 | |
3.88%, 02/15/29(b) | | | | | | | 208 | | | | 218,400 | |
MPT Operating Partnership LP/MPT Finance Corp.
5.00%, 10/15/27 | | | | | | | 28 | | | | 29,295 | |
4.63%, 08/01/29 | | | | | | | 376 | | | | 396,680 | |
3.50%, 03/15/31 | | | | | | | 619 | | | | 625,964 | |
RHP Hotel Properties LP/RHP Finance Corp.
4.75%, 10/15/27 | | | | | | | 280 | | | | 285,600 | |
4.50%, 02/15/29(b) | | | | | | | 4 | | | | 4,000 | |
RLJ Lodging Trust LP(b)
3.75%, 07/01/26 | | | | | | | 76 | | | | 76,418 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Equity Real Estate Investment Trusts (REITs) (continued) | |
RLJ Lodging Trust LP(b) (continued) | |
4.00%, 09/15/29 | | | USD | | | | 66 | | | $ | 65,295 | |
Simon Property Group LP, 4.75%, 03/15/42 | | | | | | | 1,670 | | | | 2,056,933 | |
Trust Fibra Uno, 6.95%, 01/30/44(d) | | | | | | | 200 | | | | 245,538 | |
Ventas Realty LP, 4.13%, 01/15/26 | | | | | | | 870 | | | | 946,657 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,098,471 | |
|
| Food & Staples Retailing — 0.6% | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(b)
3.25%, 03/15/26 | | | | | | | 94 | | | | 95,762 | |
7.50%, 03/15/26 | | | | | | | 65 | | | | 69,387 | |
4.63%, 01/15/27 | | | | | | | 104 | | | | 109,142 | |
5.88%, 02/15/28 | | | | | | | 219 | | | | 232,140 | |
4.88%, 02/15/30 | | | | | | | 95 | | | | 102,573 | |
Bellis Acquisition Co. PLC, 3.25%, 02/16/26(d) | | | GBP | | | | 100 | | | | 130,127 | |
Cydsa SAB de CV, 6.25%, 10/04/27(b) | | | USD | | | | 319 | | | | 328,032 | |
Health & Happiness H&H International Holdings Ltd., 5.63%, 10/24/24(d) | | | | | | | 200 | | | | 199,600 | |
Kraft Heinz Foods Co.
5.00%, 07/15/35 | | | | | | | 62 | | | | 75,847 | |
6.88%, 01/26/39 | | | | | | | 160 | | | | 235,157 | |
4.63%, 10/01/39 | | | | | | | 53 | | | | 62,248 | |
6.50%, 02/09/40 | | | | | | | 110 | | | | 156,447 | |
5.00%, 06/04/42 | | | | | | | 86 | | | | 106,980 | |
5.20%, 07/15/45 | | | | | | | 95 | | | | 120,790 | |
4.38%, 06/01/46 | | | | | | | 275 | | | | 322,025 | |
4.88%, 10/01/49 | | | | | | | 600 | | | | 753,565 | |
5.50%, 06/01/50 | | | | | | | 922 | | | | 1,248,283 | |
Lamb Weston Holdings, Inc.(b)
4.88%, 05/15/28 | | | | | | | 53 | | | | 57,373 | |
4.13%, 01/31/30 | | | | | | | 112 | | | | 114,933 | |
4.38%, 01/31/32 | | | | | | | 108 | | | | 111,377 | |
Ocado Group PLC, 3.88%, 10/08/26(d) | | | GBP | | | | 100 | | | | 131,775 | |
Performance Food Group, Inc., 4.25%, 08/01/29(b) | | | USD | | | | 212 | | | | 210,317 | |
Post Holdings, Inc.(b)
5.50%, 12/15/29 | | | | | | | 44 | | | | 46,228 | |
4.63%, 04/15/30 | | | | | | | 47 | | | | 47,870 | |
4.50%, 09/15/31 | | | | | | | 68 | | | | 67,490 | |
US Foods, Inc., 4.75%, 02/15/29(b) | | | | | | | 187 | | | | 190,039 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,325,507 | |
|
| Food Products(b) — 0.2% | |
Aramark Services, Inc., 5.00%, 04/01/25 | | | | | | | 46 | | | | 46,929 | |
Chobani LLC/Chobani Finance Corp., Inc.
7.50%, 04/15/25 | | | | | | | 262 | | | | 269,716 | |
4.63%, 11/15/28 | | | | | | | 162 | | | | 166,448 | |
Grupo Bimbo SAB de CV, (5 year CMT + 3.28%), 5.95%(a)(i) | | | | | | | 200 | | | | 206,662 | |
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.75%, 12/01/31 | | | | | | | 296 | | | | 300,440 | |
MHP Lux SA, 6.25%, 09/19/29 | | | | | | | 200 | | | | 187,788 | |
Pilgrim’s Pride Corp.
4.25%, 04/15/31 | | | | | | | 17 | | | | 17,850 | |
3.50%, 03/01/32 | | | | | | | 377 | | | | 380,770 | |
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29 | | | | | | | 177 | | | | 174,345 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,750,948 | |
| | |
SCHEDULE OF INVESTMENTS | | 25 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
| | | |
| Gas Utilities — 0.0% | | | | | | | | | |
Suburban Propane Partners LP/Suburban Energy Finance Corp.,
5.00%, 06/01/31(b) | | | USD | | | | 90 | | | $ | 91,013 | |
| | | | | | | | | | | | |
|
| Health Care Equipment & Supplies — 0.4% | |
Avantor Funding, Inc.(b) | | | | | | | | | | | | |
4.63%, 07/15/28 | | | | | | | 308 | | | | 321,090 | |
3.88%, 11/01/29 | | | | | | | 178 | | | | 179,942 | |
Hologic, Inc., 3.25%, 02/15/29(b) | | | | | | | 25 | | | | 25,000 | |
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical
Diagnostics SA(b) | | | | | | | | | | | | |
7.38%, 06/01/25 | | | | | | | 240 | | | | 253,200 | |
7.25%, 02/01/28 | | | | | | | 721 | | | | 775,075 | |
Thermo Fisher Scientific, Inc.,
5.30%, 02/01/44 | | | | | | | 1,000 | | | | 1,375,376 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,929,683 | |
| | | |
| Health Care Providers & Services — 2.0% | | | | | | | | | |
Acadia Healthcare Co., Inc.(b) | | | | | | | | | | | | |
5.50%, 07/01/28 | | | | | | | 66 | | | | 69,371 | |
5.00%, 04/15/29 | | | | | | | 91 | | | | 93,503 | |
AdaptHealth LLC(b) | | | | | | | | | | | | |
6.13%, 08/01/28 | | | | | | | 49 | | | | 51,940 | |
5.13%, 03/01/30 | | | | | | | 34 | | | | 34,595 | |
Aetna, Inc., 4.50%, 05/15/42 | | | | | | | 575 | | | | 679,483 | |
AHP Health Partners, Inc.,
5.75%, 07/15/29(b) | | | | | | | 211 | | | | 208,890 | |
Anthem, Inc. | | | | | | | | | | | | |
2.75%, 10/15/42(g) | | | | | | | 86 | | | | 565,106 | |
4.38%, 12/01/47 | | | | | | | 1,000 | | | | 1,218,256 | |
3.60%, 03/15/51 | | | | | | | 600 | | | | 665,972 | |
Cano Health LLC, 6.25%, 10/01/28(b) | | | | | | | 85 | | | | 85,002 | |
Centene Corp. | | | | | | | | | | | | |
4.25%, 12/15/27 | | | | | | | 66 | | | | 68,805 | |
2.45%, 07/15/28 | | | | | | | 417 | | | | 410,745 | |
4.63%, 12/15/29 | | | | | | | 666 | | | | 718,254 | |
3.00%, 10/15/30 | | | | | | | 498 | | | | 506,222 | |
2.50%, 03/01/31 | | | | | | | 807 | | | | 785,627 | |
2.63%, 08/01/31 | | | | | | | 330 | | | | 323,400 | |
CHS/Community Health Systems, Inc.(b) | | | | | | | | | | | | |
6.63%, 02/15/25 | | | | | | | 386 | | | | 399,510 | |
8.00%, 03/15/26 | | | | | | | 931 | | | | 978,714 | |
5.63%, 03/15/27 | | | | | | | 419 | | | | 443,440 | |
6.00%, 01/15/29 | | | | | | | 332 | | | | 353,995 | |
6.13%, 04/01/30 | | | | | | | 203 | | | | 200,832 | |
DaVita, Inc., 4.63%, 06/01/30(b) | | | | | | | 7 | | | | 7,166 | |
Encompass Health Corp. | | | | | | | | | | | | |
4.50%, 02/01/28 | | | | | | | 31 | | | | 31,891 | |
4.75%, 02/01/30 | | | | | | | 260 | | | | 267,800 | |
4.63%, 04/01/31 | | | | | | | 141 | | | | 143,467 | |
HCA, Inc. | | | | | | | | | | | | |
5.63%, 09/01/28 | | | | | | | 103 | | | | 120,354 | |
5.88%, 02/01/29 | | | | | | | 126 | | | | 150,135 | |
3.50%, 09/01/30 | | | | | | | 496 | | | | 524,210 | |
5.50%, 06/15/47 | | | | | | | 1,090 | | | | 1,426,310 | |
Legacy LifePoint Health LLC(b) | | | | | | | | | | | | |
6.75%, 04/15/25 | | | | | | | 130 | | | | 135,525 | |
4.38%, 02/15/27 | | | | | | | 65 | | | | 65,488 | |
LifePoint Health, Inc., 5.38%, 01/15/29(b) | | | | | | | 253 | | | | 251,735 | |
ModivCare Escrow Issuer, Inc.,
5.00%, 10/01/29(b) | | | | | | | 113 | | | | 115,402 | |
ModivCare, Inc., 5.88%, 11/15/25(b) | | | | | | | 48 | | | | 50,400 | |
Molina Healthcare, Inc.(b) | | | | | | | | | | | | |
4.38%, 06/15/28 | | | | | | | 123 | | | | 126,690 | |
3.88%, 11/15/30 | | | | | | | 152 | | | | 157,700 | |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
|
| Health Care Providers & Services (continued) | |
Molina Healthcare, Inc.(b) (continued) | | | | | | | | | | | | |
3.88%, 05/15/32 | | | USD | | | | 134 | | | $ | 134,838 | |
Mozart Debt Merger Sub, Inc.(b) | | | | | | | | | | | | |
3.88%, 04/01/29 | | | | | | | 274 | | | | 273,033 | |
5.25%, 10/01/29 | | | | | | | 837 | | | | 848,417 | |
Northwell Healthcare, Inc., 4.26%, 11/01/47 | | | | | | | 725 | | | | 855,915 | |
Prime Healthcare Services, Inc.,
7.25%, 11/01/25(b) | | | | | | | 195 | | | | 206,700 | |
RegionalCare Hospital Partners Holdings,
Inc./LifePoint Health, Inc., 9.75%, 12/01/26(b) | | | | | | | 68 | | | | 71,856 | |
Surgery Center Holdings, Inc.(b) | | | | | | | | | | | | |
6.75%, 07/01/25 | | | | | | | 378 | | | | 380,835 | |
10.00%, 04/15/27 | | | | | | | 475 | | | | 504,687 | |
Tenet Healthcare Corp.(b) | | | | | | | | | | | | |
4.63%, 09/01/24 | | | | | | | 98 | | | | 100,205 | |
7.50%, 04/01/25 | | | | | | | 119 | | | | 125,242 | |
4.88%, 01/01/26 | | | | | | | 311 | | | | 319,437 | |
6.25%, 02/01/27 | | | | | | | 13 | | | | 13,455 | |
5.13%, 11/01/27 | | | | | | | 350 | | | | 364,437 | |
4.63%, 06/15/28 | | | | | | | 55 | | | | 56,513 | |
6.13%, 10/01/28 | | | | | | | 220 | | | | 232,366 | |
4.25%, 06/01/29 | | | | | | | 108 | | | | 109,673 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 17,033,544 | |
| | | |
| Health Care Technology — 0.3% | | | | | | | | | |
Catalent Pharma Solutions, Inc. | | | | | | | | | | | | |
2.38%, 03/01/28(d) | | | EUR | | | | 100 | | | | 113,612 | |
3.13%, 02/15/29(b) | | | USD | | | | 123 | | | | 121,327 | |
3.50%, 04/01/30(b) | | | | | | | 314 | | | | 313,110 | |
Change Healthcare Holdings LLC/Change
Healthcare Finance, Inc., 5.75%, 03/01/25(b) | | | | | | | 518 | | | | 522,445 | |
Charles River Laboratories International, Inc.(b) | | | | | | | | | | | | |
4.25%, 05/01/28 | | | | | | | 67 | | | | 69,680 | |
3.75%, 03/15/29 | | | | | | | 23 | | | | 23,230 | |
4.00%, 03/15/31 | | | | | | | 66 | | | | 67,624 | |
Chrome Bidco SASU, 3.50%, 05/31/28(d) | | | EUR | | | | 100 | | | | 114,703 | |
IQVIA, Inc.(b) | | | | | | | | | | | | |
5.00%, 10/15/26 | | | USD | | | | 280 | | | | 287,350 | |
5.00%, 05/15/27 | | | | | | | 266 | | | | 275,390 | |
MEDNAX, Inc., 6.25%, 01/15/27(b) | | | | | | | 85 | | | | 88,931 | |
Syneos Health, Inc., 3.63%, 01/15/29(b) | | | | | | | 216 | | | | 213,300 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,210,702 | |
| | | |
| Hotels, Restaurants & Leisure — 2.1% | | | | | | | | | |
1011778 BC ULC/New Red Finance, Inc.(b) | | | | | | | | | | | | |
3.88%, 01/15/28 | | | | | | | 289 | | | | 292,688 | |
4.38%, 01/15/28 | | | | | | | 138 | | | | 140,760 | |
Accor SA, (5 year EUR Swap + 4.56%), | | | | | | | | | | | | |
4.38%(a)(d)(i) | | | EUR | | | | 100 | | | | 115,700 | |
Affinity Gaming, 6.88%, 12/15/27(b) | | | USD | | | | 23 | | | | 23,920 | |
Boyd Gaming Corp. | | | | | | | | | | | | |
8.63%, 06/01/25(b) | | | | | | | 32 | | | | 34,289 | |
4.75%, 12/01/27 | | | | | | | 121 | | | | 123,420 | |
4.75%, 06/15/31(b) | | | | | | | 219 | | | | 223,380 | |
Boyne USA, Inc., 4.75%, 05/15/29(b) | | | | | | | 166 | | | | 170,980 | |
Caesars Entertainment, Inc.(b) | | | | | | | | | | | | |
6.25%, 07/01/25 | | | | | | | 652 | | | | 684,356 | |
8.13%, 07/01/27 | | | | | | | 655 | | | | 725,373 | |
4.63%, 10/15/29 | | | | | | | 364 | | | | 364,000 | |
Caesars Resort Collection LLC/CRC Finco, Inc., | |
5.75%, 07/01/25(b) | | | | | | | 80 | | | | 83,545 | |
| | |
| 26 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
| | | |
| Hotels, Restaurants & Leisure (continued) | | | | | | | | | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 05/01/25(b) | | | USD | | | | 355 | | | $ | 367,425 | |
Champion Path Holdings Ltd.(d) | | | | | | | | | | | | |
4.50%, 01/27/26 | | | | | | | 200 | | | | 191,500 | |
4.85%, 01/27/28 | | | | | | | 400 | | | | 380,825 | |
Churchill Downs, Inc., 4.75%, 01/15/28(b) | | | | | | | 122 | | | | 126,270 | |
Corvias Campus Living USG LLC, 5.30%, 07/01/50(c) | | | | | | | 5,637 | | | | 3,931,197 | |
Empire Resorts, Inc., 7.75%, 11/01/26(b) | | | | | | | 200 | | | | 201,000 | |
Everi Holdings, Inc., 5.00%, 07/15/29(b) | | | | | | | 35 | | | | 35,350 | |
Fortune Star BVI Ltd.(d) | | | | | | | | | | | | |
5.95%, 01/29/23 | | | | | | | 200 | | | | 201,920 | |
6.75%, 07/02/23 | | | | | | | 250 | | | | 254,400 | |
5.95%, 10/19/25 | | | | | | | 400 | | | | 400,840 | |
5.00%, 05/18/26 | | | | | | | 400 | | | | 383,480 | |
5.05%, 01/27/27 | | | | | | | 200 | | | | 190,020 | |
Golden Nugget, Inc., 6.75%, 10/15/24(b) | | | | | | | 462 | | | | 462,000 | |
Hilton Domestic Operating Co., Inc. | | | | | | | | | | | | |
5.38%, 05/01/25(b) | | | | | | | 39 | | | | 40,583 | |
4.88%, 01/15/30 | | | | | | | 215 | | | | 229,781 | |
4.00%, 05/01/31(b) | | | | | | | 184 | | | | 188,147 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.88%, 04/01/27 | | | | | | | 44 | | | | 45,320 | |
McDonald’s Corp., 3.70%, 02/15/42 | | | | | | | 1,750 | | | | 1,931,607 | |
Melco Resorts Finance Ltd., 5.25%, 04/26/26(d) | | | | | | | 250 | | | | 246,609 | |
Merlin Entertainments Ltd., 5.75%, 06/15/26(b) | | | | | | | 200 | | | | 208,000 | |
MGM China Holdings Ltd., 5.88%, 05/15/26(d) | | | | | | | 450 | | | | 450,647 | |
MGM Resorts International, 7.75%, 03/15/22 | | | | | | | 19 | | | | 19,238 | |
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29(b) | | | | | | | 159 | | | | 159,795 | |
Penn National Gaming, Inc., 4.13%, 07/01/29(b) | | | | | | | 61 | | | | 59,170 | |
Powdr Corp., 6.00%, 08/01/25(b) | | | | | | | 240 | | | | 249,600 | |
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.(b) | | | | | | | | | | | | |
5.63%, 09/01/29 | | | | | | | 63 | | | | 62,508 | |
5.88%, 09/01/31 | | | | | | | 79 | | | | 79,274 | |
Raptor Acquisition Corp./Raptor Co-Issuer LLC, 4.88%, 11/01/26(b) | | | | | | | 121 | | | | 122,210 | |
Scientific Games International, Inc. | | | | | | | | | | | | |
8.63%, 07/01/25(b) | | | | | | | 136 | | | | 145,180 | |
3.38%, 02/15/26(d) | | | EUR | | | | 100 | | | | 114,733 | |
8.25%, 03/15/26(b) | | | USD | | | | 203 | | | | 213,658 | |
7.00%, 05/15/28(b) | | | | | | | 100 | | | | 106,500 | |
7.25%, 11/15/29(b) | | | | | | | 96 | | | | 107,040 | |
Six Flags Theme Parks, Inc., 7.00%, 07/01/25(b) | | | | | | | 378 | | | | 403,682 | |
Station Casinos LLC, 4.63%, 12/01/31(b) | | | | | | | 163 | | | | 164,337 | |
Stonegate Pub Co. Financing PLC, 8.25%, | | | | | | | | | | | | |
07/31/25(d) | | | GBP | | | | 100 | | | | 137,182 | |
Studio City Finance Ltd., 6.00%, 07/15/25(d) | | | USD | | | | 300 | | | | 289,556 | |
Vail Resorts, Inc., 6.25%, 05/15/25(b) | | | | | | | 105 | | | | 109,200 | |
Wyndham Hotels & Resorts, Inc., 4.38%, | | | | | | | | | | | | |
08/15/28(b) | | | | | | | 104 | | | | 107,120 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27(b) | | | | | | | 125 | | | | 127,790 | |
Wynn Macau Ltd.(d) | | | | | | | | | | | | |
4.88%, 10/01/24 | | | | | | | 200 | | | | 187,475 | |
5.50%, 01/15/26 | | | | | | | 317 | | | | 294,810 | |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
| | | |
| Hotels, Restaurants & Leisure (continued) | | | | | | | | | |
Wynn Macau Ltd.(d) (continued) | | | | | | | | | | | | |
5.50%, 10/01/27 | | | USD | | | | 200 | | | $ | 186,000 | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(b) | | | | | | | | | | | | |
7.75%, 04/15/25 | | | | | | | 163 | | | | 170,946 | |
5.13%, 10/01/29 | | | | | | | 393 | | | | 398,895 | |
Yum! Brands, Inc. | | | | | | | | | | | | |
4.75%, 01/15/30(b) | | | | | | | 2 | | | | 2,165 | |
3.63%, 03/15/31 | | | | | | | 62 | | | | 61,768 | |
5.35%, 11/01/43 | | | | | | | 44 | | | | 48,655 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 17,577,819 | |
| | | |
| Household Durables — 0.3% | | | | | | | | | |
Ashton Woods USA LLC/Ashton Woods Finance Co.(b) | | | | | | | | | | | | |
4.63%, 08/01/29 | | | | | | | 68 | | | | 67,150 | |
4.63%, 04/01/30 | | | | | | | 68 | | | | 66,810 | |
Brookfield Residential Properties, Inc./Brookfield Residential US LLC(b) | | | | | | | | | | | | |
5.00%, 06/15/29 | | | | | | | 141 | | | | 141,099 | |
4.88%, 02/15/30 | | | | | | | 178 | | | | 182,060 | |
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25(b) | | | | | | | 173 | | | | 181,650 | |
Controladora Mabe SA de CV, 5.60%, 10/23/28(b) | | | | | | | 215 | | | | 244,401 | |
Forestar Group, Inc., 3.85%, 05/15/26(b) | | | | | | | 70 | | | | 70,175 | |
K Hovnanian Enterprises, Inc., 7.75%, 02/15/26(b) | | | | | | | 206 | | | | 215,270 | |
Mattamy Group Corp., 4.63%, 03/01/30(b) | | | | | | | 135 | | | | 137,491 | |
Meritage Homes Corp., 5.13%, 06/06/27 | | | | | | | 35 | | | | 38,546 | |
NCR Corp.(b) | | | | | | | | | | | | |
5.00%, 10/01/28 | | | | | | | 73 | | | | 75,190 | |
5.13%, 04/15/29 | | | | | | | 91 | | | | 94,203 | |
6.13%, 09/01/29 | | | | | | | 57 | | | | 60,913 | |
Newell Brands, Inc., 6.00%, 04/01/46 | | | | | | | 75 | | | | 96,228 | |
SWF Escrow Issuer Corp., 6.50%, 10/01/29(b) | | | | | | | 187 | | | | 179,745 | |
Taylor Morrison Communities, Inc.(b) | | | | | | | | | | | | |
5.88%, 06/15/27 | | | | | | | 119 | | | | 133,280 | |
5.13%, 08/01/30 | | | | | | | 37 | | | | 40,700 | |
Tempur Sealy International, Inc.(b) | | | | | | | | | | | | |
4.00%, 04/15/29 | | | | | | | 183 | | | | 186,202 | |
3.88%, 10/15/31 | | | | | | | 186 | | | | 186,352 | |
Toll Brothers Finance Corp., 4.35%, 02/15/28 | | | | | | | 8 | | | | 8,760 | |
Tri Pointe Homes, Inc., 5.25%, 06/01/27 | | | | | | | 28 | | | | 30,065 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,436,290 | |
|
| 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(d) | | | | | | | 200 | | | | 216,475 | |
Azure Power Solar Energy Pvt Ltd., 5.65%, 12/24/24(d) | | | | | | | 200 | | | | 210,037 | |
Calpine Corp.(b) | | | | | | | | | | | | |
4.50%, 02/15/28 | | | | | | | 35 | | | | 36,313 | |
5.13%, 03/15/28 | | | | | | | 611 | | | | 620,263 | |
4.63%, 02/01/29 | | | | | | | 70 | | | | 69,038 | |
5.00%, 02/01/31 | | | | | | | 22 | | | | 22,000 | |
3.75%, 03/01/31 | | | | | | | 4 | | | | 3,855 | |
Clearway Energy Operating LLC(b) | | | | | | | | | | | | |
4.75%, 03/15/28 | | | | | | | 84 | | | | 88,305 | |
3.75%, 01/15/32 | | | | | | | 177 | | | | 175,672 | |
Greenko Dutch BV, 3.85%, 03/29/26(d) | | | | | | | 394 | | | | 397,940 | |
| | |
SCHEDULE OF INVESTMENTS | | 27 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
|
| Independent Power and Renewable Electricity Producers (continued) | |
Greenko Solar Mauritius Ltd., 5.95%, 07/29/26(d) | | | USD | | | | 200 | | | $ | 212,750 | |
India Green Energy Holdings, 5.38%, 04/29/24(d) | | | | | | | 250 | | | | 258,125 | |
NRG Energy, Inc.(b) | | | | | | | | | | | | |
5.25%, 06/15/29 | | | | | | | 47 | | | | 50,355 | |
3.63%, 02/15/31 | | | | | | | 183 | | | | 178,425 | |
3.88%, 02/15/32 | | | | | | | 190 | | | | 186,200 | |
ReNew Power Pvt Ltd., 5.88%, 03/05/27(d) | | | | | | | 306 | | | | 317,873 | |
ReNew Power Synthetic, 6.67%, 03/12/24(d) | | | | | | | 200 | | | | 207,850 | |
TerraForm Power Operating LLC, 4.75%, 01/15/30(b) | | | | | | | 121 | | | | 126,852 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,378,328 | |
| | | |
| Industrial Conglomerates — 0.0% | | | | | | | | | |
Metalloinvest Finance DAC, 3.38%, 10/22/28(b) | | | | | | | 216 | | | | 213,451 | |
| | | | | | | | | | | | |
| | | |
| Insurance — 3.2% | | | | | | | | | |
Acrisure LLC/Acrisure Finance, Inc., 6.00%, 08/01/29(b) | | | | | | | 140 | | | | 138,250 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer(b) | | | | | | | | | | | | |
4.25%, 10/15/27 | | | | | | | 749 | | | | 749,000 | |
6.75%, 10/15/27 | | | | | | | 1,126 | | | | 1,168,225 | |
5.88%, 11/01/29 | | | | | | | 780 | | | | 793,572 | |
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25 | | | | | | | 1,495 | | | | 1,604,109 | |
Allstate Corp.(a) | | | | | | | | | | | | |
(3 mo. LIBOR US + 2.12%), 6.50%, 05/15/67 | | | | | | | 1,750 | | | | 2,296,875 | |
Series B, (3 mo. LIBOR US + 2.94%), 5.75%, 08/15/53 | | | | | | | 2,000 | | | | 2,080,000 | |
AmWINS Group, Inc., 4.88%, 06/30/29(b) | | | | | | | 164 | | | | 165,640 | |
Aon PLC | | | | | | | | | | | | |
3.88%, 12/15/25 | | | | | | | 1,445 | | | | 1,560,921 | |
4.60%, 06/14/44 | | | | | | | 500 | | | | 613,639 | |
Asahi Mutual Life Insurance Co., (5 year USD Swap + 4.59%), 6.50%(a)(d)(i) | | | | | | | 333 | | | | 351,315 | |
AssuredPartners, Inc., 5.63%, 01/15/29(b) | | | | | | | 99 | | | | 96,278 | |
BroadStreet Partners, Inc., 5.88%, 04/15/29(b) | | | | | | | 81 | | | | 79,583 | |
Five Corners Funding Trust, 4.42%, 11/15/23(b) | | | | | | | 2,050 | | | | 2,172,816 | |
Galaxy Bidco Ltd., 6.50%, 07/31/26(d) | | | GBP | | | | 100 | | | | 139,307 | |
GTCR AP Finance, Inc., 8.00%, 05/15/27(b) | | | USD | | | | 161 | | | | 167,038 | |
HUB International Ltd., 7.00%, 05/01/26(b) | | | | | | | 415 | | | | 426,412 | |
Liberty Mutual Group, Inc., 6.50%, 05/01/42(b) | | | | | | | 2,000 | | | | 2,844,617 | |
Nationwide Building Society, (5 year USD ICE Swap + 1.85%), 4.13%, 10/18/32(a)(b) | | | | | | | 720 | | | | 767,591 | |
Prudential Financial, Inc. | | | | | | | | | | | | |
5.90%, 03/17/36 | | | | | | | 500 | | | | 655,865 | |
5.70%, 12/14/36 | | | | | | | 1,625 | | | | 2,182,864 | |
Teachers Insurance & Annuity Association of America, 4.27%, 05/15/47(b) | | | | | | | 700 | | | | 845,481 | |
Voya Financial, Inc., (3 mo. LIBOR US + 3.58%), | | | | | | | | | | | | |
5.65%, 05/15/53(a) | | | | | | | 4,500 | | | | 4,651,875 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 26,551,273 | |
| | | |
| Interactive Media & Services(b) — 0.1% | | | | | | | | | |
Arches Buyer, Inc., 4.25%, 06/01/28 | | | | | | | 73 | | | | 72,962 | |
Cablevision Lightpath LLC | | | | | | | | | | | | |
3.88%, 09/15/27 | | | | | | | 220 | | | | 213,400 | |
5.63%, 09/15/28 | | | | | | | 400 | | | | 394,324 | |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. | | | | | | | | | | | | |
4.75%, 04/30/27 | | | | | | | 205 | | | | 202,950 | |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
|
| Interactive Media & Services (continued) | |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. (continued) | | | | | | | | | | | | |
6.00%, 02/15/28 | | | USD | | | | 147 | | | $ | 144,060 | |
Twitter, Inc., 3.88%, 12/15/27 | | | | | | | 195 | | | | 203,215 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,230,911 | |
| | | |
| Internet Software & Services — 0.4% | | | | | | | | | |
Airbnb, Inc., 0.00%, 03/15/26(b)(g)(h) | | | | | | | 383 | | | | 374,766 | |
ANGI Group LLC, 3.88%, 08/15/28(b) | | | | | | | 174 | | | | 170,085 | |
Booking Holdings, Inc., 0.75%, 05/01/25(g) | | | | | | | 256 | | | | 375,936 | |
Go Daddy Operating Co. LLC/GD Finance Co., Inc.(b) | | | | | | | | | | | | |
5.25%, 12/01/27 | | | | | | | 27 | | | | 27,911 | |
3.50%, 03/01/29 | | | | | | | 84 | | | | 83,357 | |
Match Group Holdings II LLC(b) | | | | | | | | | | | | |
4.13%, 08/01/30 | | | | | | | 20 | | | | 20,200 | |
3.63%, 10/01/31 | | | | | | | 73 | | | | 70,901 | |
Uber Technologies, Inc. | | | | | | | | | | | | |
0.00%, 12/15/25(g)(h) | | | | | | | 1,068 | | | | 1,048,242 | |
8.00%, 11/01/26(b) | | | | | | | 132 | | | | 140,580 | |
7.50%, 09/15/27(b) | | | | | | | 412 | | | | 448,378 | |
6.25%, 01/15/28(b) | | | | | | | 133 | | | | 142,776 | |
4.50%, 08/15/29(b) | | | | | | | 316 | | | | 321,795 | |
Zillow Group, Inc., 1.38%, 09/01/26(g) | | | | | | | 37 | | | | 59,454 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,284,381 | |
| | | |
| IT Services — 0.6% | | | | | | | | | |
Ahead DB Holdings LLC, 6.63%, 05/01/28(b) | | | | | | | 74 | | | | 73,445 | |
Austin BidCo, Inc., 7.13%, 12/15/28(b) | | | | | | | 48 | | | | 49,560 | |
Booz Allen Hamilton, Inc.(b) | | | | | | | | | | | | |
3.88%, 09/01/28 | | | | | | | 190 | | | | 193,325 | |
4.00%, 07/01/29 | | | | | | | 255 | | | | 263,386 | |
CA Magnum Holdings, 5.38%, 10/31/26(b) | | | | | | | 258 | | | | 266,720 | |
Camelot Finance SA, 4.50%, 11/01/26(b) | | | | | | | 81 | | | | 83,835 | |
Castle US Holding Corp., 9.50%, 02/15/28(b) | | | | | | | 171 | | | | 178,268 | |
Dun & Bradstreet Corp.(b) | | | | | | | | | | | | |
6.88%, 08/15/26 | | | | | | | 162 | | | | 168,480 | |
5.00%, 12/15/29 | | | | | | | 237 | | | | 242,458 | |
Fair Isaac Corp., 4.00%, 06/15/28(b) | | | | | | | 240 | | | | 246,703 | |
Fidelity National Information Services, Inc., 4.50%, 08/15/46 | | | | | | | 1,000 | | | | 1,210,475 | |
Fiserv, Inc., 4.40%, 07/01/49 | | | | | | | 500 | | | | 595,673 | |
Gartner, Inc.(b) | | | | | | | | | | | | |
4.50%, 07/01/28 | | | | | | | 199 | | | | 207,833 | |
3.63%, 06/15/29 | | | | | | | 209 | | | | 211,309 | |
3.75%, 10/01/30 | | | | | | | 99 | | | | 101,218 | |
KBR, Inc., 4.75%, 09/30/28(b) | | | | | | | 124 | | | | 126,480 | |
Rackspace Technology Global, Inc., 5.38%, 12/01/28(b)(j) | | | | | | | 103 | | | | 100,425 | |
Science Applications International Corp., 4.88%, 04/01/28(b) | | | | | | | 63 | | | | 64,575 | |
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 5.75%, 06/01/25(b) | | | | | | | 168 | | | | 173,880 | |
Twilio, Inc., 3.88%, 03/15/31 | | | | | | | 237 | | | | 239,299 | |
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29(b) | | | | | | | 263 | | | | 260,738 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,058,085 | |
| | | |
| Leisure Products — 0.1% | | | | | | | | | |
Mattel, Inc. | | | | | | | | | | | | |
5.88%, 12/15/27(b) | | | | | | | 77 | | | | 82,772 | |
| | |
| 28 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Leisure Products (continued) | | | | | | | | | |
Mattel, Inc. (continued)
3.75%, 04/01/29(b) | | | USD | | | | 69 | | | $ | 71,501 | |
6.20%, 10/01/40 | | | | | | | 223 | | | | 288,533 | |
5.45%, 11/01/41 | | | | | | | 149 | | | | 177,869 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 620,675 | |
| | | |
| Machinery — 0.3% | | | | | | | | | |
ATS Automation Tooling Systems, Inc., 4.13%,
12/15/28(b) | | | | | | | 71 | | | | 71,533 | |
Colfax Corp., 6.38%, 02/15/26(b) | | | | | | | 79 | | | | 81,666 | |
Husky III Holding Ltd., (13.00% Cash or 13.75%
PIK), 13.00%, 02/15/25(b)(k) | | | | | | | 241 | | | | 253,050 | |
Madison IAQ LLC(b)
4.13%, 06/30/28 | | | | | | | 36 | | | | 36,090 | |
5.88%, 06/30/29 | | | | | | | 280 | | | | 280,000 | |
Mueller Water Products, Inc., 4.00%, 06/15/29(b) | | | | | | | 94 | | | | 94,940 | |
OT Merger Corp., 7.88%, 10/15/29(b) | | | | | | | 78 | | | | 76,733 | |
Platin 1426 GmbH, 5.38%, 06/15/23(d) | | | EUR | | | | 100 | | | | 113,623 | |
Stevens Holding Co., Inc., 6.13%, 10/01/26(b) | | | USD | | | | 90 | | | | 95,963 | |
Terex Corp., 5.00%, 05/15/29(b) | | | | | | | 185 | | | | 190,087 | |
Titan Acquisition Ltd./Titan Co-Borrower LLC,
7.75%, 04/15/26(b) | | | | | | | 469 | | | | 476,035 | |
TK Elevator Holdco GmbH, 7.63%, 07/15/28(b) | | | | | | | 200 | | | | 214,250 | |
TK Elevator Midco GmbH, 4.38%, 07/15/27(d) | | | EUR | | | | 100 | | | | 117,550 | |
TK Elevator US Newco Inc., 5.25%, 07/15/27(b) | | | USD | | | | 266 | | | | 279,632 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,381,152 | |
| | | |
| Media — 5.7% | | | | | | | | | |
Altice Financing SA
3.00%, 01/15/28(d) | | | EUR | | | | 100 | | | | 107,753 | |
5.00%, 01/15/28(b) | | | USD | | | | 239 | | | | 233,238 | |
5.75%, 08/15/29(b) | | | | | | | 730 | | | | 722,700 | |
Altice France Holding SA(b)
10.50%, 05/15/27 | | | | | | | 1,088 | | | | 1,169,600 | |
6.00%, 02/15/28 | | | | | | | 257 | | | | 245,435 | |
AMC Entertainment Holdings, Inc., (10.00%
Cash or 12.00% PIK), 10.00%, 06/15/26(b)(k) | | | | | | | 185 | | | | 182,790 | |
AMC Networks, Inc.
5.00%, 04/01/24 | | | | | | | 2 | | | | 2,015 | |
4.75%, 08/01/25 | | | | | | | 135 | | | | 137,869 | |
4.25%, 02/15/29 | | | | | | | 83 | | | | 82,481 | |
Bell Canada, 3.65%, 03/17/51 | | | | | | | 335 | | | | 367,795 | |
Block Communications, Inc., 4.88%, 03/01/28(b) | | | | | | | 87 | | | | 87,000 | |
Cable One, Inc., 1.13%, 03/15/28(b)(g) | | | | | | | 694 | | | | 686,939 | |
CCO Holdings LLC/CCO Holdings Capital Corp.
5.00%, 02/01/28(b) | | | | | | | 189 | | | | 196,560 | |
5.38%, 06/01/29(b) | | | | | | | 49 | | | | 52,878 | |
4.75%, 03/01/30(b) | | | | | | | 132 | | | | 137,280 | |
4.50%, 08/15/30(b) | | | | | | | 380 | | | | 388,812 | |
4.25%, 02/01/31(b) | | | | | | | 419 | | | | 422,679 | |
4.50%, 05/01/32 | | | | | | | 250 | | | | 257,187 | |
4.50%, 06/01/33(b) | | | | | | | 199 | | | | 203,026 | |
4.25%, 01/15/34(b) | | | | | | | 649 | | | | 638,504 | |
Charter Communications Operating LLC/Charter | | | | | | | | | | | | |
Communications Operating Capital | | | | | | | | | | | | |
4.91%, 07/23/25 | | | | | | | 4,700 | | | | 5,175,209 | |
5.38%, 05/01/47 | | | | | | | 1,100 | | | | 1,312,966 | |
4.80%, 03/01/50 | | | | | | | 1,000 | | | | 1,119,634 | |
Clear Channel International BV,
6.63%, 08/01/25(b) | | | | | | | 256 | | | | 265,600 | |
Clear Channel Outdoor Holdings, Inc.(b)
7.75%, 04/15/28 | | | | | | | 413 | | | | 441,910 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Media (continued) | | | | | | | | | |
Clear Channel Outdoor Holdings, Inc.(b)
(continued) 7.50%, 06/01/29 | | | USD | | | | 591 | | | $ | 630,892 | |
Clear Channel Worldwide Holdings, Inc.,
5.13%, 08/15/27(b) | | | | | | | 764 | | | | 790,557 | |
Comcast Cable Communications Holdings, Inc.,
9.46%, 11/15/22 | | | | | | | 2,600 | | | | 2,800,647 | |
Comcast Corp.
6.45%, 03/15/37 | | | | | | | 790 | | | | 1,147,708 | |
4.60%, 08/15/45 | | | | | | | 2,000 | | | | 2,487,364 | |
4.70%, 10/15/48 | | | | | | | 3,000 | | | | 3,820,035 | |
Connect Finco Sarl/Connect US Finco LLC,
6.75%, 10/01/26(b) | | | | | | | 1,493 | | | | 1,569,516 | |
CSC Holdings LLC
5.25%, 06/01/24 | | | | | | | 166 | | | | 172,640 | |
5.75%, 01/15/30(b) | | | | | | | 443 | | | | 441,339 | |
4.13%, 12/01/30(b) | | | | | | | 200 | | | | 195,250 | |
4.63%, 12/01/30(b) | | | | | | | 254 | | | | 240,348 | |
4.50%, 11/15/31(b) | | | | | | | 316 | | | | 312,050 | |
5.00%, 11/15/31(b) | | | | | | | 200 | | | | 192,750 | |
DIRECTV Holdings LLC/DIRECTV
Financing Co., Inc., 5.88%, 08/15/27(b) | | | | | | | 299 | | | | 306,089 | |
Discovery Communications LLC
3.25%, 04/01/23 | | | | | | | 1,850 | | | | 1,887,861 | |
3.45%, 03/15/25 | | | | | | | 210 | | | | 220,208 | |
DISH DBS Corp.
7.75%, 07/01/26 | | | | | | | 343 | | | | 361,865 | |
5.25%, 12/01/26(b) | | | | | | | 830 | | | | 843,102 | |
5.75%, 12/01/28(b) | | | | | | | 640 | | | | 646,400 | |
5.13%, 06/01/29 | | | | | | | 101 | | | | 91,910 | |
DISH Network Corp., 3.38%, 08/15/26(g) | | | | | | | 209 | | | | 197,830 | |
Frontier Communications Holdings LLC(b)
5.88%, 10/15/27 | | | | | | | 272 | | | | 287,640 | |
5.00%, 05/01/28 | | | | | | | 561 | | | | 577,830 | |
6.75%, 05/01/29 | | | | | | | 249 | | | | 258,960 | |
6.00%, 01/15/30 | | | | | | | 299 | | | | 300,495 | |
GCI LLC, 4.75%, 10/15/28(b) | | | | | | | 61 | | | | 62,601 | |
iHeartCommunications, Inc.
6.38%, 05/01/26 | | | | | | | 91 | | | | 94,793 | |
8.38%, 05/01/27 | | | | | | | 24 | | | | 24,953 | |
5.25%, 08/15/27(b) | | | | | | | 66 | | | | 68,647 | |
4.75%, 01/15/28(b) | | | | | | | 50 | | | | 50,706 | |
Iliad Holding SAS(b)
6.50%, 10/15/26 | | | | | | | 329 | | | | 345,690 | |
7.00%, 10/15/28 | | | | | | | 402 | | | | 422,731 | |
Kaixo Bondco Telecom SA, 5.13%, 09/30/29(d) | | | EUR | | | | 100 | | | | 114,440 | |
LCPR Senior Secured Financing DAC,
5.13%, 07/15/29(b) | | | USD | | | | 449 | | | | 451,245 | |
Liberty Broadband Corp.(b)(g)
1.25%, 09/30/50 | | | | | | | 279 | | | | 275,094 | |
2.75%, 09/30/50 | | | | | | | 537 | | | | 543,973 | |
Ligado Networks LLC, (15.50% PIK),
15.50%, 11/01/23(b)(k) | | | | | | | 257 | | | | 201,624 | |
Lions Gate Capital Holdings LLC,
5.50%, 04/15/29(b) | | | | | | | 80 | | | | 81,400 | |
Liquid Telecommunications Financing PLC,
5.50%, 09/04/26(b) | | | | | | | 200 | | | | 205,438 | |
Live Nation Entertainment, Inc.(b)
4.88%, 11/01/24 | | | | | | | 21 | | | | 21,210 | |
6.50%, 05/15/27 | | | | | | | 420 | | | | 459,375 | |
4.75%, 10/15/27 | | | | | | | 106 | | | | 108,915 | |
| | |
SCHEDULE OF INVESTMENTS | | 29 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Media (continued) | | | | | | | | | |
Live Nation Entertainment, Inc.(b) (continued)
3.75%, 01/15/28 | | | USD | | | | 100 | | | $ | 99,250 | |
Lorca Telecom Bondco SA, 4.00%, 09/18/27(d) | | | EUR | | | | 100 | | | | 115,700 | |
Midas OpCo Holdings LLC, 5.63%, 08/15/29(b) | | | USD | | | | 69 | | | | 70,639 | |
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27(b) | | | | | | | 108 | | | | 111,240 | |
Network i2i Ltd., (5 year CMT + 4.27%),
5.65%(a)(d)(i) | | | | | | | 648 | | | | 680,926 | |
Outfront Media Capital LLC/Outfront Media Capital Corp.(b) | | | | | | | | | | | | |
5.00%, 08/15/27 | | | | | | | 103 | | | | 105,398 | |
4.25%, 01/15/29 | | | | | | | 65 | | | | 65,118 | |
Radiate Holdco LLC/Radiate Finance, Inc.(b)
4.50%, 09/15/26 | | | | | | | 273 | | | | 275,730 | |
6.50%, 09/15/28 | | | | | | | 1,068 | | | | 1,072,843 | |
Sable International Finance Ltd.
5.75%, 09/07/27(b) | | | | | | | 200 | | | | 204,750 | |
5.75%, 09/07/27(d) | | | | | | | 200 | | | | 204,750 | |
Scripps Escrow II, Inc., 3.88%, 01/15/29(b) | | | | | | | 11 | | | | 10,986 | |
Sinclair Television Group Inc., 4.13%, 12/01/30(b) | | | | | | | 133 | | | | 126,018 | |
Sirius XM Radio, Inc.(b)
3.13%, 09/01/26 | | | | | | | 331 | | | | 331,096 | |
4.00%, 07/15/28 | | | | | | | 203 | | | | 204,135 | |
4.13%, 07/01/30 | | | | | | | 91 | | | | 91,000 | |
3.88%, 09/01/31 | | | | | | | 412 | | | | 403,945 | |
Summer BC Holdco B Sarl, 5.75%, 10/31/26(d) | | | EUR | | | | 100 | | | | 118,388 | |
TCI Communications, Inc., 7.88%, 02/15/26 | | | USD | | | | 610 | | | | 758,923 | |
Telesat Canada/Telesat LLC, 4.88%, 06/01/27(b) | | | | | | | 86 | | | | 75,938 | |
Terrier Media Buyer, Inc., 8.88%, 12/15/27(b) | | | | | | | 563 | | | | 608,474 | |
Univision Communications, Inc., 5.13%, 02/15/25(b) | | | | | | | 52 | | | | 52,520 | |
UPC Broadband Finco BV, 4.88%, 07/15/31(b) | | | | | | | 303 | | | | 309,060 | |
UPCB Finance VII Ltd., 3.63%, 06/15/29(d) | | | EUR | | | | 100 | | | | 116,127 | |
ViacomCBS, Inc., 5.85%, 09/01/43 | | | USD | | | | 645 | | | | 868,821 | |
Videotron Ltd., 3.63%, 06/15/29(b) | | | | | | | 198 | | | | 198,990 | |
Virgin Media Vendor Financing Notes IV DAC,
5.00%, 07/15/28(b) | | | | | | | 307 | | | | 309,316 | |
VTR Comunicaciones SpA, 4.38%, 04/15/29(b) | | | | | | | 200 | | | | 199,000 | |
Walt Disney Co., 7.63%, 11/30/28 | | | | | | | 385 | | | | 521,757 | |
WMG Acquisition Corp., 3.88%, 07/15/30(b) | | | | | | | 37 | | | | 37,601 | |
Ziggo Bond Co. BV, 6.00%, 01/15/27(b) | | | | | | | 150 | | | | 154,500 | |
Ziggo BV, 5.50%, 01/15/27(b) | | | | | | | 249 | | | | 255,847 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 47,710,767 | |
| | | |
| Metals & Mining — 1.0% | | | | | | | | | |
ABJA Investment Co. Pte Ltd.(d)
5.95%, 07/31/24 | | | | | | | 450 | | | | 487,125 | |
5.45%, 01/24/28 | | | | | | | 200 | | | | 218,437 | |
Allegheny Technologies, Inc.
4.88%, 10/01/29 | | | | | | | 68 | | | | 68,068 | |
5.13%, 10/01/31 | | | | | | | 77 | | | | 77,578 | |
Arconic Corp.(b)
6.00%, 05/15/25 | | | | | | | 87 | | | | 90,915 | |
6.13%, 02/15/28 | | | | | | | 233 | | | | 247,959 | |
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(b) | | | | | | | 668 | | | | 722,275 | |
Constellium SE(b)
5.63%, 06/15/28 | | | | | | | 250 | | | | 262,882 | |
3.75%, 04/15/29 | | | | | | | 341 | | | | 335,508 | |
Freeport-McMoRan, Inc.
5.40%, 11/14/34 | | | | | | | 22 | | | | 26,785 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Metals & Mining (continued) | | | | | | | | | |
Freeport-McMoRan, Inc. (continued)
5.45%, 03/15/43 | | | USD | | | | 667 | | | $ | 838,479 | |
Gold Fields Orogen Holdings BVI Ltd., 5.13%, 05/15/24(b) | | | | | | | 200 | | | | 213,038 | |
JSW Steel Ltd., 5.95%, 04/18/24(d) | | | | | | | 200 | | | | 212,000 | |
Kaiser Aluminum Corp.(b)
4.63%, 03/01/28 | | | | | | | 38 | | | | 38,380 | |
4.50%, 06/01/31 | | | | | | | 71 | | | | 69,846 | |
Mongolian Mining Corp/Energy Resources LLC, 9.25%, 04/15/24(b) | | | | | | | 200 | | | | 163,850 | |
New Gold, Inc.(b)
6.38%, 05/15/25 | | | | | | | 13 | | | | 13,358 | |
7.50%, 07/15/27 | | | | | | | 470 | | | | 499,375 | |
Nexa Resources SA, 5.38%, 05/04/27(b) | | | | | | | 299 | | | | 316,809 | |
Novelis Corp.(b)
3.25%, 11/15/26 | | | | | | | 304 | | | | 306,660 | |
4.75%, 01/30/30 | | | | | | | 403 | | | | 423,654 | |
3.88%, 08/15/31 | | | | | | | 326 | | | | 323,962 | |
Periama Holdings LLC, 5.95%, 04/19/26(d) | | | | | | | 400 | | | | 425,000 | |
Rio Tinto Finance USA PLC, 4.75%, 03/22/42 | | | | | | | 400 | | | | 512,447 | |
Roller Bearing Co. of America, Inc., 4.38%, 10/15/29(b) | | | | | | | 82 | | | | 83,640 | |
thyssenkrupp AG, 2.88%, 02/22/24(d) | | | EUR | | | | 51 | | | | 59,660 | |
United States Steel Corp., 6.88%, 03/01/29 | | | USD | | | | 331 | | | | 356,239 | |
Vedanta Resources Finance II PLC
8.00%, 04/23/23(d) | | | | | | | 313 | | | | 306,016 | |
13.88%, 01/21/24(d) | | | | | | | 400 | | | | 423,325 | |
8.95%, 03/11/25(b) | | | | | | | 200 | | | | 195,500 | |
8.95%, 03/11/25(d) | | | | | | | 200 | | | | 195,500 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,514,270 | |
| | | |
| Multiline Retail — 0.1% | | | | | | | | | |
Bath & Body Works, Inc.
6.88%, 11/01/35 | | | | | | | 215 | | | | 267,138 | |
6.75%, 07/01/36 | | | | | | | 49 | | | | 60,515 | |
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26(b) | | | | | | | 252 | | | | 267,465 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 595,118 | |
| | | |
| Multi-Utilities — 0.2% | | | | | | | | | |
KeySpan Gas East Corp., 5.82%, 04/01/41(b) | | | | | | | 1,010 | | | | 1,330,237 | |
| | | | | | | | | | | | |
| | |
| Offshore Drilling & Other Services — 0.1% | | | | | | | |
Entegris, Inc.(b)
4.38%, 04/15/28 | | | | | | | 113 | | | | 116,108 | |
3.63%, 05/01/29 | | | | | | | 66 | | | | 66,165 | |
KLA Corp., 3.30%, 03/01/50 | | | | | | | 500 | | | | 534,231 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 716,504 | |
| | | |
| Oil, Gas & Consumable Fuels — 7.1% | | | | | | | | | |
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26(b) | | | | | | | 483 | | | | 518,839 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp.(b) | | | | | | | | | | | | |
5.75%, 03/01/27 | | | | | | | 153 | | | | 158,546 | |
5.75%, 01/15/28 | | | | | | | 39 | | | | 40,897 | |
5.38%, 06/15/29 | | | | | | | 140 | | | | 147,702 | |
Antero Resources Corp.(b)
7.63%, 02/01/29 | | | | | | | 185 | | | | 205,350 | |
5.38%, 03/01/30 | | | | | | | 30 | | | | 32,070 | |
Apache Corp.
4.25%, 01/15/30 | | | | | | | 125 | | | | 135,650 | |
| | |
| 30 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Oil, Gas & Consumable Fuels (continued) | | | | | | | | | |
Apache Corp. (continued) | | | | | | | | | | | | |
5.10%, 09/01/40 | | | USD | | | | 381 | | | $ | 430,530 | |
5.25%, 02/01/42 | | | | | | | 25 | | | | 28,875 | |
5.35%, 07/01/49 | | | | | | | 48 | | | | 54,840 | |
Arcosa, Inc., 4.38%, 04/15/29(b) | | | | | | | 238 | | | | 241,272 | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp.(b) | | | | | | | | | | | | |
9.00%, 11/01/27 | | | | | | | 410 | | | | 547,350 | |
5.88%, 06/30/29 | | | | | | | 275 | | | | 264,602 | |
Bioceanico Sovereign Certificate Ltd., 0.00%, 06/05/34(d)(h) | | | | | | | 143 | | | | 107,515 | |
Brand Industrial Services, Inc., 8.50%, 07/15/25(b) | | | | | | | 123 | | | | 122,886 | |
Buckeye Partners LP | | | | | | | | | | | | |
4.13%, 03/01/25(b) | | | | | | | 179 | | | | 184,817 | |
5.85%, 11/15/43 | | | | | | | 94 | | | | 92,238 | |
5.60%, 10/15/44 | | | | | | | 119 | | | | 115,870 | |
Burlington Resources LLC, 5.95%, 10/15/36 | | | | | | | 685 | | | | 931,781 | |
Callon Petroleum Co. | | | | | | | | | | | | |
6.13%, 10/01/24 | | | | | | | 85 | | | | 83,725 | |
9.00%, 04/01/25(b) | | | | | | | 665 | | | | 718,200 | |
8.00%, 08/01/28(b) | | | | | | | 418 | | | | 422,180 | |
Cellnex Telecom SA, Series CLNX, 0.75%, | | | | | | | | | | | | |
11/20/31(d)(g) | | | EUR | | | | 100 | | | | 111,943 | |
Cenovus Energy, Inc. | | | | | | | | | | | | |
4.25%, 04/15/27 | | | USD | | | | 400 | | | | 435,996 | |
5.40%, 06/15/47 | | | | | | | 76 | | | | 94,615 | |
Centennial Resource Production LLC, 3.25%, | | | | | | | | | | | | |
04/01/28(g) | | | | | | | 322 | | | | 399,079 | |
Cheniere Energy Partners LP | | | | | | | | | | | | |
4.50%, 10/01/29 | | | | | | | 354 | | | | 375,240 | |
4.00%, 03/01/31 | | | | | | | 455 | | | | 477,272 | |
3.25%, 01/31/32(b) | | | | | | | 422 | | | | 426,220 | |
Cheniere Energy, Inc., 4.63%, 10/15/28 | | | | | | | 976 | | | | 1,038,191 | |
Chesapeake Energy Corp., 5.88%, 02/01/29(b) | | | | | | | 28 | | | | 29,953 | |
Citgo Holding, Inc., 9.25%, 08/01/24(b) | | | | | | | 298 | | | | 299,490 | |
Civitas Resources, Inc., 5.00%, 10/15/26(b) | | | | | | | 60 | | | | 60,588 | |
CNX Midstream Partners LP, 4.75%, 04/15/30(b) | | | | | | | 63 | | | | 62,764 | |
CNX Resources Corp. | | | | | | | | | | | | |
2.25%, 05/01/26(g) | | | | | | | 337 | | | | 440,459 | |
6.00%, 01/15/29(b) | | | | | | | 60 | | | | 62,400 | |
Colgate Energy Partners III LLC(b) | | | | | | | | | | | | |
7.75%, 02/15/26 | | | | | | | 181 | | | | 195,480 | |
5.88%, 07/01/29 | | | | | | | 238 | | | | 245,140 | |
Comstock Resources, Inc.(b) | | | | | | | | | | | | |
7.50%, 05/15/25 | | | | | | | 102 | | | | 105,187 | |
6.75%, 03/01/29 | | | | | | | 454 | | | | 492,408 | |
5.88%, 01/15/30 | | | | | | | 236 | | | | 241,900 | |
ConocoPhillips, 6.50%, 02/01/39 | | | | | | | 600 | | | | 871,584 | |
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31(b) | | | | | | | 250 | | | | 260,937 | |
Crestwood Midstream Partners LP/Crestwood | | | | | | | | | | | | |
Midstream Finance Corp., 6.00%, 02/01/29(b) | | | | | | | 5 | | | | 5,194 | |
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(b) | | | | | | | 557 | | | | 569,532 | |
DCP Midstream Operating LP | | | | | | | | | | | | |
6.45%, 11/03/36(b) | | | | | | | 148 | | | | 193,685 | |
6.75%, 09/15/37(b) | | | | | | | 196 | | | | 262,179 | |
5.60%, 04/01/44 | | | | | | | 2 | | | | 2,488 | |
Devon Energy Corp. | | | | | | | | | | | | |
5.85%, 12/15/25 | | | | | | | 1,000 | | | | 1,143,381 | |
4.75%, 05/15/42 | | | | | | | 300 | | | | 347,349 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Oil, Gas & Consumable Fuels (continued) | | | | | | | | | |
DT Midstream, Inc.(b) | | | | | | | | | | | | |
4.13%, 06/15/29 | | | USD | | | | 293 | | | $ | 299,959 | |
4.38%, 06/15/31 | | | | | | | 424 | | | | 440,960 | |
Dycom Industries, Inc., 4.50%, 04/15/29(b) | | | | | | | 69 | | | | 70,294 | |
Ecopetrol SA, 4.63%, 11/02/31 | | | | | | | 130 | | | | 126,269 | |
eG Global Finance PLC | | | | | | | | | | | | |
6.75%, 02/07/25(b) | | | | | | | 441 | | | | 446,512 | |
6.25%, 10/30/25(d) | | | EUR | | | | 142 | | | | 165,709 | |
8.50%, 10/30/25(b) | | | USD | | | | 200 | | | | 207,250 | |
Enbridge, Inc.(a) | | | | | | | | | | | | |
(3 mo. LIBOR US + 3.64%), 6.25%, 03/01/78 | | | | | | | 1,935 | | | | 2,100,218 | |
Series 20-A, (5 year CMT + 5.31%), 5.75%, 07/15/80 | | | | | | | 950 | | | | 1,054,500 | |
Endeavor Energy Resources LP/EER Finance, Inc.(b) | | | | | | | | | | | | |
6.63%, 07/15/25 | | | | | | | 128 | | | | 135,428 | |
5.75%, 01/30/28 | | | | | | | 239 | | | | 254,747 | |
Energy Transfer LP | | | | | | | | | | | | |
4.05%, 03/15/25 | | | | | | | 500 | | | | 529,751 | |
4.75%, 01/15/26 | | | | | | | 1,250 | | | | 1,367,323 | |
3.90%, 07/15/26 | | | | | | | 310 | | | | 333,353 | |
5.30%, 04/15/47 | | | | | | | 540 | | | | 625,734 | |
Series H, (5 year CMT + 5.69%), 6.50%(a)(i) | | | | | | | 433 | | | | 440,577 | |
EnLink Midstream LLC | | | | | | | | | | | | |
5.63%, 01/15/28(b) | | | | | | | 116 | | | | 120,640 | |
5.38%, 06/01/29 | | | | | | | 50 | | | | 51,125 | |
EnLink Midstream Partners LP | | | | | | | | | | | | |
4.40%, 04/01/24 | | | | | | | 144 | | | | 150,480 | |
4.15%, 06/01/25 | | | | | | | 10 | | | | 10,365 | |
4.85%, 07/15/26 | | | | | | | 67 | | | | 70,518 | |
5.60%, 04/01/44 | | | | | | | 135 | | | | 136,158 | |
5.05%, 04/01/45 | | | | | | | 22 | | | | 21,230 | |
Enterprise Products Operating LLC, 6.13%, 10/15/39 | | | | | | | 1,400 | | | | 1,889,928 | |
EOG Resources, Inc., 5.10%, 01/15/36 | | | | | | | 200 | | | | 242,863 | |
EQM Midstream Partners LP | | | | | | | | | | | | |
6.00%, 07/01/25(b) | | | | | | | 176 | | | | 191,400 | |
4.13%, 12/01/26 | | | | | | | 68 | | | | 69,700 | |
6.50%, 07/01/27(b) | | | | | | | 245 | | | | 274,400 | |
4.50%, 01/15/29(b) | | | | | | | 89 | | | | 92,560 | |
4.75%, 01/15/31(b) | | | | | | | 544 | | | | 575,280 | |
EQT Corp. | | | | | | | | | | | | |
1.75%, 05/01/26(g) | | | | | | | 288 | | | | 479,952 | |
3.13%, 05/15/26(b) | | | | | | | 120 | | | | 123,184 | |
3.90%, 10/01/27 | | | | | | | 162 | | | | 173,748 | |
5.00%, 01/15/29 | | | | | | | 23 | | | | 25,473 | |
7.50%, 02/01/30 | | | | | | | 161 | | | | 206,885 | |
3.63%, 05/15/31(b) | | | | | | | 34 | | | | 35,275 | |
Genesis Energy LP/Genesis Energy Finance Corp. | | | | | | | | | | | | |
6.50%, 10/01/25 | | | | | | | 29 | | | | 28,638 | |
7.75%, 02/01/28 | | | | | | | 75 | | | | 75,563 | |
GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27(d) | | | | | | | 200 | | | | 193,162 | |
Great Western Petroleum LLC/Great Western Finance Corp., 12.00%, 09/01/25(b) | | | | | | | 130 | | | | 136,500 | |
Harvest Midstream I LP, 7.50%, 09/01/28(b) | | | | | | | 40 | | | | 42,800 | |
Hess Corp., 4.30%, 04/01/27 | | | | | | | 1,100 | | | | 1,197,957 | |
Hess Midstream Operations LP, 4.25%, 02/15/30(b) | | | | | | | 172 | | | | 170,710 | |
Hilong Holding Ltd., 9.75%, 11/18/24(d) | | | | | | | 207 | | | | 167,321 | |
HPCL-Mittal Energy Ltd., 5.45%, 10/22/26(d) | | | | | | | 200 | | | | 208,500 | |
Impulsora Pipeline LLC, 6.05%, 12/31/42(c) | | | | | | | 1,681 | | | | 1,616,735 | |
| | |
SCHEDULE OF INVESTMENTS | | 31 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Oil, Gas & Consumable Fuels (continued) | | | | | | | | | |
Independence Energy Finance LLC, 7.25%, 05/01/26(b) | | | USD | | | | 318 | | | $ | 330,322 | |
ITT Holdings LLC, 6.50%, 08/01/29(b) | | | | | | | 232 | | | | 229,680 | |
Kinder Morgan, Inc., 5.05%, 02/15/46 | | | | | | | 1,400 | | | | 1,677,971 | |
Leviathan Bond Ltd., 5.75%, 06/30/23(d) | | | | | | | 131 | | | | 134,642 | |
Marathon Petroleum Corp., 6.50%, 03/01/41 | | | | | | | 1,150 | | | | 1,581,112 | |
Matador Resources Co., 5.88%, 09/15/26 | | | | | | | 786 | | | | 809,580 | |
Medco Bell Pte Ltd., 6.38%, 01/30/27(d) | | | | | | | 250 | | | | 246,875 | |
Medco Oak Tree Pte Ltd., 7.38%, 05/14/26(d) | | | | | | | 288 | | | | 297,734 | |
MEG Energy Corp., 6.50%, 01/15/25(b)(l) | | | | | | | 215 | | | | 218,494 | |
MPLX LP, 4.25%, 12/01/27 | | | | | | | 250 | | | | 276,902 | |
Murphy Oil Corp. | | | | | | | | | | | | |
5.75%, 08/15/25 | | | | | | | 82 | | | | 84,286 | |
6.38%, 12/01/42 | | | | | | | 18 | | | | 18,000 | |
Murphy Oil USA, Inc., 4.75%, 09/15/29 | | | | | | | 95 | | | | 99,988 | |
Nabors Industries Ltd.(b) | | | | | | | | | | | | |
7.25%, 01/15/26 | | | | | | | 37 | | | | 34,225 | |
7.50%, 01/15/28 | | | | | | | 94 | | | | 85,070 | |
Nabors Industries, Inc., 7.38%, 05/15/27(b) | | | | | | | 140 | | | | 144,927 | |
New Fortress Energy, Inc.(b) | | | | | | | | | | | | |
6.75%, 09/15/25 | | | | | | | 462 | | | | 466,620 | |
6.50%, 09/30/26 | | | | | | | 663 | | | | 658,027 | |
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26(b) | | | | | | | 115 | | | | 118,599 | |
NGPL PipeCo LLC, 7.77%, 12/15/37(b) | | | | | | | 138 | | | | 193,206 | |
Northern Oil and Gas, Inc., 8.13%, 03/01/28(b) | | | | | | | 473 | | | | 499,015 | |
NuStar Logistics LP | | | | | | | | | | | | |
6.00%, 06/01/26 | | | | | | | 99 | | | | 107,415 | |
6.38%, 10/01/30 | | | | | | | 17 | | | | 18,870 | |
Occidental Petroleum Corp. | | | | | | | | | | | | |
6.95%, 07/01/24 | | | | | | | 43 | | | | 47,809 | |
5.50%, 12/01/25 | | | | | | | 66 | | | | 73,218 | |
5.55%, 03/15/26 | | | | | | | 24 | | | | 26,719 | |
3.00%, 02/15/27 | | | | | | | 3 | | | | 3,045 | |
8.88%, 07/15/30 | | | | | | | 22 | | | | 29,671 | |
4.30%, 08/15/39 | | | | | | | 371 | | | | 369,987 | |
6.20%, 03/15/40 | | | | | | | 614 | | | | 755,220 | |
4.50%, 07/15/44 | | | | | | | 328 | | | | 337,842 | |
4.63%, 06/15/45 | | | | | | | 400 | | | | 415,000 | |
6.60%, 03/15/46 | | | | | | | 18 | | | | 23,355 | |
4.40%, 04/15/46 | | | | | | | 482 | | | | 494,050 | |
4.10%, 02/15/47 | | | | | | | 50 | | | | 49,000 | |
4.20%, 03/15/48 | | | | | | | 447 | | | | 447,000 | |
4.40%, 08/15/49 | | | | | | | 71 | | | | 71,888 | |
Oil and Gas Holding Co., 7.63%, 11/07/24(d) | | | | | | | 200 | | | | 215,437 | |
OQ SAOC, 5.13%, 05/06/28(b) | | | | | | | 200 | | | | 203,537 | |
PDC Energy, Inc. | | | | | | | | | | | | |
6.13%, 09/15/24 | | | | | | | 58 | | | | 58,725 | |
5.75%, 05/15/26 | | | | | | | 164 | | | | 169,476 | |
Pertamina Persero PT, 3.65%, 07/30/29(d) | | | | | | | 239 | | | | 253,534 | |
Petroleos Mexicanos | | | | | | | | | | | | |
6.50%, 03/13/27 | | | | | | | 255 | | | | 271,098 | |
5.95%, 01/28/31 | | | | | | | 219 | | | | 212,556 | |
6.70%, 02/16/32(b)(j) | | | | | | | 130 | | | | 130,975 | |
6.38%, 01/23/45 | | | | | | | 100 | | | | 86,863 | |
6.75%, 09/21/47 | | | | | | | 178 | | | | 157,085 | |
Pioneer Natural Resources Co., 0.25%, 05/15/25(g) | | | | | | | 191 | | | | 340,338 | |
Puma International Financing SA, 5.13%, 10/06/24 | | | | | | | 200 | | | | 200,000 | |
Range Resources Corp. | | | | | | | | | | | | |
5.88%, 07/01/22 | | | | | | | 30 | | | | 30,188 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Oil, Gas & Consumable Fuels (continued) | | | | | | | | | |
Range Resources Corp. (continued) | | | | | | | | | | | | |
5.00%, 08/15/22 | | | USD | | | | 170 | | | $ | 171,912 | |
5.00%, 03/15/23 | | | | | | | 122 | | | | 124,745 | |
4.88%, 05/15/25 | | | | | | | 10 | | | | 10,325 | |
9.25%, 02/01/26 | | | | | | | 42 | | | | 45,267 | |
Rockcliff Energy II LLC, 5.50%, 10/15/29(b) | | | | | | | 221 | | | | 227,630 | |
Sabine Pass Liquefaction LLC, 5.88%, 06/30/26 | | | | | | | 1,750 | | | | 2,007,783 | |
SM Energy Co. | | | | | | | | | | | | |
10.00%, 01/15/25(b) | | | | | | | 607 | | | | 668,088 | |
5.63%, 06/01/25 | | | | | | | 38 | | | | 38,285 | |
6.75%, 09/15/26 | | | | | | | 67 | | | | 68,843 | |
6.50%, 07/15/28 | | | | | | | 58 | | | | 60,030 | |
Southwestern Energy Co. | | | | | | | | | | | | |
4.10%, 03/15/22 | | | | | | | 153 | | | | 153,052 | |
5.38%, 02/01/29 | | | | | | | 308 | | | | 325,710 | |
4.75%, 02/01/32 | | | | | | | 152 | | | | 160,072 | |
Stoneway Capital Corp., 10.00%, 03/01/27(a)(b)(e)(f) | | | | | | | 469 | | | | 138,314 | |
Suncor Energy, Inc., 6.50%, 06/15/38 | | | | | | | 1,000 | | | | 1,367,363 | |
Sunoco LP/Sunoco Finance Corp. | | | | | | | | | | | | |
6.00%, 04/15/27 | | | | | | | 38 | | | | 39,630 | |
5.88%, 03/15/28 | | | | | | | 4 | | | | 4,230 | |
Tap Rock Resources LLC, 7.00%, 10/01/26(b) | | | | | | | 503 | | | | 523,120 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | | | | | | | | | | | | |
5.88%, 04/15/26 | | | | | | | 111 | | | | 115,825 | |
5.38%, 02/01/27 | | | | | | | 2 | | | | 2,061 | |
6.50%, 07/15/27 | | | | | | | 105 | | | | 112,560 | |
6.88%, 01/15/29 | | | | | | | 142 | | | | 158,867 | |
5.50%, 03/01/30 | | | | | | | 255 | | | | 278,587 | |
4.88%, 02/01/31 | | | | | | | 184 | | | | 199,815 | |
4.00%, 01/15/32(b) | | | | | | | 58 | | | | 60,610 | |
TransCanada PipeLines Ltd., 4.63%, 03/01/34 | | | | | | | 500 | | | | 586,990 | |
Transocean, Inc., 11.50%, 01/30/27(b) | | | | | | | 81 | | | | 79,380 | |
Venture Global Calcasieu Pass LLC(b) | | | | | | | | | | | | |
3.88%, 08/15/29 | | | | | | | 528 | | | | 547,800 | |
4.13%, 08/15/31 | | | | | | | 485 | | | | 514,100 | |
3.88%, 11/01/33 | | | | | | | 991 | | | | 1,041,125 | |
Vine Energy Holdings LLC, 6.75%, 04/15/29(b) | | | | | | | 397 | | | | 430,745 | |
Western Midstream Operating LP | | | | | | | | | | | | |
4.75%, 08/15/28 | | | | | | | 25 | | | | 27,625 | |
5.45%, 04/01/44 | | | | | | | 229 | | | | 273,655 | |
5.30%, 03/01/48 | | | | | | | 154 | | | | 185,571 | |
5.50%, 08/15/48 | | | | | | | 58 | | | | 69,282 | |
6.50%, 02/01/50 | | | | | | | 680 | | | | 804,103 | |
Williams Cos., Inc. | | | | | | | | | | | | |
3.90%, 01/15/25 | | | | | | | 1,150 | | | | 1,222,061 | |
4.00%, 09/15/25 | | | | | | | 750 | | | | 810,237 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 59,674,597 | |
| | | |
| Personal Products — 0.0% | | | | | | | | | |
Coty Inc/HFC Prestige Products Inc/HFC Prestige International US LLC, 4.75%, 01/15/29(b) | | | | | | | 101 | | | | 102,641 | |
| | | | | | | | | | | | |
| | | |
| Pharmaceuticals — 2.3% | | | | | | | | | |
AbbVie, Inc. | | | | | | | | | | | | |
3.80%, 03/15/25 | | | | | | | 3,250 | | | | 3,459,549 | |
3.60%, 05/14/25 | | | | | | | 870 | | | | 925,178 | |
3.20%, 05/14/26 | | | | | | | 500 | | | | 530,064 | |
4.55%, 03/15/35 | | | | | | | 2,140 | | | | 2,573,112 | |
4.45%, 05/14/46 | | | | | | | 2,095 | | | | 2,533,547 | |
Bausch Health Americas, Inc., 8.50%, 01/31/27(b) | | | | | | | 482 | | | | 506,100 | |
| | |
| 32 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
Pharmaceuticals (continued) | |
Bausch Health Cos., Inc.(b) | | | | | | | | | | | | |
9.00%, 12/15/25 | | | USD | | | | 106 | | | $ | 111,637 | |
7.00%, 01/15/28 | | | | | | | 5 | | | | 4,975 | |
4.88%, 06/01/28 | | | | | | | 42 | | | | 42,840 | |
5.00%, 02/15/29 | | | | | | | 211 | | | | 186,208 | |
6.25%, 02/15/29 | | | | | | | 282 | | | | 267,968 | |
7.25%, 05/30/29 | | | | | | | 159 | | | | 157,410 | |
Cheplapharm Arzneimittel GmbH, 3.50%, | | | | | | | | | | | | |
02/11/27(d) | | | EUR | | | | 100 | | | | 115,729 | |
CVS Health Corp. | | | | | | | | | | | | |
5.13%, 07/20/45 | | | USD | | | | 700 | | | | 909,905 | |
5.05%, 03/25/48 | | | | | | | 1,821 | | | | 2,380,844 | |
Elanco Animal Health, Inc., 5.90%, 08/28/28 | | | | | | | 6 | | | | 6,960 | |
Endo Dac/Endo Finance LLC/Endo Finco, Inc., 9.50%, 07/31/27(b)(j) | | | | | | | 466 | | | | 474,351 | |
Endo Luxembourg Finance Co. I Sarl/Endo US, Inc., 6.13%, 04/01/29(b) | | | | | | | 326 | | | | 319,480 | |
Gruenenthal GmbH, 4.13%, 05/15/28(d) | | | EUR | | | | 100 | | | | 117,310 | |
Jazz Securities DAC, 4.38%, 01/15/29(b) | | | USD | | | | 200 | | | | 207,088 | |
Nidda Healthcare Holding GmbH, 3.50%, 09/30/24(d) | | | EUR | | | | 100 | | | | 113,467 | |
Option Care Health, Inc., 4.38%, 10/31/29(b) | | | USD | | | | 90 | | | | 90,225 | |
Organon & Co./Organon Foreign Debt Co-Issuer BV(b) | | | | | | | | | | | | |
4.13%, 04/30/28 | | | | | | | 598 | | | | 607,718 | |
5.13%, 04/30/31 | | | | | | | 387 | | | | 404,291 | |
P&L Development LLC/PLD Finance Corp., 7.75%, 11/15/25(b) | | | | | | | 164 | | | | 164,205 | |
Par Pharmaceutical, Inc., 7.50%, 04/01/27(b) | | | | | | | 538 | | | | 549,798 | |
PRA Health Sciences, Inc., 2.88%, 07/15/26(b) | | | | | | | 400 | | | | 400,500 | |
Prestige Brands, Inc., 3.75%, 04/01/31(b) | | | | | | | 101 | | | | 97,970 | |
Teva Pharmaceutical Finance Netherlands II BV, 6.00%, 01/31/25 | | | EUR | | | | 100 | | | | 122,339 | |
Teva Pharmaceutical Finance Netherlands III BV, 7.13%, 01/31/25 | | | USD | | | | 200 | | | | 213,663 | |
Utah Acquisition Sub, Inc., 3.95%, 06/15/26 | | | | | | | 750 | | | | 808,640 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 19,403,071 | |
Real Estate Management & Development — 2.0% | |
Adler Group SA, 2.75%, 11/13/26(d) | | | EUR | | | | 100 | | | | 95,634 | |
Agile Group Holdings Ltd., 6.05%, 10/13/25(d) | | | USD | | | | 450 | | | | 266,625 | |
Central China Real Estate Ltd.(d) | | | | | | | | | | | | |
6.88%, 08/08/22 | | | | | | | 200 | | | | 150,000 | |
7.65%, 08/27/23 | | | | | | | 252 | | | | 165,690 | |
CFLD Cayman Investment Ltd.(d)(e)(f) | | | | | | | | | | | | |
8.63%, 02/28/21(a) | | | | | | | 200 | | | | 52,938 | |
6.90%, 01/13/23(a) | | | | | | | 200 | | | | 54,163 | |
8.60%, 04/08/24 | | | | | | | 200 | | | | 54,100 | |
China Aoyuan Group Ltd.(d) | | | | | | | | | | | | |
5.98%, 08/18/25 | | | | | | | 489 | | | | 92,757 | |
6.20%, 03/24/26 | | | | | | | 450 | | | | 85,590 | |
China Evergrande Group(a)(d)(e)(f) | | | | | | | | | | | | |
8.25%, 03/23/22 | | | | | | | 400 | | | | 72,825 | |
9.50%, 04/11/22 | | | | | | | 400 | | | | 61,450 | |
11.50%, 01/22/23 | | | | | | | 450 | | | | 67,444 | |
12.00%, 01/22/24 | | | | | | | 250 | | | | 37,391 | |
China SCE Group Holdings Ltd.(d) | | | | | | | | | | | | |
7.25%, 04/19/23 | | | | | | | 200 | | | | 176,000 | |
7.38%, 04/09/24 | | | | | | | 200 | | | | 169,260 | |
5.95%, 09/29/24 | | | | | | | 288 | | | | 238,320 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
Real Estate Management & Development (continued) | |
China SCE Group Holdings Ltd.(d) (continued) | | | | | | | | | | | | |
7.00%, 05/02/25 | | | USD | | | | 441 | | | | $ 356,107 | |
CIFI Holdings Group Co. Ltd.(d) | | | | | | | | | | | | |
6.55%, 03/28/24 | | | | | | | 200 | | | | 197,500 | |
6.45%, 11/07/24 | | | | | | | 200 | | | | 197,437 | |
5.95%, 10/20/25 | | | | | | | 500 | | | | 485,000 | |
Country Garden Holdings Co. Ltd.(d) | | | | | | | | | | | | |
6.50%, 04/08/24 | | | | | | | 200 | | | | 194,937 | |
6.15%, 09/17/25 | | | | | | | 200 | | | | 194,000 | |
5.13%, 01/14/27 | | | | | | | 200 | | | | 184,000 | |
DIC Asset AG, 2.25%, 09/22/26(d) | | | EUR | | | | 100 | | | | 107,873 | |
Easy Tactic Ltd.(d) | | | | | | | | | | | | |
5.88%, 02/13/23 | | | USD | | | | 288 | | | | 106,560 | |
8.13%, 02/27/23 | | | | | | | 200 | | | | 73,500 | |
11.75%, 08/02/23 | | | | | | | 200 | | | | 73,000 | |
8.63%, 02/27/24 | | | | | | | 200 | | | | 68,500 | |
Fantasia Holdings Group Co. Ltd.(d)(e)(f) | | | | | | | | | | | | |
11.75%, 04/17/22(a) | | | | | | | 200 | | | | 46,000 | |
10.88%, 01/09/23 | | | | | | | 307 | | | | 70,610 | |
11.88%, 06/01/23 | | | | | | | 400 | | | | 91,875 | |
9.25%, 07/28/23 | | | | | | | 300 | | | | 68,906 | |
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(b) | | | | | | | 150 | | | | 156,465 | |
Global Prime Capital Pte Ltd.(d) | | | | | | | | | | | | |
5.50%, 10/18/23 | | | | | | | 200 | | | | 201,000 | |
5.95%, 01/23/25 | | | | | | | 200 | | | | 203,000 | |
Howard Hughes Corp.(b) | | | | | | | | | | | | |
5.38%, 08/01/28 | | | | | | | 19 | | | | 20,236 | |
4.13%, 02/01/29 | | | | | | | 74 | | | | 74,988 | |
4.38%, 02/01/31 | | | | | | | 80 | | | | 80,800 | |
Kaisa Group Holdings Ltd.(d)(e)(f) | | | | | | | | | | | | |
11.95%, 10/22/22(a) | | | | | | | 200 | | | | 55,040 | |
11.50%, 01/30/23(a) | | | | | | | 400 | | | | 103,450 | |
10.88%, 07/23/23(a) | | | | | | | 434 | | | | 112,108 | |
9.75%, 09/28/23(a) | | | | | | | 288 | | | | 74,574 | |
11.95%, 11/12/23 | | | | | | | 259 | | | | 67,470 | |
11.70%, 11/11/25(a) | | | | | | | 300 | | | | 78,900 | |
Kennedy-Wilson, Inc., 4.75%, 02/01/30 | | | | | | | 92 | | | | 93,261 | |
KWG Group Holdings Ltd.(d) | | | | | | | | | | | | |
7.40%, 03/05/24 | | | | | | | 510 | | | | 378,675 | |
5.88%, 11/10/24 | | | | | | | 400 | | | | 290,000 | |
Logan Group Co. Ltd.(d) | | | | | | | | | | | | |
6.90%, 06/09/24 | | | | | | | 200 | | | | 195,000 | |
5.75%, 01/14/25 | | | | | | | 200 | | | | 191,260 | |
4.50%, 01/13/28 | | | | | | | 328 | | | | 293,457 | |
MAF Sukuk Ltd., 4.64%, 05/14/29(d) | | | | | | | 200 | | | | 222,100 | |
Modern Land China Co. Ltd., 9.80%, | | | | | | | | | | | | |
04/11/23(a)(d)(e)(f) | | | | | | | 200 | | | | 35,938 | |
New Metro Global Ltd.(d) | | | | | | | | | | | | |
6.80%, 08/05/23 | | | | | | | 200 | | | | 184,000 | |
4.50%, 05/02/26 | | | | | | | 400 | | | | 339,825 | |
Powerlong Real Estate Holdings Ltd.(d) | | | | | | | | | | | | |
7.13%, 11/08/22 | | | | | | | 200 | | | | 183,000 | |
6.95%, 07/23/23 | | | | | | | 410 | | | | 365,925 | |
6.25%, 08/10/24 | | | | | | | 450 | | | | 383,625 | |
Realogy Group LLC/Realogy Co-Issuer Corp., | | | | | | | | | | | | |
5.75%, 01/15/29(b) | | | | | | | 180 | | | | 184,500 | |
Redsun Properties Group Ltd.(d) | | | | | | | | | | | | |
9.95%, 04/11/22 | | | | | | | 200 | | | | 113,000 | |
| | |
SCHEDULE OF INVESTMENTS | | 33 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Real Estate Management & Development (continued) | |
Redsun Properties Group Ltd.(d) (continued) | | | | | | | | | | | | |
9.70%, 04/16/23 | | | USD | | | | 432 | | | $ | 195,969 | |
7.30%, 01/13/25 | | | | | | | 200 | | | | 84,100 | |
RKPF Overseas Ltd.(d) | | | | | | | | | | | | |
Series 2019-A, 6.00%, 09/04/25 | | | | | | | 288 | | | | 276,390 | |
Series 2020-A, 5.20%, 01/12/26 | | | | | | | 400 | | | | 371,520 | |
Ronshine China Holdings Ltd.(d) | | | | | | | | | | | | |
10.50%, 03/01/22 | | | | | | | 200 | | | | 126,537 | |
8.95%, 01/22/23 | | | | | | | 200 | | | | 75,000 | |
7.35%, 12/15/23 | | | | | | | 433 | | | | 162,375 | |
Scenery Journey Ltd.(a)(d)(e)(f) | | | | | | | | | | | | |
11.50%, 10/24/22 | | | | | | | 419 | | | | 54,156 | |
13.00%, 11/06/22 | | | | | | | 400 | | | | 51,825 | |
12.00%, 10/24/23 | | | | | | | 330 | | | | 42,075 | |
Seazen Group Ltd., 6.00%, 08/12/24(d) | | | | | | | 400 | | | | 339,000 | |
Shimao Group Holdings Ltd.(d) | | | | | | | | | | | | |
5.60%, 07/15/26 | | | | | | | 200 | | | | 124,500 | |
3.45%, 01/11/31 | | | | | | | 200 | | | | 113,750 | |
Shui On Development Holding Ltd.(d) | | | | | | | | | | | | |
5.75%, 11/12/23 | | | | | | | 200 | | | | 195,937 | |
5.50%, 03/03/25 | | | | | | | 482 | | | | 462,569 | |
Sino-Ocean Land Treasure III Ltd., (5 year CMT + 3.26%), 4.90%(a)(d)(i) | | | | | | | 200 | | | | 163,600 | |
Sunac China Holdings Ltd.(d) | | | | | | | | | | | | |
6.65%, 08/03/24 | | | | | | | 360 | | | | 230,400 | |
6.50%, 01/10/25 | | | | | | | 400 | | | | 251,875 | |
Theta Capital Pte Ltd., 8.13%, 01/22/25(d) | | | | | | | 200 | | | | 210,437 | |
Times China Holdings Ltd.(d) | | | | | | | | | | | | |
6.75%, 07/16/23 | | | | | | | 313 | | | | 231,483 | |
6.75%, 07/08/25 | | | | | | | 200 | | | | 135,937 | |
6.20%, 03/22/26 | | | | | | | 611 | | | | 415,289 | |
Unique Pub Finance Co. PLC, Series A4, 5.66%, 06/30/27(d) | | | GBP | | | | 676 | | | | 1,019,742 | |
Wanda Group Overseas Ltd., 7.50%, 07/24/22(d) | | | USD | | | | 200 | | | | 187,000 | |
Wanda Properties International Co. Ltd., 7.25%, 01/29/24(d) | | | | | | | 200 | | | | 188,760 | |
Wanda Properties Overseas Ltd., 6.88%, 07/23/23(d) | | | | | | | 200 | | | | 190,500 | |
Yango Justice International Ltd. | | | | | | | | | | | | |
10.25%, 09/15/22 | | | | | | | 400 | | | | 103,875 | |
7.50%, 04/15/24(d) | | | | | | | 450 | | | | 119,903 | |
Yanlord Land HK Co. Ltd.(d) | | | | | | | | | | | | |
6.75%, 04/23/23 | | | | | | | 500 | | | | 504,844 | |
6.80%, 02/27/24 | | | | | | | 520 | | | | 523,900 | |
Yuzhou Group Holdings Co. Ltd.(d) | | | | | | | | | | | | |
8.38%, 10/30/24 | | | | | | | 200 | | | | 65,000 | |
7.70%, 02/20/25 | | | | | | | 263 | | | | 74,955 | |
7.38%, 01/13/26 | | | | | | | 200 | | | | 55,000 | |
6.35%, 01/13/27 | | | | | | | 200 | | | | 54,938 | |
Zhenro Properties Group Ltd.(d) | | | | | | | | | | | | |
8.35%, 03/10/24 | | | | | | | 288 | | | | 197,280 | |
7.88%, 04/14/24 | | | | | | | 600 | | | | 393,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 17,031,010 | |
Road & Rail — 1.1% | |
Burlington Northern Santa Fe LLC, 5.75%, 05/01/40 | | | | | | | 1,890 | | | | 2,623,441 | |
CSX Corp., 4.75%, 05/30/42 | | | | | | | 350 | | | | 437,960 | |
Danaos Corp., 8.50%, 03/01/28(b) | | | | | | | 100 | | | | 109,500 | |
Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34(b) | | | | | | | 2,502 | | | | 2,853,156 | |
Norfolk Southern Corp. 4.15%, 02/28/48 | | | | | | | 1,300 | | | | 1,548,825 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Road & Rail (continued) | |
Norfolk Southern Corp. (continued) | | | | | | | | | | | | |
3.16%, 05/15/55 | | | USD | | | | 400 | | | $ | 405,179 | |
Seaspan Corp., 5.50%, 08/01/29(b) | | | | | | | 230 | | | | 231,150 | |
Union Pacific Corp., 3.84%, 03/20/60 | | | | | | | 800 | | | | 941,878 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,151,089 | |
Semiconductors & Semiconductor Equipment — 0.7% | |
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27 | | | | | | | 2,850 | | | | 3,090,231 | |
Broadcom, Inc., 3.46%, 09/15/26 | | | | | | | 735 | | | | 782,462 | |
Microchip Technology, Inc.(g) | | | | | | | | | | | | |
0.13%, 11/15/24 | | | | | | | 220 | | | | 272,250 | |
1.63%, 02/15/25 | | | | | | | 53 | | | | 205,338 | |
ON Semiconductor Corp., 3.88%, 09/01/28(b) | | | | | | | 191 | | | | 195,775 | |
QUALCOMM, Inc., 4.65%, 05/20/35 | | | | | | | 250 | | | | 310,838 | |
Sensata Technologies BV(b) | | | | | | | | | | | | |
5.00%, 10/01/25 | | | | | | | 70 | | | | 75,950 | |
4.00%, 04/15/29 | | | | | | | 275 | | | | 280,843 | |
Sensata Technologies, Inc.(b) | | | | | | | | | | | | |
4.38%, 02/15/30 | | | | | | | 286 | | | | 300,300 | |
3.75%, 02/15/31 | | | | | | | 13 | | | | 12,954 | |
Synaptics, Inc., 4.00%, 06/15/29(b) | | | | | | | 129 | | | | 130,935 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,657,876 | |
Software — 1.7% | |
ACI Worldwide, Inc., 5.75%, 08/15/26(b) | | | | | | | 262 | | | | 273,135 | |
Black Knight InfoServ LLC, 3.63%, 09/01/28(b) | | | | | | | 255 | | | | 254,666 | |
Boxer Parent Co., Inc. | | | | | | | | | | | | |
6.50%, 10/02/25(d) | | | EUR | | | | 100 | | | | 119,344 | |
7.13%, 10/02/25(b) | | | USD | | | | 174 | | | | 182,482 | |
9.13%, 03/01/26(b) | | | | | | | 467 | | | | 486,847 | |
Crowdstrike Holdings, Inc., 3.00%, 02/15/29 | | | | | | | 163 | | | | 160,962 | |
Elastic NV, 4.13%, 07/15/29(b) | | | | | | | 254 | | | | 251,303 | |
Helios Software Holdings, Inc./ION Corporate Solutions Finance Sarl, 4.63%, 05/01/28(b) | | | | | | | 200 | | | | 196,500 | |
Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32(b) | | | | | | | 238 | | | | 243,586 | |
Microsoft Corp., 3.50%, 11/15/42 | | | | | | | 4,000 | | | | 4,597,166 | |
MicroStrategy, Inc., 6.13%, 06/15/28(b) | | | | | | | 217 | | | | 217,542 | |
MSCI, Inc.(b) | | | | | | | | | | | | |
4.00%, 11/15/29 | | | | | | | 51 | | | | 53,295 | |
3.63%, 09/01/30 | | | | | | | 81 | | | | 82,823 | |
3.88%, 02/15/31 | | | | | | | 19 | | | | 19,784 | |
3.63%, 11/01/31 | | | | | | | 87 | | | | 90,262 | |
3.25%, 08/15/33 | | | | | | | 124 | | | | 125,395 | |
Open Text Corp., 3.88%, 12/01/29(b) | | | | | | | 106 | | | | 107,325 | |
Open Text Holdings, Inc., 4.13%, 02/15/30(b) | | | | | | | 83 | | | | 85,490 | |
Oracle Corp. | | | | | | | | | | | | |
5.38%, 07/15/40 | | | | | | | 3,025 | | | | 3,693,858 | |
4.00%, 11/15/47 | | | | | | | 400 | | | | 415,298 | |
3.60%, 04/01/50 | | | | | | | 1,250 | | | | 1,223,924 | |
Playtika Holding Corp., 4.25%, 03/15/29(b) | | | | | | | 240 | | | | 235,200 | |
PTC, Inc., 4.00%, 02/15/28(b) | | | | | | | 35 | | | | 35,613 | |
Rocket Software, Inc., 6.50%, 02/15/29(b) | | | | | | | 95 | | | | 92,682 | |
SS&C Technologies, Inc., 5.50%, 09/30/27(b) | | | | | | | 494 | | | | 516,230 | |
Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(b) | | | | | | | 657 | | | | 679,995 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,440,707 | |
Specialty Retail — 0.3% | |
Arko Corp., 5.13%, 11/15/29(b) | | | | | | | 123 | | | | 118,849 | |
National Vision Holdings, Inc., 2.50%, 05/15/25(g) | | | | | | | 165 | | | | 275,859 | |
| | |
| 34 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Specialty Retail (continued) | | | | | | | | | |
PetSmart, Inc./PetSmart Finance Corp.(b) | | | | | | | | | | | | |
4.75%, 02/15/28 | | | USD | | | | 271 | | | $ | 278,114 | |
7.75%, 02/15/29 | | | | | | | 753 | | | | 817,946 | |
Staples, Inc.(b) | | | | | | | | | | | | |
7.50%, 04/15/26 | | | | | | | 455 | | | | 467,513 | |
10.75%, 04/15/27 | | | | | | | 118 | | | | 111,215 | |
Tendam Brands SAU, (3 mo. EURIBOR + 5.25%), 5.25%, 09/15/24(a)(d) | | | EUR | | | | 100 | | | | 112,996 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,182,492 | |
|
| Technology Hardware, Storage & Peripherals — 0.4% | |
Apple, Inc., 4.65%, 02/23/46 | | | USD | | | | 2,400 | | | | 3,148,050 | |
II-VI, Inc., 5.00%, 12/15/29(b) | | | | | | | 233 | | | | 237,944 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,385,994 | |
| | | |
| Textiles, Apparel & Luxury Goods(b) — 0.1% | | | | | | | | | |
Crocs, Inc. | | | | | | | | | | | | |
4.25%, 03/15/29 | | | | | | | 106 | | | | 104,675 | |
4.13%, 08/15/31 | | | | | | | 133 | | | | 130,007 | |
Kontoor Brands, Inc., 4.13%, 11/15/29 | | | | | | | 67 | | | | 67,000 | |
Levi Strauss & Co., 3.50%, 03/01/31 | | | | | | | 75 | | | | 76,472 | |
Wolverine World Wide, Inc., 4.00%, 08/15/29 | | | | | | | 69 | | | | 67,087 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 445,241 | |
| | | |
| Thrifts & Mortgage Finance(b) — 0.0% | | | | | | | | | |
Home Point Capital, Inc., 5.00%, 02/01/26 | | | | | | | 126 | | | | 116,865 | |
Nationstar Mortgage Holdings, Inc. | | | | | | | | | | | | |
6.00%, 01/15/27 | | | | | | | 33 | | | | 34,376 | |
5.13%, 12/15/30 | | | | | | | 69 | | | | 68,138 | |
5.75%, 11/15/31 | | | | | | | 66 | | | | 65,670 | |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.88%, 10/15/26 | | | | | | | 128 | | | | 127,040 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 412,089 | |
| | | |
| Tobacco — 0.9% | | | | | | | | | |
Altria Group, Inc. | | | | | | | | | | | | |
5.38%, 01/31/44 | | | | | | | 2,000 | | | | 2,308,480 | |
3.88%, 09/16/46 | | | | | | | 1,250 | | | | 1,209,061 | |
Reynolds American, Inc. | | | | | | | | | | | | |
4.45%, 06/12/25 | | | | | | | 635 | | | | 685,797 | |
7.00%, 08/04/41 | | | | | | | 1,000 | | | | 1,317,932 | |
5.85%, 08/15/45 | | | | | | | 1,500 | | | | 1,822,563 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,343,833 | |
| | | |
| Transportation — 0.0% | | | | | | | | | |
Autostrade per l’Italia SpA, 2.00%, 12/04/28(d) | | | EUR | | | | 100 | | | | 117,752 | |
| | | | | | | | | | | | |
| | | |
| Transportation Infrastructure — 0.4% | | | | | | | | | |
Aeropuerto Internacional de Tocumen SA, 5.13%, 08/11/61(b) | | | USD | | | | 200 | | | | 209,475 | |
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(b) | | | | | | | 200 | | | | 206,162 | |
FedEx Corp., 4.75%, 11/15/45 | | | | | | | 1,250 | | | | 1,523,158 | |
I 595 Express LLC, 3.31%, 12/31/31(c) | | | | | | | 734 | | | | 766,309 | |
Simpar Europe SA, 5.20%, 01/26/31(b) | | | | | | | 200 | | | | 186,350 | |
Transurban Finance Co. Pty Ltd., 4.13%, 02/02/26(b) | | | | | | | 580 | | | | 630,385 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,521,839 | |
| | | |
| Utilities — 1.2% | | | | | | | | | |
Centrais Eletricas Brasileiras SA, 4.63%, 02/04/30(b) | | | | | | | 237 | | | | 234,526 | |
Consensus Cloud Solutions, Inc.(b) 6.00%, 10/15/26 | | | | | | | 48 | | | | 49,925 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Utilities (continued) | | | | | | | | | |
Consensus Cloud Solutions, Inc.(b) (continued)
6.50%, 10/15/28 | | | USD | | | | 45 | | | $ | 47,025 | |
Electricite de France SA(b) 5.60%, 01/27/40 | | | | | | | 2,800 | | | | 3,673,450 | |
(10 year USD Swap + 3.71%), 5.25%(a)(i) | | | | | | | 4,200 | | | | 4,354,602 | |
Genneia SA, 8.75%, 09/02/27(b) | | | | | | | 246 | | | | 230,094 | |
Inkia Energy Ltd., 5.88%, 11/09/27(b) | | | | | | | 200 | | | | 205,037 | |
Mong Doung Finacial Holdings BV, 5.13%, 05/07/29(d) | | | | | | | 576 | | | | 559,188 | |
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28(b) | | | | | | | 144 | | | | 149,400 | |
Star Energy Geothermal Darajat II/Star Energy Geothermal Salak, 4.85%, 10/14/38(b) | | | | | | | 215 | | | | 235,600 | |
Star Energy Geothermal Wayang Windu Ltd., 6.75%, 04/24/33(d) | | | | | | | 218 | | | | 240,795 | |
Thames Water Kemble Finance PLC, 4.63%, 05/19/26(d) | | | GBP | | | | 168 | | | | 231,909 | |
Vistra Operations Co. LLC, 4.38%, 05/01/29(b) | | | USD | | | | 154 | | | | 154,251 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,365,802 | |
| | |
| Wireless Telecommunication Services — 1.4% | | | | | | | |
Altice France SA(b) | | | | | | | | | | | | |
8.13%, 02/01/27 | | | | | | | 211 | | | | 225,506 | |
5.13%, 07/15/29 | | | | | | | 944 | | | | 920,825 | |
5.50%, 10/15/29 | | | | | | | 321 | | | | 316,185 | |
Crown Castle International Corp., 3.10%, 11/15/29 | | | | | | | 1,000 | | | | 1,044,116 | |
Kenbourne Invest SA, 6.88%, 11/26/24(b) | | | | | | | 210 | | | | 219,161 | |
Millicom International Cellular SA, 4.50%, 04/27/31(b) | | | | | | | 200 | | | | 201,288 | |
Rogers Communications, Inc., 7.50%, 08/15/38 | | | | | | | 2,325 | | | | 3,507,856 | |
SBA Communications Corp., 3.88%, 02/15/27 | | | | | | | 343 | | | | 353,290 | |
Sprint Corp., 7.63%, 03/01/26 | | | | | | | 255 | | | | 306,153 | |
T-Mobile USA, Inc. | | | | | | | | | | | | |
2.63%, 02/15/29 | | | | | | | 308 | | | | 303,380 | |
2.88%, 02/15/31 | | | | | | | 240 | | | | 237,024 | |
3.50%, 04/15/31 | | | | | | | 255 | | | | 265,297 | |
3.50%, 04/15/31(b) | | | | | | | 245 | | | | 254,893 | |
4.50%, 04/15/50 | | | | | | | 500 | | | | 585,202 | |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 6.50%, 02/15/29(b) | | | | | | | 284 | | | | 283,024 | |
VICI Properties LP/VICI Note Co., Inc.(b) | | | | | | | | | | | | |
4.25%, 12/01/26 | | | | | | | 169 | | | | 176,008 | |
3.75%, 02/15/27 | | | | | | | 277 | | | | 286,098 | |
4.63%, 12/01/29 | | | | | | | 320 | | | | 340,552 | |
4.13%, 08/15/30 | | | | | | | 366 | | | | 387,045 | |
Vmed O2 UK Financing I PLC | | | | | | | | | | | | |
4.50%, 07/15/31(d) | | | GBP | | | | 100 | | | | 134,849 | |
4.75%, 07/15/31(b) | | | USD | | | | 452 | | | | 457,650 | |
Vodafone Group PLC, 4.25%, 09/17/50 | | | | | | | 700 | | | | 807,914 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,613,316 | |
| | | | | | | | | | | | |
Total Corporate Bonds — 66.2%
(Cost: $517,025,701) | | | | | | | | | | | 553,418,756 | |
| | | | | | | | | | | | |
| | | |
Floating Rate Loan Interests(a) | | | | | | | | | | | | |
| | | |
| Aerospace & Defense — 0.1% | | | | | | | | | |
Cobham Ultra SeniorCo Sarl, USD Term Loan B, 11/16/28(m) | | | | | | | 52 | | | | 51,789 | |
| | |
SCHEDULE OF INVESTMENTS | | 35 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
|
| Aerospace & Defense (continued) | |
Peraton Holding Corp. | | | | | | | | | | | | |
2nd Lien Term Loan B1, (1 mo. LIBOR + 7.75%), 8.50%, 02/01/29 | | | USD | | | | 195 | | | $ | 197,194 | |
Term Loan B, (1 mo. LIBOR + 3.75%), 4.50%, 02/01/28 | | | | | | | 573 | | | | 572,998 | |
Spirit Aerosystems, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 4.25%, 01/15/25 | | | | | | | 137 | | | | 136,746 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 958,727 | |
| | | |
| Air Freight & Logistics — 0.1% | | | | | | | | | |
AIT Worldwide Logistics, Inc, 2021 Term Loan, (3 mo. LIBOR + 4.75%), 5.50%, 04/06/28 | | | | | | | 77 | | | | 76,648 | |
PECF USS Intermediate Holding III Corporation, Term Loan B, 12/15/28(m) | | | | | | | 516 | | | | 516,116 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 592,764 | |
| | | |
| Airlines — 0.2% | | | | | | | | | |
AAdvantage Loyalty IP Ltd./American Airlines, Inc., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.50%, 04/20/28 | | | | | | | 417 | | | | 431,349 | |
Air Canada, 2021 Term Loan B, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 08/11/28 | | | | | | | 237 | | | | 236,026 | |
Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/21/27 | | | | | | | 117 | | | | 123,216 | |
SkyMiles IP Ltd., 2020 Skymiles Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/20/27 | | | | | | | 201 | | | | 212,307 | |
United Airlines, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 04/21/28 | | | | | | | 436 | | | | 436,300 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,439,198 | |
| | | |
| Auto Components — 0.0% | | | | | | | | | |
Clarios Global LP, 2021 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 04/30/26 | | | | | | | 147 | | | | 146,559 | |
| | | | | | | | | | | | |
| | | |
| Banks — 0.1% | | | | | | | | | |
Directv Financing LLC, (3 mo. LIBOR + 5.00%), 5.75%, 08/02/27 | | | | | | | 566 | | | | 566,137 | |
| | | | | | | | | | | | |
| | | |
| Building Products — 0.0% | | | | | | | | | |
CP Atlas Buyer, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 4.25%, 11/23/27 | | | | | | | 62 | | | | 62,188 | |
CPG International, Inc., 2017 Term Loan, (3 mo. LIBOR + 2.50%), 3.25%, 05/05/24 | | | | | | | 66 | | | | 65,814 | |
Standard Industries, Inc., 2021 Term Loan B, (3 mo. LIBOR + 2.50%), 3.00%, 09/22/28 | | | | | | | 77 | | | | 76,862 | |
TPG VIII Elf Purchaser LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 4.00%, 11/06/28 | | | | | | | 102 | | | | 102,096 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 306,960 | |
| | | |
| Capital Markets — 0.0% | | | | | | | | | |
AQGEN Ascensus, Inc., 2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.50%), 7.00%, 08/02/29 | | | | | | | 122 | | | | 121,936 | |
Deerfield Dakota Holding LLC, 2021 USD 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 7.50%, 04/07/28 | | | | | | | 145 | | | | 147,537 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 269,473 | |
| | | |
| Chemicals — 0.1% | | | | | | | | | |
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.75%), 5.50%, 08/27/26 | | | | | | | 251 | | | | 252,380 | |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
| | | |
| Chemicals (continued) | | | | | | | | | |
Atotech BV, 2021 USD Term Loan B, (1 mo. LIBOR + 2.50%), 3.00%, 03/18/28 | | | USD | | | | 311 | | | $ | 309,664 | |
Illuminate Buyer LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 06/30/27 | | | | | | | — | (n) | | | — | |
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.36%, 05/15/24 | | | | | | | 122 | | | | 121,756 | |
New Arclin U.S. Holding Corp., 2021 Term Loan, (1 mo. LIBOR + 3.75%), 4.25%, 09/30/28 | | | | | | | 111 | | | | 110,722 | |
W.R. Grace & Co.-Conn., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.25%, 09/22/28 | | | | | | | 213 | | | | 213,160 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,007,682 | |
|
| Commercial Services & Supplies — 0.1% | |
Asurion LLC, 2020 Term Loan B8, (1 mo. LIBOR + 3.25%), 3.35%, 12/23/26 | | | | | | | 48 | | | | 47,919 | |
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 4.35%, 12/12/25 | | | | | | | 48 | | | | 47,948 | |
GFL Environmental, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.00%), 3.50%, 05/30/25 | | | | | | | 60 | | | | 59,704 | |
KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.38%, 09/19/26(c) | | | | | | | 34 | | | | 33,092 | |
Verscend Holding Corp., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 4.10%, 08/27/25 | | | | | | | 753 | | | | 752,336 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 940,999 | |
|
| Construction & Engineering — 0.2% | |
Brand Industrial Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/21/24 | | | | | | | 1,344 | | | | 1,345,243 | |
| | | | | | | | | | | | |
| | | |
| Construction Materials — 0.0% | | | | | | | | | |
Forterra Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/25/23 | | | | | | | 58 | | | | 58,345 | |
| | | | | | | | | | | | |
| | | |
| Containers & Packaging — 0.1% | | | | | | | | | |
BWAY Holding Co., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 04/03/24 | | | | | | | 321 | | | | 316,551 | |
Charter NEX US, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%), 4.50%, 12/01/27 | | | | | | | 130 | | | | 129,822 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 446,373 | |
| | | |
| Diversified Consumer Services — 0.0% | | | | | | | | | |
Amentum Government Services Holdings LLC, Term Loan B, (1 mo. LIBOR + 3.50%), 3.60%, 01/29/27 | | | | | | | 41 | | | | 40,672 | |
Ascend Learning, LLC, 2021 2nd Lien Term Loan, (3 mo. LIBOR + 5.75%), 6.25%, 12/10/29 | | | | | | | 83 | | | | 83,139 | |
Sotheby’s, 2021 Term Loan B, (3 mo. LIBOR + 4.50%), 5.00%, 01/15/27 | | | | | | | 114 | | | | 113,377 | |
TruGreen Limited Partnership, 2020 2nd Lien Term Loan, (3 mo. LIBOR + 8.50%), 9.25%, 11/02/28 | | | | | | | 106 | | | | 107,060 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 344,248 | |
| | | |
| Diversified Financial Services — 0.3% | | | | | | | | | |
AQGEN Island Holdings, Inc., Term Loan, 08/02/28(m) | | | | | | | 97 | | | | 96,491 | |
Delta TopCo, Inc., 2020 Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 12/01/27 | | | | | | | 275 | | | | 275,069 | |
I-Logic Technologies Bidco Ltd., 2021 USD Term Loan B, (3 mo. LIBOR + 4.00%), 4.50%, 02/16/28 | | | | | | | 66 | | | | 65,818 | |
KKR Apple Bidco LLC | | | | | | | | | | | | |
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 6.25%, 09/21/29 | | | | | | | 18 | | | | 18,197 | |
| | |
| 36 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
|
| Diversified Financial Services (continued) | |
KKR Apple Bidco LLC (continued) | | | | | | | | | | | | |
2021 Term Loan, (1 mo. LIBOR + 3.00%), 3.50%, 09/23/28 | | | USD | | | | 111 | | | $ | 110,537 | |
LBM Acquisition LLC, Term Loan B, (1 mo. LIBOR + 3.75%), 4.50%, 12/18/27 | | | | | | | 32 | | | | 31,233 | |
Milano Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 10/01/27 | | | | | | | 510 | | | | 511,288 | |
Radiate Holdco LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.00%, 09/25/26 | | | | | | | 39 | | | | 38,842 | |
Veritas US, Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.00%, 09/01/25 | | | | | | | 554 | | | | 553,014 | |
White Cap Buyer LLC, Term Loan B, (1 mo. LIBOR + 4.00%), 4.50%, 10/19/27 | | | | | | | 353 | | | | 353,469 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,053,958 | |
|
| Diversified Telecommunication Services — 0.2% | |
Cincinnati Bell, Inc., 2021 Term Loan B2, (SOFR + 3.25%), 3.30%, 11/22/28 | | | | | | | 58 | | | | 57,843 | |
Frontier Communications Corp., 2021 DIP Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 05/01/28 | | | | | | | 197 | | | | 196,122 | |
Intelsat Jackson Holdings SA | | | | | | | | | | | | |
2017 Term Loan B3, (PRIME + 4.75%), 8.00%, 11/27/23 | | | | | | | 123 | | | | 123,039 | |
2017 Term Loan B4, (PRIME + 5.50%), 8.75%, 01/02/24 | | | | | | | 198 | | | | 197,577 | |
2017 Term Loan B5, (Fixed + 8.62%), 8.63%, 01/02/24 | | | | | | | 1,070 | | | | 1,068,323 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,642,904 | |
| | | |
| Electrical Equipment — 0.0% | | | | | | | | | |
II-VI Incorporated, 2021 Bridge Term Loan B, 12/01/28(m) | | | | | | | 183 | | | | 182,543 | |
| | | | | | | | | | | | |
| | | |
| Entertainment — 0.0% | | | | | | | | | |
MSG National Properties LLC, Term Loan, (3 mo. LIBOR + 6.25%), 7.00%, 11/12/25(c) | | | | | | | 255 | | | | 260,528 | |
| | | | | | | | | | | | |
| | | |
| Gas Utilities — 0.0% | | | | | | | | | |
Freeport LNG Investments, LLLP, Term Loan B, (3 mo. LIBOR + 3.50%), 4.00%, 12/21/28 | | | | | | | 135 | | | | 133,608 | |
| | | | | | | | | | | | |
|
| Health Care Equipment & Supplies — 0.0% | |
Ortho-Clinical Diagnostics SA, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 06/30/25 | | | | | | | 52 | | | | 51,795 | |
| | | | | | | | | | | | |
|
| Health Care Providers & Services — 0.1% | |
Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 01/08/27 | | | | | | | 119 | | | | 119,148 | |
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 10/10/25 | | | | | | | 402 | | | | 322,085 | |
LifePoint Health, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 11/16/25 | | | | | | | 76 | | | | 76,331 | |
Quorum Health Corp., 2020 Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.00%, 04/29/25 | | | | | | | 116 | | | | 111,973 | |
Sotera Health Holdings LLC, 2021 Term Loan, (3 mo. LIBOR + 2.75%), 3.25%, 12/11/26 | | | | | | | 254 | | | | 252,809 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 882,346 | |
| | | |
| Health Care Services — 0.0% | | | | | | | | | |
Medical Solutions LLC, 2021 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%), 7.50%, 11/01/29 | | | | | | | 78 | | | | 76,960 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
| | | |
| Health Care Technology — 0.0% | | | | | | | | | |
Athenahealth, Inc., 2021 Term Loan B1, (3 mo. LIBOR + 4.25%), 4.40%, 02/11/26 | | | USD | | | | 83 | | | $ | 82,295 | |
Polaris Newco LLC, USD Term Loan B, (3 mo. LIBOR + 4.00%), 4.50%, 06/02/28 | | | | | | | 253 | | | | 253,127 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 335,422 | |
|
| Hotels, Restaurants & Leisure — 0.1% | |
Caesars Resort Collection LLC, 2020 Term Loan B1, (1 mo. LIBOR + 3.50%), 3.60%, 07/20/25 | | | | | | | — | (n) | | | 1 | |
Golden Nugget LLC, 2017 Incremental Term Loan B, (2 mo. LIBOR + 2.50%), 3.25%, 10/04/23 | | | | | | | 258 | | | | 256,090 | |
Great Canadian Gaming Corp., Term Loan, (3 mo. LIBOR + 4.00%), 4.75%, 11/01/26 | | | | | | | 38 | | | | 38,072 | |
IRB Holding Corp., 2020 Fourth Amendment Incremental Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/15/27 | | | | | | | 246 | | | | 245,289 | |
Life Time Fitness, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 12/16/24 | | | | | | | 52 | | | | 52,698 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 592,150 | |
| | | |
| Household Durables — 0.0% | | | | | | | | | |
Springs Windows Fashions LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 10/06/28 | | | | | | | 184 | | | | 182,160 | |
| | | | | | | | | | | | |
|
| Independent Power and Renewable Electricity Producers — 0.0% | |
Calpine Corp., 2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.10%, 08/12/26 | | | | | | | 27 | | | | 26,300 | |
| | | | | | | | | | | | |
| | | |
| Industrial Conglomerates — 0.1% | | | | | | | | | |
PSAV Holdings Corp., 2018 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 8.25%, 09/01/25 | | | | | | | 313 | | | | 249,852 | |
Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 7.75%, 11/28/23 | | | | | | | 109 | | | | 109,949 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 359,801 | |
| | | |
| Insurance — 0.1% | | | | | | | | | |
Alliant Holdings Intermediate LLC, 2021 Term Loan B4, (1 mo. LIBOR + 3.50%), 4.00%, 11/06/27 | | | | | | | 151 | | | | 150,327 | |
Ryan Specialty Group LLC, Term Loan, (1 mo. LIBOR + 3.00%), 3.75%, 09/01/27 | | | | | | | 123 | | | | 123,252 | |
Sedgwick Claims Management Services, Inc. | | | | | | | | | | | | |
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 12/31/25 | | | | | | | 93 | | | | 91,690 | |
2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 09/03/26 | | | | | | | 140 | | | | 140,166 | |
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26 | | | | | | | 52 | | | | 52,181 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 557,616 | |
| | | |
| Interactive Media & Services — 0.0% | | | | | | | | | |
Camelot Finance SA, 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/30/26 | | | | | | | 79 | | | | 79,076 | |
Grab Holdings, Inc., Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 01/29/26 | | | | | | | 109 | | | | 109,312 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 188,388 | |
| | | |
| Internet & Direct Marketing Retail — 0.0% | | | | | | | | | |
CNT Holdings I Corp., 2020 Term Loan, (3 mo. LIBOR + 3.50%), 4.25%, 11/08/27 | | | | | | | 154 | | | | 153,810 | |
| | | | | | | | | | | | |
| | |
SCHEDULE OF INVESTMENTS | | 37 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| IT Services — 0.1% | | | | | | | | | |
Banff Merger Sub, Inc. | | | | | | | | | | | | |
2021 USD 2nd Lien Term Loan, (3 mo. LIBOR + 5.50%), 6.00%, 02/27/26 | | | USD | | | | 279 | | | $ | 281,324 | |
2021 USD Term Loan, (3 mo. LIBOR + 3.75%), 3.97%, 10/02/25 | | | | | | | 246 | | | | 243,867 | |
Greeneden US Holdings II LLC, 2020 USD Term Loan B, (1 mo. LIBOR + 4.00%), 4.75%, 12/01/27 | | | | | | | 177 | | | | 177,924 | |
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 02/12/27 | | | | | | | 110 | | | | 107,791 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 810,906 | |
| | | |
| Life Sciences Tools & Services — 0.0% | | | | | | | | | |
ICON Luxembourg Sarl | | | | | | | | | | | | |
LUX Term Loan, (3 mo. LIBOR + 2.25%), 2.75%, 07/03/2 | | | | | | | 240 | | | | 239,967 | |
US Term Loan, (3 mo. LIBOR + 2.25%), 2.75%, 07/03/28 | | | | | | | 60 | | | | 59,990 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 299,957 | |
| | | |
| Machinery — 0.2% | | | | | | | | | |
Filtration Group Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 4.00%, 10/21/28 | | | | | | | 154 | | | | 153,263 | |
Madison IAQ LLC, Term Loan, (6 mo. LIBOR + 3.25%), 3.75%, 06/21/28 | | | | | | | 67 | | | | 66,563 | |
MHI Holdings LLC, Term Loan B, (1 mo. LIBOR + 5.00%), 5.10%, 09/21/26 | | | | | | | 267 | | | | 267,513 | |
Titan Acquisition Ltd., 2018 Term Loan B, (1 mo LIBOR + 3.00%), 3.35%, 03/28/25 | | | | | | | 807 | | | | 792,550 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,279,889 | |
| | | |
| Media — 0.2% | | | | | | | | | |
Altice Financing SA, 2017 USD Term Loan B, (3 mo LIBOR + 2.75%), 2.87%, 07/15/25 | | | | | | | 23 | | | | 22,704 | |
Altice France SA, 2018 Term Loan B13, (2 mo LIBOR + 4.00%), 4.12%, 08/14/26 | | | | | | | 107 | | | | 106,072 | |
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 3.63%, 08/21/26 | | | | | | | 488 | | | | 480,998 | |
Connect Finco Sarl, 2021 Term Loan B, (1 mo LIBOR + 3.50%, 1.00% Floor), 4.50%, 12/12/26 | | | | | | | 107 | | | | 107,210 | |
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/01/23 | | | | | | | 46 | | | | 43,623 | |
MH Sub I LLC | | | | | | | | | | | | |
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 09/13/24 | | | | | | | 123 | | | | 122,816 | |
2021 2nd Lien Term Loan, (1 mo. LIBOR + 6.25%), 6.35%, 02/12/29 | | | | | | | 35 | | | | 35,160 | |
Zayo Group Holdings, Inc., USD Term Loan, (1 mo LIBOR + 3.00%), 3.10%, 03/09/27 | | | | | | | 387 | | | | 381,125 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,299,708 | |
| | | |
| Metals & Mining — 0.0% | | | | | | | | | |
Grinding Media Inc., 2021 Term Loan B, (3 mo LIBOR + 4.00%), 4.75%, 10/12/28 | | | | | | | 64 | | | | 63,680 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Oil, Gas & Consumable Fuels — 0.2% | | | | | | | | | |
Ascent Resources Utica LLC, 2020 Fixed 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 10.00%, 11/01/25 | | | USD | | | | 1,259 | | | $ | 1,357,413 | |
McDermott Technology Americas, Inc., 2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 06/28/24(c) | | | | | | | 8 | | | | 4,762 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,362,175 | |
| | | |
| Pharmaceuticals — 0.1% | | | | | | | | | |
Endo Luxembourg Finance Co. I Sarl, 2021 Term Loan, (3 mo. LIBOR + 5.00%), 5.75%, 03/27/28 | | | | | | | 387 | | | | 375,464 | |
| | | | | | | | | | | | |
| | | |
| Professional Services — 0.0% | | | | | | | | | |
Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR + 3.25%), 3.35%, 02/06/26 | | | | | | | 285 | | | | 283,468 | |
| | | | | | | | | | | | |
| | |
| Real Estate Management & Development — 0.0% | | | | | | | |
Chamberlain Group Inc, Term Loan B, (1 mo. LIBOR + 3.50%), 4.00%, 11/03/28 | | | | | | | 250 | | | | 249,688 | |
| | | | | | | | | | | | |
|
| Semiconductors & Semiconductor Equipment — 0.0% | |
MKS Instruments, Inc., 2021 USD Term Loan, 10/21/28(m) | | | | | | | 234 | | | | 233,357 | |
| | | | | | | | | | | | |
| | | |
| Software — 0.5% | | | | | | | | | |
Barracuda Networks, Inc., 2020 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 7.50%, 10/30/28 | | | | | | | 121 | | | | 121,345 | |
Cloudera, Inc. | | | | | | | | | | | | |
2021 Second Lien Term Loan, (1 mo. LIBOR + 6.00%), 6.50%, 10/08/29(c) | | | | | | | 180 | | | | 179,550 | |
2021 Term Loan, (1 mo. LIBOR + 3.75%), 4.25%, 10/08/28 | | | | | | | 515 | | | | 513,069 | |
Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 3.50%, 05/28/24 | | | | | | | 143 | | | | 139,131 | |
Epicor Software Corp. | | | | | | | | | | | | |
2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 8.75%, 07/31/28 | | | | | | | 62 | | | | 63,343 | |
2020 Term Loan, (1 mo. LIBOR + 3.25%), 4.00%, 07/30/27 | | | | | | | 168 | | | | 167,620 | |
Helios Software Holdings, Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 3.75%), 3.97%, 03/11/28 | | | | | | | 80 | | | | 79,752 | |
Magenta Buyer LLC | | | | | | | | | | | | |
2021 USD 1st Lien Term Loan, (3 mo. LIBOR + 5.00%), 5.75%, 07/27/28 | | | | | | | 535 | | | | 532,821 | |
2021 USD 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%), 9.00%, 07/27/29 | | | | | | | 280 | | | | 277,463 | |
Planview Parent, Inc., 2nd Lien Term Loan, (3 mo LIBOR + 7.25%), 8.00%, 12/18/28(c) | | | | | | | 103 | | | | 103,000 | |
Proof Point, Inc., 2nd Lien Term Loan, (3 mo. LIBOR + 6.25%), 6.75%, 08/31/29 | | | | | | | 242 | | | | 244,117 | |
Proofpoint, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 3.75%, 08/31/28 | | | | | | | 164 | | | | 163,193 | |
RealPage, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.75%, 04/24/28 | | | | | | | 220 | | | | 218,662 | |
Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.35%, 05/30/25 | | | | | | | 9 | | | | 9,350 | |
Sabre GLBL, Inc. | | | | | | | | | | | | |
2021 Term Loan B1, (1 mo. LIBOR + 3.50%), 4.00%, 12/17/27 | | | | | | | 108 | | | | 106,578 | |
2021 Term Loan B2, (1 mo. LIBOR + 3.50%), 4.00%, 12/17/27 | | | | | | | 172 | | | | 169,892 | |
Sophia LP, 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 4.25%, 10/07/27 | | | | | | | 518 | | | | 517,921 | |
| | |
| 38 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
| | | |
| Software (continued) | | | | | | | | | |
Sovos Compliance LLC, 2021 Term Loan, (1 mo. LIBOR + 4.50%), 5.00%, 08/11/28 | | | USD | | | | 101 | | | $ | 101,470 | |
Tempo Acquisition LLC, 2020 Extended Term Loan, (1 mo. LIBOR + 3.25%), 3.75%, 11/02/26 | | | | | | | 21 | | | | 20,480 | |
Tibco Software Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.25%, 03/03/28 | | | | | | | 189 | | | | 189,393 | |
Ultimate Software Group, Inc. | | | | | | | | | | | | |
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.25%), 5.75%, 05/03/27 | | | | | | | 216 | | | | 216,406 | |
2021 Term Loan, (3 mo. LIBOR + 3.25%), 3.75%, 05/04/26 | | | | | | | 236 | | | | 234,372 | |
Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 05/04/26 | | | | | | | 145 | | | | 144,854 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,513,782 | |
| | | |
| Specialty Retail — 0.1% | | | | | | | | | |
PetSmart, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 02/11/28 | | | | | | | 388 | | | | 388,272 | |
Staples, Inc., 7 Year Term Loan, (3 mo. LIBOR + 5.00%), 5.13%, 04/16/26 | | | | | | | 96 | | | | 92,847 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 481,119 | |
|
| Trading Companies & Distributors — 0.0% | |
Foundation Building Materials Holding Company LLC, 2021 Term Loan, (3 mo. LIBOR + 3.25%), 3.75%, 01/31/28 | | | | | | | 69 | | | | 68,149 | |
| | | | | | | | | | | | |
| | | |
Total Floating Rate Loan Interests — 3.3%
(Cost: $27,389,838) | | | | | | | | | | | 27,424,339 | |
| | | | | | | | | | | | |
|
Foreign Agency Obligations | |
| | | |
| Argentina — 0.0% | | | | | | | | | |
Argentine Republic Government International Bond, 3.50%, 07/09/41(a)(o) | | | | | | | 240 | | | | 84,865 | |
| | | | | | | | | | | | |
| | | |
| Bahrain — 0.0% | | | | | | | | | |
Bahrain Government International Bond, 6.75%, 09/20/29(d) | | | | | | | 200 | | | | 215,600 | |
| | | | | | | | | | | | |
| | | |
| Canada — 1.0% | | | | | | | | | |
CDP Financial, Inc., 5.60%, 11/25/39(b)(j) | | | | | | | 5,890 | | | | 8,344,052 | |
| | | | | | | | | | | | |
| | | |
| Colombia — 0.1% | | | | | | | | | |
Colombia Government International Bond | | | | | | | | | | | | |
4.50%, 01/28/26 | | | | | | | 300 | | | | 313,837 | |
3.13%, 04/15/31 | | | | | | | 230 | | | | 207,187 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 521,024 | |
| | | |
| Dominican Republic — 0.1% | | | | | | | | | |
Dominican Republic International Bond | |
5.95%, 01/25/27(d) | | | | | | | 230 | | | | 255,875 | |
4.50%, 01/30/30(b) | | | | | | | 226 | | | | 230,068 | |
4.88%, 09/23/32(b) | | | | | | | 150 | | | | 152,419 | |
6.40%, 06/05/49(d) | | | | | | | 150 | | | | 157,481 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 795,843 | |
| | | |
| Egypt — 0.1% | | | | | | | | | |
Egypt Government International Bond | | | | | | | | | | | | |
5.58%, 02/21/23(b) | | | | | | | 200 | | | | 206,960 | |
5.88%, 06/11/25(d) | | | | | | | 210 | | | | 215,880 | |
8.50%, 01/31/47(b) | | | | | | | 400 | | | | 353,680 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 776,520 | |
| | | | | | | | | | | | |
| Security | | Par (000) | | | Value | |
| | | |
| Guatemala — 0.0% | | | | | | | | | |
Guatemala Government Bond, 4.65%, 10/07/41(b) | | | USD | | | | 200 | | | $ | 199,913 | |
| | | | | | | | | | | | |
| | | |
| Iceland — 0.4% | | | | | | | | | |
Iceland Government International Bond, 5.88%, 05/11/22(d) | | | | | | | 3,555 | | | | 3,609,529 | |
| | | | | | | | | | | | |
| | | |
| Indonesia — 0.1% | | | | | | | | | |
Indonesia Government International Bond, 4.10%, 04/24/28 | | | | | | | 300 | | | | 334,556 | |
| | | | | | | | | | | | |
| | | |
| Italy — 0.4% | | | | | | | | | |
Republic of Italy Government International Bond, 5.38%, 06/15/33 | | | | | | | 2,925 | | | | 3,599,486 | |
| | | | | | | | | | | | |
| | | |
| Mexico — 0.0% | | | | | | | | | |
Mexico Government International Bond, 2.66%, 05/24/31 | | | | | | | 269 | | | | 262,157 | |
| | | | | | | | | | | | |
| | | |
| Mongolia — 0.0% | | | | | | | | | |
Mongolia Government International Bond, 5.13%, 04/07/26(d) | | | | | | | 250 | | | | 255,938 | |
| | | | | | | | | | | | |
| | | |
| Morocco — 0.0% | | | | | | | | | |
Morocco Government International Bond, 3.00%, 12/15/32(b) | | | | | | | 221 | | | | 210,544 | |
| | | | | | | | | | | | |
| | | |
| Oman — 0.0% | | | | | | | | | |
Oman Government International Bond, 6.50%, 03/08/47(d) | | | | | | | 228 | | | | 225,788 | |
| | | | | | | | | | | | |
| | | |
| Pakistan — 0.1% | | | | | | | | | |
Pakistan Government International Bond(d) | | | | | | | | | | | | |
6.00%, 04/08/26 | | | | | | | 200 | | | | 199,750 | |
7.38%, 04/08/31 | | | | | | | 200 | | | | 198,500 | |
Pakistan Water & Power Development Authority, 7.50%, 06/04/31(d) | | | | | | | 200 | | | | 193,437 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 591,687 | |
| | | |
| Panama — 0.1% | | | | | | | | | |
Panama Government International Bond | | | | | | | | | | | | |
3.16%, 01/23/30 | | | | | | | 212 | | | | 219,659 | |
4.50%, 04/16/50 | | | | | | | 200 | | | | 220,162 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 439,821 | |
| | | |
| Paraguay — 0.0% | | | | | | | | | |
Paraguay Government International Bond, 5.40%, 03/30/50(b) | | | | | | | 200 | | | | 227,975 | |
| | | | | | | | | | | | |
| | | |
| Peru — 0.0% | | | | | | | | | |
Peruvian Government International Bond | | | | | | | | | | | | |
1.86%, 12/01/32 | | | | | | | 171 | | | | 156,070 | |
3.00%, 01/15/34 | | | | | | | 106 | | | | 105,470 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 261,540 | |
| | | |
| Portugal — 0.5% | | | | | | | | | |
Portugal Government International Bond, 5.13%, 10/15/24(b) | | | | | | | 3,970 | | | | 4,397,926 | |
| | | | | | | | | | | | |
| | | |
| Qatar — 0.1% | | | | | | | | | |
Qatar Government International Bond, 4.00%, 03/14/29(b) | | | | | | | 240 | | | | 270,165 | |
| | | | | | | | | | | | |
| | | |
| Romania — 0.0% | | | | | | | | | |
Romanian Government International Bond, 3.00%, 02/14/31(b) | | | | | | | 220 | | | | 222,926 | |
| | | | | | | | | | | | |
| | |
SCHEDULE OF INVESTMENTS | | 39 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Russia — 0.0% | | | | | | | | | | | | |
Russian Foreign Bond - Eurobond, 4.25%, 06/23/27(d) | | | USD | | | | 200 | | | $ | 215,500 | |
| | | | | | | | | | | | |
| | | |
Saudi Arabia — 0.1% | | | | | | | | | | | | |
Saudi Government International Bond(d) | | | | | | | | | | | | |
4.50%, 04/17/30 | | | | | | | 278 | | | | 323,783 | |
2.25%, 02/02/33 | | | | | | | 222 | | | | 216,658 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 540,441 | |
Sri Lanka — 0.1% | | | | | | | | | | | | |
Sri Lanka Government International Bond(d) | | | | | | | | | | | | |
6.85%, 03/14/24 | | | | | | | 432 | | | | 225,261 | |
6.35%, 06/28/24 | | | | | | | 600 | | | | 312,862 | |
7.85%, 03/14/29 | | | | | | | 200 | | | | 100,413 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 638,536 | |
Ukraine — 0.1% | | | | | | | | | | | | |
Ukraine Government International Bond | | | | | | | | | | | | |
7.75%, 09/01/25(d) | | | | | | | 385 | | | | 368,253 | |
7.25%, 03/15/33(b) | | | | | | | 200 | | | | 175,500 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 543,753 | |
Uruguay — 0.0% | | | | | | | | | | | | |
Uruguay Government International Bond, 4.98%, 04/20/55 | | | | | | | 68 | | | | 89,530 | |
| | | | | | | | | | | | |
| | | |
Total Foreign Agency Obligations — 3.3% | | | | | | | | | | | | |
(Cost: $25,249,972) | | | | | | | | | | | 27,875,615 | |
| | | | | | | | | | | | |
| | | |
Municipal Bonds | | | | | | | | | | | | |
| | | |
California — 0.9% | | | | | | | | | | | | |
East Bay Municipal Utility District Water System Revenue, RB, BAB, 5.87%, 06/01/40 | | | | | | | 1,900 | | | | 2,714,562 | |
State of California, GO, BAB | | | | | | | | | | | | |
7.55%, 04/01/39 | | | | | | | 280 | | | | 467,241 | |
7.63%, 03/01/40 | | | | | | | 1,720 | | | | 2,852,527 | |
University of California, RB, BAB, 5.95%, 05/15/45 | | | | | | | 885 | | | | 1,245,861 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,280,191 | |
Georgia — 0.3% | | | | | | | | | | | | |
Municipal Electric Authority of Georgia, Refunding RB, BAB, 7.06%, 04/01/57 | | | | | | | 1,950 | | | | 2,896,524 | |
| | | | | | | | | | | | |
| | | |
Illinois — 0.3% | | | | | | | | | | | | |
State of Illinois, GO, 5.10%, 06/01/33 | | | | | | | 2,000 | | | | 2,299,968 | |
| | | | | | | | | | | | |
| | | |
Indiana — 0.4% | | | | | | | | | | | | |
Indianapolis Local Public Improvement Bond Bank, RB, Series B-2, 6.12%, 01/15/40 | | | | | | | 2,535 | | | | 3,559,462 | |
| | | | | | | | | | | | |
| | | |
New Jersey — 0.1% | | | | | | | | | | | | |
State of New Jersey, GO | | | | | | | | | | | | |
Series A, 4.00%, 06/01/30 | | | | | | | 250 | | | | 303,462 | |
Series A, 4.00%, 06/01/31 | | | | | | | 190 | | | | 234,986 | |
Series A, 4.00%, 06/01/32 | | | | | | | 180 | | | | 226,326 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 764,774 | |
New York — 1.3% | | | | | | | | | | | | |
Metropolitan Transportation Authority, RB, BAB, 7.34%, 11/15/39 | | | | | | | 1,295 | | | | 2,094,247 | |
New York City Industrial Development Agency, Refunding RB
(AGM), 3.19%, 03/01/40 | | | | | | | 165 | | | | 171,414 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
New York (continued) | | | | | | | | | | | | |
New York City Industrial Development Agency, Refunding RB (continued) | | | | | | | | | | | | |
Class A, (AGM), 3.00%, 01/01/46 | | | USD | | | | 50 | | | $ | 52,310 | |
New York City Transitional Finance Authority Future Tax Secured Revenue, RB, Series E-1, 4.00%, 02/01/41 | | | | | | | 1,000 | | | | 1,201,873 | |
New York City Water & Sewer System, Refunding RB, BAB, 5.72%, 06/15/42 | | | | | | | 1,390 | | | | 2,073,047 | |
New York State Dormitory Authority, RB, BAB | | | | | | | | | | | | |
Series D, 5.60%, 03/15/40 | | | | | | | 1,900 | | | | 2,531,435 | |
Series F, 5.63%, 03/15/39 | | | | | | | 1,100 | | | | 1,417,957 | |
Port Authority of New York & New Jersey, RB, 159th Series, 6.04%, 12/01/29 | | | | | | | 780 | | | | 990,530 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,532,813 | |
| | | | | | | | | | | | |
Total Municipal Bonds — 3.3% | | | | | | | | | | | | |
(Cost: $20,759,786) | | | | | | | | | | | 27,333,732 | |
| | | | | | | | | | | | |
|
Non-Agency Mortgage-Backed Securities | |
| | | |
Collateralized Mortgage Obligations — 2.5% | | | | | | | | | | | | |
Alternative Loan Trust | | | | | | | | | | | | |
Series 2005-64CB, Class 1A15, 5.50%, 12/25/35 | | | | 500 | | | | 501,792 | |
Series 2006-OA21, Class A1, (1 mo. LIBOR US + 0.19%), 0.29%, 03/20/47(a) | | | | | | | 472 | | | | 407,187 | |
Series 2007-OA10, Class 2A1, (1 mo. LIBOR US + 0.50%), 0.60%, 09/25/47(a) | | | | | | | 4,696 | | | | 3,845,926 | |
Banc of America Funding Trust, Series 2007-2, Class 1A2, 6.00%, 03/25/37 | | | | | | | 257 | | | | 245,461 | |
COLT Mortgage Loan Trust(a)(b) | | | | | | | | | | | | |
Series 2020-2, Class M1, 5.25%, 03/25/65 | | | | | | | 3,050 | | | | 3,083,509 | |
Series 2020-3, Class M1, 3.36%, 04/27/65 | | | | | | | 3,820 | | | | 3,843,829 | |
Ellington Financial Mortgage Trust,
Series 2020-1, Class M1, 5.24%, 05/25/65(a)(b) | | | | | | | 1,500 | | | | 1,533,217 | |
GMACM Mortgage Loan Trust, Series 2005-AR3, Class 5A1, 2.79%, 06/19/35(a) | | | | | | | 138 | | | | 136,917 | |
GSR Mortgage Loan Trust, Series 2007-4F, Class 3A1, 6.00%, 07/25/37 | | | | | | | 86 | | | | 72,162 | |
JP Morgan Mortgage Trust, Series 2006-S3, Class 1A12, 6.50%, 08/25/36 | | | | | | | 44 | | | | 23,512 | |
Merrill Lynch Mortgage Investors Trust, Series 2006- A3, Class 3A1, 2.79%, 05/25/36(a) | | | | | | | 191 | | | | 162,357 | |
MFA Trust, Series 2021-NQM1, Class M1, 2.31%, 04/25/65(a)(b) | | | | | | | 2,750 | | | | 2,719,750 | |
STAR Trust, Series 2021-1, Class M1, 2.36%, 05/25/65(a)(b) | | | | | | | 2,050 | | | | 2,028,289 | |
Starwood Mortgage Residential Trust, Series 2020-3, Class M1, 3.54%, 04/25/65(a)(b) | | | | | | | 2,000 | | | | 2,010,167 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 20,614,075 | |
|
Commercial Mortgage-Backed Securities(a) — 4.0% | |
BAMLL Commercial Mortgage Securities Trust, | | | | | | | | | | | | |
Series 2015-200P, Class C, 3.60%, 04/14/33(b) | | | | | | | 4,170 | | | | 4,302,975 | |
Bayview Commercial Asset Trust, Series 2007-2A, Class A1, (1 mo. LIBOR US + 0.27%), 0.37%, 07/25/37(b) | | | | | | | 814 | | | | 782,666 | |
Citigroup Commercial Mortgage Trust | | | | | | | | | | | | |
Series 2013-GC15, Class B, 5.18%, 09/10/46 | | | | | | | 7,183 | | | | 7,520,671 | |
Series 2020-420K, Class D, 3.31%, 11/10/42(b) | | | | | | | 270 | | | | 262,209 | |
| | |
| 40 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Commercial Mortgage-Backed Securities (continued) | |
COMM Mortgage Trust | | | | | | | | | | | | |
Series 2015-CR22, Class C, 4.11%, 03/10/48 | | | USD | | | | 5,000 | | | $ | 5,185,410 | |
Series 2015-LC19, Class C, 4.23%, 02/10/48 | | | | | | | 3,500 | | | | 3,640,892 | |
Commercial Mortgage Trust, Series 2013-CR11, Class B, 5.11%, 08/10/50 | | | | | | | 7,000 | | | | 7,358,632 | |
CSMC-FACT, Series 2020-FACT, Class D, (1 mo. LIBOR US + 3.71%), 3.82%, 10/15/37(b) | | | | | | | 900 | | | | 907,162 | |
Extended Stay America Trust, Series 2021-ESH, Class D, (1 mo. LIBOR US + 2.25%), 2.36%, 07/15/38(b) | | | | | | | 826 | | | | 825,704 | |
GS Mortgage Securities Corp. Trust, Series 2020- TWN3, Class D, (1 mo. LIBOR US + 3.70%), 3.81%, 11/15/37(b) | | | | | | | 1,500 | | | | 1,514,600 | |
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2006-1A, Class B, (1 mo. LIBOR US + 1.00%), 1.10%, 04/25/31(b) | | | | | | | 1,366 | | | | 1,345,332 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 33,646,253 | |
| | | | | | | | | | | | |
Total Non-Agency Mortgage-Backed Securities — 6.5% | | | | | | | | | | | | |
(Cost: $53,561,510) | | | | | | | | | | | 54,260,328 | |
| | | | | | | | | | | | |
| | | |
Preferred Securities | | | | | | | | | | | | |
| | | |
Capital Trusts — 6.5%(a) | | | | | | | | | | | | |
| | | |
Banks — 1.9% | | | | | | | | | | | | |
Bank of East Asia Ltd., 5.88%(d)(i) | | | | | | | 500 | | | | 520,875 | |
BBVA Bancomer SA, 5.13%, 01/18/33(d) | | | | | | | 271 | | | | 278,249 | |
CaixaBank SA, 6.38%(d)(i) | | | EUR | | | | 200 | | | | 245,347 | |
CIT Group, Inc., Series A, 5.80%(i) | | | USD | | | | 163 | | | | 165,241 | |
Industrial & Commercial Bank of China Ltd., 3.20%(d)(i) | | | | | | | 250 | | | | 255,000 | |
ING Groep NV, 3.88%(i) | | | | | | | 2,000 | | | | 1,902,500 | |
Kasikornbank PCL, 5.28%(d)(i) | | | | | | | 600 | | | | 626,175 | |
Nanyang Commercial Bank Ltd., 5.00%(d)(i) | | | | | | | 200 | | | | 202,625 | |
Nordea Bank Abp, 6.13%(b)(i) | | | | | | | 2,960 | | | | 3,185,700 | |
Rizal Commercial Banking Corp., 6.50%(d)(i) | | | | | | | 200 | | | | 203,600 | |
SVB Financial Group, Series C, 4.00%(i) | | | | | | | 2,000 | | | | 2,010,000 | |
TMBThanachart Bank PCL, 4.90%(d)(i) | | | | | | | 250 | | | | 251,844 | |
US Bancorp, 3.70%(i) | | | | | | | 1,900 | | | | 1,899,620 | |
Wells Fargo & Co., Series S, 5.90%(i) | | | | | | | 3,390 | | | | 3,576,924 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 15,323,700 | |
Building Materials — 0.0% | | | | | | | | | | | | |
Cemex SAB de CV, 5.13%(b)(i) | | | | | | | 200 | | | | 207,000 | |
| | | | | | | | | | | | |
Capital Markets — 0.4% | | | | | | | | | | | | |
Bank of New York Mellon Corp., Series I, 3.75%(i) | | | | | | | 2,845 | | | | 2,855,157 | |
| | | | | | | | | | | | |
Diversified Financial Services(i) — 3.4% | | | | | | | | | | | | |
Bank of America Corp. | | | | | | | | | | | | |
Series AA, 6.10% | | | | | | | 7 | | | | 7,586 | |
Series FF, 5.88% | | | | | | | 3,500 | | | | 3,893,750 | |
Series X, 6.25% | | | | | | | 1,050 | | | | 1,130,063 | |
Barclays PLC, 4.38% | | | | | | | 310 | | | | 303,645 | |
Credit Suisse Group AG, 6.38%(b) | | | | | | | 300 | | | | 323,340 | |
HSBC Holdings PLC | | | | | | | | | | | | |
6.50% | | | | | | | 1,090 | | | | 1,200,613 | |
6.00% | | | | | | | 435 | | | | 468,169 | |
JPMorgan Chase & Co. | | | | | | | | | | | | |
Series FF, 5.00% | | | | | | | 3,027 | | | | 3,110,243 | |
Series HH, 4.60% | | | | | | | 165 | | | | 169,331 | |
Series I, 3.60% | | | | | | | 3,581 | | | | 3,598,905 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | |
Diversified Financial Services (continued) | | | | | | | | | |
JPMorgan Chase & Co. (continued) | | | | | | | | | | | | |
Series R, 6.00% | | | USD | | | | 70 | | | $ | 72,975 | |
Series V, 3.53% | | | | | | | 3,640 | | | | 3,653,514 | |
Lloyds Banking Group PLC, 7.50% | | | | | | | 1,750 | | | | 1,977,874 | |
Morgan Stanley, Series H, 3.73% | | | | | | | 3,030 | | | | 3,031,537 | |
Natwest Group PLC, 6.00% | | | | | | | 1,575 | | | | 1,723,554 | |
Societe Generale SA, 7.88%(b) | | | | | | | 1,000 | | | | 1,093,750 | |
UBS Group AG, 3.88%(b) | | | | | | | 2,000 | | | | 1,970,900 | |
Woori Bank, 4.25%(d) | | | | | | | 250 | | | | 258,719 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 27,988,468 | |
|
Diversified Telecommunication Services — 0.0% | |
Telefonica Europe BV, 5.88%(d)(i) | | | EUR | | | | 100 | | | | 124,808 | |
| | | | | | | | | | | | |
| | | |
Electric Utilities — 0.4% | | | | | | | | | | | | |
Edison International, Series B, 5.00%(i) | | | USD | | | | 115 | | | | 117,507 | |
NextEra Energy Capital Holdings, Inc., 5.65%, 05/01/79 | | | | | | | 2,750 | | | | 3,115,595 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,233,102 | |
|
Independent Power and Renewable Electricity Producers — 0.0% | |
Vistra Corp., 7.00%(b)(i) | | | | | | | 162 | | | | 164,088 | |
| | | | | | | | | | | | |
Insurance — 0.4% | | | | | | | | | | | | |
Heungkuk Life Insurance Co. Ltd., 4.48%(d)(i) | | | | | | | 200 | | | | 201,163 | |
MetLife, Inc., 6.40%, 12/15/66 | | | | | | | 2,554 | | | | 3,141,970 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,343,133 | |
|
Real Estate Management & Development — 0.0% | |
Aroundtown SA, 3.38%(d)(i) | | | EUR | | | | 100 | | | | 117,509 | |
| | | | | | | | | | | | |
| | | |
Utilities — 0.0% | | | | | | | | | | | | |
Electricite de France SA, 3.38%(d)(i) | | | | | | | 200 | | | | 235,100 | |
| | | | | | | | | | | | |
|
Wireless Telecommunication Services — 0.0% | |
Vodafone Group PLC, 3.10%, 01/03/79(d) | | | | | | | 100 | | | | 117,408 | |
| | | | | | | | | | | | |
Total Capital Trusts — 6.5% | | | | | | | | | | | 53,709,473 | |
| | | | | | | | | | | | |
| | | |
| | | | | |
Shares | | | | |
| | | |
Preferred Stocks — 0.5%(a)(i) | | | | | | | | | | | | |
| | | |
Capital Markets — 0.5% | | | | | | | | | | | | |
Goldman Sachs Group, Inc., Series J, 5.50% | | | | | | | 92,000 | | | | 2,433,400 | |
Morgan Stanley, Series K, 5.85% | | | | | | | 66,567 | | | | 1,936,434 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,369,834 | |
Thrifts & Mortgage Finance — 0.0% | | | | | | | | | | | | |
Fannie Mae, Series S | | | | | | | 10,000 | | | | 31,200 | |
| | | | | | | | | | | | |
| | | |
Total Preferred Stocks — 0.5% | | | | | | | | | | | 4,401,034 | |
| | | | | | | | | | | | |
| | | |
Trust Preferred — 0.1% | | | | | | | | | | | | |
| | | |
Diversified Financial Services — 0.1% | | | | | | | | | | | | |
Citigroup Capital XIII, 6.50%, 10/30/40(a) | | | | | | | 29,583 | | | | 825,366 | |
| | | | | | | | | | | | |
Total Preferred Securities — 7.1%
(Cost: $56,982,226) | | | | | | | | | | | 58,935,873 | |
| | | | | | | | | | | | |
| | |
SCHEDULE OF INVESTMENTS | | 41 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
U.S. Government Sponsored Agency Securities | |
|
| Agency Obligations — 1.6% | |
Fannie Mae, 5.63%, 07/15/37(j) | | | USD | | | | 1,600 | | | $ | 2,406,380 | |
Federal Home Loan Bank(j)
5.25%, 12/09/22 | | | | | | | 1,375 | | | | 1,437,919 | |
5.37%, 09/09/24 | | | | | | | 4,025 | | | | 4,491,903 | |
Resolution Funding Corp. Principal
Strip, 0.00%, 04/15/30(h) | | | | | | | 6,055 | | | | 5,234,382 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,570,584 | |
|
| Collateralized Mortgage Obligations — 2.3% | |
Uniform Mortgage-Backed Securities
| | | | | | | | | | | | |
Series 1254, Class Z, 8.50%, 04/15/22 | | | | | | | — | (n) | | | 2 | |
Series 2015-47, Class GL, 3.50%, 07/25/45 | | | | | | | 1,636 | | | | 1,820,211 | |
Series 4350, Class DY, 4.00%, 06/15/44 | | | | | | | 2,247 | | | | 2,427,765 | |
Series 4398, Class ZX, 4.00%, 09/15/54 | | | | | | | 10,251 | | | | 11,739,712 | |
Series 4549, Class TZ, 4.00%, 11/15/45 | | | | | | | 3,124 | | | | 3,404,009 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 19,391,699 | |
|
| Interest Only Collateralized Mortgage Obligations — 0.2% | |
Ginnie Mae Mortgage-Backed Securities(a)
Series 2009-116, Class KS,
(1 mo. LIBOR US + 6.47%), 6.36%, 12/16/39 | | | | | | | 779 | | | | 116,488 | |
Series 2011-52, Class NS,
(1 mo. LIBOR US + 6.67%), 6.56%, 04/16/41 | | | | | | | 6,823 | | | | 1,169,183 | |
Uniform Mortgage-Backed Securities
Series 1997-50, Class SI, (1 mo. LIBOR US + 9.20%), 1.20%, 04/25/23(a) | | | | | | | 2 | | | | 10 | |
Series 2012-47, Class NI, 4.50%, 04/25/42 | | | | | | | 1,425 | | | | 241,172 | |
Series 2012-96, Class DI, 4.00%, 02/25/27 | | | | | | | 332 | | | | 2,642 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,529,495 | |
|
| Mortgage-Backed Securities — 20.9% | |
Ginnie Mae Mortgage-Backed Securities, 5.50%, 08/15/33 | | | | | | | 27 | | | | 30,161 | |
Uniform Mortgage-Backed Securities
3.00%, 04/01/33 - 09/01/43(j) | | | | | | | 8,209 | | | | 8,647,447 | |
5.00%, 08/01/34(j) | | | | | | | 722 | | | | 813,411 | |
5.50%, 06/01/38(j) | | | | | | | 358 | | | | 409,547 | |
6.00%, 12/01/38(j) | | | | | | | 297 | | | | 344,391 | |
4.50%, 07/01/41 - 07/01/55(j) | | | | | | | 8,415 | | | | 9,352,288 | |
4.00%, 12/01/41 - 04/01/56(j) | | | | | | | 14,390 | | | | 15,772,225 | |
3.50%, 07/01/49 - 08/01/49(j) | | | | | | | 8,391 | | | | 8,978,525 | |
2.50%, 02/11/51 - 07/25/51(p) | | | | | | | 107,400 | | | | 109,437,342 | |
2.00%, 03/01/51 - 06/01/51(j) | | | | | | | 20,735 | | | | 20,689,300 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 174,474,637 | |
|
| Principal Only Collateralized Mortgage Obligations(q) — 0.0% | |
Uniform Mortgage-Backed Securities
| | | | | | | | | | | | |
Series 1993-51, Class E, 0.00%, 02/25/23 | | | | | | | 1 | | | | 562 | |
Series 1993-70, Class A, 0.00%, 05/25/23 | | | | | | | — | (n) | | | 130 | |
Series 203, Class 1, 0.00%, 02/25/23 | | | | | | | — | (n) | | | 170 | |
Series 228, Class 1, 0.00%, 06/25/23 | | | | | | | — | (n) | | | 83 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 945 | |
| | | | | | | | | | | | |
| |
Total U.S. Government Sponsored Agency Securities — 25.0% | | | | | |
(Cost: $202,474,617) | | | | | | | | | | | 208,967,360 | |
| | | | | | | | | | | | |
|
U.S. Treasury Obligations | |
U.S. Treasury Bonds(j)
1.88%, 02/15/41 - 02/15/51 | | | | | | | 29,800 | | | | 29,485,094 | |
3.00%, 11/15/44 | | | | | | | 61,400 | | | | 73,219,500 | |
2.50%, 02/15/46 | | | | | | | 66,500 | | | | 73,459,121 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
U.S. Treasury Obligations (continued) | |
U.S. Treasury Bonds(j) (continued) | | | | | |
2.75%, 11/15/47 | | | USD | | | | 2,000 | | | $ | 2,328,438 | |
U.S. Treasury Notes(j)
0.13%, 08/31/22 - 03/31/23(r) | | | | | | | 74,300 | | | | 74,037,398 | |
2.75%, 04/30/23 - 08/31/25 | | | | | | | 19,300 | | | | 20,297,477 | |
3.00%, 09/30/25 | | | | | | | 2,400 | | | | 2,563,875 | |
2.88%, 08/15/28 | | | | | | | 1,000 | | | | 1,092,109 | |
3.13%, 11/15/28 | | | | | | | 3,000 | | | | 3,334,570 | |
1.13%, 02/15/31 | | | | | | | 19,000 | | | | 18,439,648 | |
| | | | | | | | | | | | |
| |
Total U.S. Treasury Obligations — 35.7%
(Cost: $276,364,446) | | | | 298,257,230 | |
| | | | | | | | | | | | |
| |
Total Long-Term Investments — 158.2%
(Cost: $1,245,310,068) | | | | 1,321,783,413 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Shares | | | | |
|
Short-Term Securities | |
|
| Money Market Funds — 3.1% | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.00%(s)(t) | | | | | | | 25,976,159 | | | | 25,976,159 | |
| | | | | | | | | | | | |
| |
Total Short-Term Securities — 3.1%
(Cost: $25,976,159) | | | | 25,976,159 | |
| | | | | | | | | | | | |
| |
Options Purchased — 0.6%
(Cost: $6,022,874) | | | | 5,333,903 | |
| | | | | | | | | | | | |
| |
Total Investments Before TBA Sale Commitments and Options Written — 161.9%
(Cost: $1,277,309,101) | | | | 1,353,093,475 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Par (000) | | | | |
|
TBA Sale Commitments | |
|
| Mortgage-Backed Securities — (6.5)% | |
Uniform Mortgage-Backed Securities, 2.50%, 07/25/51(p) | | | USD | | | | (53,700 | ) | | | (54,786,845 | ) |
| | | | | | | | | | | | |
| |
Total TBA Sale Commitments — (6.5)%
(Proceeds: $(54,792,928)) | | | | (54,786,845 | ) |
| | | | | | | | | | | | |
| |
Options Written — (0.8)%
(Premiums Received: $(7,051,586)) | | | | (6,963,280 | ) |
| | | | | | | | | | | | |
| |
Total Investments, Net of TBA Sale Commitments and Options Written — 154.6%
(Cost: $1,215,464,587) | | | | 1,291,343,350 | |
| |
Liabilities in Excess of Other Assets — (54.6)% | | | | (456,029,579 | ) |
| | | | | | | | | | | | |
| | | |
Net Assets — 100.0% | | | | | | | | | | $ | 835,313,771 | |
| | | | | | | | | | | | |
| (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) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
| (e) | Issuer filed for bankruptcy and/or is in default. |
| (f) | Non-income producing security. |
| | |
| 42 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) |
| (i) | Perpetual security with no stated maturity date. |
| (j) | All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
| (k) | 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. |
| (l) | All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
| (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) | Rounds to less than 1,000. |
| (o) | Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
| (p) | Represents or includes a TBA transaction. |
| (q) | Rates are discount rates or a range of discount rates as of period end. |
| (r) | All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives. |
| (s) | Affiliate of the Trust. |
| (t) | Annualized 7-day yield as of period end. |
For Trust compliance purposes, the Trust’s 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.
Affiliates
Investments in issuers considered to be affiliate(s) of the Trust during the year ended December 31, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Affiliated Issuer | | Value at
12/31/20 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net
Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value at
12/31/21 | | | Shares
Held at
12/31/21 | | | Income | | | Capital Gain
Distributions
from
Underlying
Funds | |
BlackRock Liquidity Funds, T-Fund, Institutional Class | | $ | 8,065,454 | | | $ | 17,910,705 | (a) | | $ | — | | | $ | — | | | $ | — | | | $ | 25,976,159 | | | | 25,976,159 | | | $ | 1,811 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Represents net amount purchased (sold). | |
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) |
BNP Paribas S.A | | | 0.07 | %(b) | | | 11/25/20 | | | | Open | | | $ | 2,607,281 | | | $ | 2,610,008 | | | U.S. Government Sponsored
Agency Securities | | | Open/Demand | |
BNP Paribas S.A | | | 0.07 | (b) | | | 11/25/20 | | | | Open | | | | 1,548,594 | | | | 1,550,213 | | | U.S. Government Sponsored
Agency Securities | | | Open/Demand | |
BNP Paribas S.A | | | 0.07 | (b) | | | 11/25/20 | | | | Open | | | | 2,586,000 | | | | 2,588,704 | | | U.S. Government Sponsored
Agency Securities | | | Open/Demand | |
BNP Paribas S.A | | | 0.29 | (b) | | | 06/04/21 | | | | Open | | | | 6,796,680 | | | | 6,808,068 | | | Corporate Bonds | | | Open/Demand | |
BNP Paribas S.A | | | 0.29 | (b) | | | 06/04/21 | | | | Open | | | | 9,856,460 | | | | 9,872,975 | | | Corporate Bonds | | | Open/Demand | |
BNP Paribas S.A | | | 0.29 | (b) | | | 06/04/21 | | | | Open | | | | 8,650,000 | | | | 8,664,494 | | | Corporate Bonds | | | Open/Demand | |
Credit Agricole Corporate and Investment Bank | | | 0.19 | (b) | | | 06/09/21 | | | | Open | | | | 4,195,000 | | | | 4,199,539 | | | Corporate Bonds | | | Open/Demand | |
TD Securities (USA) LLC | | | 0.25 | (b) | | | 06/29/21 | | | | Open | | | | 7,826,337 | | | | 7,836,392 | | | Foreign Agency Obligations | | | Open/Demand | |
Credit Suisse Securities (USA) LLC | | | (0.50 | )(b) | | | 07/21/21 | | | | Open | | | | 328,650 | | | | 327,906 | | | Corporate Bonds | | | Open/Demand | |
Credit Agricole Corporate and Investment Bank | | | 0.25 | (b) | | | 07/29/21 | | | | Open | | | | 4,509,000 | | | | 4,513,853 | | | Corporate Bonds | | | Open/Demand | |
Credit Agricole Corporate and Investment Bank | | | 0.25 | (b) | | | 07/29/21 | | | | Open | | | | 5,715,500 | | | | 5,721,652 | | | Corporate Bonds | | | Open/Demand | |
BNP Paribas S.A | | | 0.08 | (b) | | | 08/05/21 | | | | Open | | | | 28,500,000 | | | | 28,508,439 | | | U.S. Treasury Obligations | | | Open/Demand | |
BNP Paribas S.A | | | 0.08 | (b) | | | 08/05/21 | | | | Open | | | | 75,445,250 | | | | 75,467,590 | | | U.S. Treasury Obligations | | | Open/Demand | |
BNP Paribas S.A | | | 0.08 | (b) | | | 08/05/21 | | | | Open | | | | 2,943,500 | | | | 2,944,372 | | | U.S. Treasury Obligations | | | Open/Demand | |
BNP Paribas S.A | | | 0.00 | (b) | | | 08/09/21 | | | | Open | | | | 15,840,000 | | | | 15,841,082 | | | U.S. Treasury Obligations | | | Open/Demand | |
BNP Paribas S.A | | | 0.07 | (b) | | | 08/09/21 | | | | Open | | | | 13,331,250 | | | | 13,334,664 | | | U.S. Treasury Obligations | | | Open/Demand | |
BNP Paribas S.A | | | 0.08 | (b) | | | 08/09/21 | | | | Open | | | | 5,506,875 | | | | 5,508,527 | | | U.S. Treasury Obligations | | | Open/Demand | |
BNP Paribas S.A | | | 0.08 | (b) | | | 08/09/21 | | | | Open | | | | 39,000,000 | | | | 39,011,700 | | | U.S. Treasury Obligations | | | Open/Demand | |
BNP Paribas S.A | | | 0.08 | (b) | | | 08/09/21 | | | | Open | | | | 3,000,000 | | | | 3,000,900 | | | U.S. Treasury Obligations | | | Open/Demand | |
BNP Paribas S.A | | | 0.07 | (b) | | | 08/27/21 | | | | Open | | | | 1,970,000 | | | | 1,970,488 | | | U.S. Treasury Obligations | | | Open/Demand | |
Credit Agricole Corporate and Investment Bank | | | 0.02 | (b) | | | 10/06/21 | | | | Open | | | | 2,910,000 | | | | 2,910,242 | | | U.S. Treasury Obligations | | | Open/Demand | |
| | |
SCHEDULE OF INVESTMENTS | | 43 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) |
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) |
Credit Agricole Corporate and Investment Bank | | | 0.08 | %(b) | | | 10/06/21 | | | | Open | | | $ | 3,925,000 | | | $ | 3,925,750 | | | U.S. Treasury Obligations | | Open/Demand |
Credit Agricole Corporate and Investment Bank | | | 0.08 | (b) | | | 10/06/21 | | | | Open | | | | 777,563 | | | | 777,711 | | | U.S. Treasury Obligations | | Open/Demand |
Credit Agricole Corporate and Investment Bank | | | 0.08 | (b) | | | 10/06/21 | | | | Open | | | | 2,996,250 | | | | 2,996,823 | | | U.S. Treasury Obligations | | Open/Demand |
Credit Agricole Corporate and Investment Bank | | | 0.08 | (b) | | | 10/06/21 | | | | Open | | | | 2,396,875 | | | | 2,397,333 | | | U.S. Treasury Obligations | | Open/Demand |
Nomura Securities International, Inc. | | | 0.08 | (b) | | | 11/16/21 | | | | Open | | | | 7,980,000 | | | | 7,980,798 | | | U.S. Treasury Obligations | | Open/Demand |
Nomura Securities International, Inc. | | | 0.08 | (b) | | | 11/16/21 | | | | Open | | | | 2,300,000 | | | | 2,300,230 | | | U.S. Treasury Obligations | | Open/Demand |
Nomura Securities International, Inc. | | | 0.08 | (b) | | | 11/16/21 | | | | Open | | | | 15,817,500 | | | | 15,819,082 | | | U.S. Treasury Obligations | | Open/Demand |
Nomura Securities International, Inc. | | | 0.08 | (b) | | | 11/16/21 | | | | Open | | | | 7,624,500 | | | | 7,625,262 | | | U.S. Treasury Obligations | | Open/Demand |
Nomura Securities International, Inc. | | | 0.08 | (b) | | | 11/16/21 | | | | Open | | | | 44,761,537 | | | | 44,766,014 | | | U.S. Treasury Obligations | | Open/Demand |
Nomura Securities International, Inc. | | | 0.08 | (b) | | | 11/16/21 | | | | Open | | | | 2,586,000 | | | | 2,586,259 | | | U.S. Treasury Obligations | | Open/Demand |
Nomura Securities International, Inc. | | | 0.08 | (b) | | | 11/16/21 | | | | Open | | | | 3,326,250 | | | | 3,326,583 | | | U.S. Treasury Obligations | | Open/Demand |
Nomura Securities International, Inc. | | | 0.08 | (b) | | | 11/16/21 | | | | Open | | | | 1,778,625 | | | | 1,778,803 | | | U.S. Treasury Obligations | | Open/Demand |
Nomura Securities International, Inc. | | | 0.08 | (b) | | | 11/16/21 | | | | Open | | | | 1,097,500 | | | | 1,097,610 | | | U.S. Treasury Obligations | | Open/Demand |
Nomura Securities International, Inc. | | | 0.08 | (b) | | | 11/16/21 | | | | Open | | | | 1,500,000 | | | | 1,500,150 | | | U.S. Treasury Obligations | | Open/Demand |
Credit Suisse Securities (USA) LLC | | | (3.00 | )(b) | | | 11/17/21 | | | | Open | | | | 75,834 | | | | 75,556 | | | Corporate Bonds | | Open/Demand |
| | | | | | | | | | | | | | | | | | | | | | U.S. Government Sponsored | | |
HSBC Securities (USA), Inc. | | | 0.13 | | | | 12/10/21 | | | | 01/13/22 | | | | 9,172,434 | | | | 9,173,064 | | | Agency Securities | | Up to 30 Days |
| | | | | | | | | | | | | | | | | | | | | | U.S. Government Sponsored | | |
Royal Bank of Canada | | | 0.13 | | | | 12/10/21 | | | | 01/13/22 | | | | 791,653 | | | | 791,708 | | | Agency Securities | | Up to 30 Days |
| | | | | | | | | | | | | | | | | | | | | | U.S. Government Sponsored | | |
Royal Bank of Canada | | | 0.13 | | | | 12/10/21 | | | | 01/13/22 | | | | 337,398 | | | | 337,422 | | | Agency Securities | | Up to 30 Days |
| | | | | | | | | | | | | | | | | | | | | | U.S. Government Sponsored | | |
Royal Bank of Canada | | | 0.13 | | | | 12/10/21 | | | | 01/13/22 | | | | 5,968,233 | | | | 5,968,642 | | | Agency Securities | | Up to 30 Days |
| | | | | | | | | | | | | | | | | | | | | | U.S. Government Sponsored | | |
Royal Bank of Canada | | | 0.13 | | | | 12/10/21 | | | | 01/13/22 | | | | 401,608 | | | | 401,635 | | | Agency Securities | | Up to 30 Days |
| | | | | | | | | | | | | | | | | | | | | | U.S. Government Sponsored | | |
Royal Bank of Canada | | | 0.13 | | | | 12/10/21 | | | | 01/13/22 | | | | 1,248,285 | | | | 1,248,370 | | | Agency Securities | | Up to 30 Days |
| | | | | | | | | | | | | | | | | | | | | | U.S. Government Sponsored | | |
Royal Bank of Canada | | | 0.13 | | | | 12/10/21 | | | | 01/13/22 | | | | 2,442,857 | | | | 2,443,025 | | | Agency Securities | | Up to 30 Days |
| | | | | | | | | | | | | | | | | | | | | | U.S. Government Sponsored | | |
Royal Bank of Canada | | | 0.13 | | | | 12/10/21 | | | | 01/13/22 | | | | 2,823,313 | | | | 2,823,506 | | | Agency Securities | | Up to 30 Days |
| | | | | | | | | | | | | | | | | | | | | | U.S. Government Sponsored | | |
Royal Bank of Canada | | | 0.13 | | | | 12/10/21 | | | | 01/13/22 | | | | 4,514,706 | | | | 4,515,016 | | | Agency Securities | | Up to 30 Days |
| | | | | | | | | | | | | | | | | | | | | | U.S. Government Sponsored | | |
Royal Bank of Canada | | | 0.13 | | | | 12/10/21 | | | | 01/13/22 | | | | 4,150,124 | | | | 4,150,408 | | | Agency Securities | | Up to 30 Days |
| | | | | | | | | | | | | | | | | | | | | | U.S. Government Sponsored | | |
Royal Bank of Canada | | | 0.13 | | | | 12/10/21 | | | | 01/13/22 | | | | 986,933 | | | | 987,001 | | | Agency Securities | | Up to 30 Days |
| | | | | | | | | | | | | | | | | | | | | | U.S. Government Sponsored | | |
Royal Bank of Canada | | | 0.13 | | | | 12/10/21 | | | | 01/13/22 | | | | 8,025,525 | | | | 8,026,076 | | | Agency Securities | | Up to 30 Days |
| | | | | | | | | | | | | | | | | | | | | | U.S. Government Sponsored | | |
Royal Bank of Canada | | | 0.13 | | | | 12/10/21 | | | | 01/13/22 | | | | 12,060,135 | | | | 12,060,963 | | | Agency Securities | | Up to 30 Days |
| | | | | | | | | | | | | | | | | | | | | | U.S. Government Sponsored | | |
Royal Bank of Canada | | | 0.13 | | | | 12/10/21 | | | | 01/13/22 | | | | 805,508 | | | | 805,563 | | | Agency Securities | | Up to 30 Days |
| | | | | | | | | | | | | | | | | | | | | | U.S. Government Sponsored | | |
Royal Bank of Canada | | | 0.13 | | | | 12/10/21 | | | | 01/13/22 | | | | 4,206,595 | | | | 4,206,883 | | | Agency Securities | | Up to 30 Days |
| | | | | | | | | | | | | | | | | | | | | | U.S. Government Sponsored | | |
Royal Bank of Canada | | | 0.13 | | | | 12/10/21 | | | | 01/13/22 | | | | 3,158,696 | | | | 3,158,913 | | | Agency Securities | | Up to 30 Days |
| | | | | | | | | | | | | | | | | | | | | | U.S. Government Sponsored | | |
Royal Bank of Canada | | | 0.13 | | | | 12/10/21 | | | | 01/13/22 | | | | 1,113,035 | | | | 1,113,111 | | | Agency Securities | | Up to 30 Days |
| | | | | | | | | | | | | | | | | | | | | | U.S. Government Sponsored | | |
Royal Bank of Canada | | | 0.13 | | | | 12/10/21 | | | | 01/13/22 | | | | 971,197 | | | | 971,263 | | | Agency Securities | | Up to 30 Days |
RBC Capital Markets LLC | | | (2.00 | )(b) | | | 12/20/21 | | | | Open | | | | 72,670 | | | | 72,626 | | | Corporate Bonds | | Open/Demand |
| | |
| 44 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) |
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) |
BNP Paribas S.A. | | | (1.00 | )%(b) | | | 12/21/21 | | | Open | | $ | 66,788 | | | $ | 66,768 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 0.00 | (b) | | | 12/21/21 | | | Open | | | 54,234 | | | | 54,234 | | | Corporate Bonds | | Open/Demand |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | $ | 405,381,738 | | | $ | 405,521,969 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | (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/
Unrealized
Appreciation
(Depreciation) | |
Long Contracts | | | | | | | | | | | | | | | | |
10-Year U.S. Ultra Long Treasury Note | | | 668 | | | | 03/22/22 | | | $ | 97,601 | | | $ | 1,444,978 | |
Ultra U.S. Treasury Bond | | | 213 | | | | 03/22/22 | | | | 41,768 | | | | 423,587 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,868,565 | |
| | | | | | | | | | | | | | | | |
Short Contracts | | | | | | | | | | | | | | | | |
10-Year U.S. Treasury Note | | | 690 | | | | 03/22/22 | | | | 89,926 | | | | (739,367 | ) |
U.S. Long Bond | | | 109 | | | | 03/22/22 | | | | 17,433 | | | | (20,940 | ) |
2-Year U.S. Treasury Note | | | 385 | | | | 03/31/22 | | | | 83,981 | | | | 41,563 | |
5-Year U.S. Treasury Note | | | 104 | | | | 03/31/22 | | | | 12,572 | | | | 30,890 | |
90-Day Eurodollar | | | 53 | | | | 12/16/24 | | | | 13,021 | | | | 36,792 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (651,062 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 1,217,503 | |
| | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| Currency Purchased | | | | | Currency Sold | | | Counterparty | | Settlement Date | | | | | | Unrealized
Appreciation
(Depreciation) | |
| | | | | | | | |
| USD | | | 142,436 | | | | | CAD | | | 182,000 | | | Morgan Stanley & Co. International PLC | | | 03/16/22 | | | | | | | $ | (1,422 | ) |
| USD | | | 5,623,821 | | | | | EUR | | | 4,967,000 | | | Natwest Markets PLC | | | 03/16/22 | | | | | | | | (39,413 | ) |
| USD | | | 13,600 | | | | | EUR | | | 12,000 | | | State Street Bank and Trust Co. | | | 03/16/22 | | | | | | | | (82 | ) |
| USD | | | 1,287,633 | | | | | GBP | | | 971,000 | | | JPMorgan Chase Bank N.A. | | | 03/16/22 | | | | | | | | (26,265 | ) |
| USD | | | 4,195,749 | | | | | GBP | | | 3,164,000 | | | JPMorgan Chase Bank N.A. | | | 03/16/22 | | | | | | | | (85,582 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (152,764 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange-Traded Options Purchased
| | | | | | | | | | | | | | | | |
Description | | Number of
Contracts | | | Expiration
Date | | | Exercise Price | | Notional
Amount (000) | | Value |
| Call | | | | | | | | | | | | | | |
10-Year U.S. Treasury Note Future | | | 68 | | | | 01/21/22 | | | USD 131.00 | | USD | | 8,872 | | $ 23,375 |
| | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 5-Year Interest Rate Swap, | | 3-Month | | | | | | | | | | JPMorgan Chase | | | | | | | | | | | | | | | |
04/07/27 | | | LIBOR, 0.21% | | | Quarterly | | | 1.53 | % | | Semi-Annual | | Bank N.A. | | | 04/05/22 | | | | 1.53 | % | | | USD | | | | 6,960 | | | $ | 70,658 | |
| 5-Year Interest Rate Swap, | | 3-Month | | | | | | | | | | Morgan Stanley & Co. | | | | | | | | | | | | | | | |
04/10/27 | | | LIBOR, 0.21% | | | Quarterly | | | 1.39 | % | | Semi-Annual | | International PLC | | | 04/08/22 | | | | 1.39 | | | | USD | | | | 8,530 | | | | 54,924 | |
| | |
SCHEDULE OF INVESTMENTS | | 45 |
| | |
Schedule of Investments (continued) December 31, 2021 | | 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 | |
Call (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
5-Year Interest Rate Swap, 04/30/27 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 1.20% | | | Semi-Annual | | Bank of America N.A. | | | 04/28/22 | | | | 1.20 | % | | USD | | | 14,415 | | | $ | 50,075 | |
30-Year Interest Rate Swap, 06/02/52 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 1.71% | | | Semi-Annual | | Bank of America N.A. | | | 05/31/22 | | | | 1.71 | | | USD | | | 1,150 | | | | 48,433 | |
5-Year Interest Rate Swap, 07/03/27 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 1.32% | | | Semi-Annual | | JPMorgan Chase Bank N.A. | | | 07/01/22 | | | | 1.32 | | | USD | | | 11,660 | | | | 74,878 | |
5-Year Interest Rate Swap, 08/05/27 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 1.54% | | | Semi-Annual | | Deutsche Bank AG | | | 08/03/22 | | | | 1.54 | | | USD | | | 5,980 | | | | 70,894 | |
10-Year Interest Rate Swap, 11/17/33 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 1.94% | | | Semi-Annual | | Bank of America N.A. | | | 11/15/23 | | | | 1.94 | | | USD | | | 3,900 | | | | 176,455 | |
10-Year Interest Rate Swap, 03/09/34 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 2.98% | | | Semi-Annual | | Barclays Bank PLC | | | 03/07/24 | | | | 2.98 | | | USD | | | 3,510 | | | | 415,761 | |
10-Year Interest Rate Swap, 03/14/34 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 2.95% | | | Semi-Annual | | Barclays Bank PLC | | | 03/12/24 | | | | 2.95 | | | USD | | | 1,750 | | | | 203,417 | |
10-Year Interest Rate Swap, 06/26/34 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 1.97% | | | Semi-Annual | | Goldman Sachs Bank USA | | | 06/24/24 | | | | 1.97 | | | USD | | | 2,455 | | | | 123,748 | |
10-Year Interest Rate Swap, 06/30/34 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 2.00% | | | Semi-Annual | | Goldman Sachs Bank USA | | | 06/28/24 | | | | 2.00 | | | USD | | | 2,455 | | | | 127,884 | |
10-Year Interest Rate Swap, 07/24/34 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 1.68% | | | Semi-Annual | | Goldman Sachs Bank USA | | | 07/22/24 | | | | 1.67 | | | USD | | | 3,090 | | | | 112,412 | |
10-Year Interest Rate Swap, 07/31/34 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 1.55% | | | Semi-Annual | | Bank of America N.A. | | | 07/29/24 | | | | 1.55 | | | USD | | | 3,210 | | | | 100,605 | |
10-Year Interest Rate Swap, 08/04/34 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 1.68% | | | Semi-Annual | | Wells Fargo Bank N.A. | | | 08/02/24 | | | | 1.68 | | | USD | | | 325 | | | | 11,944 | |
10-Year Interest Rate Swap, 02/27/35 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 1.49% | | | Semi-Annual | | Citibank N.A. | | | 02/25/25 | | | | 1.49 | | | USD | | | 1,930 | | | | 61,560 | |
10-Year Interest Rate Swap, 05/02/35 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 0.89% | | | Semi-Annual | | Deutsche Bank AG | | | 04/30/25 | | | | 0.89 | | | USD | | | 1,640 | | | | 25,896 | |
10-Year Interest Rate Swap, 06/06/35 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 1.28% | | | Semi-Annual | | Goldman Sachs Bank USA | | | 06/04/25 | | | | 1.28 | | | USD | | | 840 | | | | 21,869 | |
10-Year Interest Rate Swap, 06/07/35 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 1.43% | | | Semi-Annual | | UBS AG | | | 06/05/25 | | | | 1.43 | | | USD | | | 840 | | | | 25,912 | |
10-Year Interest Rate Swap, 08/09/35 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 0.91% | | | Semi-Annual | | Morgan Stanley & Co. International PLC | | | 08/07/25 | | | | 0.91 | | | USD | | | 1,450 | | | | 25,031 | |
10-Year Interest Rate Swap, 08/09/35 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 0.91% | | | Semi-Annual | | Morgan Stanley & Co. International PLC | | | 08/07/25 | | | | 0.91 | | | USD | | | 55 | | | | 949 | |
10-Year Interest Rate Swap, 04/09/36 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 2.60% | | | Semi-Annual | | Deutsche Bank AG | | | 04/07/26 | | | | 2.60 | | | USD | | | 2,670 | | | | 249,036 | |
10-Year Interest Rate Swap, 06/29/38(a) | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 3.05% | | | Semi-Annual | | Deutsche Bank AG | | | 06/27/28 | | | | 3.05 | | | USD | | | 2,345 | | | | 129,413 | |
10-Year Interest Rate Swap, 01/12/39 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 3.04% | | | Semi-Annual | | Nomura International PLC | | | 01/10/29 | | | | 3.04 | | | USD | | | 1,000 | | | | 120,910 | |
10-Year Interest Rate Swap, 01/13/39 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 3.04% | | | Semi-Annual | | Morgan Stanley & Co. International PLC | | | 01/11/29 | | | | 3.04 | | | USD | | | 1,000 | | | | 120,723 | |
10-Year Interest Rate Swap, 01/31/39 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 3.08% | | | Semi-Annual | | Barclays Bank PLC | | | 01/29/29 | | | | 3.08 | | | USD | | | 260 | | | | 32,172 | |
10-Year Interest Rate Swap, 08/09/40 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 1.05% | | | Semi-Annual | | Morgan Stanley & Co. International PLC | | | 08/07/30 | | | | 1.05 | | | USD | | | 910 | | | | 28,318 | |
10-Year Interest Rate Swap, 04/29/48 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 2.99% | | | Semi-Annual | | JPMorgan Chase Bank N.A. | | | 04/27/38 | | | | 2.99 | | | USD | | | 910 | | | | 108,267 | |
10-Year Interest Rate Swap, 02/24/49 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 2.86% | | | Semi-Annual | | JPMorgan Chase Bank N.A. | | | 02/22/39 | | | | 2.86 | | | USD | | | 473 | | | | 53,406 | |
10-Year Interest Rate Swap, 08/09/50 | | 3-Month LIBOR, 0.21% | | | Quarterly | | | | 0.91% | | | Semi-Annual | | Morgan Stanley & Co. International PLC | | | 08/07/40 | | | | 0.91 | | | USD | | | 550 | | | | 21,755 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 2,667,305 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
5-Year Interest Rate Swap, 01/21/27 | | 1.34% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | JPMorgan Chase Bank N.A. | | | 01/19/22 | | | | 1.34 | | | USD | | | 4,800 | | | | 21,495 | |
5-Year Interest Rate Swap, 04/07/27 | | 1.53% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | JPMorgan Chase Bank N.A. | | | 04/05/22 | | | | 1.53 | | | USD | | | 6,960 | | | | 42,585 | |
| | |
| 46 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | 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) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
5-Year Interest Rate Swap, 04/10/27 | | 1.39% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Morgan Stanley & Co. International PLC | | | 04/08/22 | | | | 1.39 | % | | | USD | | | | 8,530 | | | $ | 80,020 | |
5-Year Interest Rate Swap, 05/05/37 | | 3.25% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Goldman Sachs Bank USA | | | 05/03/22 | | | | 3.25 | | | | USD | | | | 4,050 | | | | 1,281 | |
30-Year Interest Rate Swap, 05/11/52 | | 2.85% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Nomura International PLC | | | 05/09/22 | | | | 2.85 | | | | USD | | | | 4,750 | | | | 6,591 | |
30-Year Interest Rate Swap, 06/02/52 | | 1.71% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Bank of America N.A. | | | 05/31/22 | | | | 1.71 | | | | USD | | | | 1,150 | | | | 60,120 | |
5-Year Interest Rate Swap, 07/03/27 | | 1.32% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | JPMorgan Chase Bank N.A. | | | 07/01/22 | | | | 1.32 | | | | USD | | | | 11,660 | | | | 177,495 | |
5-Year Interest Rate Swap, 07/08/27 | | 1.45% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | JPMorgan Chase Bank N.A. | | | 07/06/22 | | | | 1.45 | | | | USD | | | | 11,660 | | | | 140,106 | |
5-Year Interest Rate Swap, 07/17/27 | | 1.25% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Bank of America N.A. | | | 07/15/22 | | | | 1.25 | | | | USD | | | | 12,500 | | | | 226,490 | |
10-Year Interest Rate Swap, 08/04/32 | | 2.25% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | JPMorgan Chase Bank N.A. | | | 08/02/22 | | | | 2.25 | | | | USD | | | | 2,050 | | | | 13,096 | |
5-Year Interest Rate Swap, 08/05/27 | | 1.54% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Deutsche Bank AG | | | 08/03/22 | | | | 1.54 | | | | USD | | | | 5,980 | | | | 66,576 | |
10-Year Interest Rate Swap, 08/10/32 | | 2.25% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Barclays Bank PLC | | | 08/08/22 | | | | 2.25 | | | | USD | | | | 4,270 | | | | 28,286 | |
10-Year Interest Rate Swap, 11/17/33 | | 1.94% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Bank of America N.A. | | | 11/15/23 | | | | 1.94 | | | | USD | | | | 3,900 | | | | 120,598 | |
10-Year Interest Rate Swap, 03/09/34 | | 2.98% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Barclays Bank PLC | | | 03/07/24 | | | | 2.98 | | | | USD | | | | 3,510 | | | | 36,614 | |
10-Year Interest Rate Swap, 03/14/34 | | 2.95% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Barclays Bank PLC | | | 03/12/24 | | | | 2.95 | | | | USD | | | | 1,750 | | | | 18,947 | |
10-Year Interest Rate Swap, 06/15/34 | | 2.50% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Morgan Stanley & Co. International PLC | | | 06/13/24 | | | | 2.50 | | | | USD | | | | 1,970 | | | | 39,042 | |
10-Year Interest Rate Swap, 06/22/34 | | 2.50% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Morgan Stanley & Co. International PLC | | | 06/20/24 | | | | 2.50 | | | | USD | | | | 3,950 | | | | 78,771 | |
10-Year Interest Rate Swap, 06/26/34 | | 1.97% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Goldman Sachs Bank USA | | | 06/24/24 | | | | 1.97 | | | | USD | | | | 2,455 | | | | 86,227 | |
10-Year Interest Rate Swap, 06/30/34 | | 2.00% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Goldman Sachs Bank USA | | | 06/28/24 | | | | 2.00 | | | | USD | | | | 2,455 | | | | 83,817 | |
10-Year Interest Rate Swap, 07/24/34 | | 1.68% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Goldman Sachs Bank USA | | | 07/22/24 | | | | 1.67 | | | | USD | | | | 3,090 | | | | 148,462 | |
10-Year Interest Rate Swap, 08/04/34 | | 1.68% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Wells Fargo Bank N.A. | | | 08/02/24 | | | | 1.68 | | | | USD | | | | 325 | | | | 15,623 | |
10-Year Interest Rate Swap, 08/07/34 | | 1.80% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Deutsche Bank AG | | | 08/05/24 | | | | 1.80 | | | | USD | | | | 4,597 | | | | 196,602 | |
10-Year Interest Rate Swap, 02/27/35 | | 1.49% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Citibank N.A. | | | 02/25/25 | | | | 1.49 | | | | USD | | | | 1,930 | | | | 118,918 | |
10-Year Interest Rate Swap, 05/02/35 | | 0.89% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Deutsche Bank AG | | | 04/30/25 | | | | 0.89 | | | | USD | | | | 1,640 | | | | 163,663 | |
10-Year Interest Rate Swap, 06/06/35 | | 1.28% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Goldman Sachs Bank USA | | | 06/04/25 | | | | 1.28 | | | | USD | | | | 840 | | | | 63,117 | |
10-Year Interest Rate Swap, 06/07/35 | | 1.43% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | UBS AG | | | 06/05/25 | | | | 1.43 | | | | USD | | | | 840 | | | | 56,208 | |
10-Year Interest Rate Swap, 08/09/35 | | 0.91% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Morgan Stanley & Co. International PLC | | | 08/07/25 | | | | 0.91 | | | | USD | | | | 55 | | | | 5,487 | |
10-Year Interest Rate Swap, 08/09/35 | | 0.91% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Morgan Stanley & Co. International PLC | | | 08/07/25 | | | | 0.91 | | | | USD | | | | 1,450 | | | | 144,653 | |
10-Year Interest Rate Swap, 04/09/36 | | 2.60% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Deutsche Bank AG | | | 04/07/26 | | | | 2.60 | | | | USD | | | | 2,670 | | | | 74,437 | |
10-Year Interest Rate Swap, 04/14/37 | | 3.00% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | JPMorgan Chase Bank N.A. | | | 04/12/27 | | | | 3.00 | | | | USD | | | | 1,940 | | | | 45,575 | |
10-Year Interest Rate Swap, 01/12/39 | | 3.04% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Nomura International PLC | | | 01/10/29 | | | | 3.04 | | | | USD | | | | 1,000 | | | | 27,398 | |
10-Year Interest Rate Swap, 01/13/39 | | 3.04% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Morgan Stanley & Co. International PLC | | | 01/11/29 | | | | 3.04 | | | | USD | | | | 1,000 | | | | 27,481 | |
| | |
SCHEDULE OF INVESTMENTS | | 47 |
| | |
Schedule of Investments (continued) December 31, 2021 | | 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) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
10-Year Interest Rate Swap, 01/31/39 | | 3.08% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Barclays Bank PLC | | | 01/29/29 | | | | 3.08 | % | | | USD | | | | 260 | | | $ | 6,947 | |
10-Year Interest Rate Swap, 08/09/40 | | 1.05% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Morgan Stanley & Co. International PLC | | | 08/07/30 | | | | 1.05 | | | | USD | | | | 910 | | | | 96,136 | |
20-Year Interest Rate Swap, 08/11/53 | | 4.00% | | | Annual | | |
| 6-Month
EURIBOR,
(0.55%) |
| | Semi-Annual | | Barclays Bank PLC | | | 08/09/33 | | | | 4.00 | | | | EUR | | | | 1,808 | | | | 25,177 | |
10-Year Interest Rate Swap, 04/29/48 | | 2.99% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | JPMorgan Chase Bank N.A. | | | 04/27/38 | | | | 2.99 | | | | USD | | | | 910 | | | | 30,210 | |
10-Year Interest Rate Swap, 02/24/49 | | 2.86% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | JPMorgan Chase Bank N.A. | | | 02/22/39 | | | | 2.86 | | | | USD | | | | 473 | | | | 16,643 | |
10-Year Interest Rate Swap, 08/09/50 | | 0.91% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Morgan Stanley & Co. International PLC | | | 08/07/40 | | | | 0.91 | | | | USD | | | | 550 | | | | 52,329 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 2,643,223 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 5,310,528 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Forward settling swaption. | |
Exchange-Traded Options Written
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Exercise Price | | | Notional Amount (000) | | | Value | |
| Call | | | | | | | | | | | | | | | | | | | |
10-Year U.S. Treasury Note Future | | | 68 | | | | 01/21/22 | | | USD | | | 132.00 | | | USD | | | 8,872 | | | $ | (7,438 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2-Year Interest Rate Swap, 01/12/24 | | 0.51% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Morgan Stanley & Co. International PLC | | | 01/10/22 | | | | 0.51 | % | | | USD | | | | 38,450 | | | $ | (2 | ) |
10-Year Interest Rate Swap, 01/29/32 | | 1.00% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Deutsche Bank AG | | | 01/27/22 | | | | 1.00 | | | | USD | | | | 2,910 | | | | (83 | ) |
10-Year Interest Rate Swap, 01/29/32 | | 1.25% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Bank of America N.A. | | | 01/27/22 | | | | 1.25 | | | | USD | | | | 2,670 | | | | (1,121 | ) |
10-Year Interest Rate Swap, 02/20/32 | | 1.62% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Bank of America N.A. | | | 02/18/22 | | | | 1.62 | | | | USD | | | | 2,513 | | | | (28,830 | ) |
10-Year Interest Rate Swap, 03/03/32 | | 1.40% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Deutsche Bank AG | | | 03/01/22 | | | | 1.40 | | | | USD | | | | 2,650 | | | | (11,854 | ) |
2-Year Interest Rate Swap, 03/03/24 | | 0.51% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Deutsche Bank AG | | | 03/01/22 | | | | 0.51 | | | | USD | | | | 25,430 | | | | (2,018 | ) |
2-Year Interest Rate Swap, 03/05/24 | | 0.52% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Citibank N.A. | | | 03/03/22 | | | | 0.52 | | | | USD | | | | 12,960 | | | | (1,143 | ) |
2-Year Interest Rate Swap, 03/23/24 | | 0.56% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Deutsche Bank AG | | | 03/21/22 | | | | 0.56 | | | | USD | | | | 12,960 | | | | (2,174 | ) |
2-Year Interest Rate Swap, 03/25/24 | | 0.57% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Deutsche Bank AG | | | 03/23/22 | | | | 0.57 | | | | USD | | | | 25,100 | | | | (4,495 | ) |
2-Year Interest Rate Swap, 04/03/24 | | 0.61% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | JPMorgan Chase Bank N.A. | | | 04/01/22 | | | | 0.60 | | | | USD | | | | 35,400 | | | | (8,543 | ) |
5-Year Interest Rate Swap, 04/30/27 | | 0.90% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Bank of America N.A. | | | 04/28/22 | | | | 0.90 | | | | USD | | | | 28,830 | | | | (28,238 | ) |
10-Year Interest Rate Swap, 05/04/32 | | 0.74% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Deutsche Bank AG | | | 05/02/22 | | | | 0.74 | | | | USD | | | | 1,905 | | | | (1,342 | ) |
2-Year Interest Rate Swap, 05/05/24 | | 1.02% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Deutsche Bank AG | | | 05/03/22 | | | | 1.02 | | | | USD | | | | 17,890 | | | | (36,924 | ) |
10-Year Interest Rate Swap, 06/09/32 | | 1.40% | | | Semi-Annual | | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | JPMorgan Chase Bank N.A. | | | 06/07/22 | | | | 1.40 | | | | USD | | | | 3,356 | | | | (31,671 | ) |
| | |
| 48 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | 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, 0.21% |
| | Quarterly | | Deutsche Bank AG | | | 08/08/22 | | | | 0.72 | % | | | USD | | | | 364 | | | $ | (615 | ) |
10-Year Interest Rate Swap,
09/03/32 | | | 1.53% | | | Semi-Annual | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Morgan Stanley &Co. International PLC | | | 09/01/22 | | | | 1.53 | | | | USD | | | | 5,407 | | | | (88,619 | ) |
10-Year Interest Rate Swap,
10/09/32 | | | 1.80% | | | Semi-Annual | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Deutsche Bank AG | | | 10/07/22 | | | | 1.80 | | | | USD | | | | 3,580 | | | | (108,403 | ) |
10-Year Interest Rate Swap,
10/13/32 | | | 1.06% | | | Semi-Annual | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Deutsche Bank AG | | | 10/11/22 | | | | 1.06 | | | | USD | | | | 2,085 | | | | (12,129 | ) |
10-Year Interest Rate Swap,
10/15/32 | | | 1.80% | | | Semi-Annual | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Deutsche Bank AG | | | 10/13/22 | | | | 1.80 | | | | USD | | | | 1,790 | | | | (53,933 | ) |
2-Year Interest Rate Swap,
10/27/24 | | | 1.24% | | | Semi-Annual | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Morgan Stanley & Co. International PLC | | | 10/25/22 | | | | 1.24 | | | | USD | | | | 16,900 | | | | (61,800 | ) |
2-Year Interest Rate Swap,
10/27/24 | | | 1.24% | | | Semi-Annual | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Morgan Stanley & Co. International PLC | | | 10/25/22 | | | | 1.23 | | | | USD | | | | 11,270 | | | | (40,967 | ) |
2-Year Interest Rate Swap,
11/06/24 | | | 1.25% | | | Semi-Annual | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Morgan Stanley & Co. International PLC | | | 11/04/22 | | | | 1.25 | | | | USD | | | | 5,655 | | | | (21,132 | ) |
10-Year Interest Rate Swap,
11/17/32 | | | 1.85% | | | Semi-Annual | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Bank of America N.A. | | | 11/15/22 | | | | 1.85 | | | | USD | | | | 5,422 | | | | (182,928 | ) |
10-Year Interest Rate Swap,
12/07/32 | | | 1.45% | | | Semi-Annual | |
| 1-Day SOFR,
0.05% |
| | Quarterly | | JPMorgan Chase Bank N.A. | | | 12/05/22 | | | | 1.45 | | | | USD | | | | 678 | | | | (18,004 | ) |
10-Year Interest Rate Swap,
12/15/32 | | | 1.43% | | | Semi-Annual | |
| 1-Day SOFR,
0.05% |
| | Quarterly | | Morgan Stanley & Co. International PLC | | | 12/13/22 | | | | 1.43 | | | | USD | | | | 4,338 | | | | (112,369 | ) |
10-Year Interest Rate Swap,
12/17/32 | | | 1.42% | | | Semi-Annual | |
| 1-Day SOFR,
0.05% |
| | Quarterly | | JPMorgan Chase Bank N.A. | | | 12/15/22 | | | | 1.42 | | | | USD | | | | 4,337 | | | | (110,027 | ) |
10-Year Interest Rate Swap,
12/18/32 | | | 1.23% | | | Semi-Annual | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Goldman Sachs Bank USA | | | 12/16/22 | | | | 1.23 | | | | USD | | | | 2,560 | | | | (26,064 | ) |
10-Year Interest Rate Swap,
12/18/32 | | | 1.25% | | | Semi-Annual | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Goldman Sachs Bank USA | | | 12/16/22 | | | | 1.25 | | | | USD | | | | 2,560 | | | | (26,805 | ) |
10-Year Interest Rate Swap,
01/01/33 | | | 1.25% | | | Semi-Annual | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Citibank N.A. | | | 12/30/22 | | | | 1.25 | | | | USD | | | | 2,820 | | | | (30,879 | ) |
10-Year Interest Rate Swap,
01/11/33 | | | 1.44% | | | Semi-Annual | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Barclays Bank PLC | | | 01/09/23 | | | | 1.44 | | | | USD | | | | 3,818 | | | | (62,805 | ) |
10-Year Interest Rate Swap,
03/03/33 | | | 2.01% | | | Semi-Annual | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Bank of America N.A. | | | 03/01/23 | | | | 2.01 | | | | USD | | | | 3,880 | | | | (175,336 | ) |
30-Year Interest Rate Swap,
09/19/54 | | | 1.85% | | | Semi-Annual | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Deutsche Bank AG | | | 09/17/24 | | | | 1.85 | | | | USD | | | | 1,700 | | | | (192,205 | ) |
30-Year Interest Rate Swap,
10/02/54 | | | 2.00% | | | Semi-Annual | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Barclays Bank PLC | | | 09/30/24 | | | | 2.00 | | | | USD | | | | 450 | | | | (60,232 | ) |
30-Year Interest Rate Swap,
10/21/56 | | | 1.98% | | | Semi-Annual | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | JPMorgan Chase Bank N.A. | | | 10/19/26 | | | | 1.98 | | | | USD | | | | 510 | | | | (77,625 | ) |
30-Year Interest Rate Swap,
12/04/56 | | | 1.36% | | | Semi-Annual | |
| 1-Day SOFR,
0.05% |
| | Quarterly | | Goldman Sachs Bank USA | | | 12/02/26 | | | | 1.36 | | | | USD | | | | 490 | | | | (52,924 | ) |
10-Year Interest Rate Swap,
03/14/39 | | | 3.05% | | | Semi-Annual | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | Barclays Bank PLC | | | 03/12/29 | | | | 3.05 | | | | USD | | | | 2,130 | | | | (258,751 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (1,932,990 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2-Year Interest Rate Swap,
01/12/24 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 0.51% | | | Semi-Annual | | Morgan Stanley & Co. International PLC | | | 01/10/22 | | | | 0.51 | | | | USD | | | | 38,450 | | | | (337,884 | ) |
2-Year Interest Rate Swap,
01/21/24 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 0.50% | | | Semi-Annual | | Deutsche Bank AG | | | 01/19/22 | | | | 0.50 | | | | USD | | | | 10,190 | | | | (95,060 | ) |
10-Year Interest Rate Swap,
01/29/32 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 1.25% | | | Semi-Annual | | Bank of America N.A. | | | 01/27/22 | | | | 1.25 | | | | USD | | | | 2,670 | | | | (86,854 | ) |
10-Year Interest Rate Swap,
01/29/32 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 1.50% | | | Semi-Annual | | Deutsche Bank AG | | | 01/27/22 | | | | 1.50 | | | | USD | | | | 2,910 | | | | (36,499 | ) |
10-Year Interest Rate Swap,
02/20/32 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 1.62% | | | Semi-Annual | | Bank of America N.A. | | | 02/18/22 | | | | 1.62 | | | | USD | | | | 2,513 | | | | (24,298 | ) |
2-Year Interest Rate Swap,
02/27/24 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 0.75% | | | Semi-Annual | | Deutsche Bank AG | | | 02/25/22 | | | | 0.75 | | | | USD | | | | 38,130 | | | | (238,933 | ) |
10-Year Interest Rate Swap,
03/02/32 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 1.60% | | | Semi-Annual | | Deutsche Bank AG | | | 02/28/22 | | | | 1.60 | | | | USD | | | | 2,130 | | | | (25,304 | ) |
| | |
SCHEDULE OF INVESTMENTS | | 49 |
| | |
Schedule of Investments (continued) December 31, 2021 | | 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,
03/03/32 | |
| 1-Day SOFR,
0.05% |
| | Quarterly | | | 1.57% | | | Semi-Annual | | Deutsche Bank AG | | | 03/01/22 | | | | 1.57 | % | | | USD | | | | 3,290 | | | $ | (15,921 | ) |
2-Year Interest Rate Swap,
03/03/24 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 0.51% | | | Semi-Annual | | Deutsche Bank AG | | | 03/01/22 | | | | 0.51 | | | | USD | | | | 25,430 | | | | (276,069 | ) |
2-Year Interest Rate Swap,
03/05/24 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 0.52% | | | Semi-Annual | | Citibank N.A. | | | 03/03/22 | | | | 0.52 | | | | USD | | | | 12,960 | | | | (139,656 | ) |
2-Year Interest Rate Swap,
03/23/24 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 0.56% | | | Semi-Annual | | Deutsche Bank AG | | | 03/21/22 | | | | 0.56 | | | | USD | | | | 12,960 | | | | (138,023 | ) |
2-Year Interest Rate Swap,
03/25/24 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 0.57% | | | Semi-Annual | | Deutsche Bank AG | | | 03/23/22 | | | | 0.57 | | | | USD | | | | 25,100 | | | | (265,332 | ) |
2-Year Interest Rate Swap,
04/03/24 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 0.61% | | | Semi-Annual | | JPMorgan Chase Bank N.A. | | | 04/01/22 | | | | 0.60 | | | | USD | | | | 35,400 | | | | (364,232 | ) |
2-Year Interest Rate Swap,
04/08/24 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 0.74% | | | Semi-Annual | | JPMorgan Chase Bank N.A. | | | 04/06/22 | | | | 0.74 | | | | USD | | | | 25,870 | | | | (208,280 | ) |
10-Year Interest Rate Swap,
05/04/32 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 0.74% | | | Semi-Annual | | Deutsche Bank AG | | | 05/02/22 | | | | 0.74 | | | | USD | | | | 1,905 | | | | (160,911 | ) |
2-Year Interest Rate Swap,
05/05/24 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 1.02% | | | Semi-Annual | | Deutsche Bank AG | | | 05/03/22 | | | | 1.02 | | | | USD | | | | 17,890 | | | | (89,761 | ) |
5-Year Interest Rate Swap,
05/05/27 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 3.25% | | | Semi-Annual | | Goldman Sachs Bank USA | | | 05/03/22 | | | | 3.25 | | | | USD | | | | 10,130 | | | | (1,235 | ) |
10-Year Interest Rate Swap,
05/11/32 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 2.75% | | | Semi-Annual | | Nomura International PLC | | | 05/09/22 | | | | 2.75 | | | | USD | | | | 10,350 | | | | (8,434 | ) |
10-Year Interest Rate Swap,
06/09/32 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 2.40% | | | Semi-Annual | | JPMorgan Chase Bank N.A. | | | 06/07/22 | | | | 2.40 | | | | USD | | | | 3,356 | | | | (9,754 | ) |
10-Year Interest Rate Swap,
08/04/32 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 2.75% | | | Semi-Annual | | JPMorgan Chase Bank N.A. | | | 08/02/22 | | | | 2.75 | | | | USD | | | | 2,050 | | | | (4,582 | ) |
10-Year Interest Rate Swap,
08/04/32 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 3.25% | | | Semi-Annual | | JPMorgan Chase Bank N.A. | | | 08/02/22 | | | | 3.25 | | | | USD | | | | 2,050 | | | | (1,756 | ) |
10-Year Interest Rate Swap,
08/10/32 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 0.72% | | | Semi-Annual | | Deutsche Bank AG | | | 08/08/22 | | | | 0.72 | | | | USD | | | | 364 | | | | (33,132 | ) |
10-Year Interest Rate Swap,
08/10/32 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 2.75% | | | Semi-Annual | | Barclays Bank PLC | | | 08/08/22 | | | | 2.75 | | | | USD | | | | 4,270 | | | | (10,053 | ) |
10-Year Interest Rate Swap,
08/10/32 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 3.25% | | | Semi-Annual | | Barclays Bank PLC | | | 08/08/22 | | | | 3.25 | | | | USD | | | | 4,270 | | | | (3,907 | ) |
10-Year Interest Rate Swap,
09/03/32 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 1.53% | | | Semi-Annual | | Morgan Stanley & Co. International PLC | | | 09/01/22 | | | | 1.53 | | | | USD | | | | 5,407 | | | | (169,070 | ) |
10-Year Interest Rate Swap,
10/09/32 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 1.80% | | | Semi-Annual | | Deutsche Bank AG | | | 10/07/22 | | | | 1.80 | | | | USD | | | | 3,580 | | | | (74,037 | ) |
10-Year Interest Rate Swap,
10/13/32 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 1.06% | | | Semi-Annual | | Deutsche Bank AG | | | 10/11/22 | | | | 1.06 | | | | USD | | | | 2,085 | | | | (134,957 | ) |
10-Year Interest Rate Swap,
10/15/32 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 1.80% | | | Semi-Annual | | Deutsche Bank AG | | | 10/13/22 | | | | 1.80 | | | | USD | | | | 1,790 | | | | (37,918 | ) |
2-Year Interest Rate Swap,
10/27/24 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 1.24% | | | Semi-Annual | | Morgan Stanley & Co. International PLC | | | 10/25/22 | | | | 1.24 | | | | USD | | | | 16,900 | | | | (122,419 | ) |
2-Year Interest Rate Swap,
10/27/24 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 1.24% | | | Semi-Annual | | Morgan Stanley & Co. International PLC | | | 10/25/22 | | | | 1.23 | | | | USD | | | | 11,270 | | | | (81,946 | ) |
2-Year Interest Rate Swap,
11/04/24 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 1.48% | | | Semi-Annual | | JPMorgan Chase Bank N.A. | | | 11/02/22 | | | | 1.48 | | | | USD | | | | 7,710 | | | | (39,536 | ) |
2-Year Interest Rate Swap,
11/06/24 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 1.25% | | | Semi-Annual | | Morgan Stanley & Co. International PLC | | | 11/04/22 | | | | 1.25 | | | | USD | | | | 5,655 | | | | (41,487 | ) |
10-Year Interest Rate Swap,
11/17/32 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 1.85% | | | Semi-Annual | | Bank of America N.A. | | | 11/15/22 | | | | 1.85 | | | | USD | | | | 5,422 | | | | (113,044 | ) |
10-Year Interest Rate Swap,
12/07/32 | |
| 1-Day SOFR,
0.05% |
| | Quarterly | | | 1.45% | | | Semi-Annual | | JPMorgan Chase Bank N.A. | | | 12/05/22 | | | | 1.45 | | | | USD | | | | 678 | | | | (18,645 | ) |
10-Year Interest Rate Swap,
12/15/32 | |
| 1-Day SOFR,
0.05% |
| | Quarterly | | | 1.43% | | | Semi-Annual | | Morgan Stanley & Co. International PLC | | | 12/13/22 | | | | 1.43 | | | | USD | | | | 4,338 | | | | (124,397 | ) |
10-Year Interest Rate Swap,
12/17/32 | |
| 1-Day SOFR,
0.05% |
| | Quarterly | | | 1.42% | | | Semi-Annual | | JPMorgan Chase Bank N.A. | | | 12/15/22 | | | | 1.42 | | | | USD | | | | 4,337 | | | | (127,058 | ) |
10-Year Interest Rate Swap,
12/18/32 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 1.23% | | | Semi-Annual | | Goldman Sachs Bank USA | | | 12/16/22 | | | | 1.23 | | | | USD | | | | 2,560 | | | | (141,488 | ) |
| | |
| 50 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | 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,
12/18/32 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 1.25% | | | Semi-Annual | | Goldman Sachs Bank USA | | | 12/16/22 | | | | 1.25 | % | | | USD | | | | 2,560 | | | $ | (139,261 | ) |
10-Year Interest Rate Swap,
01/01/33 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 1.25% | | | Semi-Annual | | Citibank N.A. | | | 12/30/22 | | | | 1.25 | | | | USD | | | | 2,820 | | | | (153,393 | ) |
10-Year Interest Rate Swap,
01/11/33 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 1.44% | | | Semi-Annual | | Barclays Bank PLC | | | 01/09/23 | | | | 1.44 | | | | USD | | | | 3,818 | | | | (164,219 | ) |
10-Year Interest Rate Swap,
03/03/33 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 2.01% | | | Semi-Annual | | Bank of America N.A. | | | 03/01/23 | | | | 2.01 | | | | USD | | | | 3,880 | | | | (77,549 | ) |
10-Year Interest Rate Swap,
05/17/33 | |
| 6-Month
EURIBOR,
(0.55%) |
| | Semi-Annual | | | 0.70% | | | Annual | | Barclays Bank PLC | | | 05/15/23 | | | | 0.70 | | | | EUR | | | | 4,552 | | | | (109,640 | ) |
10-Year Interest Rate Swap,
06/15/34 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 3.00% | | | Semi-Annual | | Morgan Stanley & Co. International PLC | | | 06/13/24 | | | | 3.00 | | | | USD | | | | 1,970 | | | | (22,868 | ) |
10-Year Interest Rate Swap,
06/15/34 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 3.50% | | | Semi-Annual | | Morgan Stanley & Co. International PLC | | | 06/13/24 | | | | 3.50 | | | | USD | | | | 1,970 | | | | (13,633 | ) |
10-Year Interest Rate Swap,
06/22/34 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 3.00% | | | Semi-Annual | | Morgan Stanley & Co. International PLC | | | 06/20/24 | | | | 3.00 | | | | USD | | | | 3,950 | | | | (46,229 | ) |
10-Year Interest Rate Swap,
06/22/34 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 3.50% | | | Semi-Annual | | Morgan Stanley & Co. International PLC | | | 06/20/24 | | | | 3.50 | | | | USD | | | | 3,950 | | | | (27,608 | ) |
10-Year Interest Rate Swap,
08/22/34 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 2.25% | | | Semi-Annual | | Morgan Stanley & Co. International PLC | | | 08/20/24 | | | | 2.25 | | | | USD | | | | 3,310 | | | | (90,278 | ) |
30-Year Interest Rate Swap,
09/19/54 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 1.85% | | | Semi-Annual | | Deutsche Bank AG | | | 09/17/24 | | | | 1.85 | | | | USD | | | | 1,700 | | | | (160,573 | ) |
30-Year Interest Rate Swap,
10/02/54 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 2.00% | | | Semi-Annual | | Barclays Bank PLC | | | 09/30/24 | | | | 2.00 | | | | USD | | | | 450 | | | | (35,928 | ) |
30-Year Interest Rate Swap,
10/21/56 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 1.98% | | | Semi-Annual | | JPMorgan Chase Bank N.A. | | | 10/19/26 | | | | 1.98 | | | | USD | | | | 510 | | | | (51,368 | ) |
30-Year Interest Rate Swap,
12/04/56 | |
| 1-Day SOFR,
0.05% |
| | Quarterly | | | 1.36% | | | Semi-Annual | | Goldman Sachs Bank USA | | | 12/02/26 | | | | 1.36 | | | | USD | | | | 490 | | | | (69,667 | ) |
10-Year Interest Rate Swap,
03/14/39 | |
| 3-Month
LIBOR, 0.21% |
| | Quarterly | | | 3.05% | | | Semi-Annual | | Barclays Bank PLC | | | 03/12/29 | | | | 3.05 | | | | USD | | | | 2,130 | | | | (58,766 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (5,022,852 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (6,955,842 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 Premium Paid (Received) | | | Unrealized Appreciation (Depreciation) | |
CDX.NA.HY.37.V1 | | | 5.00 | % | | | Quarterly | | | | 12/20/26 | | | | USD | | | | 12,170 | | | $ | (1,143,704 | ) | | $ | (1,062,891 | ) | | $ | (80,813 | ) |
CDX.NA.IG.37.V1 | | | 1.00 | | | | Quarterly | | | | 12/20/26 | | | | USD | | | | 50,350 | | | | (1,248,955 | ) | | | (1,129,801 | ) | | | (119,154 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (2,392,659 | ) | | $ | (2,192,692 | ) | | $ | (199,967 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid by the Trust | | Received by the Trust | | Effective Date | | | Termination Date | | | Notional Amount (000) | | | Value | | | Upfront Premium Paid (Received) | | | Unrealized Appreciation (Depreciation) | |
| Rate | | Frequency | | Rate | | Frequency |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.07% | | Semi-Annual | | | N/A | | | | 03/01/23 | | | | USD | | | | 3,350 | | | $ | 29,939 | | | $ | 23 | | | $ | 29,916 | |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.10% | | Semi-Annual | | | N/A | | | | 03/01/23 | | | | USD | | | | 13,390 | | | | 125,398 | | | | 92 | | | | 125,306 | |
| 3-Month LIBOR, 0.21% | | Quarterly | | 0.88% | | Semi-Annual | | | N/A | | | | 03/02/23 | | | | USD | | | | 6,665 | | | | 40,760 | | | | 46 | | | | 40,714 | |
| 3-Month LIBOR, 0.21% | | Quarterly | | 0.88% | | Semi-Annual | | | N/A | | | | 03/02/23 | | | | USD | | | | 6,700 | | | | 40,622 | | | | 46 | | | | 40,576 | |
| 3-Month LIBOR, 0.21% | | Quarterly | | 0.90% | | Semi-Annual | | | N/A | | | | 03/02/23 | | | | USD | | | | 2,230 | | | | 14,391 | | | | 15 | | | | 14,376 | |
| 3-Month LIBOR, 0.21% | | Quarterly | | 0.98% | | Semi-Annual | | | N/A | | | | 03/02/23 | | | | USD | | | | 3,360 | | | | 25,468 | | | | 23 | | | | 25,445 | |
| 3-Month LIBOR, 0.21% | | Quarterly | | 0.99% | | Semi-Annual | | | N/A | | | | 03/02/23 | | | | USD | | | | 3,360 | | | | 25,897 | | | | 23 | | | | 25,874 | |
| 3-Month LIBOR, 0.21% | | Quarterly | | 0.25% | | Semi-Annual | | | 07/08/22 | (a) | | | 07/08/23 | | | | USD | | | | 5,380 | | | | (39,239 | ) | | | 58 | | | | (39,297 | ) |
| 1.61% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | N/A | | | | 11/01/23 | | | | USD | | | | 2,090 | | | | (33,359 | ) | | | 22 | | | | (33,381 | ) |
| | |
SCHEDULE OF INVESTMENTS | | 51 |
| | |
Schedule of Investments (continued) December 31, 2021 | | 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
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
| Rate | | Frequency | | Rate | | Frequency |
| 0.40% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 11/22/22 | (a) | | | 11/22/23 | | | USD | 2,280 | | | $ | 19,513 | | | $ | 25 | | | $ | 19,488 | |
| 3-Month LIBOR, 0.21% | | Quarterly | | 0.50% | | Semi-Annual | | | N/A | | | | 12/08/23 | | | USD | 14,380 | | | | (109,041 | ) | | | 166 | | | | (109,207 | ) |
| 3-Month LIBOR, 0.21% | | Quarterly | | 0.45% | | Semi-Annual | | | N/A | | | | 12/14/23 | | | USD | 14,430 | | | | (127,294 | ) | | | 168 | | | | (127,462 | ) |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.00% | | Semi-Annual | | | 04/05/22 | (a) | | | 12/31/23 | | | USD | 25,990 | | | | (15,854 | ) | | | (883 | ) | | | (14,971 | ) |
| 1.06% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 02/28/22 | (a) | | | 02/29/24 | | | USD | 640 | | | | (287 | ) | | | 8 | | | | (295 | ) |
| 1.06% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 02/28/22 | (a) | | | 02/29/24 | | | USD | 4,245 | | | | (1,738 | ) | | | 51 | | | | (1,789 | ) |
| 1.11% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 03/10/22 | (a) | | | 03/10/24 | | | USD | 3,030 | | | | (2,551 | ) | | | 36 | | | | (2,587 | ) |
| 0.56% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 03/24/22 | (a) | | | 03/24/24 | | | USD | 8,790 | | | | 92,235 | | | | 104 | | | | 92,131 | |
| 0.63% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 03/31/22 | (a) | | | 03/31/24 | | | USD | 4,690 | | | | 43,660 | | | | 56 | | | | 43,604 | |
| 1.10% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/04/22 | (a) | | | 04/04/24 | | | USD | 1,585 | | | | 452 | | | | 19 | | | | 433 | |
| 0.64% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/08/22 | (a) | | | 04/08/24 | | | USD | 15,700 | | | | 148,974 | | | | 188 | | | | 148,786 | |
| 0.65% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/11/22 | (a) | | | 04/11/24 | | | USD | 8,600 | | | | 80,907 | | | | 103 | | | | 80,804 | |
| 0.66% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/11/22 | (a) | | | 04/11/24 | | | USD | 4,470 | | | | 41,034 | | | | 53 | | | | 40,981 | |
| 0.68% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/12/22 | (a) | | | 04/12/24 | | | USD | 11,080 | | | | 98,485 | | | | 132 | | | | 98,353 | |
| 0.69% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/12/22 | (a) | | | 04/12/24 | | | USD | 8,590 | | | | 74,329 | | | | 103 | | | | 74,226 | |
| 0.73% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/14/22 | (a) | | | 04/14/24 | | | USD | 7,470 | | | | 59,663 | | | | 89 | | | | 59,574 | |
| 0.79% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/14/22 | (a) | | | 04/14/24 | | | USD | 8,530 | | | | 57,811 | | | | 102 | | | | 57,709 | |
| 0.80% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/14/22 | (a) | | | 04/14/24 | | | USD | 8,530 | | | | 56,338 | | | | 102 | | | | 56,236 | |
| 0.76% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/19/22 | (a) | | | 04/19/24 | | | USD | 6,090 | | | | 45,527 | | | | 73 | | | | 45,454 | |
| 0.76% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/19/22 | (a) | | | 04/19/24 | | | USD | 6,090 | | | | 45,387 | | | | 73 | | | | 45,314 | |
| 0.81% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/20/22 | (a) | | | 04/20/24 | | | USD | 4,290 | | | | 28,392 | | | | 51 | | | | 28,341 | |
| 0.81% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/20/22 | (a) | | | 04/20/24 | | | USD | 4,290 | | | | 27,830 | | | | 51 | | | | 27,779 | |
| 0.85% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/20/22 | (a) | | | 04/20/24 | | | USD | 4,205 | | | | 24,415 | | | | 50 | | | | 24,365 | |
| 0.92% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/20/22 | (a) | | | 04/20/24 | | | USD | 4,280 | | | | 18,933 | | | | 51 | | | | 18,882 | |
| 0.91% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/25/22 | (a) | | | 04/25/24 | | | USD | 8,560 | | | | 40,026 | | | | 102 | | | | 39,924 | |
| 0.94% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/25/22 | (a) | | | 04/25/24 | | | USD | 8,553 | | | | 34,570 | | | | 102 | | | | 34,468 | |
| 1.00% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/29/22 | (a) | | | 04/29/24 | | | USD | 4,290 | | | | 13,433 | | | | 51 | | | | 13,382 | |
| 1.01% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 05/03/22 | (a) | | | 05/03/24 | | | USD | 12,995 | | | | 40,176 | | | | 155 | | | | 40,021 | |
| 1.02% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 05/03/22 | (a) | | | 05/03/24 | | | USD | 12,995 | | | | 37,475 | | | | 155 | | | | 37,320 | |
| 1.05% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 05/12/22 | (a) | | | 05/12/24 | | | USD | 8,700 | | | | 21,865 | | | | 104 | | | | 21,761 | |
| 1.06% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 05/12/22 | (a) | | | 05/12/24 | | | USD | 4,350 | | | | 10,433 | | | | 52 | | | | 10,381 | |
| 1.07% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 05/12/22 | (a) | | | 05/12/24 | | | USD | 4,350 | | | | 9,097 | | | | 52 | | | | 9,045 | |
| 1.11% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 05/16/22 | (a) | | | 05/16/24 | | | USD | 4,740 | | | | 7,001 | | | | 57 | | | | 6,944 | |
| 1.22% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 06/07/22 | (a) | | | 06/07/24 | | | USD | 4,335 | | | | (125 | ) | | | 52 | | | | (177 | ) |
| 1.25% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 06/07/22 | (a) | | | 06/07/24 | | | USD | 4,335 | | | | (2,525 | ) | | | 52 | | | | (2,577 | ) |
| 1.01% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | 06/09/22 | (a) | | | 06/09/24 | | | USD | 4,320 | | | | (1,716 | ) | | | 52 | | | | (1,768 | ) |
| 1.27% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 06/17/22 | (a) | | | 06/17/24 | | | USD | 3,235 | | | | (2,034 | ) | | | 39 | | | | (2,073 | ) |
| 1.28% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 06/17/22 | (a) | | | 06/17/24 | | | USD | 3,235 | | | | (2,385 | ) | | | 39 | | | | (2,424 | ) |
| 0.73% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 06/21/22 | (a) | | | 06/21/24 | | | USD | 4,790 | | | | 48,854 | | | | 57 | | | | 48,797 | |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.17% | | Semi-Annual | | | 06/21/22 | (a) | | | 06/21/24 | | | USD | 1,615 | | | | (2,395 | ) | | | 19 | | | | (2,414 | ) |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.18% | | Semi-Annual | | | 06/21/22 | (a) | | | 06/21/24 | | | USD | 1,615 | | | | (2,093 | ) | | | 19 | | | | (2,112 | ) |
| 0.74% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 08/12/22 | (a) | | | 08/12/24 | | | USD | 10,580 | | | | 120,967 | | | | 126 | | | | 120,841 | |
| 0.78% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 08/15/22 | (a) | | | 08/15/24 | | | USD | 5,755 | | | | 61,820 | | | | 68 | | | | 61,752 | |
| 3-Month LIBOR, 0.21% | | Quarterly | | 0.45% | | Semi-Annual | | | N/A | | | | 11/12/25 | | | USD | 2,500 | | | | (76,914 | ) | | | 26 | | | | (76,940 | ) |
| 3-Month LIBOR, 0.21% | | Quarterly | | 0.48% | | Semi-Annual | | | N/A | | | | 01/21/26 | | | USD | 7,710 | | | | (234,642 | ) | | | 84 | | | | (234,726 | ) |
| 1.46% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/05/22 | (a) | | | 05/31/26 | | | USD | 9,470 | | | | (24,574 | ) | | | (443 | ) | | | (24,131 | ) |
| 3-Month LIBOR, 0.21% | | Quarterly | | 0.93% | | Semi-Annual | | | N/A | | | | 09/17/26 | | | USD | 9,710 | | | | (160,913 | ) | | | 122 | | | | (161,035 | ) |
| 1.33% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | N/A | | | | 11/23/26 | | | USD | 1,040 | | | | 110 | | | | 14 | | | | 96 | |
| 1.02% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | N/A | | | | 12/02/26 | | | USD | 3,330 | | | | 12,909 | | | | 44 | | | | 12,865 | |
| 1.08% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | N/A | | | | 12/03/26 | | | USD | 1,665 | | | | 1,419 | | | | 22 | | | | 1,397 | |
| 1.08% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | N/A | | | | 12/03/26 | | | USD | 2,080 | | | | 2,184 | | | | 28 | | | | 2,156 | |
| 1.08% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | N/A | | | | 12/03/26 | | | USD | 1,665 | | | | 1,255 | | | | 22 | | | | 1,233 | |
| 1.04% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | N/A | | | | 12/06/26 | | | USD | 2,090 | | | | 6,382 | | | | 28 | | | | 6,354 | |
| 1-Day SOFR, 0.05% | | Annual | | 1.07% | | Annual | | | N/A | | | | 12/15/26 | | | USD | 1,250 | | | | (2,074 | ) | | | 17 | | | | (2,091 | ) |
| 1.03% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | N/A | | | | 12/20/26 | | | USD | 1,250 | | | | 4,982 | | | | 17 | | | | 4,965 | |
| 1.09% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | N/A | | | | 12/23/26 | | | USD | 1,240 | | | | 1,270 | | | | 17 | | | | 1,253 | |
| 1.35% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 01/10/22 | (a) | | | 01/10/27 | | | USD | 2,000 | | | | 2,513 | | | | 27 | | | | 2,486 | |
| 1.43% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 01/10/22 | (a) | | | 01/10/27 | | | USD | 2,110 | | | | (5,058 | ) | | | 29 | | | | (5,087 | ) |
| 1.40% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 01/12/22 | (a) | | | 01/12/27 | | | USD | 3,170 | | | | (3,524 | ) | | | 43 | | | | (3,567 | ) |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.41% | | Semi-Annual | | | 01/20/22 | (a) | | | 01/20/27 | | | USD | 3,200 | | | | 3,299 | | | | 43 | | | | 3,256 | |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.43% | | Semi-Annual | | | 01/20/22 | (a) | | | 01/20/27 | | | USD | 3,200 | | | | 7,193 | | | | 43 | | | | 7,150 | |
| | |
| 52 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | 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
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
| Rate | | Frequency | | Rate | | Frequency |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.45% | | Semi-Annual | | | 01/20/22 | (a) | | | 01/20/27 | | | USD | 3,200 | | | $ | 9,530 | | | $ | 43 | | | $ | 9,487 | |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.34% | | Semi-Annual | | | 01/21/22 | (a) | | | 01/21/27 | | | USD | 3,200 | | | | (7,761 | ) | | | 43 | | | | (7,804 | ) |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.54% | | Semi-Annual | | | 02/24/22 | (a) | | | 02/24/27 | | | USD | 3,520 | | | | 20,849 | | | | 48 | | | | 20,801 | |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.56% | | Semi-Annual | | | 02/25/22 | (a) | | | 02/25/27 | | | USD | 3,510 | | | | 25,072 | | | | 47 | | | | 25,025 | |
| 1.17% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | 03/09/22 | (a) | | | 03/09/27 | | | USD | 3,530 | | | | 924 | | | | 48 | | | | 876 | |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.28% | | Semi-Annual | | | 03/31/22 | (a) | | | 03/31/27 | | | USD | 340 | | | | (2,752 | ) | | | 5 | | | | (2,757 | ) |
| 1.45% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/12/22 | (a) | | | 04/12/27 | | | USD | 3,520 | | | | 1,170 | | | | 48 | | | | 1,122 | |
| 0.65% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/20/22 | (a) | | | 04/20/27 | | | USD | 530 | | | | 20,730 | | | | 7 | | | | 20,723 | |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.63% | | Semi-Annual | | | 05/26/22 | (a) | | | 05/26/27 | | | USD | 6,990 | | | | 50,612 | | | | 94 | | | | 50,518 | |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.63% | | Semi-Annual | | | 05/26/22 | (a) | | | 05/26/27 | | | USD | 1,748 | | | | 12,272 | | | | 24 | | | | 12,248 | |
| 1-Day SOFR, 0.05% | | Annual | | 1.23% | | Annual | | | 06/14/22 | (a) | | | 06/14/27 | | | USD | 880 | | | | (337 | ) | | | 12 | | | | (349 | ) |
| 1.24% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | 06/29/22 | (a) | | | 06/29/27 | | | USD | 655 | | | | 259 | | | | 9 | | | | 250 | |
| 1.25% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | 06/29/22 | (a) | | | 06/29/27 | | | USD | 655 | | | | 3 | | | | 9 | | | | (6 | ) |
| 1-Day SOFR, 0.05% | | Annual | | 1.25% | | Annual | | | 07/05/22 | (a) | | | 07/05/27 | | | USD | 1,295 | | | | (260 | ) | | | 18 | | | | (278 | ) |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.35% | | Semi-Annual | | | 07/08/22 | (a) | | | 07/08/27 | | | USD | 6,540 | | | | (52,024 | ) | | | 88 | | | | (52,112 | ) |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.19% | | Semi-Annual | | | 07/19/22 | (a) | | | 07/19/27 | | | USD | 2,570 | | | | (41,182 | ) | | | 34 | | | | (41,216 | ) |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.50% | | Semi-Annual | | | 07/22/22 | (a) | | | 07/22/27 | | | USD | 500 | | | | (487 | ) | | | 7 | | | | (494 | ) |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.58% | | Semi-Annual | | | 07/27/22 | (a) | | | 07/27/27 | | | USD | 580 | | | | 1,437 | | | | 8 | | | | 1,429 | |
| 1-Day SOFR, 0.05% | | Annual | | 1.30% | | Annual | | | 07/28/22 | (a) | | | 07/28/27 | | | USD | 740 | | | | 1,202 | | | | 10 | | | | 1,192 | |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.48% | | Semi-Annual | | | 08/01/22 | (a) | | | 08/01/27 | | | USD | 5,330 | | | | (12,130 | ) | | | 72 | | | | (12,202 | ) |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.49% | | Semi-Annual | | | 08/01/22 | (a) | | | 08/01/27 | | | USD | 5,330 | | | | (9,551 | ) | | | 72 | | | | (9,623 | ) |
| 1.24% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | 11/15/22 | (a) | | | 11/15/27 | | | USD | 2,230 | | | | 7,809 | | | | 30 | | | | 7,779 | |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.68% | | Semi-Annual | | | 11/21/22 | (a) | | | 11/21/27 | | | USD | 2,250 | | | | 9,278 | | | | 30 | | | | 9,248 | |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.05% | | Semi-Annual | | | N/A | | | | 05/15/28 | | | USD | 1,650 | | | | (37,664 | ) | | | 23 | | | | (37,687 | ) |
| 1-Day SOFR, 0.05% | | Annual | | 1.20% | | Annual | | | 03/31/22 | (a) | | | 11/15/28 | | | USD | 1,710 | | | | (6,417 | ) | | | 25 | | | | (6,442 | ) |
| 1-Day SOFR, 0.05% | | Annual | | 1.21% | | Annual | | | 03/31/22 | (a) | | | 11/15/28 | | | USD | 3,780 | | | | (10,874 | ) | | | 56 | | | | (10,930 | ) |
| 1.36% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | 03/31/22 | (a) | | | 11/15/28 | | | USD | 15,900 | | | | (103,190 | ) | | | (14,837 | ) | | | (88,353 | ) |
| 2.79% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | N/A | | | | 03/10/31 | | | USD | 4,266 | | | | (492,763 | ) | | | 64 | | | | (492,827 | ) |
| 3-Month LIBOR, 0.21% | | Quarterly | | 2.45% | | Semi-Annual | | | N/A | | | | 05/18/31 | | | USD | 860 | | | | 69,689 | | | | 13 | | | | 69,676 | |
| 3-Month LIBOR, 0.21% | | Quarterly | | 2.10% | | Semi-Annual | | | N/A | | | | 06/22/31 | | | USD | 430 | | | | 20,733 | | | | 6 | | | | 20,727 | |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.18% | | Semi-Annual | | | N/A | | | | 07/28/31 | | | USD | 1,640 | | | | (50,310 | ) | | | 25 | | | | (50,335 | ) |
| 1-Day SOFR, 0.05% | | Annual | | 1.25% | | Annual | | | 03/31/22 | (a) | | | 08/15/31 | | | USD | 1,300 | | | | (9,926 | ) | | | 21 | | | | (9,947 | ) |
| 1.29% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | 03/31/22 | (a) | | | 08/15/31 | | | USD | 720 | | | | 3,413 | | | | 12 | | | | 3,401 | |
| 1-Day SOFR, 0.05% | | Annual | | 1.46% | | Annual | | | 03/31/22 | (a) | | | 08/15/31 | | | USD | 5,710 | | | | 61,353 | | | | 15,675 | | | | 45,678 | |
| 1.52% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | 03/31/22 | (a) | | | 08/15/31 | | | USD | 2,980 | | | | (47,943 | ) | | | 48 | | | | (47,991 | ) |
| 1.43% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | N/A | | | | 09/21/31 | | | USD | 2,705 | | | | 26,152 | | | | 42 | | | | 26,110 | |
| 1.39% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | N/A | | | | 09/22/31 | | | USD | 2,265 | | | | 30,100 | | | | 35 | | | | 30,065 | |
| 1.52% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | N/A | | | | 09/24/31 | | | USD | 5,730 | | | | 6,464 | | | | 89 | | | | 6,375 | |
| 3-Month LIBOR, 0.21% | | Quarterly | | 1.59% | | Semi-Annual | | | N/A | | | | 10/12/31 | | | USD | 26,700 | | | | 123,212 | | | | 425 | | | | 122,787 | |
| 1.78% | | Semi-Annual | | 3-Month LIBOR, 0.21% | | Quarterly | | | N/A | | | | 10/18/31 | | | USD | 3,040 | | | | (65,265 | ) | | | 48 | | | | (65,313 | ) |
| 1.38% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | N/A | | | | 10/20/31 | | | USD | 2,870 | | | | (26,555 | ) | | | 46 | | | | (26,601 | ) |
| 1.45% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | N/A | | | | 10/25/31 | | | USD | 360 | | | | (5,550 | ) | | | 6 | | | | (5,556 | ) |
| 1.42% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | N/A | | | | 11/18/31 | | | USD | 170 | | | | (2,057 | ) | | | 3 | | | | (2,060 | ) |
| 1.45% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | N/A | | | | 11/19/31 | | | USD | 930 | | | | (13,698 | ) | | | 15 | | | | (13,713 | ) |
| 1.40% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | N/A | | | | 11/22/31 | | | USD | 1,280 | | | | (12,500 | ) | | | 21 | | | | (12,521 | ) |
| 1.43% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | N/A | | | | 11/22/31 | | | USD | 1,110 | | | | (14,052 | ) | | | 18 | | | | (14,070 | ) |
| 1.42% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | N/A | | | | 11/24/31 | | | USD | 890 | | | | (10,322 | ) | | | 14 | | | | (10,336 | ) |
| 1.44% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | N/A | | | | 11/24/31 | | | USD | 890 | | | | (12,103 | ) | | | 14 | | | | (12,117 | ) |
| 1.48% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | N/A | | | | 11/26/31 | | | USD | 1,920 | | | | (32,346 | ) | | | 31 | | | | (32,377 | ) |
| 1-Day SOFR, 0.05% | | Annual | | 1.32% | | Annual | | | N/A | | | | 11/30/31 | | | USD | 1,500 | | | | 1,882 | | | | 24 | | | | 1,858 | |
| 1-Day SOFR, 0.05% | | Annual | | 1.27% | | Annual | | | N/A | | | | 12/02/31 | | | USD | 885 | | | | (2,395 | ) | | | 14 | | | | (2,409 | ) |
| 1-Day SOFR, 0.05% | | Annual | | 1.28% | | Annual | | | N/A | | | | 12/02/31 | | | USD | 890 | | | | (2,366 | ) | | | 14 | | | | (2,380 | ) |
| 1-Day SOFR, 0.05% | | Annual | | 1.28% | | Annual | | | N/A | | | | 12/02/31 | | | USD | 885 | | | | (2,226 | ) | | | 14 | | | | (2,240 | ) |
| 1-Day SOFR, 0.05% | | Annual | | 1.30% | | Annual | | | N/A | | | | 12/02/31 | | | USD | 890 | | | | (458 | ) | | | 14 | | | | (472 | ) |
| 1.28% | | Annual | | 1-Day SOFR, 0.05% | | Annual | | | N/A | | | | 12/03/31 | | | USD | 1,110 | | | | 2,681 | | | | 18 | | | | 2,663 | |
| 1-Day SOFR, 0.05% | | Annual | | 1.31% | | Annual | | | N/A | | | | 12/03/31 | | | USD | 250 | | | | 146 | | | | 4 | | | | 142 | |
| 1-Day SOFR, 0.05% | | Annual | | 1.26% | | Annual | | | N/A | | | | 12/06/31 | | | USD | 1,180 | | | | (4,934 | ) | | | 19 | | | | (4,953 | ) |
| 1-Day SOFR, 0.05% | | Annual | | 1.19% | | Annual | | | N/A | | | | 12/07/31 | | | USD | 587 | | | | (6,669 | ) | | | 9 | | | | (6,678 | ) |
| 1-Day SOFR, 0.05% | | Annual | | 1.24% | | Annual | | | N/A | | | | 12/07/31 | | | USD | 1,780 | | | | (11,403 | ) | | | 29 | | | | (11,432 | ) |
| 1-Day SOFR, 0.05% | | Annual | | 1.31% | | Annual | | | N/A | | | | 12/13/31 | | | USD | 890 | | | | (88 | ) | | | 14 | | | | (102 | ) |
| 1-Day SOFR, 0.05% | | Annual | | 1.27% | | Annual | | | N/A | | | | 12/16/31 | | | USD | 665 | | | | (2,388 | ) | | | 11 | | | | (2,399 | ) |
| | |
SCHEDULE OF INVESTMENTS | | 53 |
| | |
Schedule of Investments (continued) December 31, 2021 | | 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
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
| | | Rate | | Frequency | | | | Rate | | Frequency |
| | 1-Day SOFR, 0.05% | | Annual | | | | 1.28% | | Annual | | | N/A | | | | 12/17/31 | | | USD | 590 | | | $ | (1,413 | ) | | $ | 10 | | | $ | (1,423 | ) |
| | 1-Day SOFR, 0.05% | | Annual | | | | 1.24% | | Annual | | | N/A | | | | 12/20/31 | | | USD | 330 | | | | (2,269 | ) | | | 5 | | | | (2,274 | ) |
| | 1-Day SOFR, 0.05% | | Annual | | | | 1.25% | | Annual | | | N/A | | | | 12/20/31 | | | USD | 330 | | | | (2,018 | ) | | | 5 | | | | (2,023 | ) |
| | 1-Day SOFR, 0.05% | | Annual | | | | 1.20% | | Annual | | | N/A | | | | 12/21/31 | | | USD | 710 | | | | (7,812 | ) | | | 12 | | | | (7,824 | ) |
| | 1-Day SOFR, 0.05% | | Annual | | | | 1.21% | | Annual | | | N/A | | | | 12/21/31 | | | USD | 660 | | | | (6,508 | ) | | | 11 | | | | (6,519 | ) |
| | 1-Day SOFR, 0.05% | | Annual | | | | 1.19% | | Annual | | | N/A | | | | 12/22/31 | | | USD | 330 | | | | (3,783 | ) | | | 5 | | | | (3,788 | ) |
| | 1.31% | | Annual | | | | 1-Day SOFR, 0.05% | | Annual | | | N/A | | | | 12/28/31 | | | USD | 660 | | | | 77 | | | | 11 | | | | 66 | |
| | 1.36% | | Annual | | | | 1-Day SOFR, 0.05% | | Annual | | | 12/31/21 | (a) | | | 12/31/31 | | | USD | 330 | | | | (1,288 | ) | | | 5 | | | | (1,293 | ) |
| | 1.37% | | Annual | | | | 1-Day SOFR, 0.05% | | Annual | | | 12/31/21 | (a) | | | 12/31/31 | | | USD | 327 | | | | (1,572 | ) | | | 5 | | | | (1,577 | ) |
| | 1.35% | | Annual | | | | 1-Day SOFR, 0.05% | | Annual | | | 01/03/22 | (a) | | | 01/03/32 | | | USD | 332 | | | | (1,101 | ) | | | 5 | | | | (1,106 | ) |
| | 1.31% | | Annual | | | | 1-Day SOFR, 0.05% | | Annual | | | 01/04/22 | (a) | | | 01/04/32 | | | USD | 331 | | | | 251 | | | | 5 | | | | 246 | |
| | 1.31% | | Annual | | | | 1-Day SOFR, 0.05% | | Annual | | | 01/26/22 | (a) | | | 01/26/32 | | | USD | 767 | | | | 1,376 | | | | 12 | | | | 1,364 | |
| | 3-Month LIBOR, 0.21% | | Quarterly | | | | 1.78% | | Semi-Annual | | | 01/26/22 | (a) | | | 01/26/32 | | | USD | 710 | | | | 11,733 | | | | 12 | | | | 11,721 | |
| | 1.61% | | Semi-Annual | | | | 3-Month LIBOR, 0.21% | | Quarterly | | | 03/28/22 | (a) | | | 03/28/32 | | | USD | 26,000 | | | | 48,075 | | | | 416 | | | | 47,659 | |
| | 1.66% | | Semi-Annual | | | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/25/22 | (a) | | | 04/25/32 | | | USD | 25,400 | | | | (34,185 | ) | | | 413 | | | | (34,598 | ) |
| | 0.77% | | Semi-Annual | | | | 3-Month LIBOR, 0.21% | | Quarterly | | | 05/06/22 | (a) | | | 05/06/32 | | | USD | 2,650 | | | | 217,659 | | | | 42 | | | | 217,617 | |
| | 0.85% | | Semi-Annual | | | | 3-Month LIBOR, 0.21% | | Quarterly | | | 08/15/22 | (a) | | | 08/15/32 | | | USD | 9,220 | | | | 721,388 | | | | 38,204 | | | | 683,184 | |
| | 0.44% | | Annual | | | | 6-Month EURIBOR, (0.55%) | | Semi-Annual | | | 05/16/23 | (a) | | | 05/16/33 | | | EUR | 1,255 | | | | 5,022 | | | | 27 | | | | 4,995 | |
| | 2.33% | | Semi-Annual | | | | 3-Month LIBOR, 0.21% | | Quarterly | | | 06/24/24 | (a) | | | 06/24/34 | | | USD | 310 | | | | (14,394 | ) | | | 5 | | | | (14,399 | ) |
| | 3-Month LIBOR, 0.21% | | Quarterly | | | | 1.67% | | Semi-Annual | | | 08/06/24 | (a) | | | 08/06/34 | | | USD | 2,450 | | | | (32,567 | ) | | | 39 | | | | (32,606 | ) |
| | 1.65% | | Semi-Annual | | | | 3-Month LIBOR, 0.21% | | Quarterly | | | 08/22/24 | (a) | | | 08/22/34 | | | USD | 1,355 | | | | 21,229 | | | | 21 | | | | 21,208 | |
| | 2.82% | | Semi-Annual | | | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/04/29 | (a) | | | 04/04/39 | | | USD | 1,560 | | | | (114,505 | ) | | | 24 | | | | (114,529 | ) |
| | 1.01% | | Semi-Annual | | | | 3-Month LIBOR, 0.21% | | Quarterly | | | 04/02/30 | (a) | | | 04/02/40 | | | USD | 4,100 | | | | 319,525 | | | | 66 | | | | 319,459 | |
| | 1.86% | | Semi-Annual | | | | 3-Month LIBOR, 0.21% | | Quarterly | | | N/A | | | | 10/12/41 | | | USD | 14,800 | | | | (308,282 | ) | | | 290 | | | | (308,572 | ) |
| | 1-Day SOFR, 0.05% | | Annual | | | | 1.36% | | Annual | | | 03/31/22 | (a) | | | 05/15/47 | | | USD | 2,440 | | | | (70,022 | ) | | | 53 | | | | (70,075 | ) |
| | 1-Day SOFR, 0.05% | | Annual | | | | 1.43% | | Annual | | | 03/31/22 | (a) | | | 05/15/47 | | | USD | 170 | | | | (2,592 | ) | | | 4 | | | | (2,596 | ) |
| | 1.47% | | Annual | | | | 1-Day SOFR, 0.05% | | Annual | | | 03/31/22 | (a) | | | 05/15/47 | | | USD | 1,360 | | | | 7,167 | | | | 30 | | | | 7,137 | |
| | 1.64% | | Annual | | | | 1-Day SOFR, 0.05% | | Annual | | | 03/31/22 | (a) | | | 05/15/47 | | | USD | 4,920 | | | | (148,561 | ) | | | (33,050 | ) | | | (115,511 | ) |
| | 3.02% | | Semi-Annual | | | | 3-Month LIBOR, 0.21% | | Quarterly | | | 12/08/38 | (a) | | | 12/08/48 | | | USD | 400 | | | | (35,330 | ) | | | 6 | | | | (35,336 | ) |
| | 2.38% | | Semi-Annual | | | | 3-Month LIBOR, 0.21% | | Quarterly | | | 07/05/39 | (a) | | | 07/05/49 | | | USD | 620 | | | | (26,976 | ) | | | 10 | | | | (26,986 | ) |
| | 1.71% | | Semi-Annual | | | | 3-Month LIBOR, 0.21% | | Quarterly | | | 08/16/39 | (a) | | | 08/16/49 | | | USD | 600 | | | | 2,196 | | | | 9 | | | | 2,187 | |
| | 1.78% | | Semi-Annual | | | | 3-Month LIBOR, 0.21% | | Quarterly | | | 08/16/39 | (a) | | | 08/16/49 | | | USD | 500 | | | | (826 | ) | | | 8 | | | | (834 | ) |
| | 1.67% | | Semi-Annual | | | | 3-Month LIBOR, 0.21% | | Quarterly | | | 08/17/39 | (a) | | | 08/17/49 | | | USD | 460 | | | | 3,066 | | | | 7 | | | | 3,059 | |
| | 1.25% | | Semi-Annual | | | | 3-Month LIBOR, 0.21% | | Quarterly | | | N/A | | | | 03/06/50 | | | USD | 460 | | | | 51,209 | | | | 10 | | | | 51,199 | |
| | 1.10% | | Semi-Annual | | | | 3-Month LIBOR, 0.21% | | Quarterly | | | N/A | | | | 11/25/50 | | | USD | 750 | | | | 112,439 | | | | 17 | | | | 112,422 | |
| | 3-Month LIBOR, 0.21% | | Quarterly | | | | 1.93% | | Semi-Annual | | | N/A | | | | 10/22/51 | | | USD | 3,550 | | | | 180,729 | | | | 84 | | | | 180,645 | |
| | 1-Day SOFR, 0.05% | | Annual | | | | 1.38% | | Annual | | | N/A | | | | 12/03/51 | | | USD | 430 | | | | (8,123 | ) | | | 10 | | | | (8,133 | ) |
| | 1-Day SOFR, 0.05% | | Annual | | | | 1.39% | | Annual | | | N/A | | | | 12/15/51 | | | USD | 260 | | | | (4,382 | ) | | | 6 | | | | (4,388 | ) |
| | 3-Month LIBOR, 0.21% | | Quarterly | | | | 1.93% | | Semi-Annual | | | 12/01/26 | (a) | | | 12/01/56 | | | USD | 110 | | | | 4,294 | | | | 2 | | | | 4,292 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | 1,178,210 | | | $ | 12,639 | | | $ | 1,165,571 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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) |
|
Adler Real Estate AG | | | 5.00 | % | | | Quarterly | | | Morgan Stanley & Co. International PLC | | | 12/20/25 | | | N/R | | | EUR | | | | 10 | | | $ | (274 | ) $ | | | 1,375 | | | $ | (1,649 | ) |
Virgin Media Finance PLC | | | 5.00 | | | | Quarterly | | | JPMorgan Chase Bank N.A. | | | 12/20/25 | | | B | | | EUR | | | | 10 | | | | 1,321 | | | | 1,063 | | | | 258 | |
Adler Real Estate AG | | | 5.00 | | | | Quarterly | | | JPMorgan Chase Bank N.A. | | | 06/20/26 | | | N/R | | | EUR | | | | 10 | | | | (223 | ) | | | 928 | | | | (1,151 | ) |
Adler Real Estate AG | | | 5.00 | | | | Quarterly | | | JPMorgan Chase Bank N.A. | | | 06/20/26 | | | N/R | | | EUR | | | | 10 | | | | (222 | ) | | | 1,043 | | | | (1,265 | ) |
Trust Fibrauno | | | 1.00 | | | | Quarterly | | | Citibank N.A. | | | 06/20/26 | | | N/R | | | USD | | | | 228 | | | | (14,804 | ) | | | (22,728 | ) | | | 7,924 | |
Trust Fibrauno | | | 1.00 | | | | Quarterly | | | Citibank N.A. | | | 06/20/26 | | | N/R | | | USD | | | | 63 | | | | (4,090 | ) | | | (6,292 | ) | | | 2,202 | |
CMBX.NA.8 | | | 3.00 | | | | Monthly | | | Barclays Bank PLC | | | 10/17/57 | | | N/R | | | USD | | | | 5,000 | | | | (676,845 | ) | | | (487,295 | ) | | | (189,550 | ) |
CMBX.NA.8 | | | 3.00 | | | | Monthly | | | Credit Suisse International | | | 10/17/57 | | | N/R | | | USD | | | | 2,500 | | | | (338,423 | ) | | | (241,071 | ) | | | (97,352 | ) |
CMBX.NA.8 | | | 3.00 | | | | Monthly | | | Morgan Stanley & Co. International PLC | | | 10/17/57 | | | N/R | | | USD | | | | 5,550 | | | | (751,298 | ) | | | (709,016 | ) | | | (42,282 | ) |
| | |
| 54 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | 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 | | | N/R | | | USD5,000 | | | $ | (466,075 | ) | | $ | (522,882 | ) | | $ | 56,807 | |
CMBX.NA.9 | | | 3.00 | | | | Monthly | | | Credit Suisse International | | | 09/17/58 | | | N/R | | | USD2,500 | | | | (233,038 | ) | | | (261,441 | ) | | | 28,403 | |
CMBX.NA.9 | | | 3.00 | | | | Monthly | | | Credit Suisse International | | | 09/17/58 | | | N/R | | | USD5,000 | | | | (466,076 | ) | | | (522,833 | ) | | | 56,757 | |
| | | | | | | | | | Morgan Stanley & Co. | | | | | | | | | | | | | | | | | | | | | | |
CMBX.NA.9 | | | 3.00 | | | | Monthly | | | International PLC | | | 09/17/58 | | | N/R | | | USD2,153 | | | | (200,692 | ) | | | (236,140 | ) | | | 35,448 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (3,150,739 | ) | | $ | (3,005,289 | ) | | $ | (145,450 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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) | | $ | 61,852 | | | $ | (2,241,905 | ) | | $ | 3,911,154 | | | $ | (2,945,550 | ) | | $ | — | |
OTC Swaps | | | 4,409 | | | | (3,009,698 | ) | | | 187,799 | | | | (333,249 | ) | | | — | |
Options Written | | | N/A | | | | N/A | | | | 2,336,946 | | | | (2,248,640 | ) | | | (6,963,280 | ) |
| | (a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s 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) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,977,810 | | | $ | — | | | $ | 1,977,810 | |
Options purchased(b) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments at value — unaffiliated(c) | | | — | | | | — | | | | — | | | | — | | | | 5,333,903 | | | | — | | | | 5,333,903 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on centrally cleared swaps(a) | | | — | | | | — | | | | — | | | | — | | | | 3,911,154 | | | | — | | | | 3,911,154 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on OTC swaps; Swap premiums paid | | | — | | | | 192,208 | | | | — | | | | — | | | | — | | | | — | | | | 192,208 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 192,208 | | | $ | — | | | $ | — | | | $ | 11,222,867 | | | $ | — | | | $ | 11,415,075 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on futures contracts(a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 760,307 | | | $ | — | | | $ | 760,307 | |
Forward foreign currency exchange contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 152,764 | | | | — | | | | — | | | | 152,764 | |
Options written | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Options written at value | | | — | | | | — | | | | — | | | | — | | | | 6,963,280 | | | | — | | | | 6,963,280 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on centrally cleared swaps(a) | | | — | | | | 199,967 | | | | — | | | | — | | | | 2,745,583 | | | | — | | | | 2,945,550 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on OTC swaps; Swap premiums received | | | — | | | | 3,342,947 | | | | — | | | | — | | | | — | | | | — | | | | 3,342,947 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 3,542,914 | | | $ | — | | | $ | 152,764 | | | $ | 10,469,170 | | | $ | — | | | $ | 14,164,848 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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 day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). | |
| | (b) | Includes forward settling swaptions. | |
| | (c) | Includes options purchased at value as reported in the Schedule of Investments. | |
| | |
SCHEDULE OF INVESTMENTS | | 55 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) |
For the period ended December 31, 2021, 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 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,970,735 | | | $ | — | | | $ | 1,970,735 | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 727,284 | | | | — | | | | — | | | | 727,284 | |
Options purchased(a) | | | — | | | | — | | | | — | | | | — | | | | 5,892,664 | | | | — | | | | 5,892,664 | |
Options written | | | — | | | | — | | | | — | | | | — | | | | 1,830,598 | | | | — | | | | 1,830,598 | |
Swaps | | | — | | | | (151,170 | ) | | | — | | | | — | | | | (145,495 | ) | | | — | | | | (296,665 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | (151,170 | ) | | $ | — | | | $ | 727,284 | | | $ | 9,548,502 | | | $ | — | | | $ | 10,124,616 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,672,859 | | | $ | — | | | $ | 1,672,859 | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 143,253 | | | | — | | | | — | | | | 143,253 | |
Options purchased(b) | | | — | | | | — | | | | — | | | | — | | | | (886,179 | ) | | | — | | | | (886,179 | ) |
Options written | | | — | | | | — | | | | — | | | | — | | | | (2,723,043 | ) | | | — | | | | (2,723,043 | ) |
Swaps | | | — | | | | 1,023,054 | | | | — | | | | — | | | | 449,426 | | | | — | | | | 1,472,480 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 1,023,054 | | | $ | — | | | $ | 143,253 | | | $ | (1,486,937 | ) | | $ | — | | | $ | (320,630 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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 | | $ | 145,149,528 | |
Average notional value of contracts — short | | $ | 266,527,097 | |
Forward foreign currency exchange contracts: | | | | |
Average amounts sold — in USD | | $ | 12,072,528 | |
Options: | | | | |
Average value of option contracts purchased | | $ | 246,519 | |
Average value of option contracts written | | $ | 188,394 | |
Average notional value of swaption contracts purchased | | $ | 361,639,424 | |
Average notional value of swaption contracts written | | $ | 919,927,726 | |
Credit default swaps: | | | | |
Average notional value — buy protection | | $ | 60,207,500 | |
Average notional value — sell protection | | $ | 29,758,261 | |
Interest rate swaps: | | | | |
Average notional value — pays fixed rate | | $ | 247,644,703 | |
Average notional value — receives fixed rate | | $ | 153,129,219 | |
For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Trust’s derivative assets and liabilities (by type) were as follows:
| | | | | | | | |
| | | Assets | | | Liabilities | |
Derivative Financial Instruments | | | | | | | | |
Futures contracts | | $ | 178,509 | | | $ | 49,353 | |
Forward foreign currency exchange contracts | | | — | | | | 152,764 | |
Options(a) | | | 5,333,903 | (b) | | | 6,963,280 | |
Swaps — centrally cleared | | | — | | | | 579,186 | |
Swaps — OTC(c) | | | 192,208 | | | | 3,342,947 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 5,704,620 | | | | 11,087,530 | |
| | | | | | | | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | (201,884 | ) | | | (635,977 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to an MNA | | $ | 5,502,736 | | | $ | 10,451,553 | |
| | | | | | | | |
| | (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. | |
| | |
| 56 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) |
The following table presents the Trust’s derivative assets and liabilities by counterparty net of amounts available for offset under an 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 |
(b) | |
| Net Amount
of Derivative
Assets |
(c) |
Bank of America N.A. | | $ | 782,776 | | | $ | (718,198 | ) | | $ | — | | | $ | — | | | $ | 64,578 | |
Barclays Bank PLC | | | 767,321 | | | | (767,321 | ) | | | — | | | | — | | | | — | |
Citibank N.A. | | | 190,604 | | | | (190,604 | ) | | | — | | | | — | | | | — | |
Credit Suisse International | | | 141,967 | | | | (141,967 | ) | | | — | | | | — | | | | — | |
Deutsche Bank AG | | | 976,517 | | | | (976,517 | ) | | | — | | | | — | | | | — | |
Goldman Sachs Bank USA | | | 768,817 | | | | (457,444 | ) | | | — | | | | (311,373 | ) | | | — | |
JPMorgan Chase Bank N.A. | | | 797,706 | | | | (797,706 | ) | | | — | | | | — | | | | — | |
Morgan Stanley & Co. International PLC | | | 812,442 | | | | (812,442 | ) | | | — | | | | — | | | | — | |
Nomura International PLC | | | 154,899 | | | | (8,434 | ) | | | — | | | | — | | | | 146,465 | |
UBS AG | | | 82,120 | | | | — | | | | — | | | | — | | | | 82,120 | |
Wells Fargo Bank N.A. | | | 27,567 | | | | — | | | | — | | | | (27,567 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 5,502,736 | | | $ | (4,870,633 | ) | | $ | — | | | $ | (338,940 | ) | | $ | 293,163 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Counterparty | |
| Derivative
Liabilities
Subject to
an MNA by
Counterparty |
| |
| Derivatives
Available
for Offset |
(a) | |
| Non-Cash
Collateral
Pledged |
(d) | |
| Cash
Collateral
Pledged |
(d) | |
| Net Amount
of Derivative
Liabilities |
(e)(f) |
Bank of America N.A. | | $ | 718,198 | | | $ | (718,198 | ) | | $ | — | | | $ | — | | | $ | — | |
Barclays Bank PLC | | | 1,441,146 | | | | (767,321 | ) | | | (530,544 | ) | | | — | | | | 143,281 | |
Citibank N.A. | | | 354,091 | | | | (190,604 | ) | | | — | | | | (163,487 | ) | | | — | |
Credit Suisse International | | | 1,645,579 | | | | (141,967 | ) | | | — | | | | (1,270,000 | ) | | | 233,612 | |
Deutsche Bank AG | | | 2,208,605 | | | | (976,517 | ) | | | — | | | | (1,040,000 | ) | | | 192,088 | |
Goldman Sachs Bank USA | | | 457,444 | | | | (457,444 | ) | | | — | | | | — | | | | — | |
JPMorgan Chase Bank N.A. | | | 1,185,344 | | | | (797,706 | ) | | | — | | | | (270,000 | ) | | | 117,638 | |
Morgan Stanley & Co. International PLC | | | 2,393,217 | | | | (812,442 | ) | | | (1,564,654 | ) | | | — | | | | 16,121 | |
Natwest Markets PLC | | | 39,413 | | | | — | | | | — | | | | — | | | | 39,413 | |
Nomura International PLC | | | 8,434 | | | | (8,434 | ) | | | — | | | | — | | | | — | |
State Street Bank and Trust Co. | | | 82 | | | | — | | | | — | | | | — | | | | 82 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 10,451,553 | | | $ | (4,870,633 | ) | | $ | (2,095,198 | ) | | $ | (2,743,487 | ) | | $ | 742,235 | |
| | | | | | | | | | | | | | | | | | | | |
| | (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 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 may also include forward foreign currency exchange contracts that are not required to be collateralized. | |
| | (f) | 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 Trust’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments 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 | | $ | — | | | $ | 62,466,877 | | | $ | 2,843,303 | | | $ | 65,310,180 | |
Corporate Bonds | | | | | | | | | | | | | | | | |
Advertising Agencies | | | — | | | | 678,709 | | | | — | | | | 678,709 | |
Aerospace & Defense | | | — | | | | 12,648,583 | | | | — | | | | 12,648,583 | |
| | |
SCHEDULE OF INVESTMENTS | | 57 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) |
Fair Value Hierarchy as of Period End (continued)
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Corporate Bonds (continued) | | | | | | | | | | | | | | | | |
Airlines | | $ | — | | | $ | 9,768,428 | | | $ | — | | | $ | 9,768,428 | |
Auto Components | | | — | | | | 4,179,163 | | | | — | | | | 4,179,163 | |
Automobiles | | | — | | | | 10,238,223 | | | | — | | | | 10,238,223 | |
Banks | | | — | | | | 13,149,643 | | | | — | | | | 13,149,643 | |
Beverages | | | — | | | | 9,379,351 | | | | — | | | | 9,379,351 | |
Biotechnology | | | — | | | | 1,926,267 | | | | — | | | | 1,926,267 | |
Building Materials | | | — | | | | 2,249,003 | | | | — | | | | 2,249,003 | |
Building Products | | | — | | | | 5,807,445 | | | | — | | | | 5,807,445 | |
Capital Markets | | | — | | | | 18,902,869 | | | | — | | | | 18,902,869 | |
Chemicals | | | — | | | | 5,683,247 | | | | — | | | | 5,683,247 | |
Commercial Services & Supplies | | | — | | | | 2,371,603 | | | | — | | | | 2,371,603 | |
Communications Equipment | | | — | | | | 1,652,080 | | | | — | | | | 1,652,080 | |
Construction & Engineering | | | — | | | | 4,172,510 | | | | — | | | | 4,172,510 | |
Construction Materials | | | — | | | | 778,367 | | | | — | | | | 778,367 | |
Consumer Discretionary | | | — | | | | 5,065,893 | | | | — | | | | 5,065,893 | |
Consumer Finance | | | — | | | | 5,034,344 | | | | — | | | | 5,034,344 | |
Containers & Packaging | | | — | | | | 1,859,730 | | | | — | | | | 1,859,730 | |
Diversified Consumer Services | | | — | | | | 4,246,029 | | | | — | | | | 4,246,029 | |
Diversified Financial Services | | | — | | | | 36,798,882 | | | | — | | | | 36,798,882 | |
Diversified Telecommunication Services | | | — | | | | 34,272,673 | | | | — | | | | 34,272,673 | |
Education | | | — | | | | 721,523 | | | | — | | | | 721,523 | |
Electric Utilities | | | — | | | | 27,745,317 | | | | — | | | | 27,745,317 | |
Electrical Equipment | | | — | | | | 311,255 | | | | — | | | | 311,255 | |
Electronic Equipment, Instruments & Components | | | — | | | | 3,079,811 | | | | — | | | | 3,079,811 | |
Energy Equipment & Services | | | — | | | | 2,160,981 | | | | — | | | | 2,160,981 | |
Environmental, Maintenance & Security Service | | | — | | | | 1,648,349 | | | | — | | | | 1,648,349 | |
Equity Real Estate Investment Trusts (REITs) | | | — | | | | 11,098,471 | | | | — | | | | 11,098,471 | |
Food & Staples Retailing | | | — | | | | 5,325,507 | | | | — | | | | 5,325,507 | |
Food Products | | | — | | | | 1,750,948 | | | | — | | | | 1,750,948 | |
Gas Utilities | | | — | | | | 91,013 | | | | — | | | | 91,013 | |
Health Care Equipment & Supplies | | | — | | | | 2,929,683 | | | | — | | | | 2,929,683 | |
Health Care Providers & Services | | | — | | | | 17,033,544 | | | | — | | | | 17,033,544 | |
Health Care Technology | | | — | | | | 2,210,702 | | | | — | | | | 2,210,702 | |
Hotels, Restaurants & Leisure | | | — | | | | 13,646,622 | | | | 3,931,197 | | | | 17,577,819 | |
Household Durables | | | — | | | | 2,436,290 | | | | — | | | | 2,436,290 | |
Independent Power and Renewable Electricity Producers | | | — | | | | 3,378,328 | | | | — | | | | 3,378,328 | |
Industrial Conglomerates | | | — | | | | 213,451 | | | | — | | | | 213,451 | |
Insurance | | | — | | | | 26,551,273 | | | | — | | | | 26,551,273 | |
Interactive Media & Services | | | — | | | | 1,230,911 | | | | — | | | | 1,230,911 | |
Internet Software & Services | | | — | | | | 3,284,381 | | | | — | | | | 3,284,381 | |
IT Services | | | — | | | | 5,058,085 | | | | — | | | | 5,058,085 | |
Leisure Products | | | — | | | | 620,675 | | | | — | | | | 620,675 | |
Machinery | | | — | | | | 2,381,152 | | | | — | | | | 2,381,152 | |
Media | | | — | | | | 47,710,767 | | | | — | | | | 47,710,767 | |
Metals & Mining | | | — | | | | 8,514,270 | | | | — | | | | 8,514,270 | |
Multiline Retail | | | — | | | | 595,118 | | | | — | | | | 595,118 | |
Multi-Utilities | | | — | | | | 1,330,237 | | | | — | | | | 1,330,237 | |
Offshore Drilling & Other Services | | | — | | | | 716,504 | | | | — | | | | 716,504 | |
Oil, Gas & Consumable Fuels | | | 111,943 | | | | 57,945,919 | | | | 1,616,735 | | | | 59,674,597 | |
Personal Products | | | — | | | | 102,641 | | | | — | | | | 102,641 | |
Pharmaceuticals | | | — | | | | 19,403,071 | | | | — | | | | 19,403,071 | |
Real Estate Management & Development | | | — | | | | 17,031,010 | | | | — | | | | 17,031,010 | |
Road & Rail | | | — | | | | 9,151,089 | | | | — | | | | 9,151,089 | |
Semiconductors & Semiconductor Equipment | | | — | | | | 5,657,876 | | | | — | | | | 5,657,876 | |
Software | | | — | | | | 14,440,707 | | | | — | | | | 14,440,707 | |
Specialty Retail | | | — | | | | 2,182,492 | | | | — | | | | 2,182,492 | |
Technology Hardware, Storage & Peripherals | | | — | | | | 3,385,994 | | | | — | | | | 3,385,994 | |
Textiles, Apparel & Luxury Goods | | | — | | | | 445,241 | | | | — | | | | 445,241 | |
Thrifts & Mortgage Finance | | | — | | | | 412,089 | | | | — | | | | 412,089 | |
Tobacco | | | — | | | | 7,343,833 | | | | — | | | | 7,343,833 | |
Transportation | | | — | | | | 117,752 | | | | — | | | | 117,752 | |
Transportation Infrastructure | | | — | | | | 2,755,530 | | | | 766,309 | | | | 3,521,839 | |
Utilities | | | — | | | | 10,365,802 | | | | — | | | | 10,365,802 | |
| | |
| 58 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Core Bond Trust (BHK) |
Fair Value Hierarchy as of Period End (continued)
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Corporate Bonds (continued) | | | | | | | | | | | | | | | | |
Wireless Telecommunication Services | | $ | — | | | $ | 11,613,316 | | | $ | — | | | $ | 11,613,316 | |
Floating Rate Loan Interests | | | — | | | | 26,843,407 | | | | 580,932 | | | | 27,424,339 | |
Foreign Agency Obligations | | | — | | | | 27,875,615 | | | | — | | | | 27,875,615 | |
Municipal Bonds | | | — | | | | 27,333,732 | | | | — | | | | 27,333,732 | |
Non-Agency Mortgage-Backed Securities | | | — | | | | 54,260,328 | | | | — | | | | 54,260,328 | |
Preferred Securities | | | | | | | | | | | | | | | | |
Capital Trusts | | | — | | | | 53,709,473 | | | | — | | | | 53,709,473 | |
Preferred Stocks | | | 4,401,034 | | | | — | | | | — | | | | 4,401,034 | |
Trust Preferred | | | 825,366 | | | | — | | | | — | | | | 825,366 | |
U.S. Government Sponsored Agency Securities | | | — | | | | 208,967,360 | | | | — | | | | 208,967,360 | |
U.S. Treasury Obligations | | | — | | | | 298,257,230 | | | | — | | | | 298,257,230 | |
Short-Term Securities | | | | | | | | | | | | | | | | |
Money Market Funds | | | 25,976,159 | | | | — | | | | — | | | | 25,976,159 | |
Options Purchased | | | | | | | | | | | | | | | | |
Interest Rate Contracts | | | 23,375 | | | | 5,310,528 | | | | — | | | | 5,333,903 | |
Unfunded Floating Rate Loan Interests(a) | | | — | | | | 77 | | | | — | | | | 77 | |
Liabilities | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | |
TBA Sale Commitments | | | — | | | | (54,786,845 | ) | | | — | | | | (54,786,845 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 31,337,877 | | | $ | 1,257,230,354 | | | $ | 9,738,476 | | | $ | 1,298,306,707 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(b) | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Credit Contracts | | $ | — | | | $ | 187,799 | | | $ | — | | | $ | 187,799 | |
Interest Rate Contracts | | | 1,977,810 | | | | 3,911,154 | | | | — | | | | 5,888,964 | |
Liabilities | | | | | | | | | | | | | | | | |
Credit Contracts | | | — | | | | (533,216 | ) | | | — | | | | (533,216 | ) |
Foreign Currency Exchange Contracts | | | — | | | | (152,764 | ) | | | — | | | | (152,764 | ) |
Interest Rate Contracts | | | (767,745 | ) | | | (9,701,425 | ) | | | — | | | | (10,469,170 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 1,210,065 | | | $ | (6,288,452 | ) | | $ | — | | | $ | (5,078,387 | ) |
| | | | | | | | | | | | | | | | |
| | (a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. | |
| | (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 or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $405,521,969 are categorized as Level 2 within the fair value 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, 2020 | | $ | 27,859 | | | $ | 21,047 | | | $ | 7,038,030 | | | $ | 617,454 | | | $ | 7,704,390 | |
Transfers into Level 3 | | | 1,286,514 | | | | — | | | | — | | | | — | | | | 1,286,514 | |
Transfers out of Level 3 | | | — | | | | — | | | | — | | �� | | (215,995 | ) | | | (215,995 | ) |
Accrued discounts/premiums | | | (86,740 | ) | | | — | | | | 11,809 | | | | 1,513 | | | | (73,418 | ) |
Net realized gain (loss) | | | — | | | | — | | | | 57,444 | | | | 68 | | | | 57,512 | |
Net change in unrealized appreciation (depreciation)(a)(b) | | | 68,186 | | | | (13,823 | ) | | | (355,836 | ) | | | 1,804 | | | | (299,669 | ) |
Purchases | | | 1,547,484 | | | | — | | | | 6,891 | | | | 179,100 | | | | 1,733,475 | |
Sales | | | — | | | | (7,224 | ) | | | (444,097 | ) | | | (3,012 | ) | | | (454,333 | ) |
| | | | | | | | | | | | | | | | | | | | |
Closing balance, as of December 31, 2021 | | $ | 2,843,303 | | | $ | — | | | $ | 6,314,241 | | | $ | 580,932 | | | $ | 9,738,476 | |
| | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2021(b) | | $ | 68,186 | | | $ | — | | | $ | (366,103 | ) | | $ | 1,804 | | | $ | (296,113 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | (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, 2021 is generally due to investments no longer held or categorized as Level 3 at period end. | |
See notes to financial statements.
| | |
SCHEDULE OF INVESTMENTS | | 59 |
| | |
Consolidated Schedule of Investments December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
Asset-Backed Securities | |
AlbaCore EURO CLO I DAC, Series 1X, Class ER, (3 mo. EURIBOR + 5.96%), 5.96%, 10/18/34(a)(b) | | | EUR | | | | 100 | | | $ | 112,251 | |
Anchorage Capital Europe CLO 2 DAC, Series 2X, Class ER, (3 mo. EURIBOR + 6.45%), 6.45%, 04/15/34(a)(b) | | | | | | | 203 | | | | 226,817 | |
Ares XXXIIR CLO Ltd., Series 2014-32RA, Class B, (3 mo. LIBOR US + 1.80%), 1.96%, 05/15/30(b)(c) | | | USD | | | | 500 | | | | 495,886 | |
Aurium CLO II DAC, Series 2X, Class ERR, (3 mo EURIBOR + 6.08%), 6.08%, 06/22/34(a)(b) | | | EUR | | | | 100 | | | | 109,509 | |
BBAM European CLO I DAC, Series 1X, Class ER, (3 mo. EURIBOR + 5.91%), 5.91%, 07/22/34(a)(b) | | | | | | | 100 | | | | 112,184 | |
Bilbao CLO II DAC, Series 2X, Class DR, (3 mo. EURIBOR + 5.97%), 5.97%, 08/20/35(a)(b) | | | | | | | 100 | | | | 112,095 | |
BlueMountain Fuji Eur CLO IV DAC, Series 4X, Class ER, (3 mo. EURIBOR + 6.21%), 6.21%, 02/25/34(a)(b) | | | | | | | 100 | | | | 112,534 | |
Contego CLO IX DAC, Series 9X, Class E, (3 mo. EURIBOR + 6.01%), 6.01%, 01/24/34(a)(b) | | | | | | | 100 | | | | 111,808 | |
Contego CLO VIII DAC, Series 8X, Class ER, (3 mo. EURIBOR + 6.06%), 6.06%, 01/25/34(a)(b) | | | | | | | 100 | | | | 111,899 | |
CVC Cordatus Loan Fund XX DAC, Series 20X, Class E, (3 mo. EURIBOR + 5.61%), 5.61%, 06/22/34(a)(b) | | | | | | | 100 | | | | 111,149 | |
Galaxy XVIII CLO Ltd., Series 2018-28A, Class C, (3 mo. LIBOR US + 1.95%), 2.07%,
07/15/31(b)(c) | | | USD | | | | 250 | | | | 248,334 | |
Greene King Finance PLC(b) | | | | | | | | | | | | |
Series B1, (3 mo. LIBOR GBP + 1.80%), 1.90%, 12/15/34 | | | GBP | | | | 100 | | | | 110,996 | |
Series B2, (3 mo. LIBOR GBP + 2.08%), 2.18%, 03/15/36(a) | | | | | | | 100 | | | | 109,823 | |
Invesco Euro CLO, Series 6X, Class E, (3 mo. EURIBOR + 5.99%), 5.99%, 07/15/34(a)(b) | | | EUR | | | | 100 | | | | 111,501 | |
Neuberger Berman Loan Advisers Euro CLO 2 DAC, Series 2021-2X, Class E, (3 mo. EURIBOR + 6.06%), 6.06%, 04/15/34(a)(b) | | | | | | | 100 | | | | 111,956 | |
Northwoods Capital 21 Euro DAC, Series 2020-21X, Class ER, (3 mo. EURIBOR + 6.06%), 6.06%, 07/22/34(a)(b) | | | | | | | 100 | | | | 112,128 | |
Northwoods Capital 23 Euro DAC, Series 2021-23X, Class E, (3 mo. EURIBOR + 6.21%), 6.21%, 03/15/34(a)(b) | | | | | | | 100 | | | | 113,133 | |
OCP Euro CLO DAC, Series 2019-3X, Class ER, (3 mo. EURIBOR + 6.02%), 6.02%, 04/20/33(a)(b) | | | | | | | 100 | | | | 111,517 | |
Providus Clo III DAC, Series 3X, Class ER, (3 mo. EURIBOR + 6.26%), 6.26%, 07/18/34(a)(b) | | | | | | | 100 | | | | 113,557 | |
Rockfield Park CLO, Class D, (3 mo. EURIBOR + 5.95%), 5.95%, 07/16/34(a)(b) | | | | | | | 100 | | | | 112,080 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Unique Pub Finance Co. PLC, Series N, 6.46%, 03/30/32(a) | | | GBP | | | | 300 | | | $ | 487,153 | |
Voya Euro CLO, Class ER, (3 mo. EURIBOR + 6.02%), 6.02%, 07/15/35(a)(b) | | | EUR | | | | 100 | | | | 112,092 | |
| | | | | | | | | | | | |
| | |
Total Asset-Backed Securities — 0.2%
(Cost: $3,526,481) | | | | | | | | 3,470,402 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Shares | | | | |
| | | |
Common Stocks | | | | | | | | | | | | |
| | | |
| Auto Components — 0.0% | | | | | | | | | |
Lear Corp. | | | | | | | 227 | | | | 41,530 | |
| | | | | | | | | | | | |
| |
| Building Products — 0.0% | | | | |
AZEK Co., Inc.(d) | | | | | | | 1,120 | | | | 51,789 | |
| | | | | | | | | | | | |
| |
| Chemicals — 0.3% | | | | |
Diversey Holdings Ltd.(d) | | | | | | | 134,751 | | | | 1,793,536 | |
Element Solutions, Inc. | | | | | | | 99,334 | | | | 2,411,829 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 4,205,365 | |
| |
| Communications Equipment — 0.0% | | | | |
CommScope Holding Co., Inc.(d) | | | | | | | 47,956 | | | | 529,434 | |
| | | | | | | | | | | | |
| |
| Consumer Finance — 0.0% | | | | |
Ally Financial, Inc. | | | | | | | 1 | | | | 48 | |
| | | | | | | | | | | | |
| |
| Containers & Packaging — 0.1% | | | | |
ARDAGH MP USA, Inc., (Acquired 08/02/21, Cost: $1,599,352)(e) | | | | | | | 162,646 | | | | 1,468,693 | |
| | | | | | | | | | | | |
| |
| Diversified Financial Services(f) — 0.0% | | | | |
Kcad Holdings I Ltd. | | | | | | | 2,223,465,984 | | | | 22,235 | |
UCI International Remainco LLC | | | | | | | 109,729 | | | | 1 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 22,236 | |
| |
| Diversified Telecommunication Services — 0.0% | | | | |
Liberty Global PLC, Class A(d) | | | | | | | 1,859 | | | | 51,569 | |
| | | | | | | | | | | | |
| |
| Electrical Equipment — 0.1% | | | | |
Sensata Technologies Holding PLC(d) | | | | | | | 25,492 | | | | 1,572,602 | |
| | | | | | | | | | | | |
| |
| Equity Real Estate Investment Trusts (REITs) — 0.7% | | | | |
Gaming and Leisure Properties, Inc. | | | | | | | 84,514 | | | | 4,112,451 | |
VICI Properties, Inc. | | | | | | | 198,954 | | | | 5,990,505 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 10,102,956 | |
| |
| Hotels, Restaurants & Leisure — 0.1% | | | | |
Aramark | | | | | | | 28,378 | | | | 1,045,729 | |
| | | | | | | | | | | | |
| |
| Life Sciences Tools & Services(d) — 0.3% | | | | |
Avantor, Inc. | | | | | | | 56,168 | | | | 2,366,919 | |
Syneos Health, Inc. | | | | | | | 20,763 | | | | 2,131,945 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 4,498,864 | |
| |
| Media(d) — 0.1% | | | | |
Clear Channel Outdoor Holdings, Inc. | | | | | | | 482,919 | | | | 1,598,462 | |
Mediaco Holding, Inc., Class A | | | | | | | 912 | | | | 4,888 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,603,350 | |
| |
| Metals & Mining — 0.1% | | | | |
Constellium SE(d) | | | | | | | 115,056 | | | | 2,060,653 | |
| | | | | | | | | | | | |
| | |
| 60 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Shares | | | Value | |
|
| Oil, Gas & Consumable Fuels — 1.3% | |
Chesapeake Energy Corp.(g) | | | | | | | 118,098 | | | $ | 7,619,683 | |
Devon Energy Corp. | | | | | | | 13,230 | | | | 582,782 | |
Diamondback Energy, Inc. | | | | | | | 13,165 | | | | 1,419,845 | |
DTE Midstream LLC(d) | | | | | | | 27,210 | | | | 1,305,536 | |
Energy Transfer LP | | | | | | | 408,055 | | | | 3,358,293 | |
Enterprise Products Partners LP | | | | | | | 102,607 | | | | 2,253,250 | |
EQT Corp.(d) | | | | | | | 69,173 | | | | 1,508,663 | |
Hess Corp. | | | | | | | 5,403 | | | | 399,984 | |
Occidental Petroleum Corp. | | | | | | | 22,478 | | | | 651,637 | |
Western Midstream Partners LP | | | | | | | 13,487 | | | | 300,355 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 19,400,028 | |
|
| Road & Rail — 0.1% | |
Uber Technologies, Inc.(d) | | | | | | | 16,970 | | | | 711,552 | |
| | | | | | | | | | | | |
|
| Semiconductors & Semiconductor Equipment(d) — 0.1% | |
Globalfoundries, Inc. | | | | | | | 15,916 | | | | 1,034,062 | |
Maxeon Solar Technologies Ltd. | | | | | | | 128 | | | | 1,779 | |
SunPower Corp. | | | | | | | 1,025 | | | | 21,392 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,057,233 | |
|
| Software — 0.1% | |
Informatica, Inc., Class A, Class A(d) | | | | | | | 46,659 | | | | 1,725,450 | |
| | | | | | | | | | | | |
| | |
Total Common Stocks — 3.4%
(Cost: $62,078,048) | | | | | | | | 50,149,081 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Par
(000) | | | | |
|
Corporate Bonds | |
|
Aerospace & Defense — 4.3% | |
Amsted Industries, Inc., 5.63%, 07/01/27(c) | | | USD | | | | 890 | | | | 925,600 | |
Bombardier, Inc.(c) | | | | | | | | | | | | |
7.50%, 12/01/24 | | | | | | | 1,274 | | | | 1,327,349 | |
7.50%, 03/15/25 | | | | | | | 449 | | | | 457,419 | |
7.13%, 06/15/26 | | | | | | | 3,386 | | | | 3,512,670 | |
7.88%, 04/15/27 | | | | | | | 2,934 | | | | 3,042,851 | |
6.00%, 02/15/28 | | | | | | | 2,063 | | | | 2,069,251 | |
7.45%, 05/01/34 | | | | | | | 234 | | | | 286,650 | |
BWX Technologies, Inc.(c) | | | | | | | | | | | | |
4.13%, 06/30/28 | | | | | | | 1,415 | | | | 1,436,225 | |
4.13%, 04/15/29 | | | | | | | 991 | | | | 1,003,388 | |
EnPro Industries, Inc., 5.75%, 10/15/26 | | | | | | | 2,192 | | | | 2,290,640 | |
F-Brasile SpA/F-Brasile US LLC, Series XR, 7.38%, 08/15/26(c) | | | | | | | 2,295 | | | | 2,283,525 | |
Howmet Aerospace, Inc., 5.13%, 10/01/24 | | | | | | | 44 | | | | 47,410 | |
Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(c) | | | | 1,810 | | | | 1,859,775 | |
Rolls-Royce PLC, 5.75%, 10/15/27(c) | | | | | | | 3,313 | | | | 3,663,847 | |
Spirit AeroSystems, Inc., 5.50%, 01/15/25(c) | | | | | | | 866 | | | | 897,393 | |
TransDigm, Inc. | | | | | | | | | | | | |
8.00%, 12/15/25(c) | | | | | | | 1,221 | | | | 1,288,118 | |
6.25%, 03/15/26(c) | | | | | | | 28,020 | | | | 29,123,287 | |
6.38%, 06/15/26 | | | | | | | 638 | | | | 655,529 | |
7.50%, 03/15/27 | | | | | | | 445 | | | | 465,025 | |
4.63%, 01/15/29 | | | | | | | 1,492 | | | | 1,487,047 | |
4.88%, 05/01/29 | | | | | | | 1,665 | | | | 1,672,159 | |
Triumph Group, Inc., 8.88%, 06/01/24(c) | | | | | | | 3,523 | | | | 3,842,466 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 63,637,624 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
Airlines — 2.5% | | | | | | | | | | | | |
Air Canada, 3.88%, 08/15/26(c) | | | USD | | | | 1,881 | | | $ | 1,918,620 | |
Air France-KLM, 3.88%, 07/01/26(a) | | | EUR | | | | 100 | | | | 109,731 | |
American Airlines, Inc., 11.75%, 07/15/25(c) | | | USD | | | | 4,050 | | | | 4,996,687 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(c) | | | | | | | | | | | | |
5.50%, 04/20/26 | | | | | | | 2,791 | | | | 2,902,005 | |
5.75%, 04/20/29 | | | | | | | 4,762 | | | | 5,088,819 | |
Delta Air Lines, Inc., 7.00%, 05/01/25(c) | | | | | | | 751 | | | | 858,701 | |
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28(c) | | | | | | | 3,066 | | | | 3,348,015 | |
Deutsche Lufthansa AG(a) 2.88%, 02/11/25 | | | EUR | | | | 100 | | | | 114,116 | |
2.88%, 05/16/27 | | | | | | | 100 | | | | 111,364 | |
3.75%, 02/11/28 | | | | | | | 200 | | | | 229,156 | |
3.50%, 07/14/29 | | | | | | | 300 | | | | 337,280 | |
Finnair OYJ, 4.25%, 05/19/25(a) | | | | | | | 200 | | | | 230,537 | |
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 01/20/26(c) | | | USD | | | | 1,377 | | | | 1,440,686 | |
International Consolidated Airlines Group SA(a) | | | | | | | | | | | | |
2.75%, 03/25/25 | | | EUR | | | | 200 | | | | 222,324 | |
3.75%, 03/25/29 | | | | | | | 100 | | | | 111,072 | |
Series IAG, 1.13%, 05/18/28 | | | | | | | 200 | | | | 208,166 | |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(c) | | | USD | | | | 4,358 | | | | 4,652,165 | |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 09/20/25(c) | | | | | | | 216 | | | | 238,462 | |
United Airlines Pass-Through Trust | | | | | | | | | | | | |
Series 2020-1, Class A, 5.88%, 10/15/27 | | | | | | | 2,720 | | | | 2,979,235 | |
Series 2020-1, Class B, 4.88%, 01/15/26 | | | | | | | 251 | | | | 261,775 | |
United Airlines, Inc.(c)
4.38%, 04/15/26 | | | | | | | 2,515 | | | | 2,622,478 | |
4.63%, 04/15/29 | | | | | | | 2,975 | | | | 3,067,969 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 36,049,363 | |
| | | |
Auto Components — 2.0% | | | | | | | | | | | | |
Adient US LLC, 9.00%, 04/15/25(c) | | | | | | | 1,088 | | | | 1,156,000 | |
Clarios Global LP, 6.75%, 05/15/25(c) | | | | | | | 1,189 | | | | 1,245,478 | |
Clarios Global LP/Clarios US Finance Co.
4.38%, 05/15/26(a) | | | EUR | | | | 301 | | | | 351,109 | |
6.25%, 05/15/26(c) | | | USD | | | | 5,264 | | | | 5,507,460 | |
8.50%, 05/15/27(c) | | | | | | | 10,798 | | | | 11,445,880 | |
Dana Financing Luxembourg Sarl, 3.00%, 07/15/29(a) | | | EUR | | | | 100 | | | | 114,988 | |
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28(c) | | | USD | | | | 1,960 | | | | 2,040,203 | |
Dornoch Debt Merger Sub, Inc., 6.63%, 10/15/29(c) | | | | | | | 601 | | | | 593,488 | |
Faurecia SE(a) | | | | | | | | | | | | |
2.75%, 02/15/27 | | | EUR | | | | 156 | | | | 180,863 | |
3.75%, 06/15/28 | | | | | | | 100 | | | | 118,831 | |
2.38%, 06/15/29 | | | | | | | 100 | | | | 114,419 | |
Goodyear Tire & Rubber Co. | | | | | | | | | | | | |
9.50%, 05/31/25 | | | USD | | | | 1,085 | | | | 1,172,874 | |
5.00%, 07/15/29(c) | | | | | | | 724 | | | | 777,721 | |
5.25%, 07/15/31(c) | | | | | | | 1,017 | | | | 1,104,162 | |
5.63%, 04/30/33 | | | | | | | 1,717 | | | | 1,873,676 | |
Grupo Antolin-Irausa SA, 3.50%, 04/30/28(a) | | | EUR | | | | 146 | | | | 156,248 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 61 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Auto Components (continued) | |
IHO Verwaltungs GmbH, (4.63% PIK), 3.88%, 05/15/27(a)(h) | | | EUR | | | | 100 | | | $ | 116,127 | |
Leather 2 SpA, (3 mo. EURIBOR + 4.50%), 4.50%, 09/30/28(a)(b) | | | | | | | 100 | | | | 113,992 | |
Meritor, Inc., 4.50%, 12/15/28(c) | | | USD | | | | 383 | | | | 383,958 | |
Tenneco, Inc., 7.88%, 01/15/29(c) | | | | | | | 292 | | | | 315,360 | |
Titan International, Inc., 7.00%, 04/30/28 | | | | | | | 348 | | | | 370,620 | |
ZF Europe Finance BV, 2.00%, 02/23/26(a) | | | EUR | | | | 100 | | | | 114,362 | |
ZF Finance GmbH(a)
2.00%, 05/06/27 | | | | | | | 200 | | | | 227,449 | |
2.75%, 05/25/27 | | | | | | | 100 | | | | 116,641 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 29,711,909 | |
|
| Automobiles — 2.4% | |
Allison Transmission, Inc.(c)
5.88%, 06/01/29 | | | USD | | | | 1,991 | | | | 2,165,212 | |
3.75%, 01/30/31 | | | | | | | 1,302 | | | | 1,269,450 | |
Asbury Automotive Group, Inc.
4.50%, 03/01/28 | | | | | | | 751 | | | | 766,020 | |
4.75%, 03/01/30 | | | | | | | 732 | | | | 743,895 | |
5.00%, 02/15/32(c) | | | | | | | 953 | | | | 988,928 | |
Carvana Co.(c)
5.50%, 04/15/27 | | | | | | | 1,524 | | | | 1,508,760 | |
4.88%, 09/01/29 | | | | | | | 1,222 | | | | 1,163,955 | |
Constellation Automotive Financing PLC, 4.88%, 07/15/27(a) | | | GBP | | | | 100 | | | | 133,149 | |
Ford Motor Co.
3.25%, 02/12/32 | | | USD | | | | 3,346 | | | | 3,426,304 | |
4.75%, 01/15/43 | | | | | | | 426 | | | | 470,198 | |
5.29%, 12/08/46 | | | | | | | 532 | | | | 625,233 | |
Ford Motor Credit Co. LLC
3.81%, 01/09/24 | | | | | | | 2,063 | | | | 2,139,826 | |
4.69%, 06/09/25 | | | | | | | 200 | | | | 215,000 | |
5.13%, 06/16/25 | | | | | | | 1,751 | | | | 1,904,212 | |
4.13%, 08/04/25 | | | | | | | 2,166 | | | | 2,298,667 | |
3.38%, 11/13/25 | | | | | | | 489 | | | | 508,032 | |
4.39%, 01/08/26 | | | | | | | 507 | | | | 546,293 | |
2.70%, 08/10/26 | | | | | | | 1,611 | | | | 1,625,096 | |
4.13%, 08/17/27 | | | | | | | 644 | | | | 695,121 | |
3.82%, 11/02/27 | | | | | | | 200 | | | | 211,462 | |
2.90%, 02/16/28 | | | | | | | 1,644 | | | | 1,648,110 | |
5.11%, 05/03/29 | | | | | | | 978 | | | | 1,111,252 | |
4.00%, 11/13/30 | | | | | | | 1,221 | | | | 1,313,552 | |
Group 1 Automotive, Inc., 4.00%, 08/15/28(c) | | | | | | | 243 | | | | 242,089 | |
Jaguar Land Rover Automotive PLC(a)
6.88%, 11/15/26 | | | EUR | | | | 100 | | | | 128,938 | |
4.50%, 07/15/28 | | | | | | | 138 | | | | 159,823 | |
Ken Garff Automotive LLC, 4.88%, 09/15/28(c) | | | USD | | | | 680 | | | | 680,850 | |
LCM Investments Holdings II LLC, 4.88%, 05/01/29(c) | | | | | | | 1,552 | | | | 1,594,959 | |
Lithia Motors, Inc., 3.88%, 06/01/29(c) | | | | | | | 721 | | | | 736,069 | |
MajorDrive Holdings IV LLC, 6.38%, 06/01/29(c) | | | | | | | 975 | | | | 943,313 | |
Penske Automotive Group, Inc.
3.50%, 09/01/25 | | | | | | | 1,040 | | | | 1,063,400 | |
3.75%, 06/15/29 | | | | | | | 377 | | | | 373,701 | |
RCI Banque SA, (5 year EUR Swap + 2.85%), 2.63%, 02/18/30(a)(b) | | | EUR | | | | 100 | | | | 114,077 | |
Renault SA, 2.38%, 05/25/26(a) | | | | | | | 100 | | | | 114,562 | |
Sonic Automotive, Inc., 4.63%, 11/15/29(c) | | | USD | | | | 362 | | | | 365,439 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Automobiles (continued) | |
Volvo Car AB, 2.50%, 10/07/27(a) | | | EUR | | | | 100 | | | $ | 122,730 | |
Wabash National Corp., 4.50%, 10/15/28(c) | | | USD | | | | 1,192 | | | | 1,203,920 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 35,321,597 | |
|
| Banks — 0.7% | |
American Finance Trust, Inc./American Finance Operating Partner LP, 4.50%, 09/30/28(c) | | | | | | | 354 | | | | 356,605 | |
Banca Monte dei Paschi di Siena SpA(a)
2.63%, 04/28/25 | | | EUR | | | | 125 | | | | 142,142 | |
1.88%, 01/09/26 | | | | | | | 100 | | | | 110,719 | |
Banco BPM SpA(a)(b) | | | | | | | | | | | | |
(5 year EUR Swap + 3.17%), 2.88%, 06/29/31 | | | | | | | 275 | | | | 308,913 | |
(5 year EUR Swap + 5.42%), 5.00%, 09/14/30 | | | | | | | 100 | | | | 121,467 | |
Banco de Sabadell SA, (5 year EUR Swap + 2.20%), 2.00%, 01/17/30(a)(b) | | | | | | | 300 | | | | 335,146 | |
Banco Espirito Santo SA(i)
4.75%, 01/15/22 | | | | | | | 1,900 | | | | 313,657 | |
4.00%, 01/21/22 | | | | | | | 1,100 | | | | 181,591 | |
Bank of Cyprus Pcl, (5 year EUR Swap + 2.79%), 2.50%, 06/24/27(a)(b) | | | | | | | 200 | | | | 217,453 | |
CIT Group, Inc., 6.00%, 04/01/36 | | | USD | | | | 3,261 | | | | 3,789,934 | |
Commerzbank AG, (5 year EUR Swap + 6.36%), 6.13%(a)(b)(j) | | | EUR | | | | 400 | | | | 495,817 | |
HSBC Bank PLC, Series 1M, (6 mo. LIBOR US + 0.25%), 0.75%(b)(j) | | | USD | | | | 170 | | | | 157,250 | |
Intesa Sanpaolo SpA
5.15%, 06/10/30(a) | | | GBP | | | | 125 | | | | 188,882 | |
(1 year CMT + 2.60%), 4.20%, 06/01/32(b)(c) | | | USD | | | | 855 | | | | 862,417 | |
(1 year CMT + 2.75%), 4.95%, 06/01/42(b)(c) | | | | | | | 630 | | | | 647,261 | |
(5 year EUR Swap + 5.75%), 5.88%, 03/04/29(a)(b) | | | EUR | | | | 200 | | | | 249,672 | |
Wells Fargo & Co., (5 year CMT + 3.45%), 3.90%(b)(j) | | | USD | | | | 2,130 | | | | 2,188,575 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,667,501 | |
|
| Beverages — 2.0% | �� |
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(c)(h) | | | | | | | 4,612 | | | | 4,750,720 | |
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC | | | | | | | | | | | | |
2.00%, 09/01/28(a) | | | EUR | | | | 148 | | | | 166,476 | |
3.00%, 09/01/29(a) | | | | | | | 143 | | | | 159,346 | |
4.00%, 09/01/29(c) | | | USD | | | | 5,195 | | | | 5,146,946 | |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.(c) | | | | | | | | | | | | |
4.13%, 08/15/26 | | | | | | | 1,138 | | | | 1,163,605 | |
4.75%, 07/15/27 | | | GBP | | | | 427 | | | | 577,498 | |
5.25%, 08/15/27 | | | USD | | | | 3,429 | | | | 3,450,431 | |
Ball Corp.
2.88%, 08/15/30 | | | | | | | 151 | | | | 146,470 | |
3.13%, 09/15/31 | | | | | | | 2,259 | | | | 2,230,762 | |
Canpack SA/Canpack US LLC, 3.13%, 11/01/25(c) | | | | | | | 584 | | | | 585,460 | |
Crown Cork & Seal Co., Inc., 7.38%, 12/15/26 | | | | | | | 155 | | | | 186,969 | |
Mauser Packaging Solutions Holding Co., 5.50%, 04/15/24(c) | | | | | | | 2,321 | | | | 2,342,284 | |
Silgan Holdings, Inc., 4.13%, 02/01/28 | | | | | | | 51 | | | | 52,084 | |
Trivium Packaging Finance BV(c)
5.50%, 08/15/26 | | | | | | | 2,693 | | | | 2,800,720 | |
8.50%, 08/15/27 | | | | | | | 5,584 | | | | 5,905,080 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 29,664,851 | |
| | |
| 62 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Biotechnology(a) — 0.0% | |
Cidron Aida Finco Sarl
5.00%, 04/01/28 | | | EUR | | | | 105 | | | $ | 119,990 | |
6.25%, 04/01/28 | | | GBP | | | | 133 | | | | 177,772 | |
Grifols Escrow Issuer SA, 3.88%, 10/15/28 | | | EUR | | | | 100 | | | | 114,234 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 411,996 | |
|
| Building Materials — 1.4% | |
Builders FirstSource, Inc., 6.75%, 06/01/27(c) | | | USD | | | | 538 | | | | 567,590 | |
Cornerstone Building Brands, Inc., 6.13%, 01/15/29(c) | | | | | | | 1,781 | | | | 1,903,622 | |
CP Atlas Buyer, Inc., 7.00%, 12/01/28(c) | | | | | | | 1,919 | | | | 1,909,405 | |
Forterra Finance LLC/FRTA Finance Corp., 6.50%, 07/15/25(c) | | | | | | | 1,430 | | | | 1,517,659 | |
HT Troplast GmbH, 9.25%, 07/15/25(a) | | | EUR | | | | 128 | | | | 156,715 | |
James Hardie International Finance DAC, 5.00%, 01/15/28(c) | | | USD | | | | 458 | | | | 476,320 | |
Jeld-Wen, Inc.(c)
6.25%, 05/15/25 | | | | | | | 852 | | | | 890,340 | |
4.63%, 12/15/25 | | | | | | | 321 | | | | 323,408 | |
4.88%, 12/15/27 | | | | | | | 99 | | | | 101,588 | |
Masonite International Corp.(c)
3.50%, 02/15/30 | | | | | | | 1,179 | | | | 1,165,736 | |
Class C, 5.38%, 02/01/28 | | | | | | | 239 | | | | 250,651 | |
New Enterprise Stone & Lime Co., Inc.(c)
5.25%, 07/15/28 | | | | | | | 435 | | | | 441,090 | |
9.75%, 07/15/28 | | | | | | | 640 | | | | 684,800 | |
Patrick Industries, Inc., 4.75%, 05/01/29(c) | | | | | | | 354 | | | | 352,230 | |
PCF GmbH(a)
4.75%, 04/15/26 | | | EUR | | | | 100 | | | | 117,408 | |
(3 mo. EURIBOR + 4.75%), 4.75%, 04/15/26(b) | | | | | | | 100 | | | | 115,505 | |
SRM Escrow Issuer LLC, 6.00%, 11/01/28(c) | | | USD | | | | 2,633 | | | | 2,810,859 | |
Standard Industries, Inc.
2.25%, 11/21/26(a) | | | EUR | | | | 134 | | | | 149,365 | |
5.00%, 02/15/27(c) | | | USD | | | | 576 | | | | 592,934 | |
4.38%, 07/15/30(c) | | | | | | | 3,299 | | | | 3,366,646 | |
3.38%, 01/15/31(c) | | | | | | | 567 | | | | 546,186 | |
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29(c) | | | | | | | 923 | | | | 966,750 | |
Victors Merger Corp., 6.38%, 05/15/29(c) | | | | | | | 927 | | | | 871,380 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 20,278,187 | |
|
| Building Products(c) — 1.3% | |
Advanced Drainage Systems, Inc., 5.00%, 09/30/27 | | | | | | | 1,464 | | | | 1,513,410 | |
Beacon Roofing Supply, Inc., 4.13%, 05/15/29 | | | | | | | 552 | | | | 551,707 | |
Foundation Building Materials, Inc., 6.00%, 03/01/29 | | | | | | | 1,037 | | | | 1,018,853 | |
GYP Holdings III Corp., 4.63%, 05/01/29 | | | | | | | 1,296 | | | | 1,299,240 | |
LBM Acquisition LLC, 6.25%, 01/15/29 | | | | | | | 2,713 | | | | 2,682,479 | |
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26 | | | | | | | 1,130 | | | | 1,184,319 | |
SRS Distribution, Inc.
4.63%, 07/01/28 | | | | | | | 2,397 | | | | 2,405,989 | |
6.13%, 07/01/29 | | | | | | | 1,994 | | | | 2,032,125 | |
6.00%, 12/01/29 | | | | | | | 1,974 | | | | 1,983,870 | |
White Cap Buyer LLC, 6.88%, 10/15/28 | | | | | | | 2,499 | | | | 2,605,207 | |
White Cap Parent LLC, (9.00% PIK), 8.25%, 03/15/26(h) | | | | | | | 1,165 | | | | 1,191,213 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 18,468,412 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Capital Markets — 1.3% | |
Aretec Escrow Issuer, Inc., 7.50%, 04/01/29(c) | | | USD | | | | 613 | | | $ | 627,320 | |
Charles Schwab Corp., Series H, (10 year CMT + 3.08%), 4.00%(b)(j) | | | | | | | 4,775 | | | | 4,822,750 | |
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29(c) | | | | | | | 1,129 | | | | 1,182,627 | |
ESC Lehman Brothers Holding Production, 1.00%(i)(j) | | | | | | | 1,535 | | | | 8,442 | |
GLP Capital LP/GLP Financing II, Inc., 3.25%, 01/15/32 | | | | | | | 245 | | | | 246,321 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | | | | | | | | | | | | |
4.75%, 09/15/24 | | | | | | | 591 | | | | 613,162 | |
6.25%, 05/15/26 | | | | | | | 696 | | | | 724,710 | |
5.25%, 05/15/27 | | | | | | | 1,758 | | | | 1,807,980 | |
4.38%, 02/01/29 | | | | | | | 1,029 | | | | 1,003,275 | |
Lehman Brothers Holding Escrow,
1.00%(i)(j) | | | | | | | 430 | | | | 2,365 | |
Lehman Brothers Holdings, Inc.(i)
5.38%, 10/17/12 | | | EUR | | | | 350 | | | | 2,590 | |
1.00%, 02/05/22 | | | | | | | 3,950 | | | | 29,231 | |
4.75%, 01/16/49 | | | | | | | 1,890 | | | | 13,986 | |
NFP Corp.(c)
4.88%, 08/15/28 | | | USD | | | | 2,374 | | | | 2,397,740 | |
6.88%, 08/15/28 | | | | | | | 5,098 | | | | 5,111,153 | |
Sherwood Financing PLC(a)
6.00%, 11/15/26 | | | GBP | | | | 100 | | | | 135,044 | |
(3 mo. EURIBOR + 4.63%), 4.63%, 11/15/27(b) | | | EUR | | | | 100 | | | | 114,135 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 18,842,831 | |
|
| Chemicals — 2.7% | |
Ashland LLC, 3.38%, 09/01/31(c) | | | USD | | | | 1,861 | | | | 1,847,043 | |
Axalta Coating Systems LLC, 3.38%, 02/15/29(c) | | | | | | | 922 | | | | 892,035 | |
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27(c) | | | | | | | 376 | | | | 391,980 | |
Chemours Co.
4.00%, 05/15/26 | | | EUR | | | | 200 | | | | 230,262 | |
5.75%, 11/15/28(c) | | | USD | | | | 609 | | | | 637,239 | |
Diamond (BC) B.V., 4.63%, 10/01/29(c) | | | | | | | 1,488 | | | | 1,476,051 | |
Element Solutions, Inc., 3.88%, 09/01/28(c) | | | | | | | 6,655 | | | | 6,688,275 | |
EverArc Escrow Sarl, 5.00%, 10/30/29(c) | | | | | | | 2,883 | | | | 2,885,133 | |
GCP Applied Technologies, Inc., 5.50%, 04/15/26(c) | | | | | | | 791 | | | | 810,775 | |
HB Fuller Co., 4.25%, 10/15/28 | | | | | | | 541 | | | | 557,230 | |
Herens Holdco Sarl, 4.75%, 05/15/28(c) | | | | | | | 1,756 | | | | 1,720,880 | |
Herens Midco Sarl, 5.25%, 05/15/29(a) | | | EUR | | | | 202 | | | | 215,697 | |
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(c) | | | USD | | | | 1,692 | | | | 1,804,383 | |
Ingevity Corp., 3.88%, 11/01/28(c) | | | | | | | 494 | | | | 481,033 | |
Kobe US Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26(c)(h) | | | | | | | 1,238 | | | | 1,262,760 | |
Kraton Polymers LLC/Kraton Polymers Capital Corp., 5.25%, 05/15/26(a) | | | EUR | | | | 100 | | | | 116,764 | |
LSF11 A5 HoldCo LLC, 6.63%, 10/15/29(c) | | | USD | | | | 610 | | | | 600,850 | |
Lune Holdings Sarl, 5.63%, 11/15/28(a) | | | EUR | | | | 150 | | | | 170,775 | |
Minerals Technologies, Inc., 5.00%, 07/01/28(c) | | | USD | | | | 878 | | | | 910,091 | |
Monitchem HoldCo 2 SA, 9.50%, 09/15/26(a) | | | EUR | | | | 100 | | | | 121,819 | |
Monitchem HoldCo 3 SA, 5.25%, 03/15/25(a) | | | | | | | 222 | | | | 257,991 | |
Nobian Finance BV, 3.63%, 07/15/26(a) | | | | | | | 100 | | | | 112,569 | |
NOVA Chemicals Corp., 4.88%, 06/01/24(c) | | | USD | | | | 456 | | | | 470,820 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 63 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Chemicals (continued) | | | | | |
Olympus Water US Holding Corp.(a)
3.88%, 10/01/28 | | | EUR | | | | 100 | | | $ | 114,135 | |
5.38%, 10/01/29 | | | | | | | 100 | | | | 109,865 | |
SCIH Salt Holdings, Inc., 6.63%, 05/01/29(c) | | | USD | | | | 757 | | | | 707,795 | |
SCIL IV LLC/SCIL USA Holdings LLC
4.38%, 11/01/26(a) | | | EUR | | | | 100 | | | | 115,700 | |
5.38%, 11/01/26(c) | | | USD | | | | 1,284 | | | | 1,317,705 | |
Scotts Miracle-Gro Co.(c)
4.00%, 04/01/31 | | | | | | | 1,397 | | | | 1,379,538 | |
4.38%, 02/01/32 | | | | | | | 146 | | | | 145,635 | |
SPCM SA, 3.13%, 03/15/27(c) | | | | | | | 512 | | | | 505,948 | |
WESCO Distribution, Inc.(c)
7.13%, 06/15/25 | | | | | | | 1,940 | | | | 2,056,400 | |
7.25%, 06/15/28 | | | | | | | 2,744 | | | | 3,008,110 | |
WR Grace Holdings LLC, 5.63%, 08/15/29(c) | | | | | | | 5,255 | | | | 5,379,806 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 39,503,092 | |
Commercial Services & Supplies — 1.5% | | | | | | | | | | | | |
Albion Financing 1 SARL/Aggreko Holdings, Inc., 6.13%, 10/15/26(c) | | | | | | | 940 | | | | 949,400 | |
AMN Healthcare, Inc., 4.00%, 04/15/29(c) | | | | | | | 502 | | | | 508,903 | |
APX Group, Inc.(c)
6.75%, 02/15/27 | | | | | | | 1,620 | | | | 1,701,000 | |
5.75%, 07/15/29 | | | | | | | 1,478 | | | | 1,455,830 | |
ASGN, Inc., 4.63%, 05/15/28(c) | | | | | | | 351 | | | | 363,390 | |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.38%, 03/01/29(c) | | | | | | | 588 | | | | 620,234 | |
BCP V Modular Services Finance II PLC(a)
4.75%, 11/30/28 | | | EUR | | | | 300 | | | | 344,112 | |
6.13%, 11/30/28 | | | GBP | | | | 100 | | | | 134,678 | |
EC Finance PLC, 3.00%, 10/15/26(a) | | | EUR | | | | 209 | | | | 243,300 | |
Fortress Transportation & Infrastructure Investors LLC(c)
6.50%, 10/01/25 | | | USD | | | | 386 | | | | 399,028 | |
9.75%, 08/01/27 | | | | | | | 261 | | | | 292,320 | |
5.50%, 05/01/28 | | | | | | | 1,713 | | | | 1,745,718 | |
Herc Holdings, Inc., 5.50%, 07/15/27(c) | | | | | | | 2,391 | | | | 2,486,640 | |
Hertz Corp.(c)
4.63%, 12/01/26 | | | | | | | 666 | | | | 670,163 | |
5.00%, 12/01/29 | | | | | | | 1,064 | | | | 1,064,910 | |
House of Finance NV, 4.38%, 07/15/26(a) | | | EUR | | | | 100 | | | | 115,159 | |
Loxam SAS(a)
4.25%, 04/15/24 | | | | | | | 100 | | | | 114,562 | |
3.25%, 01/14/25 | | | | | | | 268 | | | | 305,759 | |
3.75%, 07/15/26 | | | | | | | 115 | | | | 132,891 | |
Metis Merger Sub LLC, 6.50%, 05/15/29(c) | | | USD | | | | 1,185 | | | | 1,163,895 | |
NESCO Holdings II, Inc., 5.50%, 04/15/29(c) | | | | | | | 1,353 | | | | 1,396,972 | |
Paprec Holding SA, 3.50%, 07/01/28(a) | | | EUR | | | | 100 | | | | 115,239 | |
PECF USS Intermediate Holding III Corp., 8.00%, 11/15/29(c) | | | USD | | | | 1,195 | | | | 1,237,422 | |
Prime Security Services Borrower LLC/Prime Finance, Inc.(c)
5.75%, 04/15/26 | | | | | | | 653 | | | | 701,107 | |
3.38%, 08/31/27 | | | | | | | 82 | | | | 79,162 | |
6.25%, 01/15/28 | | | | | | | 1,039 | | | | 1,083,157 | |
Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29(c) | | | | | | | 1,872 | | | | 1,909,440 | |
United Rentals North America, Inc., 5.25%, 01/15/30 | | | | | | | 496 | | | | 536,920 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Commercial Services & Supplies (continued) | | | | | |
Verisure Holding AB, 3.88%, 07/15/26(a) | | | EUR | | | | 140 | | | $ | 162,132 | |
Verisure Midholding AB, 5.25%, 02/15/29(a) | | | | | | | 181 | | | | 208,655 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 22,242,098 | |
Communications Equipment — 1.2% | | | | | | | | | | | | |
Avaya, Inc., 6.13%, 09/15/28(c) | | | USD | | | | 2,743 | | | | 2,907,580 | |
CommScope Technologies LLC, 6.00%, 06/15/25(c) | | | | | | | 1,617 | | | | 1,617,000 | |
CommScope, Inc.(c)
6.00%, 03/01/26 | | | | | | | 853 | | | | 878,590 | |
8.25%, 03/01/27 | | | | | | | 578 | | | | 594,005 | |
7.13%, 07/01/28 | | | | | | | 1,901 | | | | 1,867,733 | |
4.75%, 09/01/29 | | | | | | | 2,611 | | | | 2,594,838 | |
Nokia OYJ, 4.38%, 06/12/27 | | | | | | | 439 | | | | 474,120 | |
ViaSat, Inc.(c)
5.63%, 04/15/27 | | | | | | | 2,710 | | | | 2,793,197 | |
6.50%, 07/15/28 | | | | | | | 2,431 | | | | 2,437,077 | |
Viavi Solutions, Inc., 3.75%, 10/01/29(c) | | | | | | | 1,600 | | | | 1,599,920 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 17,764,060 | |
Construction Materials(c) — 0.5% | | | | | | | | | | | | |
American Builders & Contractors Supply Co., Inc.
4.00%, 01/15/28 | | | | | | | 357 | | | | 365,293 | |
3.88%, 11/15/29 | | | | | | | 252 | | | | 251,370 | |
BCPE Empire Holdings, Inc., 7.63%, 05/01/27 | | | | | | | 601 | | | | 613,663 | |
H&E Equipment Services, Inc., 3.88%, 12/15/28 | | | | | | | 358 | | | | 355,315 | |
IAA, Inc., 5.50%, 06/15/27 | | | | | | | 1,538 | | | | 1,593,753 | |
Picasso Finance Sub, Inc., 6.13%, 06/15/25 | | | | | | | 1,652 | | | | 1,726,340 | |
Thor Industries, Inc., 4.00%, 10/15/29 | | | | | | | 909 | | | | 899,910 | |
Williams Scotsman International, Inc.,
4.63%, 08/15/28 | | | | | | | 1,196 | | | | 1,234,870 | |
Winnebago Industries, Inc., 6.25%, 07/15/28 | | | | | | | 703 | | | | 752,730 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,793,244 | |
Consumer Discretionary — 2.6% | | | | | | | | | | | | |
APi Escrow Corp., 4.75%, 10/15/29(c) | | | | | | | 542 | | | | 552,840 | |
APi Group DE, Inc., 4.13%, 07/15/29(c) | | | | | | | 727 | | | | 730,635 | |
Carnival Corp.
10.13%, 02/01/26(a) | | | EUR | | | | 201 | | | | 258,484 | |
10.50%, 02/01/26(c) | | | USD | | | | 2,076 | | | | 2,369,744 | |
7.63%, 03/01/26(a) | | | EUR | | | | 128 | | | | 153,014 | |
5.75%, 03/01/27(c) | | | USD | | | | 4,636 | | | | 4,636,000 | |
9.88%, 08/01/27(c) | | | | | | | 1,778 | | | | 2,031,747 | |
4.00%, 08/01/28(c) | | | | | | | 5,683 | | | | 5,640,377 | |
6.00%, 05/01/29(c) | | | | | | | 2,921 | | | | 2,906,395 | |
CoreLogic, Inc., 4.50%, 05/01/28(c) | | | | | | | 2,584 | | | | 2,574,181 | |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, 02/01/26(c) | | | | | | | 561 | | | | 563,805 | |
Life Time, Inc.(c)
5.75%, 01/15/26 | | | | | | | 1,307 | | | | 1,352,745 | |
8.00%, 04/15/26 | | | | | | | 915 | | | | 958,847 | |
NCL Corp. Ltd.(c)
10.25%, 02/01/26 | | | | | | | 411 | | | | 478,051 | |
5.88%, 03/15/26 | | | | | | | 1,627 | | | | 1,619,792 | |
NCL Finance Ltd., 6.13%, 03/15/28(c) | | | | | | | 1,769 | | | | 1,742,465 | |
Nielsen Finance LLC/Nielsen Finance Co.(c)
5.63%, 10/01/28 | | | | | | | 1,905 | | | | 1,966,913 | |
5.88%, 10/01/30 | | | | | | | 1,190 | | | | 1,256,450 | |
Royal Caribbean Cruises Ltd.(c)
10.88%, 06/01/23 | | | | | | | 505 | | | | 551,715 | |
9.13%, 06/15/23 | | | | | | | 884 | | | | 934,830 | |
| | |
| 64 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Consumer Discretionary (continued) | | | | | | | | | | | | |
Royal Caribbean Cruises Ltd.(c) (continued) | | | | | | | | | | | | |
11.50%, 06/01/25 | | | USD | | | | 725 | | | $ | 812,000 | |
5.50%, 08/31/26 | | | | | | | 575 | | | | 584,660 | |
5.50%, 04/01/28 | | | | | | | 2,179 | | | | 2,204,189 | |
Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 07/30/26(a) | | | EUR | | | | 176 | | | | 205,796 | |
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29(c) | | | USD | | | | 973 | | | | 971,784 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 38,057,459 | |
Consumer Finance — 2.7% | | | | | | | | | | | | |
American Express Co., (5 year CMT + 2.85%), 3.55%(b)(j) | | | | | | | 4,020 | | | | 4,027,035 | |
Block, Inc., 3.50%, 06/01/31(c) | | | | | | | 3,246 | | | | 3,327,150 | |
Encore Capital Group, Inc.(a) | | | | | | | | | | | | |
4.88%, 10/15/25 | | | EUR | | | | 100 | | | | 118,546 | |
5.38%, 02/15/26 | | | GBP | | | | 100 | | | | 140,092 | |
4.25%, 06/01/28 | | | | | | | 159 | | | | 212,227 | |
HealthEquity, Inc., 4.50%, 10/01/29(c) | | | USD | | | | 2,217 | | | | 2,194,830 | |
Iron Mountain UK PLC, 3.88%, 11/15/25(a) | | | GBP | | | | 200 | | | | 272,031 | |
MoneyGram International, Inc., 5.38%, 08/01/26(c) | | | USD | | | | 584 | | | | 592,760 | |
MPH Acquisition Holdings LLC, 5.50%, 09/01/28(c) | | | | | | | 1,709 | | | | 1,732,499 | |
Navient Corp. | | | | | | | | | | | | |
6.13%, 03/25/24 | | | | | | | 1,297 | | | | 1,382,926 | |
5.88%, 10/25/24 | | | | | | | 665 | | | | 709,056 | |
5.50%, 03/15/29 | | | | | | | 1,461 | | | | 1,457,348 | |
Nexi SpA, 0.00%, 02/24/28(a)(k) | | | EUR | | | | 100 | | | | 106,928 | |
OneMain Finance Corp. | | | | | | | | | | | | |
6.88%, 03/15/25 | | | USD | | | | 585 | | | | 650,813 | |
7.13%, 03/15/26 | | | | | | | 2,395 | | | | 2,730,300 | |
3.50%, 01/15/27 | | | | | | | 1,527 | | | | 1,509,821 | |
6.63%, 01/15/28 | | | | | | | 720 | | | | 806,400 | |
5.38%, 11/15/29 | | | | | | | 51 | | | | 55,452 | |
4.00%, 09/15/30 | | | | | | | 17 | | | | 16,717 | |
Sabre GLBL, Inc.(c) | | | | | | | | | | | | |
9.25%, 04/15/25 | | | | | | | 2,578 | | | | 2,913,140 | |
7.38%, 09/01/25 | | | | | | | 1,322 | | | | 1,381,490 | |
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(c) | | | | | | | 1,814 | | | | 1,879,322 | |
SLM Corp., 3.13%, 11/02/26 | | | | | | | 930 | | | | 920,700 | |
Verscend Escrow Corp., 9.75%, 08/15/26(c) | | | | | | | 9,470 | | | | 10,066,043 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 39,203,626 | |
Containers & Packaging — 0.3% | | | | | | | | | | | | |
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26 | | | | | | | 433 | | | | 462,227 | |
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26 | | | | | | | 439 | | | | 449,975 | |
Graphic Packaging International LLC | | | | | | | | | | | | |
4.75%, 07/15/27(c) | | | | | | | 574 | | | | 619,920 | |
3.50%, 03/15/28(c) | | | | | | | 67 | | | | 66,833 | |
2.63%, 02/01/29(a) | | | EUR | | | | 100 | | | | 115,956 | |
3.50%, 03/01/29(c) | | | USD | | | | 156 | | | | 154,830 | |
Intertape Polymer Group, Inc., 4.38%, 06/15/29(c) | | | | | | | 741 | | | | 741,000 | |
Kleopatra Finco Sarl, 4.25%, 03/01/26(a) | | | EUR | | | | 100 | | | | 109,723 | |
LABL, Inc., 5.88%, 11/01/28(c) | | | USD | | | | 1,415 | | | | 1,458,334 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Containers & Packaging (continued) | | | | | | | | | | | | |
Sealed Air Corp.(c) | | | | | | | | | | | | |
5.13%, 12/01/24 | | | USD | | | | 142 | | | $ | 151,940 | |
4.00%, 12/01/27 | | | | | | | 412 | | | | 429,358 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,760,096 | |
Diversified Consumer Services — 2.6% | | | | | | | | | | | | |
Allied Universal Holdco LLC/Allied Universal Finance Corp.(c) | | | | | | | | | | | | |
6.63%, 07/15/26 | | | | | | | 8,582 | | | | 9,004,234 | |
9.75%, 07/15/27 | | | | | | | 3,625 | | | | 3,873,041 | |
6.00%, 06/01/29 | | | | | | | 2,563 | | | | 2,492,517 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl | | | | | | | | | | | | |
3.63%, 06/01/28(a) | | | EUR | | | | 117 | | | | 130,074 | |
4.63%, 06/01/28(c) | | | USD | | | | 6,745 | | | | 6,688,995 | |
4.88%, 06/01/28(a) | | | GBP | | | | 100 | | | | 131,125 | |
Brink’s Co., 5.50%, 07/15/25(c) | | | USD | | | | 281 | | | | 292,240 | |
Clarivate Science Holdings Corp.(c) | | | | | | | | | | | | |
3.88%, 07/01/28 | | | | | | | 2,223 | | | | 2,234,115 | |
4.88%, 07/01/29 | | | | | | | 3,235 | | | | 3,280,678 | |
Garda World Security Corp.(c) | | | | | | | | | | | | |
4.63%, 02/15/27 | | | | | | | 1,742 | | | | 1,733,290 | |
9.50%, 11/01/27 | | | | | | | 999 | | | | 1,077,107 | |
Graham Holdings Co., 5.75%, 06/01/26(c) | | | | | | | 705 | | | | 732,319 | |
Rekeep SpA, 7.25%, 02/01/26(a) | | | EUR | | | | 200 | | | | 242,273 | |
Service Corp. International | | | | | | | | | | | | |
5.13%, 06/01/29 | | | USD | | | | 269 | | | | 288,502 | |
3.38%, 08/15/30 | | | | | | | 456 | | | | 447,596 | |
4.00%, 05/15/31 | | | | | | | 2,401 | | | | 2,431,012 | |
Sotheby’s, 7.38%, 10/15/27(c) | | | | | | | 2,688 | | | | 2,862,720 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 37,941,838 | |
Diversified Financial Services — 1.6% | | | | | | | | | | | | |
Acuris Finance US, Inc./Acuris Finance SARL, 5.00%, 05/01/28(c) | | | | | | | 2,432 | | | | 2,419,840 | |
Barclays PLC, 5.20%, 05/12/26 | | | | | | | 800 | | | | 892,696 | |
Castlelake Aviation Finance DAC, 5.00%, 04/15/27(c) | | | | | | | 403 | | | | 399,978 | |
Central Garden & Pet Co. | | | | | | | | | | | | |
4.13%, 10/15/30 | | | | | | | 975 | | | | 983,531 | |
4.13%, 04/30/31(c) | | | | | | | 1,080 | | | | 1,085,400 | |
Citigroup, Inc.(b)(j) | | | | | | | | | | | | |
Series W, (5 year CMT + 3.60%), 4.00% | | | | | | | 855 | | | | 861,413 | |
Series Y, (5 year CMT + 3.00%), 4.15% | | | | | | | 10 | | | | 10,163 | |
doValue SpA, 3.38%, 07/31/26(a) | | | EUR | | | | 128 | | | | 147,258 | |
Garfunkelux Holdco 3 SA(a) | | | | | | | | | | | | |
6.75%, 11/01/25 | | | | | | | 300 | | | | 354,016 | |
7.75%, 11/01/25 | | | GBP | | | | 100 | | | | 140,600 | |
Global Aircraft Leasing Co. Ltd.(c)(h) | | | | | | | | | | | | |
(6.50% Cash or 7.25% PIK), 6.50%, 09/15/24 | | | USD | | | | 683 | | | | 654,807 | |
Series 2021, (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24 | | | | | | | 1,508 | | | | 1,371,224 | |
Goldman Sachs Group, Inc., Series R, (5 year CMT + 3.22%), 4.95%(b)(j) | | | | | | | 3,780 | | | | 3,921,750 | |
HSBC Holdings PLC, (5 year CMT + 3.65%), 4.60%(b)(j) | | | | | | | 445 | | | | 444,635 | |
HSE Finance Sarl, 5.63%, 10/15/26(a) | | | EUR | | | | 200 | | | | 232,794 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 65 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
|
| Diversified Financial Services (continued) | |
Intrum AB(a) | | | | | | | | | | | | |
4.88%, 08/15/25 | | | EUR | | | | 100 | | | $ | 118,110 | |
3.50%, 07/15/26 | | | | | | | 201 | | | | 231,402 | |
ION Trading Technologies Sarl, 5.75%, 05/15/28(c) | | | USD | | | | 1,268 | | | | 1,306,040 | |
Jefferies Finance LLC/JFIN Co-Issuer Corp., 5.00%, 08/15/28(c) | | | | | | | 1,779 | | | | 1,823,475 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(c) | | | | | | | | | | | | |
4.25%, 02/01/27 | | | | | | | 1,444 | | | | 1,453,429 | |
4.75%, 06/15/29 | | | | | | | 759 | | | | 777,975 | |
ProGroup AG, 3.00%, 03/31/26(a) | | | EUR | | | | 100 | | | | 115,131 | |
Spectrum Brands, Inc.(c) | | | | | | | | | | | | |
5.00%, 10/01/29 | | | USD | | | | 566 | | | | 593,593 | |
5.50%, 07/15/30 | | | | | | | 792 | | | | 849,420 | |
3.88%, 03/15/31 | | | | | | | 251 | | | | 247,863 | |
UBS Group AG, (5 year CMT + 3.31%), 4.38%(b)(c)(j) | | | | | | | 950 | | | | 938,410 | |
UniCredit SpA(a)(b) | | | | | | | | | | | | |
(5 year EUR Swap + 2.80%), 2.73%, 01/15/32 | | | EUR | | | | 200 | | | | 232,150 | |
(5 year EURIBOR ICE Swap Rate + 4.74%), 4.88%, 02/20/29 | | | | | | | 200 | | | | 244,240 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 22,851,343 | |
|
| Diversified Telecommunication Services — 3.9% | |
Consolidated Communications, Inc., 6.50%, 10/01/28(c) | | | USD | | | | 2,164 | | | | 2,293,840 | |
Intelsat Jackson Holdings SA, 8.00%, 02/15/24(c) | | | | | | | 370 | | | | 375,088 | |
Level 3 Financing, Inc.(c) | | | | | | | | | | | | |
4.63%, 09/15/27 | | | | | | | 489 | | | | 498,780 | |
4.25%, 07/01/28 | | | | | | | 1,259 | | | | 1,246,410 | |
3.63%, 01/15/29 | | | | | | | 512 | | | | 486,400 | |
3.75%, 07/15/29 | | | | | | | 948 | | | | 900,600 | |
Lumen Technologies, Inc. | | | | | | | | | | | | |
5.13%, 12/15/26(c) | | | | | | | 818 | | | | 851,235 | |
4.00%, 02/15/27(c) | | | | | | | 1,886 | | | | 1,913,441 | |
4.50%, 01/15/29(c) | | | | | | | 2,466 | | | | 2,385,855 | |
5.38%, 06/15/29(c) | | | | | | | 2,647 | | | | 2,647,000 | |
Series P, 7.60%, 09/15/39 | | | | | | | 346 | | | | 371,087 | |
Series U, 7.65%, 03/15/42 | | | | | | | 972 | | | | 1,045,964 | |
Series W, 6.75%, 12/01/23 | | | | | | | 1,228 | | | | 1,326,240 | |
Series Y, 7.50%, 04/01/24 | | | | | | | 1,254 | | | | 1,373,130 | |
SoftBank Group Corp.(a) | | | | | | | | | | | | |
2.13%, 07/06/24 | | | EUR | | | | 149 | | | | 167,479 | |
4.75%, 07/30/25 | | | | | | | 269 | | | | 321,569 | |
3.13%, 09/19/25 | | | | | | | 207 | | | | 235,669 | |
2.88%, 01/06/27 | | | | | | | 118 | | | | 127,290 | |
5.00%, 04/15/28 | | | | | | | 100 | | | | 116,981 | |
3.38%, 07/06/29 | | | | | | | 100 | | | | 105,881 | |
4.00%, 09/19/29 | | | | | | | 100 | | | | 110,150 | |
Sprint Capital Corp. | | | | | | | | | | | | |
6.88%, 11/15/28 | | | USD | | | | 4,319 | | | | 5,463,535 | |
8.75%, 03/15/32 | | | | | | | 7,407 | | | | 11,110,500 | |
Switch Ltd.(c) | | | | | | | | | | | | |
3.75%, 09/15/28 | | | | | | | 1,853 | | | | 1,866,898 | |
4.13%, 06/15/29 | | | | | | | 3,064 | | | | 3,132,940 | |
Telecom Italia Capital SA | | | | | | | | | | | | |
6.38%, 11/15/33 | | | | | | | 1,521 | | | | 1,637,820 | |
6.00%, 09/30/34 | | | | | | | 2,322 | | | | 2,455,898 | |
7.20%, 07/18/36 | | | | | | | 266 | | | | 304,985 | |
7.72%, 06/04/38 | | | | | | | 251 | | | | 294,994 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Diversified Telecommunication Services (continued) | |
Telecom Italia Finance SA, 7.75%, 01/24/33 | | | EUR | | | | 83 | | | $ | 125,567 | |
Telecom Italia SpA | | | | | | | | | | | | |
4.00%, 04/11/24(a) | | | | | | | 139 | | | | 165,768 | |
5.30%, 05/30/24(c) | | | USD | | | | 522 | | | | 549,384 | |
2.75%, 04/15/25(a) | | | EUR | | | | 239 | | | | 277,798 | |
3.00%, 09/30/25(a) | | | | | | | 100 | | | | 116,981 | |
1.63%, 01/18/29(a) | | | | | | | 210 | | | | 218,763 | |
Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 6.00%, 01/15/30(c) | | | USD | | | | 800 | | | | 769,876 | |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.75%, 04/15/28(c) | | | | | | | 1,949 | | | | 1,932,882 | |
Zayo Group Holdings, Inc.(c) | | | | | | | | | | | | |
4.00%, 03/01/27 | | | | | | | 1,451 | | | | 1,430,352 | |
6.13%, 03/01/28 | | | | | | | 6,301 | | | | 6,206,485 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 56,961,515 | |
| | | |
| Electric Utilities — 1.0% | | | | | | | | | |
Edison International, (5 year CMT + 4.70%), 5.38%(b)(j) | | | | | | | 2,200 | | | | 2,304,720 | |
FirstEnergy Corp. | | | | | | | | | | | | |
2.65%, 03/01/30 | | | | | | | 1,518 | | | | 1,499,025 | |
Series B, 2.25%, 09/01/30 | | | | | | | 117 | | | | 112,635 | |
Series C, 7.38%, 11/15/31 | | | | | | | 314 | | | | 423,712 | |
Series C, 3.40%, 03/01/50 | | | | | | | 4,716 | | | | 4,621,680 | |
FirstEnergy Transmission LLC(c) | | | | | | | | | | | | |
5.45%, 07/15/44 | | | | | | | 2,074 | | | | 2,617,274 | |
4.55%, 04/01/49 | | | | | | | 814 | | | | 929,234 | |
NextEra Energy Operating Partners LP, 4.25%, 07/15/24(c) | | | | | | | 337 | | | | 350,059 | |
PG&E Corp., 5.25%, 07/01/30 | | | | | | | 1,043 | | | | 1,093,794 | |
Public Power Corp. SA, 3.38%, 07/31/28(a) | | | EUR | | | | 110 | | | | 125,711 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 14,077,844 | |
|
| Electrical Equipment(c) — 0.2% | |
Gates Global LLC/Gates Corp., 6.25%, 01/15/26 | | | USD | | | | 1,964 | | | | 2,027,830 | |
GrafTech Finance, Inc., 4.63%, 12/15/28 | | | | | | | 717 | | | | 727,755 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,755,585 | |
|
| Electronic Equipment, Instruments & Components — 0.6% | |
Belden, Inc., 3.88%, 03/15/28(a) | | | EUR | | | | 100 | | | | 117,152 | |
Energizer Gamma Acquisition BV, 3.50%, 06/30/29(a) | | | | | | | 118 | | | | 129,693 | |
Energizer Holdings, Inc.(c) | | | | | | | | | | | | |
4.75%, 06/15/28 | | | USD | | | | 714 | | | | 729,172 | |
4.38%, 03/31/29 | | | | | | | 96 | | | | 93,691 | |
Imola Merger Corp., 4.75%, 05/15/29(c) | | | | | | | 3,353 | | | | 3,440,346 | |
Vertiv Group Corp., 4.13%, 11/15/28(c) | | | | | | | 3,146 | | | | 3,177,460 | |
Xerox Corp., 4.80%, 03/01/35 | | | | | | | 750 | | | | 750,960 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 8,438,474 | |
|
| Energy Equipment & Services — 0.7% | |
Archrock Partners LP/Archrock Partners Finance Corp.(c) | | | | | | | | | | | | |
6.88%, 04/01/27 | | | | | | | 799 | | | | 838,950 | |
6.25%, 04/01/28 | | | | | | | 2,258 | | | | 2,354,462 | |
CGG SA, 7.75%, 04/01/27(a) | | | EUR | | | | 100 | | | | 112,882 | |
ChampionX Corp., 6.38%, 05/01/26 | | | USD | | | | 369 | | | | 383,760 | |
USA Compression Partners LP/USA Compression Finance Corp. | | | | | | | | | | | | |
6.88%, 04/01/26 | | | | | | | 2,097 | | | | 2,180,880 | |
6.88%, 09/01/27 | | | | | | | 1,925 | | | | 2,033,281 | |
| | |
| 66 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
|
| Energy Equipment & Services (continued) | |
Vallourec SA, 8.50%, 06/30/26(a) | | | EUR | | | | 125 | | | $ | 146,511 | |
Weatherford International Ltd.(c) | | | | | | | | | | | | |
6.50%, 09/15/28 | | | USD | | | | 74 | | | | 78,299 | |
8.63%, 04/30/30 | | | | | | | 1,439 | | | | 1,493,898 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 9,622,923 | |
|
| Environmental, Maintenance & Security Service — 1.0% | |
Clean Harbors, Inc.(c) | | | | | | | | | | | | |
4.88%, 07/15/27 | | | | | | | 678 | | | | 698,340 | |
5.13%, 07/15/29 | | | | | | | 1,069 | | | | 1,133,140 | |
Covanta Holding Corp., 5.00%, 09/01/30 | | | | | | | 779 | | | | 794,580 | |
Covert Mergeco, Inc., 4.88%, 12/01/29(c) | | | | | | | 388 | | | | 393,820 | |
GFL Environmental, Inc.(c) | | | | | | | | | | | | |
4.25%, 06/01/25 | | | | | | | 487 | | | | 501,096 | |
3.75%, 08/01/25 | | | | | | | 842 | | | | 850,420 | |
5.13%, 12/15/26 | | | | | | | 1,023 | | | | 1,063,920 | |
4.00%, 08/01/28 | | | | | | | 2,155 | | | | 2,111,900 | |
3.50%, 09/01/28 | | | | | | | 1,002 | | | | 986,970 | |
4.75%, 06/15/29 | | | | | | | 1,547 | | | | 1,560,536 | |
4.38%, 08/15/29 | | | | | | | 596 | | | | 590,413 | |
Stericycle, Inc., 3.88%, 01/15/29(c) | | | | | | | 768 | | | | 756,480 | |
Tervita Corp., 11.00%, 12/01/25(c) | | | | | | | 415 | | | | 477,769 | |
Waste Pro USA, Inc., 5.50%, 02/15/26(c) | | | | | | | 2,868 | | | | 2,853,660 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,773,044 | |
|
| Equity Real Estate Investment Trusts (REITs) — 2.1% | |
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 4.50%, 04/01/27(c) | | | | | | | 962 | | | | 943,789 | |
CTR Partnership LP/CareTrust Capital Corp., 3.88%, 06/30/28(c) | | | | | | | 901 | | | | 919,020 | |
Diversified Healthcare Trust, 9.75%, 06/15/25 | | | | | | | 1,006 | | | | 1,088,442 | |
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27(c) | | | | | | | 774 | | | | 755,902 | |
HAT Holdings I LLC/HAT Holdings II LLC, 3.38%, 06/15/26(c) | | | | | | | 1,021 | | | | 1,031,210 | |
Iron Mountain, Inc.(c) | | | | | | | | | | | | |
5.25%, 07/15/30 | | | | | | | 1,383 | | | | 1,457,435 | |
5.63%, 07/15/32 | | | | | | | 1,397 | | | | 1,495,047 | |
MGM Growth Properties Operating Partnership | | | | | | | | | | | | |
LP/MGP Finance Co-Issuer, Inc. | | | | | | | | | | | | |
5.63%, 05/01/24 | | | | | | | 1,472 | | | | 1,573,156 | |
4.63%, 06/15/25(c) | | | | | | | 1,948 | | | | 2,076,743 | |
4.50%, 09/01/26 | | | | | | | 2,274 | | | | 2,444,550 | |
5.75%, 02/01/27 | | | | | | | 117 | | | | 132,210 | |
3.88%, 02/15/29(c) | | | | | | | 1,583 | | | | 1,662,150 | |
MPT Operating Partnership LP/MPT Finance Corp. | |
5.00%, 10/15/27 | | | | | | | 187 | | | | 195,649 | |
4.63%, 08/01/29 | | | | | | | 2,863 | | | | 3,020,465 | |
3.50%, 03/15/31 | | | | | | | 4,139 | | | | 4,185,564 | |
RHP Hotel Properties LP/RHP Finance Corp. | | | | | | | | | | | | |
4.75%, 10/15/27 | | | | | | | 3,214 | | | | 3,278,280 | |
4.50%, 02/15/29(c) | | | | | | | 997 | | | | 997,000 | |
RLJ Lodging Trust LP(c) | | | | | | | | | | | | |
3.75%, 07/01/26 | | | | | | | 690 | | | | 693,795 | |
4.00%, 09/15/29 | | | | | | | 530 | | | | 524,340 | |
Service Properties Trust | | | | | | | | | | | | |
4.35%, 10/01/24 | | | | | | | 217 | | | | 212,661 | |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
|
| Equity Real Estate Investment Trusts (REITs) (continued) | |
Service Properties Trust (continued) | | | | | | | | | | | | |
7.50%, 09/15/25 | | | USD | | | | 1,305 | | | $ | 1,413,882 | |
5.50%, 12/15/27 | | | | | | | 658 | | | | 675,292 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 30,776,582 | |
| | | |
| Food & Staples Retailing — 2.7% | | | | | | | | | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(c) | | | | | | | | | | | | |
3.25%, 03/15/26 | | | | | | | 1,678 | | | | 1,709,462 | |
4.63%, 01/15/27 | | | | | | | 1,668 | | | | 1,750,466 | |
5.88%, 02/15/28 | | | | | | | 2,805 | | | | 2,973,300 | |
4.88%, 02/15/30 | | | | | | | 349 | | | | 376,822 | |
Bellis Acquisition Co. PLC, 4.50%, 02/16/26(a) | | | GBP | | | | 225 | | | | 303,940 | |
Casino Guichard Perrachon SA, 5.25%, 04/15/27(a) | | | EUR | | | | 117 | | | | 125,989 | |
Iceland Bondco PLC(a) | | | | | | | | | | | | |
4.63%, 03/15/25 | | | GBP | | | | 100 | | | | 126,726 | |
4.38%, 05/15/28 | | | | | | | 146 | | | | 172,424 | |
Kraft Heinz Foods Co. | | | | | | | | | | | | |
6.88%, 01/26/39 | | | USD | | | | 1,474 | | | | 2,166,384 | |
4.63%, 10/01/39 | | | | | | | 497 | | | | 583,718 | |
6.50%, 02/09/40 | | | | | | | 980 | | | | 1,393,802 | |
5.00%, 06/04/42 | | | | | | | 15 | | | | 18,659 | |
5.20%, 07/15/45 | | | | | | | 626 | | | | 795,942 | |
4.38%, 06/01/46 | | | | | | | 1,874 | | | | 2,194,455 | |
4.88%, 10/01/49 | | | | | | | 4,869 | | | | 6,115,183 | |
5.50%, 06/01/50 | | | | | | | 6,613 | | | | 8,953,246 | |
Lamb Weston Holdings, Inc.(c) | | | | | | | | | | | | |
4.88%, 05/15/28 | | | | | | | 906 | | | | 980,745 | |
4.13%, 01/31/30 | | | | | | | 892 | | | | 915,361 | |
4.38%, 01/31/32 | | | | | | | 861 | | | | 887,923 | |
Ocado Group PLC, 3.88%, 10/08/26(a) | | | GBP | | | | 120 | | | | 158,131 | |
Performance Food Group, Inc., 4.25%, 08/01/29(c) | | | USD | | | | 1,804 | | | | 1,789,676 | |
Picard Groupe SAS, 3.88%, 07/01/26(a) | | | EUR | | | | 112 | | | | 128,946 | |
Post Holdings, Inc.(c) | | | | | | | | | | | | |
5.75%, 03/01/27 | | | USD | | | | 4 | | | | 4,130 | |
5.63%, 01/15/28 | | | | | | | 484 | | | | 512,914 | |
5.50%, 12/15/29 | | | | | | | 381 | | | | 400,290 | |
4.50%, 09/15/31 | | | | | | | 428 | | | | 424,790 | |
Premier Foods Finance PLC, 3.50%, 10/15/26(a) | | | GBP | | | | 100 | | | | 133,832 | |
Quatrim SASU, 5.88%, 01/15/24(a) | | | EUR | | | | 200 | | | | 233,581 | |
U.S. Foods, Inc., 6.25%, 04/15/25(c) | | | USD | | | | 841 | | | | 875,691 | |
United Natural Foods, Inc., 6.75%, 10/15/28(c) | | | | | | | 487 | | | | 521,480 | |
US Foods, Inc., 4.75%, 02/15/29(c) | | | | | | | 1,611 | | | | 1,637,179 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 39,365,187 | |
| | | |
| Food Products — 0.8% | | | | | | | | | |
Aramark Services, Inc.(c) | | | | | | | | | | | | |
5.00%, 04/01/25 | | | | | | | 20 | | | | 20,404 | |
6.38%, 05/01/25 | | | | | | | 1,310 | | | | 1,368,950 | |
Chobani LLC/Chobani Finance Corp., Inc.(c) | |
7.50%, 04/15/25 | | | | | | | 2,200 | | | | 2,264,790 | |
4.63%, 11/15/28 | | | | | | | 1,375 | | | | 1,412,750 | |
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.75%, 12/01/31(c) | | | | | | | 2,118 | | | | 2,149,770 | |
Pilgrim’s Pride Corp.(c) | | | | | | | | | | | | |
4.25%, 04/15/31 | | | | | | | 160 | | | | 168,000 | |
3.50%, 03/01/32 | | | | | | | 3,160 | | | | 3,191,600 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 67 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Food Products (continued) | |
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29(c) | | | USD | | | | 1,392 | | | $ | 1,371,120 | |
Tereos Finance Groupe I SA, 7.50%, 10/30/25(a) | | | EUR | | | | 100 | | | | 122,028 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 12,069,412 | |
| | | |
| Gas Utilities — 0.1% | | | | | | | | | |
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31(c) | | | USD | | | | 782 | | | | 790,798 | |
| | | | | | | | | | | | |
|
| Health Care Equipment & Supplies(c) — 0.9% | |
Avantor Funding, Inc. | | | | | | | | | | | | |
4.63%, 07/15/28 | | | | | | | 4,742 | | | | 4,943,535 | |
3.88%, 11/01/29 | | | | | | | 1,061 | | | | 1,072,576 | |
Hologic, Inc., 3.25%, 02/15/29 | | | | | | | 561 | | | | 561,000 | |
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA | | | | | | | | | | | | |
7.38%, 06/01/25 | | | | | | | 1,882 | | | | 1,985,510 | |
7.25%, 02/01/28 | | | | | | | 4,799 | | | | 5,158,925 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 13,721,546 | |
|
| Health Care Providers & Services — 6.6% | |
180 Medical, Inc., 3.88%, 10/15/29(c) | | | | | | | 754 | | | | 763,425 | |
Acadia Healthcare Co., Inc.(c) | | | | | | | | | | | | |
5.50%, 07/01/28 | | | | | | | 1,071 | | | | 1,125,696 | |
5.00%, 04/15/29 | | | | | | | 692 | | | | 711,030 | |
AdaptHealth LLC(c) | | | | | | | | | | | | |
6.13%, 08/01/28 | | | | | | | 372 | | | | 394,320 | |
5.13%, 03/01/30 | | | | | | | 276 | | | | 280,830 | |
AHP Health Partners, Inc., 5.75%, 07/15/29(c) | | | | | | | 1,879 | | | | 1,860,210 | |
Akumin Escrow, Inc., 7.50%, 08/01/28(c) | | | | | | | 319 | | | | 299,063 | |
Cano Health LLC, 6.25%, 10/01/28(c) | | | | | | | 773 | | | | 773,022 | |
Centene Corp. | | | | | | | | | | | | |
4.25%, 12/15/27 | | | | | | | 264 | | | | 275,220 | |
2.45%, 07/15/28 | | | | | | | 3,583 | | | | 3,529,255 | |
4.63%, 12/15/29 | | | | | | | 5,037 | | | | 5,432,203 | |
3.00%, 10/15/30 | | | | | | | 4,347 | | | | 4,418,769 | |
2.50%, 03/01/31 | | | | | | | 6,120 | | | | 5,957,912 | |
2.63%, 08/01/31 | | | | | | | 2,308 | | | | 2,261,840 | |
CHS/Community Health Systems, Inc.(c) | | | | | | | | | | | | |
6.63%, 02/15/25 | | | | | | | 3,611 | | | | 3,737,385 | |
8.00%, 03/15/26 | | | | | | | 5,631 | | | | 5,919,589 | |
5.63%, 03/15/27 | | | | | | | 3,610 | | | | 3,820,571 | |
6.00%, 01/15/29 | | | | | | | 3,005 | | | | 3,204,081 | |
6.88%, 04/15/29 | | | | | | | 552 | | | | 562,350 | |
6.13%, 04/01/30 | | | | | | | 1,579 | | | | 1,562,136 | |
DaVita, Inc., 4.63%, 06/01/30(c) | | | | | | | 57 | | | | 58,354 | |
Encompass Health Corp. | | | | | | | | | | | | |
4.50%, 02/01/28 | | | | | | | 348 | | | | 358,005 | |
4.75%, 02/01/30 | | | | | | | 1,972 | | | | 2,031,160 | |
4.63%, 04/01/31 | | | | | | | 1,035 | | | | 1,053,112 | |
HCA, Inc. | | | | | | | | | | | | |
5.38%, 02/01/25 | | | | | | | 294 | | | | 323,106 | |
5.88%, 02/15/26 | | | | | | | 142 | | | | 160,159 | |
5.63%, 09/01/28 | | | | | | | 1,761 | | | | 2,057,711 | |
3.50%, 09/01/30 | | | | | | | 4,615 | | | | 4,877,478 | |
Legacy LifePoint Health LLC(c) | | | | | | | | | | | | |
6.75%, 04/15/25 | | | | | | | 1,050 | | | | 1,094,625 | |
4.38%, 02/15/27 | | | | | | | 420 | | | | 423,150 | |
LifePoint Health, Inc., 5.38%, 01/15/29(c) | | | | | | | 922 | | | | 917,390 | |
ModivCare Escrow Issuer, Inc., 5.00%, 10/01/29(c) | | | | | | | 911 | | | | 930,368 | |
ModivCare, Inc., 5.88%, 11/15/25(c) | | | | | | | 391 | | | | 410,550 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Health Care Providers & Services (continued) | |
Molina Healthcare, Inc.(c) | | | | | | | | | | | | |
4.38%, 06/15/28 | | | USD | | | | 1,756 | | | $ | 1,808,680 | |
3.88%, 11/15/30 | | | | | | | 1,259 | | | | 1,306,212 | |
3.88%, 05/15/32 | | | | | | | 1,042 | | | | 1,048,512 | |
Mozart Debt Merger Sub, Inc.(c) | | | | | | | | | | | | |
3.88%, 04/01/29 | | | | | | | 2,267 | | | | 2,258,997 | |
5.25%, 10/01/29 | | | | | | | 5,737 | | | | 5,815,253 | |
Prime Healthcare Services, Inc., 7.25%, 11/01/25(c) | | | | | | | 2,424 | | | | 2,569,440 | |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/01/26(c) | | | | | | | 433 | | | | 457,551 | |
Surgery Center Holdings, Inc.(c) | | | | | | | | | | | | |
6.75%, 07/01/25 | | | | | | | 1,992 | | | | 2,006,940 | |
10.00%, 04/15/27 | | | | | | | 3,608 | | | | 3,833,500 | |
Teleflex, Inc., 4.63%, 11/15/27 | | | | | | | 214 | | | | 222,560 | |
Tenet Healthcare Corp. | | | | | | | | | | | | |
4.63%, 07/15/24 | | | | | | | 567 | | | | 574,088 | |
4.63%, 09/01/24(c) | | | | | | | 1,234 | | | | 1,261,765 | |
7.50%, 04/01/25(c) | | | | | | | 833 | | | | 876,691 | |
4.88%, 01/01/26(c) | | | | | | | 1,930 | | | | 1,982,361 | |
6.25%, 02/01/27(c) | | | | | | | 80 | | | | 82,800 | |
5.13%, 11/01/27(c) | | | | | | | 2,350 | | | | 2,446,937 | |
4.63%, 06/15/28(c) | | | | | | | 465 | | | | 477,788 | |
6.13%, 10/01/28(c) | | | | | | | 1,836 | | | | 1,939,202 | |
4.25%, 06/01/29(c) | | | | | | | 1,070 | | | | 1,086,574 | |
Vizient, Inc., 6.25%, 05/15/27(c) | | | | | | | 2,585 | | | | 2,698,094 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 96,338,020 | |
|
| Health Care Technology — 1.3% | |
CAB SELAS, 3.38%, 02/01/28(a) | | | EUR | | | | 103 | | | | 117,109 | |
Catalent Pharma Solutions, Inc. | | | | | | | | | | | | |
5.00%, 07/15/27(c) | | | USD | | | | 625 | | | | 649,375 | |
2.38%, 03/01/28(a) | | | EUR | | | | 432 | | | | 490,804 | |
3.13%, 02/15/29(c) | | | USD | | | | 1,050 | | | | 1,035,720 | |
3.50%, 04/01/30(c) | | | | | | | 2,390 | | | | 2,383,224 | |
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25(c) | | | | | | | 6,190 | | | | 6,243,110 | |
Charles River Laboratories International, Inc.(c) | | | | | | | | | | | | |
4.25%, 05/01/28 | | | | | | | 1,108 | | | | 1,152,320 | |
3.75%, 03/15/29 | | | | | | | 145 | | | | 146,450 | |
4.00%, 03/15/31 | | | | | | | 544 | | | | 557,388 | |
Chrome Bidco SASU, 3.50%, 05/31/28(a) | | | EUR | | | | 232 | | | | 266,112 | |
Chrome Holdco SASU, 5.00%, 05/31/29(a) | | | | | | | 100 | | | | 113,850 | |
IQVIA, Inc.(c) | | | | | | | | | | | | |
5.00%, 10/15/26 | | | USD | | | | 1,504 | | | | 1,543,480 | |
5.00%, 05/15/27 | | | | | | | 1,811 | | | | 1,874,928 | |
MEDNAX, Inc., 6.25%, 01/15/27(c) | | | | | | | 493 | | | | 515,801 | |
Syneos Health, Inc., 3.63%, 01/15/29(c) | | | | | | | 2,207 | | | | 2,179,413 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 19,269,084 | |
| | | |
| Healthcare — 0.0% | | | | | | | | | |
Akumin, Inc., 7.00%, 11/01/25(c) | | | | | | | 401 | | | | 381,632 | |
| | | | | | | | | | | | |
|
Hotels, Restaurants & Leisure — 5.8% | |
1011778 BC ULC/New Red Finance, Inc.(c) | | | | | | | | | | | | |
5.75%, 04/15/25 | | | | | | | 648 | | | | 672,300 | |
3.88%, 01/15/28 | | | | | | | 1,299 | | | | 1,315,575 | |
4.38%, 01/15/28 | | | | | | | 1,581 | | | | 1,612,620 | |
Accor SA, 0.70%, 12/07/27(a) | | | EUR | | | | 157 | | | | 92,621 | |
Affinity Gaming, 6.88%, 12/15/27(c) | | | USD | | | | 792 | | | | 823,680 | |
Boyd Gaming Corp. 8.63%, 06/01/25(c) | | | | | | | 596 | | | | 638,626 | |
| | |
| 68 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Hotels, Restaurants & Leisure (continued) | |
Boyd Gaming Corp. (continued) | | | | | | | | | | | | |
4.75%, 12/01/27 | | | USD | | | | 931 | | | $ | 949,620 | |
4.75%, 06/15/31(c) | | | | | | | 1,960 | | | | 1,999,200 | |
Boyne USA, Inc., 4.75%, 05/15/29(c) | | | | | | | 1,314 | | | | 1,353,420 | |
Caesars Entertainment, Inc.(c) | | | | | | | | | | | | |
6.25%, 07/01/25 | | | | | | | 6,083 | | | | 6,384,869 | |
8.13%, 07/01/27 | | | | | | | 5,815 | | | | 6,439,764 | |
4.63%, 10/15/29 | | | | | | | 2,505 | | | | 2,505,000 | |
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25(c) | | | | | | | 1,522 | | | | 1,589,447 | |
CCM Merger, Inc., 6.38%, 05/01/26(c) | | | | | | | 915 | | | | 952,744 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op | | | | | | | | | | | | |
5.50%, 05/01/25(c) | | | | | | | 3,838 | | | | 3,972,330 | |
6.50%, 10/01/28 | | | | | | | 293 | | | | 312,045 | |
Churchill Downs, Inc.(c) | | | | | | | | | | | | |
5.50%, 04/01/27 | | | | | | | 3,300 | | | | 3,399,000 | |
4.75%, 01/15/28 | | | | | | | 930 | | | | 962,550 | |
Cirsa Finance International Sarl, 4.75%, 05/22/25(a) | | | EUR | | | | 247 | | | | 278,750 | |
Codere Finance 2 Luxembourg SA, (8.00% Cashor 3.00% PIK), 11.00%, 09/30/26(a)(h) | | | | | | | 136 | | | | 162,420 | |
CPUK Finance Ltd., 4.50%, 08/28/27(a) | | | GBP | | | | 100 | | | | 135,633 | |
Empire Resorts, Inc., 7.75%, 11/01/26(c) | | | USD | | | | 834 | | | | 838,170 | |
Everi Holdings, Inc., 5.00%, 07/15/29(c) | | | | | | | 282 | | | | 284,820 | |
Gamma Bidco SpA, 6.25%, 07/15/25(a) | | | EUR | | | | 249 | | | | 290,800 | |
Genting New York LLC/GENNY Capital, Inc., 3.30%, 02/15/26(c) | | | USD | | | | 459 | | | | 454,549 | |
Golden Nugget, Inc., 6.75%, 10/15/24(c) | | | | | | | 6,456 | | | | 6,456,000 | |
Hilton Domestic Operating Co., Inc. | | | | | | | | | | | | |
5.38%, 05/01/25(c) | | | | | | | 772 | | | | 803,343 | |
5.75%, 05/01/28(c) | | | | | | | 600 | | | | 641,052 | |
4.88%, 01/15/30 | | | | | | | 1,496 | | | | 1,598,850 | |
4.00%, 05/01/31(c) | | | | | | | 690 | | | | 705,553 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.88%, 04/01/27 | | | | | | | 240 | | | | 247,200 | |
International Game Technology PLC, 3.50%, 06/15/26(a) | | | EUR | | | | 100 | | | | 116,042 | |
IRB Holding Corp., 7.00%, 06/15/25(c) | | | USD | | | | 794 | | | | 840,028 | |
Merlin Entertainments Ltd., 5.75%, 06/15/26(c) | | | | | | | 484 | | | | 503,360 | |
MGM Resorts International | | | | | | | | | | | | |
7.75%, 03/15/22 | | | | | | | 2,168 | | | | 2,195,100 | |
6.00%, 03/15/23 | | | | | | | 1,243 | | | | 1,298,935 | |
5.75%, 06/15/25 | | | | | | | 322 | | | | 346,553 | |
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29(c) | | | | | | | 1,379 | | | | 1,385,895 | |
Peninsula Pacific Entertainment LLC/Peninsula Pacific Entertainment Finance, Inc., 8.50%, 11/15/27(c) | | | | | | | 1,332 | | | | 1,438,560 | |
Penn National Gaming, Inc., 4.13%, 07/01/29(c) | | | | | | | 496 | | | | 481,120 | |
Powdr Corp., 6.00%, 08/01/25(c) | | | | | | | 1,055 | | | | 1,097,200 | |
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.(c) | | | | | | | | | | | | |
5.63%, 09/01/29 | | | | | | | 576 | | | | 571,501 | |
5.88%, 09/01/31 | | | | | | | 636 | | | | 638,207 | |
Raptor Acquisition Corp./Raptor Co-Issuer LLC, 4.88%, 11/01/26(c) | | | | | | | 973 | | | | 982,730 | |
Scientific Games International, Inc. | | | | | | | | | | | | |
8.63%, 07/01/25(c) | | | | | | | 1,054 | | | | 1,125,145 | |
5.00%, 10/15/25(c) | | | | | | | 2,037 | | | | 2,097,091 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Hotels, Restaurants & Leisure (continued) | |
Scientific Games International, Inc. (continued) | |
3.38%, 02/15/26(a) | | | EUR | | | | 800 | | | $ | 917,864 | |
8.25%, 03/15/26(c) | | | USD | | | | 3,634 | | | | 3,824,785 | |
7.00%, 05/15/28(c) | | | | | | | 706 | | | | 751,890 | |
7.25%, 11/15/29(c) | | | | | | | 241 | | | | 268,715 | |
Sisal Group SpA, 7.00%, 07/31/23(a) | | | EUR | | | | 69 | | | | 78,369 | |
Six Flags Theme Parks, Inc., 7.00%, 07/01/25(c) | | | USD | | | | 4,260 | | | | 4,549,435 | |
Station Casinos LLC(c) | | | | | | | | | | | | |
4.50%, 02/15/28 | | | | | | | 1,147 | | | | 1,153,538 | |
4.63%, 12/01/31 | | | | | | | 1,289 | | | | 1,299,570 | |
Stonegate Pub Co. Financing PLC(a) | | | | | | | | | | | | |
8.00%, 07/13/25 | | | GBP | | | | 136 | | | | 186,844 | |
8.25%, 07/31/25 | | | | | | | 246 | | | | 337,468 | |
Travel + Leisure Co., 6.63%, 07/31/26(c) | | | USD | | | | 671 | | | | 744,032 | |
Vail Resorts, Inc., 6.25%, 05/15/25(c) | | | | | | | 811 | | | | 843,440 | |
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28(c) | | | | | | | 811 | | | | 835,330 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27(c) | | | | | | | 1,353 | | | | 1,383,199 | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(c) | | | | | | | | | | | | |
7.75%, 04/15/25 | | | | | | | 1,164 | | | | 1,220,745 | |
5.13%, 10/01/29 | | | | | | | 2,617 | | | | 2,656,255 | |
Yum! Brands, Inc. | | | | | | | | | | | | |
4.75%, 01/15/30(c) | | | | | | | 238 | | | | 257,635 | |
5.35%, 11/01/43 | | | | | | | 30 | | | | 33,174 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 85,332,306 | |
| | | |
| Household Durables — 1.6% | | | | | | | | | |
Ashton Woods USA LLC/Ashton Woods Finance Co.(c) | | | | | | | | | | | | |
6.63%, 01/15/28 | | | | | | | 406 | | | | 428,330 | |
4.63%, 08/01/29 | | | | | | | 547 | | | | 540,162 | |
4.63%, 04/01/30 | | | | | | | 549 | | | | 539,393 | |
Brookfield Residential Properties, Inc./Brookfield Residential US LLC(c) | | | | | | | | | | | | |
5.00%, 06/15/29 | | | | | | | 1,154 | | | | 1,154,808 | |
4.88%, 02/15/30 | | | | | | | 1,693 | | | | 1,731,617 | |
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25(c) | | | | | | | 1,328 | | | | 1,394,400 | |
Forestar Group, Inc., 3.85%, 05/15/26(c) | | | | | | | 576 | | | | 577,440 | |
Installed Building Products, Inc., 5.75%, 02/01/28(c) | | | | | | | 723 | | | | 751,920 | |
K Hovnanian Enterprises, Inc.(c) | | | | | | | | | | | | |
10.00%, 11/15/25 | | | | | | | 359 | | | | 380,540 | |
7.75%, 02/15/26 | | | | | | | 2,650 | | | | 2,769,250 | |
Mattamy Group Corp.(c) | | | | | | | | | | | | |
5.25%, 12/15/27 | | | | | | | 830 | | | | 872,952 | |
4.63%, 03/01/30 | | | | | | | 679 | | | | 691,528 | |
Meritage Homes Corp., 5.13%, 06/06/27 | | | | | | | 286 | | | | 314,978 | |
NCR Corp.(c) | | | | | | | | | | | | |
5.75%, 09/01/27 | | | | | | | 234 | | | | 244,530 | |
5.00%, 10/01/28 | | | | | | | 563 | | | | 579,890 | |
5.13%, 04/15/29 | | | | | | | 739 | | | | 765,013 | |
6.13%, 09/01/29 | | | | | | | 815 | | | | 870,944 | |
New Home Co., Inc., 7.25%, 10/15/25(c) | | | | | | | 378 | | | | 385,560 | |
Newell Brands, Inc., 6.00%, 04/01/46 | | | | | | | 632 | | | | 810,881 | |
Nobel Bidco BV, 3.13%, 06/15/28(a) | | | EUR | | | | 100 | | | | 111,146 | |
SWF Escrow Issuer Corp., 6.50%, 10/01/29(c) | | | USD | | | | 1,477 | | | | 1,419,700 | |
Taylor Morrison Communities, Inc.(c) 5.88%, 06/15/27 | | | | | | | 1,377 | | | | 1,542,240 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 69 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Household Durables (continued) | |
Taylor Morrison Communities, Inc.(c) (continued) | |
5.13%, 08/01/30 | | | USD | | | | 336 | | | $ | 369,600 | |
Tempur Sealy International, Inc.(c) | | | | | | | | | | | | |
4.00%, 04/15/29 | | | | | | | 1,517 | | | | 1,543,547 | |
3.88%, 10/15/31 | | | | | | | 1,543 | | | | 1,545,916 | |
Toll Brothers Finance Corp., 4.35%, 02/15/28 | | | | | | | 66 | | | | 72,270 | |
Tri Pointe Homes, Inc., 5.70%, 06/15/28 | | | | | | | 291 | | | | 320,100 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 22,728,655 | |
|
| Independent Power and Renewable Electricity Producers — 1.0% | |
Calpine Corp.(c) | | | | | | | | | | | | |
5.25%, 06/01/26 | | | | | | | 136 | | | | 139,535 | |
4.50%, 02/15/28 | | | | | | | 1,799 | | | | 1,866,462 | |
5.13%, 03/15/28 | | | | | | | 3,778 | | | | 3,835,274 | |
4.63%, 02/01/29 | | | | | | | 517 | | | | 509,891 | |
5.00%, 02/01/31 | | | | | | | 458 | | | | 458,000 | |
3.75%, 03/01/31 | | | | | | | 15 | | | | 14,456 | |
Clearway Energy Operating LLC(c) | | | | | | | | | | | | |
4.75%, 03/15/28 | | | | | | | 690 | | | | 725,363 | |
3.75%, 01/15/32 | | | | | | | 1,395 | | | | 1,384,537 | |
Cullinan Holdco Scsp, 4.63%, 10/15/26(a) | | | EUR | | | | 100 | | | | 115,154 | |
NRG Energy, Inc. | | | | | | | | | | | | |
5.75%, 01/15/28 | | | USD | | | | 14 | | | | 14,800 | |
5.25%, 06/15/29(c) | | | | | | | 163 | | | | 174,636 | |
3.63%, 02/15/31(c) | | | | | | | 1,329 | | | | 1,295,775 | |
3.88%, 02/15/32(c) | | | | | | | 1,637 | | | | 1,604,260 | |
TerraForm Power Operating LLC(c) | | | | | | | | | | | | |
4.25%, 01/31/23 | | | | | | | 182 | | | | 186,095 | |
4.75%, 01/15/30 | | | | | | | 1,053 | | | | 1,103,928 | |
Vistra Corp., (5 year CMT + 6.93%), 8.00%(b)(c)(j) | | | | | | | 1,788 | | | | 1,890,810 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 15,318,976 | |
|
| Insurance — 2.4% | |
Acrisure LLC/Acrisure Finance, Inc., 6.00%, 08/01/29(c) | | | | | | | 1,205 | | | | 1,189,938 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer(c) | | | | | | | | | | | | |
4.25%, 10/15/27 | | | | | | | 6,162 | | | | 6,162,000 | |
6.75%, 10/15/27 | | | | | | | 8,903 | | | | 9,236,862 | |
5.88%, 11/01/29 | | | | | | | 5,898 | | | | 6,000,625 | |
AmWINS Group, Inc., 4.88%, 06/30/29(c) | | | | | | | 1,494 | | | | 1,508,940 | |
Ardonagh Midco 2 PLC, (11.50% Cash or 12.75% PIK), 11.50%, 01/15/27(c)(h) | | | | | | | 428 | | | | 476,518 | |
AssuredPartners, Inc., 5.63%, 01/15/29(c) | | | | | | | 763 | | | | 742,018 | |
BroadStreet Partners, Inc., 5.88%, 04/15/29(c) | | | | | | | 696 | | | | 683,820 | |
Galaxy Bidco Ltd., 6.50%, 07/31/26(a) | | | GBP | | | | 200 | | | | 278,615 | |
GTCR AP Finance, Inc., 8.00%, 05/15/27(c) | | | USD | | | | 1,723 | | | | 1,787,613 | |
Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer, Inc., (7.63% Cash or 8.37% PIK), 7.63%, 10/15/25(c)(h) | | | | | | | 24 | | | | 25,703 | |
HUB International Ltd., 7.00%, 05/01/26(c) | | | | | | | 6,615 | | | | 6,796,912 | |
Liberty Mutual Group, Inc., (5 year EUR Swap + 3.70%), 3.63%, 05/23/59(a)(b) | | | EUR | | | | 100 | | | | 117,265 | |
Societa Cattolica di Assicurazioni SC, (3 mo. EURIBOR + 4.46%), 4.25%, 12/14/47(a)(b) | | | | | | | 100 | | | | 128,847 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 35,135,676 | |
|
| Interactive Media & Services — 0.6% | |
Arches Buyer, Inc., 4.25%, 06/01/28(c) | | | USD | | | | 562 | | | | 561,708 | |
Cablevision Lightpath LLC(c) | | | | | | | | | | | | |
3.88%, 09/15/27 | | | | | | | 866 | | | | 840,020 | |
5.63%, 09/15/28 | | | | | | | 1,201 | | | | 1,183,958 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Interactive Media & Services (continued) | |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.(c) | | | | | | | | | | | | |
4.75%, 04/30/27 | | | USD | | | | 1,783 | | | $ | 1,765,170 | |
6.00%, 02/15/28 | | | | | | | 1,115 | | | | 1,092,700 | |
10.75%, 06/01/28 | | | | | | | 485 | | | | 528,650 | |
Twitter, Inc., 3.88%, 12/15/27(c) | | | | | | | 1,798 | | | | 1,873,750 | |
United Group BV(a) | | | | | | | | | | | | |
4.88%, 07/01/24 | | | EUR | | | | 199 | | | | 228,400 | |
4.00%, 11/15/27 | | | | | | | 324 | | | | 365,185 | |
4.63%, 08/15/28 | | | | | | | 124 | | | | 140,985 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,580,526 | |
|
| Internet & Direct Marketing Retail — 0.0% | |
Very Group Funding PLC, 6.50%, 08/01/26(a) | | | GBP | | | | 224 | | | | 301,891 | |
| | | | | | | | | | | | |
|
| Internet Software & Services — 1.3% | |
ANGI Group LLC, 3.88%, 08/15/28(c) | | | USD | | | | 1,361 | | | | 1,330,377 | |
Endure Digital, Inc., 6.00%, 02/15/29(c) | | | | | | | 802 | | | | 745,860 | |
Go Daddy Operating Co. LLC/GD Finance Co., Inc.(c) | | | | | | | | | | | | |
5.25%, 12/01/27 | | | | | | | 1,113 | | | | 1,150,564 | |
3.50%, 03/01/29 | | | | | | | 700 | | | | 694,642 | |
Match Group Holdings II LLC(c) | | | | | | | | | | | | |
4.63%, 06/01/28 | | | | | | | 813 | | | | 845,845 | |
5.63%, 02/15/29 | | | | | | | 318 | | | | 340,260 | |
4.13%, 08/01/30 | | | | | | | 420 | | | | 424,200 | |
3.63%, 10/01/31 | | | | | | | 587 | | | | 570,124 | |
MercadoLibre, Inc., 2.38%, 01/14/26 | | | | | | | 8 | | | | 7,740 | |
Uber Technologies, Inc. | | | | | | | | | | | | |
7.50%, 05/15/25(c) | | | | | | | 2,820 | | | | 2,963,482 | |
0.00%, 12/15/25(k) | | | | | | | 1,757 | | | | 1,724,495 | |
8.00%, 11/01/26(c) | | | | | | | 1,878 | | | | 2,000,070 | |
7.50%, 09/15/27(c) | | | | | | | 2,407 | | | | 2,619,526 | |
6.25%, 01/15/28(c) | | | | | | | 1,033 | | | | 1,108,926 | |
4.50%, 08/15/29(c) | | | | | | | 2,560 | | | | 2,606,950 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 19,133,061 | |
|
| IT Services — 2.2% | |
Ahead DB Holdings LLC, 6.63%, 05/01/28(c) | | | | | | | 651 | | | | 646,118 | |
Austin BidCo, Inc., 7.13%, 12/15/28(c) | | | | | | | 372 | | | | 384,090 | |
Banff Merger Sub, Inc., 8.38%, 09/01/26(a) | | | EUR | | | | 100 | | | | 118,489 | |
Booz Allen Hamilton, Inc.(c) | | | | | | | | | | | | |
3.88%, 09/01/28 | | | USD | | | | 1,867 | | | | 1,899,672 | |
4.00%, 07/01/29 | | | | | | | 2,456 | | | | 2,536,766 | |
CA Magnum Holdings, 5.38%, 10/31/26(c) | | | | | | | 2,652 | | | | 2,741,638 | |
Camelot Finance SA, 4.50%, 11/01/26(c) | | | | | | | 2,737 | | | | 2,832,795 | |
Castle US Holding Corp., 9.50%, 02/15/28(c) | | | | | | | 1,601 | | | | 1,669,043 | |
Centurion Bidco SpA, 5.88%, 09/30/26(a) | | | EUR | | | | 125 | | | | 146,226 | |
Dun & Bradstreet Corp.(c) | | | | | | | | | | | | |
6.88%, 08/15/26 | | | USD | | | | 2,137 | | | | 2,222,480 | |
5.00%, 12/15/29 | | | | | | | 1,698 | | | | 1,737,105 | |
Fair Isaac Corp., 4.00%, 06/15/28(c) | | | | | | | 1,959 | | | | 2,013,715 | |
Gartner, Inc.(c) | | | | | | | | | | | | |
4.50%, 07/01/28 | | | | | | | 1,523 | | | | 1,590,598 | |
3.63%, 06/15/29 | | | | | | | 1,327 | | | | 1,341,663 | |
3.75%, 10/01/30 | | | | | | | 1,747 | | | | 1,786,133 | |
KBR, Inc., 4.75%, 09/30/28(c) | | | | | | | 955 | | | | 974,100 | |
La Financiere Atalian SASU, 5.13%, 05/15/25(a) | | | EUR | | | | 300 | | | | 338,771 | |
Rackspace Technology Global, Inc., 5.38%, 12/01/28(c) | | | USD | | | | 695 | | | | 677,625 | |
Science Applications International Corp., 4.88%, 04/01/28(c) | | | | | | | 904 | | | | 926,600 | |
| | |
| 70 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
IT Services (continued) | | | | | |
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 5.75%, 06/01/25(c) | | | USD | | | | 1,117 | | | $ | 1,156,095 | |
Twilio, Inc., 3.88%, 03/15/31 | | | | | | | 1,679 | | | | 1,695,286 | |
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29(c) | | | | | | | 2,051 | | | | 2,033,361 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 31,468,369 | |
Leisure Products — 0.3% | | | | | | | | | | | | |
Mattel, Inc. | | | | | | | | | | | | |
5.88%, 12/15/27(c) | | | | | | | 769 | | | | 826,644 | |
3.75%, 04/01/29(c) | | | | | | | 569 | | | | 589,626 | |
6.20%, 10/01/40 | | | | | | | 1,125 | | | | 1,455,604 | |
5.45%, 11/01/41 | | | | | | | 1,827 | | | | 2,180,982 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,052,856 | |
Machinery — 1.3% | | | | | | | | | | | | |
ATS Automation Tooling Systems, Inc., 4.13%, 12/15/28(c) | | | | | | | 553 | | | | 557,148 | |
Clark Equipment Co., 5.88%, 06/01/25(c) | | | | | | | 388 | | | | 402,550 | |
Colfax Corp., 6.38%, 02/15/26(c) | | | | | | | 753 | | | | 778,414 | |
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(c)(h) | | | | | | | 1,662 | | | | 1,745,100 | |
Madison IAQ LLC(c) | | | | | | | | | | | | |
4.13%, 06/30/28 | | | | | | | 225 | | | | 225,563 | |
5.88%, 06/30/29 | | | | | | | 2,253 | | | | 2,252,999 | |
Mueller Water Products, Inc., 4.00%, 06/15/29(c) | | | | | | | 565 | | | | 570,650 | |
Novafives SAS, 5.00%, 06/15/25(a) | | | EUR | | | | 100 | | | | 106,877 | |
OT Merger Corp., 7.88%, 10/15/29(c) | | | USD | | | | 621 | | | | 610,909 | |
Platin 1426 GmbH, 5.38%, 06/15/23(a) | | | EUR | | | | 100 | | | | 113,623 | |
Renk AG/Frankfurt am Main, 5.75%, 07/15/25(a) | | | | | | | 229 | | | | 270,754 | |
Sofima Holding SpA(a) | | | | | | | | | | | | |
3.75%, 01/15/28 | | | | | | | 123 | | | | 138,816 | |
(3 mo. EURIBOR + 4.00%), 4.00%, 01/15/28(b) | | | | | | | 117 | | | | 133,212 | |
Stevens Holding Co., Inc., 6.13%, 10/01/26(c) | | | USD | | | | 813 | | | | 866,861 | |
Terex Corp., 5.00%, 05/15/29(c) | | | | | | | 1,591 | | | | 1,634,753 | |
Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26(c) | | | | | | | 2,968 | | | | 3,012,520 | |
TK Elevator Holdco GmbH, 7.63%, 07/15/28(c) | | | | | | | 1,284 | | | | 1,375,485 | |
TK Elevator Midco GmbH, 4.38%, 07/15/27(a) | | | EUR | | | | 273 | | | | 320,912 | |
TK Elevator US Newco Inc., 5.25%, 07/15/27(c) | | | USD | | | | 3,533 | | | | 3,714,066 | |
Vertical Holdco GmbH, 6.63%, 07/15/28(a) | | | EUR | | | | 90 | | | | 107,940 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 18,939,152 | |
Media — 13.1% | | | | | | | | | | | | |
Advantage Sales & Marketing, Inc., 6.50%, 11/15/28(c) | | | USD | | | | 596 | | | | 624,310 | |
Altice Financing SA | | | | | | | | | | | | |
2.25%, 01/15/25(a) | | | EUR | | | | 170 | | | | 188,669 | |
5.00%, 01/15/28(c) | | | USD | | | | 1,693 | | | | 1,652,182 | |
4.25%, 08/15/29(a) | | | EUR | | | | 101 | | | | 112,344 | |
5.75%, 08/15/29(c) | | | USD | | | | 5,301 | | | | 5,247,990 | |
Altice France Holding SA(c) | | | | | | | | | | | | |
8.00%, 05/15/27 | | | EUR | | | | 100 | | | | 120,291 | |
10.50%, 05/15/27 | | | USD | | | | 9,928 | | | | 10,672,600 | |
6.00%, 02/15/28 | | | | | | | 2,258 | | | | 2,156,390 | |
AMC Entertainment Holdings, Inc., (10.00% Cashor 12.00% PIK), 10.00%, 06/15/26(c)(h) | | | | | | | 1,550 | | | | 1,531,485 | |
AMC Networks, Inc. | | | | | | | | | | | | |
4.75%, 08/01/25 | | | | | | | 1,216 | | | | 1,241,840 | |
4.25%, 02/15/29 | | | | | | | 684 | | | | 679,725 | |
Block Communications, Inc., 4.88%, 03/01/28(c) | | | | | | | 791 | | | | 791,000 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Media (continued) | | | | | |
Cable One, Inc.(c) | | | | | | | | | | | | |
1.13%, 03/15/28 | | | USD | | | | 1,164 | | | $ | 1,152,157 | |
4.00%, 11/15/30 | | | | | | | 643 | | | | 630,140 | |
CCO Holdings LLC/CCO Holdings Capital Corp. | | | | | | | | | | | | |
5.13%, 05/01/27(c) | | | | | | | 751 | | | | 773,530 | |
5.00%, 02/01/28(c) | | | | | | | 262 | | | | 272,480 | |
5.38%, 06/01/29(c) | | | | | | | 2,119 | | | | 2,286,687 | |
4.75%, 03/01/30(c) | | | | | | | 1,252 | | | | 1,302,080 | |
4.50%, 08/15/30(c) | | | | | | | 2,432 | | | | 2,488,398 | |
4.25%, 02/01/31(c) | | | | | | | 1,626 | | | | 1,640,276 | |
4.50%, 05/01/32 | | | | | | | 3,180 | | | | 3,271,425 | |
4.50%, 06/01/33(c) | | | | | | | 1,426 | | | | 1,454,848 | |
4.25%, 01/15/34(c) | | | | | | | 4,895 | | | | 4,815,836 | |
Clear Channel International BV, 6.63%, 08/01/25(c) | | | | | | | 1,965 | | | | 2,038,687 | |
Clear Channel Outdoor Holdings, Inc.(c) | | | | | | | | | | | | |
7.75%, 04/15/28 | | | | | | | 3,373 | | | | 3,609,110 | |
7.50%, 06/01/29 | | | | | | | 4,535 | | | | 4,841,112 | |
Clear Channel Worldwide Holdings, Inc., 5.13%, 08/15/27(c) | | | | | | | 7,948 | | | | 8,224,272 | |
Connect Finco Sarl/Connect US Finco LLC,
6.75%, 10/01/26(c) | | | | | | | 9,885 | | | | 10,391,606 | |
CSC Holdings LLC | | | | | | | | | | | | |
5.25%, 06/01/24 | | | | | | | 859 | | | | 893,360 | |
5.75%, 01/15/30(c) | | | | | | | 2,953 | | | | 2,941,926 | |
4.13%, 12/01/30(c) | | | | | | | 2,566 | | | | 2,505,057 | |
4.63%, 12/01/30(c) | | | | | | | 2,906 | | | | 2,749,802 | |
3.38%, 02/15/31(c) | | | | | | | 1,353 | | | | 1,266,746 | |
4.50%, 11/15/31(c) | | | | | | | 2,298 | | | | 2,269,275 | |
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.88%, 08/15/27(c) | | | | | | | 2,469 | | | | 2,527,540 | |
DISH DBS Corp. | | | | | | | | | | | | |
5.88%, 07/15/22 | | | | | | | 1,734 | | | | 1,762,178 | |
5.00%, 03/15/23 | | | | | | | 1,232 | | | | 1,262,800 | |
7.75%, 07/01/26 | | | | | | | 1,742 | | | | 1,837,810 | |
5.25%, 12/01/26(c) | | | | | | | 6,524 | | | | 6,626,981 | |
5.75%, 12/01/28(c) | | | | | | | 5,109 | | | | 5,160,090 | |
5.13%, 06/01/29 | | | | | | | 3,057 | | | | 2,781,870 | |
DISH Network Corp., 3.38%, 08/15/26 | | | | | | | 928 | | | | 878,401 | |
Frontier Communications Holdings LLC(c) | | | | | | | | | | | | |
5.88%, 10/15/27 | | | | | | | 2,403 | | | | 2,541,172 | |
5.00%, 05/01/28 | | | | | | | 3,673 | | | | 3,783,190 | |
6.75%, 05/01/29 | | | | | | | 2,102 | | | | 2,186,080 | |
6.00%, 01/15/30 | | | | | | | 2,033 | | | | 2,043,165 | |
GCI LLC, 4.75%, 10/15/28(c) | | | | | | | 448 | | | | 459,760 | |
iHeartCommunications, Inc., 8.38%, 05/01/27 | | | | | | | 201 | | | | 211,571 | |
Iliad Holding SAS(c) | | | | | | | | | | | | |
6.50%, 10/15/26 | | | | | | | 2,636 | | | | 2,769,724 | |
7.00%, 10/15/28 | | | | | | | 2,013 | | | | 2,116,810 | |
Kaixo Bondco Telecom SA, 5.13%, 09/30/29(a) | | | EUR | | | | 131 | | | | 149,917 | |
LCPR Senior Secured Financing DAC(c) | | | | | | | | | | | | |
6.75%, 10/15/27 | | | USD | | | | 1,457 | | | | 1,529,850 | |
5.13%, 07/15/29 | | | | | | | 2,237 | | | | 2,248,185 | |
Liberty Broadband Corp.(c) | | | | | | | | | | | | |
1.25%, 09/30/50 | | | | | | | 2,444 | | | | 2,409,784 | |
2.75%, 09/30/50 | | | | | | | 4,421 | | | | 4,478,407 | |
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(c)(h) | | | | | | | 1,788 | | | | 1,400,425 | |
Lions Gate Capital Holdings LLC, 5.50%, 04/15/29(c) | | | | | | | 845 | | | | 859,788 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 71 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Media (continued) | | | | | |
Live Nation Entertainment, Inc.(c) | | | | | | | | | | | | |
4.88%, 11/01/24 | | | USD | | | | 134 | | | $ | 135,340 | |
6.50%, 05/15/27 | | | | | | | 3,798 | | | | 4,154,062 | |
4.75%, 10/15/27 | | | | | | | 624 | | | | 641,160 | |
3.75%, 01/15/28 | | | | | | | 809 | | | | 802,933 | |
Lorca Telecom Bondco SA, 4.00%, 09/18/27(a) | | | EUR | | | | 251 | | | | 290,407 | |
Midas OpCo Holdings LLC, 5.63%, 08/15/29(c) | | | USD | | | | 553 | | | | 566,134 | |
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27(c) | | | | | | | 972 | | | | 1,001,160 | |
Outfront Media Capital LLC/Outfront Media Capital Corp.(c) | | | | | | | | | | | | |
5.00%, 08/15/27 | | | | | | | 1,349 | | | | 1,380,405 | |
4.25%, 01/15/29 | | | | | | | 608 | | | | 609,107 | |
Radiate Holdco LLC/Radiate Finance, Inc.(c) | | | | | | | | | | | | |
4.50%, 09/15/26 | | | | | | | 2,788 | | | | 2,815,880 | |
6.50%, 09/15/28 | | | | | | | 6,399 | | | | 6,428,019 | |
Sable International Finance Ltd., 5.75%, 09/07/27(c) | | | | | | | 539 | | | | 551,801 | |
Scripps Escrow II, Inc., 3.88%, 01/15/29(c) | | | | | | | 87 | | | | 86,891 | |
Sinclair Television Group Inc., 4.13%, 12/01/30(c) | | | | | | | 1,055 | | | | 999,613 | |
Sirius XM Radio, Inc.(c) | | | | | | | | | | | | |
3.13%, 09/01/26 | | | | | | | 2,692 | | | | 2,692,781 | |
4.00%, 07/15/28 | | | | | | | 2,879 | | | | 2,895,094 | |
5.50%, 07/01/29 | | | | | | | 354 | | | | 381,435 | |
4.13%, 07/01/30 | | | | | | | 410 | | | | 410,000 | |
3.88%, 09/01/31 | | | | | | | 3,757 | | | | 3,683,551 | |
Summer BC Holdco A Sarl, 9.25%, 10/31/27(a) | | | EUR | | | | 180 | | | | 221,053 | |
Summer BC Holdco B Sarl, 5.75%, 10/31/26(a) | | | | | | | 300 | | | | 355,164 | |
Summer BidCo BV, (9.00% Cash or 9.75% PIK), 9.00%, 11/15/25(a)(h) | | | | | | | 151 | | | | 175,215 | |
Tele Columbus AG, 3.88%, 05/02/25(a) | | | | | | | 185 | | | | 207,463 | |
Telenet Finance Luxembourg Notes Sarl, 5.50%, 03/01/28(c) | | | USD | | | | 2,000 | | | | 2,060,000 | |
Telesat Canada/Telesat LLC, 4.88%, 06/01/27(c) | | | | | | | 672 | | | | 593,376 | |
Terrier Media Buyer, Inc., 8.88%, 12/15/27(c) | | | | | | | 3,833 | | | | 4,142,591 | |
Univision Communications, Inc.(c) | | | | | | | | | | | | |
5.13%, 02/15/25 | | | | | | | 800 | | | | 808,000 | |
6.63%, 06/01/27 | | | | | | | 635 | | | | 684,213 | |
UPC Broadband Finco BV, 4.88%, 07/15/31(c) | | | | | | | 2,494 | | | | 2,543,880 | |
UPC Holding BV, 3.88%, 06/15/29(a) | | | EUR | | | | 100 | | | | 115,985 | |
UPCB Finance VII Ltd., 3.63%, 06/15/29(a) | | | | | | | 360 | | | | 418,057 | |
Videotron Ltd., 3.63%, 06/15/29(c) | | | USD | | | | 1,693 | | | | 1,701,465 | |
Virgin Media Finance PLC, 3.75%, 07/15/30(a) | | | EUR | | | | 142 | | | | 161,297 | |
Virgin Media Secured Finance PLC, 4.50%, 08/15/30(c) | | | USD | | | | 550 | | | | 553,471 | |
Virgin Media Vendor Financing Notes III DAC, 4.88%, 07/15/28(a) | | | GBP | | | | 100 | | | | 135,324 | |
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28(c) | | | USD | | | | 3,073 | | | | 3,096,186 | |
WMG Acquisition Corp. | | | | | | | | | | | | |
3.88%, 07/15/30(c) | | | | | | | 655 | | | | 665,644 | |
2.25%, 08/15/31(a) | | | EUR | | | | 141 | | | | 158,458 | |
Ziggo Bond Co. BV(c) | | | | | | | | | | | | |
6.00%, 01/15/27 | | | USD | | | | 291 | | | | 299,730 | |
5.13%, 02/28/30 | | | | | | | 868 | | | | 872,340 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Media (continued) | | | | | |
Ziggo BV(c) | | | | | | | | | | | | |
5.50%, 01/15/27 | | | USD | | | | 1,368 | | | $ | 1,405,620 | |
4.88%, 01/15/30 | | | | | | | 1,365 | | | | 1,399,944 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 192,163,383 | |
Metals & Mining — 2.8% | | | | | | | | | | | | |
Allegheny Technologies, Inc. | | | | | | | | | | | | |
4.88%, 10/01/29 | | | | | | | 550 | | | | 550,550 | |
5.13%, 10/01/31 | | | | | | | 620 | | | | 624,650 | |
Arconic Corp.(c) | | | | | | | | | | | | |
6.00%, 05/15/25 | | | | | | | 1,484 | | | | 1,550,780 | |
6.13%, 02/15/28 | | | | | | | 2,032 | | | | 2,162,454 | |
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(c) | | | | | | | 4,699 | | | | 5,080,794 | |
Constellium SE(c) | | | | | | | | | | | | |
5.88%, 02/15/26 | | | | | | | 2,243 | | | | 2,272,675 | |
5.63%, 06/15/28 | | | | | | | 1,235 | | | | 1,298,640 | |
3.75%, 04/15/29 | | | | | | | 3,074 | | | | 3,024,493 | |
Freeport-McMoRan, Inc. | | | | | | | | | | | | |
5.40%, 11/14/34 | | | | | | | 262 | | | | 318,985 | |
5.45%, 03/15/43 | | | | | | | 4,792 | | | | 6,023,975 | |
Joseph T Ryerson & Son, Inc., 8.50%, 08/01/28(c) | | | | | | | 567 | | | | 616,613 | |
Kaiser Aluminum Corp.(c) | | | | | | | | | | | | |
4.63%, 03/01/28 | | | | | | | 447 | | | | 451,470 | |
4.50%, 06/01/31 | | | | | | | 652 | | | | 641,405 | |
KME SE, 6.75%, 02/01/23(a) | | | EUR | | | | 100 | | | | 108,954 | |
New Gold, Inc.(c) | | | | | | | | | | | | |
6.38%, 05/15/25 | | | USD | | | | 239 | | | | 245,573 | |
7.50%, 07/15/27 | | | | | | | 2,345 | | | | 2,491,563 | |
Novelis Corp.(c) | | | | | | | | | | | | |
3.25%, 11/15/26 | | | | | | | 2,518 | | | | 2,540,032 | |
4.75%, 01/30/30 | | | | | | | 3,874 | | | | 4,072,542 | |
3.88%, 08/15/31 | | | | | | | 2,643 | | | | 2,626,481 | |
Novelis Sheet Ingot GmbH, 3.38%, 04/15/29(a) | | | EUR | | | | 100 | | | | 116,947 | |
Roller Bearing Co. of America, Inc., 4.38%, 10/15/29(c) | | | USD | | | | 659 | | | | 672,180 | |
thyssenkrupp AG(a) | | | | | | | | | | | | |
1.88%, 03/06/23 | | | EUR | | | | 127 | | | | 146,464 | |
2.88%, 02/22/24 | | | | | | | 100 | | | | 116,981 | |
United States Steel Corp., 6.88%, 03/01/29 | | | USD | | | | 2,579 | | | | 2,775,649 | |
Vedanta Resources Finance II PLC, 8.95%, 03/11/25(c) | | | | | | | 1,154 | | | | 1,128,035 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 41,658,885 | |
Mortgage Real Estate Investment Trusts
(REITs) — 0.0% | | | | | | | | | |
Starwood Property Trust, Inc., 5.50%, 11/01/23(c) | | | | | | | 157 | | | | 162,495 | |
| | | | | | | | | | | | |
Multiline Retail — 0.4% | | | | | | | | | | | | |
Bath & Body Works, Inc. | | | | | | | | | | | | |
6.88%, 11/01/35 | | | | | | | 2,966 | | | | 3,685,255 | |
6.75%, 07/01/36 | | | | | | | 384 | | | | 474,240 | |
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26(c) | | | | | | | 2,132 | | | | 2,262,841 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,422,336 | |
Offshore Drilling & Other Services(c) — 0.1% | | | | | |
Entegris, Inc. | | | | | | | | | | | | |
4.38%, 04/15/28 | | | | | | | 1,037 | | | | 1,065,517 | |
3.63%, 05/01/29 | | | | | | | 535 | | | | 536,338 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,601,855 | |
| | |
| 72 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Oil, Gas & Consumable Fuels — 14.9% | | | | | |
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26(c) | | | USD | | | | 2,089 | | | $ | 2,244,004 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp.(c) | | | | | | | | | | | | |
5.75%, 03/01/27 | | | | | | | 341 | | | | 353,361 | |
5.38%, 06/15/29 | | | | | | | 1,137 | | | | 1,199,552 | |
Antero Resources Corp.(c) | | | | | | | | | | | | |
7.63%, 02/01/29 | | | | | | | 929 | | | | 1,031,190 | |
5.38%, 03/01/30 | | | | | | | 563 | | | | 601,847 | |
Apache Corp. | | | | | | | | | | | | |
4.25%, 01/15/30 | | | | | | �� | 1,125 | | | | 1,220,850 | |
5.10%, 09/01/40 | | | | | | | 2,150 | | | | 2,429,500 | |
5.25%, 02/01/42 | | | | | | | 359 | | | | 414,641 | |
5.35%, 07/01/49 | | | | | | | 305 | | | | 348,463 | |
Arcosa, Inc., 4.38%, 04/15/29(c) | | | | | | | 1,988 | | | | 2,015,335 | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp.(c) | | | | | | | | | | | | |
9.00%, 11/01/27 | | | | | | | 2,411 | | | | 3,218,685 | |
5.88%, 06/30/29 | | | | | | | 2,315 | | | | 2,227,470 | |
Brand Industrial Services, Inc., 8.50%, 07/15/25(c) | | | | | | | 1,120 | | | | 1,118,958 | |
Buckeye Partners LP | | | | | | | | | | | | |
4.13%, 03/01/25(c) | | | | | | | 34 | | | | 35,105 | |
5.85%, 11/15/43 | | | | | | | 816 | | | | 800,704 | |
5.60%, 10/15/44 | | | | | | | 1,073 | | | | 1,044,780 | |
Callon Petroleum Co. | | | | | | | | | | | | |
6.13%, 10/01/24 | | | | | | | 534 | | | | 525,990 | |
9.00%, 04/01/25(c) | | | | | | | 3,455 | | | | 3,731,400 | |
8.00%, 08/01/28(c) | | | | | | | 3,755 | | | | 3,792,550 | |
Cellnex Telecom SA, Series CLNX, 0.75%, 11/20/31(a) | | | EUR | | | | 900 | | | | 1,007,483 | |
Centennial Resource Production LLC, 6.88%, 04/01/27(c) | | | USD | | | | 992 | | | | 1,011,840 | |
Cheniere Energy Partners LP | | | | | | | | | | | | |
4.50%, 10/01/29 | | | | | | | 2,308 | | | | 2,446,480 | |
4.00%, 03/01/31 | | | | | | | 4,004 | | | | 4,199,996 | |
3.25%, 01/31/32(c) | | | | | | | 3,091 | | | | 3,121,910 | |
Cheniere Energy, Inc., 4.63%, 10/15/28 | | | | | | | 8,593 | | | | 9,140,546 | |
Chesapeake Energy Corp., 5.88%, 02/01/29(c) | | | | | | | 96 | | | | 102,696 | |
CITGO Petroleum Corp.(c) | | | | | | | | | | | | |
7.00%, 06/15/25 | | | | | | | 1,453 | | | | 1,495,268 | |
6.38%, 06/15/26 | | | | | | | 1,302 | | | | 1,321,530 | |
Civitas Resources, Inc., 5.00%, 10/15/26(c) | | | | | | | 477 | | | | 481,675 | |
CNX Midstream Partners LP, 4.75%, 04/15/30(c) | | | | | | | 502 | | | | 500,118 | |
CNX Resources Corp., 6.00%, 01/15/29(c) | | | | | | | 417 | | | | 433,680 | |
Colgate Energy Partners III LLC(c) | | | | | | | | | | | | |
7.75%, 02/15/26 | | | | | | | 647 | | | | 698,760 | |
5.88%, 07/01/29 | | | | | | | 1,986 | | | | 2,045,580 | |
Comstock Resources, Inc.(c) | | | | | | | | | | | | |
7.50%, 05/15/25 | | | | | | | 933 | | | | 962,156 | |
6.75%, 03/01/29 | | | | | | | 2,877 | | | | 3,120,394 | |
5.88%, 01/15/30 | | | | | | | 2,022 | | | | 2,072,550 | |
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31(c) | | | | | | | 2,521 | | | | 2,631,294 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.00%, 02/01/29(c) | | | | | | | 45 | | | | 46,744 | |
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(c) | | | | | | | 3,881 | | | | 3,968,322 | |
DCP Midstream Operating LP | | | | | | | | | | | | |
6.45%, 11/03/36(c) | | | | | | | 1,282 | | | | 1,677,728 | |
6.75%, 09/15/37(c) | | | | | | | 2,186 | | | | 2,924,103 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Oil, Gas & Consumable Fuels (continued) | | | | | |
DCP Midstream Operating LP (continued) | | | | | | | | | | | | |
5.60%, 04/01/44 | | | USD | | | | 22 | | | $ | 27,368 | |
DT Midstream, Inc.(c) | | | | | | | | | | | | |
4.13%, 06/15/29 | | | | | | | 2,468 | | | | 2,526,615 | |
4.38%, 06/15/31 | | | | | | | 3,139 | | | | 3,264,560 | |
Dycom Industries, Inc., 4.50%, 04/15/29(c) | | | | | | | 564 | | | | 574,575 | |
eG Global Finance PLC | | | | | | | | | | | | |
4.38%, 02/07/25(a) | | | EUR | | | | 133 | | | | 151,799 | |
6.75%, 02/07/25(c) | | | USD | | | | 1,613 | | | | 1,633,162 | |
6.25%, 10/30/25(a) | | | EUR | | | | 463 | | | | 540,303 | |
8.50%, 10/30/25(c) | | | USD | | | | 1,586 | | | | 1,643,492 | |
Energy Transfer LP, Series H, (5 year CMT + 5.69%), 6.50%(b)(j) | | | | | | | 3,372 | | | | 3,431,010 | |
EnLink Midstream LLC | | | | | | | | | | | | |
5.63%, 01/15/28(c) | | | | | | | 899 | | | | 934,960 | |
5.38%, 06/01/29 | | | | | | | 474 | | | | 484,665 | |
EnLink Midstream Partners LP | | | | | | | | | | | | |
4.40%, 04/01/24 | | | | | | | 1,638 | | | | 1,711,710 | |
4.15%, 06/01/25 | | | | | | | 108 | | | | 111,937 | |
4.85%, 07/15/26 | | | | | | | 297 | | | | 312,593 | |
5.60%, 04/01/44 | | | | | | | 1,316 | | | | 1,327,285 | |
5.05%, 04/01/45 | | | | | | | 220 | | | | 212,300 | |
EQM Midstream Partners LP | | | | | | | | | | | | |
6.00%, 07/01/25(c) | | | | | | | 1,338 | | | | 1,455,075 | |
4.13%, 12/01/26 | | | | | | | 361 | | | | 370,025 | |
6.50%, 07/01/27(c) | | | | | | | 1,929 | | | | 2,160,480 | |
4.50%, 01/15/29(c) | | | | | | | 981 | | | | 1,020,240 | |
4.75%, 01/15/31(c) | | | | | | | 2,084 | | | | 2,203,830 | |
EQT Corp. | | | | | | | | | | | | |
3.13%, 05/15/26(c) | | | | | | | 984 | | | | 1,010,106 | |
3.90%, 10/01/27 | | | | | | | 1,622 | | | | 1,739,627 | |
5.00%, 01/15/29 | | | | | | | 271 | | | | 300,133 | |
7.50%, 02/01/30 | | | | | | | 880 | | | | 1,130,800 | |
3.63%, 05/15/31(c) | | | | | | | 276 | | | | 286,350 | |
Genesis Energy LP/Genesis Energy Finance Corp. | | | | | | | | | | | | |
6.50%, 10/01/25 | | | | | | | 350 | | | | 345,625 | |
7.75%, 02/01/28 | | | | | | | 188 | | | | 189,410 | |
Great Western Petroleum LLC/Great Western Finance Corp., 12.00%, 09/01/25(c) | | | | | | | 634 | | | | 665,700 | |
Harbour Energy PLC, 5.50%, 10/15/26(c) | | | | | | | 420 | | | | 416,850 | |
Harvest Midstream I LP, 7.50%, 09/01/28(c) | | | | | | | 315 | | | | 337,050 | |
Hess Midstream Operations LP, 4.25%, 02/15/30(c) | | | | | | | 1,396 | | | | 1,385,530 | |
Howard Midstream Energy Partners LLC, 6.75%, 01/15/27(c) | | | | | | | 265 | | | | 271,547 | |
Independence Energy Finance LLC, 7.25%, 05/01/26(c) | | | | | | | 2,211 | | | | 2,296,676 | |
ITT Holdings LLC, 6.50%, 08/01/29(c) | | | | | | | 1,889 | | | | 1,870,110 | |
MasTec, Inc., 4.50%, 08/15/28(c) | | | | | | | 1,122 | | | | 1,165,478 | |
Matador Resources Co., 5.88%, 09/15/26 | | | | | | | 4,513 | | | | 4,648,390 | |
Murphy Oil Corp. | | | | | | | | | | | | |
5.75%, 08/15/25 | | | | | | | 833 | | | | 856,224 | |
6.38%, 12/01/42 | | | | | | | 141 | | | | 141,001 | |
Murphy Oil USA, Inc., 4.75%, 09/15/29 | | | | | | | 928 | | | | 976,720 | |
Nabors Industries Ltd.(c) | | | | | | | | | | | | |
7.25%, 01/15/26 | | | | | | | 303 | | | | 280,275 | |
7.50%, 01/15/28 | | | | | | | 877 | | | | 793,685 | |
Nabors Industries, Inc., 7.38%, 05/15/27(c) | | | | | | | 1,100 | | | | 1,138,709 | |
Neptune Energy Bondco PLC, 6.63%, 05/15/25(c) | | | | | | | 200 | | | | 204,250 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 73 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Oil, Gas & Consumable Fuels (continued) | | | | | |
New Fortress Energy, Inc.(c) | | | | | | | | | | | | |
6.75%, 09/15/25 | | | USD | | | | 3,227 | | | $ | 3,259,270 | |
6.50%, 09/30/26 | | | | | | | 4,988 | | | | 4,950,590 | |
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26(c) | | | | | | | 948 | | | | 977,672 | |
NGPL PipeCo LLC, 7.77%, 12/15/37(c) | | | | | | | 1,640 | | | | 2,296,066 | |
Northern Oil and Gas, Inc., 8.13%, 03/01/28(c) | | | | | | | 3,338 | | | | 3,521,590 | |
NuStar Logistics LP | | | | | | | | | | | | |
5.75%, 10/01/25 | | | | | | | 719 | | | | 773,730 | |
6.00%, 06/01/26 | | | | | | | 908 | | | | 985,180 | |
6.38%, 10/01/30 | | | | | | | 75 | | | | 83,250 | |
Occidental Petroleum Corp. | | | | | | | | | | | | |
6.95%, 07/01/24 | | | | | | | 363 | | | | 403,594 | |
5.50%, 12/01/25 | | | | | | | 450 | | | | 499,217 | |
5.55%, 03/15/26 | | | | | | | 164 | | | | 182,581 | |
3.00%, 02/15/27 | | | | | | | 25 | | | | 25,375 | |
8.88%, 07/15/30 | | | | | | | 164 | | | | 221,180 | |
4.30%, 08/15/39 | | | | | | | 2,538 | | | | 2,531,071 | |
6.20%, 03/15/40 | | | | | | | 3,730 | | | | 4,587,900 | |
4.50%, 07/15/44 | | | | | | | 1,464 | | | | 1,507,927 | |
4.63%, 06/15/45 | | | | | | | 2,806 | | | | 2,911,225 | |
6.60%, 03/15/46 | | | | | | | 57 | | | | 73,958 | |
4.40%, 04/15/46 | | | | | | | 4,101 | | | | 4,203,525 | |
4.10%, 02/15/47 | | | | | | | 448 | | | | 439,040 | |
4.20%, 03/15/48 | | | | | | | 2,587 | | | | 2,587,000 | |
4.40%, 08/15/49 | | | | | | | 472 | | | | 477,900 | |
Parkland Corp., 5.88%, 07/15/27(c) | | | | | | | 1,223 | | | | 1,290,265 | |
PDC Energy, Inc., 6.13%, 09/15/24 | | | | | | | 356 | | | | 360,450 | |
Range Resources Corp. | | | | | | | | | | | | |
4.88%, 05/15/25 | | | | | | | 464 | | | | 479,080 | |
9.25%, 02/01/26 | | | | | | | 114 | | | | 122,868 | |
Rockcliff Energy II LLC, 5.50%, 10/15/29(c) | | | | | | | 1,836 | | | | 1,891,080 | |
SM Energy Co. | | | | | | | | | | | | |
10.00%, 01/15/25(c) | | | | | | | 4,965 | | | | 5,464,678 | |
5.63%, 06/01/25 | | | | | | | 380 | | | | 382,850 | |
6.75%, 09/15/26 | | | | | | | 604 | | | | 620,610 | |
6.50%, 07/15/28 | | | | | | | 549 | | | | 568,215 | |
Southwestern Energy Co. | | | | | | | | | | | | |
6.45%, 01/23/25 | | | | | | | 11 | | | | 12,089 | |
5.38%, 02/01/29 | | | | | | | 2,236 | | | | 2,364,570 | |
4.75%, 02/01/32 | | | | | | | 1,191 | | | | 1,254,248 | |
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 8.50%, 10/15/26(c) | | | | | | | 717 | | | | 747,064 | |
Sunoco LP/Sunoco Finance Corp. | | | | | | | | | | | | |
6.00%, 04/15/27 | | | | | | | 339 | | | | 353,543 | |
5.88%, 03/15/28 | | | | | | | 808 | | | | 854,460 | |
Tap Rock Resources LLC, 7.00%, 10/01/26(c) | | | | | | | 4,254 | | | | 4,424,160 | |
Targa Resources Partners LP/Targa Resources | | | | | | | | | | | | |
Partners Finance Corp. | | | | | | | | | | | | |
5.88%, 04/15/26 | | | | | | | 1,082 | | | | 1,129,029 | |
5.38%, 02/01/27 | | | | | | | 188 | | | | 193,747 | |
6.50%, 07/15/27 | | | | | | | 786 | | | | 842,592 | |
6.88%, 01/15/29 | | | | | | | 602 | | | | 673,506 | |
5.50%, 03/01/30 | | | | | | | 1,989 | | | | 2,172,982 | |
4.88%, 02/01/31 | | | | | | | 1,250 | | | | 1,357,438 | |
4.00%, 01/15/32(c) | | | | | | | 447 | | | | 467,115 | |
Transocean, Inc., 11.50%, 01/30/27(c) | | | | | | | 965 | | | | 945,700 | |
UGI International LLC, 2.50%, 12/01/29(a)(l) | | | EUR | | | | 100 | | | | 112,341 | |
Venture Global Calcasieu Pass LLC(c)
3.88%, 08/15/29 | | | USD | | | | 4,295 | | | | 4,456,062 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Oil, Gas & Consumable Fuels (continued) | | | | | |
Venture Global Calcasieu Pass LLC(c) (continued) | | | | | |
4.13%, 08/15/31 | | | USD | | | | 3,877 | | | $ | 4,109,620 | |
3.88%, 11/01/33 | | | | | | | 7,409 | | | | 7,783,747 | |
Vine Energy Holdings LLC, 6.75%, 04/15/29(c) | | | | | | | 3,217 | | | | 3,490,445 | |
Western Midstream Operating LP | | | | | | | | | | | | |
4.75%, 08/15/28 | | | | | | | 145 | | | | 160,225 | |
5.45%, 04/01/44 | | | | | | | 1,561 | | | | 1,865,395 | |
5.30%, 03/01/48 | | | | | | | 2,255 | | | | 2,717,286 | |
5.50%, 08/15/48 | | | | | | | 576 | | | | 688,044 | |
6.50%, 02/01/50 | | | | | | | 3,291 | | | | 3,891,624 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 218,059,437 | |
Personal Products — 0.1% | | | | | | | | | | | | |
Coty Inc/HFC Prestige Products Inc/HFC Prestige International US LLC, 4.75%, 01/15/29(c) | | | | | | | 793 | | | | 805,886 | |
Coty, Inc. | | | | | | | | | | | | |
4.00%, 04/15/23(a) | | | EUR | | | | 200 | | | | 228,181 | |
3.88%, 04/15/26(a) | | | | | | | 206 | | | | 239,102 | |
4.75%, 04/15/26(a) | | | | | | | 100 | | | | 114,419 | |
6.50%, 04/15/26(c) | | | USD | | | | 100 | | | | 103,125 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,490,713 | |
Pharmaceuticals — 2.7% | | | | | | | | | | | | |
Almirall SA, 2.13%, 09/30/26(a) | | | EUR | | | | 100 | | | | 114,596 | |
Bausch Health Cos., Inc.(c) | | | | | | | | | | | | |
6.13%, 04/15/25 | | | USD | | | | 290 | | | | 295,382 | |
9.00%, 12/15/25 | | | | | | | 339 | | | | 357,028 | |
7.00%, 01/15/28 | | | | | | | 1,248 | | | | 1,241,760 | |
5.00%, 01/30/28 | | | | | | | 1,153 | | | | 1,060,760 | |
4.88%, 06/01/28 | | | | | | | 546 | | | | 556,920 | |
5.00%, 02/15/29 | | | | | | | 2,085 | | | | 1,840,013 | |
6.25%, 02/15/29 | | | | | | | 1,879 | | | | 1,785,501 | |
7.25%, 05/30/29 | | | | | | | 2,892 | | | | 2,863,080 | |
Cheplapharm Arzneimittel GmbH | | | | | | | | | | | | |
3.50%, 02/11/27(a) | | | EUR | | | | 166 | | | | 192,109 | |
4.38%, 01/15/28(a) | | | | | | | 100 | | | | 118,637 | |
5.50%, 01/15/28(c) | | | USD | | | | 1,643 | | | | 1,663,538 | |
Elanco Animal Health, Inc., 5.90%, 08/28/28 | | | | | | | 241 | | | | 279,560 | |
Endo Dac/Endo Finance LLC/Endo Finco, Inc., 9.50%, 07/31/27(c) | | | | | | | 2,199 | | | | 2,238,406 | |
Endo Luxembourg Finance Co. I Sarl/Endo US, Inc., 6.13%, 04/01/29(c) | | | | | | | 2,740 | | | | 2,685,200 | |
Gruenenthal GmbH(a) | | | | | | | | | | | | |
3.63%, 11/15/26 | | | EUR | | | | 100 | | | | 116,821 | |
4.13%, 05/15/28 | | | | | | | 217 | | | | 254,563 | |
Jazz Securities DAC, 4.38%, 01/15/29(c) | | | USD | | | | 2,194 | | | | 2,271,755 | |
Nidda BondCo GmbH(a) | | | | | | | | | | | | |
5.00%, 09/30/25 | | | EUR | | | | 100 | | | | 112,996 | |
7.25%, 09/30/25 | | | | | | | 237 | | | | 273,908 | |
Nidda Healthcare Holding GmbH, 3.50%, 09/30/24(a) | | | | | | | 300 | | | | 340,401 | |
Option Care Health, Inc., 4.38%, 10/31/29(c) | | | USD | | | | 716 | | | | 717,790 | |
Organon & Co./Organon Foreign Debt Co-Issuer BV | | | | | | | | | | | | |
2.88%, 04/30/28(a) | | | EUR | | | | 120 | | | | 137,537 | |
4.13%, 04/30/28(c) | | | USD | | | | 4,094 | | | | 4,160,527 | |
5.13%, 04/30/31(c) | | | | | | | 3,727 | | | | 3,893,522 | |
P&L Development LLC/PLD Finance Corp., 7.75%, 11/15/25(c) | | | | | | | 1,480 | | | | 1,481,850 | |
Par Pharmaceutical, Inc., 7.50%, 04/01/27(c) | | | | | | | 4,147 | | | | 4,237,944 | |
PRA Health Sciences, Inc., 2.88%, 07/15/26(c) | | | | | | | 2,163 | | | | 2,165,704 | |
Prestige Brands, Inc., 3.75%, 04/01/31(c) | | | | | | | 834 | | | | 808,980 | |
| | |
| 74 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Pharmaceuticals (continued) | | | | | |
Rossini Sarl, 6.75%, 10/30/25(a) | | | EUR | | | | 201 | | | $ | 237,108 | |
Teva Pharmaceutical Finance Netherlands II BV | | | | | | | | | | | | |
6.00%, 01/31/25 | | | | | | | 100 | | | | 122,339 | |
4.50%, 03/01/25 | | | | | | | 200 | | | | 235,926 | |
3.75%, 05/09/27 | | | | | | | 100 | | | | 113,195 | |
1.63%, 10/15/28(a) | | | | | | | 100 | | | | 99,000 | |
Teva Pharmaceutical Finance Netherlands III BV, 7.13%, 01/31/25 | | | USD | | | | 200 | | | | 213,663 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 39,288,019 | |
Real Estate Management & Development — 0.9% | |
Adler Group SA(a) | | | | | | | | | | | | |
3.25%, 08/05/25 | | | EUR | | | | 200 | | | | 197,416 | |
2.75%, 11/13/26 | | | | | | | 200 | | | | 191,268 | |
Cushman & Wakefield U.S. Borrower LLC, 6.75%, 05/15/28(c) | | | USD | | | | 1,451 | | | | 1,552,570 | |
DEMIRE Deutsche Mittelstand Real Estate AG, 1.88%, 10/15/24(a) | | | EUR | | | | 100 | | | | 111,853 | |
DIC Asset AG, 2.25%, 09/22/26(a) | | | | | | | 200 | | | | 215,746 | |
Fastighets AB Balder, (5 year EUR Swap + 3.19%), 2.87%, 06/02/81(a)(b) | | | | | | | 175 | | | | 189,824 | |
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(c) | | | USD | | | | 2,113 | | | | 2,204,070 | |
Heimstaden Bostad AB(a)(b)(j) | | | | | | | | | | | | |
(5 year EUR Swap + 3.15%), 2.63% | | | EUR | | | | 200 | | | | 214,609 | |
(5 year EUR Swap + 3.91%), 3.38% | | | | | | | 100 | | | | 112,809 | |
Howard Hughes Corp.(c) | | | | | | | | | | | | |
5.38%, 08/01/28 | | | USD | | | | 1,334 | | | | 1,420,770 | |
4.13%, 02/01/29 | | | | | | | 943 | | | | 955,589 | |
4.38%, 02/01/31 | | | | | | | 660 | | | | 666,600 | |
Kennedy-Wilson, Inc., 4.75%, 02/01/30 | | | | | | | 747 | | | | 757,238 | |
Realogy Group LLC/Realogy Co-Issuer
Corp.(c) | | | | | | | | | | | | |
7.63%, 06/15/25 | | | | | | | 684 | | | | 725,040 | |
5.75%, 01/15/29 | | | | | | | 1,495 | | | | 1,532,375 | |
WeWork Cos. LLC/WW Co-Obligor, Inc., 5.00%, 07/10/25(c) | | | | | | | 1,724 | | | | 1,496,639 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,544,416 | |
Road & Rail — 0.2% | | | | | | | | | | | | |
Autostrade per l’Italia SpA(a) | | | | | | | | | | | | |
1.88%, 11/04/25 | | | EUR | | | | 100 | | | | 117,289 | |
2.00%, 01/15/30 | | | | | | | 279 | | | | 327,298 | |
CMA CGM SA, 7.50%, 01/15/26(a) | | | | | | | 215 | | | | 269,331 | |
Danaos Corp., 8.50%, 03/01/28(c) | | | USD | | | | 161 | | | | 176,295 | |
Getlink SE, 3.50%, 10/30/25(a) | | | EUR | | | | 220 | | | | 257,884 | |
Seaspan Corp., 5.50%, 08/01/29(c) | | | USD | | | | 1,800 | | | | 1,809,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,957,097 | |
Semiconductors & Semiconductor Equipment — 0.8% | |
ams AG(a) | | | | | | | | | | | | |
2.13%, 11/03/27 | | | EUR | | | | 100 | | | | 110,423 | |
Series AMS, 0.00%, 03/05/25(k) | | | | | | | 200 | | | | 202,538 | |
ON Semiconductor Corp., 3.88%, 09/01/28(c) | | | USD | | | | 1,700 | | | | 1,742,500 | |
Sensata Technologies BV(c) | | | | | | | | | | | | |
5.63%, 11/01/24 | | | | | | | 1,400 | | | | 1,539,020 | |
5.00%, 10/01/25 | | | | | | | 2,021 | | | | 2,192,785 | |
4.00%, 04/15/29 | | | | | | | 1,771 | | | | 1,808,634 | |
Sensata Technologies, Inc.(c) | | | | | | | | | | | | |
4.38%, 02/15/30 | | | | | | | 2,001 | | | | 2,101,050 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Semiconductors & Semiconductor Equipment (continued) | | | | | |
Sensata Technologies, Inc.(c) (continued) | | | | | | | | | | | | |
3.75%, 02/15/31 | | | USD | | | | 146 | | | $ | 145,482 | |
Synaptics, Inc., 4.00%, 06/15/29(c) | | | | | | | 1,094 | | | | 1,110,410 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,952,842 | |
Software — 2.6% | | | | | | | | | | | | |
ACI Worldwide, Inc., 5.75%, 08/15/26(c) | | | | | | | 1,133 | | | | 1,181,152 | |
Black Knight InfoServ LLC, 3.63%, 09/01/28(c) | | | | | | | 1,997 | | | | 1,994,384 | |
Boxer Parent Co., Inc. | | | | | | | | | | | | |
6.50%, 10/02/25(a) | | | EUR | | | | 373 | | | | 445,154 | |
7.13%, 10/02/25(c) | | | USD | | | | 1,099 | | | | 1,152,576 | |
9.13%, 03/01/26(c) | | | | | | | 3,346 | | | | 3,488,205 | |
Cedacri Mergeco SpA, (3 mo. EURIBOR + 4.63%), 4.63%, 05/15/28(a)(b) | | | EUR | | | | 163 | | | | 185,940 | |
Crowdstrike Holdings, Inc., 3.00%, 02/15/29 | | | USD | | | | 1,451 | | | | 1,432,862 | |
Elastic NV, 4.13%, 07/15/29(c) | | | | | | | 2,011 | | | | 1,989,643 | |
Helios Software Holdings, Inc./ION Corporate Solutions Finance Sarl, 4.63%, 05/01/28(c) | | | | | | | 959 | | | | 942,218 | |
Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32(c) | | | | | | | 1,868 | | | | 1,911,842 | |
MicroStrategy, Inc., 6.13%, 06/15/28(c) | | | | | | | 1,778 | | | | 1,782,445 | |
MSCI, Inc.(c) | | | | | | | | | | | | |
3.63%, 09/01/30 | | | | | | | 1,263 | | | | 1,291,418 | |
3.88%, 02/15/31 | | | | | | | 1,001 | | | | 1,042,291 | |
3.63%, 11/01/31 | | | | | | | 798 | | | | 827,925 | |
3.25%, 08/15/33 | | | | | | | 976 | | | | 986,980 | |
Nuance Communications, Inc., 5.63%, 12/15/26 | | | | | | | 884 | | | | 911,987 | |
Open Text Corp.(c) | | | | | | | | | | | | |
3.88%, 02/15/28 | | | | | | | 29 | | | | 29,558 | |
3.88%, 12/01/29 | | | | | | | 839 | | | | 849,488 | |
Open Text Holdings, Inc., 4.13%, 02/15/30(c) | | | | | | | 1,365 | | | | 1,405,950 | |
Playtika Holding Corp., 4.25%, 03/15/29(c) | | | | | | | 2,121 | | | | 2,078,580 | |
PTC, Inc., 4.00%, 02/15/28(c) | | | | | | | 493 | | | | 501,628 | |
Rocket Software, Inc., 6.50%, 02/15/29(c) | | | | | | | 810 | | | | 790,236 | |
SS&C Technologies, Inc., 5.50%, 09/30/27(c) | | | | | | | 5,376 | | | | 5,617,920 | |
Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(c) | | | | | | | 5,216 | | | | 5,398,560 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 38,238,942 | |
Specialty Retail — 1.1% | | | | | | | | | | | | |
Arko Corp., 5.13%, 11/15/29(c) | | | | | | | 981 | | | | 947,891 | |
Douglas GmbH, 6.00%, 04/08/26(a) | | | EUR | | | | 100 | | | | 113,509 | |
Goldstory SASU, 5.38%, 03/01/26(a) | | | | | | | 100 | | | | 116,127 | |
PetSmart, Inc./PetSmart Finance Corp.(c) | | | | | | | | | | | | |
4.75%, 02/15/28 | | | USD | | | | 1,897 | | | | 1,946,796 | |
7.75%, 02/15/29 | | | | | | | 6,375 | | | | 6,924,844 | |
Staples, Inc.(c) | | | | | | | | | | | | |
7.50%, 04/15/26 | | | | | | | 4,814 | | | | 4,946,385 | |
10.75%, 04/15/27 | | | | | | | 798 | | | | 752,115 | |
Tendam Brands SAU, (3 mo. EURIBOR + 5.25%), 5.25%, 09/15/24(a)(b) | | | EUR | | | | 100 | | | | 112,996 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 15,860,663 | |
Technology Hardware, Storage & Peripherals — 0.1% | |
II-VI, Inc., 5.00%, 12/15/29(c) | | | USD | | | | 1,537 | | | | 1,569,615 | |
| | | | | | | | | | | | |
Textiles, Apparel & Luxury Goods — 0.3% | | | | | | | | | | | | |
BK LC Lux Finco1 Sarl, 5.25%, 04/30/29(a) | | | EUR | | | | 100 | | | | 117,606 | |
Crocs, Inc.(c) | | | | | | | | | | | | |
4.25%, 03/15/29 | | | USD | | | | 870 | | | | 859,125 | |
4.13%, 08/15/31 | | | | | | | 1,080 | | | | 1,055,700 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 75 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Textiles, Apparel & Luxury Goods (continued) | |
European TopSoho Sarl, Series SMCP,
4.00%, 09/21/21(a)(d)(i) | | | EUR | | | | 200 | | | $ | 197,215 | |
Kontoor Brands, Inc., 4.13%, 11/15/29(c) | | | USD | | | | 525 | | | | 525,000 | |
Levi Strauss & Co., 3.50%, 03/01/31(c) | | | | | | | 616 | | | | 628,092 | |
William Carter Co.(c) | | | | | | | | | | | | |
5.50%, 05/15/25 | | | | | | | 264 | | | | 273,900 | |
5.63%, 03/15/27 | | | | | | | 543 | | | | 561,326 | |
Wolverine World Wide, Inc., 4.00%, 08/15/29(c) | | | | | | | 554 | | | | 538,638 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,756,602 | |
Thrifts & Mortgage Finance — 0.5% | | | | | | | | | | | | |
Enact Holdings, Inc., 6.50%, 08/15/25(c) | | | | | | | 2,552 | | | | 2,788,060 | |
Home Point Capital, Inc., 5.00%, 02/01/26(c) | | | | | | | 1,111 | | | | 1,030,452 | |
Jerrold Finco PLC(a) | | | | | | | | | | | | |
4.88%, 01/15/26 | | | GBP | | | | 100 | | | | 137,047 | |
5.25%, 01/15/27 | | | | | | | 140 | | | | 192,908 | |
MGIC Investment Corp., 5.25%, 08/15/28 | | | USD | | | | 857 | | | | 899,850 | |
Nationstar Mortgage Holdings, Inc.(c) | | | | | | | | | | | | |
6.00%, 01/15/27 | | | | | | | 85 | | | | 88,545 | |
5.13%, 12/15/30 | | | | | | | 569 | | | | 561,887 | |
5.75%, 11/15/31 | | | | | | | 527 | | | | 524,365 | |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.88%, 10/15/26(c) | | | | | | | 1,022 | | | | 1,014,335 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,237,449 | |
Transportation — 0.0% | | | | | | | | | | | | |
Autostrade per l’Italia SpA, 2.00%, 12/04/28(a) | | | EUR | | | | 226 | | | | 266,119 | |
| | | | | | | | | | | | |
| | | |
Transportation Infrastructure — 0.0% | | | | | | | | | | | | |
Heathrow Finance PLC, 4.63%, 09/01/29(a)(m) | | | GBP | | | | 215 | | | | 286,212 | |
| | | | | | | | | | | | |
| | | |
Utilities — 0.3% | | | | | | | | | | | | |
Consensus Cloud Solutions, Inc.(c) | | | | | | | | | | | | |
6.00%, 10/15/26 | | | USD | | | | 386 | | | | 401,479 | |
6.50%, 10/15/28 | | | | | | | 475 | | | | 496,375 | |
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28(c) | | | | | | | 2,301 | | | | 2,387,287 | |
Thames Water Kemble Finance PLC, 4.63%, 05/19/26(a) | | | GBP | | | | 252 | | | | 347,863 | |
Vistra Operations Co. LLC, 4.38%, 05/01/29(c) | | | USD | | | | 1,257 | | | | 1,259,049 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,892,053 | |
Wireless Telecommunication Services — 3.4% | | | | | | | | | |
Altice France SA | | | | | | | | | | | | |
2.50%, 01/15/25(a) | | | EUR | | | | 169 | | | | 189,520 | |
5.88%, 02/01/27(a) | | | | | | | 100 | | | | 118,831 | |
8.13%, 02/01/27(c) | | | USD | | | | 3,366 | | | | 3,597,413 | |
5.50%, 01/15/28(c) | | | | | | | 1,997 | | | | 1,981,843 | |
4.13%, 01/15/29(a) | | | EUR | | | | 200 | | | | 225,992 | |
5.13%, 01/15/29(c) | | | USD | | | | 794 | | | | 774,150 | |
5.13%, 07/15/29(c) | | | | | | | 5,986 | | | | 5,839,044 | |
4.25%, 10/15/29(a) | | | EUR | | | | 147 | | | | 166,104 | |
5.50%, 10/15/29(c) | | | USD | | | | 2,790 | | | | 2,748,150 | |
Oi Movel SA, 8.75%, 07/30/26(a) | | | | | | | 200 | | | | 205,600 | |
SBA Communications Corp., 3.88%, 02/15/27 | | | | | | | 5,926 | | | | 6,103,780 | |
Sprint Corp. | | | | | | | | | | | | |
7.88%, 09/15/23 | | | | | | | 924 | | | | 1,017,555 | |
7.13%, 06/15/24 | | | | | | | 764 | | | | 857,708 | |
T-Mobile USA, Inc. | | | | | | | | | | | | |
4.75%, 02/01/28 | | | | | | | 357 | | | | 375,743 | |
2.63%, 02/15/29 | | | | | | | 1,928 | | | | 1,899,080 | |
2.88%, 02/15/31 | | | | | | | 2,236 | | | | 2,208,274 | |
3.50%, 04/15/31(c) | | | | | | | 2,011 | | | | 2,092,204 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Wireless Telecommunication Services (continued) | |
T-Mobile USA, Inc.(continued) | | | | | | | | | | | | |
3.50%, 04/15/31 | | | USD | | | | 1,985 | | | $ | 2,065,154 | |
Uniti Group LP/Uniti Group Finance, Inc./CSL | | | | | | | | | | | | |
Capital LLC(c) | | | | | | | | | | | | |
7.88%, 02/15/25 | | | | | | | 1,089 | | | | 1,136,644 | |
6.50%, 02/15/29 | | | | | | | 2,438 | | | | 2,429,625 | |
VICI Properties LP/VICI Note Co., Inc.(c) | | | | | | | | | | | | |
3.50%, 02/15/25 | | | | | | | 560 | | | | 568,400 | |
4.25%, 12/01/26 | | | | | | | 2,664 | | | | 2,774,476 | |
3.75%, 02/15/27 | | | | | | | 1,223 | | | | 1,263,169 | |
4.63%, 12/01/29 | | | | | | | 1,285 | | | | 1,367,529 | |
4.13%, 08/15/30 | | | | | | | 3,142 | | | | 3,322,665 | |
Vmed O2 UK Financing I PLC | | | | | | | | | | | | |
4.00%, 01/31/29(a) | | | GBP | | | | 200 | | | | 265,001 | |
4.25%, 01/31/31(c) | | | USD | | | | 257 | | | | 251,860 | |
4.50%, 07/15/31(a) | | | GBP | | | | 201 | | | | 271,046 | |
4.75%, 07/15/31(c) | | | USD | | | | 3,004 | | | | 3,041,550 | |
Vodafone Group PLC, (5 year EUR Swap + 3.23%), 3.00%, 08/27/80(a)(b) | | | EUR | | | | 100 | | | | 114,704 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 49,272,814 | |
| | | | | | | | | | | | |
Total Corporate Bonds — 116.3%
(Cost: $1,645,272,645) | | | | | | | | | | | 1,704,186,188 | |
| | | | | | | | | | | | |
|
Floating Rate Loan Interests | |
| | | |
Aerospace & Defense — 0.6% | | | | | | | | | | | | |
Cobham Ultra SeniorCo Sarl, USD Term Loan B, 3.88%, 11/16/28(n) | | | USD | | | | 412 | | | | 410,327 | |
Peraton Holding Corp.(b) | | | | | | | | | | | | |
2nd Lien Term Loan B1, (1 mo. LIBOR + 7.75%), 8.50%, 02/01/29 | | | | | | | 1,611 | | | | 1,629,124 | |
Term Loan B, (1 mo. LIBOR + 3.75%), 4.50%, 02/01/28 | | | | | | | 4,722 | | | | 4,720,379 | |
Spirit Aerosystems, Inc., 2021 Term Loan B, (1 mo LIBOR + 3.75%), 4.25%, 01/15/25(b) | | | | | | | 1,114 | | | | 1,114,738 | |
WP CPP Holdings LLC, 2018 Term Loan, (3 mo LIBOR + 3.75%, 1.00% Floor), 4.75%, 04/30/25(b) | | | | | | | 320 | | | | 305,449 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,180,017 | |
Air Freight & Logistics — 0.0% | | | | | | | | | | | | |
AIT Worldwide Logistics, Inc, 2021 Term Loan, (3 mo. LIBOR + 4.75%), 5.50%, 04/06/28(b) | | | | | | | 612 | | | | 611,198 | |
| | | | | | | | | | | | |
Airlines(b) — 0.8% | | | | | | | | | | | | |
AAdvantage Loyalty IP Ltd./American Airlines, Inc., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.50%, 04/20/28 | | | | | | | 3,424 | | | | 3,542,429 | |
Air Canada, 2021 Term Loan B, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 08/11/28 | | | | | | | 1,924 | | | | 1,916,092 | |
Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/21/27 | | | | | | | 962 | | | | 1,013,111 | |
SkyMiles IP Ltd., 2020 Skymiles Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/20/27 | | | | | | | 1,648 | | | | 1,740,700 | |
United Airlines, Inc., 2021 Term Loan B, (3 mo LIBOR + 3.75%, 0.75% Floor), 4.50%, 04/21/28 | | | | | | | 3,586 | | | | 3,590,779 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,803,111 | |
| | |
| 76 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par
(000) | | | Value | |
| |
Auto Components — 0.1% | | | | | |
Clarios Global LP, 2021 USD Term Loan B, (1 mo LIBOR + 3.25%), 3.35%, 04/30/26(b) | | | USD | | | | 1,242 | | | $ | 1,233,324 | |
| | | | | | | | | | | | |
| | | |
Banks — 0.3% | | | | | | | | | | | | |
Directv Financing LLC, (3 mo. LIBOR + 5.00%), 5.75%, 08/02/27(b) | | | | | | | 4,327 | | | | 4,328,647 | |
| | | | | | | | | | | | |
| | | |
Building Products(b) — 0.2% | | | | | | | | | | | | |
CP Atlas Buyer, Inc., 2021 Term Loan B, (1 mo LIBOR + 3.75%), 4.25%, 11/23/27 | | | | | | | 511 | | | | 508,360 | |
CPG International, Inc., 2017 Term Loan, (3 mo LIBOR + 2.50%), 3.25%, 05/05/24 | | | | | | | 391 | | | | 390,889 | |
Standard Industries, Inc., 2021 Term Loan B, (3 mo. LIBOR + 2.50%), 3.00%, 09/22/28 | | | | | | | 949 | | | | 949,249 | |
TPG VIII Elf Purchaser LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 4.00%, 11/06/28 | | | | | | | 813 | | | | 812,693 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,661,191 | |
Capital Markets(b) — 0.2% | | | | | | | | | | | | |
AQGEN Ascensus, Inc., 2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.50%), 7.00%, 08/02/29 | | | | | | | 994 | | | | 994,071 | |
Deerfield Dakota Holding LLC, 2021 USD 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 7.50%, 04/07/28 | | | | | | | 1,206 | | | | 1,227,105 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,221,176 | |
Chemicals(b) — 0.7% | | | | | | | | | | | | |
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.75%), 5.50%, 08/27/26 | | | | | | | 2,333 | | | | 2,343,110 | |
Atotech BV, 2021 USD Term Loan B, (1 mo LIBOR + 2.50%), 3.00%, 03/18/28 | | | | | | | 2,553 | | | | 2,546,787 | |
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.36%, 05/15/24 | | | | | | | 2,683 | | | | 2,678,904 | |
New Arclin U.S. Holding Corp., 2021 Term Loan, (1 mo. LIBOR + 3.75%), 4.25%, 09/30/28 | | | | | | | 889 | | | | 886,927 | |
W.R. Grace & Co.-Conn., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.25%, 09/22/28 | | | | | | | 1,728 | | | | 1,729,296 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,185,024 | |
Commercial Services & Supplies(b) — 0.7% | | | | | | | | | |
Asurion LLC, 2020 Term Loan B8, (1 mo. LIBOR + 3.25%), 3.35%, 12/23/26 | | | | | | | 2,227 | | | | 2,210,794 | |
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 4.35%, 12/12/25 | | | | | | | 487 | | | | 486,329 | |
GFL Environmental, Inc., 2020 Term Loan, (1 mo LIBOR + 3.00%), 3.50%, 05/30/25 | | | | | | | 543 | | | | 543,722 | |
Verscend Holding Corp., 2021 Term Loan B, (1 mo LIBOR + 4.00%), 4.10%, 08/27/25 | | | | | | | 6,613 | | | | 6,604,862 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,845,707 | |
Construction & Engineering(b) — 1.2% | | | | | | | | | | | | |
Brand Industrial Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/21/24 | | | | | | | 14,443 | | | | 14,103,640 | |
New Arclin U.S. Holding Corp., 2021 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 7.50%, 09/30/29(f) | | | | | | | 2,814 | | | | 2,771,790 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,875,430 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Construction Materials — 0.0% | | | | | |
Forterra Finance LLC, 2017 Term Loan B, (1 mo LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/25/23(b) | | | USD | | | | 435 | | | $ | 434,432 | |
| | | | | | | | | | | | |
| | | |
Containers & Packaging(b) — 0.2% | | | | | | | | | | | | |
BWAY Holding Co., 2017 Term Loan B, (1 mo LIBOR + 3.25%), 3.35%, 04/03/24 | | | | | | | 3,212 | | | | 3,166,212 | |
Charter NEX US, Inc., 2021 Term Loan, (1 mo LIBOR + 3.75%), 4.50%, 12/01/27 | | | | | | | 464 | | | | 464,315 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,630,527 | |
Diversified Consumer Services — 0.2% | | | | | | | | | |
Amentum Government Services Holdings LLC, Term Loan B, (1 mo. LIBOR + 3.50%), 3.60%, 01/29/27(b) | | | | | | | 363 | | | | 357,334 | |
Ascend Learning, LLC, 2021 2nd Lien Term Loan, (3 mo. LIBOR + 5.75%), 6.25%, 12/10/29(n) | | | | | | | 657 | | | | 658,097 | |
Sotheby’s, 2021 Term Loan B, (3 mo. LIBOR + 4.50%), 5.00%, 01/15/27(b) | | | | | | | 407 | | | | 406,954 | |
TruGreen Limited Partnership, 2020 2nd Lien Term Loan, (3 mo. LIBOR + 8.50%), 9.25%, 11/02/28(b) | | | | | | | 868 | | | | 876,680 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,299,065 | |
Diversified Financial Services — 1.4% | | | | | | | | | | | | |
AQGEN Island Holdings, Inc., Term Loan, (3 mo LIBOR + 3.50%), 4.00%, 08/02/28(b)(n) | | | | | | | 771 | | | | 766,952 | |
Delta TopCo, Inc., 2020 Term Loan B, (3 mo LIBOR + 3.75%), 4.50%, 12/01/27(b) | | | | | | | 2,287 | | | | 2,287,495 | |
I-Logic Technologies Bidco Ltd., 2021 USD Term Loan B, (3 mo. LIBOR + 4.00%), 4.50%, 02/16/28(b) | �� | | | | | | 543 | | | | 544,183 | |
KKR Apple Bidco LLC(b) | | | | | | | | | | | | |
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 6.25%, 09/21/29 | | | | | | | 144 | | | | 145,575 | |
2021 Term Loan, (1 mo. LIBOR + 3.00%), 3.50%, 09/23/28 | | | | | | | 893 | | | | 889,276 | |
LBM Acquisition LLC, Term Loan B, (1 mo. LIBOR + 3.75%), 4.50%, 12/18/27(b) | | | | | | | 262 | | | | 259,517 | |
Milano Acquisition Corp., Term Loan B, (3 mo LIBOR + 4.00%), 4.75%, 10/01/27(b) | | | | | | | 4,233 | | | | 4,233,000 | |
PECF USS Intermediate Holding III Corp., Term Loan B, 4.75%, 12/15/28(n) | | | | | | | 4,114 | | | | 4,115,210 | |
Radiate Holdco LLC, 2021 Term Loan B, (1 mo LIBOR + 3.25%), 4.00%, 09/25/26(b) | | | | | | | 316 | | | | 314,717 | |
Veritas US, Inc., 2021 USD Term Loan B, (3 mo LIBOR + 5.00%, 1.00% Floor), 6.00%, 09/01/25(b) | | | | | | | 4,560 | | | | 4,555,628 | |
White Cap Buyer LLC, Term Loan B, (1 mo. LIBOR + 4.00%), 4.50%, 10/19/27(b) | | | | | | | 2,904 | | | | 2,903,990 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 21,015,543 | |
Diversified Telecommunication Services — 1.4% | |
Cincinnati Bell, Inc., 2021 Term Loan B2, (SOFR + 3.25%), 3.30%, 11/22/28(n) | | | | | | | 459 | | | | 458,524 | |
Frontier Communications Corp., 2021 DIP Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 05/01/28(b) | | | | | | | 1,612 | | | | 1,608,596 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 77 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | 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 2017 Term Loan B3, (PRIME + 4.75%), 8.00%, 11/27/23(b) | | | USD | | | | 1,231 | | | $ | 1,227,367 | |
2017 Term Loan B4, (PRIME + 5.50%), 8.75%, 01/02/24(b) | | | | | | | 1,899 | | | | 1,894,141 | |
2017 Term Loan B5, (Fixed + 8.62%), 8.63%, 01/02/24 | | | | | | | 10,040 | | | | 10,019,353 | |
2021 DIP Term Loan, (3 mo. LIBOR + 4.75%), 5.75%, 10/13/22(b) | | | | | | | 5,060 | | | | 5,052,489 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 20,260,470 | |
Electrical Equipment — 0.2% | | | | | | | | | | | | |
Gates Global LLC, 2021 Term Loan B3, (1 mo LIBOR + 2.50%), 3.25%, 03/31/27(b) | | | | | | | 1,238 | | | | 1,234,072 | |
II-VI Incorporated, 2021 Bridge Term Loan B, (3 mo. LIBOR + 3.00%, 0.50% Floor), 2.99%, 12/01/28(n) | | | | | | | 1,446 | | | | 1,442,385 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,676,457 | |
Entertainment — 0.1% | | | | | | | | | | | | |
MSG National Properties LLC, Term Loan, (3 mo LIBOR + 6.25%), 7.00%, 11/12/25(b)(f) | | | | | | | 2,086 | | | | 2,127,649 | |
| | | | | | | | | | | | |
| |
Health Care Equipment & Supplies(b) — 0.2% | | | | | |
Chamberlain Group, Inc., Term Loan B, (1 mo LIBOR + 3.50%), 4.00%, 11/03/28 | | | | | | | 1,990 | | | | 1,987,513 | |
Ortho-Clinical Diagnostics SA
2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 06/30/25 | | | | | | | 455 | | | | 454,645 | |
EUR Term Loan B, (EURIBOR + 3.50%), 3.50%, 06/30/25 | | | EUR | | | | 875 | | | | 994,891 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,437,049 | |
Health Care Providers & Services(b) — 0.7% | | | | | |
Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo LIBOR + 4.00%, 1.00% Floor), 5.00%, 01/08/27 | | | USD | | | | 2,119 | | | | 2,118,577 | |
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 10/10/25 | | | | | | | 3,791 | | | | 3,039,220 | |
EyeCare Partners LLC, 2020 Term Loan, (3 mo LIBOR + 3.75%), 3.97%, 02/18/27 | | | | | | | 742 | | | | 737,629 | |
LifePoint Health, Inc., 2018 Term Loan B, (1 mo LIBOR + 3.75%), 3.85%, 11/16/25 | | | | | | | 442 | | | | 441,024 | |
Quorum Health Corp., 2020 Term Loan, (3 mo LIBOR + 7.00%, 1.00% Floor), 8.00%, 04/29/25 | | | | | | | 1,453 | | | | 1,407,526 | |
Sotera Health Holdings LLC, 2021 Term Loan, (3 mo. LIBOR + 2.75%), 3.25%, 12/11/26 | | | | | | | 2,375 | | | | 2,363,861 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,107,837 | |
Health Care Services — 0.0% | | | | | | | | | | | | |
Medical Solutions LLC, 2021 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%), 7.50%, 11/01/29(b)(n) | | | | | | | 631 | | | | 622,589 | |
| | | | | | | | | | | | |
| | | |
Health Care Technology(b) — 0.7% | | | | | | | | | | | | |
Athenahealth, Inc., 2021 Term Loan B1, (3 mo LIBOR + 4.25%), 4.40%, 02/11/26 | | | | | | | 679 | | | | 678,191 | |
Polaris Newco LLC, USD Term Loan B, (3 mo LIBOR + 4.00%), 4.50%, 06/02/28 | | | | | | | 2,066 | | | | 2,063,881 | |
Verscend Holding Corp., 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 7.50%, 04/02/29(f) | | | | | | | 8,084 | | | | 8,084,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,826,072 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Hotels, Restaurants & Leisure(b) — 0.4% | | | | | |
Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 2.85%, 12/23/24 | | | USD | | | | 1,484 | | | $ | 1,475,258 | |
Golden Nugget LLC, 2017 Incremental Term Loan B, (2 mo. LIBOR + 2.50%), 3.25%, 10/04/23 | | | | | | | 2,062 | | | | 2,047,921 | |
Golden Nugget, Inc., 2020 Initial Term Loan, (1 mo LIBOR + 12.00%, 1.00% Floor), 13.00%, 10/04/23(f) | | | | | | | 292 | | | | 310,733 | |
Great Canadian Gaming Corp., Term Loan, (3 mo LIBOR + 4.00%), 4.75%, 11/01/26 | | | | | | | 303 | | | | 303,570 | |
IRB Holding Corp., 2020 Fourth Amendment Incremental Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/15/27 | | | | | | | 2,015 | | | | 2,012,756 | |
Life Time Fitness, Inc., 2021 Term Loan B, (3 mo LIBOR + 4.75%, 1.00% Floor), 5.75%, 12/16/24 | | | | | | | 434 | | | | 435,634 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,585,872 | |
Household Durables — 0.1% | | | | | | | | | | | | |
Springs Windows Fashions LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 10/06/28(b) | | | | | | | 1,475 | | | | 1,460,250 | |
| | | | | | | | | | | | |
| | | |
Independent Power and Renewable Electricity Producers — 0.0% | | | | | | | | | | | | |
Calpine Corp., 2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.10%, 08/12/26(b) | | | | | | | 93 | | | | 91,481 | |
| | | | | | | | | | | | |
| | | |
Industrial Conglomerates(b) — 0.2% | | | | | | | | | | | | |
PSAV Holdings Corp., 2018 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 8.25%, 09/01/25 | | | | | | | 1,279 | | | | 1,021,197 | |
Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 7.75%, 11/28/23 | | | | | | | 1,796 | | | | 1,803,691 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,824,888 | |
Insurance(b) — 0.6% | | | | | | | | | | | | |
Alliant Holdings Intermediate LLC
2021 Term Loan B4, (1 mo. LIBOR + 3.50%), 4.00%, 11/06/27(n) | | | | | | | 1,194 | | | | 1,191,667 | |
Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 05/09/25 | | | | | | | 1,980 | | | | 1,958,493 | |
HUB International Ltd., 2018 Term Loan B, (3 mo LIBOR + 2.75%), 2.87%, 04/25/25 | | | | | | | 1,385 | | | | 1,368,639 | |
Ryan Specialty Group LLC, Term Loan, (1 mo LIBOR + 3.00%), 3.75%, 09/01/27 | | | | | | | 1,046 | | | | 1,044,194 | |
Sedgwick Claims Management Services, Inc.
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 12/31/25 | | | | | | | 850 | | | | 843,010 | |
2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 09/03/26 | | | | | | | 1,251 | | | | 1,248,836 | |
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26 | | | | | | | 533 | | | | 533,029 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,187,868 | |
Interactive Media & Services(b) — 0.3% | | | | | | | | | | | | |
Camelot Finance SA, 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/30/26 | | | | | | | 636 | | | | 635,577 | |
Grab Holdings, Inc., Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 01/29/26 | | | | | | | 3,867 | | | | 3,871,613 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,507,190 | |
| | |
| 78 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Internet & Direct Marketing Retail — 0.1% | | | | | |
CNT Holdings I Corp., 2020 Term Loan, (3 mo LIBOR + 3.50%), 4.25%, 11/08/27(b) | | | USD | | | | 1,262 | | | $ | 1,262,233 | |
| | | | | | | | | | | | |
| | | |
IT Services — 1.6% | | | | | | | | | | | | |
Banff Merger Sub, Inc.(b)
| | | | | | | | | | | | |
2021 USD 2nd Lien Term Loan, (3 mo. LIBOR + 5.50%), 6.00%, 02/27/26 | | | | | | | 2,250 | | | | 2,268,742 | |
2021 USD Term Loan, (3 mo. LIBOR + 3.75%), 3.97%, 10/02/25 | | | | | | | 2,000 | | | | 1,986,379 | |
Celestial -Saturn Parent, Inc., 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 7.00%, 06/04/29 | | | | | | | 1,413 | | | | 1,422,721 | |
Greeneden US Holdings II LLC, 2020 USD Term Loan B, (1 mo. LIBOR + 4.00%), 4.75%, 12/01/27(b) | | | | | | | 1,462 | | | | 1,466,375 | |
Optiv Security, Inc., 1st Lien Term Loan, (3 mo LIBOR + 3.25%, 1.00% Floor), 4.25%, 02/01/24(b) | | | | | | | 2,226 | | | | 2,199,226 | |
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 02/12/27(b) | | | | | | | 2,311 | | | | 2,255,635 | |
Sophia LP, 2020 2nd Lien Term Loan, (3 mo LIBOR + 8.00%, 1.00% Floor), 9.00%, 10/09/28(b) | | | | | | | 10,251 | | | | 10,520,089 | |
TierPoint LLC, 2021 Term Loan, (1 mo. LIBOR + 3.75%), 4.50%, 05/05/26(b) | | | | | | | 899 | | | | 898,333 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 23,017,500 | |
Life Sciences Tools & Services(b) — 0.2% | | | | | | | | | | | | |
ICON Luxembourg Sarl | | | | | | | | | | | | |
LUX Term Loan, (3 mo. LIBOR + 2.25%), 2.75%, 07/03/28 | | | | | | | 1,960 | | | | 1,959,396 | |
US Term Loan, (3 mo. LIBOR + 2.25%), 2.75%, 07/03/28 | | | | | | | 488 | | | | 487,984 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,447,380 | |
Machinery(b) — 0.8% | | | | | | | | | | | | |
Filtration Group Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 4.00%, 10/21/28 | | | | | | | 1,222 | | | | 1,219,139 | |
Madison IAQ LLC, Term Loan, (6 mo. LIBOR + 3.25%), 3.75%, 06/21/28 | | | | | | | 538 | | | | 537,472 | |
MHI Holdings LLC, Term Loan B, (1 mo. LIBOR + 5.00%), 5.10%, 09/21/26 | | | | | | | 2,330 | | | | 2,329,408 | |
Titan Acquisition Ltd., 2018 Term Loan B, (1 mo LIBOR + 3.00%), 3.35%, 03/28/25 | | | | | | | 7,431 | | | | 7,298,365 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,384,384 | |
Media(b) — 1.2% | | | | | | | | | | | | |
Altice Financing SA, 2017 USD Term Loan B, (3 mo. LIBOR + 2.75%), 2.87%, 07/15/25 | | | | | | | 239 | | | | 235,674 | |
Altice France SA, 2018 Term Loan B13, (2 mo LIBOR + 4.00%), 4.12%, 08/14/26 | | | | | | | 995 | | | | 989,154 | |
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 3.63%, 08/21/26 | | | | | | | 6,242 | | | | 6,151,171 | |
Connect Finco Sarl, 2021 Term Loan B, (1 mo LIBOR + 3.50%, 1.00% Floor), 4.50%, 12/12/26 | | | | | | | 1,005 | | | | 1,004,862 | |
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/01/23 | | | | | | | 472 | | | | 445,516 | |
MH Sub I LLC | | | | | | | | | | | | |
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 09/13/24 | | | | | | | 1,979 | | | | 1,967,947 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Media (continued) | | | | | |
MH Sub I LLC (continued) | | | | | | | | | | | | |
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 09/13/24(n) | | | USD | | | | 962 | | | $ | 962,559 | |
2021 2nd Lien Term Loan, (1 mo. LIBOR + 6.25%), 6.35%, 02/12/29 | | | | | | | 288 | | | | 289,319 | |
Zayo Group Holdings, Inc., USD Term Loan, (1 mo LIBOR + 3.00%), 3.10%, 03/09/27 | | | | | | | 6,160 | | | | 6,072,525 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 18,118,727 | |
Metals & Mining — 0.0% | | | | | | | | | | | | |
Grinding Media Inc., 2021 Term Loan B, (3 mo LIBOR + 4.00%), 4.75%, 10/12/28(b) | | | | | | | 512 | | | | 510,438 | |
| | | | | | | | | | | | |
| | | |
Oil, Gas & Consumable Fuels — 0.8% | | | | | | | | | | | | |
Ascent Resources Utica LLC, 2020 Fixed 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 10.00%, 11/01/25(b) | | | | | | | 10,258 | | | | 11,061,471 | |
Freeport LNG Investments, LLLP, Term Loan B, (3 mo. LIBOR + 3.50%), 4.00%, 12/21/28(n) | | | | | | | 1,063 | | | | 1,051,546 | |
McDermott Technology Americas, Inc., 2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 06/28/24(b)(f) | | | | | | | 90 | | | | 51,527 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,164,544 | |
Pharmaceuticals — 0.2% | | | | | | | | | | | | |
Endo Luxembourg Finance Co. I Sarl, 2021 Term Loan, (3 mo. LIBOR + 5.00%), 5.75%, 03/27/28(b) | | | | | | | 2,481 | | | | 2,407,968 | |
| | | | | | | | | | | | |
| | | |
Professional Services — 0.2% | | | | | | | | | | | | |
Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR + 3.25%), 3.35%, 02/06/26(b) | | | | | | | 3,026 | | | | 3,011,816 | |
| | | | | | | | | | | | |
| |
Semiconductors & Semiconductor Equipment — 0.1% | | | | | |
MKS Instruments, Inc., 2021 USD Term Loan, 2.75%, 10/21/28(n) | | | | | | | 1,862 | | | | 1,856,880 | |
| | | | | | | | | | | | |
| | | |
Software — 3.4% | | | | | | | | | | | | |
Barracuda Networks, Inc., 2020 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 7.50%, 10/30/28(b) | | | | | | | 958 | | | | 962,580 | |
Cloudera, Inc.(b) | | | | | | | | | | | | |
2021 Second Lien Term Loan, (1 mo. LIBOR + 6.00%), 6.50%, 10/08/29(f) | | | | | | | 1,463 | | | | 1,459,343 | |
2021 Term Loan, (1 mo. LIBOR + 3.75%), 4.25%, 10/08/28 | | | | | | | 4,172 | | | | 4,156,355 | |
Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 3.50%, 05/28/24(b) | | | | | | | 1,946 | | | | 1,890,853 | |
Epicor Software Corp.(b) | | | | | | | | | | | | |
2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 8.75%, 07/31/28 | | | | | | | 506 | | | | 516,965 | |
2020 Term Loan, (1 mo. LIBOR + 3.25%), 4.00%, 07/30/27 | | | | | | | 1,389 | | | | 1,386,674 | |
Helios Software Holdings, Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 3.75%), 3.97%, 03/11/28(b) | | | | | | | 662 | | | | 656,924 | |
Magenta Buyer LLC(b) | | | | | | | | | | | | |
2021 USD 1st Lien Term Loan, (3 mo. LIBOR + 5.00%), 5.75%, 07/27/28 | | | | | | | 4,363 | | | | 4,348,056 | |
2021 USD 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%), 9.00%, 07/27/29 | | | | | | | 2,293 | | | | 2,272,225 | |
Planview Parent, Inc., 2nd Lien Term Loan, (3 mo LIBOR + 7.25%), 8.00%, 12/18/28(b)(f) | | | | | | | 850 | | | | 850,000 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 79 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Software (continued) | | | | | |
Proof Point, Inc., 2nd Lien Term Loan, (3 mo LIBOR + 6.25%), 6.75%, 08/31/29(b) | | | USD | | | | 2,006 | | | $ | 2,023,553 | |
Proofpoint, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 3.75%, 08/31/28(b) | | | | | | | 1,334 | | | | 1,327,437 | |
RealPage, Inc.(b) | | | | | | | | | | | | |
1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.75%, 04/24/28 | | | | | | | 1,795 | | | | 1,788,060 | |
2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 7.25%, 04/23/29 | | | | | | | 6,751 | | | | 6,828,985 | |
Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.35%, 05/30/25(b) | | | | | | | 1,777 | | | | 1,758,419 | |
Sabre GLBL, Inc.(b) | | | | | | | | | | | | |
2021 Term Loan B1, (1 mo. LIBOR + 3.50%), 4.00%, 12/17/27 | | | | | | | 882 | | | | 870,119 | |
2021 Term Loan B2, (1 mo. LIBOR + 3.50%), 4.00%, 12/17/27 | | | | | | | 1,406 | | | | 1,387,022 | |
Severin Acquisition LLC, 2018 Term Loan B, (1 mo LIBOR + 3.00%), 3.10%, 08/01/25(b) | | | | | | | 3,676 | | | | 3,654,796 | |
Sophia LP, 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 4.25%, 10/07/27(b) | | | | | | | 4,237 | | | | 4,233,340 | |
Sovos Compliance LLC, 2021 Term Loan, (1 mo LIBOR + 4.50%), 5.00%, 08/11/28(b) | | | | | | | 822 | | | | 823,324 | |
Tempo Acquisition LLC(b) | | | | | | | | | | | | |
2020 Extended Term Loan, (1 mo. LIBOR + 3.25%), 3.75%, 11/02/26 | | | | | | | 170 | | | | 170,535 | |
Term Loan, (1 mo. LIBOR + 2.75%), 2.85%, 05/01/24 | | | | | | | 210 | | | | 209,651 | |
Tibco Software Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.25%, 03/03/28(b) | | | | | | | 1,576 | | | | 1,579,278 | |
Ultimate Software Group, Inc. | | | | | | | | | | | | |
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.25%), 5.75%, 05/03/27(n) | | | | | | | 1,711 | | | | 1,714,217 | |
2021 Term Loan, (3 mo. LIBOR + 3.25%), 3.75%, 05/04/26(n) | | | | | | | 1,778 | | | | 1,767,584 | |
Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 05/04/26(b) | | | | | | | 561 | | | | 559,088 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 49,195,383 | |
Specialty Retail(b) — 0.3% | | | | | | | | | | | | |
PetSmart, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 02/11/28 | | | | | | | 3,159 | | | | 3,161,073 | |
Staples, Inc., 7 Year Term Loan, (3 mo. LIBOR + 5.00%), 5.13%, 04/16/26 | | | | | | | 841 | | | | 810,737 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,971,810 | |
Trading Companies & Distributors — 0.0% | | | | | | | | | | | | |
Foundation Building Materials Holding Company LLC, 2021 Term Loan, (3 mo. LIBOR + 3.25%), 3.75%, 01/31/28(b) | | | | | | | 567 | | | | 562,231 | |
| | | | | | | | | | | | |
| | |
Total Floating Rate Loan Interests — 20.4% | | | | | | | | | |
(Cost: $297,986,629) | | | | | | | | | | | 298,951,358 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Security | | | | |
Shares | | | Value | |
| | | |
Investment Companies | | | | | | | | | | | | |
| | | |
Equity Funds — 0.6% | | | | | | | | | | | | |
iShares Preferred & Income Securities ETF(o) | | | | | | | 203,000 | | | $ | 8,004,290 | |
| | | | | | | | | | | | |
| | | |
Total Investment Companies — 0.6%
| | | | | | | | | | | | |
(Cost: $7,427,338) | | | | | | | | | | | 8,004,290 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Par
(000) | | | | |
| | | |
Preferred Securities | | | | | | | | | | | | |
| | | |
Capital Trusts — 1.8% | | | | | | | | | | | | |
| | | |
Automobiles — 0.1% | | | | | | | | | | | | |
General Motors Financial Co., Inc., Series C, 5.70%(b)(j) | | | USD | | | | 655 | | | | 746,700 | |
| | | | | | | | | | | | |
Banks(b)(j) — 0.2% | | | | | | | | | | | | |
AIB Group PLC, 5.25%(a) | | | EUR | | | | 200 | | | | 241,362 | |
CaixaBank SA, 6.38%(a) | | | | | | | 200 | | | | 245,347 | |
CIT Group, Inc., Series A, 5.80% | | | USD | | | | 1,647 | | | | 1,669,646 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,156,355 | |
Diversified Financial Services(b)(j) — 1.1% | | | | | | | | | | | | |
Banco Santander SA, 4.38%(a) | | | EUR | | | | 200 | | | | 234,246 | |
Barclays PLC, 4.38% | | | USD | | | | 2,490 | | | | 2,438,955 | |
Credit Suisse Group AG(c) | | | | | | | | | | | | |
6.38% | | | | | | | 1,658 | | | | 1,786,992 | |
5.25% | | | | | | | 1,077 | | | | 1,112,003 | |
6.25% | | | | | | | 200 | | | | 213,000 | |
HSBC Holdings PLC, 6.00% | | | | | | | 2,298 | | | | 2,473,222 | |
JPMorgan Chase & Co. | | | | | | | | | | | | |
Series FF, 5.00% | | | | | | | 5,918 | | | | 6,080,745 | |
Series HH, 4.60% | | | | | | | 1,416 | | | | 1,453,170 | |
Series Q, 5.15% | | | | | | | 850 | | | | 870,800 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,663,133 | |
Diversified Telecommunication Services(b) — 0.1% | | | | | | | | | |
British Telecommunications PLC, 4.88%, 11/23/81(c) | | | | | | | 200 | | | | 201,322 | |
Telefonica Europe BV(a)(j) | | | | | | | | | | | | |
5.88% | | | EUR | | | | 200 | | | | 249,616 | |
4.38% | | | | | | | 600 | | | | 733,478 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,184,416 | |
Electric Utilities(b)(j) — 0.1% | | | | | | | | | | | | |
Edison International, Series B, 5.00% | | | USD | | | | 940 | | | | 960,492 | |
Naturgy Finance BV, 2.37%(a) | | | EUR | | | | 200 | | | | 228,080 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,188,572 | |
Electronic Equipment, Instruments & Components — 0.0% | |
Belden, Inc., 4.13%, 10/15/26(a) | | | | | | | 320 | | | | 370,833 | |
| | | | | | | | | | | | |
| | | |
Food & Staples Retailing — 0.0% | | | | | | | | | | | | |
Casino Guichard Perrachon SA, 3.99%(a)(b)(j) | | | | 100 | | | | 74,287 | |
| | | | | | | | | | | | |
| | | |
Health Care Providers & Services — 0.0% | | | | | | | | | | | | |
Korian SA, 4.13%(a)(b)(j) | | | GBP | | | | 200 | | | | 269,696 | |
| | | | | | | | | | | | |
|
Independent Power and Renewable Electricity Producers — 0.1% | |
Vistra Corp., 7.00%(b)(c)(j) | | | USD | | | | 1,272 | | | | 1,288,396 | |
| | | | | | | | | | | | |
| | | |
Internet & Direct Marketing Retail — 0.0% | | | | | | | | | | | | |
Rakuten Group, Inc., 4.25%(a)(b)(j) | | | EUR | | | | 225 | | | | 251,808 | |
| | | | | | | | | | | | |
| |
Oil, Gas & Consumable Fuels(a)(b)(j) — 0.0% | | | | | |
Abertis Infraestructuras Finance BV, 3.25% | | | | | | | 200 | | | | 231,957 | |
| | |
| 80 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Oil, Gas & Consumable Fuels (continued) | |
BP Capital Markets PLC, 4.25% | | | GBP | | | | 125 | | | $ | 175,750 | |
Repsol International Finance BV | | | | | | | | | | | | |
3.75% | | | EUR | | | | 100 | | | | 120,169 | |
4.25% | | | | | | | 100 | | | | 123,100 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 650,976 | |
|
Transportation Infrastructure — 0.0% | |
Poste Italiane SpA, 2.63%(a)(b)(j) | | | | | | | 200 | | | | 218,594 | |
| | | | | | | | | | | | |
|
Utilities(a)(b)(j) — 0.1% | |
Electricite de France SA | | | | | | | | | | | | |
3.00% | | | | | | | 200 | | | | 233,962 | |
2.88% | | | | | | | 200 | | | | 233,393 | |
3.38% | | | | | | | 400 | | | | 470,200 | |
6.00% | | | GBP | | | | 100 | | | | 146,961 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,084,516 | |
|
Wireless Telecommunication Services — 0.0% | |
Vodafone Group PLC, 4.20%, 10/03/78(a)(b) | | | EUR | | | | 200 | | | | 250,297 | |
| | | | | | | | | | | | |
| | | |
Total Capital Trusts — 1.8% | | | | | | | | | | | 26,398,579 | |
| | | | | | | | | | | | |
| | | |
| | | | | |
Shares | | | | |
| | | |
Preferred Stocks — 1.0% | | | | | | | | | | | | |
Banks — 0.0% | | | | | | | | | | | | |
CF-B L2 (D) LLC, (Acquired 04/08/15, Cost: $666,513)(e) | | | | | | | 680,898 | | | | 7,006 | |
| | | | | | | | | | | | |
|
Commercial Services & Supplies — 0.1% | |
Verscend Intermediate Holding(f)(j) | | | | | | | 790 | | | | 888,007 | |
| | | | | | | | | | | | |
| | | |
| Insurance — 0.1% | | | | | | | | | |
Alliant Holdings, Inc.(f) | | | | | | | 1,431 | | | | 1,486,794 | |
| | | | | | | | | | | | |
| | | |
| Interactive Media & Services — 0.7% | | | | | | | | | |
ByteDance Ltd., Series E-1, (Acquired 11/11/20, Cost: $7,000,256)(e)(f) | | | | | | | 63,886 | | | | 10,448,566 | |
| | | | | | | | | | | | |
|
| Wireless Telecommunication Services — 0.1% | |
Ligado Networks LLC, 01/14/22(p) | | | | | | | 32,168 | | | | 1,351,073 | |
| | | | | | | | | | | | |
| |
Total Preferred Stocks — 1.0% | | | | 14,181,446 | |
| | | | | | | | | | | | |
| |
Total Preferred Securities — 2.8%
(Cost: $40,313,995) | | | | 40,580,025 | |
| | | | | | | | | | | | |
| |
Total Long-Term Investments — 143.7%
(Cost: $2,056,605,136) | | | | 2,105,341,344 | |
| | | | | | | | | | | | |
| |
Options Purchased — 0.0%
(Cost: $16,636) | | | | 7,605 | |
| | | | | | | | | | | | |
| |
Total Investments Before Options Written — 143.7%
(Cost: $2,056,621,772) | | | | 2,105,348,949 | |
| | | | | | | | | | | | |
| |
Options Written — (0.0)% | | | | | |
(Premiums Received: $(12,208)) | | | | (4,520 | ) |
| | | | | | | | | | | | |
| |
Total Investments, Net of Options Written — 143.7%
(Cost: $2,056,609,564) | | | | 2,105,344,429 | |
Liabilities in Excess of Other Assets — (43.7)% | | | | (640,173,582 | ) |
| | | | | | | | | | | | |
| | | |
Net Assets — 100.0% | | | | | | | | | | $ | 1,465,170,847 | |
| | | | | | | | | | | | |
| (a) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
| (b) | 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. |
| (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) | Non-income producing security. |
| (e) | Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $11,924,265, representing 0.8% of its net assets as of period end, and an original cost of $9,266,121. |
| (f) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| (g) | All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
| (h) | 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. |
| (i) | Issuer filed for bankruptcy and/or is in default. |
| (j) | Perpetual security with no stated maturity date. |
| (l) | When-issued security. |
| (m) | Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
| (n) | 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. |
| (o) | Affiliate of the Trust. |
| (p) | 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. |
For Trust compliance purposes, the Trust’s 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.
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 81 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | 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, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| Affiliated Issuer | | Value at
12/31/20 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net
Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value at
12/31/21 | | | Shares
Held at
12/31/21 | | | Income | | | Capital Gain
Distributions
from
Underlying
Funds | |
| | | | | | | | | |
BlackRock Liquidity Funds, T-Fund, Institutional Class(a) | | $ | — | | | $ | — | (b) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | — | | | $ | 204 | | | $ | — | |
iShares Preferred & Income Securities ETF | | | 9,511,970 | | | | — | | | | (1,675,627 | ) | | | 62,881 | | | | 105,066 | | | | 8,004,290 | | | | 203,000 | | | | 362,961 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | | | | | | $ | 62,881 | | | $ | 105,066 | | | $ | 8,004,290 | | | | | | | $ | 363,165 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | As of period end, the entity is no longer held. | |
| | (b) | Represents net amount purchased (sold). | |
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 | | | | | | | | | | | | | | | | |
Euro Bund | | | 3 | | | | 03/08/22 | | | $ | 585 | | | $ | 8,502 | |
10-Year U.S. Treasury Note | | | 3 | | | | 03/22/22 | | | | 391 | | | | (4,176 | ) |
U.S. Long Bond | | | 4 | | | | 03/22/22 | | | | 640 | | | | (3,163 | ) |
Long Gilt | | | 2 | | | | 03/29/22 | | | | 338 | | | | 323 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | $ | 1,486 | |
| | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| Currency Purchased | | | | | | | | Currency Sold | | | Counterparty | | Settlement Date | | | | | Unrealized Appreciation (Depreciation) | |
| | | | | | | | |
| USD | | | 190,174 | | | | | | | CAD | | | 243,000 | | | Morgan Stanley & Co. International PLC | | | 03/16/22 | | | | | $ | (1,900 | ) |
| USD | | | 43,532,339 | | | | | | | EUR | | | 38,440,000 | | | Natwest Markets PLC | | | 03/16/22 | | | | | | (295,874 | ) |
| USD | | | 6,915,559 | | | | | | | GBP | | | 5,215,000 | | | JPMorgan Chase Bank N.A. | | | 03/16/22 | | | | | | (141,059 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (438,833 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange-Traded Options Purchased
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Description | | Number of Contracts | | | Expiration Date | | | Exercise Price | | | Notional Amount (000) | | | Value | |
| | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | |
Euro Stoxx 50 | | | 20 | | | | 01/21/22 | | | EUR | 4,200.00 | | | | EUR | | | | 860 | | | $ | 7,605 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Exchange-Traded Options Written
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Description | | Number of Contracts | | | Expiration Date | | | Exercise Price | | | Notional Amount (000) | | | Value | |
| | | | | | |
Put | | | | | | | | | | | | | | | | | | | | | | | | |
Euro Stoxx 50 | | | 20 | | | | 01/21/22 | | | EUR | 4,100.00 | | | | EUR | | | | 860 | | | $ | (4,520 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| 82 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) |
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 | | | N/R | | USD | | | 856 | | | $ | (6,338 | ) | | $ | (26,977 | ) | | $ | 20,639 | |
CenturyLink, Inc. | | | 1.00 | | | | Quarterly | | | Barclays Bank PLC | | | 06/20/25 | | | N/R | | USD | | | 1,221 | | | | (47,719 | ) | | | (117,781 | ) | | | 70,062 | |
Adler Real Estate AG | | | 5.00 | | | | Quarterly | | | Morgan Stanley & Co.
International PLC | | | 12/20/25 | | | N/R | | EUR | | | 60 | | | | (1,646 | ) | | | 8,250 | | | | (9,896 | ) |
Virgin Media Finance PLC | | | 5.00 | | | | Quarterly | | | JPMorgan Chase Bank N.A. | | | 12/20/25 | | | B | | EUR | | | 70 | | | | 9,246 | | | | 7,441 | | | | 1,805 | |
Adler Real Estate AG | | | 5.00 | | | | Quarterly | | | JPMorgan Chase Bank N.A. | | | 06/20/26 | | | N/R | | EUR | | | 50 | | | | (1,113 | ) | | | 4,640 | | | | (5,753 | ) |
Adler Real Estate AG | | | 5.00 | | | | Quarterly | | | JPMorgan Chase Bank N.A. | | | 06/20/26 | | | N/R | | EUR | | | 50 | | | | (1,113 | ) | | | 5,213 | | | | (6,326 | ) |
CMA CGM SA | | | 5.00 | | | | Quarterly | | | Credit Suisse International | | | 06/20/26 | | | BB- | | EUR | | | 30 | | | | 3,227 | | | | 1,389 | | | | 1,838 | |
CMA CGM SA | | | 5.00 | | | | Quarterly | | | Goldman Sachs International | | | 06/20/26 | | | BB- | | EUR | | | 20 | | | | 2,152 | | | | 1,674 | | | | 478 | |
Adler Real Estate AG | | | 5.00 | | | | Quarterly | | | Citibank N.A. | | | 12/20/26 | | | BB- | | EUR | | | 20 | | | | (345 | ) | | | 485 | | | | (830 | ) |
Adler Real Estate AG | | | 5.00 | | | | Quarterly | | | Goldman Sachs International | | | 12/20/26 | | | BB- | | EUR | | | 10 | | | | (172 | ) | | | (23 | ) | | | (149 | ) |
Adler Real Estate AG | | | 5.00 | | | | Quarterly | | | JPMorgan Chase Bank N.A. | | | 12/20/26 | | | BB- | | EUR | | | 40 | | | | (691 | ) | | | 0 | | | | (691 | ) |
Adler Real Estate AG | | | 5.00 | | | | Quarterly | | | Morgan Stanley & Co.
International PLC | | | 12/20/26 | | | BB- | | EUR | | | 10 | | | | (173 | ) | | | 47 | | | | (220 | ) |
Altice Finco SA | | | 5.00 | | | | Quarterly | | | Barclays Bank PLC | | | 12/20/26 | | | CCC+ | | EUR | | | 90 | | | | 4,547 | | | | 4,137 | | | | 410 | |
Altice France SA | | | 5.00 | | | | Quarterly | | | Credit Suisse International | | | 12/20/26 | | | B | | EUR | | | 80 | | | | 6,229 | | | | 5,994 | | | | 235 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (33,909 | ) | | $ | (105,511 | ) | | $ | 71,602 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid by the Trust | | Received by the Trust | | Counterparty | | Effective
Date | | | Termination
Date | | | | | | | | Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
Depreciation | |
| Rate | | Frequency | | Reference | | Frequency | | Notional
Amount (000) | |
3-Month LIBOR,
0.21% | | Quarterly | | Markit iBoxx $ Liquid
High Yield Index | | Monthly | | JPMorgan Chase Bank N.A. | | | N/A | | | | 03/20/22 | | | USD | | | 1,000 | | | $ | 16,128 | | | $ | — | | | $ | 16,128 | |
3-Month LIBOR,
0.21% | | Quarterly | | Markit iBoxx $ Liquid
High Yield Index | | Monthly | | Morgan Stanley & Co.
International PLC | | | N/A | | | | 03/20/22 | | | USD | | | 8,984 | | | | 125,326 | | | | — | | | | 125,326 | |
3-Month LIBOR,
0.21% | | Quarterly | | Markit iBoxx $ Liquid
High Yield Index | | Monthly | | Morgan Stanley & Co.
International PLC | | | N/A | | | | 03/20/22 | | | USD | | | 3,084 | | | | 43,021 | | | | — | | | | 43,021 | |
3-Month LIBOR,
0.21% | | Quarterly | | Markit iBoxx $ Liquid
High Yield Index | | Monthly | | Morgan Stanley & Co.
International PLC | | | N/A | | | | 03/20/22 | | | USD | | | 3,546 | | | | 80,275 | | | | — | �� | | | 80,275 | |
3-Month LIBOR,
0.21% | | Quarterly | | Markit iBoxx $ Liquid
High Yield Index | | Monthly | | Morgan Stanley & Co.
International PLC | | | N/A | | | | 03/20/22 | | | USD | | | 1,513 | | | | 21,811 | | | | — | | | | 21,811 | |
3-Month LIBOR,
0.21% | | Quarterly | | Markit iBoxx $ Liquid
High Yield Index | | Monthly | | JPMorgan Chase Bank N.A. | | | N/A | | | | 06/20/22 | | | USD | | | 2,048 | | | | 22,878 | | | | (312 | ) | | | 23,190 | |
3-Month LIBOR,
0.21% | | Quarterly | | Markit iBoxx $ Liquid
High Yield Index | | Monthly | | Morgan Stanley & Co.
International PLC | | | N/A | | | | 06/20/22 | | | USD | | | 9,430 | | | | 45,886 | | | | — | | | | 45,886 | |
3-Month LIBOR,
0.21% | | Quarterly | | Markit iBoxx $ Liquid
High Yield Index | | Monthly | | Morgan Stanley & Co.
International PLC | | | N/A | | | | 06/20/22 | | | USD | | | 3,071 | | | | 31,456 | | | | (323 | ) | | | 31,779 | |
3-Month LIBOR,
0.21% | | Quarterly | | Markit iBoxx $ Liquid
High Yield Index | | Monthly | | Morgan Stanley & Co.
International PLC | | | N/A | | | | 06/20/22 | | | USD | | | 3,507 | | | | 43,523 | | | | (428 | ) | | | 43,951 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | 430,304 | | | $ | (1,063 | ) | | $ | 431,367 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balances Reported in the Consolidated 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 | | | $ 39,270 | | | | $ (145,844) | | | | $ 526,834 | | | | $ (23,865) | | | | $ — | |
Options Written | | | N/A | | | | N/A | | | | 7,688 | | | | — | | | | (4,520) | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 83 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Consolidated 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) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 8,825 | | | $ | — | | | $ | 8,825 | |
Options purchased | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments at value — unaffiliated(b) | | | — | | | | — | | | | 7,605 | | | | — | | | | — | | | | — | | | | 7,605 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on OTC swaps; Swap premiums paid | | | — | | | | 134,737 | | | | — | | | | — | | | | 431,367 | | | | — | | | | 566,104 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 134,737 | | | $ | 7,605 | | | $ | — | | | $ | 440,192 | | | $ | — | | | $ | 582,534 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on futures contracts(a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 7,339 | | | $ | — | | | $ | 7,339 | |
Forward foreign currency exchange contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 438,833 | | | | — | | | | — | | | | 438,833 | |
Options written | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Options written at value | | | — | | | | — | | | | 4,520 | | | | — | | | | — | | | | — | | | | 4,520 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on OTC swaps; Swap premiums received | | | — | | | | 168,646 | | | | — | | | | — | | | | 1,063 | | | | — | | | | 169,709 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 168,646 | | | $ | 4,520 | | | $ | 438,833 | | | $ | 8,402 | | | $ | — | | | $ | 620,401 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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 day’s 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. | |
For the period ended December 31, 2021, 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 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 4,634,475 | | | $ | — | | | $ | 4,634,475 | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 3,121,314 | | | | — | | | | — | | | | 3,121,314 | |
Options purchased(a) | | | — | | | | — | | | | 57,200 | | | | — | | | | (6,666 | ) | | | — | | | | 50,534 | |
Options written | | | — | | | | — | | | | (2,494 | ) | | | — | | | | 1,834 | | | | — | | | | (660 | ) |
Swaps | | | — | | | | 36,034 | | | | — | | | | — | | | | 2,217,648 | | | | — | | | | 2,253,682 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 36,034 | | | $ | 54,706 | | | | $ 3,121,314 | | | $ | 6,847,291 | | | $ | — | | | $ | 10,059,345 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (85,936 | ) | | $ | — | | | $ | (85,936 | ) |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 878,228 | | | | — | | | | — | | | | 878,228 | |
Options purchased(b) | | | — | | | | — | | | | (2,929 | ) | | | — | | | | — | | | | — | | | | (2,929 | ) |
Options written | | | — | | | | — | | | | 7,688 | | | | — | | | | — | | | | — | | | | 7,688 | |
Swaps | | | — | | | | 28,359 | | | | — | | | | — | | | | (776,814 | ) | | | — | | | | (748,455 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 28,359 | | | $ | 4,759 | | | | $878,228 | | | $ | (862,750 | ) | | $ | — | | | $ | 48,596 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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. | |
| | |
| 84 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts: | | | | |
Average notional value of contracts — short | | $ | 28,508,446 | |
Forward foreign currency exchange contracts: | | | | |
Average amounts purchased — in USD | | $ | 742,511 | |
Average amounts sold — in USD | | $ | 53,687,597 | |
Options: | | | | |
Average value of option contracts purchased | | $ | 13,449 | |
Average value of option contracts written | | $ | 1,130 | |
Credit default swaps: | | | | |
Average notional value — buy protection | | $ | 79,547 | |
Average notional value — sell protection | | $ | 2,497,129 | |
Total return swaps: | | | | |
Average notional value | | $ | 36,183,000 | |
For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Trust’s derivative assets and liabilities (by type) were as follows:
| | | | | | | | |
| | | Assets | | | Liabilities | |
Derivative Financial Instruments | | | | | | | | |
Futures contracts | | $ | 234 | | | $ | 523 | |
Forward foreign currency exchange contracts | | | — | | | | 438,833 | |
Options | | | 7,605 | (a) | | | 4,520 | |
Swaps — OTC(b) | | | 566,104 | | | | 169,709 | |
| | | | | | | | |
| | |
Total derivative assets and liabilities in the Consolidated Statements of Assets and Liabilities | | | 573,943 | | | | 613,585 | |
| | | | | | | | |
| | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | (7,839 | ) | | | (5,043 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to an MNA | | $ | 566,104 | | | $ | 608,542 | |
| | | | | | | | |
| | (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. | |
The following table presents the Trust’s 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 |
(b) | |
| Net Amount
of Derivative
Assets |
(c) |
Barclays Bank PLC | | $ | 95,248 | | | $ | (95,248 | ) | | $ | — | | | $ | — | | | $ | — | |
Citibank N.A. | | | 485 | | | | (485 | ) | | | — | | | | — | | | | — | |
Credit Suisse International | | | 9,456 | | | | — | | | | — | | | | — | | | | 9,456 | |
Goldman Sachs International | | | 2,152 | | | | (172 | ) | | | — | | | | — | | | | 1,980 | |
JPMorgan Chase Bank N.A. | | | 58,417 | | | | (58,417 | ) | | | — | | | | — | | | | — | |
Morgan Stanley & Co. International PLC | | | 400,346 | | | | (12,767 | ) | | | — | | | | (387,579 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | $ | 566,104 | | | $ | (167,089 | ) | | $ | — | | | $ | (387,579 | ) | | $ | 11,436 | |
| | | | | | | | | | | | | | | | | | | | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 85 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) |
| | | | | | | | | | | | | | | | | | | | |
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 |
(d)(e) |
Barclays Bank PLC | | $ | 144,758 | | | $ | (95,248 | ) | | $ | — | | | $ | — | | | $ | 49,510 | |
Citibank N.A. | | | 830 | | | | (485 | ) | | | — | | | | — | | | | 345 | |
Goldman Sachs International | | | 172 | | | | (172 | ) | | | — | | | | — | | | | — | |
JPMorgan Chase Bank N.A. | | | 154,141 | | | | (58,417 | ) | | | — | | | | — | | | | 95,724 | |
Morgan Stanley & Co. International PLC | | | 12,767 | | | | (12,767 | ) | | | — | | | | — | | | | — | |
Natwest Markets PLC | | | 295,874 | | | | — | | | | — | | | | — | | | | 295,874 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 608,542 | | | $ | (167,089 | ) | | $ | — | | | $ | — | | | $ | 441,453 | |
| | | | | | | | | | | | | | | | | | | | |
| | (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 receivable from the counterparty in the event of default. | |
| | (d) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. | |
| | (e) | 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 Consolidated 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 Trust’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments 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 | | $ | — | | | $ | 3,470,402 | | | $ | — | | | $ | 3,470,402 | |
Common Stocks | | | | | | | | | | | | | | | | |
Auto Components | | | 41,530 | | | | — | | | | — | | | | 41,530 | |
Building Products | | | 51,789 | | | | — | | | | — | | | | 51,789 | |
Chemicals | | | 4,205,365 | | | | — | | | | — | | | | 4,205,365 | |
Communications Equipment | | | 529,434 | | | | — | | | | — | | | | 529,434 | |
Consumer Finance | | | 48 | | | | — | | | | — | | | | 48 | |
Containers & Packaging | | | — | | | | 1,468,693 | | | | — | | | | 1,468,693 | |
Diversified Financial Services | | | — | | | | — | | | | 22,236 | | | | 22,236 | |
Diversified Telecommunication Services | | | 51,569 | | | | — | | | | — | | | | 51,569 | |
Electrical Equipment | | | 1,572,602 | | | | — | | | | — | | | | 1,572,602 | |
Equity Real Estate Investment Trusts (REITs) | | | 10,102,956 | | | | — | | | | — | | | | 10,102,956 | |
Hotels, Restaurants & Leisure | | | 1,045,729 | | | | — | | | | — | | | | 1,045,729 | |
Life Sciences Tools & Services | | | 4,498,864 | | | | — | | | | — | | | | 4,498,864 | |
Media | | | 1,603,350 | | | | — | | | | — | | | | 1,603,350 | |
Metals & Mining | | | 2,060,653 | | | | — | | | | — | | | | 2,060,653 | |
Oil, Gas & Consumable Fuels | | | 19,400,028 | | | | — | | | | — | | | | 19,400,028 | |
Road & Rail | | | 711,552 | | | | — | | | | — | | | | 711,552 | |
Semiconductors & Semiconductor Equipment | | | 1,057,233 | | | | — | | | | — | | | | 1,057,233 | |
Software | | | 1,725,450 | | | | — | | | | — | | | | 1,725,450 | |
Corporate Bonds | | | | | | | | | | | | | | | | |
Aerospace & Defense | | | — | | | | 63,637,624 | | | | — | | | | 63,637,624 | |
Airlines | | | 208,166 | | | | 35,841,197 | | | | — | | | | 36,049,363 | |
Auto Components | | | — | | | | 29,711,909 | | | | — | | | | 29,711,909 | |
Automobiles | | | — | | | | 35,321,597 | | | | — | | | | 35,321,597 | |
Banks | | | — | | | | 10,667,501 | | | | — | | | | 10,667,501 | |
Beverages | | | — | | | | 29,664,851 | | | | — | | | | 29,664,851 | |
Biotechnology | | | — | | | | 411,996 | | | | — | | | | 411,996 | |
Building Materials | | | — | | | | 20,278,187 | | | | — | | | | 20,278,187 | |
Building Products | | | — | | | | 18,468,412 | | | | — | | | | 18,468,412 | |
Capital Markets | | | — | | | | 18,842,831 | | | | — | | | | 18,842,831 | |
Chemicals | | | — | | | | 39,503,092 | | | | — | | | | 39,503,092 | |
Commercial Services & Supplies | | | — | | | | 22,242,098 | | | | — | | | | 22,242,098 | |
| | |
| 86 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | 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) | | | | | | | | | | | | | | | | |
Communications Equipment | | $ | — | | | $ | 17,764,060 | | | $ | — | | | $ | 17,764,060 | |
Construction Materials | | | — | | | | 7,793,244 | | | | — | | | | 7,793,244 | |
Consumer Discretionary | | | — | | | | 38,057,459 | | | | — | | | | 38,057,459 | |
Consumer Finance | | | 106,928 | | | | 39,096,698 | | | | — | | | | 39,203,626 | |
Containers & Packaging | | | — | | | | 4,760,096 | | | | — | | | | 4,760,096 | |
Diversified Consumer Services | | | — | | | | 37,941,838 | | | | — | | | | 37,941,838 | |
Diversified Financial Services | | | — | | | | 22,851,343 | | | | — | | | | 22,851,343 | |
Diversified Telecommunication Services | | | — | | | | 56,961,515 | | | | — | | | | 56,961,515 | |
Electric Utilities | | | — | | | | 14,077,844 | | | | — | | | | 14,077,844 | |
Electrical Equipment | | | — | | | | 2,755,585 | | | | — | | | | 2,755,585 | |
Electronic Equipment, Instruments & Components | | | — | | | | 8,438,474 | | | | — | | | | 8,438,474 | |
Energy Equipment & Services | | | — | | | | 9,622,923 | | | | — | | | | 9,622,923 | |
Environmental, Maintenance & Security Service | | | — | | | | 14,773,044 | | | | — | | | | 14,773,044 | |
Equity Real Estate Investment Trusts (REITs) | | | — | | | | 30,776,582 | | | | — | | | | 30,776,582 | |
Food & Staples Retailing | | | — | | | | 39,365,187 | | | | — | | | | 39,365,187 | |
Food Products | | | — | | | | 12,069,412 | | | | — | | | | 12,069,412 | |
Gas Utilities | | | — | | | | 790,798 | | | | — | | | | 790,798 | |
Health Care Equipment & Supplies | | | — | | | | 13,721,546 | | | | — | | | | 13,721,546 | |
Health Care Providers & Services | | | — | | | | 96,338,020 | | | | — | | | | 96,338,020 | |
Health Care Technology | | | — | | | | 19,269,084 | | | | — | | | | 19,269,084 | |
Healthcare | | | — | | | | 381,632 | | | | — | | | | 381,632 | |
Hotels, Restaurants & Leisure | | | 92,621 | | | | 85,239,685 | | | | — | | | | 85,332,306 | |
Household Durables | | | — | | | | 22,728,655 | | | | — | | | | 22,728,655 | |
Independent Power and Renewable Electricity Producers | | | — | | | | 15,318,976 | | | | — | | | | 15,318,976 | |
Insurance | | | — | | | | 35,135,676 | | | | — | | | | 35,135,676 | |
Interactive Media & Services | | | — | | | | 8,580,526 | | | | — | | | | 8,580,526 | |
Internet & Direct Marketing Retail | | | — | | | | 301,891 | | | | — | | | | 301,891 | |
Internet Software & Services | | | — | | | | 19,133,061 | | | | — | | | | 19,133,061 | |
IT Services | | | — | | | | 31,468,369 | | | | — | | | | 31,468,369 | |
Leisure Products | | | — | | | | 5,052,856 | | | | — | | | | 5,052,856 | |
Machinery | | | — | | | | 18,939,152 | | | | — | | | | 18,939,152 | |
Media | | | — | | | | 192,163,383 | | | | — | | | | 192,163,383 | |
Metals & Mining | | | — | | | | 41,658,885 | | | | — | | | | 41,658,885 | |
Mortgage Real Estate Investment Trusts (REITs) | | | — | | | | 162,495 | | | | — | | | | 162,495 | |
Multiline Retail | | | — | | | | 6,422,336 | | | | — | | | | 6,422,336 | |
Offshore Drilling & Other Services | | | — | | | | 1,601,855 | | | | — | | | | 1,601,855 | |
Oil, Gas & Consumable Fuels | | | 1,007,483 | | | | 217,051,954 | | | | — | | | | 218,059,437 | |
Personal Products | | | — | | | | 1,490,713 | | | | — | | | | 1,490,713 | |
Pharmaceuticals | | | — | | | | 39,288,019 | | | | — | | | | 39,288,019 | |
Real Estate Management & Development | | | — | | | | 12,544,416 | | | | — | | | | 12,544,416 | |
Road & Rail | | | — | | | | 2,957,097 | | | | — | | | | 2,957,097 | |
Semiconductors & Semiconductor Equipment | | | 312,961 | | | | 10,639,881 | | | | — | | | | 10,952,842 | |
Software | | | — | | | | 38,238,942 | | | | — | | | | 38,238,942 | |
Specialty Retail | | | — | | | | 15,860,663 | | | | — | | | | 15,860,663 | |
Technology Hardware, Storage & Peripherals | | | — | | | | 1,569,615 | | | | — | | | | 1,569,615 | |
Textiles, Apparel & Luxury Goods | | | 197,215 | | | | 4,559,387 | | | | — | | | | 4,756,602 | |
Thrifts & Mortgage Finance | | | — | | | | 7,237,449 | | | | — | | | | 7,237,449 | |
Transportation | | | — | | | | 266,119 | | | | — | | | | 266,119 | |
Transportation Infrastructure | | | — | | | | 286,212 | | | | — | | | | 286,212 | |
Utilities | | | — | | | | 4,892,053 | | | | — | | | | 4,892,053 | |
Wireless Telecommunication Services | | | — | | | | 49,272,814 | | | | — | | | | 49,272,814 | |
Floating Rate Loan Interests | | | — | | | | 283,296,316 | | | | 15,655,042 | | | | 298,951,358 | |
Investment Companies | | | 8,004,290 | | | | — | | | | — | | | | 8,004,290 | |
Preferred Securities | | | | | | | | | | | | | | | | |
Capital Trusts | | | — | | | | 26,398,579 | | | | — | | | | 26,398,579 | |
Preferred Stocks | | | 1,351,073 | | | | — | | | | 12,823,367 | | | | 14,174,440 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 87 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2021 | | BlackRock Corporate High Yield Fund, Inc. (HYT) |
Fair Value Hierarchy as of Period End (continued)
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Options Purchased | | | | | | | | | | | | | | | | |
Equity Contracts | | $ | 7,605 | | | $ | — | | | $ | — | | | $ | 7,605 | |
Unfunded Floating Rate Loan Interests(a) | | | — | | | | 8,882 | | | | — | | | | 8,882 | |
| | | | | | | | | | | | | | | | |
| | $ | 59,946,494 | | | $ | 2,016,903,686 | | | $ | 28,500,645 | | | | 2,105,350,825 | |
| | | | | | | | | | | | | | | | |
Investments Valued at NAV(b) | | | | | | | | | | | | | | | 7,006 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 2,105,357,831 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(c) | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Credit Contracts | | $ | — | | | $ | 95,467 | | | $ | — | | | $ | 95,467 | |
Interest Rate Contracts | | | 8,825 | | | | 431,367 | | | | — | | | | 440,192 | |
Liabilities | | | | | | | | | | | | | | | | |
Credit Contracts | | | — | | | | (23,865 | ) | | | — | | | | (23,865 | ) |
Equity Contracts | | | (4,520 | ) | | | — | | | | — | | | | (4,520 | ) |
Foreign Currency Exchange Contracts | | | — | | | | (438,833 | ) | | | — | | | | (438,833 | ) |
Interest Rate Contracts | | | (7,339 | ) | | | — | | | | — | | | | (7,339 | ) |
| | | | | | | | | | | | | | | | |
| | $ | (3,034 | ) | | $ | 64,136 | | | $ | — | | | $ | 61,102 | |
| | | | | | | | | | | | | | | | |
| | (a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. | |
| | (b) | 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. | |
| | (c) | 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 $647,000,000 are categorized as Level 2 within the fair value 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 | | | Preferred Stocks | | | Total | |
Assets | | | | | | | | | | | | | | | | | | | | |
Opening balance, as of December 31, 2020 | | $ | 1,712,957 | | | $ | 2,451,440 | | | $ | 19,366,986 | | | $ | 10,338,450 | | | $ | 33,869,833 | |
Transfers into Level 3(a) | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfers out of Level 3(b) | | | — | | | | — | | | | (12,820,936 | ) | | | (1,930,104 | ) | | | (14,751,040 | ) |
Accrued discounts/premiums | | | — | | | | 110,086 | | | | 23,248 | | | | — | | | | 133,334 | |
Net realized gain (loss) | | | (3,355,506 | ) | | | 544,272 | | | | 35,545 | | | | — | | | | (2,775,689 | ) |
Net change in unrealized appreciation (depreciation)(c)(d) | | | 4,102,434 | | | | 71,681 | | | | 407,404 | | | | 3,640,821 | | | | 8,222,340 | |
Purchases | | | — | | | | 64,245 | | | | 12,163,865 | | | | 7,774,456 | | | | 20,002,566 | |
Sales | | | (2,437,649 | ) | | | (3,241,724 | ) | | | (3,521,070 | ) | | | (7,000,256 | ) | | | (16,200,699 | ) |
| | | | | | | | | | | | | | | | | | | | |
Closing balance, as of December 31, 2021 | | $ | 22,236 | | | $ | — | | | $ | 15,655,042 | | | $ | 12,823,367 | | | $ | 28,500,645 | |
| | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2021(c) | | $ | (23,305 | ) | | $ | — | | | $ | 127,403 | | | $ | 3,640,821 | | | $ | 3,744,919 | |
| | | | | | | | | | | | | | | | | | | | |
| | (a) | As of December 31, 2020, the Trust used observable inputs in determining the value of certain investments. As of December 31, 2021, 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, 2020, the Trust used significant unobservable inputs in determining the value of certain investments. As of December 31, 2021, 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 Consolidated 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, 2021 is generally due to investments no longer held or categorized as Level 3 at period end. | |
See notes to financial statements.
| | |
| 88 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments December 31, 2021 | | 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%), 2.28%, 10/21/28(a)(b) | | $ | 500 | | | $ | 500,244 | |
Allegro CLO VI Ltd.(a)(b) | | | | | | | | |
Series 2017-2A, Class B, (3 mo. LIBOR US + 1.50%), 1.62%, 01/17/31 | | | 360 | | | | 358,139 | |
Series 2017-2A, Class C, (3 mo. LIBOR US + 1.80%), 1.92%, 01/17/31 | | | 2,400 | | | | 2,384,138 | |
American Airlines Group, Inc., 5.18%, 08/15/23(c) | | | 1,329 | | | | 1,330,249 | |
Anchorage Capital CLO Ltd.(a)(b) | | | | | | | | |
Series 2013-1A, Class BR, (3 mo. LIBOR US + 2.15%), 2.27%, 10/13/30 | | | 1,000 | | | | 1,001,123 | |
Series 2014-3RA, Class C, (3 mo. LIBOR US + 1.85%), 1.99%, 01/28/31 | | | 1,000 | | | | 997,744 | |
Series 2014-3RA, Class D, (3 mo. LIBOR US + 2.60%), 2.74%, 01/28/31 | | | 1,000 | | | | 975,184 | |
Apidos CLO XV, Series 2013-15A, Class DRR, (3 mo LIBOR US + 2.70%), 2.83%, 04/20/31(a)(b) | | | 1,000 | | | | 972,690 | |
Apidos CLO XX, Series 2015-20A, Class BRR, (3 mo LIBOR US + 1.95%), 2.07%, 07/16/31(a)(b) | | | 1,000 | | | | 994,834 | |
Ares XLIX CLO Ltd., Series 2018-49A, Class D, (3 mo. LIBOR US + 3.00%), 3.13%, 07/22/30(a)(b) | | | 1,000 | | | | 994,371 | |
ARES XLVII CLO Ltd., Series 2018-47A, Class D, (3 mo. LIBOR US + 2.70%), 2.82%, 04/15/30(a)(b) | | | 1,500 | | | | 1,467,025 | |
Ares XLVIII CLO Ltd., Series 2018-48A, Class C, (3 mo. LIBOR US + 1.80%), 1.93%, 07/20/30(a)(b) | | | 500 | | | | 495,987 | |
Ares XXXVII CLO Ltd.(a)(b) | | | | | | | | |
Series 2015-4A, Class A3R, (3 mo. LIBOR US + 1.50%), 1.62%, 10/15/30 | | | 1,000 | | | | 995,493 | |
Series 2015-4A, Class BR, (3 mo. LIBOR US + 1.80%), 1.92%, 10/15/30 | | | 1,750 | | | | 1,737,050 | |
Atlas Senior Loan Fund XII Ltd., Series 2018-12A, Class A1, (3 mo. LIBOR US + 1.18%), 1.30%, 10/24/31(a)(b) | | | 400 | | | | 400,009 | |
Atrium XV, Series 15A, Class C, (3 mo. LIBOR US + 2.20%), 2.32%, 01/23/31(a)(b) | | | 250 | | | | 250,022 | |
Benefit Street Partners Clo XII Ltd., Series 2017-12A, Class B, (3 mo. LIBOR US + 2.00%), 2.12%, 10/15/30(a)(b) | | | 1,000 | | | | 995,145 | |
Canyon CLO Ltd., Series 2020-3A, Class C, (3 mo LIBOR US + 2.50%), 2.62%, 01/15/34(a)(b) | | | 500 | | | | 502,077 | |
CarVal CLO I Ltd., Series 2018-1A, Class D, (3 mo LIBOR US + 2.89%), 3.01%, 07/16/31(a)(b) | | | 500 | | | | 496,768 | |
Cent CLO Ltd., Series C17A, Class BR, (3 mo. LIBOR US + 1.85%), 1.98%, 04/30/31(a)(b) | | | 1,000 | | | | 992,318 | |
CIFC Funding II Ltd.(a)(b) | | | | | | | | |
Series 2013-2A, Class A3LR, (3 mo. LIBOR US + 1.95%), 2.07%, 10/18/30 | | | 1,000 | | | | 993,035 | |
Series 2013-2A, Class B1LR, (3 mo. LIBOR US + 3.05%), 3.17%, 10/18/30 | | | 1,000 | | | | 989,864 | |
CIFC Funding Ltd.(a)(b) | | | | | | | | |
Series 2018-1A, Class C, (3 mo. LIBOR US + 1.75%), 1.87%, 04/18/31 | | | 1,000 | | | | 989,980 | |
Series 2018-1A, Class D, (3 mo. LIBOR US + 2.65%), 2.77%, 04/18/31 | | | 1,200 | | | | 1,177,461 | |
Elevation CLO Ltd., Series 2017-7A, Class C, (3 mo LIBOR US + 1.90%), 2.02%, 07/15/30(a)(b) | | | 1,500 | | | | 1,469,071 | |
Galaxy XX CLO Ltd., Series 2015-20A, Class D1R, (3 mo. LIBOR US + 2.60%), 2.73%, 04/20/31(a)(b) | | | 1,000 | | | | 984,425 | |
Greenwood Park CLO Ltd., Series 2018-1A, Class D, (3 mo. LIBOR US + 2.50%), 2.62%, 04/15/31(a)(b) | | | 1,000 | | | | 988,327 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
Asset-Backed Securities (continued) | | | | | | | | |
Highbridge Loan Management Ltd.(a)(b) | | | | | | | | |
Series 12A-18, Class B, (3 mo. LIBOR US + 1.85%), 1.97%, 07/18/31 | | $ | 1,250 | | | $ | 1,243,774 | |
Series 4A-2014, Class A2R, (3 mo. LIBOR US + 1.50%), 1.64%, 01/28/30 | | | 650 | | | | 645,942 | |
Series 6A-2015, Class BR, (3 mo. LIBOR US + 1.75%), 1.89%, 02/05/31 | | | 1,500 | | | | 1,492,559 | |
Long Point Park CLO Ltd., Series 2017-1A, Class B, (3 mo. LIBOR US + 1.70%), 1.82%, 01/17/30(a)(b) | | | 1,000 | | | | 989,988 | |
Madison Park Funding XIII Ltd., Series 2014-13A, Class CR2, (3 mo. LIBOR US + 1.90%), 2.02%, 04/19/30(a)(b) | | | 1,000 | | | | 996,396 | |
Madison Park Funding XXVII Ltd.(a)(b) | | | | | | | | |
Series 2018-27A, Class B, (3 mo. LIBOR US + 1.80%), 1.93%, 04/20/30 | | | 1,000 | | | | 994,681 | |
Series 2018-27A, Class C, (3 mo. LIBOR US + 2.60%), 2.73%, 04/20/30 | | | 1,000 | | | | 984,272 | |
Marble Point CLO XI Ltd., Series 2017-2A, Class B, (3 mo. LIBOR US + 1.50%), 1.62%, 12/18/30(a)(b) | | | 1,000 | | | | 997,718 | |
MP CLO III Ltd., Series 2013-1A, Class CR, (3 mo LIBOR US + 2.00%), 2.13%, 10/20/30(a)(b) | | | 1,000 | | | | 990,310 | |
Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class CR2, (3 mo. LIBOR US + 3.00%), 3.13%, 10/21/30(a)(b) | | | 2,700 | | | | 2,661,637 | |
Neuberger Berman CLO XXII Ltd.(a)(b) | | | | | | | | |
Series 2016-22A, Class BR, (3 mo. LIBOR US + 1.65%), 1.77%, 10/17/30 | | | 400 | | | | 399,999 | |
Series 2016-22A, Class CR, (3 mo. LIBOR US + 2.20%), 2.32%, 10/17/30 | | | 1,000 | | | | 1,000,987 | |
Neuberger Berman CLO XXIII Ltd., Series 2016-23A, Class CR, (3 mo. LIBOR US + 2.15%), 2.27%, 10/17/27(a)(b) | | | 500 | | | | 500,500 | |
Neuberger Berman Loan Advisers CLO Ltd.(a)(b) | | | | | | | | |
Series 2017-26A, Class C, (3 mo. LIBOR US + 1.75%), 1.87%, 10/18/30 | | | 1,500 | | | | 1,496,307 | |
Series 2018-27A, Class D, (3 mo. LIBOR US + 2.60%), 2.72%, 01/15/30 | | | 1,000 | | | | 991,373 | |
OCP CLO Ltd.(a)(b) | | | | | | | | |
Series 2014-6A, Class BR, (3 mo. LIBOR US + 2.15%), 2.27%, 10/17/30 | | | 500 | | | | 500,056 | |
Series 2016-11A, Class BR, (3 mo. LIBOR US + 2.45%), 2.57%, 10/26/30 | | | 1,500 | | | | 1,500,820 | |
Series 2016-12A, Class BR, (3 mo. LIBOR US + 2.20%), 2.32%, 10/18/28 | | | 1,000 | | | | 1,000,170 | |
Series 2017-14A, Class B, (3 mo. LIBOR US + 1.95%), 2.11%, 11/20/30 | | | 1,000 | | | | 995,076 | |
Octagon Investment Partners 26 Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 2.85%), 2.97%, 07/15/30(a)(b) | | | 500 | | | | 488,525 | |
Octagon Investment Partners 34 Ltd., Series 2017-1A, Class B1, (3 mo. LIBOR US + 1.40%), 1.53%, 01/20/30(a)(b) | | | 1,000 | | | | 993,316 | |
Octagon Investment Partners Ltd., Series 2017-1A, Class C, (3 mo. LIBOR US + 2.75%), 2.88%, 01/20/31(a)(b) | | | 1,000 | | | | 986,607 | |
Octagon Investment Partners XVII Ltd.(a)(b) | | | | | | | | |
Series 2013-1A, Class BR2, (3 mo. LIBOR US + 1.40%), 1.52%, 01/25/31 | | | 1,000 | | | | 993,239 | |
Series 2013-1A, Class CR2, (3 mo. LIBOR US + 1.70%), 1.82%, 01/25/31 | | | 1,000 | | | | 992,361 | |
| | |
SCHEDULE OF INVESTMENTS | | 89 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Octagon Investment Partners XXII Ltd., Series 2014-1A, Class CRR, (3 mo. LIBOR US + 1.90%), 2.03%, 01/22/30(a)(b) | | $ | 900 | | | $ | 895,594 | |
OHA Credit Partners XII Ltd., Series 2015-12A, Class DR, (3 mo. LIBOR US + 2.90%), 3.02%, 07/23/30(a)(b) | | | 600 | | | | 595,421 | |
OZLM XXI Ltd., Series 2017-21A, Class B, (3 mo LIBOR US + 1.90%), 2.03%, 01/20/31(a)(b) | | | 1,800 | | | | 1,800,858 | |
Palmer Square CLO Ltd.(a)(b) | | | | | | | | |
Series 2018-1A, Class A2, (3 mo. LIBOR US + 1.45%), 1.57%, 04/18/31 | | | 1,500 | | | | 1,497,940 | |
Series 2019-1A, Class CR, (3 mo. LIBOR US + 3.05%), 3.19%, 11/14/34(c) | | | 1,000 | | | | 1,000,000 | |
Park Avenue Institutional Advisers CLO Ltd., Series 2019-1A, Class C, (3 mo. LIBOR US + 3.85%), 4.01%, 05/15/32(a)(b) | | | 1,500 | | | | 1,500,623 | |
Regatta VII Funding Ltd., Series 2016-1A, Class DR2, (3 mo. LIBOR US + 3.05%), 3.26%, 06/20/34(a)(b) | | | 500 | | | | 500,744 | |
Regatta XVI Funding Ltd.(a)(b) | | | | | | | | |
Series 2019-2A, Class C, (3 mo. LIBOR US + 2.70%), 2.82%, 01/15/33 | | | 1,000 | | | | 1,001,989 | |
Series 2019-2A, Class D, (3 mo. LIBOR US + 3.90%), 4.02%, 01/15/33 | | | 1,000 | | | | 1,003,675 | |
Rockford Tower CLO Ltd.(a)(b) | | | | | | | | |
Series 2017-3A, Class A, (3 mo. LIBOR US + 1.19%), 1.32%, 10/20/30 | | | 2,000 | | | | 1,998,202 | |
Series 2017-3A, Class D, (3 mo. LIBOR US + 2.65%), 2.78%, 10/20/30 | | | 1,000 | | | | 986,083 | |
RR Ltd., Series 2018-5A, Class C, (3 mo. LIBOR US + 3.10%), 3.22%, 10/15/31(a)(b) | | | 650 | | | | 650,051 | |
Sound Point Clo XXI Ltd., Series 2018-3A, Class A1A, (3 mo. LIBOR US + 1.18%), 1.30%, 10/26/31(a)(b) | | | 1,400 | | | | 1,400,078 | |
Stewart Park CLO Ltd., Series 2015-1A, Class DR, (3 mo. LIBOR US + 2.60%), 2.72%, 01/15/30(a)(b) | | | 1,500 | | | | 1,485,107 | |
Tiaa CLO III Ltd., Series 2017-2A, Class A, (3 mo LIBOR US + 1.15%), 1.27%,
01/16/31(a)(b) | | | 2,500 | | | | 2,497,360 | |
TICP CLO IX Ltd., Series 2017-9A, Class A, (3 mo LIBOR US + 1.14%), 1.27%, 01/20/31(a)(b) | | | 1,000 | | | | 1,000,001 | |
York CLO Ltd.(a)(b) | | | | | | | | |
Series 2014-1A, Class ARR, (3 mo. LIBOR US + 1.12%), 1.25%, 10/22/29 | | | 2,000 | | | | 2,000,765 | |
Series 2015-1A, Class CR, (3 mo. LIBOR US + 1.85%), 1.98%, 01/22/31 | | | 1,500 | | | | 1,496,119 | |
Series 2015-1A, Class DR, (3 mo. LIBOR US + 2.60%), 2.73%, 01/22/31 | | | 1,800 | | | | 1,774,913 | |
| | | | | | | | |
| | |
Total Asset-Backed Securities — 5.4%
(Cost: $76,420,058) | | | | | | | 76,354,909 | |
| | | | | | | | |
| | |
Corporate Bonds | | | | | | | | |
| | |
Advertising Agencies — 0.2% | | | | | | | | |
Interpublic Group of Cos., Inc., 5.40%, 10/01/48 | | | 2,215 | | | | 3,006,682 | |
| | | | | | | | |
| | |
Aerospace & Defense — 3.9% | | | | | | | | |
Boeing Co., 5.15%, 05/01/30 | | | 6,775 | | | | 7,893,559 | |
Bombardier, Inc.(b) | | | | | | | | |
7.50%, 12/01/24 | | | 442 | | | | 460,509 | |
7.50%, 03/15/25 | | | 114 | | | | 116,137 | |
7.13%, 06/15/26 | | | 1,322 | | | | 1,371,456 | |
7.88%, 04/15/27(d) | | | 964 | | | | 999,764 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
|
Aerospace & Defense (continued) | |
Bombardier, Inc.(b) (continued) | | | | | | | | |
6.00%, 02/15/28 | | $ | 865 | | | $ | 867,621 | |
7.45%, 05/01/34 | | | 137 | | | | 167,825 | |
BWX Technologies, Inc.(b)
| | | | | | | | |
4.13%, 06/30/28 | | | 70 | | | | 71,050 | |
4.13%, 04/15/29 | | | 120 | | | | 121,500 | |
F-Brasile SpA/F-Brasile US LLC, Series XR, 7.38%, 08/15/26(b) | | | 516 | | | | 513,420 | |
General Dynamics Corp., 4.25%, 04/01/50 | | | 1,260 | | | | 1,606,788 | |
Howmet Aerospace, Inc., 5.13%, 10/01/24 | | | 45 | | | | 48,488 | |
Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(b) | | | 1,010 | | | | 1,037,775 | |
Lockheed Martin Corp., 2.80%, 06/15/50 | | | 1,965 | | | | 1,958,519 | |
Moog, Inc., 4.25%, 12/15/27(b) | | | 320 | | | | 322,400 | |
Northrop Grumman Corp. | | | | | | | | |
4.03%, 10/15/47 | | | 2,400 | | | | 2,830,117 | |
5.25%, 05/01/50 | | | 3,050 | | | | 4,271,945 | |
Raytheon Technologies Corp. | | | | | | | | |
4.63%, 11/16/48 | | | 2,805 | | | | 3,593,260 | |
3.13%, 07/01/50(d) | | | 3,545 | | | | 3,620,395 | |
Rolls-Royce PLC, 5.75%, 10/15/27(b) | | | 1,533 | | | | 1,695,345 | |
TransDigm, Inc. | | | | | | | | |
8.00%, 12/15/25(b) | | | 1,596 | | | | 1,683,732 | |
6.25%, 03/15/26(b)(d) | | | 15,876 | | | | 16,501,117 | |
6.38%, 06/15/26 | | | 16 | | | | 16,440 | |
7.50%, 03/15/27 | | | 432 | | | | 451,440 | |
4.63%, 01/15/29 | | | 516 | | | | 514,287 | |
4.88%, 05/01/29 | | | 622 | | | | 624,675 | |
Triumph Group, Inc., 8.88%, 06/01/24(b) | | | 1,635 | | | | 1,783,262 | |
| | | | | | | | |
| | | | | | | 55,142,826 | |
| | |
Airlines — 1.7% | | | | | | | | |
Air Canada, 3.88%, 08/15/26(b) | | | 447 | | | | 455,940 | |
American Airlines Group, Inc., 5.18%, 10/15/23(a)(c) | | | 1,335 | | | | 1,323,551 | |
American Airlines, Inc., 11.75%, 07/15/25(b) | | | 831 | | | | 1,025,246 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(b) | | | | | | | | |
5.50%, 04/20/26 | | | 1,036 | | | | 1,077,636 | |
5.75%, 04/20/29 | | | 2,135 | | | | 2,281,681 | |
British Airways Pass Through Trust, Series 2020-1, Class A, 4.25%, 05/15/34(b) | | | 1,860 | | | | 1,979,200 | |
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 01/20/26(b) | | | 531 | | | | 555,559 | |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(b) | | | 2,128 | | | | 2,271,640 | |
Turkish Airlines Pass-Through Trust, Series 2015-1, Class A, 4.20%, 03/15/27(b) | | | 1,888 | | | | 1,737,683 | |
United Airlines Pass-Through Trust | | | | | | | | |
Series 2020-1, Class A, 5.88%, 10/15/27(e) | | | 6,133 | | | | 6,717,378 | |
Series B, 4.75%, 04/11/22(d) | | | 1,729 | | | | 1,746,488 | |
United Airlines, Inc.(b) | | | | | | | | |
4.38%, 04/15/26 | | | 1,022 | | | | 1,065,675 | |
4.63%, 04/15/29 | | | 1,110 | | | | 1,144,687 | |
| | | | | | | | |
| | | | | | | 23,382,364 | |
| | |
Auto Components — 1.2% | | | | | | | | |
BorgWarner, Inc., 2.65%, 07/01/27 | | | 2,710 | | | | 2,799,761 | |
Clarios Global LP, 6.75%, 05/15/25(b) | | | 497 | | | | 520,607 | |
Clarios Global LP/Clarios US Finance Co.(b) | | | | | | | | |
6.25%, 05/15/26(d) | | | 4,801 | | | | 5,023,046 | |
8.50%, 05/15/27 | | | 6,714 | | | | 7,116,840 | |
Dornoch Debt Merger Sub, Inc., 6.63%, 10/15/29(b) | | | 227 | | | | 224,163 | |
| | |
| 90 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
Auto Components (continued) | | | | | | | | |
Goodyear Tire & Rubber Co.
5.00%, 07/15/29(b) | | $ | 270 | | | $ | 290,034 | |
5.25%, 07/15/31(b) | | | 262 | | | | 284,455 | |
5.63%, 04/30/33 | | | 636 | | | | 694,035 | |
| | | | | | | | |
| | |
| | | | | | | 16,952,941 | |
|
| Automobiles — 2.5% | |
Allison Transmission, Inc.(b) | | | | | | | | |
5.88%, 06/01/29 | | | 855 | | | | 929,812 | |
3.75%, 01/30/31 | | | 723 | | | | 704,925 | |
Asbury Automotive Group, Inc.
4.50%, 03/01/28 | | | 197 | | | | 200,940 | |
4.75%, 03/01/30 | | | 191 | | | | 194,104 | |
5.00%, 02/15/32(b) | | | 101 | | | | 104,808 | |
Carvana Co.(b)
5.50%, 04/15/27 | | | 602 | | | | 595,980 | |
4.88%, 09/01/29 | | | 461 | | | | 439,103 | |
Ford Motor Co.
7.45%, 07/16/31(d) | | | 3,660 | | | | 4,956,482 | |
3.25%, 02/12/32 | | | 1,255 | | | | 1,285,120 | |
Ford Motor Credit Co. LLC
4.69%, 06/09/25 | | | 200 | | | | 215,000 | |
5.13%, 06/16/25 | | | 1,070 | | | | 1,163,625 | |
3.38%, 11/13/25 | | | 207 | | | | 215,056 | |
2.70%, 08/10/26 | | | 613 | | | | 618,364 | |
2.90%, 02/16/28 | | | 627 | | | | 628,568 | |
4.00%, 11/13/30 | | | 200 | | | | 215,160 | |
General Motors Co.
4.88%, 10/02/23 | | | 1,875 | | | | 1,991,797 | |
6.25%, 10/02/43 | | | 940 | | | | 1,286,333 | |
5.95%, 04/01/49(d) | | | 3,455 | | | | 4,729,132 | |
General Motors Financial Co., Inc.
4.25%, 05/15/23 | | | 931 | | | | 968,880 | |
2.75%, 06/20/25(d) | | | 4,235 | | | | 4,369,998 | |
Group 1 Automotive, Inc., 4.00%, 08/15/28(b) | | | 78 | | | | 77,708 | |
Jaguar Land Rover Automotive PLC, 4.50%,
10/01/27(f) | | | 500 | | | | 485,040 | |
LCM Investments Holdings II LLC, 4.88%, 05/01/29(b) | | | 456 | | | | 468,622 | |
Lithia Motors, Inc., 3.88%, 06/01/29(b) | | | 269 | | | | 274,622 | |
Nissan Motor Co. Ltd., 4.81%, 09/17/30(b)(d) | | | 7,125 | | | | 7,968,316 | |
Penske Automotive Group, Inc.
3.50%, 09/01/25 | | | 441 | | | | 450,923 | |
3.75%, 06/15/29 | | | 141 | | | | 139,766 | |
Sonic Automotive, Inc., 4.63%, 11/15/29(b) | | | 119 | | | | 120,131 | |
TML Holdings Pte Ltd., 4.35%, 06/09/26(f) | | | 200 | | | | 202,000 | |
| | | | | | | | |
| | |
| | | | | | | 36,000,315 | |
| | |
| Banks — 2.7% | | | | | | |
Australia & New Zealand Banking Group Ltd., (5 year CMT + 1.70%), 2.57%, 11/25/35(a)(b)(d) | | | 5,445 | | | | 5,213,673 | |
Bangkok Bank PCL(f) | | | | | | | | |
(5 year CMT + 1.90%), 3.73%, 09/25/34(a) | | | 200 | | | | 203,913 | |
(5 year CMT + 4.73%), 5.00%(g) | | | 222 | | | | 230,089 | |
Bank Negara Indonesia Persero Tbk PT, 3.75%, 03/30/26(f) | | | 200 | | | | 203,000 | |
Bank of Communications Co. Ltd., (5 year CMT + 3.35%), 3.80%(a)(f)(g) | | | 252 | | | | 262,395 | |
Bank of East Asia Ltd., (5 year CMT + 5.53%), 5.83%(a)(f)(g) | | | 750 | | | | 788,438 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Banks (continued) | | | | | | |
Fifth Third Bancorp, Series H, (3 mo. LIBOR US + 3.03%), 5.10%(a)(g) | | $ | 5,000 | | | $ | 5,082,500 | |
Intesa Sanpaolo SpA (b) 5.71%, 01/15/26(d) | | | 9,840 | | | | 10,883,396 | |
(1 year CMT + 2.75%), 4.95%, 06/01/42(a) | | | 3,045 | | | | 3,128,430 | |
Kasikornbank PCL(a)(f) (5 year CMT + 1.70%), 3.34%, 10/02/31 | | | 200 | | | | 199,788 | |
(5 year CMT + 3.34%), 4.00%(g) | | | 300 | | | | 300,300 | |
Santander Holdings USA, Inc., 4.40%, 07/13/27 | | | 830 | | | | 909,969 | |
Truist Financial Corp., Series L, (3 mo. LIBOR US + 3.10%), 5.05%(a)(g) | | | 5,270 | | | | 5,342,462 | |
Wells Fargo & Co., 5.61%, 01/15/44(d) | | | 4,119 | | | | 5,573,649 | |
| | | | | | | | |
| | |
| | | | | | | 38,322,002 | |
| | |
| Beverages — 2.4% | | | | | | |
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46(d) | | | 6,170 | | | | 7,798,478 | |
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 01/23/49(d) | | | 5,000 | | | | 6,917,289 | |
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(b)(h) | | | 2,581 | | | | 2,658,430 | |
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 4.00%, 09/01/29(b) | | | 2,074 | | | | 2,054,816 | |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.(b)
4.13%, 08/15/26 | | | 1,315 | | | | 1,344,587 | |
5.25%, 08/15/27 | | | 1,662 | | | | 1,672,387 | |
Ball Corp.
5.25%, 07/01/25 | | | 30 | | | | 33,075 | |
2.88%, 08/15/30 | | | 147 | | | | 142,590 | |
3.13%, 09/15/31 | | | 849 | | | | 838,388 | |
Canpack SA/Canpack US LLC, 3.13%, 11/01/25(b) | | | 228 | | | | 228,570 | |
Crown Cork & Seal Co., Inc., 7.38%, 12/15/26 | | | 151 | | | | 182,144 | |
Keurig Dr. Pepper, Inc., 4.60%, 05/25/28(d) | | | 3,215 | | | | 3,656,328 | |
Trivium Packaging Finance BV(b)(d)
5.50%, 08/15/26 | | | 2,830 | | | | 2,943,200 | |
8.50%, 08/15/27 | | | 3,036 | | | | 3,210,570 | |
| | | | | | | | |
| | |
| | | | | | | 33,680,852 | |
| | |
| Biotechnology — 0.6% | | | | | | |
Baxalta, Inc., 5.25%, 06/23/45(d) | | | 6,000 | | | | 7,968,227 | |
| | | | | | | | |
| | |
| Building Materials(b) — 0.4% | | | | | | |
CP Atlas Buyer, Inc., 7.00%, 12/01/28 | | | 584 | | | | 581,080 | |
Forterra Finance LLC/FRTA Finance Corp., 6.50%, 07/15/25 | | | 783 | | | | 830,998 | |
Jeld-Wen, Inc.
4.63%, 12/15/25 | | | 96 | | | | 96,720 | |
4.88%, 12/15/27 | | | 74 | | | | 75,934 | |
Masonite International Corp., Class C, 5.38%,
02/01/28 | | | 206 | | | | 216,043 | |
New Enterprise Stone & Lime Co., Inc., 5.25%,
07/15/28 | | | 163 | | | | 165,282 | |
SRM Escrow Issuer LLC, 6.00%, 11/01/28 | | | 1,169 | | | | 1,247,966 | |
Standard Industries, Inc.
5.00%, 02/15/27 | | | 303 | | | | 311,908 | |
4.38%, 07/15/30 | | | 1,272 | | | | 1,298,082 | |
3.38%, 01/15/31 | | | 69 | | | | 66,467 | |
| | |
SCHEDULE OF INVESTMENTS | | 91 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
Building Materials (continued) | | | | | | | | |
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29 | | | $ 386 | | | $ | 404,297 | |
Victors Merger Corp., 6.38%, 05/15/29 | | | 249 | | | | 234,060 | |
| | | | | | | | |
| | |
| | | | | | | 5,528,837 | |
| | |
| Building Products(b) — 0.3% | | | | | | |
LBM Acquisition LLC, 6.25%, 01/15/29 | | | 705 | | | | 697,069 | |
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26 | | | 299 | | | | 313,373 | |
SRS Distribution, Inc.
4.63%, 07/01/28 | | | 897 | | | | 900,364 | |
6.13%, 07/01/29 | | | 805 | | | | 820,391 | |
6.00%, 12/01/29 | | | 770 | | | | 773,850 | |
White Cap Buyer LLC, 6.88%, 10/15/28(d) | | | 1,172 | | | | 1,221,810 | |
| | | | | | | | |
| | |
| | | | | | | 4,726,857 | |
|
| Capital Markets — 1.1% | |
Charles Schwab Corp., Series H, (10 year CMT + 3.08%), 4.00%(a)(e)(g) | | | 5,215 | | | | 5,267,150 | |
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29(b) | | | 447 | | | | 468,232 | |
GLP Capital LP/GLP Financing II, Inc., 3.25%, 01/15/32 | | | 725 | | | | 728,908 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
4.75%, 09/15/24 | | | 520 | | | | 539,500 | |
6.25%, 05/15/26 | | | 782 | | | | 814,257 | |
5.25%, 05/15/27 | | | 1,724 | | | | 1,773,013 | |
4.38%, 02/01/29 | | | 435 | | | | 424,125 | |
Jefferies Financial Group, Inc., 5.50%, 10/18/23(d) | | | 4,000 | | | | 4,174,927 | |
NFP Corp., 6.88%, 08/15/28(b) | | | 589 | | | | 590,520 | |
State Street Corp., (SOFR + 2.65%), 3.15%, 03/30/31(a) | | | 840 | | | | 909,250 | |
| | | | | | | | |
| | |
| | | | | | | 15,689,882 | |
|
| Chemicals — 2.7% | |
Axalta Coating Systems LLC, 3.38%, 02/15/29(b) | | | 760 | | | | 735,300 | |
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27(b) | | | 372 | | | | 387,810 | |
Diamond (BC) B.V., 4.63%, 10/01/29(b) | | | 535 | | | | 530,704 | |
DuPont de Nemours, Inc., 5.42%, 11/15/48(d) | | | 7,500 | | | | 10,494,946 | |
Element Solutions, Inc., 3.88%, 09/01/28(b) | | | 2,810 | | | | 2,824,050 | |
EverArc Escrow Sarl, 5.00%, 10/30/29(b) | | | 1,078 | | | | 1,078,798 | |
GCP Applied Technologies, Inc., 5.50%, 04/15/26(b) | | | 299 | | | | 306,475 | |
Herens Holdco Sarl, 4.75%, 05/15/28(b) | | | 290 | | | | 284,200 | |
Illuminate Buyer LLC/Illuminate Holdings IV, Inc.,
9.00%, 07/01/28(b) | | | 203 | | | | 216,483 | |
Ingevity Corp., 3.88%, 11/01/28(b) | | | 100 | | | | 97,375 | |
International Flavors & Fragrances, Inc., 3.47%, 12/01/50(b) | | | 4,765 | | | | 4,991,917 | |
LYB Finance Co. BV, 8.10%, 03/15/27(b)(d) | | | 6,000 | | | | 7,684,472 | |
NOVA Chemicals Corp., 4.88%, 06/01/24(b) | | | 240 | | | | 247,800 | |
SCIH Salt Holdings, Inc., 6.63%,
05/01/29(b)(d) | | | 302 | | | | 282,370 | |
SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, 11/01/26(b) | | | 480 | | | | 492,600 | |
Scotts Miracle-Gro Co., 4.00%, 04/01/31(b) | | | 547 | | | | 540,162 | |
UPL Corp. Ltd., (5 year CMT + 3.87%), 5.25%(a)(f)(g) | | | 500 | | | | 502,281 | |
WESCO Distribution, Inc.(b) 7.13%, 06/15/25 | | | 1,485 | | | | 1,574,100 | |
7.25%, 06/15/28 | | | 1,354 | | | | 1,484,322 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| | |
Chemicals (continued) | | | | | | | | |
WR Grace Holdings LLC(b)
5.63%, 10/01/24 | | | $ 1,493 | | | $ | 1,571,592 | |
5.63%, 08/15/29 | | | 1,947 | | | | 1,993,241 | |
| | | | | | | | |
| | |
| | | | | | | 38,320,998 | |
|
| Commercial Services & Supplies — 0.9% | |
ADT Security Corp., 4.13%, 06/15/23 | | | 174 | | | | 180,724 | |
AerCap Global Aviation Trust, (3 mo. LIBOR US + 4.30%), 6.50%, 06/15/45(a)(b) | | | 5,000 | | | | 5,400,000 | |
APX Group, Inc., 5.75%, 07/15/29(b) | | | 555 | | | | 546,675 | |
ASGN, Inc., 4.63%, 05/15/28(b) | | | 230 | | | | 238,119 | |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.38%, 03/01/29(b) | | | 223 | | | | 235,225 | |
Fortress Transportation & Infrastructure Investors LLC(b)
6.50%, 10/01/25 | | | 163 | | | | 168,501 | |
5.50%, 05/01/28 | | | 645 | | | | 657,319 | |
Herc Holdings, Inc., 5.50%, 07/15/27(b) | | | 529 | | | | 550,160 | |
Hertz Corp.(b)
4.63%, 12/01/26 | | | 249 | | | | 250,556 | |
5.00%, 12/01/29 | | | 398 | | | | 398,340 | |
Metis Merger Sub LLC, 6.50%, 05/15/29(b) | | | 443 | | | | 435,110 | |
NESCO Holdings II, Inc., 5.50%, 04/15/29(b) | | | 356 | | | | 367,570 | |
PECF USS Intermediate Holding III Corp.,
8.00%, 11/15/29(b) | | | 445 | | | | 460,798 | |
Prime Security Services Borrower LLC/Prime Finance, Inc.(b)
5.75%, 04/15/26 | | | 252 | | | | 270,565 | |
3.38%, 08/31/27 | | | 63 | | | | 60,820 | |
6.25%, 01/15/28 | | | 626 | | | | 652,605 | |
Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29(b) | | | 482 | | | | 491,640 | |
United Rentals North America, Inc.
4.88%, 01/15/28 | | | 777 | | | | 816,530 | |
5.25%, 01/15/30 | | | 44 | | | | 47,630 | |
| | | | | | | | |
| | |
| | | | | | | 12,228,887 | |
|
| Communications Equipment — 0.6% | |
Avaya, Inc., 6.13%, 09/15/28(b) | | | 1,027 | | | | 1,088,620 | |
CommScope Technologies LLC, 6.00%, 06/15/25(b) | | | 646 | | | | 646,000 | |
CommScope, Inc.(b)
6.00%, 03/01/26 | | | 591 | | | | 608,730 | |
8.25%, 03/01/27 | | | 419 | | | | 430,602 | |
7.13%, 07/01/28 | | | 1,030 | | | | 1,011,975 | |
4.75%, 09/01/29 | | | 893 | | | | 887,472 | |
Nokia OYJ, 6.63%, 05/15/39 | | | 324 | | | | 448,335 | |
ViaSat, Inc.(b)
5.63%, 04/15/27 | | | 1,125 | | | | 1,159,538 | |
6.50%, 07/15/28 | | | 1,296 | | | | 1,299,240 | |
Viavi Solutions, Inc., 3.75%, 10/01/29(b) | | | 587 | | | | 586,971 | |
| | | | | | | | |
| | |
| | | | | | | 8,167,483 | |
|
| Construction Materials(b) — 0.3% | |
American Builders & Contractors Supply Co., Inc., 4.00%, 01/15/28 | | | 764 | | | | 781,748 | |
BCPE Empire Holdings, Inc., 7.63%, 05/01/27 | | | 225 | | | | 229,741 | |
H&E Equipment Services, Inc., 3.88%, 12/15/28 | | | 132 | | | | 131,010 | |
IAA, Inc., 5.50%, 06/15/27 | | | 1,054 | | | | 1,092,207 | |
Picasso Finance Sub, Inc., 6.13%, 06/15/25 | | | 823 | | | | 860,035 | |
Williams Scotsman International, Inc., 4.63%, 08/15/28 | | | 541 | | | | 558,582 | |
| | | | | | | | |
| | |
| | | | | | | 3,653,323 | |
| | |
| 92 | | 2 0 2 1 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, 2021 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
Consumer Discretionary(b) — 0.8% | | | | | | | | |
Carnival Corp.
10.50%, 02/01/26(d) | | $ | 1,407 | | | $ | 1,606,084 | |
5.75%, 03/01/27 | | | 837 | | | | 837,000 | |
9.88%, 08/01/27 | | | 1,285 | | | | 1,468,389 | |
4.00%, 08/01/28 | | | 2,185 | | | | 2,168,613 | |
6.00%, 05/01/29 | | | 1,091 | | | | 1,085,545 | |
CoreLogic, Inc., 4.50%, 05/01/28 | | | 951 | | | | 947,386 | |
NCL Corp. Ltd., 5.88%, 03/15/26 | | | 141 | | | | 140,375 | |
NCL Finance Ltd., 6.13%, 03/15/28 | | | 1,105 | | | | 1,088,425 | |
Nielsen Finance LLC/Nielsen Finance Co.
5.63%, 10/01/28 | | | 768 | | | | 792,960 | |
5.88%, 10/01/30 | | | 400 | | | | 422,336 | |
Royal Caribbean Cruises Ltd.
5.50%, 08/31/26 | | | 303 | | | | 308,090 | |
5.50%, 04/01/28 | | | 629 | | | | 636,271 | |
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29 | | | 385 | | | | 384,519 | |
| | | | | | | | |
| | |
| | | | | | | 11,885,993 | |
| | |
| Consumer Finance — 1.2% | | | | | | |
Block, Inc., 3.50%, 06/01/31(b) | | | 1,222 | | | | 1,252,550 | |
Global Payments, Inc., 2.90%, 05/15/30(d) | | | 4,715 | | | | 4,800,587 | |
HealthEquity, Inc., 4.50%, 10/01/29(b) | | | 732 | | | | 724,680 | |
MoneyGram International, Inc., 5.38%, 08/01/26(b) | | | 219 | | | | 222,285 | |
MPH Acquisition Holdings LLC, 5.50%, 09/01/28(b) | | | 672 | | | | 681,240 | |
Navient Corp.
7.25%, 09/25/23 | | | 299 | | | | 322,358 | |
6.13%, 03/25/24 | | | 59 | | | | 62,909 | |
5.50%, 03/15/29 | | | 547 | | | | 545,632 | |
OneMain Finance Corp.
7.13%, 03/15/26 | | | 1,231 | | | | 1,403,340 | |
3.50%, 01/15/27 | | | 627 | | | | 619,946 | |
6.63%, 01/15/28 | | | 506 | | | | 566,720 | |
5.38%, 11/15/29 | | | 26 | | | | 28,270 | |
Sabre GLBL, Inc., 9.25%, 04/15/25(b) | | | 697 | | | | 787,610 | |
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc.,
4.63%, 11/01/26(b) | | | 362 | | | | 375,036 | |
Shriram Transport Finance Co. Ltd., 4.40%, 03/13/24(f) | | | 500 | | | | 507,500 | |
SLM Corp., 3.13%, 11/02/26 | | | 347 | | | | 343,530 | |
Verscend Escrow Corp., 9.75%, 08/15/26(b) | | | 3,791 | | | | 4,029,606 | |
| | | | | | | | |
| | |
| | | | | | | 17,273,799 | |
| | |
| Containers & Packaging — 1.6% | | | | | | |
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26 | | | 224 | | | | 239,120 | |
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26 | | | 355 | | | | 363,875 | |
Graphic Packaging International LLC, 3.50%, 03/01/29(b) | | | 264 | | | | 262,020 | |
International Paper Co.(d)
8.70%, 06/15/38 | | | 4,000 | | | | 6,528,244 | |
7.30%, 11/15/39 | | | 10,000 | | | | 15,322,020 | |
LABL, Inc., 5.88%, 11/01/28(b) | | | 520 | | | | 535,925 | |
Sealed Air Corp., 4.00%, 12/01/27(b) | | | 109 | | | | 113,592 | |
| | | | | | | | |
| | |
| | | | | | | 23,364,796 | |
| | |
| Diversified Consumer Services — 1.1% | | | | | | |
Allied Universal Holdco LLC/Allied Universal Finance Corp.(b)
6.63%, 07/15/26(d) | | | 5,419 | | | | 5,685,615 | |
9.75%, 07/15/27(d) | | | 1,642 | | | | 1,754,354 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
Diversified Consumer Services (continued) | | | | | | | | |
Allied Universal Holdco LLC/Allied Universal Finance Corp.(b) (continued)
6.00%, 06/01/29 | | | $1,313 | | | $ | 1,276,892 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, 4.63%, 06/01/28(b) | | | 2,154 | | | | 2,134,305 | |
Clarivate Science Holdings Corp.(b)
3.88%, 07/01/28 | | | 848 | | | | 852,240 | |
4.88%, 07/01/29 | | | 1,171 | | | | 1,187,535 | |
Garda World Security Corp., 9.50%, 11/01/27(b) | | | 282 | | | | 304,048 | |
Service Corp. International
5.13%, 06/01/29 | |
| 468
|
| | | 501,930 | |
3.38%, 08/15/30 | | | 585 | | | | 574,218 | |
4.00%, 05/15/31 | | | 716 | | | | 724,950 | |
| | | | | | | | |
| | |
| | | | | | | 14,996,087 | |
| | |
| Diversified Financial Services — 6.4% | | | | | | |
Acuris Finance US, Inc./Acuris Finance SARL, 5.00%, 05/01/28(b) | | | 724 | | | | 720,380 | |
Ally Financial, Inc., Series B, (5 year CMT + 3.87%), 4.70%(a)(g) | | | 3,375 | | | | 3,501,562 | |
Barclays PLC 4.84%, 05/09/28(d) | | | 4,000 | | | | 4,406,310 | |
(3 mo. LIBOR US + 1.90%), 4.97%, 05/16/29(a) | | | 3,220 | | | | 3,672,796 | |
BNP Paribas SA, (5 year CMT + 3.34%), 4.63%(a)(b)(g) | | | 13,999 | | | | 14,040,997 | |
Citigroup, Inc. 6.68%, 09/13/43(d) | | | 4,125 | | | | 6,201,802 | |
Series Y, (5 year CMT + 3.00%),
4.15%(a)(g) | | | 4,855 | | | | 4,933,894 | |
Credit Suisse AG, 6.50%, 08/08/23(b)(d) | | | 6,000 | | | | 6,457,500 | |
Credit Suisse Group AG, (5 year USD Swap + 4.60%), 7.50%(a)(b)(g) | | | 3,250 | | | | 3,510,000 | |
Deutsche Bank AG, (SOFR + 1.87%), 2.13%, 11/24/26(a) | | | 3,260 | | | | 3,254,650 | |
Doric Nimrod Air Alpha Pass-Through Trust, Series 2013-1, Class A, 5.25%, 05/30/23(b) | | | 559 | | | | 559,767 | |
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24(b)(h) | | | 327 | | | | 312,973 | |
ION Trading Technologies Sarl, 5.75%, 05/15/28(b) | | | 200 | | | | 206,000 | |
Jefferies Finance LLC/JFIN Co-Issuer Corp., 5.00%, 08/15/28(b) | | | 675 | | | | 691,875 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.25%, 02/01/27(b) | | | 178 | | | | 179,162 | |
Lloyds Banking Group PLC, 4.65%, 03/24/26(d) | | | 8,650 | | | | 9,522,433 | |
Manappuram Finance Ltd., 5.90%, 01/13/23(f) | | | 700 | | | | 714,875 | |
Natwest Group PLC
6.10%, 06/10/23 | | | 2,500 | | | | 2,665,156 | |
6.00%, 12/19/23(d) | | | 10,080 | | | | 10,953,370 | |
5.13%, 05/28/24(d) | | | 5,250 | | | | 5,660,459 | |
Shriram Transport Finance Co. Ltd.(f)
5.95%, 10/24/22 | | | 200 | | | | 203,260 | |
5.10%, 07/16/23 | | | 229 | | | | 234,153 | |
Spectrum Brands, Inc.
5.75%, 07/15/25 | | | 1,002 | | | | 1,023,293 | |
5.00%, 10/01/29(b) | | | 72 | | | | 75,510 | |
UniCredit SPA, (5 year CMT + 4.75%), 5.46%, 06/30/35(a)(b) | | | 6,135 | | | | 6,684,279 | |
| | | | | | | | |
| | |
| | | | | | | 90,386,456 | |
|
| Diversified Telecommunication Services — 7.0% | |
AT&T, Inc.
4.65%, 06/01/44 | | | 28 | | | | 32,793 | |
| | |
SCHEDULE OF INVESTMENTS | | 93 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
|
| Diversified Telecommunication Services (continued) | |
AT&T, Inc. (continued)
4.35%, 06/15/45 | | $ | 95 | | | $ | 107,082 | |
3.50%, 09/15/53(d) | | | 15,960 | | | | 16,101,965 | |
3.55%, 09/15/55 | | | 727 | | | | 729,638 | |
Consolidated Communications, Inc., 6.50%, 10/01/28(b) | | | 1,313 | | | | 1,391,780 | |
Intelsat Jackson Holdings SA, 8.00%, 02/15/24(b) | | | 1,040 | | | | 1,054,300 | |
Level 3 Financing, Inc.
5.38%, 05/01/25 | | | 614 | | | | 627,364 | |
4.63%, 09/15/27(b) | | | 1,065 | | | | 1,086,300 | |
3.63%, 01/15/29(b) | | | 133 | | | | 126,350 | |
3.75%, 07/15/29(b) | | | 181 | | | | 171,950 | |
Lumen Technologies, Inc.
5.63%, 04/01/25(d) | | | 1,909 | | | | 2,019,187 | |
5.13%, 12/15/26(b) | | | 962 | | | | 1,001,086 | |
4.00%, 02/15/27(b) | | | 1,024 | | | | 1,038,899 | |
4.50%, 01/15/29(b) | | | 932 | | | | 901,710 | |
5.38%, 06/15/29(b) | | | 988 | | | | 988,000 | |
Series P, 7.60%, 09/15/39 | | | 55 | | | | 58,988 | |
Series U, 7.65%, 03/15/42 | | | 344 | | | | 370,177 | |
Series Y, 7.50%, 04/01/24(d) | | | 564 | | | | 617,580 | |
SoftBank Group Corp.(f)
5.25%, 07/06/31 | | | 200 | | | | 199,750 | |
(5 year USD ICE Swap + 4.23%), 6.00%(a)(g) | | | 300 | | | | 297,375 | |
Sprint Capital Corp.
6.88%, 11/15/28 | | | 2,765 | | | | 3,497,725 | |
8.75%, 03/15/32 | | | 1,873 | | | | 2,809,500 | |
Switch Ltd.(b)
3.75%, 09/15/28 | | | 677 | | | | 682,078 | |
4.13%, 06/15/29 | | | 1,200 | | | | 1,227,000 | |
Telecom Italia Capital SA
6.38%, 11/15/33 | | | 442 | | | | 475,948 | |
6.00%, 09/30/34 | | | 818 | | | | 865,170 | |
7.20%, 07/18/36 | | | 186 | | | | 213,260 | |
7.72%, 06/04/38 | | | 319 | | | | 374,913 | |
Telecom Italia SpA, 5.30%, 05/30/24(b) | | | 1,662 | | | | 1,749,189 | |
Telefonica Emisiones SA, 5.21%, 03/08/47 | | | 5,000 | | | | 6,207,591 | |
Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital
LLC, 6.00%, 01/15/30(b) | | | 325 | | | | 312,762 | |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital
LLC, 4.75%, 04/15/28(b) | | | 729 | | | | 722,971 | |
Verizon Communications, Inc.(d)
6.40%, 09/15/33 | | | 9,475 | | | | 12,892,618 | |
6.55%, 09/15/43 | | | 13,225 | | | | 20,669,209 | |
5.01%, 04/15/49 | | | 6,998 | | | | 9,262,777 | |
Zayo Group Holdings, Inc.(b)
4.00%, 03/01/27 | | | 5,194 | | | | 5,120,089 | |
6.13%, 03/01/28 | | | 2,706 | | | | 2,665,410 | |
| | | | | | | | |
| | |
| | | | | | | 98,670,484 | |
| | |
| Electric Utilities — 4.7% | | | | | | |
Dominion Energy, Inc., Series C, (5 year CMT + 3.20%), 4.35%(a)(g) | | | 2,020 | | | | 2,085,650 | |
Edison International, (5 year CMT + 4.70%), 5.38%(a)(g) | | | 6,851 | | | | 7,177,108 | |
Emera, Inc., Series 16-A, (3 mo. LIBOR US + 5.44%), 6.75%, 06/15/76(a) | | | 7,500 | | | | 8,625,000 | |
FirstEnergy Corp.
2.65%, 03/01/30 | | | 717 | | | | 708,038 | |
Series B, 2.25%, 09/01/30 | | | 46 | | | | 44,284 | |
Series C, 7.38%, 11/15/31 | | | 922 | | | | 1,244,147 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
|
| Electric Utilities (continued) | |
FirstEnergy Corp. (continued) | | | | | | | | |
Series C, 3.40%, 03/01/50 | | $ | 1,345 | | | $ | 1,318,100 | |
FirstEnergy Transmission LLC, 5.45%, 07/15/44(b) | | | 889 | | | | 1,121,869 | |
NextEra Energy Capital Holdings, Inc.(a)
(3 mo. LIBOR US + 2.41%), 4.80%, 12/01/77 | | | 5,000 | | | | 5,325,613 | |
(5 year CMT + 2.55%), 3.80%, 03/15/82 | | | 5,840 | | | | 5,941,250 | |
NextEra Energy Operating Partners LP(b)
4.25%, 07/15/24 | | | 712 | | | | 739,590 | |
4.25%, 09/15/24 | | | 26 | | | | 26,910 | |
Oncor Electric Delivery Co. LLC, 5.30%, 06/01/42 | | | 2,750 | | | | 3,672,722 | |
Pacific Gas and Electric Co., 4.20%, 06/01/41 | | | 2,310 | | | | 2,324,731 | |
PG&E Corp., 5.25%, 07/01/30 | | | 226 | | | | 237,006 | |
Progress Energy, Inc., 7.00%, 10/30/31(d) | | | 12,000 | | | | 16,232,147 | |
Puget Energy, Inc., 5.63%, 07/15/22(d) | | | 5,550 | | | | 5,625,550 | |
Sempra Energy, (5 year CMT + 4.55%), 4.88%(a)(g) | | | 4,375 | | | | 4,684,662 | |
| | | | | | | | |
| | | | | | | 67,134,377 | |
| | |
| Electrical Equipment(b) — 0.1% | | | | | | |
Gates Global LLC/Gates Corp., 6.25%, 01/15/26 | | | 714 | | | | 737,205 | |
GrafTech Finance, Inc., 4.63%, 12/15/28 | | | 296 | | | | 300,440 | |
| | | | | | | | |
| | | | | | | 1,037,645 | |
| | |
Electronic Equipment, Instruments & Components(b) —
0.2% | | | | | | |
Energizer Holdings, Inc.
4.75%, 06/15/28 | | | 450 | | | | 459,562 | |
4.38%, 03/31/29 | | | 41 | | | | 40,014 | |
Imola Merger Corp., 4.75%, 05/15/29 | | | 1,337 | | | | 1,371,829 | |
Vertiv Group Corp., 4.13%, 11/15/28 | | | 1,172 | | | | 1,183,720 | |
| | | | | | | | |
| | | | | | | 3,055,125 | |
| | |
| Energy Equipment & Services — 0.2% | | | | | | |
Archrock Partners LP/Archrock Partners Finance Corp.(b)
6.88%, 04/01/27 | | | 515 | | | | 540,750 | |
6.25%, 04/01/28 | | | 607 | | | | 632,931 | |
USA Compression Partners LP/USA Compression Finance Corp.
6.88%, 04/01/26 | | | 586 | | | | 609,440 | |
6.88%, 09/01/27 | | | 1,128 | | | | 1,191,450 | |
Weatherford International Ltd.(b)
6.50%, 09/15/28 | | | 27 | | | | 28,568 | |
8.63%, 04/30/30 | | | 418 | | | | 433,947 | |
| | | | | | | | |
| | |
| | | | | | | 3,437,086 | |
| | |
| Environmental, Maintenance & Security Service — 0.5% | | | | | | |
Clean Harbors, Inc., 5.13%, 07/15/29(b) | | | 1,278 | | | | 1,354,680 | |
Covanta Holding Corp., 5.00%, 09/01/30 | | | 309 | | | | 315,180 | |
GFL Environmental, Inc.(b)
3.75%, 08/01/25 | | | 587 | | | | 592,870 | |
5.13%, 12/15/26(d) | | | 1,887 | | | | 1,962,480 | |
4.00%, 08/01/28 | | | 199 | | | | 195,020 | |
3.50%, 09/01/28 | | | 504 | | | | 496,440 | |
4.75%, 06/15/29 | | | 541 | | | | 545,734 | |
Tervita Corp., 11.00%, 12/01/25(b) | | | 182 | | | | 209,527 | |
Waste Pro USA, Inc., 5.50%, 02/15/26(b) | | | 1,151 | | | | 1,145,245 | |
| | | | | | | | |
| | | | | | | 6,817,176 | |
| | |
| Equity Real Estate Investment Trusts (REITs) — 1.3% | | | | | | |
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 4.50%, 04/01/27(b) | | | 364 | | | | 357,109 | |
Crown Castle International Corp., 3.30%, 07/01/30 | | | 1,220 | | | | 1,286,863 | |
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27(b) | | | 258 | | | | 251,967 | |
| | |
| 94 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
|
| Equity Real Estate Investment Trusts (REITs) (continued) | |
Iron Mountain, Inc.(b)
4.88%, 09/15/27 | | $ | 606 | | | $ | 628,410 | |
5.25%, 07/15/30 | | | 299 | | | | 315,093 | |
5.63%, 07/15/32 | | | 778 | | | | 832,603 | |
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.
5.63%, 05/01/24 | | | 4,627 | | | | 4,944,967 | |
4.63%, 06/15/25(b) | | | 755 | | | | 804,898 | |
4.50%, 09/01/26 | | | 1,658 | | | | 1,782,350 | |
4.50%, 01/15/28 | | | 430 | | | | 464,400 | |
3.88%, 02/15/29(b) | | | 697 | | | | 731,850 | |
MPT Operating Partnership LP/MPT Finance Corp.
5.00%, 10/15/27 | | | 178 | | | | 186,233 | |
4.63%, 08/01/29 | | | 847 | | | | 893,585 | |
3.50%, 03/15/31 | | | 2,631 | | | | 2,660,599 | |
RHP Hotel Properties LP/RHP Finance Corp., 4.75%,
10/15/27 | | | 1,500 | | | | 1,530,000 | |
RLJ Lodging Trust LP, 4.00%, 09/15/29(b) | | | 199 | | | | 196,875 | |
| | | | | | | | |
| | |
| | | | | | | 17,867,802 | |
| | |
| Food & Staples Retailing — 2.0% | | | | | | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(b)
3.25%, 03/15/26 | | | 1,296 | | | | 1,320,300 | |
4.63%, 01/15/27 | | | 1,885 | | | | 1,978,194 | |
5.88%, 02/15/28 | | | 928 | | | | 983,680 | |
4.88%, 02/15/30 | | | 142 | | | | 153,320 | |
General Mills, Inc.
4.20%, 04/17/28 | | | 620 | | | | 692,367 | |
2.88%, 04/15/30 | | | 725 | | | | 756,625 | |
Kraft Heinz Foods Co.
5.00%, 07/15/35 | | | 214 | | | | 261,795 | |
7.13%, 08/01/39(b)(d) | | | 4,415 | | | | 6,718,623 | |
4.63%, 10/01/39 | | | 100 | | | | 117,448 | |
5.00%, 06/04/42 | | | 12 | | | | 14,927 | |
5.20%, 07/15/45 | | | 9 | | | | 11,443 | |
4.38%, 06/01/46 | | | 226 | | | | 264,646 | |
4.88%, 10/01/49 | | | 248 | | | | 311,474 | |
5.50%, 06/01/50 | | | 2,825 | | | | 3,824,727 | |
Lamb Weston Holdings, Inc.(b)
4.88%, 05/15/28 | | | 284 | | | | 307,430 | |
4.13%, 01/31/30 | | | 333 | | | | 341,721 | |
4.38%, 01/31/32 | | | 321 | | | | 331,038 | |
Performance Food Group, Inc., 4.25%, 08/01/29(b) | | | 700 | | | | 694,442 | |
Post Holdings, Inc.(b)
5.63%, 01/15/28 | | | 428 | | | | 453,569 | |
4.63%, 04/15/30 | | | 596 | | | | 607,026 | |
4.50%, 09/15/31 | | | 209 | | | | 207,433 | |
US Foods, Inc., 4.75%, 02/15/29(b) | | | 642 | | | | 652,432 | |
Walmart, Inc., 5.25%, 09/01/35(d) | | | 5,150 | | | | 7,010,734 | |
| | | | | | | | |
| | |
| | | | | | | 28,015,394 | |
| | |
| Food Products(b) — 0.4% | | | | | | |
Aramark Services, Inc.
5.00%, 04/01/25 | | | 1,367 | | | | 1,394,613 | |
6.38%, 05/01/25 | | | 1,038 | | | | 1,084,710 | |
Chobani LLC/Chobani Finance Corp., Inc., 7.50%, 04/15/25 | | | 246 | | | | 253,245 | |
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.75%, 12/01/31 | | | 730 | | | | 740,950 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
|
| Food Products (continued) | |
Pilgrim’s Pride Corp.
4.25%, 04/15/31 | | $ | 52 | | | $ | 54,600 | |
3.50%, 03/01/32 | | | 1,237 | | | | 1,249,370 | |
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29 | | | 624 | | | | 614,640 | |
| | | | | | | | |
| | |
| | | | | | | 5,392,128 | |
| | |
| Gas Utilities — 0.0% | | | | | | |
Suburban Propane Partners LP/Suburban Energy
Finance Corp., 5.00%, 06/01/31(b) | | | 346 | | | | 349,893 | |
| | |
| Health Care Equipment & Supplies — 0.3% | | | | | | |
Avantor Funding, Inc.(b)
4.63%, 07/15/28 | | | 2,077 | | | | 2,165,273 | |
3.88%, 11/01/29 | | | 396 | | | | 400,320 | |
Hologic, Inc., 3.25%, 02/15/29(b) | | | 90 | | | | 90,000 | |
Medtronic, Inc., 4.63%, 03/15/45(d) | | | 647 | | | | 847,338 | |
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA, 7.25%, 02/01/28(b) | | | 142 | | | | 152,650 | |
| | | | | | | | |
| | |
| | | | | | | 3,655,581 | |
| | |
| Health Care Providers & Services — 5.0% | | | | | | |
180 Medical, Inc., 3.88%, 10/15/29(b) | | | 282 | | | | 285,525 | |
AdaptHealth LLC, 5.13%, 03/01/30(b) | | | 104 | | | | 105,820 | |
Aetna, Inc., 3.88%, 08/15/47 | | | 3,500 | | | | 3,893,327 | |
AHP Health Partners, Inc., 5.75%, 07/15/29(b) | | | 559 | | | | 553,410 | |
Anthem, Inc., 4.55%, 03/01/48(d) | | | 5,000 | | | | 6,235,894 | |
Centene Corp.
4.25%, 12/15/27 | | | 558 | | | | 581,715 | |
2.45%, 07/15/28 | | | 1,091 | | | | 1,074,635 | |
4.63%, 12/15/29 | | | 2,700 | | | | 2,911,842 | |
3.00%, 10/15/30 | | | 1,801 | | | | 1,830,735 | |
2.50%, 03/01/31 | | | 3,059 | | | | 2,977,982 | |
2.63%, 08/01/31 | | | 875 | | | | 857,500 | |
CHS/Community Health Systems, Inc.(b)
6.63%, 02/15/25 | | | 2,540 | | | | 2,628,900 | |
8.00%, 03/15/26 | | | 1,573 | | | | 1,653,616 | |
5.63%, 03/15/27 | | | 1,180 | | | | 1,248,829 | |
6.00%, 01/15/29 | | | 812 | | | | 865,795 | |
6.13%, 04/01/30 | | | 564 | | | | 557,976 | |
DaVita, Inc., 4.63%, 06/01/30(b) | | | 16 | | | | 16,380 | |
Encompass Health Corp.
4.50%, 02/01/28 | | | 106 | | | | 109,048 | |
4.75%, 02/01/30 | | | 1,103 | | | | 1,136,090 | |
4.63%, 04/01/31 | | | 250 | | | | 254,375 | |
HCA, Inc.
5.38%, 09/01/26 | | | 665 | | | | 747,294 | |
5.63%, 09/01/28 | | | 1,297 | | | | 1,515,532 | |
5.88%, 02/01/29 | | | 312 | | | | 371,764 | |
3.50%, 09/01/30 | | | 967 | | | | 1,021,998 | |
5.25%, 06/15/49 | | | 3,500 | | | | 4,495,120 | |
Legacy LifePoint Health LLC(b)
6.75%, 04/15/25 | | | 409 | | | | 426,383 | |
4.38%, 02/15/27 | | | 491 | | | | 494,682 | |
LifePoint Health, Inc., 5.38%, 01/15/29(b)(d) | | | 191 | | | | 190,045 | |
ModivCare, Inc., 5.88%, 11/15/25(b) | | | 152 | | | | 159,600 | |
Molina Healthcare, Inc.(b)
4.38%, 06/15/28 | | | 659 | | | | 678,770 | |
3.88%, 11/15/30 | | | 491 | | | | 509,412 | |
3.88%, 05/15/32 | | | 443 | | | | 445,769 | |
| | |
SCHEDULE OF INVESTMENTS | | 95 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
|
| Health Care Providers & Services (continued) | |
Mozart Debt Merger Sub, Inc.(b)
3.88%, 04/01/29 | | $ | 826 | | | $ | 823,084 | |
5.25%, 10/01/29 | | | 2,097 | | | | 2,125,603 | |
Prime Healthcare Services, Inc., 7.25%, 11/01/25(b) | | | 432 | | | | 457,920 | |
RegionalCare Hospital Partners Holdings, | | | | | | | | |
Inc./LifePoint Health, Inc., 9.75%, 12/01/26(b) | | | 72 | | | | 76,082 | |
Surgery Center Holdings, Inc.(b)
6.75%, 07/01/25 | | | 375 | | | | 377,813 | |
10.00%, 04/15/27 | | | 972 | | | | 1,032,750 | |
Teleflex, Inc., 4.25%, 06/01/28(b) | | | 748 | | | | 770,582 | |
Tenet Healthcare Corp.
4.63%, 07/15/24 | | | 471 | | | | 476,887 | |
4.63%, 09/01/24(b) | | | 882 | | | | 901,845 | |
7.50%, 04/01/25(b) | | | 367 | | | | 386,249 | |
4.88%, 01/01/26(b)(d) | | | 3,889 | | | | 3,994,509 | |
6.25%, 02/01/27(b) | | | 144 | | | | 149,040 | |
5.13%, 11/01/27(b) | | | 2,180 | | | | 2,269,925 | |
4.63%, 06/15/28(b) | | | 37 | | | | 38,018 | |
6.13%, 10/01/28(b) | | | 526 | | | | 555,566 | |
4.25%, 06/01/29(b) | | | 60 | | | | 60,929 | |
UnitedHealth Group, Inc., 6.88%, 02/15/38(d) | | | 10,000 | | | | 15,331,456 | |
| | | | | | | | |
| | | | | | | 70,664,021 | |
| | |
| Health Care Technology(b) — 0.5% | | | | | | |
Catalent Pharma Solutions, Inc.
5.00%, 07/15/27 | | | 733 | | | | 761,587 | |
3.50%, 04/01/30 | | | 881 | | | | 878,502 | |
Change Healthcare Holdings LLC/Change Healthcare | | | | | | | | |
Finance, Inc., 5.75%, 03/01/25 | | | 650 | | | | 655,577 | |
Charles River Laboratories International, Inc. 4.25%, 05/01/28 | | | 324 | | | | 336,960 | |
3.75%, 03/15/29 | | | 141 | | | | 142,410 | |
4.00%, 03/15/31 | | | 204 | | | | 209,020 | |
IQVIA, Inc.
5.00%, 10/15/26 | | | 554 | | | | 568,543 | |
5.00%, 05/15/27 | | | 1,192 | | | | 1,234,078 | |
MEDNAX, Inc., 6.25%, 01/15/27 | | | 217 | | | | 227,036 | |
Syneos Health, Inc., 3.63%, 01/15/29 | | | 1,446 | | | | 1,427,925 | |
| | | | | | | | |
| | | | | | | 6,441,638 | |
| | |
| Hotels, Restaurants & Leisure — 2.9% | | | | | | |
1011778 BC ULC/New Red Finance, Inc.(b)
5.75%, 04/15/25 | | | 552 | | | | 572,700 | |
3.88%, 01/15/28 | | | 1,425 | | | | 1,443,183 | |
4.38%, 01/15/28 | | | 2,509 | | | | 2,559,180 | |
Boyd Gaming Corp.
8.63%, 06/01/25(b) | | | 85 | | | | 91,079 | |
4.75%, 12/01/27 | | | 393 | | | | 400,860 | |
4.75%, 06/15/31(b) | | | 775 | | | | 790,500 | |
Boyne USA, Inc., 4.75%, 05/15/29(b) | | | 508 | | | | 523,240 | |
Caesars Entertainment, Inc.(b)
6.25%, 07/01/25 | | | 3,215 | | | | 3,374,544 | |
8.13%, 07/01/27 | | | 2,783 | | | | 3,082,006 | |
4.63%, 10/15/29 | | | 960 | | | | 960,000 | |
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25(b) | | | 1,048 | | | | 1,094,442 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 05/01/25(b) | | | 1,111 | | | | 1,149,885 | |
Champion Path Holdings Ltd.(f)
4.50%, 01/27/26 | | | 500 | | | | 478,750 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Hotels, Restaurants & Leisure (continued) | | | | | | |
Champion Path Holdings Ltd.(f) (continued)
4.85%, 01/27/28 | | $ | 500 | | | $ | 476,031 | |
Churchill Downs, Inc.(b)
5.50%, 04/01/27 | | | 1,907 | | | | 1,964,210 | |
4.75%, 01/15/28 | | | 213 | | | | 220,455 | |
Fortune Star BVI Ltd.(f)
6.75%, 07/02/23 | | | 200 | | | | 203,520 | |
5.95%, 10/19/25 | | | 269 | | | | 269,565 | |
5.00%, 05/18/26 | | | 344 | | | | 329,793 | |
Golden Nugget, Inc.,
6.75%, 10/15/24(b) | | | 1,269 | | | | 1,269,000 | |
Hilton Domestic Operating Co., Inc.
5.38%, 05/01/25(b) | | | 319 | | | | 331,951 | |
5.75%, 05/01/28(b) | | | 451 | | | | 481,857 | |
4.88%, 01/15/30 | | | 1,288 | | | | 1,376,550 | |
4.00%, 05/01/31(b) | | | 285 | | | | 291,424 | |
Las Vegas Sands Corp.
3.50%, 08/18/26 | | | 96 | | | | 97,170 | |
3.90%, 08/08/29 | | | 88 | | | | 88,614 | |
Marriott International, Inc., Series EE,
5.75%, 05/01/25 | | | 1,295 | | | | 1,457,706 | |
McDonald’s Corp., 4.20%, 04/01/50(d) | | | 480 | | | | 580,948 | |
Melco Resorts Finance Ltd.(f)
5.25%, 04/26/26 | | | 300 | | | | 295,931 | |
5.75%, 07/21/28 | | | 300 | | | | 292,800 | |
5.38%, 12/04/29 | | | 383 | | | | 369,906 | |
MGM China Holdings Ltd., 5.88%, 05/15/26(f) | | | 200 | | | | 200,288 | |
MGM Resorts International
7.75%, 03/15/22 | | | 1,059 | | | | 1,072,237 | |
6.00%, 03/15/23 | | | 1,335 | | | | 1,395,075 | |
Midwest Gaming Borrower LLC/Midwest Gaming | | | | | | | | |
Finance Corp., 4.88%, 05/01/29(b) | | | 538 | | | | 540,690 | |
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.(b)
5.63%, 09/01/29 | | | 242 | | | | 240,110 | |
5.88%, 09/01/31 | | | 242 | | | | 242,840 | |
Scientific Games International, Inc.(b)
8.63%, 07/01/25 | | | 442 | | | | 471,835 | |
8.25%, 03/15/26 | | | 2,063 | | | | 2,171,307 | |
7.00%, 05/15/28 | | | 451 | | | | 480,315 | |
7.25%, 11/15/29 | | | 218 | | | | 243,070 | |
Six Flags Theme Parks, Inc., 7.00%, 07/01/25(b) | | | 1,648 | | | | 1,759,969 | |
Station Casinos LLC, 4.63%, 12/01/31(b) | | | 485 | | | | 488,977 | |
Studio City Finance Ltd.(f)
6.50%, 01/15/28 | | | 300 | | | | 289,500 | |
5.00%, 01/15/29 | | | 530 | | | | 476,106 | |
Vail Resorts, Inc., 6.25%, 05/15/25(b) | | | 341 | | | | 354,640 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.,
5.25%, 05/15/27(b) | | | 602 | | | | 615,437 | |
Wynn Macau Ltd.(f)
4.88%, 10/01/24 | | | 200 | | | | 187,475 | |
5.50%, 01/15/26 | | | 230 | | | | 213,900 | |
Wynn Resorts Finance LLC/Wynn Resorts Capital | | | | | | | | |
Corp., 5.13%, 10/01/29(b) | | | 1,103 | | | | 1,119,545 | |
Yum! Brands, Inc.
7.75%, 04/01/25(b) | | | 802 | | | | 845,107 | |
4.75%, 01/15/30(b) | | | 135 | | | | 146,138 | |
3.63%, 03/15/31 | | | 134 | | | | 133,498 | |
| | | | | | | | |
| | | | | | | 40,605,859 | |
| | |
| 96 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Household Durables — 0.5% | | | | | | |
Brookfield Residential Properties, Inc./Brookfield | | | | | | | | |
Residential US LLC, 4.88%, 02/15/30(b) | | $ | 770 | | | $ | 787,564 | |
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25(b) | | | 507 | | | | 532,350 | |
Lennar Corp.
4.75%, 11/15/22 | | | 1,605 | | | | 1,641,112 | |
5.25%, 06/01/26 | | | 890 | | | | 998,237 | |
Mattamy Group Corp., 4.63%, 03/01/30(b) | | | 427 | | | | 434,878 | |
NCR Corp.(b)
5.75%, 09/01/27 | | | 512 | | | | 535,040 | |
5.00%, 10/01/28 | | | 241 | | | | 248,230 | |
5.13%, 04/15/29 | | | 159 | | | | 164,597 | |
6.13%, 09/01/29 | | | 175 | | | | 187,012 | |
Newell Brands, Inc., 6.00%, 04/01/46 | | | 154 | | | | 197,588 | |
PulteGroup, Inc.
5.00%, 01/15/27 | | | 55 | | | | 62,469 | |
7.88%, 06/15/32 | | | 56 | | | | 79,574 | |
SWF Escrow Issuer Corp., 6.50%, 10/01/29(b) | | | 608 | | | | 584,413 | |
Tempur Sealy International, Inc.(b)
4.00%, 04/15/29 | | | 569 | | | | 578,958 | |
3.88%, 10/15/31 | | | 559 | | | | 560,057 | |
Toll Brothers Finance Corp., 4.35%, 02/15/28 | | | 35 | | | | 38,325 | |
| | | | | | | | |
| | | | | | | 7,630,404 | |
| |
| Independent Power and Renewable Electricity Producers — 0.7% | | | | |
Calpine Corp.(b)
5.25%, 06/01/26 | | | 379 | | | | 388,850 | |
4.50%, 02/15/28 | | | 955 | | | | 990,812 | |
5.13%, 03/15/28 | | | 3,279 | | | | 3,328,710 | |
5.00%, 02/01/31 | | | 5 | | | | 5,000 | |
Clearway Energy Operating LLC(b)
4.75%, 03/15/28 | | | 630 | | | | 662,287 | |
3.75%, 01/15/32 | | | 307 | | | | 304,698 | |
Greenko Dutch BV, 3.85%, 03/29/26(f) | | | 794 | | | | 801,849 | |
India Green Energy Holdings, 5.38%, 04/29/24(f) | | | 250 | | | | 258,125 | |
NRG Energy, Inc.
6.63%, 01/15/27 | | | 618 | | | | 642,433 | |
5.75%, 01/15/28 | | | 52 | | | | 54,970 | |
5.25%, 06/15/29(b) | | | 960 | | | | 1,028,530 | |
3.63%, 02/15/31(b) | | | 514 | | | | 501,150 | |
3.88%, 02/15/32(b) | | | 151 | | | | 147,980 | |
ReNew Power Pvt Ltd., 5.88%, 03/05/27(f) | | | 200 | | | | 207,760 | |
SMC Global Power Holdings Corp., (5 year CMT + 7.16%), 5.45%(a)(f)(g) | | | 300 | | | | 293,250 | |
TerraForm Power Operating LLC(b)
4.25%, 01/31/23 | | | 214 | | | | 218,815 | |
5.00%, 01/31/28 | | | 231 | | | | 244,675 | |
4.75%, 01/15/30 | | | 127 | | | | 133,142 | |
| | | | | | | | |
| | | | | | | 10,213,036 | |
| | |
| Insurance — 3.7% | | | | | | |
Acrisure LLC/Acrisure Finance, Inc., 6.00%,
08/01/29(b) | | | 478 | | | | 472,025 | |
Alliant Holdings Intermediate LLC/Alliant Holdings | | | | | | | | |
Co-Issuer, 6.75%, 10/15/27(b) | | | 2,837 | | | | 2,943,387 | |
Allstate Corp., Series B, (3 mo. LIBOR US + 2.94%), 5.75%, 08/15/53(a) | | | 5,000 | | | | 5,200,000 | |
AmWINS Group, Inc., 4.88%, 06/30/29(b) | | | 551 | | | | 556,510 | |
Aon PLC, 4.25%, 12/12/42(d) | | | 6,500 | | | | 7,409,681 | |
AssuredPartners, Inc., 5.63%, 01/15/29(b) | | | 323 | | | | 314,117 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| | |
| Insurance (continued) | | | | | | |
Farmers Exchange Capital II, (3 mo. LIBOR US + 3.74%), 6.15%, 11/01/53(a)(b) | | $ | 4,890 | | | $ | 6,194,914 | |
GTCR AP Finance, Inc., 8.00%, 05/15/27(b) | | | 87 | | | | 90,263 | |
HUB International Ltd., 7.00%, 05/01/26(b) | | | 1,724 | | | | 1,771,410 | |
Northwestern Mutual Life Insurance Co., 6.06%,
03/30/40(b)(d) | | | 12,000 | | | | 16,976,620 | |
Principal Financial Group, Inc., (3 mo. LIBOR US + 3.04%), 3.20%, 05/15/55(a) | | | 5,000 | | | | 4,956,132 | |
Progressive Corp., Series B, (3 mo. LIBOR US + 2.54%), 5.38%(a)(g) | | | 5,000 | | | | 5,112,500 | |
| | | | | | | | |
| | | | | | | 51,997,559 | |
| | |
| Interactive Media & Services — 0.5% | | | | | | |
Cablevision Lightpath LLC(b)
3.88%, 09/15/27 | | | 368 | | | | 356,960 | |
5.63%, 09/15/28 | | | 540 | | | | 532,337 | |
Netflix, Inc.
3.63%, 06/15/25(b) | | | 210 | | | | 221,298 | |
5.88%, 11/15/28 | | | 1,698 | | | | 2,041,845 | |
5.38%, 11/15/29(b) | | | 2,007 | | | | 2,383,313 | |
4.88%, 06/15/30(b) | | | 461 | | | | 537,641 | |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 4.75%, 04/30/27(b) | | | 614 | | | | 607,860 | |
Twitter, Inc., 3.88%, 12/15/27(b) | | | 721 | | | | 751,376 | |
| | | | | | | | |
| | | | | | | 7,432,630 | |
| | |
| Internet Software & Services — 1.0% | | | | | | |
ANGI Group LLC, 3.88%, 08/15/28(b) | | | 582 | | | | 568,905 | |
Booking Holdings, Inc.
3.55%, 03/15/28(d) | | | 3,375 | | | | 3,663,951 | |
4.63%, 04/13/30 | | | 2,185 | | | | 2,553,648 | |
Go Daddy Operating Co. LLC/GD Finance Co., Inc.(b)
5.25%, 12/01/27 | | | 370 | | | | 382,488 | |
3.50%, 03/01/29 | | | 265 | | | | 262,971 | |
Match Group Holdings II LLC(b)
4.13%, 08/01/30 | | | 383 | | | | 386,830 | |
3.63%, 10/01/31 | | | 222 | | | | 215,618 | |
Uber Technologies, Inc.(b)
7.50%, 05/15/25 | | | 1,750 | | | | 1,839,040 | |
8.00%, 11/01/26 | | | 481 | | | | 512,265 | |
7.50%, 09/15/27 | | | 1,892 | | | | 2,059,054 | |
6.25%, 01/15/28 | | | 440 | | | | 472,340 | |
4.50%, 08/15/29 | | | 967 | | | | 984,735 | |
| | | | | | | | |
| | | | | | | 13,901,845 | |
| | |
| IT Services — 0.9% | | | | | | |
Booz Allen Hamilton, Inc.(b)
3.88%, 09/01/28 | | | 735 | | | | 747,863 | |
4.00%, 07/01/29 | | | 995 | | | | 1,027,721 | |
CA Magnum Holdings
5.38%, 10/31/26(b) | | | 964 | | | | 996,583 | |
5.38%, 10/31/26(f) | | | 700 | | | | 723,660 | |
Camelot Finance SA, 4.50%, 11/01/26(b) | | | 1,254 | | | | 1,297,890 | |
Dun & Bradstreet Corp., 6.88%, 08/15/26(b) | | | 1,210 | | | | 1,258,400 | |
Fair Isaac Corp., 4.00%, 06/15/28(b) | | | 393 | | | | 403,976 | |
Gartner, Inc.(b)
4.50%, 07/01/28 | | | 587 | | | | 613,054 | |
3.63%, 06/15/29 | | | 499 | | | | 504,514 | |
3.75%, 10/01/30 | | | 984 | | | | 1,006,042 | |
Leidos, Inc., 4.38%, 05/15/30 | | | 2,215 | | | | 2,467,776 | |
| | |
SCHEDULE OF INVESTMENTS | | 97 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| IT Services (continued) | | | | | | |
Rackspace Technology Global, Inc., 5.38%,
12/01/28(b)(d) | | $ | 329 | | | $ | 320,775 | |
Twilio, Inc., 3.88%, 03/15/31 | | | 772 | | | | 779,488 | |
ZoomInfo Technologies LLC/ZoomInfo Finance Corp.,
3.88%, 02/01/29(b) | | | 551 | | | | 546,261 | |
| | | | | | | | |
| | | | | | | 12,694,003 | |
| | |
| Leisure Products — 0.2% | | | | | | |
Mattel, Inc.
5.88%, 12/15/27(b) | | | 503 | | | | 540,705 | |
3.75%, 04/01/29(b) | | | 213 | | | | 220,721 | |
6.20%, 10/01/40 | | | 548 | | | | 709,041 | |
5.45%, 11/01/41 | | | 753 | | | | 898,894 | |
| | | | | | | | |
| | | | | | | 2,369,361 | |
| | |
| Machinery(b) — 0.4% | | | | | | |
Colfax Corp., 6.38%, 02/15/26 | | | 671 | | | | 693,646 | |
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK),
13.00%, 02/15/25(h) | | | 166 | | | | 174,300 | |
Madison IAQ LLC
4.13%, 06/30/28 | | | 200 | | | | 200,500 | |
5.88%, 06/30/29 | | | 904 | | | | 904,000 | |
Terex Corp., 5.00%, 05/15/29 | | | 618 | | | | 634,995 | |
Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26 | | | 1,410 | | | | 1,431,150 | |
TK Elevator Holdco GmbH, 7.63%, 07/15/28 | | | 596 | | | | 638,465 | |
TK Elevator US Newco Inc., 5.25%, 07/15/27 | | | 1,547 | | | | 1,626,284 | |
| | | | | | | | |
| | | | | | | 6,303,340 | |
| | |
| Media — 9.6% | | | | | | |
Altice Financing SA(b)
5.00%, 01/15/28 | | | 863 | | | | 842,193 | |
5.75%, 08/15/29 | | | 2,009 | | | | 1,988,910 | |
Altice France Holding SA(b)
10.50%, 05/15/27 | | | 4,955 | | | | 5,326,625 | |
6.00%, 02/15/28(d) | | | 734 | | | | 700,970 | |
AMC Entertainment Holdings, Inc., (10.00% Cash or 12.00% PIK), 10.00%, 06/15/26(b)(h) | | | 546 | | | | 539,478 | |
AMC Networks, Inc., 4.25%, 02/15/29 | | | 263 | | | | 261,356 | |
CCO Holdings LLC/CCO Holdings Capital Corp.
5.13%, 05/01/27(b)(d) | | | 3,132 | | | | 3,225,960 | |
5.00%, 02/01/28(b) | | | 162 | | | | 168,480 | |
5.38%, 06/01/29(b) | | | 1,823 | | | | 1,967,263 | |
4.75%, 03/01/30(b) | | | 313 | | | | 325,520 | |
4.50%, 08/15/30(b) | | | 3,662 | | | | 3,746,922 | |
4.25%, 02/01/31(b) | | | 1,456 | | | | 1,468,784 | |
4.50%, 05/01/32 | | | 745 | | | | 766,419 | |
4.50%, 06/01/33(b) | | | 326 | | | | 332,595 | |
4.25%, 01/15/34(b) | | | 2,335 | | | | 2,297,237 | |
Charter Communications Operating LLC/Charter Communications Operating Capital
6.38%, 10/23/35 | | | 479 | | | | 618,746 | |
6.48%, 10/23/45(d) | | | 9,584 | | | | 13,087,788 | |
5.38%, 05/01/47 | | | 1,500 | | | | 1,790,409 | |
6.83%, 10/23/55 | | | 3,540 | | | | 5,062,646 | |
Clear Channel Outdoor Holdings, Inc.(b)
7.75%, 04/15/28 | | | 1,473 | | | | 1,576,110 | |
7.50%, 06/01/29(d) | | | 1,796 | | | | 1,917,230 | |
Clear Channel Worldwide Holdings, Inc., 5.13%, 08/15/27(b)(d) | | | 6,446 | | | | 6,670,063 | |
Comcast Corp.
3.75%, 04/01/40 | | | 545 | | | | 610,142 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| | |
| Media (continued) | | | | | | |
Comcast Corp. (continued)
2.99%, 11/01/63(b) | | $ | 5,558 | | | $ | 5,274,685 | |
Connect Finco Sarl/Connect US Finco LLC, 6.75%, 10/01/26(b)(d) | | | 4,514 | | | | 4,745,342 | |
Cox Communications, Inc., 8.38%, 03/01/39(b) | | | 5,000 | | | | 8,280,384 | |
CSC Holdings LLC
5.25%, 06/01/24 | | | 1,061 | | | | 1,103,440 | |
5.38%, 02/01/28(b) | | | 336 | | | | 347,884 | |
7.50%, 04/01/28(b) | | | 877 | | | | 940,582 | |
5.75%, 01/15/30(b) | | | 406 | | | | 404,478 | |
4.13%, 12/01/30(b) | | | 1,538 | | | | 1,501,472 | |
4.63%, 12/01/30(b) | | | 200 | | | | 189,250 | |
3.38%, 02/15/31(b) | | | 225 | | | | 210,656 | |
4.50%, 11/15/31(b) | | | 680 | | | | 671,500 | |
5.00%, 11/15/31(b) | | | 542 | | | | 522,353 | |
DIRECTV Holdings LLC/DIRECTV Financing Co., | | | | | | | | |
Inc., 5.88%, 08/15/27(b) | | | 897 | | | | 918,268 | |
Discovery Communications LLC, 4.88%, 04/01/43 | | | 4,000 | | | | 4,713,598 | |
DISH DBS Corp.
5.88%, 07/15/22 | | | 2,545 | | | | 2,586,356 | |
7.75%, 07/01/26 | | | 1,110 | | | | 1,171,050 | |
5.25%, 12/01/26(b) | | | 2,398 | | | | 2,435,852 | |
5.75%, 12/01/28(b) | | | 1,904 | | | | 1,923,040 | |
Fox Corp., 3.05%, 04/07/25 | | | 475 | | | | 498,600 | |
Frontier Communications Holdings LLC(b)
5.88%, 10/15/27 | | | 1,001 | | | | 1,058,557 | |
5.00%, 05/01/28 | | | 1,372 | | | | 1,413,160 | |
6.75%, 05/01/29 | | | 1,212 | | | | 1,260,480 | |
6.00%, 01/15/30 | | | 760 | | | | 763,800 | |
Globe Telecom, Inc., (5 year CMT + 5.53%),
4.20%(a)(f)(g) | | | 700 | | | | 717,500 | |
Gray Television, Inc., 7.00%, 05/15/27(b) | | | 415 | | | | 443,531 | |
iHeartCommunications, Inc.
6.38%, 05/01/26 | | | 370 | | | | 383,856 | |
8.38%, 05/01/27 | | | 73 | | | | 77,318 | |
5.25%, 08/15/27(b) | | | 376 | | | | 391,078 | |
4.75%, 01/15/28(b) | | | 184 | | | | 186,598 | |
Iliad Holding SAS(b)
6.50%, 10/15/26 | | | 978 | | | | 1,027,614 | |
7.00%, 10/15/28 | | | 1,001 | | | | 1,052,622 | |
Lamar Media Corp., 4.00%, 02/15/30 | | | 307 | | | | 311,452 | |
LCPR Senior Secured Financing DAC(b)
6.75%, 10/15/27 | | | 860 | | | | 903,000 | |
5.13%, 07/15/29 | | | 963 | | | | 967,815 | |
Ligado Networks LLC, (15.50% PIK), 15.50%,
11/01/23(b)(h) | | | 824 | | | | 645,016 | |
Lions Gate Capital Holdings LLC, 5.50%, 04/15/29(b) | | | 293 | | | | 298,128 | |
Live Nation Entertainment, Inc.(b)
4.88%, 11/01/24 | | | 136 | | | | 137,360 | |
6.50%, 05/15/27 | | | 2,164 | | | | 2,366,875 | |
4.75%, 10/15/27 | | | 391 | | | | 401,753 | |
3.75%, 01/15/28 | | | 254 | | | | 252,095 | |
Midas OpCo Holdings LLC, 5.63%, 08/15/29(b) | | | 209 | | | | 213,964 | |
Network i2i Ltd., (5 year CMT + 4.27%),
5.65%(a)(f)(g) | | | 695 | | | | 730,315 | |
Outfront Media Capital LLC/Outfront Media
Capital Corp.(b) | |
5.00%, 08/15/27 | | | 476 | | | | 487,081 | |
4.25%, 01/15/29 | | | 256 | | | | 256,466 | |
Radiate Holdco LLC/Radiate Finance, Inc.(b)
4.50%, 09/15/26 | | | 1,219 | | | | 1,231,190 | |
6.50%, 09/15/28 | | | 2,950 | | | | 2,963,378 | |
| | |
| 98 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Media (continued) | | | | | | |
Scripps Escrow II, Inc., 3.88%, 01/15/29(b) | | $ | 37 | | | $ | 36,954 | |
Sinclair Television Group Inc., 4.13%, 12/01/30(b) | | | 65 | | | | 61,588 | |
Sirius XM Radio, Inc.(b)
3.13%, 09/01/26 | | | 1,020 | | | | 1,020,296 | |
5.00%, 08/01/27 | | | 394 | | | | 409,500 | |
4.00%, 07/15/28 | | | 849 | | | | 853,746 | |
5.50%, 07/01/29 | | | 1,254 | | | | 1,351,185 | |
4.13%, 07/01/30 | | | 2 | | | | 2,000 | |
3.88%, 09/01/31 | | | 1,034 | | | | 1,013,785 | |
Telenet Finance Luxembourg Notes Sarl, 5.50%, 03/01/28(b) | | | 1,000 | | | | 1,030,000 | |
Telesat Canada/Telesat LLC, 4.88%, 06/01/27(b) | | | 381 | | | | 336,423 | |
Time Warner Cable LLC, 6.55%, 05/01/37 | | | 3,519 | | | | 4,603,806 | |
UPC Broadband Finco BV, 4.88%, 07/15/31(b) | | | 934 | | | | 952,680 | |
ViacomCBS, Inc.
5.85%, 09/01/43 | | | 1,300 | | | | 1,751,111 | |
(3 mo. LIBOR US + 3.90%), 5.88%, 02/28/57(a) | | | 2,111 | | | | 2,105,068 | |
Videotron Ltd.(b)
5.13%, 04/15/27 | | | 999 | | | | 1,028,970 | |
3.63%, 06/15/29 | | | 469 | | | | 471,345 | |
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28(b) | | | 1,452 | | | | 1,462,955 | |
WMG Acquisition Corp., 3.88%, 07/15/30(b) | | | 263 | | | | 267,274 | |
Ziggo Bond Co. BV, 6.00%, 01/15/27(b) | | | 955 | | | | 983,650 | |
Ziggo BV(b)
5.50%, 01/15/27 | | | 775 | | | | 796,312 | |
4.88%, 01/15/30 | | | 605 | | | | 620,488 | |
| | | | | | | | |
| | | | | | | 135,831,774 | |
| | |
| Metals & Mining — 2.0% | | | | | | |
ABJA Investment Co. Pte Ltd., 5.45%, 01/24/28(f) | | | 306 | | | | 334,209 | |
Arconic Corp.(b)
6.00%, 05/15/25 | | | 705 | | | | 736,725 | |
6.13%, 02/15/28 | | | 552 | | | | 587,438 | |
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(b) | | | 2,157 | | | | 2,332,256 | |
Commercial Metals Co., 4.88%, 05/15/23 | | | 2,194 | | | | 2,259,820 | |
Constellium SE(b)
5.88%, 02/15/26 | | | 996 | | | | 1,009,177 | |
3.75%, 04/15/29 | | | 1,077 | | | | 1,059,655 | |
Freeport-McMoRan, Inc.
4.38%, 08/01/28 | | | 887 | | | | 930,241 | |
5.40%, 11/14/34 | | | 65 | | | | 79,138 | |
5.45%, 03/15/43 | | | 1,607 | | | | 2,020,144 | |
JSW Steel Ltd., 3.95%, 04/05/27(f) | | | 500 | | | | 493,750 | |
Kaiser Aluminum Corp.(b)
4.63%, 03/01/28 | | | 704 | | | | 711,040 | |
4.50%, 06/01/31 | | | 266 | | | | 261,678 | |
Mongolian Mining Corp/Energy Resources LLC, 9.25%, 04/15/24(f) | | | 200 | | | | 163,850 | |
New Gold, Inc., 7.50%, 07/15/27(b) | | | 1,357 | | | | 1,441,812 | |
Novelis Corp.(b)
3.25%, 11/15/26 | | | 862 | | | | 869,542 | |
4.75%, 01/30/30 | | | 2,583 | | | | 2,715,379 | |
3.88%, 08/15/31 | | | 771 | | | | 766,181 | |
Periama Holdings LLC, 5.95%, 04/19/26(f) | | | 200 | | | | 212,500 | |
Roller Bearing Co. of America, Inc., 4.38%, 10/15/29(b) | | | 249 | | | | 253,980 | |
Southern Copper Corp., 5.88%, 04/23/45 | | | 3,870 | | | | 5,286,904 | |
Steel Dynamics, Inc., 3.25%, 10/15/50 | | | 1,145 | | | | 1,153,967 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| | |
| Metals & Mining (continued) | | | | | | |
United States Steel Corp., 6.88%, 03/01/29 | | $ | 1,077 | | | $ | 1,159,121 | |
Vedanta Resources Finance II PLC
8.00%, 04/23/23(f) | | | 200 | | | | 195,538 | |
13.88%, 01/21/24(f) | | | 200 | | | | 211,663 | |
8.95%, 03/11/25(b) | | | 210 | | | | 205,275 | |
8.95%, 03/11/25(f) | | | 200 | | | | 195,500 | |
| | | | | | | | |
| | | | | | | 27,646,483 | |
| | |
| Multiline Retail — 0.2% | | | | | | |
Bath & Body Works, Inc., 6.88%, 11/01/35 | | | 1,119 | | | | 1,390,358 | |
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26(b) | | | 820 | | | | 870,323 | |
| | | | | | | | |
| | | | | | | 2,260,681 | |
| | |
| Multi-Utilities — 0.2% | | | | | | |
NiSource, Inc., 3.60%, 05/01/30 | | | 2,200 | | | | 2,371,210 | |
| | | | | | | | |
| | |
| Offshore Drilling & Other Services — 0.1% | | | | | | |
Lam Research Corp., 4.88%, 03/15/49 | | | 875 | | | | 1,187,717 | |
| | | | | | | | |
| | |
| Oil, Gas & Consumable Fuels — 15.9% | | | | | | |
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26(b) | | | 657 | | | | 705,749 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp.(b) | | | | | | | | |
5.75%, 03/01/27 | | | 654 | | | | 677,708 | |
5.75%, 01/15/28 | | | 127 | | | | 133,176 | |
5.38%, 06/15/29 | | | 425 | | | | 448,381 | |
Antero Resources Corp., 5.38%, 03/01/30(b) | | | 230 | | | | 245,870 | |
Apache Corp.
4.25%, 01/15/30 | | | 458 | | | | 497,022 | |
5.10%, 09/01/40 | | | 888 | | | | 1,003,440 | |
5.25%, 02/01/42 | | | 57 | | | | 65,834 | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp.(b) | | | | | | | | |
9.00%, 11/01/27 | | | 763 | | | | 1,018,605 | |
5.88%, 06/30/29 | | | 297 | | | | 285,770 | |
Brand Industrial Services, Inc., 8.50%, 07/15/25(b) | | | 984 | | | | 983,085 | |
Buckeye Partners LP
4.13%, 03/01/25(b) | | | 594 | | | | 613,305 | |
5.85%, 11/15/43 | | | 383 | | | | 375,821 | |
5.60%, 10/15/44 | | | 376 | | | | 366,111 | |
Callon Petroleum Co.
6.13%, 10/01/24 | | | 282 | | | | 277,770 | |
9.00%, 04/01/25(b) | | | 2,214 | | | | 2,391,120 | |
8.00%, 08/01/28(b) | | | 1,261 | | | | 1,273,610 | |
Cenovus Energy, Inc.
3.80%, 09/15/23 | | | 104 | | | | 107,636 | |
5.38%, 07/15/25 | | | 1,186 | | | | 1,308,780 | |
5.40%, 06/15/47 | | | 77 | | | | 95,860 | |
Cheniere Energy Partners LP
4.50%, 10/01/29 | | | 1,206 | | | | 1,278,360 | |
4.00%, 03/01/31 | | | 1,350 | | | | 1,416,082 | |
3.25%, 01/31/32(b) | | | 1,142 | | | | 1,153,420 | |
Cheniere Energy, Inc., 4.63%, 10/15/28 | | | 3,534 | | | | 3,759,186 | |
Chesapeake Energy Corp., 5.88%, 02/01/29(b) | | | 80 | | | | 85,580 | |
CNOOC Petroleum North America ULC, 6.40%,
05/15/37 | | | 2,000 | | | | 2,624,125 | |
CNX Resources Corp., 6.00%, 01/15/29(b) | | | 56 | | | | 58,240 | |
Colgate Energy Partners III LLC(b) 7.75%, 02/15/26 | | | 276 | | | | 298,080 | |
| | |
SCHEDULE OF INVESTMENTS | | 99 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| | |
| Oil, Gas & Consumable Fuels (continued) | | | | | | |
Colgate Energy Partners III LLC(b) (continued)
5.88%, 07/01/29(d) | | $ | 452 | | | $ | 465,560 | |
Comstock Resources, Inc.(b)
7.50%, 05/15/25 | | | 569 | | | | 586,781 | |
6.75%, 03/01/29 | | | 816 | | | | 885,034 | |
5.88%, 01/15/30 | | | 760 | | | | 779,000 | |
ConocoPhillips, 4.88%, 10/01/47(b) | | | 3,815 | | | | 5,023,915 | |
Coterra Energy, Inc., 4.38%, 06/01/24(b) | | | 38 | | | | 40,186 | |
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31(b) | | | 1,218 | | | | 1,271,287 | |
Crestwood Midstream Partners LP/Crestwood | | | | | | | | |
Midstream Finance Corp., 6.00%, 02/01/29(b) | | | 12 | | | | 12,465 | |
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(b) | | | 1,677 | | | | 1,714,732 | |
DCP Midstream Operating LP(b)
6.45%, 11/03/36 | | | 247 | | | | 323,244 | |
6.75%, 09/15/37 | | | 1,373 | | | | 1,836,593 | |
Devon Energy Corp.
8.25%, 08/01/23 | | | 811 | | | | 885,791 | |
5.25%, 09/15/24 | | | 100 | | | | 108,193 | |
5.25%, 10/15/27 | | | 130 | | | | 137,136 | |
5.88%, 06/15/28 | | | 204 | | | | 220,949 | |
4.50%, 01/15/30 | | | 117 | | | | 125,611 | |
Diamondback Energy, Inc.
4.75%, 05/31/25 | | | 2,170 | | | | 2,377,099 | |
3.50%, 12/01/29 | | | 692 | | | | 733,802 | |
DT Midstream, Inc.(b)
4.13%, 06/15/29 | | | 894 | | | | 915,233 | |
4.38%, 06/15/31 | | | 1,092 | | | | 1,135,680 | |
eG Global Finance PLC(b)
6.75%, 02/07/25 | | | 703 | | | | 711,788 | |
8.50%, 10/30/25 | | | 787 | | | | 815,529 | |
El Paso Natural Gas Co. LLC, 8.63%, 01/15/22 | | | 2,345 | | | | 2,350,661 | |
Enbridge, Inc.(a) | | | | | | | | |
(3 mo. LIBOR US + 3.64%), 6.25%, 03/01/78 | | | 5,000 | | | | 5,426,920 | |
Series 16-A, (3 mo. LIBOR US + 3.89%), 6.00%, 01/15/77 | | | 5,880 | | | | 6,315,952 | |
Endeavor Energy Resources LP/EER Finance, Inc.(b)
6.63%, 07/15/25 | | | 322 | | | | 340,686 | |
5.75%, 01/30/28 | | | 518 | | | | 552,128 | |
Energy Transfer LP
4.25%, 03/15/23 | | | 553 | | | | 568,258 | |
5.88%, 01/15/24(d) | | | 3,366 | | | | 3,622,733 | |
6.13%, 12/15/45 | | | 3,579 | | | | 4,451,829 | |
Series B, (3 mo. LIBOR US + 4.16%),
6.63%(a)(g) | | | 5,000 | | | | 4,737,100 | |
Energy Transfer Operating LP, 5.50%, 06/01/27 | | | 406 | | | | 463,103 | |
EnLink Midstream LLC
5.63%, 01/15/28(b) | | | 380 | | | | 395,200 | |
5.38%, 06/01/29 | | | 188 | | | | 192,230 | |
EnLink Midstream Partners LP
4.40%, 04/01/24 | | | 613 | | | | 640,585 | |
4.15%, 06/01/25 | | | 48 | | | | 49,750 | |
4.85%, 07/15/26 | | | 64 | | | | 67,360 | |
5.60%, 04/01/44 | | | 523 | | | | 527,485 | |
5.05%, 04/01/45 | | | 68 | | | | 65,620 | |
Enterprise Products Operating LLC
4.90%, 05/15/46(d) | | | 5,375 | | | | 6,499,257 | |
Series E, (3 mo. LIBOR US + 3.03%), 5.25%,
08/16/77(a) | | | 4,800 | | | | 4,900,413 | |
EOG Resources, Inc., 4.38%, 04/15/30(d) | | | 2,965 | | | | 3,426,269 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| | |
| Oil, Gas & Consumable Fuels (continued) | | | | | | |
EQM Midstream Partners LP
4.13%, 12/01/26 | | $ | 226 | | | $ | 231,650 | |
4.75%, 01/15/31(b) | | | 1,255 | | | | 1,327,162 | |
EQT Corp.
3.13%, 05/15/26(b) | | | 368 | | | | 377,763 | |
3.90%, 10/01/27 | | | 573 | | | | 614,554 | |
5.00%, 01/15/29 | | | 135 | | | | 149,513 | |
7.50%, 02/01/30 | | | 376 | | | | 483,160 | |
3.63%, 05/15/31(b) | | | 104 | | | | 107,900 | |
Exxon Mobil Corp., 3.45%, 04/15/51(d) | | | 3,890 | | | | 4,213,912 | |
Genesis Energy LP/Genesis Energy Finance Corp., 7.75%, 02/01/28 | | | 293 | | | | 295,198 | |
GMR Hyderabad International Airport Ltd.(f)
5.38%, 04/10/24 | | | 200 | | | | 205,288 | |
4.25%, 10/27/27 | | | 200 | | | | 193,163 | |
Great Western Petroleum LLC/Great Western Finance Corp., 12.00%, 09/01/25(b) | | | 40 | | | | 42,000 | |
Harbour Energy PLC, 5.50%, 10/15/26(b) | | | 200 | | | | 198,500 | |
Harvest Midstream I LP, 7.50%, 09/01/28(b) | | | 115 | | | | 123,050 | |
Hess Corp., 5.80%, 04/01/47(d) | | | 5,000 | | | | 6,387,733 | |
Hess Midstream Operations LP, 4.25%, 02/15/30(b) | | | 529 | | | | 525,033 | |
Independence Energy Finance LLC, 7.25%,
05/01/26(b) | | | 976 | | | | 1,013,820 | |
ITT Holdings LLC, 6.50%, 08/01/29(b) | | | 711 | | | | 703,890 | |
Kinder Morgan, Inc.
7.80%, 08/01/31 | | | 197 | | | | 280,157 | |
7.75%, 01/15/32(d) | | | 4,586 | | | | 6,441,922 | |
Marathon Petroleum Corp.
4.70%, 05/01/25(d) | | | 4,280 | | | | 4,669,146 | |
5.13%, 12/15/26 | | | 937 | | | | 1,066,356 | |
Matador Resources Co., 5.88%, 09/15/26 | | | 1,255 | | | | 1,292,650 | |
Medco Bell Pte Ltd., 6.38%, 01/30/27(f) | | | 300 | | | | 296,250 | |
Medco Laurel Tree Pte Ltd., 6.95%, 11/12/28(f) | | | 400 | | | | 397,000 | |
Medco Oak Tree Pte Ltd., 7.38%, 05/14/26(f) | | | 200 | | | | 206,760 | |
MEG Energy Corp., 6.50%,
01/15/25(b)(e) | | | 513 | | | | 521,336 | |
MPLX LP
4.13%, 03/01/27 | | | 825 | | | | 902,613 | |
5.20%, 03/01/47 | | | 3,500 | | | | 4,284,920 | |
4.70%, 04/15/48(d) | | | 5,000 | | | | 5,768,644 | |
5.50%, 02/15/49 | | | 2,640 | | | | 3,371,277 | |
Murphy Oil Corp.
5.75%, 08/15/25 | | | 49 | | | | 50,366 | |
6.38%, 12/01/42 | | | 47 | | | | 47,000 | |
Murphy Oil USA, Inc., 4.75%, 09/15/29 | | | 323 | | | | 339,958 | |
Nabors Industries Ltd.(b)
7.25%, 01/15/26 | | | 109 | | | | 100,825 | |
7.50%, 01/15/28 | | | 354 | | | | 320,370 | |
Nabors Industries, Inc., 7.38%, 05/15/27(b) | | | 413 | | | | 427,533 | |
New Fortress Energy, Inc.(b)
6.75%, 09/15/25 | | | 1,419 | | | | 1,433,190 | |
6.50%, 09/30/26 | | | 1,543 | | | | 1,531,427 | |
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26(b) | | | 364 | | | | 375,393 | |
NGPL PipeCo LLC, 7.77%, 12/15/37(b) | | | 1,117 | | | | 1,563,845 | |
Northern Oil and Gas, Inc., 8.13%, 03/01/28(b) | | | 1,020 | | | | 1,076,100 | |
NuStar Logistics LP
6.00%, 06/01/26 | | | 373 | | | | 404,705 | |
6.38%, 10/01/30 | | | 45 | | | | 49,950 | |
Occidental Petroleum Corp.
6.95%, 07/01/24 | | | 92 | | | | 102,288 | |
| | |
| 100 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
|
| Oil, Gas & Consumable Fuels (continued) | |
Occidental Petroleum Corp. (continued)
5.50%, 12/01/25 | | $ | 218 | | | $ | 241,843 | |
5.55%, 03/15/26 | | | 79 | | | | 87,951 | |
3.00%, 02/15/27 | | | 10 | | | | 10,150 | |
8.88%, 07/15/30 | | | 17 | | | | 22,927 | |
4.30%, 08/15/39 | | | 1,057 | | | | 1,054,114 | |
6.20%, 03/15/40 | | | 1,461 | | | | 1,797,030 | |
4.50%, 07/15/44 | | | 682 | | | | 702,463 | |
4.63%, 06/15/45 | | | 1,066 | | | | 1,105,975 | |
4.40%, 04/15/46 | | | 1,436 | | | | 1,471,900 | |
4.10%, 02/15/47 | | | 273 | | | | 267,540 | |
4.20%, 03/15/48 | | | 1,350 | | | | 1,350,000 | |
4.40%, 08/15/49 | | | 161 | | | | 163,013 | |
PDC Energy, Inc., 5.75%, 05/15/26 | | | 759 | | | | 784,343 | |
Petroleos Mexicanos
3.50%, 01/30/23 | | | 5,000 | | | | 5,032,187 | |
4.63%, 09/21/23(d) | | | 3,965 | | | | 4,057,434 | |
6.70%, 02/16/32(b) | | | 695 | | | | 700,213 | |
Plains All American Pipeline LP, Series B, (3 mo. LIBOR US + 4.11%), 6.13%(a)(g) | | | 2,215 | | | | 1,879,981 | |
Range Resources Corp.
5.88%, 07/01/22 | | | 280 | | | | 281,750 | |
5.00%, 08/15/22 | | | 559 | | | | 565,289 | |
5.00%, 03/15/23 | | | 551 | | | | 563,398 | |
4.88%, 05/15/25 | | | 30 | | | | 30,975 | |
9.25%, 02/01/26 | | | 111 | | | | 119,635 | |
Rockcliff Energy II LLC, 5.50%, 10/15/29(b) | | | 644 | | | | 663,320 | |
Rockies Express Pipeline LLC, 6.88%, 04/15/40(b) | | | 580 | | | | 655,403 | |
Sabine Pass Liquefaction LLC
5.63%, 04/15/23(d) | | | 10,510 | | | | 10,992,410 | |
5.75%, 05/15/24 | | | 2,575 | | | | 2,800,433 | |
5.88%, 06/30/26 | | | 1,481 | | | | 1,699,158 | |
SM Energy Co.
10.00%, 01/15/25(b) | | | 1,895 | | | | 2,085,713 | |
5.63%, 06/01/25 | | | 44 | | | | 44,330 | |
6.75%, 09/15/26 | | | 292 | | | | 300,030 | |
Southwestern Energy Co.
4.10%, 03/15/22 | | | 550 | | | | 550,187 | |
6.45%, 01/23/25 | | | 29 | | | | 31,871 | |
5.38%, 02/01/29 | | | 624 | | | | 659,880 | |
4.75%, 02/01/32 | | | 448 | | | | 471,791 | |
Sunoco LP/Sunoco Finance Corp.
6.00%, 04/15/27 | | | 141 | | | | 147,049 | |
5.88%, 03/15/28 | | | 317 | | | | 335,228 | |
Tap Rock Resources LLC, 7.00%, 10/01/26(b) | | | 1,323 | | | | 1,375,920 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.
5.88%, 04/15/26 | | | 669 | | | | 698,078 | |
5.38%, 02/01/27 | | | 5 | | | | 5,153 | |
6.50%, 07/15/27 | | | 228 | | | | 244,416 | |
6.88%, 01/15/29 | | | 921 | | | | 1,030,396 | |
5.50%, 03/01/30 | | | 912 | | | | 996,360 | |
4.88%, 02/01/31 | | | 317 | | | | 344,246 | |
TransCanada PipeLines Ltd., 4.88%, 05/15/48 | | | 4,000 | | | | 5,083,157 | |
Transcanada Trust, (3 mo. LIBOR US + 3.53%), 5.63%, 05/20/75(a) | | | 2,755 | | | | 2,892,750 | |
Transocean, Inc., 11.50%, 01/30/27(b) | | | 294 | | | | 288,120 | |
Venture Global Calcasieu Pass LLC(b)
3.88%, 08/15/29 | | | 1,490 | | | | 1,545,875 | |
4.13%, 08/15/31 | | | 1,553 | | | | 1,646,180 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
|
| Oil, Gas & Consumable Fuels (continued) | |
Venture Global Calcasieu Pass LLC(b) (continued)
3.88%, 11/01/33 | | $ | 2,918 | | | $ | 3,065,592 | |
Vine Energy Holdings LLC, 6.75%, 04/15/29(b) | | | 1,286 | | | | 1,395,310 | |
Western Midstream Operating LP
5.45%, 04/01/44 | | | 12 | | | | 14,340 | |
5.30%, 03/01/48 | | | 1,180 | | | | 1,421,906 | |
5.50%, 08/15/48 | | | 61 | | | | 72,866 | |
6.50%, 02/01/50 | | | 1,525 | | | | 1,803,320 | |
Williams Cos., Inc.
3.70%, 01/15/23 | | | 2,245 | | | | 2,294,508 | |
4.55%, 06/24/24 | | | 527 | | | | 563,944 | |
8.75%, 03/15/32 | | | 2,478 | | | | 3,669,421 | |
5.10%, 09/15/45(d) | | | 5,075 | | | | 6,237,020 | |
| | | | | | | | |
| | |
| | | | | | | 225,177,935 | |
| | |
| Personal Products — 0.0% | | | | | | |
Coty Inc/HFC Prestige Products Inc/HFC Prestige International US LLC, 4.75%, 01/15/29(b) | | | 299 | | | | 303,859 | |
| | | | | | | | |
| | |
| Pharmaceuticals — 4.5% | | | | | | |
AbbVie, Inc.
2.80%, 03/15/23 | | | 3,000 | | | | 3,057,265 | |
4.75%, 03/15/45(d) | | | 5,485 | | | | 6,841,320 | |
4.70%, 05/14/45(d) | | | 3,255 | | | | 4,038,249 | |
Bausch Health Americas, Inc., 8.50%, 01/31/27(b) | | | 1,137 | | | | 1,193,850 | |
Bausch Health Cos., Inc.(b)
9.00%, 12/15/25 | | | 1,014 | | | | 1,067,925 | |
7.00%, 01/15/28 | | | 395 | | | | 393,025 | |
5.00%, 02/15/29 | | | 304 | | | | 268,280 | |
6.25%, 02/15/29 | | | 678 | | | | 644,263 | |
7.25%, 05/30/29 | | | 1,242 | | | | 1,229,580 | |
CVS Health Corp.(d)
5.13%, 07/20/45 | | | 3,879 | | | | 5,042,173 | |
5.05%, 03/25/48 | | | 8,205 | | | | 10,727,528 | |
Elanco Animal Health, Inc., 5.90%, 08/28/28 | | | 353 | | | | 409,480 | |
Endo Dac/Endo Finance LLC/Endo Finco, Inc.,
9.50%, 07/31/27(b)(d) | | | 994 | | | | 1,011,812 | |
Endo Luxembourg Finance Co. I Sarl/Endo US, Inc., 6.13%, 04/01/29(b) | | | 983 | | | | 963,340 | |
Jazz Securities DAC, 4.38%, 01/15/29(b) | | | 1,053 | | | | 1,090,318 | |
Merck & Co., Inc., 6.50%, 12/01/33(d) | | | 6,420 | | | | 9,257,605 | |
Option Care Health, Inc., 4.38%, 10/31/29(b) | | | 265 | | | | 265,663 | |
Organon & Co./Organon Foreign Debt Co-Issuer BV(b)
4.13%, 04/30/28 | | | 1,633 | | | | 1,659,536 | |
5.13%, 04/30/31 | | | 1,599 | | | | 1,670,443 | |
P&L Development LLC/PLD Finance Corp.,
7.75%, 11/15/25(b) | | | 394 | | | | 394,492 | |
Par Pharmaceutical, Inc., 7.50%, 04/01/27(b) | | | 3,021 | | | | 3,087,251 | |
PRA Health Sciences, Inc., 2.88%, 07/15/26(b) | | | 1,021 | | | | 1,022,276 | |
Prestige Brands, Inc., 3.75%, 04/01/31(b) | | | 318 | | | | 308,460 | |
Takeda Pharmaceutical Co. Ltd., 2.05%, 03/31/30(d) | | | 8,270 | | | | 8,098,415 | |
Teva Pharmaceutical Finance Netherlands III BV, 7.13%, 01/31/25 | | | 200 | | | | 213,663 | |
| | | | | | | | |
| | |
| | | | | | | 63,956,212 | |
|
| Real Estate Management & Development — 2.0% | |
Agile Group Holdings Ltd.(f)
5.75%, 01/02/25 | | | 200 | | | | 128,000 | |
6.05%, 10/13/25 | | | 200 | | | | 118,500 | |
AYC Finance Ltd., 3.90%(f)(g) | | | 300 | | | | 286,500 | |
Central China Real Estate Ltd., 7.65%, 08/27/23(f) | | | 200 | | | | 131,500 | |
| | |
SCHEDULE OF INVESTMENTS | | 101 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
|
| Real Estate Management & Development (continued) | |
China Aoyuan Group Ltd.(f) | | | | | | | | |
7.95%, 02/19/23 | | $ | 230 | | | $ | 44,850 | |
6.20%, 03/24/26 | | | 420 | | | | 79,884 | |
China Evergrande Group(f)(i)(j) | | | | | | | | |
10.00%, 04/11/23 | | | 300 | | | | 45,056 | |
7.50%, 06/28/23 | | | 300 | | | | 44,963 | |
9.50%, 03/29/24 | | | 300 | | | | 44,588 | |
10.50%, 04/11/24 | | | 350 | | | | 52,347 | |
China SCE Group Holdings Ltd.(f) | | | | | | | | |
7.25%, 04/19/23 | | | 200 | | | | 176,000 | |
7.38%, 04/09/24 | | | 200 | | | | 169,260 | |
CIFI Holdings Group Co. Ltd.(f) | | | | | | | | |
5.50%, 01/23/23 | | | 450 | | | | 445,162 | |
6.55%, 03/28/24 | | | 450 | | | | 444,375 | |
6.45%, 11/07/24 | | | 450 | | | | 444,234 | |
6.00%, 07/16/25 | | | 200 | | | | 195,260 | |
Dexin China Holdings Co. Ltd., 9.95%, 12/03/22(f) | | | 708 | | | | 496,618 | |
Easy Tactic Ltd.(f) | | | | | | | | |
9.13%, 07/28/22 | | | 200 | | | | 86,350 | |
12.38%, 11/18/22 | | | 200 | | | | 86,538 | |
Fantasia Holdings Group Co. Ltd.(f)(i)(j) | | | | | | | | |
7.95%, 07/05/22 | | | 1,050 | | | | 241,500 | |
10.88%, 01/09/23 | | | 343 | | | | 78,890 | |
11.88%, 06/01/23 | | | 200 | | | | 45,938 | |
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(b) | | | 183 | | | | 190,887 | |
Global Prime Capital Pte Ltd., 5.95%, 01/23/25(f) | | | 200 | | | | 203,000 | |
GLP Pte Ltd., (5 year CMT + 3.74%),
4.50%(a)(f)(g) | | | 200 | | | | 193,912 | |
Greystar Real Estate Partners LLC, 5.75%, 12/01/25(b) | | | 360 | | | | 366,379 | |
Hopson Development Holdings Ltd., 7.00%, 05/18/24(f) | | | 229 | | | | 219,382 | |
Howard Hughes Corp.(b) | | | | | | | | |
5.38%, 08/01/28 | | | 762 | | | | 811,564 | |
4.13%, 02/01/29 | | | 176 | | | | 178,350 | |
4.38%, 02/01/31 | | | 46 | | | | 46,460 | |
Kaisa Group Holdings Ltd.(f)(i) | | | | | | | | |
11.50%, 01/30/23 | | | 200 | | | | 51,725 | |
10.88%, 07/23/23 | | | 200 | | | | 51,663 | |
9.75%, 09/28/23 | | | 200 | | | | 51,788 | |
11.95%, 11/12/23 | | | 249 | | | | 64,865 | |
9.38%, 06/30/24 | | | 850 | | | | 221,425 | |
Kennedy-Wilson, Inc., 4.75%, 02/01/30 | | | 282 | | | | 285,865 | |
KWG Group Holdings Ltd., 5.88%, 11/10/24(f) | | | 400 | | | | 290,000 | |
Logan Group Co. Ltd.(f) | | | | | | | | |
5.25%, 02/23/23 | | | 300 | | | | 290,250 | |
6.50%, 07/16/23 | | | 300 | | | | 288,750 | |
6.90%, 06/09/24 | | | 300 | | | | 292,500 | |
4.25%, 09/17/24 | | | 300 | | | | 276,150 | |
5.75%, 01/14/25 | | | 230 | | | | 219,949 | |
4.50%, 01/13/28 | | | 269 | | | | 240,671 | |
Modern Land China Co. Ltd., 11.50%,
11/13/22(f)(i)(j) | | | 1,130 | | | | 203,047 | |
New Metro Global Ltd.(f)
4.80%, 12/15/24 | | | 200 | | | | 179,500 | |
4.50%, 05/02/26 | | | 1,070 | | | | 909,032 | |
Northwest Florida Timber Finance LLC, 4.75%, 03/04/29(b)(d) | | | 4,485 | | | | 4,660,405 | |
Pakuwon Jati Tbk PT, 4.88%, 04/29/28(f) | | | 500 | | | | 509,000 | |
Powerlong Real Estate Holdings Ltd.(f)
6.95%, 07/23/23 | | | 300 | | | | 267,750 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
|
| Real Estate Management & Development (continued) | |
Powerlong Real Estate Holdings Ltd.(f) (continued) | |
6.25%, 08/10/24 | | $ | 500 | | | $ | 426,250 | |
5.95%, 04/30/25 | | | 840 | | | | 696,937 | |
Realogy Group LLC/Realogy Co-Issuer Corp.,
5.75%, 01/15/29(b) | | | 362 | | | | 371,050 | |
Redsun Properties Group Ltd.(f)
10.50%, 10/03/22 | | | 200 | | | | 112,000 | |
9.70%, 04/16/23 | | | 229 | | | | 103,882 | |
RKPF Overseas 2019 A Ltd., 7.88%, 02/01/23(f) | | | 500 | | | | 496,250 | |
RKPF Overseas Ltd.(f) | | | | | | | | |
Series 2019-A, 6.70%, 09/30/24 | | | 700 | | | | 675,500 | |
Series 2019-A, 5.90%, 03/05/25 | | | 200 | | | | 191,937 | |
Series 2020-A, 5.20%, 01/12/26 | | | 306 | | | | 284,213 | |
Ronshine China Holdings Ltd.(f)
7.35%, 12/15/23 | | | 307 | | | | 115,125 | |
6.75%, 08/05/24 | | | 940 | | | | 338,400 | |
7.10%, 01/25/25 | | | 200 | | | | 75,000 | |
Seazen Group Ltd., 6.00%, 08/12/24(f) | | | 400 | | | | 339,000 | |
Shimao Group Holdings Ltd., 3.45%, 01/11/31(f) | | | 200 | | | | 113,750 | |
Shui On Development Holding Ltd.(f)
5.75%, 11/12/23 | | | 550 | | | | 538,828 | |
6.15%, 08/24/24 | | | 700 | | | | 686,000 | |
5.50%, 03/03/25 | | | 230 | | | | 220,728 | |
Sunac China Holdings Ltd.(f)
7.95%, 10/11/23 | | | 200 | | | | 128,000 | |
7.50%, 02/01/24 | | | 200 | | | | 126,000 | |
6.65%, 08/03/24 | | | 200 | | | | 128,000 | |
6.50%, 01/10/25 | | | 200 | | | | 125,937 | |
7.00%, 07/09/25 | | | 1,078 | | | | 678,803 | |
Theta Capital Pte Ltd., 8.13%, 01/22/25(f) | | | 200 | | | | 210,437 | |
Times China Holdings Ltd.(f)
6.75%, 07/08/25 | | | 1,176 | | | | 799,312 | |
5.75%, 01/14/27 | | | 326 | | | | 219,948 | |
Wanda Group Overseas Ltd., 7.50%, 07/24/22(f) | | | 200 | | | | 187,000 | |
Wanda Properties International Co. Ltd., 7.25%, 01/29/24(f) | | | 860 | | | | 811,668 | |
Yango Justice International Ltd.(f)
8.25%, 11/25/23 | | | 200 | | | | 51,938 | |
7.50%, 04/15/24 | | | 200 | | | | 53,290 | |
Yanlord Land HK Co. Ltd.(f)
6.75%, 04/23/23 | | | 600 | | | | 605,812 | |
6.80%, 02/27/24 | | | 600 | | | | 604,500 | |
5.13%, 05/20/26 | | | 200 | | | | 193,500 | |
Yuzhou Group Holdings Co. Ltd.(f)
8.50%, 02/26/24 | | | 200 | | | | 58,500 | |
8.38%, 10/30/24 | | | 200 | | | | 65,000 | |
7.70%, 02/20/25 | | | 200 | | | | 57,000 | |
8.30%, 05/27/25 | | | 200 | | | | 57,000 | |
7.38%, 01/13/26 | | | 1,300 | | | | 357,500 | |
Zhenro Properties Group Ltd.(f)
8.35%, 03/10/24 | | | 200 | | | | 137,000 | |
7.88%, 04/14/24 | | | 230 | | | | 150,650 | |
7.35%, 02/05/25 | | | 1,100 | | | | 700,425 | |
| | | | | | | | |
| | |
| | | | | | | 27,742,652 | |
| | |
| Road & Rail — 1.9% | | | | | | |
BNSF Funding Trust I, (3 mo. LIBOR US + 2.35%), 6.61%, 12/15/55(a) | | | 6,125 | | | | 6,791,094 | |
CSX Corp., 3.80%, 04/15/50 | | | 770 | | | | 876,303 | |
| | |
| 102 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| | |
| Road & Rail (continued) | | | | | | |
Norfolk Southern Corp., 6.00%, 03/15/2105(d) | | $ | ��12,700 | | | $ | 18,173,391 | |
Seaspan Corp., 5.50%, 08/01/29(b) | | | 683 | | | | 686,415 | |
| | | | | | | | |
| | |
| | | | | | | 26,527,203 | |
|
| Semiconductors & Semiconductor Equipment — 2.6% | |
Analog Devices, Inc., 2.95%, 04/01/25 | | | 2,010 | | | | 2,110,725 | |
Broadcom, Inc.(d)
4.70%, 04/15/25 | | | 5,865 | | | | 6,412,397 | |
5.00%, 04/15/30 | | | 10,970 | | | | 12,771,539 | |
NVIDIA Corp.
3.50%, 04/01/50(d) | | | 2,785 | | | | 3,174,823 | |
3.70%, 04/01/60 | | | 1,760 | | | | 2,103,322 | |
NXP BV/NXP Funding LLC/NXP USA, Inc., 3.40%, 05/01/30(b) | | | 1,755 | | | | 1,868,856 | |
ON Semiconductor Corp., 3.88%, 09/01/28(b) | | | 728 | | | | 746,200 | |
QUALCOMM, Inc., 4.30%, 05/20/47(d) | | | 3,500 | | | | 4,382,650 | |
Sensata Technologies BV(b)
5.63%, 11/01/24 | | | 695 | | | | 764,014 | |
5.00%, 10/01/25 | | | 572 | | | | 620,620 | |
4.00%, 04/15/29 | | | 433 | | | | 442,201 | |
Sensata Technologies, Inc., 4.38%, 02/15/30(b) | | | 1,774 | | | | 1,862,700 | |
| | | | | | | | |
| | |
| | | | | | | 37,260,047 | |
| | |
| Software — 1.5% | | | | | | |
Black Knight InfoServ LLC, 3.63%, 09/01/28(b) | | | 859 | | | | 857,875 | |
Boxer Parent Co., Inc.(b)
7.13%, 10/02/25 | | | 764 | | | | 801,245 | |
9.13%, 03/01/26 | | | 336 | | | | 350,280 | |
Crowdstrike Holdings, Inc., 3.00%, 02/15/29 | | | 470 | | | | 464,125 | |
Elastic NV, 4.13%, 07/15/29(b) | | | 718 | | | | 710,375 | |
Helios Software Holdings, Inc./ION Corporate Solutions Finance Sarl, 4.63%, 05/01/28(b) | | | 205 | | | | 201,413 | |
Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32(b) | | | 701 | | | | 717,452 | |
MSCI, Inc.(b)
3.63%, 09/01/30 | | | 131 | | | | 133,948 | |
3.88%, 02/15/31 | | | 862 | | | | 897,557 | |
3.63%, 11/01/31 | | | 264 | | | | 273,900 | |
3.25%, 08/15/33 | | | 397 | | | | 401,466 | |
Open Text Corp.(b)
3.88%, 02/15/28 | | | 474 | | | | 483,124 | |
3.88%, 12/01/29 | | | 315 | | | | 318,937 | |
Open Text Holdings, Inc., 4.13%, 02/15/30(b) | | | 901 | | | | 928,030 | |
Oracle Corp., 3.95%, 03/25/51 | | | 4,425 | | | | 4,593,625 | |
Playtika Holding Corp., 4.25%, 03/15/29(b) | | | 812 | | | | 795,760 | |
PTC, Inc.(b)
3.63%, 02/15/25 | | | 166 | | | | 168,283 | |
4.00%, 02/15/28 | | | 867 | | | | 882,172 | |
Rocket Software, Inc., 6.50%, 02/15/29(b) | | | 323 | | | | 315,119 | |
SS&C Technologies, Inc., 5.50%,
09/30/27(b)(d) | | | 4,171 | | | | 4,358,695 | |
Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(b) | | | 3,081 | | | | 3,188,835 | |
| | | | | | | | |
| | |
| | | | | | | 21,842,216 | |
| | |
| Specialty Retail(b) — 0.4% | | | | | | |
PetSmart, Inc./PetSmart Finance Corp.
4.75%, 02/15/28 | | | 731 | | | | 750,189 | |
7.75%, 02/15/29 | | | 3,203 | | | | 3,479,259 | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| | |
| Specialty Retail (continued) | | | | | | |
Staples, Inc.
7.50%, 04/15/26 | | $ | 1,666 | | | $ | 1,711,815 | |
10.75%, 04/15/27 | | | 276 | | | | 260,130 | |
| | | | | | | | |
| | |
| | | | | | | 6,201,393 | |
|
| Technology Hardware, Storage & Peripherals — 0.5% | |
Dell International LLC/EMC Corp.
5.85%, 07/15/25 | | | 2,395 | | | | 2,714,603 | |
8.35%, 07/15/46 | | | 2,355 | | | | 3,915,206 | |
II-VI, Inc., 5.00%, 12/15/29(b) | | | 690 | | | | 704,642 | |
| | | | | | | | |
| | |
| | | | | | | 7,334,451 | |
|
| Textiles, Apparel & Luxury Goods(b) — 0.1% | |
Levi Strauss & Co., 3.50%, 03/01/31 | | | 236 | | | | 240,633 | |
William Carter Co., 5.63%, 03/15/27 | | | 365 | | | | 377,319 | |
Wolverine World Wide, Inc., 4.00%, 08/15/29 | | | 209 | | | | 203,204 | |
| | | | | | | | |
| | |
| | | | | | | 821,156 | |
|
| Thrifts & Mortgage Finance — 0.2% | |
Home Point Capital, Inc., 5.00%, 02/01/26(b) | | | 449 | | | | 416,447 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.25%, 10/01/25(b) | | | 268 | | | | 270,680 | |
MGIC Investment Corp., 5.25%, 08/15/28 | | | 337 | | | | 353,850 | |
Nationstar Mortgage Holdings, Inc.(b)
6.00%, 01/15/27 | | | 524 | | | | 545,851 | |
5.13%, 12/15/30 | | | 163 | | | | 160,963 | |
5.75%, 11/15/31 | | | 197 | | | | 196,015 | |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.88%, 10/15/26(b) | | | 386 | | | | 383,105 | |
| | | | | | | | |
| | |
| | | | | | | 2,326,911 | |
| | |
| Tobacco — 2.0% | | | | | | |
Altria Group, Inc., 10.20%, 02/06/39(d) | | | 13,392 | | | | 22,389,363 | |
BAT Capital Corp., 4.54%, 08/15/47 | | | 3,000 | | | | 3,137,467 | |
Reynolds American, Inc., 5.85%, 08/15/45 | | | 2,335 | | | | 2,837,122 | |
| | | | | | | | |
| | |
| | | | | | | 28,363,952 | |
|
| Transportation Infrastructure — 0.6% | |
FedEx Corp., 5.25%, 05/15/50 | | | 6,000 | | | | 8,026,785 | |
Signature Aviation US Holdings, Inc., 4.00%, 03/01/28(b) | | | 541 | | | | 537,429 | |
| | | | | | | | |
| | |
| | | | | | | 8,564,214 | |
| | |
| Utilities — 0.3% | | | | | | |
Consensus Cloud Solutions, Inc., 6.50%, 10/15/28(b) | | | 286 | | | | 298,870 | |
India Green Power Holdings, 4.00%, 02/22/27(f) | | | 700 | | | | 700,875 | |
Mong Doung Finacial Holdings BV, 5.13%, 05/07/29(f) | | | 605 | | | | 587,342 | |
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28(b) | | | 1,087 | | | | 1,127,762 | |
ReNew Wind Energy AP2 / ReNew Power Pvt Ltd. other 9 Subsidiaries, 4.50%, 07/14/28(f) | | | 550 | | | | 553,465 | |
Vistra Operations Co. LLC(b)
5.63%, 02/15/27 | | | 812 | | | | 836,360 | |
4.38%, 05/01/29 | | | 471 | | | | 471,768 | |
| | | | | | | | |
| | |
| | | | | | | 4,576,442 | |
|
| Wireless Telecommunication Services — 3.2% | |
Altice France SA(b)
8.13%, 02/01/27 | | | 1,112 | | | | 1,188,450 | |
5.50%, 01/15/28 | | | 1,180 | | | | 1,171,044 | |
| | |
SCHEDULE OF INVESTMENTS | | 103 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
|
| Wireless Telecommunication Services (continued) | |
Altice France SA(b) (continued)
5.13%, 01/15/29 | | $ | 338 | | | $ | 329,550 | |
5.13%, 07/15/29 | | | 2,015 | | | | 1,965,532 | |
5.50%, 10/15/29 | | | 1,369 | | | | 1,348,465 | |
American Tower Corp., 3.60%, 01/15/28 | | | 4,000 | | | | 4,309,189 | |
Crown Castle International Corp.
3.65%, 09/01/27(d) | | | 8,000 | | | | 8,594,132 | |
4.15%, 07/01/50 | | | 820 | | | | 922,106 | |
Digicel International Finance Ltd./Digicel Holdings Bermuda Ltd., 8.75%, 05/25/24(b) | | | 635 | | | | 652,978 | |
SBA Communications Corp., 3.88%, 02/15/27 | | | 2,781 | | | | 2,864,430 | |
Sprint Corp.
7.88%, 09/15/23 | | | 421 | | | | 463,626 | |
7.13%, 06/15/24 | | | 796 | | | | 893,633 | |
7.63%, 03/01/26 | | | 1,196 | | | | 1,435,918 | |
T-Mobile USA, Inc.
4.75%, 02/01/28 | | | 913 | | | | 960,933 | |
2.63%, 02/15/29 | | | 438 | | | | 431,430 | |
3.88%, 04/15/30 | | | 2,925 | | | | 3,199,229 | |
2.88%, 02/15/31 | | | 443 | | | | 437,507 | |
3.50%, 04/15/31 | | | 821 | | | | 854,152 | |
3.50%, 04/15/31(b) | | | 751 | | | | 781,325 | |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 6.50%, 02/15/29(b) | | | 1,030 | | | | 1,026,462 | |
VICI Properties LP/VICI Note Co., Inc.(b)
3.50%, 02/15/25 | | | 946 | | | | 960,190 | |
4.25%, 12/01/26 | | | 2,963 | | | | 3,085,876 | |
3.75%, 02/15/27 | | | 1,004 | | | | 1,036,976 | |
4.63%, 12/01/29 | | | 1,298 | | | | 1,381,364 | |
4.13%, 08/15/30 | | | 3,067 | | | | 3,243,352 | |
Vmed O2 UK Financing I PLC, 4.75%, 07/15/31(b) | | | 1,434 | | | | 1,451,925 | |
| | | | | | | | |
| | |
| | | | | | | 44,989,774 | |
| | | | | | | | |
| | |
Total Corporate Bonds — 113.4%
(Cost: $1,442,777,235) | | | | | | | 1,601,652,276 | |
| | | | | | | | |
| | |
Floating Rate Loan Interests(a) | | | | | | | | |
| | |
| Oil, Gas & Consumable Fuels — 0.0% | | | | | | |
Ascent Resources Utica LLC, 2020 Fixed 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 10.00%, 11/01/25 | | | 784 | | | | 845,411 | |
| | | | | | | | |
| |
Total Floating Rate Loan Interests — 0.0%
(Cost: $784,000) | | | | 845,411 | |
| | | | | | | | |
| | |
Foreign Agency Obligations | | | | | | | | |
| | |
| Brazil — 0.4% | | | | | | |
Brazilian Government International Bond, 5.00%, 01/27/45 | | | 6,525 | | | | 6,122,489 | |
| | | | | | | | |
| | |
| Colombia — 0.3% | | | | | | |
Colombia Government International Bond, 5.63%, 02/26/44 | | | 4,000 | | | | 3,872,000 | |
| | | | | | | | |
| | |
| Indonesia — 0.3% | | | | | | |
Indonesia Government International Bond, 5.88%, 01/15/24(b) | | | 4,400 | | | | 4,813,325 | |
| | | | | | | | |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
| | |
| Mexico — 0.5% | | | | | | |
Mexico Government International Bond, 4.75%, 03/08/44(d) | | $ | 5,800 | | | $ | 6,312,213 | |
| | | | | | | | |
| | |
| Pakistan — 0.1% | | | | | | |
Pakistan Government International Bond(f)
6.00%, 04/08/26 | | | 450 | | | | 449,437 | |
7.38%, 04/08/31 | | | 200 | | | | 198,500 | |
Pakistan Water & Power Development Authority, 7.50%, 06/04/31(f) | | | 500 | | | | 483,594 | |
| | | | | | | | |
| | |
| | | | | | | 1,131,531 | |
| | |
| Uruguay — 0.3% | | | | | | |
Uruguay Government International Bond, 5.10%, 06/18/50 | | | 3,500 | | | | 4,634,875 | |
| | | | | | | | |
| | |
Total Foreign Agency Obligations — 1.9%
(Cost: $24,793,238) | | | | | | | 26,886,433 | |
| | | | | | | | |
| | |
Municipal Bonds | | | | | | | | |
| | |
| New York — 0.9% | | | | | | |
Metropolitan Transportation Authority, RB, BAB, 6.55%, 11/15/31 | | | 10,000 | | | | 12,599,030 | |
| | | | | | | | |
| | |
Total Municipal Bonds — 0.9%
(Cost: $9,833,900) | | | | | | | 12,599,030 | |
| | | | | | | | |
| | |
Preferred Securities | | | | | | | | |
| | |
| Capital Trusts — 14.1% | | | | | | |
| | |
| Automobiles — 0.2% | | | | | | |
General Motors Financial Co., Inc.,
Series C, 5.70%(a)(g) | | | 2,565 | | | | 2,924,100 | |
| | | | | | | | |
| | |
| Banks(a)(g) — 4.4% | | | | | | |
CIT Group, Inc., Series A, 5.80% | | | 3,000 | | | | 3,041,250 | |
HSBC Capital Funding Dollar 1 LP,
10.18%(b)(d) | | | 11,835 | | | | 19,350,225 | |
Huntington Bancshares, Inc., Series F, 5.63% | | | 6,450 | | | | 7,361,062 | |
Industrial & Commercial Bank of China Ltd., 3.20%(f) | | | 300 | | | | 306,000 | |
ING Groep NV, 3.88% | | | 3,326 | | | | 3,163,857 | |
Kasikornbank PCL, 5.28%(f) | | | 268 | | | | 279,692 | |
Macquarie Bank Ltd., 6.13%(b) | | | 1,885 | | | | 2,011,446 | |
Nanyang Commercial Bank Ltd., 5.00%(f) | | | 700 | | | | 709,187 | |
Nordea Bank Abp, 6.13%(b) | | | 5,540 | | | | 5,962,425 | |
Rizal Commercial Banking Corp., 6.50%(f) | | | 700 | | | | 712,600 | |
SVB Financial Group | | | | | | | | |
Series C, 4.00% | | | 2,388 | | | | 2,399,940 | |
Series E, 4.70% | | | 2,168 | | | | 2,230,222 | |
TMBThanachart Bank PCL, 4.90%(f) | | | 700 | | | | 705,163 | |
US Bancorp, Series J, 5.30%(d) | | | 10,415 | | | | 11,252,054 | |
Wells Fargo & Co. | | | | | | | | |
Series S, 5.90% | | | 281 | | | | 296,494 | |
Series U, 5.88% | | | 2,655 | | | | 2,900,587 | |
| | | | | | | | |
| | |
| | | | | | | 62,682,204 | |
| | |
| Capital Markets — 0.1% | | | | | | |
State Street Corp., Series F, 3.80%(a)(g) | | | 618 | | | | 619,472 | |
| | | | | | | | |
| | |
| Diversified Financial Services — 6.7% | | | | | | |
Bank of America Corp.(a)(g) | | | | | | | | |
Series AA, 6.10% | | | 8,630 | | | | 9,352,762 | |
Series U, 5.20%(d) | | | 5,785 | | | | 5,973,012 | |
| | |
| 104 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par (000) | | | Value | |
|
| Diversified Financial Services (continued) | |
Barclays PLC(a)(g)
4.38% | | $ | 1,630 | | | $ | 1,596,585 | |
8.00% | | | 4,500 | | | | 4,973,760 | |
BNP Paribas SA(a)(b)(g)
7.20%(d) | | | 5,000 | | | | 4,993,750 | |
6.75%(d) | | | 5,000 | | | | 5,050,000 | |
7.38% | | | 4,535 | | | | 5,152,894 | |
Citigroup, Inc., 5.90%(a)(g) | | | 2,210 | | | | 2,276,300 | |
Credit Agricole SA, 8.13%(a)(b)(g) | | | 5,000 | | | | 5,921,250 | |
Credit Suisse Group AG, 7.50%(a)(b)(g) | | | 1,865 | | | | 1,972,238 | |
HSBC Holdings PLC, 6.50%(a)(g) | | | 2,615 | | | | 2,880,370 | |
JPMorgan Chase & Co.
8.75%, 09/01/30 | | | 2,000 | | | | 3,018,434 | |
Series Q, 5.15%(a)(g) | | | 4,000 | | | | 4,097,880 | |
Series R, 6.00%(a)(d)(g) | | | 7,408 | | | | 7,722,840 | |
Series S, 6.75%(a)(d)(g) | | | 9,775 | | | | 10,594,878 | |
Lloyds Banking Group PLC, 7.50%(a)(g) | | | 8,285 | | | | 9,363,823 | |
Natwest Group PLC, 8.00%(a)(g) | | | 970 | | | | 1,126,413 | |
UBS Group AG, 7.00%(a)(b)(d)(g) | | | 7,500 | | | | 8,086,875 | |
| | | | | | | | |
| | |
| | | | | | | 94,154,064 | |
| | |
| Electric Utilities — 0.6% | | | | | | |
PPL Capital Funding, Inc., Series A, 2.88%, 03/30/67(a) | | | 8,300 | | | | 7,791,625 | |
| | | | | | | | |
|
| Independent Power and Renewable Electricity Producers — 0.0% | |
Vistra Corp., 7.00%(a)(b)(g) | | | 481 | | | | 487,200 | |
| | | | | | | | |
| | |
| Insurance — 1.5% | | | | | | |
ACE Capital Trust II, 9.70%, 04/01/30(d) | | | 7,000 | | | | 10,274,448 | |
Equitable of Iowa Cos. Capital Trust II, Series B, 8.42%, 04/01/27 | | | 5,000 | | | | 5,094,980 | |
MetLife, Inc., 6.40%, 12/15/66 | | | 5,000 | | | | 6,151,078 | |
| | | | | | | | |
| | |
| | | | | | | 21,520,506 | |
|
| Oil, Gas & Consumable Fuels — 0.2% | |
Enterprise Products Operating LLC, 2.95%, 06/01/67(a) | | | 2,500 | | | | 2,253,125 | |
| | | | | | | | |
|
| Real Estate Management & Development — 0.0% | |
NWD Finance BVI Ltd., 4.13%(a)(f)(g) | | | 409 | | | | 401,843 | |
| | | | | | | | |
|
| Wireless Telecommunication Services — 0.4% | |
Vodafone Group PLC, 7.00%, 04/04/79(a) | | | 4,745 | | | | 5,738,971 | |
| | | | | | | | |
| | |
| Total Capital Trusts — 14.1% | | | | | 198,573,110 | |
| | | | | | | | |
| | |
| | | Shares | | | | |
|
| Preferred Stocks — 3.1% | |
| | |
| Banks(a)(g) — 2.0% | | | | | | |
Citigroup, Inc., Series K, 6.88% | | | 488,320 | | | | 13,497,165 | |
Wells Fargo & Co., Series Q, 5.85% | | | 550,500 | | | | 14,747,895 | |
| | | | | | | | |
| | |
| | | | | | | 28,245,060 | |
| | | | | | | | |
Security | | Shares | | | Value | |
| | |
| Capital Markets(a)(g) — 0.7% | | | | | | |
Goldman Sachs Group, Inc., Series J, 5.50% | | | 162,450 | | | $ | 4,296,803 | |
State Street Corp., Series D, 5.90% | | | 220,495 | | | | 6,021,718 | |
| | | | | | | | |
| | |
| | | | | | | 10,318,521 | |
| | |
| Interactive Media & Services — 0.4% | | | | | | |
ByteDance Ltd., Series E-1, (Acquired 11/11/20, Cost: $3,526,645)(c)(k) | | | 32,185 | | | | 5,263,862 | |
| | | | | | | | |
| | |
Total Preferred Stocks — 3.1% | | | | | | | 43,827,443 | |
| | | | | | | | |
| |
Total Preferred Securities — 17.2%
(Cost: $221,967,472) | | | | 242,400,553 | |
| | | | | | | | |
| |
Total Long-Term Investments — 138.8%
(Cost: $1,776,575,903) | | | | 1,960,738,612 | |
| | | | | | | | |
| | |
Short-Term Securities | | | | | | | | |
| | |
| Money Market Funds — 1.6% | | | | | | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.00%(l)(m) | | | 22,030,719 | | | | 22,030,719 | |
| | | | | | | | |
| |
Total Short-Term Securities — 1.6%
(Cost: $22,030,719) | | | | 22,030,719 | |
| | | | | | | | |
| |
Options Purchased — 0.0%
(Cost: $873,382) | | | | 242,561 | |
| | | | | | | | |
| |
Total Investments — 140.4%
(Cost: $1,799,480,004) | | | | 1,983,011,892 | |
| |
Liabilities in Excess of Other Assets — (40.4)% | | | | (570,865,327 | ) |
| | | | | | | | |
| | |
Net Assets — 100.0% | | | | | | $ | 1,412,146,565 | |
| | | | | | | | |
| (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) | All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
| (e) | All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
| (f) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
| (g) | Perpetual security with no stated maturity date. |
| (h) | 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. |
| (i) | Issuer filed for bankruptcy and/or is in default. |
| (j) | Non-income producing security. |
| (k) | Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $5,263,862, representing 0.4% of its net assets as of period end, and an original cost of $3,526,645. |
| (l) | Affiliate of the Trust. |
| (m) | Annualized 7-day yield as of period end. |
For Trust compliance purposes, the Trust’s 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.
| | |
SCHEDULE OF INVESTMENTS | | 105 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Credit Allocation Income Trust (BTZ) |
Affiliates
Investments in issuers considered to be affiliate(s) of the Trust during the year ended December 31, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| Affiliated Issuer | | Value at 12/31/20 | | | Purchases at Cost | | | Proceeds from Sales | | | Net Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value at 12/31/21 | | | Shares Held at 12/31/21 | | | Income | | | Capital Gain Distributions from Underlying Funds | |
| | | | | | | | | |
BlackRock Liquidity Funds, T-Fund, Institutional Class | | $ | 24,122,699 | | | $ | — | | | $ | (2,091,980 | )(a) | | $ | — | | | $ | — | | | $ | 22,030,719 | | | | 22,030,719 | | | $ | 1,719 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Represents net amount purchased (sold). | |
Reverse Repurchase Agreements
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | | | | | |
| | | Interest | | | Trade | | | Maturity | | | | | | Face Value Including | | | Type of Non-Cash Underlying | | Remaining Contractual Maturity | |
| Counterparty | | | Rate | | | | Date | | | | Date | (a) | | | Face Value | | | | Accrued Interest | | | Collateral | | | of the Agreements(a | ) |
| |
| | | | | | | |
BNP Paribas S.A. | | | 0.28 | %(b) | | | 04/13/21 | | | | Open | | | $ | 3,841,375 | | | $ | 3,849,233 | | | Corporate Bonds | | | Open/Demand | |
BNP Paribas S.A. | | | 0.30 | (b) | | | 06/02/21 | | | | Open | | | | 513,600 | | | | 514,565 | | | Corporate Bonds | | | Open/Demand | |
BNP Paribas S.A. | | | 0.30 | (b) | | | 06/02/21 | | | | Open | | | | 4,241,013 | | | | 4,248,982 | | | Corporate Bonds | | | Open/Demand | |
BNP Paribas S.A. | | | 0.43 | (b) | | | 06/02/21 | | | | Open | | | | 1,082,500 | | | | 1,085,241 | | | Corporate Bonds | | | Open/Demand | |
BNP Paribas S.A. | | | 0.45 | (b) | | | 06/02/21 | | | | Open | | | | 5,693,750 | | | | 5,708,838 | | | Corporate Bonds | | | Open/Demand | |
BNP Paribas S.A. | | | 0.45 | (b) | | | 06/02/21 | | | | Open | | | | 3,078,125 | | | | 3,086,282 | | | Corporate Bonds | | | Open/Demand | |
BNP Paribas S.A. | | | 0.55 | (b) | | | 06/02/21 | | | | Open | | | | 3,740,625 | | | | 3,753,021 | | | Corporate Bonds | | | Open/Demand | |
BNP Paribas S.A. | | | 0.65 | (b) | | | 06/02/21 | | | | Open | | | | 2,073,945 | | | | 2,081,884 | | | Corporate Bonds | | | Open/Demand | |
BNP Paribas S.A. | | | 0.45 | (b) | | | 06/03/21 | | | | Open | | | | 9,887,500 | | | | 9,913,578 | | | Capital Trusts | | | Open/Demand | |
BNP Paribas S.A. | | | 0.65 | (b) | | | 06/03/21 | | | | Open | | | | 651,758 | | | | 654,241 | | | Corporate Bonds | | | Open/Demand | |
BNP Paribas S.A. | | | 0.65 | (b) | | | 06/03/21 | | | | Open | | | | 15,300,495 | | | | 15,358,786 | | | Corporate Bonds | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.30 | (b) | | | 06/08/21 | | | | Open | | | | 5,772,962 | | | | 5,782,873 | | | Corporate Bonds | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.30 | (b) | | | 06/08/21 | | | | Open | | | | 5,652,460 | | | | 5,662,164 | | | Foreign Agency Obligations | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.30 | (b) | | | 06/08/21 | | | | Open | | | | 4,839,244 | | | | 4,847,551 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/08/21 | | | | Open | | | | 2,075,000 | | | | 2,078,325 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/08/21 | | | | Open | | | | 2,205,000 | | | | 2,208,533 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/08/21 | | | | Open | | | | 6,579,125 | | | | 6,589,666 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/08/21 | | | | Open | | | | 7,044,375 | | | | 7,055,662 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/08/21 | | | | Open | | | | 4,261,469 | | | | 4,268,297 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/08/21 | | | | Open | | | | 7,164,912 | | | | 7,176,392 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/08/21 | | | | Open | | | | 7,660,087 | | | | 7,672,361 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/08/21 | | | | Open | | | | 21,711,780 | | | | 21,746,567 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/08/21 | | | | Open | | | | 2,892,500 | | | | 2,897,134 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/08/21 | | | | Open | | | | 7,543,594 | | | | 7,555,680 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/08/21 | | | | Open | | | | 3,437,528 | | | | 3,443,035 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.40 | (b) | | | 06/08/21 | | | | Open | | | | 4,698,750 | | | | 4,709,505 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.40 | (b) | | | 06/08/21 | | | | Open | | | | 10,273,525 | | | | 10,297,040 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.40 | (b) | | | 06/08/21 | | | | Open | | | | 3,847,575 | | | | 3,856,382 | | | Corporate Bonds | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.30 | (b) | | | 06/09/21 | | | | Open | | | | 9,371,781 | | | | 9,387,791 | | | Capital Trusts | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.30 | (b) | | | 06/09/21 | | | | Open | | | | 6,824,620 | | | | 6,836,279 | | | Capital Trusts | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.50 | (b) | | | 06/09/21 | | | | Open | | | | 17,086,781 | | | | 17,135,431 | | | Capital Trusts | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.50 | (b) | | | 06/09/21 | | | | Open | | | | 479,400 | | | | 480,765 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/09/21 | | | | Open | | | | 7,642,500 | | | | 7,654,686 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/09/21 | | | | Open | | | | 3,942,256 | | | | 3,948,542 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/09/21 | | | | Open | | | | 790,149 | | | | 791,409 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/09/21 | | | | Open | | | | 6,460,000 | | | | 6,470,300 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/09/21 | | | | Open | | | | 5,700,000 | | | | 5,709,088 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/09/21 | | | | Open | | | | 7,537,500 | | | | 7,549,518 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/09/21 | | | | Open | | | | 15,750,000 | | | | 15,775,112 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/09/21 | | | | Open | | | | 8,613,469 | | | | 8,627,202 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/09/21 | | | | Open | | | | 5,556,937 | | | | 5,565,798 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/09/21 | | | | Open | | | | 10,390,000 | | | | 10,406,566 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/09/21 | | | | Open | | | | 8,819,475 | | | | 8,833,537 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/09/21 | | | | Open | | | | 15,660,000 | | | | 15,684,969 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/09/21 | | | | Open | | | | 14,737,500 | | | | 14,760,998 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/09/21 | | | | Open | | | | 9,320,375 | | | | 9,335,236 | | | Corporate Bonds | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.28 | (b) | | | 06/09/21 | | | | Open | | | | 9,784,462 | | | | 9,800,063 | | | Corporate Bonds | | | Open/Demand | |
| | |
| 106 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Credit Allocation Income Trust (BTZ) |
Reverse Repurchase Agreements (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | | | | | |
| | | Interest | | | Trade | | | Maturity | | | | | | Face Value
Including | | | Type of Non-Cash Underlying | | | Remaining Contractual Maturity | |
| Counterparty | | | Rate | | | | Date | | | | Date | (a) | | | Face Value | | | | Accrued Interest | | | | Collateral | | | | of the Agreements(a | ) |
| |
RBC Capital Markets LLC | | | 0.28 | %(b) | | | 06/09/21 | | | | Open | | | $ | 8,370,000 | | | $ | 8,383,345 | | | | Corporate Bonds | | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.40 | (b) | | | 06/10/21 | | | | Open | | | | 2,696,760 | | | | 2,702,903 | | | | Corporate Bonds | | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.30 | (b) | | | 06/11/21 | | | | Open | | | | 5,347,781 | | | | 5,356,739 | | | | Corporate Bonds | | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.30 | (b) | | | 06/11/21 | | | | Open | | | | 3,905,000 | | | | 3,911,541 | | | | Corporate Bonds | | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.30 | (b) | | | 06/11/21 | | | | Open | | | | 4,987,500 | | | | 4,995,854 | | | | Corporate Bonds | | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.30 | (b) | | | 06/11/21 | | | | Open | | | | 6,082,182 | | | | 6,092,370 | | | | Corporate Bonds | | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.30 | (b) | | | 06/11/21 | | | | Open | | | | 10,063,494 | | | | 10,080,350 | | | | Capital Trusts | | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.30 | (b) | | | 06/11/21 | | | | Open | | | | 5,075,000 | | | | 5,083,501 | | | | Corporate Bonds | | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.50 | (b) | | | 06/11/21 | | | | Open | | | | 1,692,143 | | | | 1,696,867 | | | | Corporate Bonds | | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.50 | (b) | | | 06/29/21 | | | | Open | | | | 6,796,875 | | | | 6,814,339 | | | | Capital Trusts | | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.50 | (b) | | | 06/29/21 | | | | Open | | | | 4,212,500 | | | | 4,223,324 | | | | Capital Trusts | | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.50 | (b) | | | 06/29/21 | | | | Open | | | | 5,906,250 | | | | 5,921,426 | | | | Corporate Bonds | | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.50 | (b) | | | 06/29/21 | | | | Open | | | | 4,468,750 | | | | 4,480,232 | | | | Capital Trusts | | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.25 | (b) | | | 06/30/21 | | | | Open | | | | 4,389,694 | | | | 4,395,303 | | | | Corporate Bonds | | | | Open/Demand | |
Credit Suisse Securities (USA) LLC | | | (0.50 | )(b) | | | 07/21/21 | | | | Open | | | | 562,618 | | | | 561,344 | | | | Corporate Bonds | | | | Open/Demand | |
Credit Suisse Securities (USA) LLC | | | 0.30 | (b) | | | 07/27/21 | | | | Open | | | | 8,878,712 | | | | 8,890,329 | | | | Corporate Bonds | | | | Open/Demand | |
Credit Suisse Securities (USA) LLC | | | 0.45 | (b) | | | 07/27/21 | | | | Open | | | | 1,411,590 | | | | 1,414,360 | | | | Corporate Bonds | | | | Open/Demand | |
Credit Suisse Securities (USA) LLC | | | 0.45 | (b) | | | 07/27/21 | | | | Open | | | | 3,560,386 | | | | 3,567,373 | | | | Corporate Bonds | | | | Open/Demand | |
Credit Suisse Securities (USA) LLC | | | 0.45 | (b) | | | 07/27/21 | | | | Open | | | | 2,956,476 | | | | 2,962,278 | | | | Corporate Bonds | | | | Open/Demand | |
Credit Suisse Securities (USA) LLC | | | 0.45 | (b) | | | 07/27/21 | | | | Open | | | | 3,890,000 | | | | 3,897,634 | | | | Corporate Bonds | | | | Open/Demand | |
Credit Suisse Securities (USA) LLC | | | 0.60 | (b) | | | 07/27/21 | | | | Open | | | | 990,971 | | | | 993,564 | | | | Corporate Bonds | | | | Open/Demand | |
Credit Suisse Securities (USA) LLC | | | 0.60 | (b) | | | 07/27/21 | | | | Open | | | | 2,101,695 | | | | 2,107,194 | | | | Corporate Bonds | | | | Open/Demand | |
J.P. Morgan Securities LLC | | | 0.28 | (b) | | | 07/27/21 | | | | Open | | | | 3,549,431 | | | | 3,553,766 | | | | Corporate Bonds | | | | Open/Demand | |
J.P. Morgan Securities LLC | | | 0.30 | (b) | | | 07/27/21 | | | | Open | | | | 3,632,344 | | | | 3,637,096 | | | | Corporate Bonds | | | | Open/Demand | |
J.P. Morgan Securities LLC | | | 0.30 | (b) | | | 07/27/21 | | | | Open | | | | 3,398,631 | | | | 3,403,078 | | | | Corporate Bonds | | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.25 | (b) | | | 07/27/21 | | | | Open | | | | 4,720,894 | | | | 4,726,041 | | | | Corporate Bonds | | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.25 | (b) | | | 07/27/21 | | | | Open | | | | 4,574,250 | | | | 4,579,237 | | | | Corporate Bonds | | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.25 | (b) | | | 07/27/21 | | | | Open | | | | 20,482,219 | | | | 20,504,550 | | | | Corporate Bonds | | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.40 | (b) | | | 07/27/21 | | | | Open | | | | 2,654,370 | | | | 2,659,000 | | | | Corporate Bonds | | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.40 | (b) | | | 07/27/21 | | | | Open | | | | 3,587,060 | | | | 3,593,317 | | | | Corporate Bonds | | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.40 | (b) | | | 07/27/21 | | | | Open | | | | 8,905,200 | | | | 8,920,735 | | | | Corporate Bonds | | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.40 | (b) | | | 07/27/21 | | | | Open | | | | 10,865,860 | | | | 10,884,815 | | | | Corporate Bonds | | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.40 | (b) | | | 07/27/21 | | | | Open | | | | 2,918,776 | | | | 2,923,868 | | | | Corporate Bonds | | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.40 | (b) | | | 07/27/21 | | | | Open | | | | 9,059,400 | | | | 9,075,204 | | | | Corporate Bonds | | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.40 | (b) | | | 07/27/21 | | | | Open | | | | 3,191,805 | | | | 3,197,373 | | | | Corporate Bonds | | | | Open/Demand | |
RBC Capital Markets LLC | | | 0.40 | (b) | | | 07/27/21 | | | | Open | | | | 2,835,983 | | | | 2,840,930 | | | | Corporate Bonds | | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.30 | (b) | | | 07/29/21 | | | | Open | | | | 4,953,406 | | | | 4,959,804 | | | | Capital Trusts | | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.30 | (b) | | | 07/29/21 | | | | Open | | | | 963,750 | | | | 964,995 | | | | Corporate Bonds | | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.30 | (b) | | | 07/29/21 | | | | Open | | | | 5,733,750 | | | | 5,741,156 | | | | Corporate Bonds | | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.30 | (b) | | | 07/29/21 | | | | Open | | | | 4,509,338 | | | | 4,515,162 | | | | Corporate Bonds | | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.30 | (b) | | | 07/29/21 | | | | Open | | | | 5,618,750 | | | | 5,626,008 | | | | Corporate Bonds | | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.50 | (b) | | | 07/29/21 | | | | Open | | | | 1,196,085 | | | | 1,198,660 | | | | Corporate Bonds | | | | Open/Demand | |
BNP Paribas S.A. | | | 0.55 | (b) | | | 07/30/21 | | | | Open | | | | 6,268,219 | | | | 6,282,775 | | | | Corporate Bonds | | | | Open/Demand | |
BNP Paribas S.A. | | | 0.60 | (b) | | | 09/09/21 | | | | Open | | | | 13,967,460 | | | | 13,993,998 | | | | Corporate Bonds | | | | Open/Demand | |
BNP Paribas S.A. | | | 0.15 | (b) | | | 10/28/21 | | | | Open | | | | 610,138 | | | | 610,300 | | | | Corporate Bonds | | | | Open/Demand | |
BNP Paribas S.A. | | | 0.15 | (b) | | | 10/28/21 | | | | Open | | | | 420,360 | | | | 420,472 | | | | Corporate Bonds | | | | Open/Demand | |
BNP Paribas S.A. | | | 0.15 | (b) | | | 10/28/21 | | | | Open | | | | 1,543,658 | | | | 1,544,069 | | | | Corporate Bonds | | | | Open/Demand | |
BNP Paribas S.A. | | | 0.15 | (b) | | | 10/28/21 | | | | Open | | | | 1,503,731 | | | | 1,504,132 | | | | Corporate Bonds | | | | Open/Demand | |
BNP Paribas S.A. | | | 0.15 | (b) | | | 10/28/21 | | | | Open | | | | 1,060,660 | | | | 1,060,943 | | | | Corporate Bonds | | | | Open/Demand | |
BNP Paribas S.A. | | | 0.15 | (b) | | | 10/28/21 | | | | Open | | | | 5,470,000 | | | | 5,471,459 | | | | Corporate Bonds | | | | Open/Demand | |
Credit Suisse Securities (USA) LLC | | | (3.00 | )(b) | | | 11/17/21 | | | | Open | | | | 242,226 | | | | 241,338 | | | | Corporate Bonds | | | | Open/Demand | |
BNP Paribas S.A. | | | 0.15 | (b) | | | 11/18/21 | | | | Open | | | | 166,886 | | | | 166,916 | | | | Corporate Bonds | | | | Open/Demand | |
RBC Capital Markets LLC | | | (0.60 | )(b) | | | 12/20/21 | | | | Open | | | | 255,190 | | | | 255,143 | | | | Corporate Bonds | | | | Open/Demand | |
Barclays Capital, Inc. | | | 0.30 | (b) | | | 12/21/21 | | | | Open | | | | 14,668,500 | | | | 14,669,722 | | | | Corporate Bonds | | | | Open/Demand | |
TD Securities (USA) LLC | | | 0.25 | (b) | | | 12/21/21 | | | | Open | | | | 11,902,450 | | | | 11,903,277 | | | | Corporate Bonds | | | | Open/Demand | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | $ | 586,008,934 | | | $ | 587,016,617 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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. | |
| | |
SCHEDULE OF INVESTMENTS | | 107 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Credit Allocation Income Trust (BTZ) |
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 | | | | | | | | | | | | | | | | |
Ultra U.S. Treasury Bond | | | 97 | | | | 03/22/22 | | | $ | 19,021 | | | $ | (81,797 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Short Contracts | | | | | | | | | | | | | | | | |
10-Year U.S. Treasury Note | | | 418 | | | | 03/22/22 | | | | 54,477 | | | | (520,874 | ) |
10-Year U.S. Ultra Long Treasury Note | | | 65 | | | | 03/22/22 | | | | 9,497 | | | | (134,218 | ) |
U.S. Long Bond | | | 107 | | | | 03/22/22 | | | | 17,113 | | | | (84,608 | ) |
5-Year U.S. Treasury Note | | | 59 | | | | 03/31/22 | | | | 7,132 | | | | 16,749 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | (722,951 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | $ | (804,748 | ) |
| | | | | | | | | | | | | | | | |
Exchange-Traded Options Purchased
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | | | Exercise Price | | | | | | Notional
Amount (000) | | | | | Value | |
| | | | |
| Call | | | | | | | | | | |
Energy Select Sector SPDR Fund | | | 3,008 | | | | 01/21/22 | | | | | USD | | | 62.00 | | | | | | | USD | | | 16,694 | | | | | $ | 21,056 | |
Energy Select Sector SPDR Fund | | | 1,312 | | | | 03/18/22 | | | | | USD | | | 65.00 | | | | | | | USD | | | 7,282 | | | | | | 45,920 | |
KraneShares CSI China Internet ETF | | | 1,547 | | | | 05/20/22 | | | | | USD | | | 47.42 | | | | | | | USD | | | 5,645 | | | | | | 175,585 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | $ | 242,561 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 16,749 | | | $ | — | | | $ | 16,749 | |
Options purchased | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments at value — unaffiliated(b) | | | — | | | | — | | | | 242,561 | | | | — | | | | — | | | | — | | | | 242,561 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | $ | — | | | $ | — | | | $ | 242,561 | | | $ | — | | | $ | 16,749 | | | $ | — | | | $ | 259,310 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on futures contracts(a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 821,497 | | | $ | — | | | $ | 821,497 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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 day’s 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. | |
For the period ended December 31, 2021, 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 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,563,213 | | | $ | — | | | $ | 2,563,213 | |
Options purchased(a) | | | — | | | | — | | | | 2,499,420 | | | | (602,333 | ) | | | (3,335,397 | ) | | | — | | | | (1,438,310 | ) |
Options written | | | — | | | | — | | | | 2,145,417 | | | | 169,238 | | | | 571,397 | | | | — | | | | 2,886,052 | |
Swaps | | | — | | | | (79,350 | ) | | | — | | | | — | | | | — | | | | — | | | | (79,350 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | $ | — | | | $ | (79,350 | ) | | $ | 4,644,837 | | | $ | (433,095 | ) | | $ | (200,787 | ) | | $ | — | | | $ | 3,931,605 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| 108 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Credit Allocation Income Trust (BTZ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Currency
Exchange
Contracts | | | Interest
Rate
Contracts | | | Other
Contracts | | | Total | |
| | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (780,696 | ) | | $ | — | | | $ | (780,696 | ) |
Options purchased(b) | | | — | | | | — | | | | 694,847 | | | | — | | | | 1,053,118 | | | | — | | | | 1,747,965 | |
Options written | | | — | | | | — | | | | 87,558 | | | | — | | | | — | | | | — | | | | 87,558 | |
Swaps | | | — | | | | 75,621 | | | | — | | | | — | | | | — | | | | — | | | | 75,621 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | $ | — | | | $ | 75,621 | | | $ | 782,405 | | | $ | — | | | $ | 272,422 | | | $ | — | | | $ | 1,130,448 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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 | | $ | 18,604,664 | |
Average notional value of contracts — short | | $ | 180,996,904 | |
Options: | | | | |
Average value of option contracts purchased | | $ | 1,144,522 | |
Average value of option contracts written | | $ | 199,456 | |
Average notional value of swaption contracts purchased | | $ | 20,000,000 | |
Credit default swaps: | | | | |
Average notional value — buy protection | | $ | 3,143,750 | |
For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
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 Trust’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments 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 | | $ | — | | | $ | 74,024,660 | | | $ | 2,330,249 | | | $ | 76,354,909 | |
Corporate Bonds | | | — | | | | 1,600,328,725 | | | | 1,323,551 | | | | 1,601,652,276 | |
Floating Rate Loan Interests | | | — | | | | 845,411 | | | | — | | | | 845,411 | |
Foreign Agency Obligations | | | — | | | | 26,886,433 | | | | — | | | | 26,886,433 | |
Municipal Bonds | | | — | | | | 12,599,030 | | | | — | | | | 12,599,030 | |
Preferred Securities | | | | | | | | | | | | | | | | |
Capital Trusts | | | — | | | | 198,573,110 | | | | — | | | | 198,573,110 | |
Preferred Stocks | | | 38,563,581 | | | | — | | | | 5,263,862 | | | | 43,827,443 | |
Short-Term Securities | | | | | | | | | | | | | | | | |
Money Market Funds | | | 22,030,719 | | | | — | | | | — | | | | 22,030,719 | |
Options Purchased | | | | | | | | | | | | | | | | |
Equity Contracts | | | 242,561 | | | | — | | | | — | | | | 242,561 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | $ | 60,836,861 | | | $ | 1,913,257,369 | | | $ | 8,917,662 | | | $ | 1,983,011,892 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(a) | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Interest Rate Contracts | | $ | 16,749 | | | $ | — | | | $ | — | | | $ | 16,749 | |
Liabilities | | | | | | | | | | | | | | | | |
Interest Rate Contracts | | | (821,497 | ) | | | — | | | | — | | | | (821,497 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | $ | (804,748 | ) | | $ | — | | | $ | — | | | $ | (804,748 | ) |
| | | | | | | | | | | | | | | | |
| | (a) | Derivative financial instruments are futures contracts and options written. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. | |
| | |
SCHEDULE OF INVESTMENTS | | 109 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Credit Allocation Income Trust (BTZ) |
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 $587,016,617 are categorized as Level 2 within the fair value hierarchy.
See notes to financial statements.
| | |
| 110 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments December 31, 2021 | | 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 | | | $ | 16,283 | |
| | | | | | | | |
| | |
| Construction & Engineering — 0.0% | | | | | | |
McDermott International Ltd.(a) | | | 76,644 | | | | 31,424 | |
| | | | | | | | |
| | |
| Household Durables — 0.0% | | | | | | |
Berkline Benchcraft Equity LLC(b) | | | 6,155 | | | | — | |
| | | | | | | | |
| | |
| Media — 0.1% | | | | | | |
Clear Channel Outdoor Holdings, Inc.(a) | | | 54,096 | | | | 178,544 | |
| | | | | | | | |
| | |
| Metals & Mining — 0.0% | | | | | | |
Ameriforge Group, Inc. | | | 832 | | | | 416 | |
Preferred Proppants LLC(b) | | | 7,476 | | | | 486 | |
| | | | | | | | |
| | | | | | | 902 | |
| | |
| Oil, Gas & Consumable Fuels — 0.0% | | | | | | |
California Resources Corp. | | | 1,252 | | | | 53,473 | |
| | | | | | | | |
| | |
| Software — 0.0% | | | | | | |
Avaya Holdings Corp.(a) | | | 40 | | | | 792 | |
| | | | | | | | |
| | |
| Specialty Retail — 0.1% | | | | | | |
NMG Parent LLC | | | 2,218 | | | | 324,715 | |
| | | | | | | | |
| | |
Total Common Stocks — 0.2%
(Cost: $2,691,605) | | | | | | | 606,133 | |
| | | | | | | | |
| | |
| | | Par
(000) | | | | |
| | |
Corporate Bonds | | | | | | | | |
| | |
| Airlines — 0.3% | | | | | | |
Allegiant Travel Co., 8.50%, 02/05/24(a)(c) | | USD | 740 | | | | 788,100 | |
| | | | | | | | |
| | |
| Auto Components — 0.1% | | | | | | |
Clarios Global LP, 6.75%, 05/15/25(a)(c) | | | 275 | | | | 288,062 | |
| | | | | | | | |
| | |
| Beverages — 0.1% | | | | | | |
Triton Water Holdings, Inc., 6.25%,
04/01/29(a)(c) | | | 252 | | | | 241,693 | |
| | | | | | | | |
| | |
| Building Materials — 0.0% | | | | | | |
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29(a)(c) | | | 73 | | | | 76,460 | |
| | | | | | | | |
| | |
| Chemicals — 0.0% | | | | | | |
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(a)(c) | | | 32 | | | | 34,125 | |
| | | | | | | | |
| | |
| Construction Materials — 0.3% | | | | | | |
Wolverine Escrow LLC, 9.00%, 11/15/26(a)(c) | | | 950 | | | | 902,500 | |
| | | | | | | | |
|
| Diversified Telecommunication Services — 0.1% | |
Zayo Group Holdings, Inc.,
6.13%, 03/01/28(a)(c) | | | 155 | | | | 152,675 | |
| | | | | | | | |
| | |
| Electric Utilities — 0.0% | | | | | | |
Pike Corp., 5.50%, 09/01/28(a)(c) | | | 89 | | | | 89,203 | |
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 1.00%, 11/10/21(b) | | | 1,050 | | | | — | |
| | | | | | | | |
| | | | | | | 89,203 | |
|
| Equity Real Estate Investment Trusts (REITs) — 0.0% | |
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.63%, 06/15/25(a)(c) | | | 85 | | | | 90,618 | |
| | | | | | | | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Household Products — 0.0% | | | | | | |
Berkline Benchcraft LLC,
4.50%, 06/01/22(a)(b)(d)(e) | | USD | 400 | | | $ | — | |
| | | | | | | | |
| | |
| Internet Software & Services — 0.0% | | | | | | |
Uber Technologies, Inc., 6.25%, 01/15/28(a)(c) | | | 137 | | | | 147,070 | |
| | | | | | | | |
| | |
| Machinery — 0.2% | | | | | | |
Madison IAQ LLC, 5.88%, 06/30/29(a)(c) | | | 499 | | | | 499,000 | |
| | | | | | | | |
| | |
| Media(a)(c) — 0.3% | | | | | | |
Liberty Broadband Corp., 2.75%, 09/30/50(f) | | | 315 | | | | 319,090 | |
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(g) | | | 129 | | | | 101,268 | |
Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 09/15/26 | | | 353 | | | | 356,530 | |
| | | | | | | | |
| | | | | | | 776,888 | |
| | | | | | | | |
| | |
Total Corporate Bonds — 1.4%
(Cost: $4,102,320) | | | | | | | 4,086,394 | |
| | | | | | | | |
| | |
Floating Rate Loan Interests(e) | | | | | | | | |
| | |
| Aerospace & Defense — 5.7% | | | | | | |
Atlas CC Acquisition Corp. | | | | | | | | |
Term Loan B, (3 mo. LIBOR + 4.25%), 5.00%, 05/25/28 | | | 3,912 | | | | 3,916,122 | |
Term Loan C, (3 mo. LIBOR + 4.25%), 5.00%, 05/25/28 | | | 796 | | | | 796,500 | |
Bleriot US Bidco, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 4.22%, 10/31/26 | | | 443 | | | | 442,311 | |
Cobham Ultra SeniorCo Sarl, USD Term Loan B, 11/16/28(h) | | | 230 | | | | 229,066 | |
Dynasty Acquisition Co., Inc. | | | | | | | | |
2020 CAD Term Loan B2, (3 mo. LIBOR + 3.50%), 3.72%, 04/06/26. | | | 1,246 | | | | 1,210,297 | |
2020 Term Loan B1, (3 mo. LIBOR + 3.50%), 3.72%, 04/06/26 | | | 2,317 | | | | 2,251,152 | |
Nordam Group, Inc., Term Loan B, (1 mo. LIBOR + 5.50%), 5.63%, 04/09/26 | | | 459 | | | | 389,020 | |
Peraton Holding Corp. | | | | | | | | |
2nd Lien Term Loan B1, (1 mo. LIBOR + 7.75%), 8.50%, 02/01/29. | | | 1,396 | | | | 1,411,705 | |
Term Loan B, (1 mo. LIBOR + 3.75%), 4.50%, 02/01/28 | | | 4,222 | | | | 4,220,354 | |
Spirit Aerosystems, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 4.25%, 01/15/25 | | | 611 | | | | 610,994 | |
TransDigm, Inc., 2020 Term Loan F, (1 mo. LIBOR + 2.25%), 2.35%, 12/09/25 | | | 1,565 | | | | 1,541,688 | |
| | | | | | | | |
| | | | | | | 17,019,209 | |
| | |
| Air Freight & Logistics — 0.5% | | | | | | |
AIT Worldwide Logistics, Inc, 2021 Term Loan, (3 mo. LIBOR + 4.75%), 5.50%, 04/06/28 | | | 360 | | | | 359,353 | |
Kestrel Bidco, Inc., Term Loan B, (6 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/11/26 | | | 1,088 | | | | 1,053,216 | |
| | | | | | | | |
| | | | | | | 1,412,569 | |
| | |
| Airlines — 2.7% | | | | | | |
AAdvantage Loyalty IP Ltd./American Airlines, Inc., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.50%, 04/20/28 | | | 786 | | | | 813,085 | |
Air Canada, 2021 Term Loan B, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 08/11/28 | | | 1,261 | | | | 1,255,917 | |
| | |
SCHEDULE OF INVESTMENTS | | 111 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Airlines (continued) | | | | | | |
American Airlines, Inc. | | | | | | | | |
2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 1.85%, 01/29/27 | | USD | 639 | | | $ | 600,461 | |
2017 Incremental Term Loan, (3 mo. LIBOR + 2.00%), 2.11%, 12/15/23 | | | 1,201 | | | | 1,173,218 | |
Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/21/27 | | | 1,867 | | | | 1,966,400 | |
United Airlines, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 04/21/28 | | | 2,295 | | | | 2,297,781 | |
| | | | | | | | |
| | | | | | | 8,106,862 | |
| | |
| Auto Components — 2.8% | | | | | | |
Adient US LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.50%), 3.60%, 04/08/28 | | | 505 | | | | 504,934 | |
Clarios Global LP, 2021 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 04/30/26 | | | 2,248 | | | | 2,232,883 | |
Truck Hero, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.00%, 01/31/28 | | | 1,544 | | | | 1,534,323 | |
USI, Inc. | | | | | | | | |
2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 3.22%, 05/16/24 | | | 2,337 | | | | 2,317,000 | |
2019 Incremental Term Loan B, (3 mo. LIBOR + 3.25%), 3.47%, 12/02/26 | | | 133 | | | | 132,259 | |
Wand NewCo 3, Inc., 2020 Term Loan, (3 mo. LIBOR + 3.00%), 3.18%, 02/05/26 | | | 1,597 | | | | 1,571,658 | |
| | | | | | | | |
| | | | | | | 8,293,057 | |
| | |
| Banks — 0.9% | | | | | | |
Directv Financing LLC, (3 mo. LIBOR + 5.00%), 5.75%, 08/02/27 | | | 1,720 | | | | 1,720,986 | |
LABL, Inc., 2021 USD 1st Lien Term Loan, (1 mo. LIBOR + 5.00%), 5.50%, 10/29/28 | | | 1,000 | | | | 997,500 | |
| | | | | | | | |
| | | | | | | 2,718,486 | |
| | |
| Building Materials — 0.1% | | | | | | |
CHI Overhead Doors, Inc, Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/31/25 | | | 112 | | | | 111,554 | |
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 3.75%, 04/12/28 | | | 261 | | | | 260,279 | |
| | | | | | | | |
| | | | | | | 371,833 | |
| | |
| Building Products — 2.2% | | | | | | |
CP Atlas Buyer, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 4.25%, 11/23/27 | | | 1,832 | | | | 1,821,791 | |
CPG International, Inc., 2017 Term Loan, (3 mo. LIBOR + 2.50%), 3.25%, 05/05/24 | | | 1,067 | | | | 1,065,803 | |
Jeld-Wen, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 2.35%, 07/28/28 | | | 510 | | | | 509,608 | |
MI Windows And Doors LLC, 2020 Term Loan, (1 mo. LIBOR + 3.75%), 4.50%, 12/18/27 | | | 327 | | | | 327,824 | |
Standard Industries, Inc., 2021 Term Loan B, (3 mo. LIBOR + 2.50%), 3.00%, 09/22/28 | | | 1,010 | | | | 1,010,098 | |
Wilsonart LLC, 2021 Term Loan E, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 12/19/26 | | | 1,965 | | | | 1,963,821 | |
| | | | | | | | |
| | | | | | | 6,698,945 | |
| | |
| Capital Markets — 3.2% | | | | | | |
AQGEN Ascensus, Inc., 2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.50%), 7.00%, 08/02/29 | | | 1,663 | | | | 1,662,737 | |
Deerfield Dakota Holding LLC 2020 USD Term Loan B, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 04/09/27 | | | 3,573 | | | | 3,575,033 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Capital Markets (continued) | | | | | | |
Deerfield Dakota Holding LLC (continued) | | | | | | | | |
2021 USD 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 7.50%, 04/07/28 | | USD | 1,114 | | | $ | 1,133,495 | |
Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%), 3.75%, 11/12/27 | | | 1,012 | | | | 1,010,405 | |
FinCo I LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.50%), 2.60%, 06/27/25 | | | 511 | | | | 509,306 | |
Focus Financial Partners LLC | | | | | | | | |
2021 Delayed Draw Term Loan, (PRIME + 1.50%), 4.75%, 06/24/28 | | | 172 | | | | 170,943 | |
2021 Term Loan, (1 mo. LIBOR + 2.50%), 3.00%, 07/01/28 | | | 744 | | | | 738,899 | |
Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 04/12/24 | | | 721 | | | | 719,255 | |
| | | | | | | | |
| | | | | | | 9,520,073 | |
|
| Chemicals — 5.4% | |
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.75%), 5.50%, 08/27/26 | | | 1,574 | | | | 1,581,528 | |
Atotech BV, 2021 USD Term Loan B, (1 mo. LIBOR + 2.50%), 3.00%, 03/18/28 | | | 2,144 | | | | 2,138,864 | |
Axalta Coating Systems US Holdings, Inc., USD Term Loan B3, (3 mo. LIBOR + 1.75%), 1.97%, 06/01/24 | | | 1,139 | | | | 1,137,755 | |
Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/28/24 | | | 713 | | | | 707,290 | |
Element Solutions, Inc., 2019 Term Loan B1, (1 mo. LIBOR + 2.00%), 2.10%, 01/31/26 | | | 1,237 | | | | 1,230,936 | |
Illuminate Buyer LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 06/30/27 | | | 867 | | | | 860,775 | |
Lonza Group AG, USD Term Loan B, (6 mo. LIBOR + 4.00%), 4.75%, 07/03/28 | | | 640 | | | | 638,915 | |
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 2.72%, 03/02/26 | | | 1,515 | | | | 1,501,450 | |
Minerals Technologies, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.00%, 02/14/24(b) | | | 262 | | | | 262,260 | |
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.36%, 05/15/24 | | | 1,060 | | | | 1,057,996 | |
NIC Acquisition Corp., Term Loan, (3 mo. LIBOR + 3.75%), 4.50%, 12/29/27 | | | 453 | | | | 446,769 | |
Oxea Corp., 2017 USD Term Loan B2, (3 mo. LIBOR + 3.25%), 3.44%, 10/14/24 | | | 1,072 | | | | 1,061,555 | |
PQ Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 3.25%, 06/09/28 | | | 1,078 | | | | 1,075,656 | |
Pregis TopCo Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 4.00%), 4.50%, 07/31/26(b) | | | 437 | | | | 433,868 | |
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 03/16/27 | | | 657 | | | | 650,047 | |
Sparta U.S. HoldCo LLC, 2021 Term Loan, (3 mo. LIBOR + 3.50%), 4.25%, 08/02/28 | | | 879 | | | | 879,272 | |
Starfruit Finco BV, 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 10/01/25 | | | 99 | | | | 98,721 | |
W.R. Grace & Co.-Conn., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.25%, 09/22/28 | | | 334 | | | | 334,250 | |
| | | | | | | | |
| | | | | | | 16,097,907 | |
|
| Commercial Services & Supplies — 4.9% | |
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (3 mo. LIBOR + 3.75%), 4.25%, 05/12/28 | | | 1,629 | | | | 1,622,234 | |
Aramark Services, Inc., 2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.85%, 03/11/25 | | | 95 | | | | 93,937 | |
| | |
| 112 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Commercial Services & Supplies (continued) | | | | | | |
Asurion LLC | | | | | | | | |
2018 Term Loan B6, (1 mo. LIBOR + 3.12%), 3.23%, 11/03/23 | | USD | 456 | | | $ | 454,402 | |
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 3.10%, 11/03/24 | | | 698 | | | | 694,081 | |
2020 Term Loan B8, (1 mo. LIBOR + 3.25%), 3.35%, 12/23/26 | | | 488 | | | | 483,881 | |
2021 2nd Lien Term Loan B3, (1 mo. LIBOR + 5.25%), 5.35%, 01/31/28(b) | | | 689 | | | | 690,424 | |
2021 2nd Lien Term Loan B4, (1 mo. LIBOR + 5.25%), 5.35%, 01/20/29 | | | 984 | | | | 979,287 | |
Clean Harbors Inc., 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 10/08/28 | | | 434 | | | | 433,188 | |
Covanta Holding Corp.(h) | | | | | | | | |
2021 Term Loan B, 11/30/28 | | | 705 | | | | 705,210 | |
2021 Term Loan C, 11/30/28 | | | 53 | | | | 52,825 | |
Creative Artists Agency LLC, 2020 Incremental Term Loan B1, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 11/27/26 | | | 1,207 | | | | 1,202,799 | |
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 4.35%, 12/12/25 | | | 1,580 | | | | 1,577,884 | |
EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/09/25 | | | 329 | | | | 327,943 | |
KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.38%, 09/19/26(b) | | | 624 | | | | 612,011 | |
Packers Holdings LLC, 2021 Term Loan, (6 mo. LIBOR + 3.25%), 4.00%, 03/09/28 | | | 1,041 | | | | 1,033,748 | |
Prime Security Services Borrower LLC, 2021 Term Loan, (1 mo. LIBOR + 2.75%), 3.50%, 09/23/26 | | | 1,224 | | | | 1,221,800 | |
Vericast Corp., 2021 Term Loan, (3 mo. LIBOR + 7.75%, 1.00% Floor), 8.75%, 06/16/26 | | | 214 | | | | 193,959 | |
Verscend Holding Corp., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 4.10%, 08/27/25 | | | 1,938 | | | | 1,935,676 | |
Viad Corp, Initial Term Loan, (3 mo. LIBOR + 5.00%), 5.50%, 07/30/28 | | | 488 | | | | 486,256 | |
| | | | | | | | |
| | | | | | | 14,801,545 | |
| | |
| Construction & Engineering — 2.4% | | | | | | |
Brand Industrial Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/21/24 | | | 2,490 | | | | 2,431,456 | |
New Arclin U.S. Holding Corp., 2021 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 7.50%, 09/30/29(b) | | | 572 | | | | 563,420 | |
Pike Corp., 2021 Incremental Term Loan B, (1 mo. LIBOR + 3.00%), 3.11%, 01/21/28 | | | 644 | | | | 641,403 | |
SRS Distribution, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.25%, 06/02/28 | | | 2,426 | | | | 2,418,181 | |
USIC Holdings, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.50%), 4.25%, 05/12/28 | | | 1,091 | | | | 1,088,348 | |
| | | | | | | | |
| | | | | | | 7,142,808 | |
| | |
| Construction Materials — 2.3% | | | | | | |
Core & Main LP, 2021 Term Loan B, (1 mo. LIBOR + 2.50%), 2.60%, 07/27/28 | | | 4,238 | | | | 4,208,102 | |
Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 03/29/25 | | | 1,479 | | | | 1,464,347 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Construction Materials (continued) | | | | | | |
Forterra Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/25/23 | | USD | 693 | | | $ | 691,989 | |
Tamko Building Products, Inc., Term Loan B, (3 mo. LIBOR + 3.00%), 3.22%, 06/01/26 | | | 538 | | | | 534,679 | |
| | | | | | | | |
| | | | | | | 6,899,117 | |
| | |
| Containers & Packaging — 2.4% | | | | | | |
BWAY Holding Co., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 04/03/24 | | | 1,485 | | | | 1,464,179 | |
Charter NEX US, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%), 4.50%, 12/01/27 | | | 2,578 | | | | 2,581,280 | |
Flex Acquisition Co., Inc., 2021 Term Loan, (3 mo. LIBOR + 3.50%), 4.00%, 03/02/28 | | | 1,254 | | | | 1,250,115 | |
Pregis TopCo Corp., 1st Lien Term Loan, (1 mo. LIBOR + 4.00%), 4.10%, 07/31/26 | | | 383 | | | | 380,951 | |
Tosca Services LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%), 4.25%, 08/18/27 | | | 733 | | | | 731,043 | |
Trident TPI Holdings, Inc. | | | | | | | | |
2021 Delayed Draw Term Loan, (3 mo. LIBOR + 4.00%), 4.00%, 09/15/28 | | | 36 | | | | 56,982 | |
2021 Incremental Term Loan, (3 mo. LIBOR + 4.00%), 4.50%, 09/15/28 | | | 625 | | | | 623,949 | |
| | | | | | | | |
| | | | | | | 7,088,499 | |
| | |
| Distributors — 1.0% | | | | | | |
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 2.10%, 01/15/27 | | | 910 | | | | 903,471 | |
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 | | | 589 | | | | 560,124 | |
2020 Super Priority Second Out Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 08/28/24 | | | 1,910 | | | | 1,641,911 | |
| | | | | | | | |
| | | | | | | 3,105,506 | |
| | |
| Diversified Consumer Services — 3.2% | | | | | | |
Ascend Learning, LLC | | | | | | | | |
2021 2nd Lien Term Loan, (3 mo. LIBOR + 5.75%), 6.25%, 12/10/29 | | | 377 | | | | 377,630 | |
2021 Term Loan, (3 mo. LIBOR + 3.50%), 4.00%, 12/11/28 | | | 1,667 | | | | 1,663,183 | |
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 2.75%, 11/24/28 | | | 578 | | | | 576,555 | |
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 07/11/25 | | | 1,396 | | | | 1,389,463 | |
Midas Intermediate Holdco II LLC, 2020 Term Loan B, (3 mo. LIBOR + 6.75%), 7.50%, 12/22/25 | | | 1,914 | | | | 1,802,974 | |
Nomad Foods Europe Midco Ltd., 2017 USD Term Loan B4, (3 mo. LIBOR + 2.25%), 2.40%, 05/15/24 | | | 693 | | | | 688,550 | |
Ola Singapore PTE, Ltd., Term Loan, 12/03/26(b)(h) | | | 542 | | | | 544,710 | |
PAI Holdco, Inc., 2020 Term Loan B, (3 mo. LIBOR + 3.50%), 4.25%, 10/28/27 | | | 316 | | | | 315,299 | |
Serta Simmons Bedding LLC | | | | | | | | |
2020 Super Priority First Out Term Loan, (3 mo. LIBOR + 7.50%), 8.50%, 08/10/23 | | | 289 | | | | 291,282 | |
2020 Super Priority Second Out Term Loan, (3 mo. LIBOR + 7.50%, 1.00% Floor), 8.50%, 08/10/23 | | | 454 | | | | 423,645 | |
| | |
SCHEDULE OF INVESTMENTS | | 113 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
|
| Diversified Consumer Services (continued) | |
Sotheby’s, 2021 Term Loan B, (3 mo. LIBOR + 4.50%), 5.00%, 01/15/27 | | USD | 1,106 | | | $ | 1,105,665 | |
Voyage Australia Pty Ltd., USD Term Loan B, (3 mo. LIBOR + 3.50%), 4.00%, 07/20/28 | | | 460 | | | | 459,415 | |
| | | | | | | | |
| | | | | | | 9,638,371 | |
| | |
| Diversified Financial Services — 11.4% | | | | | | |
Advisor Group, Inc., 2021 Term Loan, (1 mo. LIBOR + 4.50%), 4.60%, 07/31/26 | | | 861 | | | | 863,573 | |
Alchemy Copyrights LLC, Term Loan B, (3 mo. LIBOR + 3.00%), 3.50%, 03/10/28(b) | | | 523 | | | | 523,388 | |
AlixPartners LLP, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%), 3.25%, 02/04/28 | | | 1,078 | | | | 1,073,393 | |
APi Group DE, Inc., 2021 Incremental Term Loan B, 0.00%, 12/18/28 | | | 498 | | | | 497,288 | |
AQGEN Island Holdings, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 4.00%, 08/02/28 | | | 2,207 | | | | 2,195,413 | |
Belron Finance US LLC, 2021 USD Term Loan B, (3 mo. LIBOR + 2.75%), 3.25%, 04/13/28 | | | 1,718 | | | | 1,715,928 | |
Castlelake Aviation Ltd., Term Loan B, 10/22/26(h) | | | 1,448 | | | | 1,443,609 | |
Cogeco Financing 2 LP, 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.50%), 3.00%, 09/01/28 | | | 1,984 | | | | 1,973,465 | |
Delta TopCo, Inc. | | | | | | | | |
2020 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 8.00%, 12/01/28 | | | 412 | | | | 413,673 | |
2020 Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 12/01/27 | | | 2,250 | | | | 2,250,505 | |
EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 4.22%, 02/07/25 | | | 561 | | | | 558,026 | |
I-Logic Technologies Bidco Ltd., 2021 USD Term Loan B, (3 mo. LIBOR + 4.00%), 4.50%, 02/16/28 | | | 527 | | | | 527,898 | |
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/03/24 | | | 1,034 | | | | 1,027,382 | |
KKR Apple Bidco LLC | | | | | | | | |
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 6.25%, 09/21/29 | | | 153 | | | | 154,674 | |
2021 Term Loan, (1 mo. LIBOR + 3.00%), 3.50%, 09/23/28 | | | 375 | | | | 373,436 | |
LBM Acquisition LLC, Term Loan B, (1 mo. LIBOR + 3.75%), 4.50%, 12/18/27 | | | 1,939 | | | | 1,923,381 | |
LEB Holdings (USA), Inc, Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 11/02/27 | | | 626 | | | | 625,526 | |
Milano Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 10/01/27 | | | 2,988 | | | | 2,987,821 | |
PECF USS Intermediate Holding III Corp., Term Loan B, 12/15/28(h) | | | 876 | | | | 875,854 | |
Radiate Holdco LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.00%, 09/25/26 | | | 1,503 | | | | 1,496,898 | |
RV Retailer LLC, Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 02/08/28 | | | 455 | | | | 453,544 | |
Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3 mo. LIBOR + 2.00%), 2.14%, 11/05/28 | | | 826 | | | | 824,967 | |
SMG US Midco 2, Inc., 2020 Term Loan, (1 mo. LIBOR + 2.50%), 2.63%, 01/23/25 | | | 949 | | | | 920,510 | |
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 4.47%, 07/30/25 | | | 1,425 | | | | 1,372,613 | |
Veritas US, Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.00%, 09/01/25 | | | 4,445 | | | | 4,441,321 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
|
| Diversified Financial Services (continued) | |
VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 02/28/27 | | USD | 913 | | | $ | 907,647 | |
White Cap Buyer LLC, Term Loan B, (1 mo. LIBOR + 4.00%), 4.50%, 10/19/27 | | | 762 | | | | 762,384 | |
Ziggo Financing Partnership, USD Term Loan I, (3 mo. LIBOR + 2.50%), 2.61%, 04/30/28 | | | 1,003 | | | | 991,295 | |
| | | | | | | | |
| | | | | | | 34,175,412 | |
|
| Diversified Telecommunication Services — 2.6% | |
Cablevision Lightpath LLC, Term Loan B, (3 mo. LIBOR + 3.25%), 3.75%, 11/30/27 | | | 352 | | | | 351,559 | |
Consolidated Communications, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%), 4.25%, 10/02/27 | | | 497 | | | | 495,784 | |
Frontier Communications Corp., 2021 DIP Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 05/01/28 | | | 1,229 | | | | 1,226,262 | |
Intelsat Jackson Holdings SA | | | | | | | | |
2017 Term Loan B3, (PRIME + 4.75%), 8.00%, 11/27/23 | | | 245 | | | | 244,285 | |
2021 DIP Term Loan, (3 mo. LIBOR + 4.75%), 5.75%, 10/13/22 | | | 97 | | | | 96,529 | |
Iridium Satellite LLC, 2021 Term Loan B2, (1 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 11/04/26 | | | 1,198 | | | | 1,197,080 | |
Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.85%, 03/01/27 | | | 1,183 | | | | 1,166,578 | |
Meridian Adhesives Group, Inc., Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 07/24/28 | | | 1,257 | | | | 1,250,715 | |
TDC A/S, EUR Term Loan, (EURIBOR + 3.00%), 3.00%, 06/04/25 | | EUR | 819 | | | | 926,069 | |
Virgin Media SFA Finance Ltd., GBP Term Loan L, (LIBOR - GBP + 3.25%), 3.34%, 01/15/27 | | GBP | 600 | | | | 800,671 | |
| | | | | | | | |
| | | | | | | 7,755,532 | |
| | |
| Electric Utilities — 1.3% | | | | | | |
ExGen Renewables IV LLC, 2020 Term Loan, (3 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 12/15/27 | | USD | 818 | | | | 817,011 | |
Triton Water Holdings, Inc, Term Loan, (3 mo. LIBOR + 3.50%), 4.00%, 03/31/28 | | | 3,044 | | | | 3,007,756 | |
| | | | | | | | |
| | | | | | | 3,824,767 | |
| | |
| Electrical Equipment — 1.2% | | | | | | |
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (3 mo. LIBOR + 4.75%), 5.50%, 06/23/28 | | | 951 | | | | 949,236 | |
Gates Global LLC, 2021 Term Loan B3, (1 mo. LIBOR + 2.50%), 3.25%, 03/31/27 | | | 1,507 | | | | 1,502,615 | |
II-VI Incorporated, 2021 Bridge Term Loan B, 12/01/28(h) | | | 1,070 | | | | 1,067,325 | |
| | | | | | | | |
| | | | | | | 3,519,176 | |
| | |
| Entertainment — 0.4% | | | | | | |
MSG National Properties LLC, Term Loan, (3 mo. LIBOR + 6.25%), 7.00%, 11/12/25(b) | | | 1,211 | | | | 1,234,985 | |
| | | | | | | | |
|
| Environmental, Maintenance & Security Service — 0.7% | |
Asplundh Tree Expert LLC, 2021 Term Loan B, (1 mo. LIBOR + 1.75%), 1.85%, 09/07/27 | | | 1,223 | | | | 1,216,754 | |
TruGreen Limited Partnership, 2020 Term Loan, (1 mo. LIBOR + 4.00%), 4.75%, 11/02/27 | | | 754 | | | | 754,333 | |
| | | | | | | | |
| | | | | | | 1,971,087 | |
|
| Equity Real Estate Investment Trusts (REITs) — 0.1% | |
RHP Hotel Properties LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 05/11/24 | | | 443 | | | | 436,203 | |
| | | | | | | | |
| | |
| 114 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Food & Staples Retailing — 0.5% | | | | | | |
H Food Holdings LLC, 2018 Incremental Term Loan B2, (1 mo. LIBOR + 4.00%), 4.10%, 05/23/25 | | USD | 336 | | | $ | 333,598 | |
US Foods, Inc. | | | | | | | | |
2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 09/13/26 | | | 397 | | | | 392,383 | |
2021 Term Loan B, (1 mo. LIBOR + 2.75%), 2.85%, 11/17/28 | | | 664 | | | | 663,290 | |
| | | | | | | | |
| | | | | | | 1,389,271 | |
| | |
| Food Products — 2.0% | | | | | | |
8th Avenue Food & Provisions, Inc. | | | | | | | | |
2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 10/01/25 | | | 667 | | | | 655,875 | |
2021 Incremental Term Loan, (1 mo. LIBOR + 4.75%), 5.50%, 10/01/25(b) | | | 949 | | | | 955,983 | |
B&G Foods, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 2.60%, 10/10/26 | | | 262 | | | | 261,590 | |
Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/25/27 | | | 406 | | | | 406,321 | |
Froneri International Ltd., 2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 2.35%, 01/29/27 | | | 2,201 | | | | 2,170,136 | |
Reynolds Group Holdings, Inc., 2020 Term Loan B2, (1 mo. LIBOR + 3.25%), 3.35%, 02/05/26 | | | 249 | | | | 247,958 | |
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.75%), 4.50%, 06/08/28 | | | 938 | | | | 937,041 | |
UTZ Quality Foods LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 01/20/28 | | | 426 | | | | 424,780 | |
| | | | | | | | |
| | | | | | | 6,059,684 | |
| | |
| Health Care Equipment & Supplies — 2.3% | | | | | | |
Chamberlain Group, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 4.00%, 11/03/28 | | | 1,531 | | | | 1,529,086 | |
Electron BidCo Inc., 2021 Term Loan, (3 mo. LIBOR + 3.25%), 3.75%, 11/01/28 | | | 1,361 | | | | 1,356,758 | |
Insulet Corp., Term Loan B, (1 mo. LIBOR + 3.25%), 3.75%, 05/04/28 | | | 477 | | | | 476,309 | |
Medline Industries, Inc., USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.75%, 10/23/28 | | | 2,119 | | | | 2,118,224 | |
Ortho-Clinical Diagnostics SA, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 06/30/25 | | | 1,154 | | | | 1,152,842 | |
Toruk AS, 2021 USD Term Loan B, 11/02/28(h) | | | 402 | | | | 392,936 | |
| | | | | | | | |
| | | | | | | 7,026,155 | |
| | |
| Health Care Providers & Services — 3.1% | | | | | | |
CCRR Parent, Inc, Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 03/06/28 | | | 1,010 | | | | 1,008,074 | |
CHG Healthcare Services, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.50%), 4.00%, 09/29/28 | | | 637 | | | | 636,765 | |
Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 01/08/27 | | | 900 | | | | 899,561 | |
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 10/10/25 | | | 1,192 | | | | 955,187 | |
EyeCare Partners LLC | | | | | | | | |
2020 Term Loan, (3 mo. LIBOR + 3.75%), 3.97%, 02/18/27 | | | 1,045 | | | | 1,038,155 | |
2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 7.25%, 11/15/29 | | | 358 | | | | 358,301 | |
2021 Delayed Draw Term Loan, (3 mo. LIBOR + 3.75%), 1.55%, 11/15/28 | | | 45 | | | | 45,655 | |
2021 Incremental Term Loan, (3 mo. LIBOR + 3.75%), 4.25%, 11/15/28 | | | 266 | | | | 264,826 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Health Care Providers & Services (continued) | | | | | | |
Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 4.72%, 03/05/26 | | USD | 650 | | | $ | 600,008 | |
Orbcomm, Inc., Term Loan B, (3 mo. LIBOR + 4.25%), 5.00%, 09/01/28 | | | 543 | | | | 542,134 | |
PetVet Care Centers LLC, 2021 Term Loan B3, (1 mo. LIBOR + 3.50%), 4.25%, 02/14/25 | | | 33 | | | | 32,625 | |
Sotera Health Holdings LLC, 2021 Term Loan, (3 mo. LIBOR + 2.75%), 3.25%, 12/11/26 | | | 1,564 | | | | 1,556,665 | |
WP CityMD Bidco LLC, 2021 1st Lien Term Loan B, (6 mo. LIBOR + 3.25%), 3.75%, 12/22/28 | | | 1,517 | | | | 1,514,298 | |
| | | | | | | | |
| | | | | | | 9,452,254 | |
| | |
| Health Care Services — 0.9% | | | | | | |
Azalea Topco, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 3.63%, 07/24/26 | | | 1,279 | | | | 1,272,400 | |
Medical Solutions LLC, 2021 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%), 7.50%, 11/01/29 | | | 377 | | | | 371,975 | |
Unified Physician Management LLC, 2020 Term Loan, (1 mo. LIBOR + 4.25%), 5.00%, 12/16/27 | | | 1,151 | | | | 1,150,332 | |
| | | | | | | | |
| | | | | | | 2,794,707 | |
| | |
| Health Care Technology — 2.9% | | | | | | |
Athenahealth, Inc., 2021 Term Loan B1, (3 mo. LIBOR + 4.25%), 4.40%, 02/11/26 | | | 225 | | | | 225,072 | |
Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 03/01/24 | | | 852 | | | | 851,468 | |
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.85%, 10/10/25 | | | 1,355 | | | | 1,348,507 | |
Polaris Newco LLC, USD Term Loan B, (3 mo. LIBOR + 4.00%), 4.50%, 06/02/28 | | | 3,176 | | | | 3,172,579 | |
Press Ganey Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 07/24/26 | | | 1,044 | | | | 1,042,887 | |
Quintiles IMS, Inc., 2017 USD Term Loan B1, (1 mo. LIBOR + 1.75%), 1.85%, 03/07/24 | | | 292 | | | | 291,354 | |
Verscend Holding Corp., 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 7.50%, 04/02/29(b) | | | 1,902 | | | | 1,902,000 | |
| | | | | | | | |
| | | | | | | 8,833,867 | |
| | |
| Hotels, Restaurants & Leisure — 7.4% | | | | | | |
1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.85%, 11/19/26 | | | 1,008 | | | | 993,198 | |
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 02/02/26 | | | 264 | | | | 257,563 | |
Aristocrat Leisure Ltd., 2020 Incremental Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/24 | | | 612 | | | | 613,789 | |
Boyd Gaming Corp., Term Loan B3, (1 mo. LIBOR + 2.25%), 2.35%, 09/15/23 | | | 694 | | | | 692,921 | |
Caesars Resort Collection LLC | | | | | | | | |
2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 2.85%, 12/23/24 | | | 1,259 | | | | 1,251,174 | |
2020 Term Loan B1, (1 mo. LIBOR + 3.50%), 3.60%, 07/20/25 | | | 755 | | | | 755,027 | |
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1 mo. LIBOR + 2.00%), 2.11%, 03/17/28 | | | 481 | | | | 477,752 | |
ECL Entertainment LLC, Term Loan, (1 mo. LIBOR + 7.50%), 8.25%, 03/31/28 | | | 570 | | | | 578,687 | |
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 03/08/24 | | | 2,755 | | | | 2,610,755 | |
Four Seasons Hotels Ltd., New 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 2.10%, 11/30/23 | | | 827 | | | | 823,129 | |
| | |
SCHEDULE OF INVESTMENTS | | 115 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Hotels, Restaurants & Leisure (continued) | | | | | | |
Golden Nugget LLC, 2017 Incremental Term Loan B, (2 mo. LIBOR + 2.50%), 3.25%, 10/04/23 | | USD | 1,041 | | | $ | 1,033,573 | |
Golden Nugget, Inc., 2020 Initial Term Loan, (1 mo. LIBOR + 12.00%, 1.00% Floor), 13.00%, 10/04/23(b) | | | 110 | | | | 116,814 | |
IRB Holding Corp. | | | | | | | | |
2020 Fourth Amendment Incremental Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/15/27 | | | 2,261 | | | | 2,258,297 | |
2020 Term Loan B, (6 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 02/05/25 | | | 979 | | | | 977,006 | |
Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/29/24 | | | 357 | | | | 346,972 | |
Playtika Holding Corp., 2021 Term Loan, (1 mo. LIBOR + 2.75%), 2.85%, 03/11/28 | | | 1,217 | | | | 1,210,210 | |
Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 2.85%, 08/14/24 | | | 791 | | | | 787,825 | |
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 2.25%), 2.47%, 07/21/26 | | | 692 | | | | 689,210 | |
Station Casinos LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.25%), 2.50%, 02/08/27 | | | 1,273 | | | | 1,260,950 | |
Travelport Finance (Luxembourg) Sarl(g) 2020 Super Priority Term Loan, (6.50% PIK), 2.50%, 02/28/25 | | | 872 | | | | 895,127 | |
2021 Consented Term Loan, (1.75% PIK), 5.22%, 05/29/26 | | | 1,378 | | | | 1,143,857 | |
Twin River Worldwide Holdings, Inc., 2021 Term Loan B, (6 mo. LIBOR + 3.25%), 3.75%, 10/02/28 | | | 835 | | | | 834,649 | |
Whatabrands LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 3.75%, 08/03/28 | | | 1,409 | | | | 1,402,589 | |
Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 1.85%, 05/30/25 | | | 339 | | | | 335,464 | |
| | | | | | | | |
| | | | | | | 22,346,538 | |
| | |
| Household Durables — 1.6% | | | | | | |
ACProducts Holdings, Inc., 2021 Term Loan B, (6 mo. LIBOR + 4.25%), 4.75%, 05/17/28 | | | 2,147 | | | | 2,115,002 | |
Reynolds Consumer Products LLC, Term Loan, (1 mo. LIBOR + 1.75%), 1.85%, 02/04/27 | | | 935 | | | | 929,344 | |
Snap One Holdings Corp, Term Loan B, (1 mo. LIBOR + 4.50%), 5.00%, 12/08/28 | | | 668 | | | | 663,440 | |
Springs Windows Fashions LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 10/06/28 | | | 512 | | | | 506,880 | |
Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 4.00%, 10/30/27 | | | 602 | | | | 601,986 | |
| | | | | | | | |
| | | | | | | 4,816,652 | |
| | |
| Household Products — 0.1% | | | | | | |
Spectrum Brands, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.00%), 2.50%, 03/03/28 | | | 332 | | | | 330,410 | |
| | | | | | | | |
|
| Independent Power and Renewable Electricity Producers — 0.5% | |
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 01/15/25 | | | 313 | | | | 310,524 | |
Calpine Corp. 2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.10%, 08/12/26 | | | 471 | | | | 464,545 | |
Term Loan B9, (1 mo. LIBOR + 2.00%), 2.11%, 04/05/26 | | | 876 | | | | 865,177 | |
| | | | | | | | |
| | | | | | | 1,640,246 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
Industrial Conglomerates — 2.7% | | | | | | | | |
AVSC Holding Corp.(g) | | | | | | | | |
2020 Term Loan B1, (0.25% PIK), 4.25%, 03/03/25 | | USD | 1,814 | | | $ | 1,661,478 | |
2020 Term Loan B3, (10.00% PIK), 10.00%, 10/15/26 | | | 752 | | | | 873,103 | |
Diamond (BC) B.V., 2021 Term Loan B, (3 mo. LIBOR + 3.00%), 3.50%, 09/29/28 | | | 1,195 | | | | 1,189,396 | |
Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 7.75%, 11/28/23 | | | 810 | | | | 813,867 | |
Stitch Aquisition Corp., Term Loan B, (3 mo. LIBOR + 6.75%), 7.50%, 07/28/28 | | | 676 | | | | 634,597 | |
Vertical US Newco, Inc., Term Loan B, (6 mo. LIBOR + 3.50%), 4.00%, 07/30/27 | | | 1,176 | | | | 1,176,022 | |
Vertiv Group Corp., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 2.84%, 03/02/27 | | | 1,824 | | | | 1,810,521 | |
| | | | | | | | |
| | | | | | | 8,158,984 | |
| | |
| Insurance — 4.9% | | | | | | |
Alliant Holdings Intermediate LLC | | | | | | | | |
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 05/09/25 | | | 1,788 | | | | 1,769,160 | |
2021 Term Loan B4, (1 mo. LIBOR + 3.50%), 4.00%, 11/06/27 | | | 3,143 | | | | 3,136,962 | |
Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 05/09/25 | | | 632 | | | | 624,874 | |
AmWINS Group, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.00%, 02/19/28 | | | 2,095 | | | | 2,077,312 | |
AssuredPartners, Inc. | | | | | | | | |
2020 Term Loan B, (1 mo. LIBOR + 3.50%), 3.60%, 02/12/27 | | | 630 | | | | 624,571 | |
2021 Term Loan B, (1 mo. LIBOR + 3.50%), 4.00%, 02/12/27 | | | 609 | | | | 607,124 | |
HUB International Ltd. | | | | | | | | |
2018 Term Loan B, (3 mo. LIBOR + 2.75%), 2.87%, 04/25/25 | | | 1,774 | | | | 1,752,165 | |
2021 Term Loan B, (3 mo. LIBOR + 3.25%), 4.00%, 04/25/25 | | | 1,665 | | | | 1,663,570 | |
NFP Corp., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.35%, 02/15/27 | | | 116 | | | | 113,699 | |
Ryan Specialty Group LLC, Term Loan, (1 mo. LIBOR + 3.00%), 3.75%, 09/01/27 | | | 709 | | | | 707,501 | |
Sedgwick Claims Management Services, Inc. | | | | | | | | |
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 12/31/25 | | | 489 | | | | 485,287 | |
2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 09/03/26 | | | 628 | | | | 627,316 | |
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26 | | | 512 | | | | 511,976 | |
| | | | | | | | |
| | | | | | | 14,701,517 | |
| | |
| Interactive Media & Services — 2.8% | | | | | | |
Adevinta ASA, USD Term Loan B, (3 mo. LIBOR + 3.00%), 3.50%, 06/26/28 | | | 1,538 | | | | 1,537,561 | |
Arches Buyer, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 3.75%, 12/06/27 | | | 1,467 | | | | 1,455,267 | |
Camelot Finance SA, 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/30/26 | | | 1,754 | | | | 1,751,543 | |
| | |
| 116 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Interactive Media & Services (continued) | | | | | | |
Go Daddy Operating Co. LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 2.10%, 08/10/27 | | USD | 455 | | | $ | 451,465 | |
Grab Holdings, Inc., Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 01/29/26 | | | 3,150 | | | | 3,161,721 | |
| | | | | | | | |
| | | | | | | 8,357,557 | |
| | |
| Internet & Direct Marketing Retail — 0.6% | | | | | | |
CNT Holdings I Corp., 2020 Term Loan, (3 mo. LIBOR + 3.50%), 4.25%, 11/08/27 | | | 1,675 | | | | 1,675,039 | |
PUG LLC, 2021 Incremental Term Loan B, (1 mo. LIBOR + 4.25%), 4.75%, 02/12/27 | | | 230 | | | | 227,991 | |
| | | | | | | | |
| | | | | | | 1,903,030 | |
| | |
| Internet Software & Services — 0.4% | | | | | | |
Uber Technologies, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%), 3.60%, 02/25/27 | | | 1,304 | | | | 1,303,081 | |
| | | | | | | | |
| | |
| IT Services — 7.6% | | | | | | |
Aruba Investments, Inc. | | | | | | | | |
2020 2nd Lien Term Loan, (6 mo. LIBOR + 7.75%), 8.50%, 11/24/28 | | | 885 | | | | 886,478 | |
2020 USD Term Loan, (6 mo. LIBOR + 4.00%), 4.75%, 11/24/27 | | | 475 | | | | 475,414 | |
Banff Merger Sub, Inc., 2021 USD Term Loan, (3 mo. LIBOR + 3.75%), 3.97%, 10/02/25 | | | 1,266 | | | | 1,257,471 | |
Camelot Finance SA, Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 10/30/26 | | | 1,475 | | | | 1,463,435 | |
CCC Intelligent Solutions, Inc., Term Loan B, (3 mo. LIBOR + 2.50%), 3.00%, 09/21/28 | | | 1,048 | | | | 1,046,365 | |
Celestial -Saturn Parent, Inc., 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 7.00%, 06/04/29 | | | 783 | | | | 788,387 | |
CoreLogic, Inc., Term Loan, (1 mo. LIBOR + 3.50%), 4.00%, 06/02/28 | | | 2,585 | | | | 2,579,353 | |
Fleetcor Technologies Operating Company LLC, 2021 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.85%, 04/28/28 | | | 1,264 | | | | 1,250,328 | |
Greeneden US Holdings II LLC, 2020 USD Term Loan B, (1 mo. LIBOR + 4.00%), 4.75%, 12/01/27 | | | 3,098 | | | | 3,106,951 | |
GreenSky Holdings LLC, 2020 Term Loan B2, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 03/29/25(b) | | | 954 | | | | 955,691 | |
Optiv Security, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 02/01/24 | | | 386 | | | | 380,995 | |
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 02/12/27 | | | 1,572 | | | | 1,534,209 | |
Sophia LP, 2020 2nd Lien Term Loan, (3 mo. LIBOR + 8.00%, 1.00% Floor), 9.00%, 10/09/28 | | | 2,590 | | | | 2,657,988 | |
Trans Union LLC | | | | | | | | |
2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.85%, 11/16/26 | | | 1,157 | | | | 1,145,164 | |
2021 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.75%, 12/01/28 | | | 1,861 | | | | 1,854,952 | |
Virtusa Corp., 1st Lien Term Loan B, (1 mo. LIBOR + 3.75%), 4.50%, 02/11/28 | | | 648 | | | | 649,723 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| IT Services (continued) | | | | | | |
WEX, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.25%), 2.35%, 03/31/28 | | USD | 606 | | | $ | 602,627 | |
ZoomInfo LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 02/02/26 | | | 135 | | | | 135,169 | |
| | | | | | | | |
| | | | | | | 22,770,700 | |
| | |
| Leisure Products — 0.4% | | | | | | |
Fender Musical Instruments Corp., 2021 Term Loan B, (SOFR + 4.00%), 4.50%, 12/01/28(b) | | | 607 | | | | 606,241 | |
MND Holdings III Corp., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/19/24 | | | 616 | | | | 601,955 | |
| | | | | | | | |
| | | | | | | 1,208,196 | |
| | |
| Life Sciences Tools & Services — 3.2% | | | | | | |
Avantor Funding, Inc., 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 2.50%, 11/21/24 | | | 296 | | | | 295,594 | |
Avantor, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.25%), 2.75%, 11/08/27 | | | 1,779 | | | | 1,776,907 | |
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/04/27 | | | 2,729 | | | | 2,735,397 | |
ICON Luxembourg Sarl | | | | | | | | |
LUX Term Loan, (3 mo. LIBOR + 2.25%), 2.75%, 07/03/28 | | | 1,658 | | | | 1,657,536 | |
US Term Loan, (3 mo. LIBOR + 2.25%), 2.75%, 07/03/28 | | | 413 | | | | 412,977 | |
Maravai Intermediate Holdings LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/27 | | | 761 | | | | 763,359 | |
Parexel International Corp., 2021 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 4.00%, 11/15/28 | | | 2,118 | | | | 2,117,436 | |
| | | | | | | | |
| | | | | | | 9,759,206 | |
| | |
| Machinery — 3.6% | | | | | | |
Albion Financing 3 SARL, USD Term Loan, (3 mo. LIBOR + 5.25%), 5.75%, 08/17/26 | | | 1,144 | | | | 1,144,068 | |
ASP Blade Holdings, Inc, Initial Term Loan, (1 mo. LIBOR + 4.00%), 4.50%, 10/13/28 | | | 420 | | | | 419,651 | |
Clark Equipment Co., 2021 Incremental Term Loan, (3 mo. LIBOR + 2.25%), 2.47%, 05/18/24 | | | 839 | | | | 836,742 | |
Columbus McKinnon Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 3.25%, 05/14/28 | | | 259 | | | | 259,186 | |
Filtration Group Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 4.00%, 10/21/28 | | | 731 | | | | 729,493 | |
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1 mo. LIBOR + 1.75%), 1.85%, 03/01/27 | | | 1,392 | | | | 1,375,761 | |
Madison IAQ LLC, Term Loan, (6 mo. LIBOR + 3.25%), 3.75%, 06/21/28 | | | 2,550 | | | | 2,546,283 | |
Rexnord LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 2.75%, 10/04/28 | | | 78 | | | | 77,976 | |
Titan Acquisition Ltd., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.35%, 03/28/25 | | | 3,405 | | | | 3,344,382 | |
| | | | | | | | |
| | | | | | | 10,733,542 | |
| | |
| Media — 12.5% | | | | | | |
Altice Financing SA | | | | | | | | |
2017 USD Term Loan B, (3 mo. LIBOR + 2.75%), 2.87%, 07/15/25 | | | 695 | | | | 685,658 | |
| | |
SCHEDULE OF INVESTMENTS | | 117 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Media (continued) | | | | | | |
Altice Financing SA (continued) | | | | | | | | |
USD 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 2.87%, 01/31/26 | | USD | 960 | | | $ | 948,766 | |
Altice France SA, 2018 Term Loan B13, (2 mo. LIBOR + 4.00%), 4.12%, 08/14/26 | | | 2,152 | | | | 2,139,320 | |
AMC Entertainment Holdings, Inc., 04/22/26(h) | | | 591 | | | | 531,398 | |
Cable One, Inc., 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 2.10%, 05/03/28 | | | 305 | | | | 304,217 | |
Charter Communications Operating LLC, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 1.86%, 04/30/25 | | | 1,621 | | | | 1,616,309 | |
City Football Group Ltd., Term Loan, (6 mo. LIBOR + 3.50%), 4.00%, 07/21/28(b) | | | 986 | | | | 978,605 | |
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 3.63%, 08/21/26 | | | 3,660 | | | | 3,606,475 | |
Connect Finco Sarl, 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 12/12/26 | | | 4,277 | | | | 4,274,587 | |
CSC Holdings LLC | | | | | | | | |
2017 Term Loan B1, (3 mo. LIBOR + 2.25%), 2.36%, 07/17/25 | | | 1,319 | | | | 1,297,546 | |
2019 Term Loan B5, (3 mo. LIBOR + 2.50%), 2.61%, 04/15/27 | | | 1,300 | | | | 1,282,388 | |
E.W. Scripps Co., 2020 Term Loan B3, (1 mo. LIBOR + 3.00%, 0.75% Floor), 3.75%, 01/07/28 | | | 529 | | | | 528,695 | |
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/01/23 | | | 1,592 | | | | 1,503,813 | |
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 2.35%, 03/24/25 | | | 825 | | | | 817,094 | |
Live Nation Entertainment, Inc., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.88%, 10/17/26 | | | 1,571 | | | | 1,524,545 | |
MH Sub I LLC | | | | | | | | |
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 09/13/24 | | | 1,908 | | | | 1,897,231 | |
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 09/13/24 | | | 1,872 | | | | 1,874,360 | |
2021 2nd Lien Term Loan, (1 mo. LIBOR + 6.25%), 6.35%, 02/12/29 | | | 764 | | | | 767,499 | |
Nexstar Broadcasting, Inc., 2019 Term Loan B4, (3 mo. LIBOR + 2.50%), 2.60%, 09/18/26 | | | 828 | | | | 825,859 | |
Terrier Media Buyer, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 12/17/26 | | | — | (i) | | | 145 | |
Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 09/28/23(b) | | | 2,539 | | | | 2,532,224 | |
Trader Interactive LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 4.50%, 07/28/28(b) | | | 367 | | | | 365,165 | |
UPC Financing Partnership, 2021 USD Term Loan AX, (3 mo. LIBOR + 3.00%), 3.11%, 01/31/29 | | | 356 | | | | 354,590 | |
Virgin Media Bristol LLC | | | | | | | | |
2020 USD Term Loan Q, (3 mo. LIBOR + 3.25%), 3.36%, 01/31/29 | | | 913 | | | | 912,005 | |
USD Term Loan N, (3 mo. LIBOR + 2.50%), 2.61%, 01/31/28 | | | 609 | | | | 603,169 | |
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.86%, 05/18/25 | | | 1,820 | | | | 1,778,050 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Media (continued) | | | | | | |
WMG Acquisition Corp., 2021 Term Loan G, (1 mo. LIBOR + 2.12%), 2.23%, 01/20/28 | | USD | 412 | | | $ | 409,817 | |
Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 03/09/27 | | | 3,371 | | | | 3,323,441 | |
| | | | | | | | |
| | | | | | | 37,682,971 | |
| | |
| Metals & Mining — 0.4% | | | | | | |
Ball Metalpack LLC, 2018 1st Lien Term Loan B, (3 mo. LIBOR + 4.50%), 4.68%, 07/31/25 | | | 1,087 | | | | 1,087,215 | |
| | | | | | | | |
| | |
| Oil, Gas & Consumable Fuels — 0.4% | | | | | | |
Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 12/13/25 | | | 758 | | | | 715,028 | |
Freeport LNG Investments, LLLP, Term Loan B, (3 mo. LIBOR + 3.50%), 4.00%, 12/21/28 | | | 100 | | | | 99,077 | |
Lealand Finance Company BV, 2020 Take Back Term Loan, (1 mo. LIBOR + 1.00%), 1.10%, 06/30/25 | | | 180 | | | | 78,473 | |
McDermott Technology Americas, Inc., 2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 06/28/24(b) | | | 25 | | | | 14,204 | |
Murphy USA, Inc., Term Loan B, (3 mo. LIBOR + 1.75%), 2.25%, 01/31/28 | | | 398 | | | | 397,833 | |
| | | | | | | | |
| | | | | | | 1,304,615 | |
| | |
| Personal Products — 1.4% | | | | | | |
Kronos Acquisition Holdings Inc., 2021 1st Lien Term Loan, 12/22/26(h) | | | 254 | | | | 251,620 | |
Prestige Brands, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.00%), 2.50%, 07/03/28(b) | | | 288 | | | | 288,912 | |
Sunshine Luxembourg VII Sarl, 2021 Term Loan B3, (3 mo. LIBOR + 3.75%), 4.50%, 10/01/26 | | | 3,776 | | | | 3,788,363 | |
| | | | | | | | |
| | | | | | | 4,328,895 | |
| | |
| Pharmaceuticals — 3.0% | | | | | | |
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 3.63%, 05/04/25 | | | 925 | | | | 914,827 | |
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1 mo. LIBOR + 2.00%), 2.50%, 02/22/28 | | | 1,309 | | | | 1,309,285 | |
Elanco Animal Health, Inc., Term Loan B, (3 mo. LIBOR + 1.75%), 1.85%, 08/01/27 | | | 762 | | | | 751,219 | |
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 11/15/27 | | | 981 | | | | 966,752 | |
Jazz Financing Lux Sarl, USD Term Loan, (1 mo. LIBOR + 3.50%), 4.00%, 05/05/28 | | | 1,402 | | | | 1,406,427 | |
Organon Finance 1 LLC, USD Term Loan, (3 mo. LIBOR + 3.00%), 3.50%, 06/02/28 | | | 985 | | | | 985,585 | |
Precision Medicine Group LLC, 2021 Term Loan, (3 mo. LIBOR + 3.00%), 3.75%, 11/18/27 | | | 808 | | | | 803,198 | |
Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 06/02/25 | | | 1,998 | | | | 1,987,037 | |
| | | | | | | | |
| | | | | | | 9,124,330 | |
| | |
| Professional Services — 0.9% | | | | | | |
Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR + 3.25%), 3.35%, 02/06/26 | | | 2,566 | | | | 2,553,749 | |
| | | | | | | | |
|
| Real Estate Management & Development — 0.3% | |
Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.85%, 08/21/25 | | | 897 | | | | 890,453 | |
| | | | | | | | |
| | |
| 118 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Road & Rail — 0.2% | | | | | | |
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 5.50%), 5.72%, 08/04/25(b) | | USD | 739 | | | $ | 673,158 | |
| | | | | | | | |
|
| Semiconductors & Semiconductor Equipment — 0.8% | |
MKS Instruments, Inc., 2021 USD Term Loan, 10/21/28(h) | | | 1,654 | | | | 1,649,452 | |
ON Semiconductor Corp., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 09/19/26 | | | 299 | | | | 298,121 | |
Synaptics Inc., Term Loan B, (3 mo. LIBOR + 2.25%), 2.75%, 12/02/28 | | | 390 | | | | 389,047 | |
| | | | | | | | |
| | | | | | | 2,336,620 | |
| | |
| Software — 16.7% | | | | | | |
2U, Inc., Term Loan, (3 mo. LIBOR + 5.75%), 6.50%, 12/30/24 | | | 889 | | | | 881,860 | |
Applied Systems, Inc. | | | | | | | | |
2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 3.50%, 09/19/24 | | | 306 | | | | 305,406 | |
2021 2nd Lien Term Loan, (3 mo. LIBOR + 5.50%), 6.25%, 09/19/25 | | | 439 | | | | 441,744 | |
Barracuda Networks, Inc. | | | | | | | | |
1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 4.50%, 02/12/25 | | | 1,285 | | | | 1,287,976 | |
2020 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 7.50%, 10/30/28 | | | 535 | | | | 537,675 | |
Cloudera, Inc. | | | | | | | | |
2021 Second Lien Term Loan, (1 mo. LIBOR + 6.00%), 6.50%, 10/08/29(b) | | | 916 | | | | 913,710 | |
2021 Term Loan, (1 mo. LIBOR + 3.75%), 4.25%, 10/08/28 | | | 2,552 | | | | 2,542,430 | |
ConnectWise LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 4.00%, 09/29/28 | | | 631 | | | | 628,861 | |
Cornerstone OnDemand, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.75%), 4.25%, 10/16/28 | | | 742 | | | | 739,084 | |
Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 3.50%, 05/28/24 | | | 799 | | | | 775,965 | |
DTI Holdco, Inc., 2018 Term Loan B, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 09/30/23 | | | 246 | | | | 241,765 | |
E2open LLC, 2020 Term Loan B, (3 mo. LIBOR + 3.50%), 4.00%, 02/04/28 | | | 178 | | | | 177,554 | |
Epicor Software Corp., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 8.75%, 07/31/28 | | | 1,316 | | | | 1,344,518 | |
Helios Software Holdings, Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 3.75%), 3.97%, 03/11/28 | | | 1,315 | | | | 1,304,805 | |
Informatica LLC, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%), 2.88%, 10/27/28 | | | 3,501 | | | | 3,485,386 | |
Instructure Holdings, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 3.25%, 10/30/28 | | | 453 | | | | 450,735 | |
IPS Corp., 2021 Term Loan, (1 mo. LIBOR + 3.75%), 4.25%, 10/02/28(b) | | | 363 | | | | 362,264 | |
IPS Corporation, 2021 2nd Lien Term Loan B, (1 mo. LIBOR + 7.00%), 7.50%, 10/01/29 | | | 645 | | | | 645,535 | |
Magenta Buyer LLC | | | | | | | | |
2021 USD 1st Lien Term Loan, (3 mo. LIBOR + 5.00%), 5.75%, 07/27/28 | | | 3,716 | | | | 3,702,906 | |
2021 USD 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%), 9.00%, 07/27/29 | | | 1,809 | | | | 1,792,610 | |
McAfee LLC, 2018 USD Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 09/30/24 | | | 567 | | | | 567,567 | |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Software (continued) | | | | | | |
Netsmart Technologies, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 10/01/27 | | USD | 970 | | | $ | 971,248 | |
Planview Parent, Inc. | | | | | | | | |
2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 8.00%, 12/18/28(b) | | | 572 | | | | 572,000 | |
Term Loan, (3 mo. LIBOR + 4.00%), 4.75%, 12/17/27 | | | 1,327 | | | | 1,326,903 | |
Proof Point, Inc., 2nd Lien Term Loan, (3 mo. LIBOR + 6.25%), 6.75%, 08/31/29 | | | 895 | | | | 902,831 | |
Proofpoint, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 3.75%, 08/31/28 | | | 1,871 | | | | 1,861,790 | |
RealPage, Inc. | | | | | | | | |
1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.75%, 04/24/28 | | | 3,910 | | | | 3,896,026 | |
2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 7.25%, 04/23/29 | | | 1,825 | | | | 1,846,096 | |
Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.35%, 05/30/25 | | | 420 | | | | 415,414 | |
Severin Acquisition LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 08/01/25 | | | 2,393 | | | | 2,378,730 | |
Sophia LP, 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 4.25%, 10/07/27 | | | 1,512 | | | | 1,511,248 | |
Tempo Acquisition LLC | | | | | | | | |
2020 Extended Term Loan, (1 mo. LIBOR + 3.25%), 3.75%, 11/02/26 | | | 2,691 | | | | 2,693,432 | |
2021 Term Loan B, (1 mo. LIBOR + 3.00%), 3.50%, 08/31/28 | | | 301 | | | | 301,998 | |
Tibco Software Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.25%, 03/03/28 | | | 1,799 | | | | 1,802,846 | |
Ultimate Software Group, Inc. | | | | | | | | |
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.25%), 5.75%, 05/03/27 | | | 1,150 | | | | 1,152,362 | |
2021 Term Loan, (3 mo. LIBOR + 3.25%), 3.75%, 05/04/26 | | | 2,993 | | | | 2,975,695 | |
Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 05/04/26 | | | 2,423 | | | | 2,413,403 | |
| | | | | | | | |
| | | | | | | 50,152,378 | |
| | |
| Specialty Retail — 4.1% | | | | | | |
Belron Finance US LLC | | | | | | | | |
2018 Term Loan B, (3 mo. LIBOR + 2.25%), 2.44%, 11/13/25 | | | 271 | | | | 268,825 | |
2019 USD Term Loan B, (3 mo. LIBOR + 2.25%), 2.44%, 10/30/26 | | | 661 | | | | 656,261 | |
CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (LIBOR - GBP + 4.75%), 4.95%, 06/23/25 | | GBP | 1,000 | | | | 1,343,398 | |
EG Group Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.25%), 4.75%, 03/31/26(b) | | USD | 352 | | | | 354,444 | |
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (3 mo. LIBOR + 3.25%), 3.75%, 11/24/28 | | | 425 | | | | 422,344 | |
Mavis Tire Express Services Corp., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 4.75%, 05/04/28 | | | 1,867 | | | | 1,866,620 | |
MED ParentCo LP, 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 4.35%, 08/31/26 | | | 1,064 | | | | 1,061,164 | |
Medical Solutions LLC | | | | | | | | |
2021 Delayed Draw Term Loan, 0.07%, 11/01/28 | | | 17 | | | | 17,034 | |
2021 First Lien Term Loan, (3 mo. LIBOR + 3.50%), 4.00%, 11/01/28 | | | 1,521 | | | | 1,517,349 | |
PetSmart, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 02/11/28 | | | 3,278 | | | | 3,279,750 | |
| | |
SCHEDULE OF INVESTMENTS | | 119 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
| | |
| Specialty Retail (continued) | | | | | | |
Research Now Group, Inc., 2017 1st Lien Term Loan, (6 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 12/20/24 | | USD | 762 | | | $ | 751,080 | |
Woof Holdings, Inc. 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 4.50%, 12/21/27 | | | 338 | | | | 338,443 | |
2nd Lien Term Loan, (6 mo. LIBOR + 7.25%), 8.00%, 12/21/28 | | | 345 | | | | 346,942 | |
| | | | | | | | |
| | | | | | | 12,223,654 | |
|
| Technology Hardware, Storage & Peripherals — 0.3% | |
Electronics for Imaging, Inc., Term Loan, (1 mo. LIBOR + 5.00%), 5.10%, 07/23/26(b) | | | 946 | | | | 923,015 | |
| | | | | | | | |
|
| Trading Companies & Distributors — 0.7% | |
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 2.35%, 05/19/28 | | | 854 | | | | 848,817 | |
Foundation Building Materials Holding Company LLC, 2021 Term Loan, (3 mo. LIBOR + 3.25%), 3.75%, 01/31/28 | | | 940 | | | | 932,640 | |
ION Trading Finance Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%), 4.97%, 04/03/28 | | | 420 | | | | 420,473 | |
| | | | | | | | |
| | | | | | | 2,201,930 | |
|
| Wireless Telecommunication Services — 1.1% | |
GOGO Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 04/30/28 | | | 681 | | | | 680,126 | |
Metronet Systems Holdings LLC, 2021 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 4.50%, 05/26/28 | | | 439 | | | | 439,664 | |
SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.86%, 04/11/25 | | | 2,075 | | | | 2,050,344 | |
| | | | | | | | |
| | | | | | | 3,170,134 | |
| | | | | | | | |
| |
Total Floating Rate Loan Interests — 147.7%
(Cost: $443,154,521) | | | | 444,070,663 | |
| | | | | | | | |
| | |
| | | Shares | | | | |
| | |
Investment Companies | | | | | | | | |
| | |
| Fixed Income Funds — 0.5% | | | | | | |
Invesco Senior Loan ETF | | | 70,800 | | | | 1,564,680 | |
| | | | | | | | |
| | |
Total Investment Companies — 0.5%
(Cost: $1,563,823) | | | | | | | 1,564,680 | |
| | | | | | | | |
| | | | | | | | |
| Security | | Benefical
Interest (000) | | | Value | |
| | |
Other Interests | | | | | | | | |
| | |
| IT Services(b)(j) — 0.0% | | | | | | |
Millennium Corp. | | USD | 991 | | | $ | — | |
Millennium Lender Claims | | | 930 | | | | — | |
| | | | | | | | |
| | |
Total Other Interests — 0.0%
(Cost: $ — ) | | | | | | | — | |
| | | | | | | | |
| | |
| | | Shares | | | | |
| | |
Warrants | | | | | | | | |
| | |
| Metals & Mining — 0.0% | | | | | | |
Ameriforge Group, Inc. | | | 2,642 | | | | — | |
| | | | | | | | |
| | |
| Oil, Gas & Consumable Fuels — 0.0% | | | | | | |
California Resources Corp. (a) | | | 617 | | | | 7,651 | |
| | | | | | | | |
| | |
Total Warrants — 0.0%
(Cost: $ — ) | | | | | | | 7,651 | |
| | | | | | | | |
| | |
Total Investments — 149.8%
(Cost: $451,512,269) | | | | | | | 450,335,521 | |
| |
Liabilities in Excess of Other Assets — (49.8)% | | | | (149,623,374 | ) |
| | | | | | | | |
| | |
Net Assets — 100.0% | | | | | | $ | 300,712,147 | |
| | | | | | | | |
| (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) | Issuer filed for bankruptcy and/or is in default. |
| (e) | 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. |
| (f) | Convertible security. |
| (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) | 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) | Rounds to less than 1,000. |
| (j) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
For Trust compliance purposes, the Trust’s 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.
| | |
| 120 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Floating Rate Income Trust (BGT) |
Affiliates
Investments in issuers considered to be affiliate(s) of the Trust during the year ended December 31, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Affiliated Issuer | | Value at
12/31/20 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net
Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value at
12/31/21 | | | Shares
Held at
12/31/21 | | | Income | | | Capital Gain
Distributions
from
Underlying
Funds | |
BlackRock Liquidity Funds, T-Fund, Institutional Class(a) | | $ | — | | | $ | — | (b) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | — | | | $ | 32 | | | $ | — | |
iShares iBoxx $ High Yield Corporate Bond ETF(a) | | | 5,499,900 | | | | — | | | | (5,501,781 | ) | | | 480,138 | | | | (478,257 | ) | | | — | | | | — | | | | 82,413 | | | | — | |
iShares iBoxx $ Investment Grade Corporate Bond ETF(a) | | | 2,071,950 | | | | — | | | | (2,039,397 | ) | | | 118,500 | | | | (151,053 | ) | | | — | | | | — | | | | 23,328 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 598,638 | | | $ | (629,310 | ) | | $ | — | | | | | | | $ | 105,773 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | As of period end, the entity is no longer held. | |
| | (b) | Represents net amount purchased (sold). | |
Derivative Financial Instruments Outstanding as of Period End Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | |
| Currency Purchased | | | Currency Sold | | | Counterparty | | Settlement Date | | Unrealized
Appreciation
(Depreciation) | |
USD | | | 923,905 | | | EUR | | | 816,000 | | | Natwest Markets PLC | | 03/16/22 | | $ | (6,475 | ) |
USD | | | 2,084,614 | | | GBP | | | 1,572,000 | | | JPMorgan Chase Bank N.A. | | 03/16/22 | | | (42,521 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | (48,996 | ) |
| | | | | | | | | | | | | | | | | | |
Centrally Cleared Credit Default Swaps — Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation/Index | |
| Financing
Rate Received
by the Trust |
| | Payment Frequency | |
| Termination
Date |
| | Credit Rating(a) | |
| Notional
Amount (000) |
(b) | | | Value | | |
| Upfront
Premium
Paid
(Received) |
| |
| Unrealized
Appreciation
(Depreciation) |
|
CDX.NA.HY.37.V1 | | | 5.00 | % | | Quarterly | | | 12/20/26 | | | B+ | | | USD 3,500 | | | $ | 328,921 | | | $ | 260,182 | | | $ | 68,739 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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
| | | | | | | | | | | | | | | | |
| Description | | Swap
Premiums
Paid | | | Swap
Premiums
Received | | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
Centrally Cleared Swaps(a) | | $ | 260,182 | | | $ | — | | | $ | 68,739 | | | $ | — | |
| | (a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. | |
| | |
SCHEDULE OF INVESTMENTS | | 121 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Floating Rate Income Trust (BGT) |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on centrally cleared swaps(a) | | $ | — | | | $ | 68,739 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 68,739 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward foreign currency exchange contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency exchange contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 48,996 | | | $ | — | | | $ | — | | | $ | 48,996 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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 day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). | |
For the period ended December 31, 2021, 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 | | $ | — | | | $ | — | | | $ | — | | | $ | 72,353 | | | $ | — | | | $ | — | | | $ | 72,353 | |
Swaps | | | — | | | | 5,989 | | | | — | | | | — | | | | — | | | | — | | | | 5,989 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 5,989 | | | $ | — | | | $ | 72,353 | | | $ | — | | | $ | — | | | $ | 78,342 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | |
Forward foreign currency exchange contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 43,427 | | | $ | — | | | $ | — | | | $ | 43,427 | |
Swaps | | | — | | | | 68,739 | | | | — | | | | — | | | | — | | | | — | | | | 68,739 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 68,739 | | | $ | — | | | $ | 43,427 | | | $ | — | | | $ | — | | | $ | 112,166 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Forward foreign currency exchange contracts: | | | | |
Average amounts purchased — in USD | | $ | 3,243,871 | |
Credit default swaps: | | | | |
Average notional value — sell protection | | $ | 875,000 | |
For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Trust’s derivative assets and liabilities (by type) were as follows:
| | | | | | | | |
| | | Assets | | | Liabilities | |
Derivative Financial Instruments | | | | | | | | |
Forward foreign currency exchange contracts | | $ | — | | | $ | 48,996 | |
Swaps — centrally cleared | | | 6,346 | | | | — | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 6,346 | | | | 48,996 | |
| | | | | | | | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | (6,346 | ) | | | — | |
| | | | | | | | |
Total derivative assets and liabilities subject to an MNA | | $ | — | | | $ | 48,996 | |
| | | | | | | | |
| | |
| 122 | | 2 0 2 1 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, 2021 | | BlackRock Floating Rate Income Trust (BGT) |
The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Trust:
| | | | | | | | | | | | | | | | | | | | |
Counterparty | |
| Derivative
Liabilities
Subject to
an MNA by
Counterparty |
| |
| Derivatives
Available
for Offset |
| |
| Non-Cash
Collateral
Pledged |
| |
| Cash
Collateral
Pledged |
| |
| Net Amount
of Derivative
Liabilities |
(a) |
JPMorgan Chase Bank N.A. | | $ | 42,521 | | | $ | — | | | $ | — | | | $ | — | | | $ | 42,521 | |
Natwest Markets PLC | | | 6,475 | | | | — | | | | — | | | | — | | | | 6,475 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 48,996 | | | $ | — | | | $ | — | | | $ | — | | | $ | 48,996 | |
| | | | | | | | | | | | | | | | | | | | |
| | (a) | 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 Trust’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments 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 | | $ | 16,283 | | | $ | — | | | $ | — | | | $ | 16,283 | |
Construction & Engineering | | | 31,424 | | | | — | | | | — | | | | 31,424 | |
Household Durables | | | — | | | | — | | | | — | | | | — | |
Media | | | 178,544 | | | | — | | | | — | | | | 178,544 | |
Metals & Mining | | | — | | | | 416 | | | | 486 | | | | 902 | |
Oil, Gas & Consumable Fuels | | | 53,473 | | | | — | | | | — | | | | 53,473 | |
Software | | | 792 | | | | — | | | | — | | | | 792 | |
Specialty Retail | | | — | | | | 324,715 | | | | — | | | | 324,715 | |
Corporate Bonds | | | — | | | | 4,086,394 | | | | — | | | | 4,086,394 | |
Floating Rate Loan Interests | | | — | | | | 426,691,167 | | | | 17,379,496 | | | | 444,070,663 | |
Investment Companies | | | 1,564,680 | | | | — | | | | — | | | | 1,564,680 | |
Other Interests | | | — | | | | — | | | | — | | | | — | |
Warrants | | | 7,651 | | | | — | | | | — | | | | 7,651 | |
Unfunded Floating Rate Loan Interests(a) | | | — | | | | 744 | | | | — | | | | 744 | |
Liabilities | | | | | | | | | | | | | | | | |
Unfunded Floating Rate Loan Interests(a) | | | — | | | | (1,274 | ) | | | (182 | ) | | | (1,456 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 1,852,847 | | | $ | 431,102,162 | | | $ | 17,379,800 | | | $ | 450,334,809 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(b) | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Credit Contracts | | $ | — | | | $ | 68,739 | | | $ | — | | | $ | 68,739 | |
Liabilities | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | — | | | | (48,996 | ) | | | — | | | | (48,996 | ) |
| | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 19,743 | | | $ | — | | | $ | 19,743 | |
| | | | | | | | | | | | | | | | |
| | (a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. | |
| | (b) | Derivative financial instruments are swaps and forward foreign currency exchange contracts. Swaps and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. | |
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 $143,000,000 are categorized as Level 2 within the fair value hierarchy.
| | |
SCHEDULE OF INVESTMENTS | | 123 |
| | |
Schedule of Investments (continued) December 31, 2021 | | BlackRock Floating Rate Income Trust (BGT) |
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 | | | Unfunded
Floating
Rate Loan
Interests | | | Total | |
Assets | | | | | | | | | | | | | | | | | | | | |
Opening balance, as of December 31, 2020 | | $ | 32,417 | | | $ | 262,106 | | | $ | 19,654,013 | | | $ | — | | | $ | 19,948,536 | |
Transfers into Level 3(a) | | | — | | | | — | | | | 732,688 | | | | — | | | | 732,688 | |
Transfers out of Level 3(b) | | | — | | | | — | | | | (7,513,853 | ) | | | — | | | | (7,513,853 | ) |
Accrued discounts/premiums | | | — | | | | 11,893 | | | | 28,223 | | | | — | | | | 40,116 | |
Net realized gain (loss) | | | — | | | | 58,885 | | | | 49,778 | | | | — | | | | 108,663 | |
Net change in unrealized appreciation (depreciation)(c)(d) | | | (24,653 | ) | | | 10,339 | | | | 203,300 | | | | (182 | ) | | | 188,804 | |
Purchases | | | — | | | | 6,941 | | | | 9,140,415 | | | | — | | | | 9,147,356 | |
Sales | | | (7,278 | ) | | | (350,164 | ) | | | (4,915,068 | ) | | | — | | | | (5,272,510 | ) |
| | | | | | | | | | | | | | | | | | | | |
Closing balance, as of December 31, 2021 | | $ | 486 | | | $ | — | | | $ | 17,379,496 | | | $ | (182 | ) | | $ | 17,379,800 | |
| | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2021(d) | | $ | (10,728 | ) | | $ | — | | | $ | 189,449 | | | $ | (182 | ) | | $ | 178,539 | |
| | | | | | | | | | | | | | | | | | | | |
| | (a) | As of December 31, 2020, 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, 2020, the Trust used significant unobservable inputs in determining the value of certain investments. As of December 31, 2021, 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, 2021 is generally due to investments no longer held or categorized as Level 3 at period end. | |
See notes to financial statements.
| | |
| 124 | | 2 0 2 1 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 Assets and Liabilities
December 31, 2021
| | | | | | | | | | | | | | | | |
| | | BHK | | | HYT(a) | | | BTZ | | | BGT | |
| | | | |
ASSETS | | | | | | | | | | | | | | | | |
Investments, at value — unaffiliated(b) | | $ | 1,327,117,316 | | | $ | 2,097,344,659 | | | $ | 1,960,981,173 | | | $ | 450,335,521 | |
Investments, at value — affiliated(c) | | | 25,976,159 | | | | 8,004,290 | | | | 22,030,719 | | | | — | |
Cash | | | 130,090 | | | | 1,583,021 | | | | — | | | | 1,367,482 | |
Cash pledged: | | | | | | | | | | | | | | | | |
Collateral — reverse repurchase agreements | | | — | | | | — | | | | 524,000 | | | | — | |
Collateral — exchange-traded options written | | | — | | | | — | | | | 1,200,000 | | | | — | |
Collateral — OTC derivatives | | | 2,850,000 | | | | — | | | | — | | | | — | |
Futures contracts | | | 2,186,970 | | | | 34,000 | | | | 814,000 | | | | — | |
Centrally cleared swaps | | | 6,505,940 | | | | — | | | | — | | | | 286,000 | |
Foreign currency, at value(d) | | | 771,394 | | | | 134,162 | | | | — | | | | — | |
Receivables: | | | | | | | | | | | | | | | | |
Investments sold | | | 552,153 | | | | 1,560,096 | | | | 685,318 | | | | 7,762,756 | |
TBA sale commitments | | | 54,792,928 | | | | — | | | | — | | | | — | |
Dividends — unaffiliated | | | 24,339 | | | | 108,458 | | | | — | | | | — | |
Dividends — affiliated | | | 116 | | | | 4 | | | | 63 | | | | 2 | |
Interest — unaffiliated | | | 10,586,248 | | | | 26,416,558 | | | | 23,780,105 | | | | 1,292,222 | |
Principal paydowns | | | 23,882 | | | | — | | | | — | | | | — | |
Variation margin on futures contracts | | | 178,509 | | | | 234 | | | | 89,633 | | | | — | |
Variation margin on centrally cleared swaps | | | — | | | | — | | | | — | | | | 6,346 | |
Swap premiums paid | | | 4,409 | | | | 39,270 | | | | — | | | | — | |
Unrealized appreciation on: | | | | | | | | | | | | | | | | |
OTC swaps | | | 187,799 | | | | 526,834 | | | | — | | | | — | |
Unfunded floating rate loan interests | | | 77 | | | | 8,882 | | | | — | | | | 744 | |
Prepaid expenses | | | 6,160 | | | | — | | | | 7,123 | | | | 2,118 | |
| | | | | | | | | | | | | | | | |
Total assets | | | 1,431,894,489 | | | | 2,135,760,468 | | | | 2,010,112,134 | | | | 461,053,191 | |
| | | | | | | | | | | | | | | | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Foreign bank overdraft(e) | | | — | | | | — | | | | — | | | | 30,118 | |
Cash received: | | | | | | | | | | | | | | | | |
Collateral — reverse repurchase agreements | | | 270,000 | | | | — | | | | — | | | | — | |
Collateral — OTC derivatives | | | 480,000 | | | | 430,000 | | | | — | | | | — | |
Options written, at value(f) | | | 6,963,280 | | | | 4,520 | | | | — | | | | — | |
TBA sale commitments, at value(g) | | | 54,786,845 | | | | — | | | | — | | | | — | |
Reverse repurchase agreements, at value | | | 405,521,969 | | | | — | | | | 587,016,617 | | | | — | |
Payables: | | | | | | | | | | | | | | | | |
Investments purchased | | | 110,894,904 | | | | 9,974,222 | | | | 461,025 | | | | 14,956,378 | |
Accounting services fees | | | 53,895 | | | | 74,515 | | | | 72,177 | | | | 22,091 | |
Bank borrowings | | | — | | | | 647,000,000 | | | | — | | | | 143,000,000 | |
Capital gains distributions | | | 8,368,921 | | | | — | | | | — | | | | — | |
Custodian fees | | | 28,883 | | | | 23,606 | | | | 14,739 | | | | 9,378 | |
Income dividend distributions | | | 4,027,881 | | | | 9,520,606 | | | | 7,845,246 | | | | 1,447,227 | |
Interest expense | | | — | | | | 523,440 | | | | — | | | | 119,908 | |
Investment advisory fees | | | 533,058 | | | | 1,070,268 | | | | 1,049,027 | | | | 281,339 | |
Trustees’ and Officer’s fees | | | 330,093 | | | | 833,537 | | | | 1,085,775 | | | | 304,058 | |
Other accrued expenses | | | 46,886 | | | | 276,939 | | | | 113,925 | | | | 22,158 | |
Professional fees | | | 134,289 | | | | 225,109 | | | | 120,557 | | | | 92,354 | |
Transfer agent fees | | | 15,564 | | | | 23,794 | | | | 181,737 | | | | 5,583 | |
Variation margin on futures contracts | | | 49,353 | | | | 523 | | | | 4,744 | | | | — | |
Variation margin on centrally cleared swaps | | | 579,186 | | | | — | | | | — | | | | — | |
Swap premiums received | | | 3,009,698 | | | | 145,844 | | | | — | | | | — | |
Unrealized depreciation on: | | | | | | | | | | | | | | | | |
Forward foreign currency exchange contracts | | | 152,764 | | | | 438,833 | | | | — | | | | 48,996 | |
OTC swaps | | | 333,249 | | | | 23,865 | | | | — | | | | — | |
Unfunded floating rate loan interests | | | — | | | | — | | | | — | | | | 1,456 | |
| | | | | | | | | | | | | | | | |
Total liabilities | | | 596,580,718 | | | | 670,589,621 | | | | 597,965,569 | | | | 160,341,044 | |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS | | $ | 835,313,771 | | | $ | 1,465,170,847 | | | $ | 1,412,146,565 | | | $ | 300,712,147 | |
| | | | | | | | | | | | | | | | |
| | |
F I N A N C I A L S T A T E M E N T S | | 125 |
Statements of Assets and Liabilities (continued)
December 31, 2021
| | | | | | | | | | | | | | | | |
| | | BHK | | | HYT(a) | | | BTZ | | | BGT | |
| | | | |
NET ASSETS CONSIST OF | | | | | | | | | | | | | | | | |
Paid-in capital(h)(i)(j) | | $ | 755,282,330 | | | $ | 1,550,444,070 | | | $ | 1,253,197,058 | | | $ | 328,698,709 | |
Accumulated earnings (loss) | | | 80,031,441 | | | | (85,273,223 | ) | | | 158,949,507 | | | | (27,986,562 | ) |
| | | | | | | | | | | | | | | | |
NET ASSETS | | $ | 835,313,771 | | | $ | 1,465,170,847 | | | $ | 1,412,146,565 | | | $ | 300,712,147 | |
| | | | | | | | | | | | | | | | |
| | | | |
Net asset value(h)(i)(j) | | $ | 15.47 | | | $ | 11.99 | | | $ | 15.10 | | | $ | 13.44 | |
| | | | | | | | | | | | | | | | |
| | | | |
(a) Consolidated Statement of Assets and Liabilities | | | | | | | | | | | | | | | | |
(b) Investments, at cost — unaffiliated | | $ | 1,251,332,942 | | | $ | 2,049,194,434 | | | $ | 1,777,449,285 | | | $ | 451,512,269 | |
(c) Investments, at cost — affiliated | | $ | 25,976,159 | | | $ | 7,427,338 | | | $ | 22,030,719 | | | $ | — | |
(d) Foreign currency, at cost | | $ | 776,694 | | | $ | 132,533 | | | $ | — | | | $ | — | |
(e) Foreign bank overdraft, at cost | | $ | — | | | $ | — | | | $ | — | | | $ | 29,409 | |
(f) Premiums received | | $ | 7,051,586 | | | $ | 12,208 | | | $ | — | | | $ | — | |
(g) Proceeds from TBA sale commitments | | $ | 54,792,928 | | | $ | — | | | $ | — | | | $ | — | |
(h) Shares outstanding | | | 53,993,036 | | | | 122,215,737 | | | | 93,507,103 | | | | 22,368,273 | |
(i) Shares authorized | | | Unlimited | | | | 200 million | | | | Unlimited | | | | Unlimited | |
(j) Par value | | $ | 0.001 | | | $ | 0.10 | | | $ | 0.001 | | | $ | 0.001 | |
See notes to financial statements.
| | |
| 126 | | 2 0 2 1 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 Operations
Year Ended December 31, 2021
| | | | | | | | | | | | | | | | |
| | | BHK | | | HYT(a) | | | BTZ | | | BGT | |
| |
| | | | |
INVESTMENT INCOME | | | | | | | | | | | | | | | | |
Dividends — unaffiliated | | $ | 272,569 | | | $ | 1,436,430 | | | $ | 2,247,759 | | | $ | 78,045 | |
Dividends — affiliated | | | 1,811 | | | | 363,165 | | | | 1,719 | | | | 105,773 | |
Interest — unaffiliated | | | 45,830,679 | | | | 110,334,892 | | | | 93,249,694 | | | | 18,932,909 | |
Other income — unaffiliated | | | — | | | | 704,746 | | | | — | | | | 370,283 | |
Other income — affiliated | | | 415 | | | | — | | | | — | | | | — | |
Foreign taxes withheld | | | (28 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total investment income | | | 46,105,446 | | | | 112,839,233 | | | | 95,499,172 | | | | 19,487,010 | |
| | | | | | | | | | | | | | | | |
| | | | |
EXPENSES | | | | | | | | | | | | | | | | |
Investment advisory | | | 6,346,874 | | | | 12,747,089 | | | | 12,609,268 | | | | 3,278,697 | |
Accounting services | | | 158,473 | | | | 225,940 | | | | 219,735 | | | | 65,209 | |
Professional | | | 100,690 | | | | 108,583 | | | | 103,617 | | | | 106,677 | |
Trustees and Officer | | | 96,855 | | | | 206,367 | | | | 255,303 | | | | 63,726 | |
Custodian | | | 87,264 | | | | 81,295 | | | | 44,178 | | | | 29,770 | |
Transfer agent | | | 55,268 | | | | 88,246 | | | | 221,024 | | | | 43,452 | |
Registration | | | 18,850 | | | | 58,086 | | | | 36,301 | | | | 8,524 | |
Commitment costs | | | — | | | | 29,292 | | | | — | | | | 12,317 | |
Miscellaneous | | | 99,161 | | | | 380,613 | | | | 142,554 | | | | 28,021 | |
| | | | | | | | | | | | | | | | |
Total expenses excluding interest expense | | | 6,963,435 | | | | 13,925,511 | | | | 13,631,980 | | | | 3,636,393 | |
Interest expense | | | 338,656 | | | | 5,957,771 | | | | 2,616,516 | | | | 1,252,309 | |
| | | | | | | | | | | | | | | | |
Total expenses | | | 7,302,091 | | | | 19,883,282 | | | | 16,248,496 | | | | 4,888,702 | |
Less: | | | | | | | | | | | | | | | | |
Fees waived and/or reimbursed by the Manager | | | (5,104 | ) | | | (48,922 | ) | | | (5,415 | ) | | | (24,488 | ) |
| | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 7,296,987 | | | | 19,834,360 | | | | 16,243,081 | | | | 4,864,214 | |
| | | | | | | | | | | | | | | | |
Net investment income | | | 38,808,459 | | | | 93,004,873 | | | | 79,256,091 | | | | 14,622,796 | |
| | | | | | | | | | | | | | | | |
| | | | |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | | | | | | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Investments — unaffiliated | | | 14,791,493 | | | | 57,412,170 | | | | 16,676,129 | | | | 3,515,935 | |
Investments — affiliated | | | — | | | | 62,881 | | | | — | | | | 598,638 | |
Forward foreign currency exchange contracts | | | 727,284 | | | | 3,121,314 | | | | — | | | | 72,353 | |
Foreign currency transactions | | | (52,767 | ) | | | (272,577 | ) | | | (77,810 | ) | | | (47,565 | ) |
Futures contracts | | | 1,970,735 | | | | 4,634,475 | | | | 2,563,213 | | | | — | |
Options written | | | 1,830,598 | | | | (660 | ) | | | 2,886,052 | | | | — | |
Swaps | | | (296,665 | ) | | | 2,253,682 | | | | (79,350 | ) | | | 5,989 | |
| | | | | | | | | | | | | | | | |
| | | 18,970,678 | | | | 67,211,285 | | | | 21,968,234 | | | | 4,145,350 | |
| | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investments — unaffiliated | | | (54,173,124 | ) | | | (41,808,602 | ) | | | (62,916,378 | ) | | | 11,067 | |
Investments — affiliated | | | — | | | | 105,066 | | | | — | | | | (629,310 | ) |
Forward foreign currency exchange contracts | | | 143,253 | | | | 878,228 | | | | — | | | | 43,427 | |
Foreign currency translations | | | (76,878 | ) | | | (36,354 | ) | | | (5,777 | ) | | | (823 | ) |
Futures contracts | | | 1,672,859 | | | | (85,936 | ) | | | (780,696 | ) | | | — | |
Options written | | | (2,723,043 | ) | | | 7,688 | | | | 87,558 | | | | — | |
Swaps | | | 1,472,480 | | | | (748,455 | ) | | | 75,621 | | | | 68,739 | |
Unfunded floating rate loan interests | | | 77 | | | | 8,882 | | | | — | | | | (434 | ) |
| | | | | | | | | | | | | | | | |
| | | (53,684,376 | ) | | | (41,679,483 | ) | | | (63,539,672 | ) | | | (507,334 | ) |
| | | | | | | | | | | | | | | | |
Net realized and unrealized gain (loss) | | | (34,713,698 | ) | | | 25,531,802 | | | | (41,571,438 | ) | | | 3,638,016 | |
| | | | | | | | | | | | | | | | |
| | | | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 4,094,761 | | | $ | 118,536,675 | | | $ | 37,684,653 | | | $ | 18,260,812 | |
| | | | | | | | | | | | | | | | |
| (a) | Consolidated Statement of Operations. |
See notes to financial statements.
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | |
| | | BHK | | | HYT(a) | |
| | | Year Ended December 31, | | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2021 | | | 2020 | |
| |
| | | | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net investment income | | $ | 38,808,459 | | | $ | 38,672,682 | | | $ | 93,004,873 | | | $ | 96,242,373 | |
Net realized gain (loss) | | | 18,970,678 | | | | 16,499,153 | | | | 67,211,285 | | | | (33,028,961 | ) |
Net change in unrealized appreciation (depreciation) | | | (53,684,376 | ) | | | 49,956,262 | | | | (41,679,483 | ) | | | 55,781,645 | |
| | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | 4,094,761 | | | | 105,128,097 | | | | 118,536,675 | | | | 118,995,057 | |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS(b) | | | | | | | | | | | | | | | | |
From net investment income and net realized gain | | | (56,675,846 | ) | | | (44,507,265 | ) | | | (98,245,910 | ) | | | (100,401,036 | ) |
Return of capital | | | — | | | | — | | | | (15,806,301 | ) | | | (13,554,876 | ) |
| | | | | | | | | | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | (56,675,846 | ) | | | (44,507,265 | ) | | | (114,052,211 | ) | | | (113,955,912 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Reinvestment of distributions | | | 925,044 | | | | — | | | | 3,779,473 | | | | — | |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | (51,656,041 | ) | | | 60,620,832 | | | | 8,263,937 | | | | 5,039,145 | |
Beginning of year | | | 886,969,812 | | | | 826,348,980 | | | | 1,456,906,910 | | | | 1,451,867,765 | |
| | | | | | | | | | | | | | | | |
End of year | | $ | 835,313,771 | | | $ | 886,969,812 | | | $ | 1,465,170,847 | | | $ | 1,456,906,910 | |
| | | | | | | | | | | | | | | | |
| (a) | Consolidated Statements 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.
| | |
| 128 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Statements of Changes in Net Assets (continued)
| | | | | | | | | | | | | | | | |
| | | BTZ | | | BGT | |
| | | Year Ended December 31, | | | Year Ended December 31, | |
| | | 2021 | | | 2020 | | | 2021 | | | 2020 | |
| |
| | | | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net investment income | | $ | 79,256,091 | | | $ | 79,503,585 | | | $ | 14,622,796 | | | $ | 15,066,809 | |
Net realized gain (loss) | | | 21,968,234 | | | | 20,528,950 | | | | 4,145,350 | | | | (12,507,913 | ) |
Net change in unrealized appreciation (depreciation) | | | (63,539,672 | ) | | | 62,634,726 | | | | (507,334 | ) | | | 135,008 | |
| | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | 37,684,653 | | | | 162,667,261 | | | | 18,260,812 | | | | 2,693,904 | |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS(a) | | | | | | | | | | | | | | | | |
From net investment income | | | (80,320,881 | ) | | | (79,320,638 | ) | | | (14,667,710 | ) | | | (15,793,436 | ) |
Return of capital | | | (13,796,133 | ) | | | (14,794,018 | ) | | | (2,693,947 | ) | | | (4,425,207 | ) |
| | | | | | | | | | | | | | | | |
Decrease in net assets resulting from distributions to shareholders | | | (94,117,014 | ) | | | (94,114,656 | ) | | | (17,361,657 | ) | | | (20,218,643 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Reinvestment of distributions | | | 425,778 | | | | — | | | | 106,634 | | | | — | |
Redemption of shares resulting from share repurchase program (including transaction costs) | | | — | | | | (155,227,064 | ) | | | (419,729 | ) | | | (6,057,572 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | 425,778 | | | | (155,227,064 | ) | | | (313,095 | ) | | | (6,057,572 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | (56,006,583 | ) | | | (86,674,459 | ) | | | 586,060 | | | | (23,582,311 | ) |
Beginning of year | | | 1,468,153,148 | | | | 1,554,827,607 | | | | 300,126,087 | | | | 323,708,398 | |
| | | | | | | | | | | | | | | | |
End of year | | $ | 1,412,146,565 | | | $ | 1,468,153,148 | | | $ | 300,712,147 | | | $ | 300,126,087 | |
| | | | | | | | | | | | | | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
Statements of Cash Flows
Year Ended December 31, 2021
| | | | | | | | | | | | | | | | |
| | | BHK | | | HYT(a) | | | BTZ | | | BGT | |
| |
| | | | |
CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES | | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | $ | 4,094,761 | | | $ | 118,536,675 | | | $ | 37,684,653 | | | $ | 18,260,812 | |
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities | | | | | | | | | | | | | | | | |
Proceeds from sales of long-term investments and principal paydowns/payups | | | 634,560,367 | | | | 1,184,321,090 | | | | 478,290,842 | | | | 222,620,315 | |
Purchases of long-term investments | | | (721,778,634 | ) | | | (1,143,841,142 | ) | | | (429,955,675 | ) | | | (234,141,643 | ) |
Net proceeds from sales (purchases) of short-term securities | | | (17,971,323 | ) | | | 310,000 | | | | 883,775 | | | | — | |
Amortization of premium and accretion of discount on investments and other fees | | | 1,097,648 | | | | 2,708,167 | | | | 2,561,977 | | | | (824,127 | ) |
Premiums paid on closing options written | | | (11,940,959 | ) | | | (11,167 | ) | | | (6,734,744 | ) | | | — | |
Premiums received from options written | | | 11,378,604 | | | | 22,715 | | | | 6,491,869 | | | | — | |
Net realized gain on investments and options written | | | (16,622,091 | ) | | | (57,284,408 | ) | | | (19,549,586 | ) | | | (4,114,573 | ) |
Net unrealized depreciation on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests | | | 56,059,885 | | | | 41,557,193 | | | | 62,753,199 | | | | 575,250 | |
(Increase) Decrease in Assets | | | | | | | | | | | | | | | | |
Receivables | | | | | | | | | | | | | | | | |
Dividends — affiliated | | | 185 | | | | 32 | | | | 361 | | | | 21 | |
Dividends — unaffiliated | | | — | | | | (36,713 | ) | | | 17,812 | | | | — | |
Interest — unaffiliated | | | (15,753 | ) | | | 2,953,370 | | | | 396,844 | | | | 143,447 | |
Variation margin on futures contracts | | | (47,695 | ) | | | (234 | ) | | | (16,133 | ) | | | — | |
Variation margin on centrally cleared swaps | | | — | | | | — | | | | — | | | | (6,346 | ) |
Swap premiums paid | | | (4,409 | ) | | | 37,823 | | | | 15,776 | | | | — | |
Prepaid expenses | | | 2,123 | | | | 13,253 | | | | 6,797 | | | | 673 | |
Increase (Decrease) in Liabilities | | | | | | | | | | | | | | | | |
Cash received | | | | | | | | | | | | | | | | |
Collateral — reverse repurchase agreements | | | 270,000 | | | | — | | | | (11,978,492 | ) | | | — | |
Collateral — OTC derivatives | | | (10,000 | ) | | | (410,000 | ) | | | (190,000 | ) | | | — | |
Payables | | | | | | | | | | | | | | | | |
Accounting services fees | | | (17,590 | ) | | | (24,030 | ) | | | (26,268 | ) | | | (10,160 | ) |
Custodian fees | | | (16,199 | ) | | | (25,317 | ) | | | (7,406 | ) | | | (5,086 | ) |
Interest expense | | | 77,974 | | | | (25,907 | ) | | | (442,013 | ) | | | 917 | |
Investment advisory fees | | | 33,593 | | | | 3,826 | | | | (33,857 | ) | | | 8,656 | |
Trustees’ and Officer’s fees | | | 62,788 | | | | 128,229 | | | | 169,173 | | | | 36,035 | |
Other accrued expenses | | | (68,468 | ) | | | 53,413 | | | | 4,969 | | | | (5,951 | ) |
Professional fees | | | (11,392 | ) | | | (59,855 | ) | | | 10,716 | | | | (7,492 | ) |
Transfer agent fees | | | (31,786 | ) | | | (52,781 | ) | | | 98,002 | | | | (1,314 | ) |
Variation margin on futures contracts | | | (70,659 | ) | | | (155,728 | ) | | | (130,189 | ) | | | — | |
Variation margin on centrally cleared swaps | | | 453,091 | | | | — | | | | — | | | | — | |
Swap premiums received | | | (574,818 | ) | | | (66,476 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Net cash provided by (used for) operating activities | | | (61,090,757 | ) | | | 148,652,028 | | | | 120,322,402 | | | | 2,529,434 | |
| | | | | | | | | | | | | | | | |
| | | | |
CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES | | | | | | | | | | | | | | | | |
Cash dividends paid to shareholders | | | (47,377,561 | ) | | | (110,248,458 | ) | | | (93,688,878 | ) | | | (17,256,795 | ) |
Payments for bank borrowings | | | — | | | | (607,000,000 | ) | | | — | | | | (140,000,000 | ) |
Net payments on redemption of capital shares | | | — | | | | — | | | | — | | | | (419,729 | ) |
Proceeds from bank borrowings | | | — | | | | 569,000,000 | | | | — | | | | 154,000,000 | |
Increase (decrease) in bank overdraft | | | (89,584 | ) | | | (819,608 | ) | | | — | | | | 30,118 | |
Net borrowing of reverse repurchase agreements | | | 108,522,981 | | | | — | | | | (26,713,550 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Net cash provided by (used for) for financing activities | | | 61,055,836 | | | | (149,068,066 | ) | | | (120,402,428 | ) | | | (3,646,406 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS | | | | | | | | | | | | | | | | |
Cash impact from foreign exchange fluctuations | | | (71,748 | ) | | | (1,295 | ) | | | (5,777 | ) | | | (823 | ) |
| | | | | | | | | | | | | | | | |
| | |
| 130 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Statements of Cash Flows (continued)
Year Ended December 31, 2021
| | | | | | | | | | | | | | | | |
| | | BHK | | | HYT(a) | | | BTZ | | | BGT | |
| |
| | | | |
CASH AND FOREIGN CURRENCY | | | | | | | | | | | | | | | | |
Net decrease in restricted and unrestricted cash and foreign currency | | $ | (106,669 | ) | | $ | (417,333 | ) | | $ | (85,803 | ) | | $ | (1,117,795 | ) |
Restricted and unrestricted cash and foreign currency at beginning of year | | | 12,551,063 | | | | 2,168,516 | | | | 2,623,803 | | | | 2,771,277 | |
| | | | | | | | | | | | | | | | |
| | | | |
Restricted and unrestricted cash and foreign currency at end of year | | $ | 12,444,394 | | | $ | 1,751,183 | | | $ | 2,538,000 | | | $ | 1,653,482 | |
| | | | | | | | | | | | | | | | |
| | | | |
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION | | | | | | | | | | | | | | | | |
Cash paid during the year for interest expense | | $ | 260,682 | | | $ | 5,983,678 | | | $ | 3,058,529 | | | $ | 1,251,392 | |
| | | | | | | | | | | | | | | | |
| | | | |
NON-CASH FINANCING ACTIVITIES | | | | | | | | | | | | | | | | |
Reinvestment of distributions | | $ | 925,044 | | | $ | 3,779,473 | | | $ | 425,778 | | | $ | 106,634 | |
| | | | | | | | | | | | | | | | |
| | | | |
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF YEAR TO THE STATEMENTS OF ASSETS AND LIABILITIES | | | | | | | | | | | | | | | | |
Cash | | $ | 130,090 | | | $ | 1,583,021 | | | $ | — | | | $ | 1,367,482 | |
Cash pledged | | | | | | | | | | | | | | | | |
Collateral — reverse repurchase agreements | | | — | | | | — | | | | 524,000 | | | | — | |
Collateral — exchange-traded options written | | | — | | | | — | | | | 1,200,000 | | | | — | |
Collateral — OTC derivatives | | | 2,850,000 | | | | — | | | | — | | | | — | |
Futures contracts | | | 2,186,970 | | | | 34,000 | | | | 814,000 | | | | — | |
Centrally cleared swaps | | | 6,505,940 | | | | — | | | | — | | | | 286,000 | |
Foreign currency at value | | | 771,394 | | | | 134,162 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | $ | 12,444,394 | | | $ | 1,751,183 | | | $ | 2,538,000 | | | $ | 1,653,482 | |
| | | | | | | | | | | | | | | | |
| (a) | Consolidated Statement of Cash Flows. |
See notes to financial statements.
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BHK | |
| | | Year Ended December 31, | | | Period from 09/01/19
to 12/31/19 | | | Year Ended August 31, | |
| |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | | | | | | |
Net asset value, beginning of period | | $ | 16.45 | | | $ | 15.32 | | | $ | 15.79 | | | $ | 14.08 | | | $ | 14.96 | | | $ | 15.25 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.72 | | | | 0.72 | | | | 0.22 | | | | 0.66 | | | | 0.72 | | | | 0.76 | |
Net realized and unrealized gain (loss) | | | (0.65 | ) | | | 1.24 | | | | (0.36 | ) | | | 1.82 | | | | (0.82 | ) | | | (0.27 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | 0.07 | | | | 1.96 | | | | (0.14 | ) | | | 2.48 | | | | (0.10 | ) | | | 0.49 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.80 | ) | | | (0.64 | ) | | | (0.27 | ) | | | (0.73 | ) | | | (0.78 | ) | | | (0.78 | ) |
From net realized gain | | | (0.25 | ) | | | (0.19 | ) | | | (0.04 | ) | | | (0.04 | ) | | | — | | | | — | |
Return of capital | | | — | | | | — | | | | (0.02 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (1.05 | ) | | | (0.83 | ) | | | (0.33 | ) | | | (0.77 | ) | | | (0.78 | ) | | | (0.78 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, end of period | | $ | 15.47 | | | $ | 16.45 | | | $ | 15.32 | | | $ | 15.79 | | | $ | 14.08 | | | $ | 14.96 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Market price, end of period | | $ | 16.51 | | | $ | 16.30 | | | $ | 14.58 | | | $ | 14.56 | | | $ | 12.85 | | | $ | 14.10 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Return(c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 0.50 | %(d) | | | 13.24 | % | | | (0.75 | )%(e) | | | 18.86 | % | | | (0.24 | )% | | | 3.88 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Based on market price | | | 8.25 | % | | | 17.90 | % | | | 2.43 | %(e) | | | 20.09 | % | | | (3.40 | )% | | | 4.20 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Ratios to Average Net Assets(f) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 0.85 | % | | | 0.91 | % | | | 1.42 | %(g)(h) | | | 1.72 | % | | | 1.60 | % | | | 1.16 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 0.85 | % | | | 0.90 | % | | | 1.42 | %(g) | | | 1.72 | % | | | 1.60 | % | | | 1.16 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed and excluding interest expense | | | 0.81 | % | | | 0.75 | % | | | 0.79 | %(g) | | | 0.77 | % | | | 0.82 | % | | | 0.78 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 4.50 | % | | | 4.52 | % | | | 4.15 | %(g) | | | 4.63 | % | | | 4.99 | % | | | 5.19 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 835,314 | | | $ | 886,970 | | | $ | 826,349 | | | $ | 851,650 | | | $ | 759,385 | | | $ | 806,848 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Borrowings outstanding, end of period (000) | | $ | 405,522 | | | $ | 296,921 | | | $ | 271,749 | | | $ | 273,621 | | | $ | 316,216 | | | $ | 289,078 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate(i) | | | 54 | % | | | 69 | % | | | 21 | % | | | 27 | % | | | 28 | % | | | 32 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (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) | Includes payment from an affiliate, which had no impact on the Fund’s total return. |
| (e) | Aggregate total return. |
| (f) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (h) | 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%. |
| (i) | Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | |
| | | | | Year Ended December 31, | | | Period from 09/01/19
to 12/31/19 | | | Year Ended August 31, | |
| | |
| | | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | | |
| | Portfolio turnover rate (excluding MDRs) | | | 34 | % | | | 55 | % | | | 11 | % | | | 27 | % | | | 28 | % | | | 32 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
| | |
| 132 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | HYT(a) | |
| | | | |
| | | Year Ended December 31, | | | Period from 09/01/19
to 12/31/19 | | | | | | Year Ended August 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | | | | | | |
Net asset value, beginning of period | | $ | 11.95 | | | $ | 11.91 | | | $ | 11.82 | | | | | | | $ | 11.90 | | | $ | 12.22 | | | $ | 11.79 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(b) | | | 0.76 | | | | 0.79 | | | | 0.25 | | | | | | | | 0.79 | | | | 0.83 | | | | 0.85 | |
Net realized and unrealized gain (loss) | | | 0.21 | | | | 0.18 | | | | 0.22 | | | | | | | | (0.01 | ) | | | (0.31 | ) | | | 0.47 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase from investment operations | | | 0.97 | | | | 0.97 | | | | 0.47 | | | | | | | | 0.78 | | | | 0.52 | | | | 1.32 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Distributions(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.80 | ) | | | (0.82 | ) | | | (0.35 | ) | | | | | | | (0.86 | ) | | | (0.84 | ) | | | (0.89 | ) |
Return of capital | | | (0.13 | ) | | | (0.11 | ) | | | (0.03 | ) | | | | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (0.93 | ) | | | (0.93 | ) | | | (0.38 | ) | | | | | | | (0.86 | ) | | | (0.84 | ) | | | (0.89 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net asset value, end of period | | $ | 11.99 | | | $ | 11.95 | | | $ | 11.91 | | | | | | | $ | 11.82 | | | $ | 11.90 | | | $ | 12.22 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Market price, end of period | | $ | 12.34 | | | $ | 11.43 | | | $ | 11.20 | | | | | | | $ | 10.51 | | | $ | 10.70 | | | $ | 11.13 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Return(d) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 8.42 | % | | | 9.57 | % | | | 4.28 | %(e) | | | | | | | 8.06 | % | | | 5.25 | % | | | 12.41 | %(f) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on market price | | | 16.66 | % | | | 11.45 | % | | | 10.28 | %(e) | | | | | | | 6.86 | % | | | 3.91 | % | | | 10.94 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ratios to Average Net Assets(g) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 1.35 | % | | | 1.50 | % | | | 1.92 | %(h)(i) | | | | | | | 2.19 | % | | | 1.99 | % | | | 1.54 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 1.34 | % | | | 1.49 | % | | | 1.92 | %(h) | | | | | | | 2.19 | % | | | 1.99 | % | | | 1.54 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed and excluding interest expense | | | 0.93 | % | | | 0.94 | % | | | 0.93 | %(h) | | | | | | | 0.92 | % | | | 0.94 | % | | | 0.91 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 6.30 | % | | | 7.06 | % | | | 6.39 | %(h) | | | | | | | 6.87 | % | | | 6.88 | % | | | 7.04 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 1,465,171 | | | $ | 1,456,907 | | | $ | 1,451,868 | | | | | | | $ | 1,440,436 | | | $ | 1,482,422 | | | $ | 1,545,622 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Borrowings outstanding, end of period (000) | | $ | 647,000 | | | $ | 685,000 | | | $ | 607,000 | | | | | | | $ | 486,000 | | | $ | 647,000 | | | $ | 649,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset coverage, end of period per $1,000 of bank borrowings | | $ | 3,265 | | | $ | 3,127 | | | $ | 3,392 | | | | | | | $ | 3,965 | | | $ | 3,292 | | | $ | 3,382 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 54 | % | | | 82 | % | | | 20 | % | | | | | | | 64 | % | | | 65 | % | | | 75 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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 Trust’s total return. |
| (g) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (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%. |
See notes to financial statements.
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | BTZ | |
| | | | |
| | | Year Ended December 31, | | | Period from 11/01/19 to
12/31/19 | | | | | | Year Ended October 31, | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | |
| | | | | | | |
Net asset value, beginning of period | | $ | 15.71 | | | $ | 14.97 | | | $ | 14.94 | | | | | | | $ | 13.72 | | | $ | 14.88 | | | $ | 14.61 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.85 | | | | 0.84 | | | | 0.13 | | | | | | | | 0.79 | | | | 0.81 | | | | 0.81 | |
Net realized and unrealized gain (loss) | | | (0.45 | ) | | | 0.91 | | | | 0.15 | | | | | | | | 1.25 | | | | (1.17 | ) | | | 0.30 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | 0.40 | | | | 1.75 | | | | 0.28 | | | | | | | | 2.04 | | | | (0.36 | ) | | | 1.11 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.86 | ) | | | (0.85 | ) | | | (0.23 | ) | | | | | | | (0.79 | ) | | | (0.80 | ) | | | (0.79 | ) |
Return of capital | | | (0.15 | ) | | | (0.16 | ) | | | (0.02 | ) | | | | | | | (0.03 | ) | | | — | | | | (0.05 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (1.01 | ) | | | (1.01 | ) | | | (0.25 | ) | | | | | | | (0.82 | ) | | | (0.80 | ) | | | (0.84 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net asset value, end of period | | $ | 15.10 | | | $ | 15.71 | | | $ | 14.97 | | | | | | | $ | 14.94 | | | $ | 13.72 | | | $ | 14.88 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Market price, end of period | | $ | 15.05 | | | $ | 14.71 | | | $ | 13.98 | | | | | | | $ | 13.55 | | | $ | 11.72 | | | $ | 13.36 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Return(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 2.73 | % | | | 12.78 | % | | | 2.02 | %(d) | | | | | | | 16.17 | % | | | (1.72 | )% | | | 8.53 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on market price | | | 9.36 | % | | | 13.07 | % | | | 5.05 | %(d) | | | | | | | 23.34 | % | | | (6.49 | )% | | | 10.62 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ratios to Average Net Assets(e) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 1.12 | % | | | 1.35 | % | | | 1.68 | %(f)(g) | | | | | | | 2.26 | % | | | 1.82 | % | | | 1.23 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 1.12 | % | | | 1.35 | % | | | 1.68 | %(f)(g) | | | | | | | 2.25 | % | | | 1.82 | % | | | 1.23 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed and excluding interest expense | | | 0.94 | % | | | 0.94 | % | | | 0.92 | %(f) | | | | | | | 1.08 | % | | | 0.94 | % | | | 0.87 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 5.49 | % | | | 5.69 | % | | | 5.29 | %(f) | | | | | | | 5.57 | % | | | 5.69 | % | | | 5.53 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 1,412,147 | | | $ | 1,468,153 | | | $ | 1,554,828 | | | | | | | $ | 1,551,243 | | | $ | 1,439,954 | | | $ | 1,598,034 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Borrowings outstanding, end of period (000) | | $ | 587,017 | | | $ | 614,172 | | | $ | 577,231 | | | | | | | $ | 568,461 | | | $ | 707,102 | | | $ | 477,822 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 20 | % | | | 34 | % | | | 2 | % | | | | | | | 18 | % | | | 30 | % | | | 25 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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 fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (g) | 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.
| | |
| 134 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | BGT | | | | |
| | | | | |
| | | Year Ended December 31, | | | Period from
11/01/19
to 12/31/19 | | | | | | Year Ended October 31, | | | | |
| | | 2021 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | | |
| | | | | | | | |
Net asset value, beginning of period | | $ | 13.40 | | | $ | 14.10 | | | $ | 13.95 | | | | | | | $ | 14.33 | | | $ | 14.49 | | | $ | 14.41 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.65 | | | | 0.66 | | | | 0.12 | | | | | | | | 0.80 | | | | 0.76 | | | | 0.73 | | | | | |
Net realized and unrealized gain (loss) | | | 0.17 | | | | (0.47 | ) | | | 0.26 | | | | | | | | (0.37 | ) | | | (0.21 | ) | | | 0.12 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase from investment operations | | | 0.82 | | | | 0.19 | | | | 0.38 | | | | | | | | 0.43 | | | | 0.55 | | | | 0.85 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.66 | ) | | | (0.69 | ) | | | (0.23 | ) | | | | | | | (0.81 | ) | | | (0.71 | ) | | | (0.77 | ) | | | | |
Return of capital | | | (0.12 | ) | | | (0.20 | ) | | | — | | | | | | | | — | | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (0.78 | ) | | | (0.89 | ) | | | (0.23 | ) | | | | | | | (0.81 | ) | | | (0.71 | ) | | | (0.77 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Net asset value, end of period | | $ | 13.44 | | | $ | 13.40 | | | $ | 14.10 | | | | | | | $ | 13.95 | | | $ | 14.33 | | | $ | 14.49 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Market price, end of period | | $ | 13.99 | | | $ | 11.79 | | | $ | 12.87 | | | | | | | $ | 12.42 | | | $ | 12.72 | | | $ | 14.31 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Total Return(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 6.43 | % | | | 2.83 | % | | | 2.89 | %(d) | | | | | | | 4.00 | % | | | 4.25 | % | | | 6.13 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Based on market price | | | 25.91 | % | | | (0.88 | )% | | | 5.48 | %(d) | | | | | | | 4.31 | % | | | (6.30 | )% | | | 11.21 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Ratios to Average Net Assets(e) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 1.61 | % | | | 1.72 | % | | | 2.11 | %(f) | | | | | | | 2.41 | % | | | 2.29 | % | | | 1.92 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 1.60 | % | | | 1.70 | % | | | 2.11 | %(f) | | | | | | | 2.41 | % | | | 2.29 | % | | | 1.92 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed and excluding interest expense | | | 1.19 | % | | | 1.17 | % | | | 1.28 | %(f) | | | | | | | 1.16 | % | | | 1.21 | % | | | 1.20 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 4.82 | % | | | 5.13 | % | | | 5.23 | %(f) | | | | | | | 5.68 | % | | | 5.27 | % | | | 5.02 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 300,712 | | | $ | 300,126 | | | $ | 323,708 | | | | | | | $ | 321,091 | | | $ | 339,096 | | | $ | 342,890 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Borrowings outstanding, end of period (000) | | $ | 143,000 | | | $ | 129,000 | | | $ | 130,000 | | | | | | | $ | 123,000 | | | $ | 142,000 | | | $ | 150,000 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset coverage, end of period per $1,000 of bank borrowings | | $ | 3,103 | | | $ | 3,327 | | | $ | 3,490 | | | | | | | $ | 3,610 | | | $ | 3,389 | | | $ | 3,287 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 50 | % | | | 65 | % | | | 6 | % | | | | | | | 53 | % | | | 57 | % | | | 63 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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 fees and expenses incurred indirectly as a result of investments in underlying funds. |
See notes to financial statements.
| | |
F I N A N C I A L H I G H L I G H T S | | 135 |
Notes to Financial Statements
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 |
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 open-end non-index fixed-income 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., BLK CYE (Luxembourg) Investments, S.a.r.l. (the “Luxembourg Subsidiaries”) and HYT Subsidiary LLC (Delaware) (the “U.S. Subsidiary”), which are wholly-owned taxable subsidiaries of HYT (collectively, the “Taxable Subsidiaries”). The U.S. Subsidiary enables the Trust to hold investments in operating companies and still satisfy regulated investment company tax requirements. Income earned and gains realized on the investments held by the U.S. Subsidiary are taxable to such subsidiary. The Luxembourg Subsidiaries hold shares of private Canadian companies. Such shares are held in the Taxable Subsidiaries in order to realize benefits under the Double Tax Avoidance Convention between Canada and Luxembourg, the result of which that gains on the sale of such shares will generally not be subject to capital gains taxes in Canada. Income earned on the investments held by the Luxembourg Subsidiaries may be taxable to such subsidiary in Luxembourg. A tax provision for income, if any, is shown as income tax in the Consolidated Statement of Operations for HYT. 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. HYT may invest up to 25% of its total assets in the U.S. Subsidiary. The net assets of the Luxembourg Subsidiaries and U.S. Subsidiary as of period end were $200,929 and $1,351,073, which is 0.0% and 0.1%, respectively, of HYT consolidated net assets. Intercompany accounts and transactions have been eliminated. The Taxable Subsidiaries are subject to the same investment policies and restrictions that apply to the Trust.
| 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 dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Trusts are informed of the ex-dividend dates. 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, and payment-in-kind interest are 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 Trust’s 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: The 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
| | |
| 136 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
“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, 2021, if any, are disclosed in the Statements of Assets and Liabilities.
The Trusts file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Trusts may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Statements of Operations include tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.
Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., 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 investments 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 dates. 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 Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a non-taxable return of capital.
Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s 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 Officer’s 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 Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Trust, which cannot be predicted with any certainty.
Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.
| 3. | | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: Each Trust’s 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 security’s 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 Trust’s assets and liabilities:
| | • | | Equity investments traded on a recognized securities exchange are valued at that day’s 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. |
| | • | | 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. |
| | |
NOTES TO FINANCIAL STATEMENTS | | 137 |
Notes to Financial Statements (continued)
| | • | | Exchange-traded funds (“ETFs”) and closed-end funds traded on a recognized securities exchange are valued at that day’s 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. |
| | • | | Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published NAV. |
| | • | | Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded. |
| | • | | 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 day’s prevailing forward exchange rate for the underlying currencies. |
| | • | | Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments. |
| | • | | Swap agreements are valued utilizing quotes received daily by 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. |
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Trusts use current market factors supplied by independent pricing services to value certain foreign instruments (“Systematic Fair Value Price”). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.
If events (e.g., 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 arm’s-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.
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 |
| |
Market approach | | (i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii) market multiples of comparable issuers |
| |
Income approach | | (i) future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (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 |
| |
Cost approach | | (i) audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii) relevant news and other public sources; and (iv) known secondary market transactions in the Private Company’s 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. Enterprise valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), current value method or a hybrid of those techniques are used as deemed appropriate under the circumstances. The use of these valuation 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:
| | |
| 138 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
| | • | | Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Trust has the ability to access; |
| | • | | Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs); and |
| | • | | 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 Committee’s 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, 2021, certain investments of HYT were fair valued using NAV per share 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 borrower’s 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 fund’s initial investment in the IOs may not fully recoup.
| | |
NOTES TO FINANCIAL STATEMENTS | | 139 |
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 company’s senior debt securities and are freely callable at the issuer’s 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 issuer’s 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 fund’s 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 borrower’s 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 fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a 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, the 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 Operations,
| | |
| 140 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
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
Appreciation
(Depreciation) | |
| |
| | | | | |
BHK | | New Arclin U.S. Holding Corp. | | $ | 16,201 | | | $ | 16,120 | | | $ | 16,164 | | | $ | 44 | |
| | Sovos Compliance, LLC | | | 17,490 | | | | 17,490 | | | | 17,523 | | | | 33 | |
HYT | | Intelsat Jackson Holdings SA | | | 1,012,077 | | | | 1,002,235 | | | | 1,010,498 | | | | 8,263 | |
| | New Arclin U.S. Holding Corp. | | | 129,776 | | | | 129,126 | | | | 129,478 | | | | 352 | |
| | Sovos Compliance, LLC | | | 141,914 | | | | 141,914 | | | | 142,181 | | | | 267 | |
BGT | | CP Iris Holdco I, Inc. | | | 72,634 | | | | 72,634 | | | | 72,452 | | | | (182) | |
| | EyeCare Partners LLC | | | 21,166 | | | | 21,166 | | | | 21,066 | | | | (100) | |
| | Intelsat Jackson Holdings SA | | | 19,336 | | | | 19,148 | | | | 19,306 | | | | 158 | |
| | Medical Solutions LLC | | | 272,567 | | | | 271,398 | | | | 271,984 | | | | 586 | |
| | Precision Medicine Group LLC | | | 96,813 | | | | 96,813 | | | | 95,785 | | | | (1,028) | |
| | Trident TPI Holdings, Inc. | | | 53,060 | | | | 84,769 | | | | 84,623 | | | | (146) | |
| |
Forward Commitments, When-Issued and Delayed Delivery Securities: The 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. The Trusts 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, the Trusts may be required to pay more at settlement than the security is worth. In addition, a fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Trusts assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Trusts’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.
TBA Commitments: TBA commitments are forward agreements for the purchase or sale of securities, including mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.
In order to better define contractual rights and to secure rights that will help a fund mitigate its counterparty risk, TBA commitments may be entered into by a fund under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. The collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a fund, if any, is noted in the Schedules of Investments. Typically, a fund is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund are not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty non-performance.
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, 2021, the average daily amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for the Trusts were as follows:
| | | | | | | | |
| |
| | |
| Trust Name | | Average Amount
Outstanding | | | Weighted Average
Interest Rate | |
| |
| | |
BHK | | $ | 406,681,210 | | | | 0.08% | |
BTZ | | | 589,821,744 | | | | 0.44 | |
| |
| | |
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)
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 counterparty’s 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 BTZ’s 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(a) | | | Net Amount | |
| |
| | | | |
BHK | | | | | | | | | | | | | | | | |
BNP Paribas S.A. | | $ | (217,748,992) | | | $ | 217,748,992 | | | $ | — | | | $ | — | |
Credit Agricole Corporate and Investment Bank | | | (27,442,903) | | | | 27,442,903 | | | | — | | | | — | |
Credit Suisse Securities (USA) LLC | | | (403,462) | | | | 403,462 | | | | — | | | | — | |
HSBC Securities (USA), Inc. | | | (9,173,064) | | | | 9,173,064 | | | | — | | | | — | |
Nomura Securities International, Inc. | | | (88,835,025) | | | | 88,835,025 | | | | — | | | | — | |
RBC Capital Markets LLC | | | (72,626) | | | | 72,626 | | | | — | | | | — | |
Royal Bank of Canada | | | (54,009,505) | | | | 54,009,505 | | | | — | | | | — | |
TD Securities (USA) LLC | | | (7,836,392) | | | | 7,836,392 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | $ | (405,521,969) | | | $ | 405,521,969 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | (a) | Net collateral, including accrued interest, with a value of $410,865,203 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. | |
| | | | | | | | | | | | | | | | |
| |
| | | | |
| Trust Name/Counterparty | | Reverse Repurchase
Agreements | | | Fair Value of
Non-Cash Collateral Pledged
Including Accrued
Interest(a) | | | Cash Collateral Pledged/Received(a) | | | Net Amount | |
| |
BTZ | | | | | | | | | | | | | | | | |
Barclays Capital, Inc. | | $ | (146,464,904) | | | $ | 146,464,904 | | | $ | — | | | $ | — | |
BNP Paribas S.A. | | | (81,309,715) | | | | 81,309,715 | | | | — | | | | — | |
Credit Suisse Securities (USA) LLC | | | (24,635,414) | | | | 24,635,414 | | | | — | | | | — | |
J.P. Morgan Securities LLC | | | (10,593,940) | | | | 10,593,940 | | | | — | | | | — | |
RBC Capital Markets LLC | | | (312,109,367) | | | | 312,109,367 | | | | — | | | | — | |
TD Securities (USA) LLC | | | (11,903,277) | | | | 11,903,277 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | $ | (587,016,617) | | | $ | 587,016,617 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | (a) | Net collateral, including accrued interest, with a value of $658,001,577 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 fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a fund’s 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 contract’s 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)
| | |
| 142 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
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 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 Trust’s 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: The Trusts may 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 — The Trusts may 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 — The Trusts may 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
| | |
NOTES TO FINANCIAL STATEMENTS | | 143 |
Notes to Financial Statements (continued)
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 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 party’s 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.
| | |
| 144 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
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 Trust’s 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 Trust’s managed assets.
| | | | |
| | |
| Trust Name | | Investment
Advisory Fees | |
| |
BHK | | | 0.50 | % |
BTZ | | | 0.62 | |
BGT | | | 0.75 | |
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 HYT’s 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 HYT’s net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage, which includes the assets of the Taxable Subsidiary.
With respect to each Trust, the Manager entered into separate sub-advisory agreements with BlackRock International Limited (“BIL”) and, with respect to BHK and BTZ, BlackRock (Singapore) Limited (“BSL”) (collectively, the “Sub-Advisers”), each an affiliate of the Manager. The Manager pays BIL and BSL for services they provide for that portion of each Trust for which BIL and BSL, 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, 2023. 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, 2021, the amounts waived were as follows:
| | | | |
| | |
| Trust Name | | Fees Waived and/or Reimbursed
by the Manager | |
| |
BHK | | $ | 5,104 | |
HYT | | | 527 | |
BTZ | | | 5,415 | |
BGT | | | 141 | |
The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Trust’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2023. 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. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the year ended December 31, 2021, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:
| | | | |
| | |
| Trust Name | | Fees Waived and/or Reimbursed by the Manager | |
| |
HYT | | $ | 48,395 | |
BGT | | | 24,347 | |
| | |
NOTES TO FINANCIAL STATEMENTS | | 145 |
Notes to Financial Statements (continued)
Trustees and Officers: Certain trustees and/or officers of the Trusts 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, 2021, 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 | | $ | 200,462 | | | $ | 175,418 | | | $ | (40,916 | ) |
| | | |
BTZ | | | 1,177,656 | | | | — | | | | — | |
| |
During the year ended December 31, 2021, BHK received a reimbursement of $415 from an affiliate, which is included in Other income — affiliated in the Statements of Operations, related to an operating event.
For the year ended December 31, 2021, purchases and sales of investments, including paydowns/payups and excluding short-term securities, were as follows:
| | | | | | | | |
| Trust Name | | Purchases | | | Sales | |
| | |
BHK | | $ | 826,064,536 | | | $ | 678,074,373 | |
| | |
HYT | | | 1,147,961,879 | | | | 1,182,410,094 | |
| | |
BTZ | | | 407,382,601 | | | | 453,767,447 | |
| | |
BGT | | | 231,860,478 | | | | 228,821,084 | |
For the year ended December 31, 2021, purchases and sales related to mortgage dollar rolls were as follows:
| | | | | | | | |
| Trust Name | | Purchases | | | Sales | |
BHK | | $ | 248,190,892 | | | $ | 248,750,087 | |
| 8. | | INCOME TAX INFORMATION |
It is each Trust’s 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 Trust’s 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 Trust’s 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, 2021, 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:
| | | | | | | | |
| | | |
| Trust Name | | Year Ended
12/31/21 | | | Year Ended
12/31/20 | |
| | |
BHK | | | | | | | | |
Ordinary income | | $ | 51,529,173 | | | $ | 34,793,265 | |
Long-term capital gains | | | 5,146,673 | | | | 9,714,000 | |
| | | | | | | | |
| | $ | 56,675,846 | | | $ | 44,507,265 | |
| | | | | | | | |
HYT | | | | | | | | |
Ordinary income | | $ | 98,245,910 | | | $ | 100,401,035 | |
Return of capital | | | 15,806,301 | | | | 13,554,877 | |
| | | | | | | | |
| | $ | 114,052,211 | | | $ | 113,955,912 | |
| | | | | | | | |
BTZ | | | | | | | | |
Ordinary income | | $ | 80,320,881 | | | $ | 79,320,638 | |
Return of capital | | | 13,796,133 | | | | 14,794,018 | |
| | | | | | | | |
| | $ | 94,117,014 | | | $ | 94,114,656 | |
| | | | | | | | |
BGT | | | | | | | | |
Ordinary income | | $ | 14,667,710 | | | $ | 15,793,436 | |
Return of capital | | | 2,693,947 | | | | 4,425,207 | |
| | | | | | | | |
| | $ | 17,361,657 | | | $ | 20,218,643 | |
| | | | | | | | |
| | |
| 146 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
As of December 31, 2021, the tax components of accumulated earnings (loss) were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Trust Name | | Undistributed
Long-Term
Capital Gains | | | Non-Expiring
Capital Loss
Carryforwards(a) | | | Net Unrealized
Gains (Losses)(b) | | | Qualified
Late-Year Loss(c) | | | Total | |
| | | | | |
BHK | | $ | 5,704,634 | | | $ | — | | | $ | 74,326,807 | | | $ | — | | | $ | 80,031,441 | |
HYT | | | — | | | | (121,511,509 | ) | | | 36,238,286 | | | | — | | | | (85,273,223 | ) |
BTZ | | | — | | | | (11,269,126 | ) | | | 170,218,633 | | | | — | | | | 158,949,507 | |
BGT | | | — | | | | (24,851,216 | ) | | | (3,064,009 | ) | | | (71,337 | ) | | | (27,986,562 | ) |
| | (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 year. | |
During the year ended December 31, 2021, the Trusts listed below utilized the following amounts of their respective capital loss carryforward:
| | | | |
| | |
| Trust Name | | Amounts | |
| |
HYT | | $ | 58,558,769 | |
BTZ | | | 19,228,660 | |
BGT | | | 3,745,192 | |
As of December 31, 2021, 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:
| | | | | | | | | | | | | | | | |
| Trust Name | | Tax Cost | | | Gross Unrealized
Appreciation | | | Gross Unrealized
Depreciation | | | Net Unrealized
Appreciation
(Depreciation) | |
| | | | |
BHK | | $ | 1,279,131,852 | | | $ | 105,168,575 | | | $ | (30,365,730 | ) | | $ | 74,802,845 | |
HYT | | | 2,057,992,317 | | | | 92,843,233 | | | | (45,173,927 | ) | | | 47,669,306 | |
BTZ | | | 1,803,867,500 | | | | 200,008,564 | | | | (20,864,172 | ) | | | 179,144,392 | |
BGT | | | 451,701,161 | | | | 2,953,124 | | | | (4,256,831 | ) | | | (1,303,707 | ) |
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 and BGT have not received any notice to terminate. HYT and BGT has granted a security interest in substantially all of their assets to SSB.
The SSB Agreement allows for the maximum commitment amounts 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 BGT’s 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). 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, 2021, the maximum amount borrowed, the average daily borrowing and the weighted average interest rates for BGT and HYT for loans under the revolving credit agreements were as follows:
| | | | | | | | | | | | |
| Trust Name | | Maximum
Amount Borrowed | | | Average Amount
Outstanding | | | Daily Weighted Average
Interest Rate | |
| | | |
HYT | | $ | 696,000,000 | | | $ | 647,367,123 | | | | 0.92 | % |
BGT | | | 144,000,000 | | | | 134,068,493 | | | | 0.93 | |
In the normal course of business, the 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;
| | |
NOTES TO FINANCIAL STATEMENTS | | 147 |
Notes to Financial Statements (continued)
(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 Trust’s NAV 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 Trust’s portfolio will decline if each Trust invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Trust portfolio’s 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 issuer’s 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 fund’s 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. 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 Trust’s 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 Trust’s 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 Trust’s 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 Trust’s 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 exchange-traded 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
| | |
| 148 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.
Concentration Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s 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 each Trust’s 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 Kingdom’s Financial Conduct Authority announced a phase out of the LIBOR. Although many LIBOR rates will cease to be published or no longer will be representative of the underlying market they seek to measure after December 31, 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. 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.
| 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.
For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:
| | | | | | | | |
| Trust Name | | Year Ended
12/31/21 | | | Year Ended
12/31/20 | |
BHK | | | | | | | | |
Shares issued from dividend reinvestment | | | 57,910 | | | | — | |
HYT | | | | | | | | |
Shares issued from dividend reinvestment | | | 311,681 | | | | — | |
BTZ | | | | | | | | |
Shares issued from dividend reinvestment | | | 28,104 | | | | — | |
BGT | | | | | | | | |
Shares issued from dividend reinvestment | | | 7,902 | | | | — | |
The Trusts participate in an open market share repurchase program (the “Repurchase Program”). From December 1, 2020 through November 30, 2021, 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, 2020, subject to certain conditions. From December 1, 2021 through November 30, 2022, 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, 2021, subject to certain conditions. There is no assurance that the Trusts will purchase shares in any particular amounts. For the year ended December 31, 2021, 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 | | | Amounts | | | Shares | | | Amounts | |
| | | | |
Year Ended December 31, 2021 | | | — | | | $ | — | | | | 35,289 | | | $ | 419,729 | |
Year Ended December 31, 2020 | | | 10,386,555 | | | | 155,227,064 | | | | 557,488 | | | | 6,057,572 | |
| | |
NOTES TO FINANCIAL STATEMENTS | | 149 |
Notes to Financial Statements (continued)
Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:
The Trusts declared and paid or will pay distributions to Common Shareholders as follows:
| | | | | | | | | | | | | | | | |
| | | | | |
| Trust Name | | Declaration
Date | | | Record
Date | | | Payable/ Paid Date | | | Dividend Per Common Share | |
BHK | | | 12/20/21 | | | | 12/31/21 | | | | 01/11/22 | | | $ | 0.074600 | |
| | | 12/20/21 | | | | 12/31/21 | | | | 01/11/22 | | | | 0.062386 | (a) |
| | | 12/20/21 | | | | 12/31/21 | | | | 01/11/22 | | | | 0.092614 | (b) |
| | | 02/01/22 | | | | 02/15/22 | | | | 02/28/22 | | | | 0.074600 | |
HYT | | | 12/20/21 | | | | 12/31/21 | | | | 01/11/22 | | | | 0.077900 | |
| | | 02/01/22 | | | | 02/15/22 | | | | 02/28/22 | | | | 0.077900 | |
BTZ | | | 12/20/21 | | | | 12/31/21 | | | | 01/11/22 | | | | 0.083900 | |
| | | 02/01/22 | | | | 02/15/22 | | | | 02/28/22 | | | | 0.083900 | |
BGT | | | 12/20/21 | | | | 12/31/21 | | | | 01/11/22 | | | | 0.064700 | |
| | | | 02/01/22 | | | | 02/15/22 | | | | 02/28/22 | | | | 0.064700 | |
| | (a) | Special short-term capital gain distribution. | |
| | (b) | Special long-term capital gain distribution. | |
On February 1, 2022, HYT filed a prospectus with the U.S. Securities and Exchange Commission (“SEC”) allowing it to issue an additional 40,000,000 Common Shares, through an equity shelf program (a “Shelf Offering”). On February 9, 2022, BHK filed a prospectus with the SEC allowing it to issue an additional 15,000,000 Common Shares through a Shelf Offering. Under the Shelf Offerings, each Trust, subject to market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above each Trust’s NAV per Common Share (calculated within 48 hours of pricing).
| | |
| 150 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
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, 2021, the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, 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, 2021, the related consolidated statements of operations and cash flows for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, 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, 2021, and the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, 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 | | Financial Highlights |
| |
BlackRock Core Bond Trust, BlackRock Corporate High Yield Fund, Inc | | For each of the two years in the period ended December 31, 2021, for the period from September 1, 2019 through December 31, 2019, and for each of the three years in the period ended August 31, 2019 |
| |
BlackRock Credit Allocation Income Trust, BlackRock Floating Rate Income Trust | | For each of the two years in the period ended December 31, 2021, for the period from November 1, 2019 through December 31, 2019, and for each of the three 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, 2021, 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 24, 2022
We have served as the auditor of one or more BlackRock investment companies since 1992.
| | |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | | 151 |
Important Tax Information (unaudited)
The following amounts, or maximum amounts allowable by law, are hereby designated as qualified dividend income for individuals for the fiscal year ended December 31, 2021:
| | | | |
| | |
| Trust Name | | Qualified Dividend
Income | |
| |
BHK | | $ | 3,912,107 | |
HYT | | | 3,784,687 | |
BTZ | | | 14,028,758 | |
The Trust hereby designates the following amount, or maximum amount allowable by law, as capital gain dividends, subject to a long-term capital gains tax rate of not greater than 20%, for the fiscal year ended December 31, 2021:
| | | | |
| | |
| Trust Name | | 20% Rate Long-Term
Capital Gain Dividends | |
BHK | | $ | 5,146,673 | |
The Trust hereby designates the following amount, or maximum amount allowable by law, of distributions from direct federal obligation interest for the fiscal year ended December 31, 2021:
| | | | |
| | |
| Trust Name | | Federal Obligation
Interest | |
| |
BHK | | $ | 219,378 | |
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 percentages, or maximum percentages allowable by law, of ordinary income distributions paid during the fiscal year ended December 31, 2021 qualified for the dividends-received deduction for corporate shareholders:
| | | | |
| | |
| Trust Name | | Dividends-Received
Deduction | |
| |
BHK | | | 4.89 | % |
HYT | | | 2.16 | |
BTZ | | | 10.61 | |
The Trusts hereby designate the following amounts, or maximum amounts allowable by law, as interest income eligible to be treated as a Section 163(j) interest dividend for the fiscal year ended December 31, 2021:
| | | | |
| | |
| Trust Name | | Interest Dividend | |
| |
BHK | | $ | 36,771,480 | |
| |
HYT | | | 93,345,371 | |
BTZ | | | 67,072,532 | |
BGT | | | 14,630,249 | |
The Trusts hereby designate the following amounts, or maximum amounts allowable by law, as interest-related dividends and qualified short-term capital gains eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations for the fiscal year ended December 31, 2021:
| | | | | | | | |
| | | |
| Trust Name | | Interest Related Dividends | | | Qualified Short-Term Capital Gains | |
| | |
BHK | | $ | 28,725,191 | | | $ | 8,347,997 | |
| | |
HYT | | | 75,798,878 | | | | — | |
BTZ | | | 52,988,942 | | | | — | |
BGT | | | 11,481,781 | | | | — | |
| | |
| 152 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Investment Objectives, Policies and Risks
Recent Changes
The following information is a summary of certain changes since December 31, 2020. This information may not reflect all of the changes that have occurred since you purchased the relevant Fund.
During each Trust’s most recent fiscal year, there were no material changes in the Trust’s 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 company’s 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 issuer’s 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 Moody’s Investors Service, Inc. (“Moody’s”) 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
| | |
INVESTMENT OBJECTIVES , POLICIES AND RISKS | | 153 |
Investment Objectives, Policies and Risks (continued)
“Manager”) or BlackRock International Limited (“BIL” and together with the Manager, the “Advisors”), the Fund’s sub-advisor, to be of comparable quality. Securities rated Ba by Moody’s 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 Trust’s 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 Moody’s, 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 Advisors 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 Trust’s ability to achieve its investment objective(s) will be more dependent on the Advisors’ credit analysis than would be the case when the Trust invests in rated securities.
Under normal market conditions, up to 50% of the Trust’s 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. “Managed Assets” means the total assets of the Trust (including any assets attributable to money borrowed for investment purposes) minus the sum of the Trust’s accrued liabilities (other than money borrowed for investment purposes). 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 company’s primary business office is not in the United States; (iii) the principal trading market for such company’s assets is not located in the United States; (iv) less than 50% of such company’s assets are located in the United States; or (v) 50% or more of such issuer’s 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 Trust’s total assets, or the Trust’s 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 Advisors determine that they are temporarily unable to follow the Trust’s investment strategy or that it is impractical to do so or pending reinvestment 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 Advisors’ determination that they are temporarily unable to follow the Trust’s 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 Trust’s 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 Advisors currently anticipate 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 Trust’s 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 Advisors seek to use the practices to further the Trust’s 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 Trust’s portfolio, protect the value of the Trust’s 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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Investment Objectives, Policies and Risks (continued)
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 Trust’s 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. “Managed Assets” means the total assets of the Trust (including any assets attributable to money borrowed for investment purposes) minus the sum of the Trust’s accrued liabilities (other than money borrowed for investment purposes).
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 instrument’s expected principal and interest payments. Duration differs from maturity in that it takes into account a security’s 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”) or BlackRock International Limited (“BIL” and together with the Manager, the “Advisors’), the Fund’s sub-advisor. S&P Global Ratings (“S&P”) and Fitch Ratings, Inc ( “Fitch”) consider securities rated below BBB- to be below investment grade and Moody’s Investors Service, Inc. (“Moody’s”) 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 Trust’s 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. “Managed Assets” means the total assets of the Trust (including any assets attributable to money borrowed for investment purposes) minus the sum of the Trust’s accrued liabilities (other than money borrowed for investment purposes).
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 Advisor determine that conditions in the markets make pursuing the Trust’s basic investment strategy inconsistent with the best interests of its shareholders. These strategies may include investing all or a portion of the Trust’s assets in U.S. Government obligations and high-quality, short-term debt securities.
Leverage: The Trust 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.
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Investment Objectives, Policies and Risks (continued)
BlackRock Core Bond Trust (BHK)
The Trust’s 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 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 opinion of BlackRock Advisors, LLC (the “Manager”) and BlackRock International Limited (“BIL”) and BlackRock (Singapore) Limited (“BSL” and collectively with the Manager and BIL, the “Advisors”), the Fund’s sub-advisors, 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 Advisors’ opinion, reflect their true creditworthiness. Undervalued bonds are bonds that, in the opinion of the Advisors, are worth more than the value assigned to them in the marketplace. The Advisors 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 Advisors may purchase those bonds for the Trust’s portfolio because they represent a market sector or issuer that the Advisors consider 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 Trust’s investment in underrated or undervalued bonds will be based on the Advisors’ 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 Moody’s Investors Service, Inc. (“Moody’s”), 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 Advisors. 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 Moody’s, S&P, Fitch or another nationally recognized rating agency or that are unrated but judged to be of comparable quality by the Advisors. 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 issuer’s 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 Advisors 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 Advisors may consider such factors as the Advisors’ 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 Advisors manage the effective duration of the Trust’s portfolio. The target duration of the Trust’s portfolio may change from time to time.
The Advisors may, but are not required to, when consistent with the Trust’s 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 Trust’s portfolio, protect the value of the Trust’s 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 Trust’s 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 Trust’s 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.
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Investment Objectives, Policies and Risks (continued)
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 Advisors 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 Trust’s primary investment objective is to provide shareholders with current income. The Trust’s secondary investment objective is to provide shareholders with capital appreciation. The Trust’s 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”).
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 Moody’s Investor’s Service, Inc. (“Moody’s”), 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”) or BlackRock International Limited (“BIL” and together with the Manager, the “Advisors”), the sub-advisor to the Fund, 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 Advisors 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 Advisors’ 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 Moody’s, CC or lower by S&P or CC or lower by Fitch) unless the Advisors believe 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 Moody’s, CC or lower by S&P or CC or lower by Fitch) or, if unrated, are considered by the Advisors 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 Moody’s, BB or lower by S&P or BB or lower by Fitch) or, if unrated, are considered by the Advisors 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 Moody’s, BB or lower by S&P or BB or lower by Fitch) or, if unrated, are considered by the Advisors 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 Trust’s 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
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Investment Objectives, Policies and Risks (continued)
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 Trust’s 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.
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 Trust’s 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 Trust’s 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 Trust’s 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 Trust’s net asset value could decrease as a result of its investment activities. At any point in time an investment in the Trust’s 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 Trust’s 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.
| | • | | 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. |
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 Trust’s 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 Trust’s investments will not affect interest income derived from instruments already owned by the Trust, but will be reflected in the Trust’s 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
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.
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.
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 Trust’s performance.
| | • | | 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 issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Trust’s investment in that issuer. The degree of credit risk depends on both the financial condition of the issuer and the terms of the obligation. |
| | • | | 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. |
| | • | | 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
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Investment Objectives, Policies and Risks (continued)
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 a senior loan may decline in value or become illiquid, which would adversely affect the senior loan’s 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 borrower’s 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 Trust’s 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 CDO’s manager may perform poorly.
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INVESTMENT OBJECTIVES , POLICIES AND RISKS | | 159 |
Investment Objectives, Policies and Risks (continued)
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 holder’s 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:
| | • | | 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. |
| | • | | Changes in foreign currency exchange rates can affect the value of the Trust’s portfolio. |
| | • | | 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. |
| | • | | The governments of certain countries, or the U.S. Government with respect to certain countries, may prohibit or impose substantial restrictions through capital controls and/or sanctions on foreign investments in the capital markets or certain industries in those countries, which may prohibit or restrict the ability to own or transfer currency, securities, derivatives or other assets. |
| | • | | 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. |
| | • | | 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. |
| | • | | The Trust’s 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 Trust’s net asset value for such refunds may be written down partially or in full, which will adversely affect the Trust’s 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 entity’s 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 company’s 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 company’s 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 company’s 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 issuer’s credit rating or the market’s perception of the issuer’s 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 Trust’s use of derivatives may increase its costs, reduce the Fund’s returns and/or increase volatility. Derivatives involve significant risks, including:
| | • | | 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 Fund’s use of derivatives is that the fluctuations in their values may not correlate with the overall securities markets. |
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| 160 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Investment Objectives, Policies and Risks (continued)
| • | | 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. |
| • | | 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. |
| • | | 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. |
| • | | Hedging Risk — Hedges are sometimes subject to imperfect matching between the derivative and the underlying security, and there can be no assurance that the Trust’s hedging transactions will be effective. The use of hedging may result in certain adverse tax consequences. |
| • | | 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. |
| • | | 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 1940 Act, treat derivatives as senior securities 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 note’s 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 Trust’s 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:
| | • | | the likelihood of greater volatility of net asset value, market price and dividend rate of the common shares than a comparable portfolio without leverage; • 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; |
| | • | | 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; |
| | • | | leverage may increase operating costs, which may reduce total return. |
Any decline in the net asset value of the Trust’s investments will be borne entirely by the holders of common shares. Therefore, if the market value of the Trust’s 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
| | |
I N V E S T M E N T O B J E C T I V E S , P O L I C I E S A N D R I S K S | | 161 |
Investment Objectives, Policies and Risks (continued)
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 Trust’s net asset 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.
Securities Lending Risk (BTZ): Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the Trust may lose money and there may be a delay in recovering the loaned securities. The Trust could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. These events could trigger adverse tax consequences for the Trust.
Investment Companies and ETFs Risk (BHK and HYT): Subject to the limitations set forth in the 1940 Act and the rules thereunder, 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 entity’s 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 Trust’s 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.
A recent outbreak of an infectious coronavirus has developed into a global pandemic that has resulted in numerous disruptions in the market and has had significant economic impact leaving general concern and uncertainty. The impact of this coronavirus, and other epidemics and pandemics that may arise in the future, could affect the economies of many nations, individual companies and the market in general ways that cannot necessarily be foreseen at the present time.
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| 162 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Automatic Dividend Reinvestment Plan
Pursuant to BHK, HYT, BTZ and BGT’s 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 Trust’s 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 Trust’s primary exchange (“open-market purchases”). If, on the dividend payment date, the net asset value (“NAV”) per share 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 participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the 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 Agent’s 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 Agent’s 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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AUTOMATIC DIVIDEND REINVESTMENT PLAN | | 163 |
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
Registered Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen | | Public Company
and Other
Investment
Company
Directorships Held
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. | | 73 RICs consisting of 102 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. | | 73 RICs consisting of 102 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. | | 73 RICs consisting of 102 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. | | 73 RICs consisting of 102 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 Yale’s 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; Adjunct Professor of Finance, Carnegie Mellon University in fall 2020 semester. | | 75 RICs consisting of 104 Portfolios | | None |
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| 164 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
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 |
| | | | |
Lorenzo A. Flores 1964 | | Trustee (Since 2021) | | Vice Chairman, Kioxia, Inc. since 2019; Chief Financial Officer, Xilinx, Inc. from 2016 to 2019; Corporate Controller, Xilinx, Inc. from 2008 to 2016. | | 73 RICs consisting of 102 Portfolios | | None |
| | | | |
Stayce D. Harris 1959 | | Trustee (Since 2021) | | Lieutenant General, Inspector General, Office of the Secretary of the United States Air Force from 2017 to 2019; Lieutenant General, Assistant Vice Chief of Staff and Director, Air Staff, United States Air Force from 2016 to 2017; Major General, Commander, 22nd Air Force, AFRC, Dobbins Air Reserve Base, Georgia from 2014 to 2016; Pilot, United Airlines from 1990 to 2020. | | 73 RICs consisting of 102 Portfolios | | The Boeing Company since 2021. |
| | | | |
J. Phillip Holloman 1955 | | Trustee (Since 2021) | | President and Chief Operating Officer, Cintas Corporation from 2008 to 2018. | | 73 RICs consisting of 102 Portfolios | | PulteGroup, Inc. (home construction); Rockwell Automation Inc. (industrial automation). |
| | | | |
R. Glenn Hubbard 1958 | | Trustee (Since 2007) | | Dean, Columbia Business School from 2004 to 2019; Faculty member, Columbia Business School since 1988. | | 73 RICs consisting of 102 Portfolios | | ADP (data and information services) 2004-2020; 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. | | 75 RICs consisting of 104 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. | | 75 RICs consisting of 104 Portfolios | | None |
| | |
TRUSTEE AND OFFICER INFORMATION | | 165 |
Trustee and Officer Information (continued)
| | | | | | | | |
| 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 BlackRock’s Global Executive and Global Operating Committees; Co-Chair of BlackRock’s Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock’s 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 BlackRock’s Retail and iShares® businesses from 2012 to 2016. | | 103 RICs consisting of 261 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. | | 105 RICs consisting of 263 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 Trust’s 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 Trust’s 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. |
| (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 and BlackRock Private Investments 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. |
| | |
| 166 | | 2 0 2 1 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Trustee and Officer Information (continued)
| | | | |
| 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. |
Trent Walker 1974 | | Chief Financial Officer
(Since 2021) | | Managing Director of BlackRock, Inc. since September 2019; Executive Vice President of PIMCO from 2016 to 2019; Senior Vice President of PIMCO from 2008 to 2015; Treasurer from 2013 to 2019 and Assistant Treasurer from 2007 to 2017 of PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, 2 PIMCO-sponsored interval funds and 21 PIMCO-sponsored closed-end funds. |
| | |
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. |
| | |
| | |
| | | Effective June 10, 2021, Stayce D. Harris and J. Phillip Holloman were each appointed to serve as a Trustee of the Trusts. Effective July 30, 2021, Lorenzo A. Flores was appointed to serve as a Trustee of the Trusts. Effective December 31, 2021, Richard E. Cavanagh and Michael J. Castellano retired as Trustees of the Trusts. Effective October 1, 2021, BTZ’s portfolio managers are Jeff Cucunato, Mitch Garfin and Charley Hung. Mr. Hung has been a Director of BlackRock since 2013. |
| | |
T R U S T E E A N D O F F I C E R I N F O R M A T I O N | | 167 |
Additional Information
Proxy Results
The Annual Meeting of Shareholders was held on July 29, 2021 for shareholders of record on June 1, 2021, to elect trustee nominees for each Trust. There were no broker non-votes with regard to any of the Trusts.
Shareholders elected the Class II Trustees as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Trust Name | | J. Phillip Holloman | | | Catherine A. Lynch | | | Karen P. Robards | | | Frank J. Fabozzi | |
| | Votes For | | | Votes Withheld | | | Votes For | | | Votes Withheld | | | Votes For | | | Votes Withheld | | | Votes For | | | Votes Withheld | |
BHK | | | 42,358,603 | | | | 565,435 | | | | 39,699,158 | | | | 3,224,880 | | | | 39,618,323 | | | | 3,305,716 | | | | 38,368,242 | | | | 4,555,797 | |
BTZ | | | 73,903,488 | | | | 889,700 | | | | 67,886,789 | | | | 6,906,399 | | | | 67,831,365 | | | | 6,961,823 | | | | 66,354,048 | | | | 8,439,140 | |
BGT | | | 15,244,797 | | | | 1,067,878 | | | | 15,202,197 | | | | 1,110,478 | | | | 15,214,307 | | | | 1,098,368 | | | | 15,188,554 | | | | 1,124,121 | |
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 Michael J. Castellano, Richard E. Cavanagh, Cynthia L. Egan, Robert Fairbairn, Stayce Harris, R. Glenn Hubbard, John M. Perlowski and W. Carl Kester. Lorenzo A. Flores was appointed as a Trustee effective July 30, 2021.
Shareholders elected the Class II Trustees as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Trust Name | | R. Glenn Hubbard | | | W. Carl Kester | | | John M. Perlowski | | | Karen P. Robards | |
| | Votes For | | | Votes Withheld | | | Votes For | | | Votes Withheld | | | Votes For | | | Votes Withheld | | | Votes For | | | Votes Withheld | |
HYT | | | 69,696,408 | | | | 18,867,168 | | | | 86,648,297 | | | | 1,915,279 | | | | 86,804,458 | | | | 1,759,118 | | | | 69,955,338 | | | | 18,608,238 | |
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 Michael J. Castellano, Richard E. Cavanagh, Cynthia L. Egan, Robert Fairbairn, Stayce Harris, J. Phillip Holloman, Catherine A. Lynch and Frank J. Fabozzi. Lorenzo A. Flores was appointed as a Trustee effective July 30, 2021.
Trust Certification
The Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts filed with the SEC the certification of its chief executive officer and chief financial officer required by Section 302 of the Sarbanes-Oxley Act.
Regulation Regarding Derivatives
On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted 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 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 1940 Act, treat derivatives as senior securities 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 Trust’s 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 Trust’s 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 Trust’s 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 Trust’s long-term performance, there is no guarantee that such results will be achieved.
Dividend Policy
Each Trust’s 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 Trust’s annual report to shareholders. Distributions can be characterized as ordinary income, capital gains and/or return of capital. Each Trust’s 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 Trust’s current and accumulated earnings and profits, the excess may be treated as a non-taxable return of capital.
| | |
| 168 | | 2 0 2 1 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 |
Additional Information (continued)
Dividend Policy (continued)
A return of capital is a return of a portion of an investor’s original investment. A return of capital is not expected to be taxable, but it reduces a shareholder’s 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 Trust’s total return performance. When total distributions exceed total return performance for the period, the difference reduces the Trust’s total assets and net asset value (“NAV”) per share and, therefore, could have the effect of increasing the Trust’s 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 Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.
The following information is a summary of certain changes since December 31, 2020. This information may not reflect all of the changes that have occurred since you purchased the relevant Trust.
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 BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s 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 BlackRock’s website in this report.
Electronic Delivery
Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s 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 schedules 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 SEC’s 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.
Availability of Proxy Voting Policies, Procedures and Voting Records
A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities and 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 without charge, upon request (1) by calling (800) 882-0052; (2) on the BlackRock website at blackrock.com; and (3) on the SEC’s website at sec.gov.
| | |
A D D I T I O N A L I N F O R M A T I O N | | 169 |
Additional Information (continued)
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 BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.
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.
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 |
| | |
| 170 | | 2 0 2 1 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 |
Glossary of Terms Used in this Report
| | |
| Currency Abbreviation |
| |
| CAD | | Canadian Dollar |
| |
| EUR | | Euro |
| |
| GBP | | British Pound |
| |
| USD | | United States Dollar |
| | |
| Portfolio Abbreviation |
| |
| AGM | | Assured Guaranty Municipal Corp. |
| |
| BAB | | Build America Bond |
| |
| CAB | | Capital Appreciation Bonds |
| |
| CLO | | Collateralized Loan Obligation |
| |
| CMT | | Constant Maturity Treasury |
| |
| 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 |
| |
| PCL | | Public Company Limited |
| |
| PIK | | Payment-in-Kind |
| |
| RB | | Revenue Bond |
| |
| REIT | | Real Estate Investment Trust |
| |
| SOFR | | Secured Overnight Financing Rate |
| |
| SPDR | | Standard & Poor’s Depository Receipt |
| |
| TBA | | To-Be-Announced |
| | |
GLOSSARY OF TERMS USED IN THIS REPORT | | 171 |
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-12/21-AR
(b) Not Applicable
| Item 2 – | Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, the code of ethics was amended to update certain information and to make other non-material changes. During the period covered by this report, there have been no waivers granted under the code of ethics. The registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, who calls 1-800-882-0052, option 4. |
| Item 3 – | Audit Committee Financial Expert – The registrant’s 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: |
Frank J. Fabozzi
Lorenzo A. Flores
Catherine A. Lynch
Karen P. Robards
The registrant’s 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
End | | Current
Fiscal Year
End | | Previous
Fiscal Year
End | | Current
Fiscal Year
End | | Previous
Fiscal Year
End | | Current
Fiscal Year
End | | Previous
Fiscal Year
End |
| BlackRock Floating Rate Income Trust | | $69,286 | | $72,828 | | $207 | | $0 | | $14,100 | | $14,100 | | $0 | | $0 |
The following table presents fees billed by D&T that were required to be approved by the registrant’s 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 End |
(b) Audit-Related Fees1 | | $0 | | $0 |
(c) Tax Fees2 | | $0 | | $0 |
(d) All Other Fees3 | | $2,032,000 | | $1,984,000 |
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.
3 Non-audit fees of $2,032,000 and $1,984,000 for the current fiscal year and previous fiscal year, respectively, were paid to the Fund’s 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 SEC’s 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.
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
3
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 End |
BlackRock Floating Rate Income Trust | | $14,307 | | $14,100 |
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 End |
$2,032,000 | | $1,984,000 |
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 accountant’s independence.
| Item 5 – | Audit Committee of Listed Registrant |
| | (a) | The following individuals are members of the registrant’s 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)): |
Frank J. Fabozzi
Lorenzo A. Flores
J. Phillip Holloman
Catherine A. Lynch
Karen P. Robards
4
(b) Not Applicable
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) 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 Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s 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 Fund’s 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 Adviser’s 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 Adviser’s 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 Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL, a copy of the Fund’s Global Corporate Governance & Engagement Principles are attached as Exhibit 99.GLOBAL.CORP.GOV and a copy of the Fund’s 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 SEC’s 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 James E. Keenan, Managing Director at BlackRock, David Delbos, Managing Director at BlackRock, Mitchell S. Garfin, Managing Director at BlackRock, Carly Wilson, Managing Director at BlackRock and Abigail Apistolas, Director at Blackrock. Messrs. Keenan, Delbos and Garfin and Mses. Wilson and Apistolas are the Fund’s co-portfolio managers and are responsible for the day-to-day management of the Fund’s portfolio and the selection of its investments. Mr. Keenan has been a member of the Fund’s management team since 2007. Messrs. Delbos and Garfin and Mses. Wilson and Apistolas have been members of the Fund’s management team since 2018.
5
| | |
| 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; Vice President of BlackRock, Inc. from 2004 to 2005. |
| David Delbos | | Managing Director of BlackRock, Inc. since 2012; Director of BlackRock, Inc. from 2007 to 2011; Vice President of BlackRock, Inc. from 2005 to 2006. |
| Mitchell S. Garfin | | Managing Director of BlackRock, Inc. since 2009; Director of BlackRock, Inc. from 2005 to 2008. |
| Carly Wilson | | Managing Director of BlackRock, Inc. since 2019; Director of BlackRock, Inc. from 2016 to 2018; Vice President of BlackRock, Inc. from 2011 to 2015; Associate at BlackRock, Inc. from 2009 to 2010; Associate at R3 Capital Partners from 2008 to 2009; Associate at Lehman Brothers from 2004 to 2008. |
| Abigail Apistolas | | Director of BlackRock, Inc. since 2022; Vice President of BlackRock, Inc. from 2019 to 2021; Associate of BlackRock, Inc. from 2016 to 2018; Associate at Morgan Stanley from 2012 to 2016; Analyst at Morgan Stanley from 2012 to 2014. |
(a)(2) As of December 31, 2021:
| | | | | | | | | | | | |
| | | (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 | | 28 | | 35 | | 19 | | 0 | | 0 | | 5 |
| | | $44.03 Billion | | $16.41 Billion | | $10.46 Billion | | $0 | | $0 | | $1.23 Billion |
David Delbos | | 31 | | 25 | | 61 | | 0 | | 0 | | 5 |
| | | $41.67 Billion | | $15.82 Billion | | $17.55 Billion | | $0 | | $0 | | $1.03 Billion |
Mitchell S. Garfin | | 27 | | 27 | | 61 | | 0 | | 0 | | 5 |
| | | $45.92 Billion | | $15.54 Billion | | $16.87 Billion | | $0 | | $0 | | $1.03 Billion |
Carly Wilson | | 15 | | 13 | | 8 | | 0 | | 0 | | 0 |
| | | $11.73 Billion | | $2.38 Billion | | $729.3 Million | | $0 | | $0 | | $0 |
Abigail Apistolas | | 13 | | 11 | | 11 | | 0 | | 0 | | 0 |
| | | $11.93 Billion | | $2.41 Billion | | $1.54 Billion | | $0 | | $0 | | $0 |
(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
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clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or 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, Delbos and Garfin and Mses. Wilson and Apistolas 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, Delbos and Garfin and Mses. Wilson and Apistolas 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, 2021:
Portfolio Manager Compensation Overview
The discussion below describes the portfolio managers’ compensation as of December 31, 2021.
BlackRock’s 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.
Discretionary Incentive Compensation
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Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s 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, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s 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 Keenan David Delbos Mitchell S. Garfin | | A combination of market-based indices (e.g., The Bloomberg U.S. Corporate High Yield 2% Issuer Cap Index), certain customized indices and certain fund industry peer groups. |
| Carly Wilson | | A combination of market-based indices (e.g. ICE BofA 3-Month U.S. Treasury Bill Index). |
| Abigail Apistolas | | A combination of market-based indices (e.g., S&P Leveraged All Loan 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 BlackRock’s 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 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.
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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 ($290,000 for 2021). 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, 2021.
| | |
| Portfolio Manager | | Dollar Range of Equity Securities of the Fund
Beneficially Owned |
James E. Keenan | | [$50,001 - $100,000 |
David Delbos | | None |
Mitchell S. Garfin | | None |
Carly Wilson | | None |
Abigail Apistolas | | $1 - $10,000] |
(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 registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
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(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
| Item 12 – | 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) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable
(a)(4) Change in Registrant’s independent public accountant – Not Applicable
(b) Section 906 Certifications are attached
(c) Notices to the registrant’s common shareholders in accordance with the order under Section 6(c) of the 1940 Act granting an exemption from Section 19(b) of the 1940 Act and Rule 19b-1 under the 1940 Act, dated May 9, 20091
| | |
| | |
| | 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 Fund’s 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. |
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Floating Rate Income Trust
| | | | |
| | By: | | /s/ John M. Perlowski |
| | | | John M. Perlowski |
| | | | Chief Executive Officer (principal executive officer) of |
| | | | BlackRock Floating Rate Income Trust |
Date: February 24, 2022
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 Floating Rate Income Trust |
Date: February 24, 2022
| | | | |
| | By: | | /s/ Trent Walker |
| | | | Trent Walker |
| | | | Chief Financial Officer (principal financial officer) of |
| | | | BlackRock Floating Rate Income Trust |
Date: February 24, 2022
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