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: 811-21972
| Name of Fund: | | BlackRock Credit Allocation Income Trust (BTZ) |
| Fund Address: | | 100 Bellevue Parkway, Wilmington, DE 19809 |
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Credit Allocation Income Trust, 50 Hudson Yards, New York, NY 10001
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 12/31/2023
Date of reporting period: 12/31/2023
Item 1 – Report to Stockholders
(a) The Report to Shareholders is attached herewith.
| | |
| | DECEMBER 31, 2023 |
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 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 the 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, 2023
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 | | $ | 0.538765 | | | $ | — | | | $ | — | | | $ | 0.356435 | | | $ | 0.895200 | | | | 60 | % | | | — | % | | | — | % | | | 40 | % | | | 100 | % |
HYT | | | 0.680896 | | | | — | | | | — | | | | 0.253904 | | | | 0.934800 | | | | 73 | | | | — | | | | — | | | | 27 | | | | 100 | |
BTZ | | | 0.629857 | | | | — | | | | — | | | | 0.376943 | | | | 1.006800 | | | | 63 | | | | — | | | | — | | | | 37 | | | | 100 | |
BGT | | | 1.236255 | | | | — | | | | — | | | | 0.046605 | | | | 1.282860 | | | | 96 | | | | — | | | | — | | | | 4 | | | | 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.
Managed Distribution Plan
The Trusts, each with the approval of its Board of Trustees (the “Board”), has 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.
| | | | |
| | |
| Trust Name | | Amount Per
Common Share | |
BHK | | $ | 0.074600 | |
HYT | | | 0.077900 | |
BTZ | | | 0.083900 | |
BGT | | | 0.120280 | |
The fixed amounts distributed per share are subject to change at the discretion of each Trust’s Board. Each Trust is currently not relying on any exemptive relief from Section 19(b) of the Investment Company Act of 1940, as amended (the “1940 Act”). Under its Plan, a Trust will distribute all available investment income to its shareholders as required by the Internal Revenue Code of 1986, as amended (the “Code”). If sufficient income (inclusive of net investment income and short-term capital gains) is not earned on a monthly basis, a Trust 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, a 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 1940 Act.
Shareholders should not draw any conclusions about a 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.
Each Trust’s 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. Each Trust is subject to risks that could have an adverse impact on its 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. Please refer to BHK’s, HYT’s and BGT’s prospectus for a more complete description of a Trust’s risks.
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| 2 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
The Markets in Review
Dear Shareholder,
The combination of continued economic growth and cooling inflation provided a supportive backdrop for investors during the 12-month reporting period ended December 31, 2023. Significantly tighter monetary policy helped to rein in inflation, and the Consumer Price Index decelerated substantially in the first half of the year before stalling between 3% and 4% in the second half. A moderating labor market helped ease inflationary pressure, although wages continued to grow. Wage and job growth powered robust consumer spending, backstopping the economy. On October 7, 2023, Hamas launched a horrific attack on Israel. The ensuing war will have a significant humanitarian impact and could lead to heightened economic and market volatility. We see geopolitics as a structural market risk going forward. See our geopolitical risk dashboard at blackrock.com for more details.
Equity returns were robust during the period, as interest rates stabilized and the economy proved to be more resilient than many investors expected. The U.S. economy continued to show strength, and growth further accelerated in the third quarter of 2023. Large-capitalization U.S. stocks posted particularly substantial gains, supported by the performance of a few notable technology companies and small-capitalization U.S. stocks also advanced. Meanwhile, international developed market equities and emerging market stocks posted solid gains.
The 10-year U.S. Treasury yield ended 2023 where it began despite an eventful year that saw significant moves in bond markets. Overall, U.S. Treasuries gained as investors began to anticipate looser financial conditions. The corporate bond market benefited from improving economic sentiment, although high-yield corporate bond prices fared significantly better than investment-grade bonds as demand from yield-seeking investors remained strong.
The U.S. Federal Reserve (the “Fed”), attempting to manage persistent inflation, raised interest rates four times during the 12-month period, but paused its tightening in the second half of the period. The Fed also wound down its bond-buying programs and incrementally reduced its balance sheet by not replacing securities that reach maturity.
Supply constraints appear to have become an embedded feature of the new macroeconomic environment, making it difficult for developed economies to increase production without sparking higher inflation. Geopolitical fragmentation and an aging population risk further exacerbating these constraints, keeping the labor market tight and wage growth high. Although the Fed has stopped tightening for now, we believe that the new economic regime means that the Fed will need to maintain high rates for an extended period despite the market’s hopes for interest rate cuts, as reflected in the recent rally. In this new regime, we anticipate greater volatility and dispersion of returns, creating more opportunities for selective portfolio management.
We believe developed market equities have priced in an optimistic scenario for rate cuts, which we view as premature, so we prefer an underweight stance in the near term. Nevertheless, we are overweight on Japanese stocks as shareholder-friendly policies generate increased investor interest. We also believe that stocks with an AI tilt should benefit from an investment cycle that is set to support revenues and margins. In credit, there are selective opportunities in the near term despite tighter credit and financial conditions. For fixed income investing with a six- to twelve-month horizon, we see the most attractive investments in short-term U.S. Treasuries, U.S. mortgage-backed securities, and hard-currency emerging market bonds.
Overall, our view is that investors need to think globally, position themselves to be prepared for a decarbonizing economy, 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, 2023 | |
| | | 6-Month | | 12-Month | |
U.S. large cap equities
(S&P 500® Index) | | 8.04% | | | 26.29 | % |
U.S. small cap equities
(Russell 2000® Index) | | 8.18 | | | 16.93 | |
International equities
(MSCI Europe, Australasia, Far East Index) | | 5.88 | | | 18.24 | |
Emerging market equities
(MSCI Emerging Markets Index) | | 4.71 | | | 9.83 | |
3-month Treasury bills
(ICE BofA 3-Month U.S. Treasury Bill Index) | | 2.70 | | | 5.02 | |
U.S. Treasury securities
(ICE BofA 10-Year U.S. Treasury Index) | | 1.11 | | | 2.83 | |
U.S. investment grade bonds
(Bloomberg U.S. Aggregate Bond Index) | | 3.37 | | | 5.53 | |
Tax-exempt municipal bonds
(Bloomberg Municipal Bond Index) | | 3.63 | | | 6.40 | |
U.S. high yield bonds
(Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index) | | 7.65 | | | 13.44 | |
|
Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | |
| | |
THIS PAGE IS NOT PART OF YOUR FUND REPORT | | 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 respective 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 the Trusts’ investment adviser will be higher than if the Trusts did not use leverage.
Each Trust may utilize leverage through a credit facility or reverse repurchase agreements as described in the Notes to Financial Statements, if applicable.
Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Trust is permitted to borrow money (including through the use of TOB Trusts) or issue debt securities 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.
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. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Trusts must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. 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, 2023 | | 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 (“S&P”), 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 total 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, 2023 ($10.91)(a) | | 8.21% |
Current Monthly Distribution per Common Share(b) | | $ 0.074600 |
Current Annualized Distribution per Common Share(b) | | $ 0.895200 |
Leverage as of December 31, 2023(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. 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
| | | | | | | | | | | | | | | | | | | | |
| | | 12/31/23 | | | 12/31/22 | | | Change | | | High | | | Low | |
Closing Market Price | | | $ 10.91 | | | | $ 10.38 | | | | 5.11 | % | | | $ 11.68 | | | | $ 9.14 | |
Net Asset Value | | | 11.02 | | | | 10.89 | | | | 1.19 | | | | 11.77 | | | | 9.61 | |
GROWTH OF $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 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 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Trust Summary as of December 31, 2023 (continued) | | BlackRock Core Bond Trust (BHK) |
Performance
Returns for the period ended December 31, 2023 were as follows:
| | | | | | | | | | | | |
| | | Average Annual Total Returns | |
| | | 1 Year | | | 5 Years | | | 10 Years | |
Trust at NAV(a)(b) | | | 10.12 | % | | | 2.64 | % | | | 4.16 | % |
Trust at Market Price(a)(b) | | | 14.38 | | | | 4.46 | | | | 5.00 | |
Bloomberg U.S. Credit Index | | | 8.18 | | | | 2.45 | | | | 2.83 | |
Reference Benchmark(c) | | | 7.88 | | | | 2.26 | | | | 3.07 | |
Bloomberg U.S. Long Government/Credit Index(d) | | | 7.13 | | | | 1.12 | | | | 3.22 | |
Bloomberg Intermediate Credit Index(e) | | | 6.94 | | | | 2.44 | | | | 2.46 | |
Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index(f) | | | 13.44 | | | | 5.35 | | | | 4.59 | |
Bloomberg CMBS, Eligible for U.S. Aggregate Index(g) | | | 5.42 | | | | 1.68 | | | | 2.06 | |
Bloomberg MBS Index(h) | | | 5.05 | | | | 0.25 | | | | 1.38 | |
Bloomberg ABS Index(i) | | | 5.54 | | | | 1.92 | | | | 1.81 | |
| | (a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage, if any. | |
| | (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. 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) | An unmanaged index that 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) | An unmanaged index that 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) | An unmanaged index comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index. | |
| | (g) | An unmanaged index that is the CMBS component of the Bloomberg U.S. Aggregate Index. | |
| | (h) | An unmanaged index that 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) | 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?
Exposure to credit-oriented sectors including high yield corporate bonds, investment grade corporate bonds and collateralized loan obligations contributed to the Trust’s performance over the period. Holdings of agency mortgage-backed securities (“MBS”) also proved additive.
Derivatives were 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. The Trust’s use of derivatives detracted from performance during the period.
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 Trust continued to favor agency MBS as a high-quality source of income as well as due to more attractive valuations driven by the spike in interest rate volatility in March 2023 and MBS selling by regional banks. In the fourth quarter of 2023, the Trust reduced the agency MBS allocation in order to take profits after a period of strong performance. The Trust reduced exposure to subordinated bank debt on concerns over pressures on the banking sector. Instead, the Trust maintained its maximum allocation of 25% to high yield bonds given solid U.S. corporate fundamentals.
Describe portfolio positioning at period end.
At period end, the Trust maintained diversified exposure across non-government spread sectors, including investment grade and high yield corporate bonds, commercial mortgage-backed securities, asset-backed securities and, to a lesser degree, non-agency MBS. The Trust also held exposure to government-related sectors such as U.S. Treasuries, agency debt and agency MBS.
| | |
| Trust Summary as of December 31, 2023 (continued) | | BlackRock Core Bond Trust (BHK) |
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
Overview of the Trust’s Total Investments
PORTFOLIO COMPOSITION
| | | | |
| Asset Type(a) | | Percentage of
Total Investments | |
Corporate Bonds | | | 44.1 | % |
U.S. Government Sponsored Agency Securities | | | 14.3 | |
U.S. Treasury Obligations | | | 12.1 | |
Asset-Backed Securities | | | 10.2 | |
Non-Agency Mortgage-Backed Securities | | | 9.3 | |
Preferred Securities | | | 5.0 | |
Municipal Bonds | | | 2.3 | |
Floating Rate Loan Interests | | | 1.5 | |
Foreign Agency Obligations | | | 1.2 | |
CREDIT QUALITY ALLOCATION
| | | | |
| Credit Rating(a)(b) | | Percentage of
Total Investments | |
AAA/Aaa(c) | | | 35.3 | % |
AA/Aa | | | 4.0 | |
A | | | 12.4 | |
BBB/Baa | | | 19.5 | |
BB/Ba | | | 11.0 | |
B | | | 9.8 | |
CCC/Caa | | | 2.3 | |
CC | | | 0.2 | |
C | | | — | (d) |
N/R(e) | | | 5.5 | |
| (a) | Excludes short-term securities. |
| (b) | 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. |
| (c) | 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. |
| (d) | Rounds to less than 0.1% of total investments. |
| (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, 2023, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1.0% of the Trust’s total investments. |
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| 8 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Trust Summary as of December 31, 2023 | | 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, 2023 ($9.43)(a) | | 9.91% |
Current Monthly Distribution per Common Share(b) | | $ 0.077900 |
Current Annualized Distribution per Common Share(b) | | $ 0.934800 |
Leverage as of December 31, 2023(c) | | 30% |
| | (a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance 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 Trust (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
| | | | | | | | | | | | | | | | | | | | |
| | | 12/31/23 | | | 12/31/22 | | | Change | | | High | | | Low | |
Closing Market Price | | $ | 9.43 | | | $ | 8.74 | | | | 7.89 | % | | $ | 9.56 | | | $ | 8.24 | |
Net Asset Value | | | 9.73 | | | | 9.25 | | | | 5.19 | | | | 9.85 | | | | 8.85 | |
GROWTH OF $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 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, 2023 (continued) | | BlackRock Corporate High Yield Fund, Inc. (HYT) |
Performance
Returns for the period ended December 31, 2023 were as follows:
| | | | | | | | | | | | | | | | |
| | | | | | Average Annual Total Returns | |
| | | | | | 1 Year | | | 5 Years | | | 10 Years | |
Trust at NAV(a)(b) | | | | | | | 16.80 | % | | | 7.18 | % | | | 5.90 | % |
Trust at Market Price(a)(b) | | | | | | | 19.80 | | | | 9.57 | | | | 6.29 | |
Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index | | | | | | | 13.44 | | | | 5.35 | | | | 4.59 | |
| | (a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage, if any. | |
| | (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. | |
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 corporate bonds experienced strong positive returns during the reporting period, as credit sentiment was supported by continued declines in inflation and resilient economic data.
From a sector perspective, technology, independent energy, and cable and satellite were the largest contributors to the Trust’s performance over the reporting period. Notably, all of the portfolio’s high yield sector exposures posted positive returns. By credit rating, B-rated bonds were the largest contributors to return while issues in the BB and CCC ratings categories were also meaningful contributors. From an asset allocation perspective, high yield was the most meaningful contributor to returns, although tactical allocations to bank loans and investment grade corporate bonds were also additive.
There were no meaningful detractors from performance on an absolute basis.
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 remained broadly consistent, the Trust tactically navigated sector- and issuer-level positioning to take advantage of market opportunities. Exposure to bank loans and investment grade issues was reduced throughout the period as more interesting relative value developed in high yield bonds. Liquid product usage was active across total return swaps, high yield ETFs, and index credit default swaps. The Trust also increased its allocation to B-rated credits.
Describe portfolio positioning at period end.
The Trust was underweight BB-rated credits and overweight issues in the B ratings category as well as select CCC-rated bonds. The Trust continued to hold meaningful tactical allocations to bank loans and investment grade issues, although as noted these exposures were trimmed over the period in favor of high yield corporate bonds. The largest sector weights included technology, independent energy, midstream, cable and satellite, and healthcare.
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 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Trust Summary as of December 31, 2023 (continued) | | BlackRock Corporate High Yield Fund, Inc. (HYT) |
Overview of the Trust’s Total Investments
PORTFOLIO COMPOSITION
| | | | | | | | |
| Asset Type(a) | | | | | Percentage of
Total Investments | |
Corporate Bonds | | | | | | | 88.2 | % |
Floating Rate Loan Interests | | | | | | | 8.7 | |
Preferred Securities | | | | | | | 2.5 | |
Other* | | | | | | | 0.6 | |
CREDIT QUALITY ALLOCATION
| | | | | | | | |
| Credit Rating(a)(b) | | | | | Percentage of
Total Investments | |
A | | | | | | | 0.1 | % |
BBB/Baa | | | | | | | 6.0 | |
BB/Ba | | | | | | | 38.6 | |
B | | | | | | | 43.6 | |
CCC/Caa | | | | | | | 8.9 | |
C | | | | | | | — | (c) |
N/R | | | | | | | 2.8 | |
| (a) | Excludes short-term securities. |
| (b) | 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. |
| (c) | Rounds to less than 0.1% of total investments. |
| * | Includes one or more investment categories that individually represents less than 1.0% of the Trust’s total investments. Please refer to the Consolidated Schedule of Investments for details. |
| | |
| Trust Summary as of December 31, 2023 | | 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, 2023 ($10.32)(a) | | 9.76% |
Current Monthly Distribution per Common Share(b) | | $ 0.083900 |
Current Annualized Distribution per Common Share(b) | | $ 1.006800 |
Leverage as of December 31, 2023(c) | | 35% |
| | (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
| | | | | | | | | | | | | | | | | | | | |
| | | 12/31/23 | | | 12/31/22 | | | Change | | | High | | | Low | |
Closing Market Price | | $ | 10.32 | | | $ | 10.10 | | | | 2.18 | % | | $ | 11.46 | | | $ | 9.12 | |
Net Asset Value | | | 11.59 | | | | 11.19 | | | | 3.57 | | | | 12.00 | | | | 10.43 | |
GROWTH OF $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 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 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Trust Summary as of December 31, 2023 (continued) | | BlackRock Credit Allocation Income Trust (BTZ) |
Performance
Returns for the period ended December 31, 2023 were as follows:
| | | | | | | | | | | | | | | | |
| | | | | | Average Annual Total Returns | |
| | | | | | 1 Year | | | 5 Years | | | 10 Years | |
Trust at NAV(a)(b) | | | | | | | 14.24 | % | | | 5.37 | % | | | 4.94 | % |
Trust at Market Price(a)(b) | | | | | | | 12.70 | | | | 6.28 | | | | 5.06 | |
Reference Benchmark(c) | | | | | | | 9.94 | | | | 3.63 | | | | 3.64 | |
Bloomberg U.S. Credit Index | | | | | | | 8.18 | | | | 2.45 | | | | 2.83 | |
Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index(d) | | | | | | | 13.44 | | | | 5.35 | | | | 4.59 | |
Bloomberg USD Capital Securities Index(e) | | | | | | | 9.13 | | | | 3.90 | | | | 4.12 | |
| | (a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage, if any. | |
| | (b) | The Trust’s discount to NAV widened 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) | An unmanaged index comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index. | |
| | (e) | 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?
Contributions to the Trust’s performance over the reporting period were led by broad U.S. credit exposures, in particular to investment grade corporate bonds and high yield corporate bonds. Allocations to preferred securities as well as to floating rate bank loans and collateralized loan obligations (“CLOs”) also proved additive. Exposure to European corporate credit, Asian corporate credit and emerging market bonds contributed modestly.
The Trust’s stance with respect to duration and corresponding interest rate sensitivity detracted from 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 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 increased exposure to both high yield and investment grade corporate bonds. The Trust also increased exposure to CLOs while favoring more well-protected structures. The Trust decreased exposure to preferred securities, European corporate credit and emerging markets. The Trust’s use of leverage decreased over the period.
Describe portfolio positioning at period end.
At period end, the Trust was positioned relatively conservatively given a higher cost of capital environment alongside the fourth quarter’s bond market rally and tightening of credit spreads which may have pulled forward some of 2024’s potential performance upside. In this vein, the Trust had significant allocations to higher quality investment grade corporate bonds and CLOs.
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, 2023 (continued) | | BlackRock Credit Allocation Income Trust (BTZ) |
Overview of the Trust’s Total Investments
PORTFOLIO COMPOSITION
| | | | |
| Asset Type(a) | | Percentage of
Total Investments | |
Corporate Bonds | | | 71.5 | % |
Asset-Backed Securities | | | 9.6 | |
Preferred Securities | | | 7.7 | |
U.S. Government Sponsored Agency Securities | | | 4.5 | |
Floating Rate Loan Interests | | | 4.3 | |
Foreign Agency Obligations | | | 1.6 | |
Other* | | | 0.8 | |
CREDIT QUALITY ALLOCATION
| | | | |
| Credit Rating(a)(b) | | Percentage of
Total Investments | |
AAA/Aaa(c) | | | 9.7 | % |
AA/Aa | | | 3.7 | |
A | | | 12.2 | |
BBB/Baa | | | 35.4 | |
BB/Ba | | | 19.7 | |
B | | | 16.2 | |
CCC/Caa | | | 2.3 | |
CC | | | — | (d) |
N/R(e) | | | 0.8 | |
| (a) | Excludes short-term securities. |
| (b) | 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. |
| (c) | Includes U.S. Government Sponsored Agency Securities which are deemed AAA/Aaa by the investment adviser. |
| (d) | Rounds to less than 0.1% of total investments. |
| (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, 2023, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1.0% of the Trust’s total investments. |
| * | Includes one or more investment categories that individually represents less than 1.0% of the Trust’s total investments. Please refer to the Schedule of Investments for details. |
| | |
| 14 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Trust Summary as of December 31, 2023 | | 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 market 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, 2023 ($12.38)(a) | | 11.66% |
Current Monthly Distribution per Common Share(b) | | $ 0.120280 |
Current Annualized Distribution per Common Share(b) | | $ 1.443360 |
Leverage as of December 31, 2023(c) | | 25% |
| | (a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance 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 Trust (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
| | | | | | | | | | | | | | | | | | | | |
| | | 12/31/23 | | | 12/31/22 | | | Change | | | High | | | Low | |
Closing Market Price | | $ | 12.38 | | | $ | 10.94 | | | | 13.16 | % | | $ | 12.38 | | | $ | 10.78 | |
Net Asset Value | | | 12.90 | | | | 12.43 | | | | 3.78 | | | | 12.95 | | | | 12.42 | |
GROWTH OF $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. | |
| | |
| Trust Summary as of December 31, 2023 (continued) | | BlackRock Floating Rate Income Trust (BGT) |
Performance
Returns for the period ended December 31, 2023 were as follows:
| | | | | | | | | | | | |
| | | Average Annual Total Returns | |
| | | 1 Year | | | 5 Years | | | 10 Years | |
Trust at NAV(a)(b) | | | 15.69 | % | | | 7.08 | % | | | 5.43 | % |
Trust at Market Price(a)(b) | | | 26.14 | | | | 9.33 | | | | 5.58 | |
Morningstar LSTA Leveraged Loan Index | | | 13.32 | | | | 5.80 | | | | 4.42 | |
| | (a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage, if any. | |
| | (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. | |
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?
Bank loans performed well in 2023, as investors gravitated toward asset classes with the ability to perform well when interest rates were rising. In addition, the backdrop of falling inflation and continued economic growth fueled positive returns for the credit-sensitive areas of the fixed-income market.
The Trust’s allocation to B rated issues made the largest contribution to absolute performance, followed by BBs and CCCs, respectively. Its allocation to the technology and consumer cyclicals sectors also contributed. On the other hand, its position in CC rated securities was a slight 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.
The Trust’s allocation to BBB rated issues increased. It moved from an underweight to an overweight in BBs and reduced the extent of its overweight in CCCs. The Trust shifted from a slight overweight to a slight underweight in B2 rated bonds, while its overweight in B1s increased.
The Trust continued to use liquid, index-based derivatives in the loan and high yield markets to manage its positioning.
Describe portfolio positioning at period end.
The Trust was overweight in BBBs and BBs. It also maintained a small overweight in CCCs to capitalize on idiosyncratic opportunities, although the investment adviser took advantage of the markets to reduce some of the position. While technology continued to be the Trust’s largest absolute allocation at the sector level due to its large index weighting, the Trust was underweight in relative terms. The Trust’s active sector weightings were largely informed by bottom-up security selection, although top-down considerations also played a role in the investment adviser’s outlook on individual securities. The Trust’s out-of-benchmark allocations remained limited.
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 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
| Trust Summary as of December 31, 2023 (continued) | | BlackRock Floating Rate Income Trust (BGT) |
Overview of the Trust’s Total Investments
PORTFOLIO COMPOSITION
| | | | |
| Asset Type(a) | | Percentage of
Total Investments | |
Floating Rate Loan Interests | | | 95.7 | % |
Corporate Bonds | | | 1.6 | |
Asset-Backed Securities | | | 1.6 | |
Other* | | | 1.1 | |
CREDIT QUALITY ALLOCATION
| | | | |
| Credit Rating(a)(b) | | Percentage of
Total Investments | |
BBB/Baa | | | 8.4 | % |
BB/Ba | | | 24.5 | |
B | | | 58.3 | |
CCC/Caa | | | 6.0 | |
CC | | | — | (c) |
N/R(d) | | | 2.8 | |
| (a) | Excludes short-term securities. |
| (b) | 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. |
| (c) | Rounds to less than 0.1% of total investments. |
| (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, 2023, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1.0% of the Trust’s total investments. |
| * | Includes one or more investment categories that individually represents less than 1.0% of the Trust’s total investments. Please refer to the Schedule of Investments for details. |
| | |
Schedule of Investments December 31, 2023 | | 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. CME Term SOFR + 2.66%), 8.08%, 04/20/30 | | | USD | | | | 500 | | | $ | 499,234 | |
Series 2019-4A, Class DR, (3-mo. CME Term SOFR + 3.91%), 9.33%, 04/20/30 | | | | | | | 600 | | | | 592,143 | |
AGL CLO Ltd., Series 2020-3A, Class D, (3-mo. CME Term SOFR + 3.56%), 8.96%, 01/15/33(a)(b) | | | | | | | 250 | | | | 245,045 | |
ALM Ltd., Series 2020-1A, Class D, (3-mo. CME Term SOFR + 6.26%), 11.66%, 10/15/29(a)(b) | | | | | | | 285 | | | | 278,198 | |
Anchorage Capital CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 2013-1A, Class A2R, (3-mo. CME Term SOFR + 1.91%), 7.31%, 10/13/30 | | | | | | | 380 | | | | 380,458 | |
Series 2013-1A, Class CR, (3-mo. CME Term SOFR + 3.46%), 8.86%, 10/13/30 | | | | | | | 720 | | | | 713,500 | |
Apidos CLO XXII, Series 2015-22A, Class CR, (3-mo. CME Term SOFR + 3.21%), 8.63%, 04/20/31(a)(b) | | | | | | | 250 | | | | 245,523 | |
Apidos CLO XXIV, Series 2016-24A, Class A1AL, (3-mo. CME Term SOFR + 1.21%), 6.63%,
10/20/30(a)(b) | | | | | | | 500 | | | | 499,088 | |
Apidos CLO XXVI, Series 2017-26A, Class A1AR, (3-mo. CME Term SOFR + 1.16%), 6.56%,
07/18/29(a)(b) | | | | | | | 880 | | | | 879,271 | |
Apidos CLO XXVII, Series 2017-27A, Class A1R, (3-mo. CME Term SOFR + 1.19%), 6.59%, 07/17/30(a)(b) | | | | | | | 214 | | | | 213,496 | |
ASSURANT CLO I Ltd., Series 2017-1A, Class CR, (3-mo. CME Term SOFR + 2.41%), 7.83%, 10/20/34(a)(b) | | | | | | | 500 | | | | 492,041 | |
Bain Capital Credit CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 2021-3A, Class D, (3-mo. CME Term SOFR + 3.36%), 8.76%, 07/24/34 | | | | | | | 250 | | | | 240,416 | |
Series 2021-5A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.32%, 10/23/34 | | | | | | | 500 | | | | 495,170 | |
Ballyrock CLO Ltd., Series 2022-21A, Class D, (3-mo. CME Term SOFR + 8.76%), 14.18%, 10/20/35(a)(b) | | | | | | | 500 | | | | 499,468 | |
Barings CLO Ltd., Series 2017-1A, Class D, (3-mo. CME Term SOFR + 3.86%), 9.26%, 07/18/29(a)(b) | | | | | | | 250 | | | | 249,964 | |
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class A1R2, (3-mo. CME Term SOFR + 1.13%), 6.53%, 07/15/29(a)(b) | | | | | | | 44 | | | | 44,495 | |
Birch Grove CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 19A, Class DR, (3-mo. CME Term SOFR + 3.61%), 9.00%, 06/15/31 | | | | | | | 1,000 | | | | 996,309 | |
Series 2021-3A, Class D1, (3-mo. CME Term SOFR + 3.46%), 8.86%, 01/19/35 | | | | | | | 250 | | | | 246,600 | |
BlueMountain CLO XXVIII Ltd., Series 2021-28A, Class D, (3-mo. CME Term SOFR + 3.16%), 8.56%, 04/15/34(a)(b) | | | | | | | 500 | | | | 487,990 | |
Buttermilk Park CLO Ltd., Series 2018-1A, Class D, (3-mo. CME Term SOFR + 3.36%), 8.76%,
10/15/31(a)(b) | | | | | | | 250 | | | | 243,555 | |
Canyon Capital CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 2016-1A, Class CR, (3-mo. CME Term SOFR + 2.16%), 7.56%, 07/15/31 | | | | | | | 250 | | | | 246,859 | |
Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.61%), 9.01%, 04/15/34 | | | | | | | 500 | | | | 486,659 | |
Carlyle Global Market Strategies CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 2013-1A, Class A1RR, (3-mo. CME Term SOFR + 1.21%), 6.59%, 08/14/30 | | | | | | | 165 | | | | 165,139 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Carlyle Global Market Strategies CLO Ltd.(a)(b) (continued) | | | | | | | | | | | | |
Series 2013-1A, Class CR, (3-mo. CME Term SOFR + 3.61%), 8.99%, 08/14/30 | | | USD | | | | 1,000 | | | $ | 983,617 | |
CarVal CLO II Ltd., Series 2019-1A, Class DR, (3-mo. CME Term SOFR + 3.46%), 8.88%, 04/20/32(a)(b) | | | | | | | 500 | | | | 481,933 | |
CarVal CLO III Ltd., Series 2019-2A, Class E, (3-mo. CME Term SOFR + 6.70%), 12.12%, 07/20/32(a)(b) | | | | | | | 500 | | | | 479,718 | |
CarVal CLO VC Ltd., Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.51%), 8.91%, 10/15/34(a)(b) | | | | | | | 250 | | | | 239,923 | |
CBAM Ltd., Series 2017-1A, Class C, (3-mo. CME Term SOFR + 2.66%), 8.08%, 07/20/30(a)(b) | | | | | | | 350 | | | | 348,413 | |
Cedar Funding IX CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 2018-9A, Class A1, (3-mo. CME Term SOFR + 1.24%), 6.66%, 04/20/31 | | | | | | | 246 | | | | 245,698 | |
Series 2018-9A, Class D, (3-mo. CME Term SOFR + 2.86%), 8.28%, 04/20/31 | | | | | | | 250 | | | | 240,837 | |
Cedar Funding VII CLO Ltd., Series 2018-7A, Class A1, (3-mo. CME Term SOFR + 1.26%), 6.68%, 01/20/31(a)(b) | | | | | | | 471 | | | | 471,035 | |
Cedar Funding X CLO Ltd., Series 2019-10A, Class BR, (3-mo. CME Term SOFR + 1.86%), 7.28%, 10/20/32(a)(b) | | | | | | | 930 | | | | 922,688 | |
Cedar Funding XIV CLO Ltd., Series 2021-14A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.26%, 07/15/33(a)(b) | | | | | | | 500 | | | | 495,373 | |
Cedar Funding XV CLO Ltd., Series 2022-15A, Class B, (3-mo. CME Term SOFR + 1.80%), 7.22%, 04/20/35(a)(b) | | | | | | | 400 | | | | 395,002 | |
CIFC Funding Ltd.(a)(b) | | | | | | | | | | | | |
Series 2013-1A, Class CR, (3-mo. CME Term SOFR + 3.81%), 9.21%, 07/16/30 | | | | | | | 500 | | | | 497,735 | |
Series 2014-2RA, Class B1, (3-mo. CME Term SOFR + 3.06%), 8.46%, 04/24/30 | | | | | | | 750 | | | | 743,812 | |
Series 2014-3A, Class BR2, (3-mo. CME Term SOFR + 2.06%), 7.47%, 10/22/31 | | | | | | | 250 | | | | 248,973 | |
Series 2015-1A, Class ARR, (3-mo. CME Term SOFR + 1.37%), 6.78%, 01/22/31 | | | | | | | 929 | | | | 930,656 | |
Series 2015-3A, Class AR, (3-mo. CME Term SOFR + 1.13%), 6.53%, 04/19/29 | | | | | | | 180 | | | | 179,618 | |
Series 2017-2A, Class AR, (3-mo. CME Term SOFR + 1.21%), 6.63%, 04/20/30 | | | | | | | 448 | | | | 447,642 | |
Series 2017-4A, Class A1R, (3-mo. CME Term SOFR + 1.21%), 6.61%, 10/24/30 | | | | | | | 422 | | | | 421,222 | |
Series 2019-1A, Class DR, (3-mo. CME Term SOFR + 3.36%), 8.78%, 04/20/32 | | | | | | | 500 | | | | 498,310 | |
Series 2020-1A, Class DR, (3-mo. CME Term SOFR + 3.36%), 8.76%, 07/15/36 | | | | | | | 500 | | | | 489,694 | |
Series 2022-7A, Class C, (3-mo. CME Term SOFR + 3.85%), 9.26%, 10/22/35 | | | | | | | 500 | | | | 503,539 | |
Series 2022-7A, Class D, (3-mo. CME Term SOFR + 5.35%), 10.76%, 10/22/35 | | | | | | | 600 | | | | 600,417 | |
CWHEQ Revolving Home Equity Loan Trust, Series 2006-I, Class 1A, (1-mo. Term SOFR + 0.25%), 5.62%, 01/15/37(a) | | | | | | | 970 | | | | 880,821 | |
Dewolf Park CLO Ltd., Series 2017-1A, Class DR, (3-mo. CME Term SOFR + 3.11%), 8.51%, 10/15/30(a)(b) | | | | | | | 280 | | | | 276,299 | |
| | |
| 18 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Asset-Backed Securities (continued) | | | | | |
Dryden CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 2017-53A, Class B, (3-mo. CME Term SOFR + 1.66%), 7.06%, 01/15/31 | | | USD | | | | 1,320 | | | $ | 1,312,526 | |
Series 2018-64A, Class D, (3-mo. CME Term SOFR + 2.91%), 8.31%, 04/18/31 | | | | | | | 1,250 | | | | 1,224,497 | |
Series 2020-78A, Class D, (3-mo. CME Term SOFR + 3.26%), 8.66%, 04/17/33 | | | | | | | 250 | | | | 245,631 | |
Series 2022-106A, Class C, (3-mo. CME Term SOFR + 3.90%), 9.29%, 10/15/35 | | | | | | | 500 | | | | 503,556 | |
Dryden Senior Loan Fund(a)(b) | | | | | | | | | | | | |
Series 2015-37A, Class AR, (3-mo. CME Term SOFR + 1.36%), 6.76%, 01/15/31 | | | | | | | 236 | | | | 236,466 | |
Series 2017-50A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.31%, 07/15/30 | | | | | | | 250 | | | | 249,705 | |
Dryden XXVIII Senior Loan Fund(a)(b) | | | | | | | | | | | | |
Series 2013-28A, Class A1LR, (3-mo. CME Term SOFR + 1.46%), 6.85%, 08/15/30 | | | | | | | 220 | | | | 220,137 | |
Series 2013-28A, Class B1LR, (3-mo. CME Term SOFR + 3.41%), 8.80%, 08/15/30 | | | | | | | 1,000 | | | | 981,197 | |
Eaton Vance CLO Ltd., Series 2015-1A, Class A2R, (3-mo. CME Term SOFR + 1.51%), 6.93%, 01/20/30(a)(b) | | | | | | | 1,000 | | | | 986,871 | |
EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class B, 3.50%, 11/25/50(b) | | | | | | | 110 | | | | 87,932 | |
Elmwood CLO 21 Ltd., Series 2022-8A, Class CR, (3-mo. CME Term SOFR + 2.70%), 8.12%, 10/20/36(a) | | | | | | | 500 | | | | 499,633 | |
Elmwood CLO IV Ltd., Series 2020-1A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.36%, 04/15/33(a)(b) | | | | | | | 250 | | | | 249,854 | |
Elmwood CLO V Ltd., Series 2020-2A, Class CR, (3-mo. CME Term SOFR + 2.26%), 7.68%, 10/20/34(a)(b) | | | | | | | 436 | | | | 432,716 | |
Elmwood CLO VI Ltd., Series 2020-3A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.33%, 10/20/34(a)(b) | | | | | | | 250 | | | | 249,878 | |
Fairstone Financial Issuance Trust I, Series 2020-1A, Class C, 5.16%, 10/20/39(b) | | | CAD | | | | 170 | | | | 119,401 | |
Flatiron CLO Ltd., Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.21%), 6.61%, 04/17/31(a)(b) | | | USD | | | | 1,280 | | | | 1,278,584 | |
Galaxy CLO Ltd., Series 2023-31A, Class E, (3-mo. CME Term SOFR + 8.43%), 13.82%, 04/15/36(a)(b) | | | | | | | 350 | | | | 351,270 | |
Galaxy XX CLO Ltd., Series 2015-20A, Class CR, (3-mo. CME Term SOFR + 2.01%), 7.43%, 04/20/31(a)(b) | | | | | | | 250 | | | | 249,879 | |
Galaxy XXIII CLO Ltd., Series 2017-23A, Class AR, (3-mo. CME Term SOFR + 1.13%), 6.53%, 04/24/29(a)(b) | | | | | | | 248 | | | | 247,582 | |
Galaxy XXVII CLO Ltd., Series 2018-27A, Class A, (3-mo. CME Term SOFR + 1.28%), 6.67%, 05/16/31(a)(b) | | | | | | | 1,825 | | | | 1,822,242 | |
Generate CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 2A, Class AR, (3-mo. CME Term SOFR + 1.41%), 6.82%, 01/22/31 | | | | | | | 232 | | | | 232,370 | |
Series 4A, Class DR, (3-mo. CME Term SOFR + 3.41%), 8.83%, 04/20/32 | | | | | | | 1,500 | | | | 1,464,282 | |
Series 6A, Class DR, (3-mo. CME Term SOFR + 3.76%), 9.17%, 01/22/35 | | | | | | | 750 | | | | 758,730 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Asset-Backed Securities (continued) | |
GoldenTree Loan Management U.S. CLO
Ltd.(a)(b) | | | | | | | | | | | | |
Series 2018-3A, Class B1, (3-mo. CME Term SOFR + 1.81%), 7.23%, 04/20/30 | | | USD | | | | 250 | | | $ | 249,928 | |
Series 2019-5A, Class BR, (3-mo. CME Term SOFR + 1.86%), 7.26%, 04/24/31 | | | | | | | 500 | | | | 499,853 | |
GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class BR2, (3-mo. CME Term SOFR + 1.86%), 7.25%, 10/29/29(a)(b) | | | | | | | 1,500 | | | | 1,499,250 | |
GoldenTree Loan Opportunities X Ltd., Series 2015-10A, Class DR, (3-mo. CME Term SOFR + 3.31%), 8.73%, 07/20/31(a)(b) | | | | | | | 250 | | | | 247,592 | |
Golub Capital Partners CLO Ltd., Series 2021-55A, Class E, (3-mo. CME Term SOFR + 6.82%), 12.24%, 07/20/34(a)(b) | | | | | | | 250 | | | | 249,403 | |
Gracie Point International Funding, Series 2023-1, Class D, (3-mo. SOFR + 4.50%), 9.72%, 09/01/26(a) | | | | | | | 162 | | | | 161,598 | |
Grippen Park CLO Ltd., Series 2017-1A, Class D, (3-mo. CME Term SOFR + 3.56%), 8.98%, 01/20/30(a)(b) | | | | | | | 250 | | | | 250,075 | |
Highbridge Loan Management, Series 3A-2014, Class CR, (3-mo. CME Term SOFR + 3.86%), 9.26%, 07/18/29(a)(b) | | | | | | | 1,000 | | | | 990,337 | |
Litigation Fee Residual, Series 2020-1, Class A, 4.00%, 10/30/27(c) | | | | | | | 460 | | | | 450,092 | |
Long Beach Mortgage Loan Trust, Series 2006-8, Class 2A4, (1-mo. Term SOFR + 0.59%), 5.95%, 09/25/36(a) | | | | | | | 6,035 | | | | 1,648,132 | |
Madison Park Funding LIV Ltd., Series 2022-54A, Class E1, (3-mo. CME Term SOFR + 8.95%), 14.36%, 10/21/34(a)(b) | | | | | | | 263 | | | | 266,257 | |
Madison Park Funding XLVIII Ltd., Series 2021-48A, Class E, (3-mo. CME Term SOFR + 6.51%), 11.91%, 04/19/33(a) | | | | | | | 500 | | | | 495,018 | |
Madison Park Funding XVII Ltd., Series 2015-17A, Class DR, (3-mo. CME Term SOFR + 3.86%), 9.27%, 07/21/30(a)(b) | | | | | | | 1,000 | | | | 985,364 | |
Madison Park Funding XXIII Ltd.(a)(b) | | | | | | | | | | | | |
Series 2017-23A, Class AR, (3-mo. CME Term SOFR + 1.23%), 6.62%, 07/27/31 | | | | | | | 970 | | | | 969,878 | |
Series 2017-23A, Class CR, (3-mo. CME Term SOFR + 2.26%), 7.65%, 07/27/31 | | | | | | | 600 | | | | 599,369 | |
Madison Park Funding XXV Ltd.(a)(b) | | | | | | | | | | | | |
Series 2017-25A, Class A1R, (3-mo. CME Term SOFR + 1.23%), 6.61%, 04/25/29 | | | | | | | 1,435 | | | | 1,434,690 | |
Series 2017-25A, Class A2R, (3-mo. CME Term SOFR + 1.91%), 7.29%, 04/25/29 | | | | | | | 250 | | | | 250,251 | |
Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, (3-mo. CME Term SOFR + 3.26%), 8.67%, 01/23/31(a)(b) | | | | | | | 625 | | | | 615,144 | |
Madison Park Funding XXXIV Ltd., Series 2019-34A, Class DR, (3-mo. CME Term SOFR + 3.61%), 8.99%, 04/25/32(a)(b) | | | | | | | 250 | | | | 249,430 | |
Madison Park Funding XXXVII Ltd., Series 2019-37A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.31%, 07/15/33(a)(b) | | | | | | | 900 | | | | 900,281 | |
Madison Park Funding XXXVIII Ltd., Series 2021-38A, Class C, (3-mo. CME Term SOFR + 2.16%), 7.56%, 07/17/34(a)(b) | | | | | | | 250 | | | | 247,534 | |
| | |
SCHEDULE OF INVESTMENTS | | 19 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Asset-Backed Securities (continued) | |
Marble Point CLO XVII Ltd., Series 2020-1A, Class D, (3-mo. CME Term SOFR + 4.01%), 9.43%,
04/20/33(a)(b) | | | USD | | | | 250 | | | $ | 242,026 | |
Marble Point CLO XXIII Ltd., Series 2021-4A, Class D1, (3-mo. CME Term SOFR + 3.91%), 9.32%, 01/22/35(a)(b) | | | | | | | 250 | | | | 249,598 | |
Mariner Finance Issuance Trust, Series 2022-AA, Class A, 6.45%, 10/20/37(b) | | | | | | | 515 | | | | 518,568 | |
Navient Private Education Refi Loan Trust(b) | | | | | | | | | | | | |
Series 2019-D, Class A2A, 3.01%, 12/15/59 | | | | | | | 517 | | | | 485,649 | |
Series 2019-GA, Class A, 2.40%, 10/15/68 | | | | | | | 186 | | | | 174,409 | |
Series 2021-CA, Class A, 1.06%, 10/15/69 | | | | | | | 808 | | | | 700,527 | |
Series 2021-DA, Class C, 3.48%, 04/15/60 | | | | | | | 770 | | | | 681,338 | |
Series 2021-DA, Class D, 4.00%, 04/15/60 | | | | | | | 440 | | | | 399,475 | |
Series 2021-EA, Class A, 0.97%, 12/16/69 | | | | | | | 948 | | | | 817,009 | |
Series 2023-A, Class A, 5.51%, 10/15/71 | | | | | | | 167 | | | | 166,511 | |
Nelnet Student Loan Trust(b) | | | | | | | | | | | | |
Series 2021-A, Class D, 4.93%, 04/20/62 | | | | | | | 460 | | | | 382,836 | |
Series 2021-BA, Class B, 2.68%, 04/20/62 | | | | | | | 1,983 | | | | 1,624,546 | |
Series 2021-CA, Class AFL, (1-mo. Term SOFR + 0.85%), 6.21%, 04/20/62(a) | | | | | | | 382 | | | | 375,346 | |
Neuberger Berman CLO XXII Ltd., Series 2016-22A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.31%, 10/17/30(a)(b) | | | | | | | 250 | | | | 249,779 | |
Neuberger Berman Loan Advisers CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 2017-25A, Class AR, (3-mo. CME Term SOFR + 1.19%), 6.59%, 10/18/29 | | | | | | | 1,224 | | | | 1,224,471 | |
Series 2020-37A, Class CR, (3-mo. CME Term SOFR + 2.06%), 7.48%, 07/20/31 | | | | | | | 1,163 | | | | 1,151,812 | |
Neuberger Berman Loan Advisers NBLA CLO Ltd., Series 2022-52A, Class D, (3-mo. CME Term SOFR + 5.75%), 11.15%, 10/24/35(a)(b) | | | | | | | 568 | | | | 565,116 | |
OCP CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 2015-9A, Class BR2, (3-mo. CME Term SOFR + 1.75%), 7.14%, 01/15/33 | | | | | | | 250 | | | | 247,934 | |
Series 2017-13A, Class A1AR, (3-mo. CME Term SOFR + 1.22%), 6.62%, 07/15/30 | | | | | | | 971 | | | | 969,764 | |
Series 2017-14A, Class A2, (3-mo. CME Term SOFR + 1.76%), 7.13%, 11/20/30 | | | | | | | 1,620 | | | | 1,615,143 | |
Octagon 54 Ltd., Series 2021-1A, Class D, (3-mo. CME Term SOFR + 3.31%), 8.71%, 07/15/34(a)(b) | | | | | | | 250 | | | | 242,583 | |
Octagon Investment Partners XV Ltd., Series 2013-1A, Class A1RR, (3-mo. CME Term SOFR + 1.23%), 6.63%, 07/19/30(a)(b) | | | | | | | 2,514 | | | | 2,510,414 | |
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class BR2, (3-mo. CME Term SOFR + 1.66%), 7.04%, 01/25/31(a)(b) | | | | | | | 500 | | | | 496,869 | |
Octagon Investment Partners XXI Ltd., Series 2014-1A, Class AAR3, (3-mo. CME Term SOFR + 1.26%), 6.64%, 02/14/31(a)(b) | | | | | | | 250 | | | | 249,591 | |
Octagon Investment Partners XXII Ltd., Series 2014-1A, Class DRR, (3-mo. CME Term SOFR + 3.01%), 8.42%, 01/22/30(a)(b) | | | | | | | 500 | | | | 476,235 | |
OZLM VIII Ltd., Series 2014-8A, Class CRR, (3-mo. CME Term SOFR + 3.41%), 8.81%, 10/17/29(a)(b) | | | | | | | 875 | | | | 873,121 | |
OZLM XXI Ltd., Series 2017-21A, Class C, (3-mo. CME Term SOFR + 2.93%), 8.35%, 01/20/31(a)(b) | | | | | | | 1,000 | | | | 974,144 | |
Palmer Square CLO Ltd.(a) | | | | | | | | | | | | |
Series 2013-2A, Class A2R3, (3-mo. CME Term SOFR + 1.76%), 7.16%, 10/17/31(b) | | | | | | | 250 | | | | 249,331 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Asset-Backed Securities (continued) | |
Palmer Square CLO Ltd.(a) (continued) | | | | | | | | | | | | |
Series 2015-2A, Class CR2, (3-mo. CME Term SOFR + 3.01%), 8.43%, 07/20/30(b) | | | USD | | | | 250 | | | $ | 248,460 | |
Series 2020-3ARR, Class A1R2, (3-mo. CME Term SOFR + 1.65%), 7.02%, 11/15/36(c) | | | | | | | 250 | | | | 250,025 | |
Series 2020-3ARR, Class A2R2, (3-mo. CME Term SOFR + 2.30%), 7.67%, 11/15/36(c) | | | | | | | 250 | | | | 250,025 | |
Series 2022-4A, Class C, (3-mo. CME Term SOFR + 4.00%), 9.42%, 10/20/35(b) | | | | | | | 1,000 | | | | 1,010,714 | |
Palmer Square Loan Funding Ltd.(a)(b) | | | | | | | | | | | | |
Series 2021-1A, Class A1, (3-mo. CME Term SOFR + 1.16%), 6.58%, 04/20/29 | | | | | | | 84 | | | | 84,038 | |
Series 2021-2A, Class A1, (3-mo. CME Term SOFR + 1.06%), 6.43%, 05/20/29 | | | | | | | 110 | | | | 110,143 | |
Series 2021-3A, Class A1, (3-mo. CME Term SOFR + 1.06%), 6.48%, 07/20/29 | | | | | | | 402 | | | | 401,511 | |
Park Avenue Institutional Advisers CLO Ltd., Series 2017-1A, Class DR, (3-mo. CME Term SOFR + 7.07%), 12.45%, 02/14/34(a)(b) | | | | | | | 1,300 | | | | 1,209,105 | |
PPM CLO Ltd., Series 2019-2A, Class DR, (3-mo. CME Term SOFR + 3.66%), 9.06%, 04/16/32(a)(b) | | | | | | | 250 | | | | 242,767 | |
Prodigy Finance DAC, Series 2021-1A, Class C, (1-mo. Term SOFR + 3.86%), 9.22%, 07/25/51(a)(b) | | | | | | | 86 | | | | 86,164 | |
Rad CLO Ltd., Series 2019-3A, Class DR, (3-mo. CME Term SOFR + 3.01%), 8.41%, 04/15/32(a)(b) | | | | | | | 400 | | | | 394,237 | |
Regatta XI Funding Ltd., Series 2018-1A, Class D, (3-mo. CME Term SOFR + 3.11%), 8.51%, 07/17/31(a)(b) | | | | | | | 370 | | | | 363,165 | |
Regatta XVIII Funding Ltd., Series 2021-1A, Class B, (3-mo. CME Term SOFR + 1.71%), 7.11%, 01/15/34(a)(b) | | | | | | | 850 | | | | 845,092 | |
Regional Management Issuance Trust, Series 2022-2B, Class A, 7.10%, 11/17/32(b) | | | | | | | 200 | | | | 201,841 | |
Republic Finance Issuance Trust, Series 2020-A, Class C, 4.05%, 11/20/30(b) | | | | | | | 240 | | | | 227,459 | |
Romark CLO Ltd., Series 2017-1A, Class B, (3-mo. CME Term SOFR + 2.41%), 7.82%, 10/23/30(a)(b) | | | | | | | 500 | | | | 497,704 | |
RRX Ltd., Series 2020-1A, Class E, (3-mo. CME Term SOFR + 6.71%), 12.11%, 04/15/33(a)(b) | | | | | | | 500 | | | | 493,167 | |
Shackleton CLO Ltd., Series 2015-7RA, Class C, (3-mo. CME Term SOFR + 2.61%), 8.01%, 07/15/31(a)(b) | | | | | | | 250 | | | | 246,689 | |
Signal Peak CLO Ltd., Series 2017-4A, Class XR, (3-mo. CME Term SOFR + 1.21%), 6.59%, 10/26/34(a)(b) | | | | | | | 1,100 | | | | 1,099,802 | |
SMB Private Education Loan Trust | | | | | | | | | | | | |
Series 2019-A, Class A2A, 3.44%, 07/15/36(b) | | | | | | | 1,239 | | | | 1,191,941 | |
Series 2019-B, Class A2A, 2.84%, 06/15/37(b) | | | | | | | 246 | | | | 232,837 | |
Series 2021-A, Class A2B, 1.59%, 01/15/53(b) | | | | | | | 359 | | | | 318,007 | |
Series 2021-C, Class C, 3.00%, 01/15/53(b) | | | | | | | 143 | | | | 123,047 | |
Series 2021-C, Class D, 3.93%, 01/15/53(b) | | | | | | | 141 | | | | 130,657 | |
Series 2021-D, Class A1A, 1.34%, 03/17/53(b) | | | | | | | 1,105 | | | | 993,933 | |
Series 2022-C, Class A1A, 4.48%, 05/16/50(b) | | | | | | | 344 | | | | 333,348 | |
Series 2023-B, Class A1B, (30-day Avg SOFR + 1.80%), 7.14%, 10/16/56(a)(b) | | | | | | | 225 | | | | 227,347 | |
Series 2023-C, Class A1A, 5.67%, 11/15/52 | | | | | | | 1,604 | | | | 1,612,034 | |
Sterling COOFS Trust(c) | | | | | | | | | | | | |
Series 2004-1, Class A, 2.36%, 04/15/29 | | | | | | | 700 | | | | 7,002 | |
Series 2004-2, Class Note, 2.08%, 03/30/30(b) | | | | | | | 437 | | | | 4,373 | |
| | |
| 20 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Asset-Backed Securities (continued) | |
Structured Asset Securities Corp. Pass-Through Certificates, Series 2002-AL1, Class A2, 3.45%, 02/25/32 | | | USD | | | | 31 | | | $ | 26,834 | |
Symphony CLO XXXII Ltd., Series 2022-32A, Class B, (3-mo. CME Term SOFR + 1.85%), 7.26%, 04/23/35(a)(b) | | | | | | | 600 | | | | 593,595 | |
TCI-Symphony CLO Ltd., Series 2017-1A, Class AR, (3-mo. CME Term SOFR + 1.19%), 6.59%, 07/15/30(a)(b) | | | | | | | 463 | | | | 462,947 | |
TCW CLO Ltd., Series 2020-1A, Class DRR, (3-mo. CME Term SOFR + 3.66%), 9.08%, 04/20/34(a)(b) | | | | | | | 250 | | | | 237,438 | |
TICP CLO IX Ltd., Series 2017-9A, Class D, (3-mo. CME Term SOFR + 3.16%), 8.58%, 01/20/31(a)(b) | | | | | | | 500 | | | | 499,946 | |
TICP CLO XV Ltd., Series 2020-15A, Class D, (3-mo. CME Term SOFR + 3.41%), 8.83%, 04/20/33(a)(b) | | | | | | | 250 | | | | 246,932 | |
Trestles CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 2017-1A, Class B1R, (3-mo. CME Term SOFR + 2.01%), 7.39%, 04/25/32 | | | | | | | 1,750 | | | | 1,726,972 | |
Series 2017-1A, Class CR, (3-mo. CME Term SOFR + 3.16%), 8.54%, 04/25/32 | | | | | | | 250 | | | | 243,527 | |
Trimaran CAVU Ltd.(a) | | | | | | | | | | | | |
Series 2019-2A, Class C, (3-mo. CME Term SOFR + 4.98%), 10.38%, 11/26/32(b) | | | | | | | 500 | | | | 498,434 | |
Series 2021-2A, Class D1, (3-mo. CME Term SOFR + 3.51%), 8.89%, 10/25/34(b) | | | | | | | 500 | | | | 490,819 | |
Series 2022-1, Class E, (3-mo. CME Term SOFR + 9.08%), 14.49%, 10/22/35 | | | | | | | 500 | | | | 500,456 | |
Series 2022-2A, Class D, (3-mo. CME Term SOFR + 6.12%), 11.54%, 01/20/36(b) | | | | | | | 400 | | | | 407,877 | |
Series 2023-1, Class E, (3-mo. CME Term SOFR + 8.94%), 14.28%, 07/20/36 | | | | | | | 500 | | | | 498,671 | |
Unique Pub Finance Co. PLC, Series N, 6.46%, 03/30/32(d) | | | GBP | | | | 6 | | | | 7,688 | |
Voya CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 2014-2A, Class A1RR, (3-mo. CME Term SOFR + 1.28%), 6.68%, 04/17/30 | | | USD | | | | 158 | | | | 158,159 | |
Series 2017-2A, Class A2AR, (3-mo. CME Term SOFR + 1.91%), 7.31%, 06/07/30 | | | | | | | 250 | | | | 249,979 | |
Series 2017-4A, Class A1, (3-mo. CME Term SOFR + 1.39%), 6.79%, 10/15/30 | | | | | | | 196 | | | | 195,662 | |
Series 2018-2A, Class A2, (3-mo. CME Term SOFR + 1.51%), 6.91%, 07/15/31 | | | | | | | 1,000 | | | | 989,150 | |
Series 2022-4A, Class C, (3-mo. CME Term SOFR + 4.05%), 9.47%, 10/20/33 | | | | | | | 1,000 | | | | 1,000,023 | |
Whetstone Park CLO Ltd., Series 2021-1A, Class B1, (3-mo. CME Term SOFR + 1.86%), 7.28%, 01/20/35(a)(b) | | | | | | | 725 | | | | 721,740 | |
Whitebox CLO I Ltd., Series 2019-1A, Class CR, (3-mo. CME Term SOFR + 3.31%), 8.71%, 07/24/32(a)(b) | | | | | | | 500 | | | | 492,507 | |
Whitebox CLO II Ltd., Series 2020-2A, Class DR, (3-mo. CME Term SOFR + 3.61%), 9.01%, 10/24/34(a)(b) | | | | | | | 500 | | | | 484,150 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Asset-Backed Securities (continued) | |
Whitebox CLO III Ltd.(a)(b) | | | | | | | | | | | | |
Series 2021-3A, Class D, (3-mo. CME Term SOFR + 3.61%), 9.01%, 10/15/34 | | | USD | | | | 250 | | | $ | 245,415 | |
Series 2021-3A, Class E, (3-mo. CME Term SOFR + 7.11%), 12.51%, 10/15/34 | | | | | | | 250 | | | | 246,232 | |
| | | | | | | | | | | | |
| |
Total Asset-Backed Securities — 15.5%
(Cost: $93,445,277) | | | | 92,303,943 | |
| | | | | | | | | | | | |
| | | |
Corporate Bonds | | | | | | | | | | | | |
| | | |
| Aerospace & Defense — 2.5% | | | | | | | | | |
Boeing Co.
2.95%, 02/01/30 | | | | | | | 800 | | | | 720,741 | |
3.60%, 05/01/34 | | | | | | | 550 | | | | 485,946 | |
Bombardier, Inc.(b)
7.13%, 06/15/26(e) | | | | | | | 425 | | | | 423,016 | |
7.88%, 04/15/27(e) | | | | | | | 122 | | | | 122,021 | |
6.00%, 02/15/28(e) | | | | | | | 667 | | | | 649,842 | |
7.50%, 02/01/29 | | | | | | | 90 | | | | 91,492 | |
8.75%, 11/15/30 | | | | | | | 294 | | | | 313,023 | |
7.45%, 05/01/34 | | | | | | | 100 | | | | 114,000 | |
Embraer Netherlands Finance BV, 7.00%, 07/28/30(b) | | | | | | | 263 | | | | 274,806 | |
F-Brasile SpA/F-Brasile U.S. LLC, Series XR, 7.38%, 08/15/26(b)(e) | | | | | | | 200 | | | | 195,471 | |
L3Harris Technologies, Inc.
2.90%, 12/15/29 | | | | | | | 1,200 | | | | 1,084,378 | |
1.80%, 01/15/31 | | | | | | | 300 | | | | 246,404 | |
Lockheed Martin Corp., 3.80%, 03/01/45 | | | | | | | 800 | | | | 687,771 | |
Northrop Grumman Corp.
4.70%, 03/15/33 | | | | | | | 400 | | | | 403,398 | |
3.85%, 04/15/45 | | | | | | | 850 | | | | 713,960 | |
Rolls-Royce PLC, 5.75%, 10/15/27(b) | | | | | | | 400 | | | | 400,687 | |
RTX Corp.
2.38%, 03/15/32 | | | | | | | 1,000 | | | | 833,349 | |
5.15%, 02/27/33 | | | | | | | 900 | | | | 917,230 | |
4.50%, 06/01/42 | | | | | | | 300 | | | | 272,434 | |
Spirit AeroSystems, Inc.(b)
9.38%, 11/30/29(e) | | | | | | | 296 | | | | 323,905 | |
9.75%, 11/15/30 | | | | | | | 279 | | | | 299,918 | |
TransDigm, Inc.(b)
6.25%, 03/15/26(e) | | | | | | | 2,900 | | | | 2,894,990 | |
6.75%, 08/15/28 | | | | | | | 1,232 | | | | 1,260,437 | |
7.13%, 12/01/31 | | | | | | | 635 | | | | 665,426 | |
Triumph Group, Inc., 9.00%, 03/15/28(b) | | | | | | | 703 | | | | 747,531 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 15,142,176 | |
| | | |
| Air Freight & Logistics — 0.2% | | | | | | | | | |
FedEx Corp., 4.75%, 11/15/45(e) | | | | | | | 1,250 | | | | 1,151,594 | |
| | | | | | | | | | | | |
| | | |
| Automobile Components — 0.6% | | | | | | | | | |
Aptiv PLC, 4.40%, 10/01/46 | | | | | | | 465 | | | | 376,328 | |
Clarios Global LP, 6.75%, 05/15/25(b) | | | | | | | 237 | | | | 239,086 | |
| | |
SCHEDULE OF INVESTMENTS | | 21 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Automobile Components (continued) | |
Clarios Global LP/Clarios U.S. Finance Co.
4.38%, 05/15/26(d) | | | EUR | | | | 200 | | | $ | 218,910 | |
6.25%, 05/15/26(b)(e) | | | USD | | | | 371 | | | | 371,482 | |
8.50%, 05/15/27(b)(e) | | | | | | | 1,287 | | | | 1,291,486 | |
6.75%, 05/15/28(b) | | | | | | | 366 | | | | 373,399 | |
Dana Financing Luxembourg SARL, 8.50%, 07/15/31(d) | | | EUR | | | | 100 | | | | 120,580 | |
Forvia SE, 3.75%, 06/15/28(d) | | | | | | | 100 | | | | 108,037 | |
Goodyear Tire & Rubber Co., 5.63%, 04/30/33 | | | USD | | | | 81 | | | | 72,607 | |
Tenneco, Inc., 8.00%, 11/17/28(b) | | | | | | | 15 | | | | 12,806 | |
ZF Finance GmbH, 3.75%, 09/21/28(d) | | | EUR | | | | 100 | | | | 106,334 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,291,055 | |
| | | |
| Automobiles — 0.8% | | | | | | | | | |
Asbury Automotive Group, Inc., 4.50%, 03/01/28 | | | USD | | | | 10 | | | | 9,497 | |
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28(b) | | | | | | | 111 | | | | 109,890 | |
Ford Motor Co.
6.10%, 08/19/32(e) | | | | | | | 168 | | | | 169,349 | |
4.75%, 01/15/43 | | | | | | | 2,000 | | | | 1,650,959 | |
General Motors Co., 6.25%, 10/02/43 | | | | | | | 2,506 | | | | 2,556,429 | |
LCM Investments Holdings II LLC(b)
4.88%, 05/01/29 | | | | | | | 55 | | | | 51,090 | |
8.25%, 08/01/31 | | | | | | | 172 | | | | 179,517 | |
RCI Banque SA, (5-year EUR Swap + 2.85%), 2.63%, 02/18/30(a)(d) | | | EUR | | | | 100 | | | | 106,752 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,833,483 | |
| | | |
| Banks — 4.6% | | | | | | | | | |
Banco BPM SpA, (3-mo. EURIBOR + 2.80%), 6.00%, 06/14/28(a) | | | | | | | 150 | | | | 173,229 | |
Banco de Sabadell SA, (1-year EUR Swap + 2.40%), 5.25%, 02/07/29(a)(d) | | | | | | | 100 | | | | 113,943 | |
Bangkok Bank PCL/Hong Kong, (5-year CMT + 4.73%), 5.00%(a) | | | USD | | | | 500 | | | | 481,250 | |
Bank Negara Indonesia Persero Tbk PT, 3.75%, 03/30/26(d) | | | | | | | 252 | | | | 239,652 | |
Bank of America Corp., (3-mo. CME Term SOFR + 1.57%), 4.27%, 07/23/29(a)(e) | | | | | | | 4,000 | | | | 3,861,957 | |
Barclays PLC, (1-year CMT + 1.05%), 2.28%, 11/24/27(a)(e) | | | | | | | 3,000 | | | | 2,756,427 | |
Citigroup, Inc.(a) | | | | | | | | | | | | |
(1-day SOFR + 2.34%), 6.27%, 11/17/33(e) | | | | | | | 1,567 | | | | 1,676,707 | |
(1-day SOFR + 2.66%), 6.17%, 05/25/34 | | | | | | | 290 | | | | 300,085 | |
Credit Suisse AG/New York, 5.00%, 07/09/27 | | | | | | | 900 | | | | 900,190 | |
Deutsche Bank AG/New York, (1-day SOFR + 3.18%),
6.72%, 01/18/29(a)(e) | | | | | | | 850 | | | | 890,126 | |
Freedom Mortgage Corp.
12.00%, 10/01/28(b) | | | | | | | 64 | | | | 69,896 | |
12.25%, 10/01/30 | | | | | | | 65 | | | | 71,354 | |
Goldman Sachs Group, Inc., (3-mo. CME Term SOFR + 1.56%), 4.22%, 05/01/29(a)(e) | | | | | | | 4,000 | | | | 3,869,308 | |
HSBC Holdings PLC, 6.10%, 01/14/42 | | | | | | | 610 | | | | 690,643 | |
JPMorgan Chase & Co.(a) | | | | | | | | | | | | |
(1-day SOFR + 1.18%), 2.55%, 11/08/32 | | | | | | | 1,000 | | | | 834,378 | |
(1-day SOFR + 2.08%), 4.91%, 07/25/33 | | | | | | | 1,381 | | | | 1,365,436 | |
(3-mo. CME Term SOFR + 1.42%), 3.70%, 05/06/30 | | | | | | | 1,000 | | | | 941,089 | |
(3-mo. CME Term SOFR + 2.46%), 3.11%, 04/22/41 | | | | | | | 800 | | | | 615,905 | |
Morgan Stanley, (1-day SOFR + 1.73%), 5.12%, 02/01/29(a)(e) | | | | | | | 3,000 | | | | 3,013,643 | |
NatWest Group PLC, (1-year CMT + 2.27%), 5.52%, 09/30/28(a) | | | | | | | 1,000 | | | | 1,005,306 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Banks (continued) | | | | | | | | | |
Northern Trust Corp., 6.13%, 11/02/32 | | | USD | | | | 95 | | | $ | 102,014 | |
Standard Chartered PLC, (5-year USD ICE Swap + 1.97%), 4.87%, 03/15/33(a)(b) | | | | | | | 500 | | | | 468,170 | |
Wells Fargo & Co.(a) | | | | | | | | | | | | |
(1-day SOFR + 2.02%), 5.39%, 04/24/34 | | | | | | | 1,124 | | | | 1,128,883 | |
(1-day SOFR + 2.53%), 3.07%, 04/30/41(e) | | | | | | | 2,250 | | | | 1,702,251 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 27,271,842 | |
| | | |
| Beverages — 0.8% | | | | | | | | | |
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46(e) | | | | | | | 4,600 | | | | 4,509,110 | |
Keurig Dr. Pepper, Inc., 2.25%, 03/15/31 | | | | | | | 400 | | | | 340,326 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,849,436 | |
| | | |
| Biotechnology — 0.8% | | | | | | | | | |
Amgen, Inc.
5.25%, 03/02/30 | | | | | | | 800 | | | | 822,397 | |
4.20%, 03/01/33 | | | | | | | 1,000 | | | | 951,191 | |
5.25%, 03/02/33(e) | | | | | | | 600 | | | | 615,139 | |
4.40%, 05/01/45 | | | | | | | 650 | | | | 576,909 | |
Baxalta, Inc., 5.25%, 06/23/45 | | | | | | | 500 | | | | 498,073 | |
Cidron Aida Finco SARL, 5.00%, 04/01/28(d) | | | EUR | | | | 100 | | | | 106,171 | |
Gilead Sciences, Inc., 4.80%, 04/01/44 | | | USD | | | | 1,000 | | | | 963,997 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,533,877 | |
| | | |
| Broadline Retail — 0.2% | | | | | | | | | |
Amazon.com, Inc., 4.05%, 08/22/47(e) | | | | | | | 1,500 | | | | 1,352,433 | |
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26(b) | | | | | | | 44 | | | | 42,282 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,394,715 | |
| | | |
| Building Products — 1.4% | | | | | | | | | |
Advanced Drainage Systems, Inc.(b)
5.00%, 09/30/27 | | | | | | | 215 | | | | 207,475 | |
6.38%, 06/15/30 | | | | | | | 247 | | | | 248,851 | |
Beacon Roofing Supply, Inc.(b)
4.13%, 05/15/29 | | | | | | | 86 | | | | 78,402 | |
6.50%, 08/01/30 | | | | | | | 191 | | | | 195,292 | |
Foundation Building Materials, Inc., 6.00%, 03/01/29(b) | | | | | | | 47 | | | | 42,259 | |
GYP Holdings III Corp., 4.63%, 05/01/29(b) | | | | | | | 138 | | | | 125,981 | |
Home Depot, Inc., 5.88%, 12/16/36 | | | | | | | 1,660 | | | | 1,855,454 | |
Lowe’s Cos., Inc.
1.70%, 10/15/30 | | | | | | | 1,600 | | | | 1,328,855 | |
5.00%, 04/15/33(e) | | | | | | | 1,000 | | | | 1,021,277 | |
4.38%, 09/15/45 | | | | | | | 1,000 | | | | 873,550 | |
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26(b) | | | | | | | 56 | | | | 54,923 | |
SRS Distribution, Inc.(b)
4.63%, 07/01/28 | | | | | | | 299 | | | | 283,660 | |
6.13%, 07/01/29(e) | | | | | | | 347 | | | | 328,966 | |
6.00%, 12/01/29(e) | | | | | | | 546 | | | | 509,094 | |
White Cap Buyer LLC, 6.88%, 10/15/28(b)(e) | | | | | | | 887 | | | | 858,626 | |
White Cap Parent LLC, (8.25% Cash or 9.00% PIK), 8.25%, 03/15/26(b)(e)(f) | | | | | | | 136 | | | | 135,368 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,148,033 | |
| | | |
| Capital Markets — 0.8% | | | | | | | | | |
Ares Capital Corp., 7.00%, 01/15/27 | | | | | | | 95 | | | | 97,717 | |
Aretec Group, Inc., 10.00%, 08/15/30(b) | | | | | | | 65 | | | | 69,072 | |
Blackstone Private Credit Fund
7.05%, 09/29/25 | | | | | | | 56 | | | | 56,990 | |
3.25%, 03/15/27 | | | | | | | 53 | | | | 48,619 | |
Blue Owl Capital Corp.
3.75%, 07/22/25 | | | | | | | 129 | | | | 123,559 | |
| | |
| 22 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Capital Markets (continued) | | | | | | | | | |
Blue Owl Capital Corp. (continued) 3.40%, 07/15/26 | | | USD | | | | 46 | | | $ | 42,766 | |
Blue Owl Capital Corp. II, 8.45%, 11/15/26 | | | | | | | 94 | | | | 96,843 | |
Blue Owl Credit Income Corp.
3.13%, 09/23/26 | | | | | | | 31 | | | | 28,310 | |
7.75%, 09/16/27 | | | | | | | 215 | | | | 221,675 | |
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29(b)(e) | | | | | | | 129 | | | | 121,856 | |
FMR LLC, 4.95%, 02/01/33(b) | | | | | | | 2,300 | | | | 2,218,969 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
6.25%, 05/15/26 | | | | | | | 115 | | | | 109,723 | |
5.25%, 05/15/27 | | | | | | | 431 | | | | 387,135 | |
9.75%, 01/15/29 | | | | | | | 188 | | | | 191,798 | |
4.38%, 02/01/29 | | | | | | | 142 | | | | 118,578 | |
Raymond James Financial, Inc., 4.95%, 07/15/46 | | | | | | | 400 | | | | 373,156 | |
SURA Asset Management SA, 4.88%, 04/17/24(d) | | | | | | | 178 | | | | 176,410 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,483,176 | |
| | | |
| Chemicals — 0.9% | | | | | | | | | |
Avient Corp., 7.13%, 08/01/30(b) | | | | | | | 74 | | | | 76,979 | |
Axalta Coating Systems Dutch Holding B BV, 7.25%, 02/15/31(b) | | | | | | | 173 | | | | 181,431 | |
Axalta Coating Systems LLC, 3.38%, 02/15/29(b) | | | | | | | 198 | | | | 177,691 | |
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27(b) | | | | | | | 242 | | | | 235,170 | |
Braskem Idesa SAPI, 6.99%, 02/20/32(b) | | | | | | | 200 | | | | 113,024 | |
Celanese U.S. Holdings LLC, 6.70%, 11/15/33 | | | | | | | 65 | | | | 70,499 | |
Chemours Co.(b)
5.75%, 11/15/28 | | | | | | | 85 | | | | 80,963 | |
4.63%, 11/15/29 | | | | | | | 118 | | | | 103,599 | |
Element Solutions, Inc., 3.88%, 09/01/28(b) | | | | | | | 859 | | | | 790,827 | |
HB Fuller Co., 4.25%, 10/15/28 | | | | | | | 74 | | | | 69,194 | |
Herens Holdco SARL, 4.75%, 05/15/28(b) | | | | | | | 200 | | | | 164,077 | |
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%,
07/01/28(b)(e) | | | | | | | 220 | | | | 210,364 | |
Kobe U.S. Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26(b)(f) | | | | | | | 185 | | | | 137,687 | |
LSF11 A5 HoldCo LLC, 6.63%, 10/15/29(b) | | | | | | | 90 | | | | 76,107 | |
Olympus Water U.S. Holding Corp.
9.63%, 11/15/28(d) | | | EUR | | | | 100 | | | | 118,123 | |
9.75%, 11/15/28(b) | | | USD | | | | 563 | | | | 597,564 | |
Sasol Financing USA LLC, 6.50%, 09/27/28 | | | | | | | 200 | | | | 188,812 | |
SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, 11/01/26(b)(e) | | | | | | | 200 | | | | 191,986 | |
Scotts Miracle-Gro Co.
4.50%, 10/15/29 | | | | | | | 84 | | | | 74,635 | |
4.38%, 02/01/32 | | | | | | | 46 | | | | 38,871 | |
Sherwin-Williams Co., 4.50%, 06/01/47 | | | | | | | 350 | | | | 320,123 | |
SK Invictus Intermediate II SARL, 5.00%, 10/30/29(b) | | | | | | | 311 | | | | 269,792 | |
WR Grace Holdings LLC(b)
4.88%, 06/15/27 | | | | | | | 105 | | | | 101,021 | |
5.63%, 08/15/29(e) | | | | | | | 632 | | | | 556,133 | |
7.38%, 03/01/31 | | | | | | | 152 | | | | 152,046 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,096,718 | |
|
| Commercial Services & Supplies — 1.4% | |
ADT Security Corp.(b)
4.13%, 08/01/29 | | | | | | | 19 | | | | 17,485 | |
4.88%, 07/15/32 | | | | | | | 39 | | | | 36,075 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Commercial Services & Supplies (continued) | |
Albion Financing 1 SARL/Aggreko Holdings, Inc., 6.13%, 10/15/26(b) | | | USD | | | | 200 | | | $ | 198,112 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp.(b)(e)
6.63%, 07/15/26 | | | | | | | 415 | | | | 412,821 | |
9.75%, 07/15/27 | | | | | | | 249 | | | | 243,994 | |
6.00%, 06/01/29 | | | | | | | 898 | | | | 732,134 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL, 4.63%, 06/01/28(b) | | | | | | | 729 | | | | 664,637 | |
APX Group, Inc.(b)
6.75%, 02/15/27 | | | | | | | 123 | | | | 122,692 | |
5.75%, 07/15/29 | | | | | | | 181 | | | | 168,738 | |
Ashtead Capital, Inc., 5.95%, 10/15/33(b) | | | | | | | 250 | | | | 254,700 | |
BCP V Modular Services Finance II PLC, 4.75%, 11/30/28(d) | | | EUR | | | | 100 | | | | 101,977 | |
Fortress Transportation and Infrastructure Investors LLC
6.50%, 10/01/25(b) | | | USD | | | | 411 | | | | 409,684 | |
9.75%, 08/01/27(b) | | | | | | | 219 | | | | 227,760 | |
5.50%, 05/01/28(b)(e) | | | | | | | 361 | | | | 347,153 | |
7.88%, 12/01/30 | | | | | | | 481 | | | | 501,096 | |
Garda World Security Corp.(b)
4.63%, 02/15/27 | | | | | | | 88 | | | | 84,849 | |
9.50%, 11/01/27 | | | | | | | 96 | | | | 96,782 | |
7.75%, 02/15/28 | | | | | | | 370 | | | | 382,805 | |
6.00%, 06/01/29 | | | | | | | 16 | | | | 14,342 | |
Herc Holdings, Inc., 5.50%, 07/15/27(b)(e) | | | | | | | 360 | | | | 355,434 | |
Metis Merger Sub LLC, 6.50%, 05/15/29(b) | | | | | | | 82 | | | | 74,155 | |
Neptune Bidco U.S., Inc., 9.29%, 04/15/29(b) | | | | | | | 120 | | | | 111,900 | |
NESCO Holdings II, Inc., 5.50%, 04/15/29(b) | | | | | | | 146 | | | | 134,990 | |
Paprec Holding SA, 7.25%, 11/17/29(d) | | | EUR | | | | 100 | | | | 118,261 | |
Prime Security Services Borrower LLC/Prime Finance, Inc.(b)
5.75%, 04/15/26 | | | USD | | | | 100 | | | | 100,542 | |
6.25%, 01/15/28(e) | | | | | | | 216 | | | | 214,740 | |
Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29(b)(e) | | | | | | | 400 | | | | 345,944 | |
United Rentals North America, Inc., 6.00%, 12/15/29(b) | | | | | | | 1,052 | | | | 1,068,062 | |
Verisure Holding AB, 9.25%, 10/15/27(d) | | | EUR | | | | 100 | | | | 118,428 | |
Williams Scotsman, Inc.
6.13%, 06/15/25(b) | | | USD | | | | 175 | | | | 175,345 | |
7.38%, 10/01/31 | | | | | | | 199 | | | | 208,703 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,044,340 | |
| | | |
| Communications Equipment — 0.1% | | | | | | | | | |
CommScope Technologies LLC, 6.00%, 06/15/25(b)(e) | | | | | | | 365 | | | | 297,475 | |
CommScope, Inc., 4.75%, 09/01/29(b) | | | | | | | 161 | | | | 108,096 | |
Viasat, Inc.
5.63%, 09/15/25(b) | | | | | | | 314 | | | | 306,162 | |
5.63%, 04/15/27(b) | | | | | | | 97 | | | | 93,848 | |
7.50%, 05/30/31 | | | | | | | 33 | | | | 25,905 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 831,486 | |
| | | |
| Construction & Engineering — 0.2% | | | | | | | | | |
Arcosa, Inc., 4.38%, 04/15/29(b) | | | | | | | 117 | | | | 108,972 | |
Brand Industrial Services, Inc., 10.38%, 08/01/30 | | | | | | | 1,004 | | | | 1,061,760 | |
Pike Corp., 8.63%, 01/31/31(b) | | | | | | | 57 | | | | 59,898 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,230,630 | |
| | |
SCHEDULE OF INVESTMENTS | | 23 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Construction Materials — 0.7% | | | | | | | | | |
BCPE Empire Holdings, Inc., 7.63%, 05/01/27(b) | | | USD | | | | 210 | | | $ | 202,496 | |
Camelot Return Merger Sub, Inc., 8.75%, 08/01/28(b) | | | | | | | 183 | | | | 185,750 | |
Emerald Debt Merger Sub LLC
6.38%, 12/15/30(b) | | | EUR | | | | 110 | | | | 129,698 | |
6.38%, 12/15/30(d) | | | | | | | 100 | | | | 117,907 | |
6.63%, 12/15/30(b) | | | USD | | | | 1,603 | | | | 1,637,256 | |
HT Troplast GmbH, 9.38%, 07/15/28 | | | EUR | | | | 100 | | | | 111,981 | |
Jeld-Wen, Inc., 4.63%, 12/15/25(b) | | | USD | | | | 155 | | | | 149,963 | |
Masonite International Corp., 5.38%, 02/01/28(b) | | | | | | | 17 | | | | 16,320 | |
New Enterprise Stone & Lime Co.,
Inc.(b)
5.25%, 07/15/28 | | | | | | | 55 | | | | 52,465 | |
9.75%, 07/15/28 | | | | | | | 26 | | | | 26,000 | |
Resideo Funding, Inc., 4.00%, 09/01/29(b) | | | | | | | 42 | | | | 36,645 | |
Ritchie Bros Holdings, Inc., 6.75%, 03/15/28(b) | | | | | | | 56 | | | | 57,656 | |
Smyrna Ready Mix Concrete LLC
6.00%, 11/01/28(b) | | | | | | | 262 | | | | 257,960 | |
8.88%, 11/15/31 | | | | | | | 479 | | | | 503,513 | |
Standard Industries, Inc./New Jersey(b)
5.00%, 02/15/27 | | | | | | | 157 | | | | 153,065 | |
4.75%, 01/15/28 | | | | | | | 62 | | | | 59,687 | |
4.38%, 07/15/30 | | | | | | | 170 | | | | 156,126 | |
3.38%, 01/15/31 | | | | | | | 44 | | | | 37,852 | |
Summit Materials LLC/Summit Materials Finance Corp.(b)
5.25%, 01/15/29 | | | | | | | 19 | | | | 18,383 | |
7.25%, 01/15/31 | | | | | | | 295 | | | | 310,843 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,221,566 | |
| | | |
| Consumer Discretionary — 0.0% | | | | | | | | | |
Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 07/30/26(d) | | | EUR | | | | 88 | | | | 96,574 | |
| | | | | | | | | | | | |
| | | |
| Consumer Finance — 1.2% | | | | | | | | | |
Block, Inc.
2.75%, 06/01/26 | | | USD | | | | 446 | | | | 420,591 | |
3.50%, 06/01/31(e) | | | | | | | 476 | | | | 422,665 | |
Bread Financial Holdings, Inc., 9.75%, 03/15/29(b) | | | | | | | 88 | | | | 91,227 | |
Capital One Financial Corp.(a) | | | | | | | | | | | | |
(1-day SOFR + 2.60%), 5.82%, 02/01/34 | | | | | | | 440 | | | | 437,855 | |
(1-day SOFR + 2.86%), 6.38%, 06/08/34 | | | | | | | 70 | | | | 72,044 | |
Ford Motor Credit Co. LLC
2.75%, 06/14/24 | | | GBP | | | | 100 | | | | 125,624 | |
7.35%, 03/06/30 | | | USD | | | | 394 | | | | 423,275 | |
7.20%, 06/10/30(e) | | | | | | | 236 | | | | 251,351 | |
GTCR W-2 Merger Sub LLC, 7.50%, 01/15/31(b) | | | | | | | 1,177 | | | | 1,243,762 | |
Moody’s Corp., 2.75%, 08/19/41 | | | | | | | 350 | | | | 254,907 | |
Navient Corp.
5.50%, 03/15/29 | | | | | | | 30 | | | | 27,664 | |
9.38%, 07/25/30 | | | | | | | 148 | | | | 155,056 | |
OneMain Finance Corp.
6.88%, 03/15/25 | | | | | | | 53 | | | | 53,651 | |
7.13%, 03/15/26(e) | | | | | | | 168 | | | | 171,157 | |
3.50%, 01/15/27 | | | | | | | 116 | | | | 107,351 | |
6.63%, 01/15/28 | | | | | | | 165 | | | | 166,574 | |
9.00%, 01/15/29(e) | | | | | | | 200 | | | | 211,446 | |
5.38%, 11/15/29 | | | | | | | 42 | | | | 39,329 | |
7.88%, 03/15/30 | | | | | | | 245 | | | | 252,196 | |
4.00%, 09/15/30 | | | | | | | 130 | | | | 111,248 | |
Sabre GLBL, Inc., 8.63%, 06/01/27 | | | | | | | 348 | | | | 316,687 | |
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(b) | | | | | | | 395 | | | | 384,102 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Consumer Finance (continued) | | | | | | | | | |
Shift4 Payments, Inc., 0.00%,
12/15/25(g)(h) | | | USD | | | | 112 | | | $ | 124,253 | |
Verscend Escrow Corp., 9.75%, 08/15/26(b)(e) | | | | | | | 1,355 | | | | 1,364,523 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,228,538 | |
|
| Consumer Staples Distribution & Retail — 0.5% | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(b)
3.25%, 03/15/26 | | | | | | | 34 | | | | 32,079 | |
7.50%, 03/15/26 | | | | | | | 65 | | | | 66,208 | |
4.63%, 01/15/27 | | | | | | | 111 | | | | 107,915 | |
5.88%, 02/15/28 | | | | | | | 219 | | | | 219,147 | |
6.50%, 02/15/28 | | | | | | | 109 | | | | 110,302 | |
3.50%, 03/15/29 | | | | | | | 198 | | | | 179,781 | |
4.88%, 02/15/30(e) | | | | | | | 241 | | | | 230,716 | |
Bellis Acquisition Co. PLC, 3.25%, 02/16/26(d) | | | GBP | | | | 100 | | | | 118,021 | |
Kraft Heinz Foods Co.
5.00%, 06/04/42 | | | USD | | | | 500 | | | | 481,625 | |
4.38%, 06/01/46 | | | | | | | 200 | | | | 174,558 | |
Lamb Weston Holdings, Inc.(b)
4.88%, 05/15/28 | | | | | | | 229 | | | | 223,961 | |
4.13%, 01/31/30 | | | | | | | 90 | | | | 82,974 | |
4.38%, 01/31/32 | | | | | | | 94 | | | | 85,754 | |
Market Bidco Finco PLC, 5.50%, 11/04/27(d) | | | GBP | | | | 100 | | | | 112,169 | |
Performance Food Group, Inc.(b)
5.50%, 10/15/27 | | | USD | | | | 28 | | | | 27,589 | |
4.25%, 08/01/29 | | | | | | | 95 | | | | 87,133 | |
Post Holdings, Inc.(b)
4.63%, 04/15/30 | | | | | | | 159 | | | | 146,255 | |
4.50%, 09/15/31 | | | | | | | 9 | | | | 8,065 | |
U.S. Foods, Inc.(b)
6.88%, 09/15/28 | | | | | | | 123 | | | | 126,611 | |
4.75%, 02/15/29 | | | | | | | 129 | | | | 122,517 | |
4.63%, 06/01/30 | | | | | | | 27 | | | | 25,163 | |
7.25%, 01/15/32(e) | | | | | | | 148 | | | | 154,322 | |
United Natural Foods, Inc., 6.75%, 10/15/28(b) | | | | | | | 24 | | | | 19,429 | |
Walgreens Boots Alliance, Inc.
3.20%, 04/15/30 | | | | | | | 19 | | | | 16,725 | |
4.80%, 11/18/44 | | | | | | | 61 | | | | 50,824 | |
4.10%, 04/15/50 | | | | | | | 93 | | | | 67,534 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,077,377 | |
| | | |
| Containers & Packaging — 1.0% | | | | | | | | | |
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC(b)
6.00%, 06/15/27 | | | | | | | 372 | | | | 370,667 | |
4.00%, 09/01/29(e) | | | | | | | 666 | | | | 563,753 | |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
5.25%, 04/30/25(b) | | | | | | | 200 | | | | 194,504 | |
2.13%, 08/15/26(d) | | | EUR | | | | 200 | | | | 196,313 | |
4.13%, 08/15/26(b) | | | USD | | | | 227 | | | | 207,137 | |
5.25%, 08/15/27(b) | | | | | | | 202 | | | | 156,927 | |
Ball Corp., 6.00%, 06/15/29(e) | | | | | | | 129 | | | | 131,731 | |
Clydesdale Acquisition Holdings, Inc.(b)
6.63%, 04/15/29 | | | | | | | 315 | | | | 309,825 | |
8.75%, 04/15/30 | | | | | | | 476 | | | | 443,807 | |
Crown Americas LLC, 5.25%, 04/01/30 | | | | | | | 12 | | | | 11,818 | |
LABL, Inc.(b)
5.88%, 11/01/28 | | | | | | | 81 | | | | 73,388 | |
9.50%, 11/01/28 | | | | | | | 301 | | | | 304,010 | |
Mauser Packaging Solutions Holding
Co.(b)
7.88%, 08/15/26(e) | | | | | | | 1,913 | | | | 1,946,824 | |
9.25%, 04/15/27 | | | | | | | 44 | | | | 43,188 | |
| | |
| 24 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Containers & Packaging (continued) | | | | | | | | | |
OI European Group BV, 6.25%, 05/15/28 | | | EUR | | | | 100 | | | $ | 115,473 | |
Owens-Brockway Glass Container,
Inc.(b)
6.63%, 05/13/27 | | | USD | | | | 27 | | | | 27,003 | |
7.25%, 05/15/31 | | | | | | | 118 | | | | 119,639 | |
Sealed Air Corp., 5.00%, 04/15/29(b) | | | | | | | 38 | | | | 36,747 | |
Sealed Air Corp./Sealed Air Corp. U.S., 6.13%, 02/01/28(b) | | | | | | | 122 | | | | 123,051 | |
Trident TPI Holdings, Inc., 12.75%, 12/31/28(b) | | | | | | | 23 | | | | 24,610 | |
Trivium Packaging Finance BV(b)
5.50%, 08/15/26 | | | | | | | 305 | | | | 299,238 | |
8.50%, 08/15/27 | | | | | | | 200 | | | | 196,100 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,895,753 | |
|
| Diversified Consumer Services — 0.2% | |
Graham Holdings Co., 5.75%, 06/01/26(b) | | | | | | | 27 | | | | 26,838 | |
Grand Canyon University, 5.13%, 10/01/28 | | | | | | | 702 | | | | 627,700 | |
Service Corp. International, 4.00%, 05/15/31 | | | | | | | 20 | | | | 17,910 | |
Sotheby’s, 7.38%, 10/15/27(b)(e) | | | | | | | 465 | | | | 448,444 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,120,892 | |
| | | |
| Diversified REITs — 1.2% | | | | | | | | | |
American Tower Corp., 2.90%, 01/15/30(e) | | | | | | | 2,500 | | | | 2,224,758 | |
Crown Castle, Inc.
3.10%, 11/15/29 | | | | | | | 750 | | | | 671,025 | |
2.10%, 04/01/31 | | | | | | | 1,000 | | | | 814,457 | |
2.90%, 04/01/41 | | | | | | | 350 | | | | 249,793 | |
Equinix, Inc., 2.50%, 05/15/31 | | | | | | | 500 | | | | 424,412 | |
GLP Capital LP/GLP Financing II, Inc.
3.25%, 01/15/32 | | | | | | | 379 | | | | 319,972 | |
6.75%, 12/01/33 | | | | | | | 115 | | | | 124,065 | |
HAT Holdings I LLC/HAT Holdings II LLC, 8.00%, 06/15/27 | | | | | | | 70 | | | | 72,894 | |
Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32(b) | | | | | | | 127 | | | | 116,329 | |
Prologis LP, 4.63%, 01/15/33(e) | | | | | | | 1,000 | | | | 1,004,437 | |
SBA Communications Corp.
3.13%, 02/01/29(e) | | | | | | | 321 | | | | 288,417 | |
3.88%, 02/15/27 | | | | | | | 18 | | | | 17,286 | |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, 02/15/28(b) | | | | | | | 605 | | | | 613,352 | |
VICI Properties LP, 4.95%, 02/15/30 | | | | | | | 106 | | | | 102,854 | |
VICI Properties LP/VICI Note Co., Inc., 4.63%, 12/01/29(b) | | | | | | | 239 | | | | 225,198 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,269,249 | |
|
| Diversified Telecommunication Services — 2.9% | |
AT&T, Inc.
6.38%, 03/01/41 | | | | | | | 520 | | | | 569,598 | |
5.15%, 03/15/42 | | | | | | | 1,200 | | | | 1,153,686 | |
4.75%, 05/15/46(e) | | | | | | | 1,500 | | | | 1,355,783 | |
Bell Telephone Co. of Canada or Bell Canada, Series US-4, 3.65%, 03/17/51 | | | | | | | 335 | | | | 256,775 | |
Cablevision Lightpath LLC(b)
3.88%, 09/15/27 | | | | | | | 220 | | | | 193,192 | |
5.63%, 09/15/28 | | | | | | | 200 | | | | 157,622 | |
Cellnex Telecom SA, 2.13%, 08/11/30 | | | EUR | | | | 100 | | | | 113,436 | |
Frontier Communications Holdings
LLC(b)
5.88%, 10/15/27 | | | USD | | | | 182 | | | | 175,830 | |
5.00%, 05/01/28 | | | | | | | 293 | | | | 270,784 | |
8.75%, 05/15/30 | | | | | | | 966 | | | | 993,733 | |
Iliad Holding SASU, 6.50%, 10/15/26(b) | | | | | | | 529 | | | | 527,965 | |
Kaixo Bondco Telecom SA, 5.13%, 09/30/29(d) | | | EUR | | | | 100 | | | | 102,943 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Diversified Telecommunication Services (continued) | |
Level 3 Financing, Inc. | | | | | | | | | | | | |
3.40%, 03/01/27 | | | USD | | | | 689 | | | $ | 661,440 | |
4.63%, 09/15/27 | | | | | | | 656 | | | | 393,600 | |
3.63%, 01/15/29 | | | | | | | 68 | | | | 34,680 | |
10.50%, 05/15/30 | | | | | | | 686 | | | | 665,204 | |
Level 3 New Money TSA, 11.00%, 11/15/29(i) | | | | | | | 445 | | | | 445,417 | |
Lumen Technologies, Inc., 4.00%, 02/15/27 | | | | | | | 329 | | | | 212,327 | |
Network i2i Ltd., (5-year CMT + 4.27%),
5.65%(a)(d)(j) . | | | | 400 | | | | 393,250 | |
Sable International Finance Ltd., 5.75%, 09/07/27(b) | | | | | | | 200 | | | | 189,310 | |
SoftBank Group Corp.(d) | | | | | | | | | | | | |
3.13%, 09/19/25 | | | EUR | | | | 100 | | | | 106,522 | |
3.88%, 07/06/32 | | | | | | | 100 | | | | 94,150 | |
Telecom Italia Capital SA | | | | | | | | | | | | |
6.38%, 11/15/33 | | | USD | | | | 3 | | | | 2,934 | |
6.00%, 09/30/34 | | | | | | | 284 | | | | 269,709 | |
7.20%, 07/18/36 | | | | | | | 227 | | | | 227,868 | |
7.72%, 06/04/38 | | | | | | | 95 | | | | 96,742 | |
Telecom Italia SpA/Milano, 6.88%, 02/15/28(d) | | | EUR | | | | 100 | | | | 117,317 | |
Verizon Communications, Inc., 6.55%, 09/15/43(e) | | | USD | | | | 5,000 | | | | 5,751,972 | |
Zayo Group Holdings, Inc.(b)(e) | | | | | | | | | | | | |
4.00%, 03/01/27 | | | | | | | 1,745 | | | | 1,399,097 | |
6.13%, 03/01/28 | | | | | | | 647 | | | | 475,196 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 17,408,082 | |
| | | |
| Electric Utilities — 4.8% | | | | | | | | | |
Baltimore Gas and Electric Co. | | | | | | | | | | | | |
3.50%, 08/15/46 | | | | | | | 800 | | | | 611,727 | |
3.75%, 08/15/47 | | | | | | | 500 | | | | 395,536 | |
CenterPoint Energy Houston Electric LLC, Series AI, 4.45%, 10/01/32 | | | | | | | 750 | | | | 736,911 | |
Cleveland Electric Illuminating Co., 5.95%, 12/15/36 | | | . | | | | 434 | | | | 444,150 | |
Duke Energy Carolinas LLC | | | | | | | | | | | | |
6.10%, 06/01/37 | | | | | | | 640 | | | | 687,379 | |
6.00%, 01/15/38 | | | | | | | 1,675 | | | | 1,801,013 | |
Duke Energy Florida LLC | | | | | | | | | | | | |
6.35%, 09/15/37 | | | | | | | 2,775 | | | | 3,084,254 | |
6.40%, 06/15/38 | | | | | | | 770 | | | | 861,244 | |
E.ON International Finance BV, 6.65%, 04/30/38(b) | | | | | | | 2,000 | | | | 2,215,907 | |
Electricite de France SA, 5.60%,
01/27/40(b)(e) | | | | | | | 2,800 | | | | 2,792,197 | |
Eversource Energy, 2.55%, 03/15/31 | | | | | | | 350 | | | | 295,523 | |
FirstEnergy Corp., 2.65%, 03/01/30 | | | | | | | 33 | | | | 28,510 | |
Mong Duong Finance Holdings BV, 5.13%, 05/07/29 | | | | 531 | | | | 492,724 | |
NextEra Energy Operating Partners LP | | | | | | | | | | | | |
3.88%, 10/15/26(b) | | | | | | | 41 | | | | 39,037 | |
7.25%, 01/15/29 | | | | | | | 106 | | | | 110,972 | |
Ohio Power Co., Series D, 6.60%, 03/01/33(e) | | | | | | | 3,000 | | | | 3,288,145 | |
Oncor Electric Delivery Co. LLC | | | | | | | | | | | | |
4.15%, 06/01/32 | | | | | | | 1,000 | | | | 959,791 | |
4.55%, 09/15/32(e) | | | | | | | 1,000 | | | | 990,677 | |
Pacific Gas and Electric Co., 6.95%, 03/15/34 | | | | | | | 305 | | | | 335,015 | |
San Diego Gas & Electric Co. | | | | | | | | | | | | |
4.95%, 08/15/28(e) | | | | | | | 1,565 | | | | 1,597,076 | |
Series VVV, 1.70%, 10/01/30 | | | | | | | 750 | | | | 619,426 | |
Southern California Edison Co., 5.63%, 02/01/36 | | | | | | | 1,300 | | | | 1,323,645 | |
Star Energy Geothermal Wayang Windu Ltd., 6.75%, 04/24/33(d) | | | | | | | 211 | | | | 209,556 | |
Talen Energy Supply LLC, 8.63%, 06/01/30(b) | | | | | | | 91 | | | | 96,691 | |
TransAlta Corp., 7.75%, 11/15/29 | | | | | | | 77 | | | | 81,781 | |
Virginia Electric and Power Co., Series A, 6.00%, 05/15/37(e) | | | | | | | 3,920 | | | | 4,213,656 | |
Vistra Operations Co. LLC(b) | | | | | | | | | | | | |
5.50%, 09/01/26 | | | | | | | 12 | | | | 11,847 | |
| | |
SCHEDULE OF INVESTMENTS | | 25 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Electric Utilities (continued) | |
Vistra Operations Co. LLC(b) (continued) | |
5.00%, 07/31/27 | | | USD | | | | 12 | | | $ | 11,683 | |
7.75%, 10/15/31 | | | | | | | 233 | | | | 241,991 | |
6.95%, 10/15/33 | | | | | | | 145 | | | | 152,603 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 28,730,667 | |
| | | |
| Electrical Equipment — 0.3% | | | | | | | | | |
Eaton Corp., 4.15%, 11/02/42 | | | | | | | 500 | | | | 458,170 | |
Regal Rexnord Corp.(b) | | | | | | | | | | | | |
6.05%, 04/15/28 | | | | | | | 349 | | | | 353,285 | |
6.30%, 02/15/30 | | | | | | | 145 | | | | 148,757 | |
6.40%, 04/15/33 | | | | | | | 150 | | | | 156,340 | |
WESCO Distribution, Inc.(b) | | | | | | | | | | | | |
7.13%, 06/15/25 | | | | | | | 117 | | | | 117,854 | |
7.25%, 06/15/28(e) | | | | | | | 340 | | | | 349,461 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,583,867 | |
|
| Electronic Equipment, Instruments & Components — 0.4% | |
Coherent Corp., 5.00%, 12/15/29(b)(e) | | | | | | | 236 | | | | 224,142 | |
Corning, Inc., 4.38%, 11/15/57(e) | | | | | | | 2,000 | | | | 1,747,226 | |
Imola Merger Corp., 4.75%, 05/15/29(b) | | | | | | | 40 | | | | 38,004 | |
Sensata Technologies BV, 5.88%, 09/01/30(b) | | | | | | | 200 | | | | 198,703 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,208,075 | |
|
| Energy Equipment & Services — 0.4% | |
Archrock Partners LP/Archrock Partners Finance Corp.(b) | | | | | | | | | | | | |
6.88%, 04/01/27 | | | | | | | 246 | | | | 246,615 | |
6.25%, 04/01/28 | | | | | | | 347 | | | | 341,795 | |
Borr IHC Ltd./Borr Finance | | | | | | | | | | | | |
10.00%, 11/15/28 | | | | | | | 298 | | | | 311,419 | |
10.38%, 11/15/30 | | | | | | | 200 | | | | 206,312 | |
Halliburton Co., 5.00%, 11/15/45(e) | | | | | | | 500 | | | | 485,248 | |
Oceaneering International, Inc., 6.00%, 02/01/28(b) | | | | | | | 45 | | | | 43,618 | |
Patterson-UTI Energy, Inc., 7.15%, 10/01/33 | | | | | | | 65 | | | | 68,861 | |
USA Compression Partners LP/USA Compression Finance Corp. | | | | | | | | | | | | |
6.88%, 04/01/26 | | | | | | | 315 | | | | 313,671 | |
6.88%, 09/01/27 | | | | | | | 121 | | | | 119,566 | |
Vallourec SACA, 8.50%, 06/30/26(d) | | | EUR | | | | 23 | | | | 25,515 | |
Weatherford International Ltd.(b) | | | | | | | | | | | | |
6.50%, 09/15/28 | | | USD | | | | 99 | | | | 102,447 | |
8.63%, 04/30/30(e) | | | | | | | 220 | | | | 229,693 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,494,760 | |
| | | |
| Entertainment(b) — 0.2% | | | | | | | | | |
Lions Gate Capital Holdings LLC, 5.50%, 04/15/29 | | | | | | | 155 | | | | 115,956 | |
Live Nation Entertainment, Inc. | | | | | | | | | | | | |
5.63%, 03/15/26 | | | | | | | 11 | | | | 10,899 | |
6.50%, 05/15/27(e) | | | | | | | 612 | | | | 622,724 | |
4.75%, 10/15/27(e) | | | | | | | 345 | | | | 330,798 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,080,377 | |
|
| Environmental, Maintenance & Security Service — 0.4% | |
Clean Harbors, Inc., 6.38%, 02/01/31(b) | | | | | | | 77 | | | | 78,236 | |
Covanta Holding Corp. | | | | | | | | | | | | |
4.88%, 12/01/29(b) | | | | | | | 92 | | | | 80,379 | |
5.00%, 09/01/30 | | | | | | | 48 | | | | 40,856 | |
GFL Environmental, Inc.(b) | | | | | | | | | | | | |
3.75%, 08/01/25 | | | | | | | 120 | | | | 117,193 | |
4.00%, 08/01/28 | | | | | | | 174 | | | | 160,844 | |
3.50%, 09/01/28 | | | | | | | 131 | | | | 121,052 | |
4.75%, 06/15/29(e) | | | | | | | 148 | | | | 139,410 | |
4.38%, 08/15/29 | | | | | | | 252 | | | | 232,567 | |
6.75%, 01/15/31 | | | | | | | 428 | | | | 440,960 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Environmental, Maintenance & Security Service (continued) | |
Tervita Corp., 11.00%, 12/01/25(b) | | | USD | | | | 77 | | | $ | 80,850 | |
Waste Management, Inc., 2.95%, 06/01/41 | | | | | | | 350 | | | | 272,773 | |
Waste Pro USA, Inc., 5.50%, 02/15/26(b) | | | | | | | 813 | | | | 782,513 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,547,633 | |
| | | |
| Financial Services — 0.5% | | | | | | | | | |
Aircastle Ltd., 6.50%, 07/18/28(b) | | | | | | | 92 | | | | 93,814 | |
ASG Finance Designated Activity Co., 7.88%, 12/03/24(b) | | | | | | | 200 | | | | 195,000 | |
Castlelake Aviation Finance DAC, 5.00%, 04/15/27(b) | | | | | | | 23 | | | | 21,532 | |
GGAM Finance Ltd.(b) | | | | | | | | | | | | |
7.75%, 05/15/26 | | | | | | | 30 | | | | 30,450 | |
8.00%, 02/15/27 | | | | | | | 279 | | | | 285,986 | |
8.00%, 06/15/28 | | | | | | | 113 | | | | 116,910 | |
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24(b)(f) | | | | | | | 225 | | | | 211,285 | |
Jefferies Finance LLC/JFIN Co.-Issuer Corp., 5.00%, 08/15/28(b) | | | | | | | 220 | | | | 196,917 | |
Macquarie Airfinance Holdings Ltd., 8.13%, 03/30/29 | | | | | | | 146 | | | | 152,602 | |
Nationstar Mortgage Holdings, Inc.(b) | | | | | | | | | | | | |
5.00%, 02/01/26 | | | | | | | 878 | | | | 858,647 | |
6.00%, 01/15/27 | | | | | | | 33 | | | | 32,752 | |
5.13%, 12/15/30 | | | | | | | 75 | | | | 67,810 | |
5.75%, 11/15/31 | | | | | | | 115 | | | | 107,227 | |
PennyMac Financial Services, Inc., 7.88%, 12/15/29 | | | | | | | 177 | | | | 182,198 | |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.(b) | | | | | | | | | | | | |
2.88%, 10/15/26 | | | | | | | 604 | | | | 557,190 | |
3.88%, 03/01/31 | | | | | | | 98 | | | | 86,191 | |
4.00%, 10/15/33 | | | | | | | 56 | | | | 47,574 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,244,085 | |
| | | |
| Food Products — 0.4% | | | | | | | | | |
Aramark International Finance SARL, 3.13%, 04/01/25(d) | | | EUR | | | | 100 | | | | 109,453 | |
Aramark Services, Inc., 5.00%, 02/01/28(b)(e) | | | USD | | | | 541 | | | | 524,792 | |
B&G Foods, Inc., 8.00%, 09/15/28 | | | | | | | 71 | | | | 74,553 | |
Chobani LLC/Chobani Finance Corp., Inc.(b) | | | | | | | | | | | | |
7.50%, 04/15/25 | | | | | | | 866 | | | | 861,670 | |
4.63%, 11/15/28 | | | | | | | 466 | | | | 435,621 | |
Darling Global Finance BV, 3.63%, 05/15/26(d) | | | EUR | | | | 100 | | | | 108,918 | |
Darling Ingredients, Inc., 6.00%, 06/15/30(b)(e) | | | USD | | | | 221 | | | | 221,163 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,336,170 | |
| | | |
| Gas Utilities — 0.3% | | | | | | | | | |
AmeriGas Partners LP/AmeriGas Finance Corp., 9.38%, 06/01/28(b) | | | | | | | 193 | | | | 199,307 | |
KeySpan Gas East Corp., 5.82%, 04/01/41(b) | | | | | | | 1,010 | | | | 979,466 | |
NiSource, Inc., 1.70%, 02/15/31 | | | | | | | 400 | | | | 324,084 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,502,857 | |
| | | |
| Ground Transportation — 1.5% | | | | | | | | | |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 8.00%, 02/15/31(b) | | | | | | | 150 | | | | 149,794 | |
Burlington Northern Santa Fe LLC, 5.75%, 05/01/40 | | | | | | | 1,890 | | | | 2,057,160 | |
GN Bondco LLC, 9.50%, 10/15/31 | | | | | | | 231 | | | | 225,523 | |
Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34(b) | | | | | | | 2,221 | | | | 2,189,924 | |
Norfolk Southern Corp., 2.30%, 05/15/31 | | | | | | | 1,800 | | | | 1,553,039 | |
RXO, Inc., 7.50%, 11/15/27(b) | | | | | | | 60 | | | | 61,912 | |
Uber Technologies, Inc. | | | | | | | | | | | | |
0.00%, 12/15/25(g)(h) | | | | | | | 590 | | | | 599,947 | |
8.00%, 11/01/26(b) | | | | | | | 124 | | | | 126,300 | |
7.50%, 09/15/27(b)(e) | | | | | | | 238 | | | | 246,480 | |
6.25%, 01/15/28(b) | | | | | | | 178 | | | | 178,446 | |
| | |
| 26 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Ground Transportation (continued) | | | | | | | | | |
Uber Technologies, Inc. (continued)
4.50%, 08/15/29(b)(e) | | | USD | | | | 650 | | | $ | 620,078 | |
Union Pacific Corp.
3.38%, 02/14/42 | | | | | | | 350 | | | | 285,745 | |
3.84%, 03/20/60 | | | | | | | 800 | | | | 652,595 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,946,943 | |
|
| Health Care Equipment & Supplies — 1.0% | |
Avantor Funding, Inc.
2.63%, 11/01/25(d) | | | EUR | | | | 100 | | | | 107,829 | |
4.63%, 07/15/28(b)(e) | | | USD | | | | 393 | | | | 379,827 | |
3.88%, 11/01/29(b) | | | | | | | 17 | | | | 15,438 | |
Bausch & Lomb Escrow Corp., 8.38%, 10/01/28(b) | | | | | | | 876 | | | | 924,127 | |
Becton Dickinson & Co.
4.30%, 08/22/32 | | | | | | | 750 | | | | 723,521 | |
4.69%, 12/15/44(e) | | | | | | | 600 | | | | 560,681 | |
Garden Spinco Corp., 8.63%, 07/20/30(b) | | | | | | | 136 | | | | 145,267 | |
Medline Borrower LP(b)
3.88%, 04/01/29 | | | | | | | 338 | | | | 305,601 | |
5.25%, 10/01/29(e) | | | | | | | 1,021 | | | | 962,371 | |
Teleflex, Inc., 4.63%, 11/15/27 | | | | | | | 14 | | | | 13,609 | |
Thermo Fisher Scientific, Inc.
5.09%, 08/10/33 | | | | | | | 495 | | | | 515,932 | |
5.30%, 02/01/44(e) | | | | | | | 1,000 | | | | 1,039,601 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,693,804 | |
|
| Health Care Providers & Services — 2.1% | |
Acadia Healthcare Co., Inc., 5.50%, 07/01/28(b) | | | | | | | 37 | | | | 36,439 | |
Aetna, Inc., 4.50%, 05/15/42 | | | | | | | 575 | | | | 503,701 | |
AHP Health Partners, Inc., 5.75%, 07/15/29(b) | | | | | | | 232 | | | | 201,915 | |
Catalent Pharma Solutions, Inc.(b)
5.00%, 07/15/27 | | | | | | | 98 | | | | 94,685 | |
3.13%, 02/15/29 | | | | | | | 58 | | | | 50,757 | |
3.50%, 04/01/30(e) | | | | | | | 260 | | | | 226,184 | |
CHS/Community Health Systems, Inc.(b)
5.63%, 03/15/27 | | | | 92 | | | | 85,480 | |
6.00%, 01/15/29 | | | | | | | 406 | | | | 365,453 | |
5.25%, 05/15/30(e) | | | | | | | 570 | | | | 476,717 | |
4.75%, 02/15/31(e) | | | | | | | 385 | | | | 302,662 | |
Elevance Health, Inc., 4.65%, 08/15/44 | | | | | | | 1,500 | | | | 1,387,233 | |
Encompass Health Corp., 4.75%, 02/01/30 | | | | | | | 217 | | | | 204,355 | |
Fortrea Holdings, Inc., 7.50%, 07/01/30(b)(e) | | | | | | | 132 | | | | 135,560 | |
HCA, Inc., 5.50%, 06/15/47 | | | | | | | 1,090 | | | | 1,049,363 | |
HealthEquity, Inc., 4.50%, 10/01/29(b) | | | | | | | 355 | | | | 329,621 | |
IQVIA, Inc.(b)
6.25%, 02/01/29 | | | | | | | 300 | | | | 313,184 | |
6.50%, 05/15/30 | | | | | | | 200 | | | | 205,022 | |
Legacy LifePoint Health LLC, 4.38%, 02/15/27(b) | | | | | | | 56 | | | | 51,701 | |
LifePoint Health, Inc.
9.88%, 08/15/30(e) | | | | | | | 229 | | | | 231,425 | |
11.00%, 10/15/30 | | | | | | | 251 | | | | 264,341 | |
ModivCare, Inc., 5.88%, 11/15/25(b)(e) | | | | | | | 265 | | | | 261,687 | |
Molina Healthcare, Inc.(b)
4.38%, 06/15/28 | | | | | | | 32 | | | | 30,265 | |
3.88%, 11/15/30 | | | | | | | 122 | | | | 109,666 | |
3.88%, 05/15/32 | | | | | | | 13 | | | | 11,359 | |
Northwell Healthcare, Inc., 4.26%, 11/01/47 | | | | | | | 725 | | | | 613,903 | |
Prime Healthcare Services, Inc., 7.25%, 11/01/25(b) | | | | | | | 30 | | | | 29,250 | |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/01/26(b) | | | | | | | 59 | | | | 58,533 | |
Star Parent, Inc., 9.00%, 10/01/30 | | | | | | | 622 | | | | 655,497 | |
Surgery Center Holdings, Inc., 6.75%, 07/01/25(b)(e) | | | | | | | 189 | | | | 188,291 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Health Care Providers & Services (continued) | |
Tenet Healthcare Corp.
4.88%, 01/01/26 | | | USD | | | | 193 | | | $ | 190,825 | |
6.25%, 02/01/27 | | | | | | | 92 | | | | 92,451 | |
5.13%, 11/01/27 | | | | | | | 79 | | | | 77,227 | |
4.63%, 06/15/28 | | | | | | | 55 | | | | 52,487 | |
6.13%, 10/01/28(e) | | | | | | | 230 | | | | 229,349 | |
6.13%, 06/15/30 | | | | | | | 122 | | | | 123,353 | |
6.75%, 05/15/31(b) | | | | | | | 571 | | | | 583,591 | |
UnitedHealth Group, Inc.
5.80%, 03/15/36(e) | | | | | | | 1,750 | | | | 1,911,953 | |
3.05%, 05/15/41 | | | | | | | 600 | | | | 468,834 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,204,319 | |
| | | |
| Health Care REITs — 0.6% | | | | | | | | | |
Healthpeak OP LLC, 4.00%, 06/01/25(e) | | | | | | | 2,000 | | | | 1,961,107 | |
MPT Operating Partnership LP/MPT Finance Corp.
2.50%, 03/24/26 | | | GBP | | | | 200 | | | | 206,769 | |
4.63%, 08/01/29(e) | | | USD | | | | 272 | | | | 195,584 | |
3.50%, 03/15/31 | | | | | | | 402 | | | | 251,341 | |
Ventas Realty LP, 4.13%, 01/15/26 | | | | | | | 870 | | | | 848,144 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,462,945 | |
| | | |
| Health Care Technology — 0.2% | | | | | | | | | |
AthenaHealth Group, Inc., 6.50%, 02/15/30(b)(e) | | | | | | | 1,290 | | | | 1,170,259 | |
| | | | | | | | | | | | |
| | | |
| Hotel & Resort REITs — 0.2% | | | | | | | | | |
RHP Hotel Properties LP/RHP Finance Corp.
4.75%, 10/15/27 | | | | | | | 145 | | | | 140,053 | |
7.25%, 07/15/28 | | | | | | | 172 | | | | 178,826 | |
Service Properties Trust
7.50%, 09/15/25 | | | | | | | 64 | | | | 64,711 | |
8.63%, 11/15/31(b) | | | | | | | 740 | | | | 775,101 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,158,691 | |
| | | |
| Hotels, Restaurants & Leisure — 2.9% | | | | | | | | | |
Boyd Gaming Corp., 4.75%, 12/01/27 | | | | | | | 88 | | | | 84,665 | |
Boyne USA, Inc., 4.75%, 05/15/29(b) | | | | | | | 142 | | | | 133,536 | |
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc.(b)
3.88%, 01/15/28 | | | | | | | 39 | | | | 36,844 | |
4.38%, 01/15/28 | | | | | | | 214 | | | | 204,387 | |
4.00%, 10/15/30 | | | | | | | 98 | | | | 87,896 | |
Caesars Entertainment, Inc.(b)
6.25%, 07/01/25 | | | | | | | 531 | | | | 532,444 | |
8.13%, 07/01/27(e) | | | | | | | 729 | | | | 747,297 | |
4.63%, 10/15/29(e) | | | | | | | 163 | | | | 147,027 | |
7.00%, 02/15/30 | | | | | | | 742 | | | | 760,874 | |
Carnival Corp.(b)
7.63%, 03/01/26(e) | | | | | | | 103 | | | | 104,862 | |
5.75%, 03/01/27 | | | | | | | 573 | | | | 558,923 | |
4.00%, 08/01/28 | | | | | | | 119 | | | | 110,639 | |
6.00%, 05/01/29(e) | | | | | | | 549 | | | | 528,251 | |
7.00%, 08/15/29 | | | | | | | 104 | | | | 108,589 | |
Carnival Holdings Bermuda Ltd., 10.38%, 05/01/28(b). | | | | | | | 1,454 | | | | 1,582,561 | |
Churchill Downs, Inc.(b)
5.50%, 04/01/27 | | | | | | | 244 | | | | 241,440 | |
4.75%, 01/15/28 | | | | | | | 207 | | | | 198,388 | |
5.75%, 04/01/30 | | | | | | | 470 | | | | 458,246 | |
6.75%, 05/01/31 | | | | | | | 263 | | | | 266,928 | |
Corvias Campus Living - USG LLC, 5.30%, 07/01/50(c) | | | | | | | 5,559 | | | | 2,028,935 | |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.(b)
4.63%, 01/15/29 | | | | | | | 153 | | | | 138,828 | |
| | |
SCHEDULE OF INVESTMENTS | | 27 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Hotels, Restaurants & Leisure (continued) | |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.(b) (continued)
6.75%, 01/15/30 | | | USD | | | | 46 | | | $ | 40,388 | |
Hilton Domestic Operating Co., Inc.
5.75%, 05/01/28(b)(e) | | | | | | | 112 | | | | 112,042 | |
3.75%, 05/01/29(b) | | | | | | | 99 | | | | 91,786 | |
4.88%, 01/15/30 | | | | | | | 19 | | | | 18,414 | |
4.00%, 05/01/31(b) | | | | | | | 79 | | | | 72,358 | |
3.63%, 02/15/32(b) | | | | | | | 38 | | | | 33,163 | |
Life Time, Inc.(b)
5.75%, 01/15/26 | | | | | | | 167 | | | | 165,799 | |
8.00%, 04/15/26 | | | | | | | 178 | | | | 179,619 | |
Light & Wonder International, Inc.
7.00%, 05/15/28(b) | | | | | | | 100 | | | | 101,018 | |
7.25%, 11/15/29(b) | | | | | | | 96 | | | | 98,295 | |
7.50%, 09/01/31 | | | | | | | 132 | | | | 137,683 | |
Lindblad Expeditions Holdings, Inc., 9.00%, 05/15/28(b) | | | | | | | 166 | | | | 171,638 | |
Lindblad Expeditions LLC, 6.75%, 02/15/27(b) | | | | | | | 208 | | | | 206,960 | |
Lottomatica SpA, (3-mo. EURIBOR + 4.00%), 7.93%, 12/15/30(a)(d) | | | EUR | | | | 100 | | | | 111,497 | |
Melco Resorts Finance Ltd.(b)
4.88%, 06/06/25 | | | USD | | | | 200 | | | | 194,188 | |
5.75%, 07/21/28 | | | | | | | 200 | | | | 184,125 | |
5.38%, 12/04/29 | | | | | | | 400 | | | | 352,000 | |
Merlin Entertainments Ltd., 5.75%, 06/15/26(b) | | | | | | | 200 | | | | 197,953 | |
MGM China Holdings Ltd.
5.88%, 05/15/26(d) | | | | | | | 450 | | | | 438,750 | |
4.75%, 02/01/27(b) | | | | | | | 200 | | | | 189,750 | |
NCL Corp. Ltd.(b)
5.88%, 03/15/26 | | | | | | | 141 | | | | 137,779 | |
8.38%, 02/01/28 | | | | | | | 95 | | | | 100,595 | |
8.13%, 01/15/29 | | | | | | | 77 | | | | 80,433 | |
7.75%, 02/15/29 | | | | | | | 84 | | | | 84,509 | |
NCL Finance Ltd., 6.13%, 03/15/28(b)(e) | | | | | | | 177 | | | | 169,430 | |
Ontario Gaming GTA LP, 8.00%, 08/01/30 | | | | | | | 191 | | | | 196,969 | |
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.(b)
5.63%, 09/01/29 | | | | | | | 63 | | | | 50,400 | |
5.88%, 09/01/31 | | | | | | | 79 | | | | 61,620 | |
Raising Cane’s Restaurants LLC, 9.38%, 05/01/29(b) | | | | | | | 90 | | | | 96,047 | |
Royal Caribbean Cruises Ltd.(b)
5.50%, 08/31/26 | | | | | | | 93 | | | | 92,084 | |
5.38%, 07/15/27 | | | | | | | 44 | | | | 43,557 | |
11.63%, 08/15/27 | | | | | | | 30 | | | | 32,645 | |
5.50%, 04/01/28 | | | | | | | 121 | | | | 119,458 | |
8.25%, 01/15/29 | | | | | | | 136 | | | | 144,085 | |
9.25%, 01/15/29(e) | | | | | | | 116 | | | | 124,772 | |
7.25%, 01/15/30 | | | | | | | 217 | | | | 226,630 | |
Scientific Games Holdings LP/Scientific Games U.S. FinCo, Inc., 6.63%, 03/01/30(b) | | | | | | | 171 | | | | 161,669 | |
Six Flags Entertainment Corp., 7.25%, 05/15/31(b)(e) | | | | | | | 555 | | | | 556,709 | |
Six Flags Theme Parks, Inc., 7.00%, 07/01/25(b) | | | | | | | 45 | | | | 45,195 | |
Station Casinos LLC, 4.50%, 02/15/28(b) | | | | | | | 123 | | | | 115,968 | |
Studio City Co. Ltd., 7.00%, 02/15/27(d) | | | | | | | 200 | | | | 196,500 | |
Vail Resorts, Inc., 6.25%, 05/15/25(b) | | | | | | | 93 | | | | 92,535 | |
Viking Cruises Ltd.(b)
5.88%, 09/15/27 | | | | | | | 95 | | | | 91,675 | |
7.00%, 02/15/29 | | | | | | | 34 | | | | 33,708 | |
9.13%, 07/15/31 | | | | | | | 504 | | | | 537,061 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
| Hotels, Restaurants & Leisure (continued) | | | | |
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29(b) | | | USD | | | | 111 | | | $ | 108,225 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27(b)(e) | | | | | | | 125 | | | | 121,638 | |
Wynn Macau Ltd. | | | | | | | | | | | | |
4.88%, 10/01/24(d) | | | | | | | 200 | | | | 197,250 | |
5.63%, 08/26/28(b)(e) | | | | | | | 400 | | | | 369,625 | |
5.13%, 12/15/29(b) | | | | | | | 200 | | | | 177,125 | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(b) | | | | | | | | | | | | |
5.13%, 10/01/29 | | | | | | | 435 | | | | 410,547 | |
7.13%, 02/15/31(e) | | | | | | | 294 | | | | 306,178 | |
Yum! Brands, Inc., 4.75%, 01/15/30(b) | | | | | | | 106 | | | | 102,748 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 17,544,355 | |
| | | |
| Household Durables — 0.1% | | | | | | | | | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 5.00%, 06/15/29(b) | | | | | | | 141 | | | | 125,158 | |
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25(b) | | | | | | | 173 | | | | 171,156 | |
Dream Finders Homes, Inc., 8.25%, 08/15/28 | | | | | | | 73 | | | | 77,147 | |
LGI Homes, Inc., 8.75%, 12/15/28 | | | | | | | 56 | | | | 59,570 | |
SWF Escrow Issuer Corp., 6.50%,
10/01/29(b)(e) | | | | | | | 107 | | | | 76,906 | |
Taylor Morrison Communities, Inc., 5.88%, 06/15/27(b) | | | | | | | 62 | | | | 62,310 | |
Tempur Sealy International, Inc., 3.88%, 10/15/31(b) | | | | | | | 45 | | | | 38,045 | |
Tri Pointe Homes, Inc., 5.25%, 06/01/27 | | | | | | | 28 | | | | 27,510 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 637,802 | |
| | | |
| Household Products — 0.0% | | | | | | | | | |
Central Garden & Pet Co. | | | | | | | | | | | | |
5.13%, 02/01/28 | | | | | | | 35 | | | | 34,006 | |
4.13%, 10/15/30(e) | | | | | | | 105 | | | | 95,501 | |
Spectrum Brands, Inc.(b) | | | | | | | | | | | | |
5.00%, 10/01/29 | | | | | | | 53 | | | | 50,569 | |
5.50%, 07/15/30 | | | | | | | 104 | | | | 100,919 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 280,995 | |
|
| Independent Power and Renewable Electricity Producers — 0.2% | |
Alexander Funding Trust II, 7.47%,
07/31/28(b)(e) | | | | | | | 105 | | | | 110,254 | |
Calpine Corp.(b) | | | | | | | | | | | | |
5.13%, 03/15/28 | | | | | | | 92 | | | | 88,208 | |
5.00%, 02/01/31 | | | | | | | 41 | | | | 37,585 | |
Clearway Energy Operating LLC,
4.75%, 03/15/28(b) . | | | | | | | 124 | | | | 119,463 | |
Greenko Dutch BV, 3.85%, 03/29/26(d) | | | | | | | 185 | | | | 172,513 | |
Greenko Solar Mauritius Ltd., 5.95%, 07/29/26(d) | | | | | | | 200 | | | | 194,250 | |
India Cleantech Energy, 4.70%, 08/10/26(b) | | | | | | | 221 | | | | 200,259 | |
NRG Energy, Inc., 7.00%, 03/15/33(b) | | | | | | | 150 | | | | 158,543 | |
SCC Power PLC(b)(f) | | | | | | | | | | | | |
(4.00% Cash and 4.00% PIK), 8.00%, 12/31/28 | | | | | | | 255 | | | | 113,291 | |
(4.00% Cash or 4.00% PIK), 4.00%, 05/17/32 | | | | | | | 138 | | | | 23,127 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,217,493 | |
| | | |
| Industrial Conglomerates — 0.4% | | | | | | | | | |
General Electric Co., 6.15%, 08/07/37 | | | | | | | 2,150 | | | | 2,307,873 | |
| | | | | | | | | | | | |
| | | |
| Insurance — 2.7% | | | | | | | | | |
Acrisure LLC/Acrisure Finance, Inc., 6.00%, 08/01/29(b) | | | | | | | 82 | | | | 74,509 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer | | | | | | | | | | | | |
4.25%, 10/15/27(b)(e) | | | | | | | 348 | | | | 334,445 | |
6.75%, 10/15/27(b)(e) | | | | | | | 1,303 | | | | 1,298,394 | |
6.75%, 04/15/28(b) | | | | | | | 293 | | | | 299,748 | |
5.88%, 11/01/29(b)(e) | | | | | | | 1,115 | | | | 1,056,454 | |
| | |
| 28 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Insurance (continued) | | | | | | | | | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer (continued)
7.00%, 01/15/31 | | | USD | | | | 319 | | | $ | 336,502 | |
Aon Global Ltd., 4.60%, 06/14/44 | | | | | | | 500 | | | | 448,521 | |
Berkshire Hathaway Finance Corp., 4.40%, 05/15/42(e) | | | | | | | 500 | | | | 482,971 | |
GTCR AP Finance, Inc., 8.00%, 05/15/27(b) | | | | | | | 148 | | | | 149,488 | |
HUB International Ltd.(b)
7.00%, 05/01/26 | | | | | | | 625 | | | | 627,415 | |
7.25%, 06/15/30(e) | | | | | | | 1,121 | | | | 1,184,034 | |
Jones Deslauriers Insurance Management, Inc.(b)
8.50%, 03/15/30 | | | | | | | 376 | | | | 394,849 | |
10.50%, 12/15/30 | | | | | | | 183 | | | | 192,864 | |
Liberty Mutual Group, Inc., 6.50%, 05/01/42(b) | | | | | | | 2,000 | | | | 1,990,143 | |
Marsh & McLennan Cos., Inc., 5.88%, 08/01/33(e) | | | | | | | 1,500 | | | | 1,637,819 | |
NFP Corp.
4.88%, 08/15/28(b) | | | | | | | 306 | | | | 302,831 | |
6.88%, 08/15/28(b) | | | | | | | 965 | | | | 981,020 | |
7.50%, 10/01/30(b) | | | | | | | 74 | | | | 78,758 | |
8.50%, 10/01/31 | | | | | | | 120 | | | | 130,068 | |
Progressive Corp., 3.00%, 03/15/32 | | | | | | | 750 | | | | 669,061 | |
Prudential Financial, Inc.
5.90%, 03/17/36 | | | | | | | 500 | | | | 517,827 | |
5.70%, 12/14/36 | | | | | | | 1,625 | | | | 1,757,118 | |
Ryan Specialty LLC, 4.38%, 02/01/30(b) | | | | | | | 132 | | | | 122,430 | |
Teachers Insurance & Annuity Association of America, 4.27%, 05/15/47(b) | | | | | | | 700 | | | | 609,436 | |
USI, Inc., 7.50%, 01/15/32 | | | | | | | 295 | | | | 302,021 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 15,978,726 | |
| | | |
| Interactive Media & Services — 0.1% | | | | | | | | | |
Acuris Finance U.S., Inc./Acuris Finance SARL, 5.00%, 05/01/28(b) | | | | | | | 272 | | | | 221,680 | |
iliad SA(d)
5.38%, 06/14/27 | | | EUR | | | | 100 | | | | 113,155 | |
5.63%, 02/15/30 | | | | | | | 100 | | | | 114,082 | |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 4.75%, 04/30/27(b) | | | USD | | | | 133 | | | | 127,015 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 575,932 | |
| |
| Internet Software & Services(b) — 0.1% | | | | |
Go Daddy Operating Co. LLC/GD Finance Co., Inc., 5.25%, 12/01/27 | | | | | | | 27 | | | | 26,458 | |
ION Trading Technologies SARL, 5.75%, 05/15/28 | | | | | | | 200 | | | | 176,426 | |
Match Group Holdings II LLC
5.63%, 02/15/29 | | | | | | | 6 | | | | 5,827 | |
4.13%, 08/01/30 | | | | | | | 20 | | | | 18,148 | |
3.63%, 10/01/31(e) | | | | | | | 134 | | | | 115,779 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 342,638 | |
| | | |
| IT Services — 0.9% | | | | | | | | | |
Ahead DB Holdings LLC, 6.63%, 05/01/28(b) | | | | | | | 99 | | | | 86,254 | |
CA Magnum Holdings, 5.38%, 10/31/26(b) | | | | | | | 258 | | | | 239,940 | |
Camelot Finance SA, 4.50%, 11/01/26(b) | | | | | | | 198 | | | | 193,331 | |
Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc., 8.00%, 06/15/29 | | | | | | | 270 | | | | 281,815 | |
Central Parent, Inc./CDK Global, Inc., 7.25%, 06/15/29(b)(e) | | | | | | | 507 | | | | 517,068 | |
Dun & Bradstreet Corp., 5.00%, 12/15/29(b) | | | | | | | 464 | | | | 432,828 | |
Engineering - Ingegneria Informatica - SpA, 11.13%, 05/15/28(d) | | | EUR | | | | 100 | | | | 117,844 | |
Fair Isaac Corp., 4.00%, 06/15/28(b) | | | USD | | | | 45 | | | | 42,586 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| IT Services (continued) | | | | | | | | | |
Fidelity National Information Services, Inc., 4.50%, 08/15/46 | | | USD | | | | 1,000 | | | $ | 845,143 | |
Fiserv, Inc., 4.40%, 07/01/49(e) | | | | | | | 500 | | | | 440,705 | |
International Business Machines Corp.
4.40%, 07/27/32 | | | | | | | 500 | | | | 491,165 | |
4.75%, 02/06/33(e) | | | | | | | 550 | | | | 557,213 | |
2.95%, 05/15/50(e) | | | | | | | 750 | | | | 515,249 | |
KBR, Inc., 4.75%, 09/30/28(b) | | | | | | | 142 | | | | 131,599 | |
Presidio Holdings, Inc., 4.88%, 02/01/27(b) | | | | | | | 32 | | | | 31,370 | |
Twilio, Inc.
3.63%, 03/15/29 | | | | | | | 117 | | | | 106,738 | |
3.88%, 03/15/31 | | | | | | | 214 | | | | 190,568 | |
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29(b) | | | | | | | 426 | | | | 386,380 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,607,796 | |
| | | |
| Leisure Products — 0.1% | | | | | | | | | |
Acushnet Co., 7.38%, 10/15/28 | | | | | | | 55 | | | | 57,381 | |
MajorDrive Holdings IV LLC, 6.38%, 06/01/29(b) | | | | | | | 120 | | | | 103,335 | |
Mattel, Inc.
6.20%, 10/01/40 | | | | | | | 194 | | | | 187,651 | |
5.45%, 11/01/41 | | | | | | | 59 | | | | 53,135 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 401,502 | |
| | | |
| Machinery — 0.7% | | | | | | | | | |
Chart Industries, Inc.(b)
7.50%, 01/01/30(e) | | | | | | | 463 | | | | 483,949 | |
9.50%, 01/01/31 | | | | | | | 66 | | | | 71,687 | |
Gates Global LLC/Gates Corp., 6.25%, 01/15/26(b) | | | | | | | 326 | | | | 324,370 | |
GrafTech Global Enterprises, Inc., 9.88%, 12/15/28 | | | | | | | 82 | | | | 63,243 | |
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(b)(f) | | | | | | | 241 | | | | 239,944 | |
Madison IAQ LLC(b)
4.13%, 06/30/28 | | | | | | | 172 | | | | 156,372 | |
5.88%, 06/30/29(e) | | | | | | | 339 | | | | 298,687 | |
OT Merger Corp., 7.88%, 10/15/29(b) | | | | | | | 78 | | | | 46,722 | |
Terex Corp., 5.00%, 05/15/29(b) | | | | | | | 110 | | | | 103,675 | |
Titan Acquisition Ltd./Titan Co.-Borrower LLC, 7.75%, 04/15/26(b) | | | | | | | 562 | | | | 565,541 | |
TK Elevator Holdco GmbH
6.63%, 07/15/28(d) | | | EUR | | | | 91 | | | | 92,328 | |
7.63%, 07/15/28(b)(e) | | | USD | | | | 400 | | | | 392,916 | |
TK Elevator Midco GmbH, 4.38%, 07/15/27(d) | | | EUR | | | | 303 | | | | 323,392 | |
TK Elevator U.S. Newco, Inc., 5.25%, 07/15/27(b)(e) | | | USD | | | | 941 | | | | 924,398 | |
Vertiv Group Corp., 4.13%, 11/15/28(b) | | | | | | | 330 | | | | 309,612 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,396,836 | |
| | | |
| Marine Transportation — 0.0% | | | | | | | | | |
Danaos Corp., 8.50%, 03/01/28(b) | | | | | | | 100 | | | | 101,500 | |
| | | | | | | | | | | | |
| | | |
| Media — 3.7% | | | | | | | | | |
Altice Financing SA, 5.75%, 08/15/29(b) | | | | | | | 671 | | | | 595,451 | |
AMC Networks, Inc., 4.75%, 08/01/25 | | | | | | | 115 | | | | 111,988 | |
Cable One, Inc.
0.00%, 03/15/26(g)(h) | | | | | | | 62 | | | | 52,607 | |
1.13%, 03/15/28(g) | | | | | | | 336 | | | | 254,520 | |
4.00%, 11/15/30(b) | | | | | | | 166 | | | | 134,400 | |
CCO Holdings LLC/CCO Holdings Capital Corp.(b)
5.13%, 05/01/27 | | | | | | | 228 | | | | 220,287 | |
5.00%, 02/01/28 | | | | | | | 95 | | | | 90,894 | |
6.38%, 09/01/29(e) | | | | | | | 517 | | | | 509,846 | |
4.75%, 03/01/30 | | | | | | | 82 | | | | 74,929 | |
4.25%, 02/01/31 | | | | | | | 283 | | | | 247,322 | |
7.38%, 03/01/31(e) | | | | | | | 1,093 | | | | 1,121,816 | |
| | |
SCHEDULE OF INVESTMENTS | | 29 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Media (continued) | | | | | | | | | |
CCO Holdings LLC/CCO Holdings Capital Corp.(b) (continued)
4.75%, 02/01/32 | | | USD | | | | 182 | | | $ | 160,517 | |
4.25%, 01/15/34(e) | | | | | | | 253 | | | | 205,595 | |
Charter Communications Operating LLC/Charter Communications Operating Capital
5.38%, 05/01/47 | | | | | | | 1,100 | | | | 934,805 | |
4.80%, 03/01/50 | | | | | | | 1,000 | | | | 774,072 | |
Clear Channel International BV, 6.63%, 08/01/25(b) | | | | | | | 256 | | | | 257,234 | |
Clear Channel Outdoor Holdings, Inc.
5.13%, 08/15/27(b)(e) | | | | | | | 171 | | | | 163,234 | |
7.75%, 04/15/28(b)(e) | | | | | | | 237 | | | | 204,342 | |
9.00%, 09/15/28 | | | | | | | 811 | | | | 846,250 | |
7.50%, 06/01/29(b) | | | | | | | 448 | | | | 372,499 | |
CMG Media Corp., 8.88%, 12/15/27(b) | | | | | | | 213 | | | | 168,937 | |
Comcast Corp.
6.45%, 03/15/37 | | | | | | | 790 | | | | 895,501 | |
3.90%, 03/01/38 | | | | | | | 1,500 | | | | 1,340,926 | |
4.70%, 10/15/48(e) | | | | | | | 3,000 | | | | 2,867,609 | |
CSC Holdings LLC(b)
5.50%, 04/15/27 | | | | | | | 200 | | | | 184,859 | |
11.25%, 05/15/28 | | | | | | | 1,407 | | | | 1,449,717 | |
4.13%, 12/01/30(e) | | | | | | | 400 | | | | 304,300 | |
4.50%, 11/15/31 | | | | | | | 206 | | | | 155,752 | |
Directv Financing LLC/Directv Financing Co-Obligor, Inc.,
5.88%, 08/15/27(b)(e) | | | | | | | 220 | | | | 206,707 | |
Discovery Communications LLC, 3.45%, 03/15/25 | | | | | | | 210 | | | | 204,645 | |
DISH DBS Corp.
7.75%, 07/01/26(e) | | | | | | | 343 | | | | 238,903 | |
5.25%, 12/01/26(b) | | | | | | | 717 | | | | 614,290 | |
5.75%, 12/01/28(b) | | | | | | | 78 | | | | 62,213 | |
5.13%, 06/01/29 | | | | | | | 34 | | | | 17,523 | |
DISH Network Corp., 11.75%, 11/15/27(b) | | | | | | | 547 | | | | 570,990 | |
GCI LLC, 4.75%, 10/15/28(b) | | | | | | | 72 | | | | 66,059 | |
Gray Television, Inc.(b)
5.88%, 07/15/26(e) | | | | | | | 123 | | | | 119,643 | |
7.00%, 05/15/27 | | | | | | | 129 | | | | 122,614 | |
Interpublic Group of Cos., Inc., 5.40%, 10/01/48 | | | | | | | 500 | | | | 473,151 | |
Lamar Media Corp., 4.00%, 02/15/30 | | | | | | | 21 | | | | 19,246 | |
Midcontinent Communications/Midcontinent Finance Corp.,
5.38%, 08/15/27(b) | | | | | | | 108 | | | | 105,269 | |
Nexstar Media, Inc., 5.63%, 07/15/27(b) | | | | | | | 49 | | | | 47,381 | |
Outfront Media Capital LLC/Outfront Media Capital Corp.
5.00%, 08/15/27(b)(e) | | | | | | | 203 | | | | 196,219 | |
4.25%, 01/15/29(b)(e) | | | | | | | 342 | | | | 308,611 | |
4.63%, 03/15/30(b) | | | | | | | 66 | | | | 58,839 | |
7.38%, 02/15/31 | | | | | | | 186 | | | | 195,326 | |
Radiate Holdco LLC/Radiate Finance, Inc.(b)
4.50%, 09/15/26 | | | | | | | 205 | | | | 156,354 | |
6.50%, 09/15/28 | | | | | | | 441 | | | | 216,083 | |
Sinclair Television Group, Inc., 4.13%, 12/01/30(b) | | | | | | | 39 | | | | 27,495 | |
Sirius XM Radio, Inc.(b)
3.13%, 09/01/26 | | | | | | | 28 | | | | 26,311 | |
5.00%, 08/01/27 | | | | | | | 428 | | | | 413,445 | |
Stagwell Global LLC, 5.63%, 08/15/29(b) | | | | | | | 69 | | | | 63,464 | |
Summer BidCo BV, (9.00% Cash or 9.75% PIK), 9.00%, 11/15/25(d)(f) | | | EUR | | | | 119 | | | | 129,447 | |
TCI Communications, Inc., 7.88%, 02/15/26 | | | USD | | | | 610 | | | | 647,687 | |
TEGNA, Inc., 4.75%, 03/15/26(b) | | | | | | | 32 | | | | 31,125 | |
Univision Communications, Inc.(b) 6.63%, 06/01/27 | | | | | | | 37 | | | | 36,899 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Media (continued) | | | | | | | | | |
Univision Communications, Inc.(b) (continued) | | | | | | | | | | | | |
8.00%, 08/15/28(e) | | | USD | | | | 408 | | | $ | 420,901 | |
7.38%, 06/30/30(e) | | | | | | | 120 | | | | 119,656 | |
UPC Broadband Finco BV, 4.88%, 07/15/31(b) | | | | | | | 303 | | | | 266,673 | |
Videotron Ltd., 3.63%, 06/15/29(b) | | | | | | | 54 | | | | 49,007 | |
VZ Secured Financing BV, 3.50%, 01/15/32(d) | | | EUR | | | | 100 | | | | 97,216 | |
Walt Disney Co. | | | | | | | | | | | | |
7.63%, 11/30/28 | | | USD | | | | 385 | | | | 431,068 | |
5.40%, 10/01/43 | | | | | | | 500 | | | | 523,822 | |
Ziggo Bond Co. BV, 6.00%, 01/15/27(b) | | | | | | | 150 | | | | 145,989 | |
Ziggo BV, 4.88%, 01/15/30(b) | | | | | | | 200 | | | | 178,397 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 22,308,877 | |
| | | |
| Metals & Mining — 1.0% | | | | | | | | | |
ABJA Investment Co. Pte. Ltd.(d) | | | | | | | | | | | | |
5.95%, 07/31/24 | | | | | | | 250 | | | | 248,828 | |
5.45%, 01/24/28 | | | | | | | 200 | | | | 200,000 | |
Amsted Industries, Inc., 5.63%, 07/01/27(b) | | | | | | | 30 | | | | 29,893 | |
Arsenal AIC Parent LLC, 8.00%, 10/01/30(b) | | | | | | | 161 | | | | 167,981 | |
ATI, Inc. | | | | | | | | | | | | |
5.88%, 12/01/27 | | | | | | | 121 | | | | 119,239 | |
7.25%, 08/15/30 | | | | | | | 329 | | | | 342,289 | |
5.13%, 10/01/31 | | | | | | | 110 | | | | 102,026 | |
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(b) | | | | | | | 741 | | | | 755,509 | |
Carpenter Technology Corp. | | | | | | | | | | | | |
6.38%, 07/15/28 | | | | | | | 180 | | | | 179,325 | |
7.63%, 03/15/30 | | | | | | | 151 | | | | 155,708 | |
Constellium SE | | | | | | | | | | | | |
4.25%, 02/15/26(d) | | | EUR | | | | 100 | | | | 109,706 | |
3.75%, 04/15/29(b)(e) | | | USD | | | | 841 | | | | 763,090 | |
First Quantum Minerals Ltd., 8.63%, 06/01/31(b) | | | | | | | 222 | | | | 186,884 | |
JSW Steel Ltd., 5.95%, 04/18/24(d) | | | | | | | 200 | | | | 199,162 | |
Kaiser Aluminum Corp.(b) | | | | | | | | | | | | |
4.63%, 03/01/28 | | | | | | | 98 | | | | 90,633 | |
4.50%, 06/01/31 | | | | | | | 406 | | | | 349,983 | |
New Gold, Inc., 7.50%, 07/15/27(b) | | | | | | | 243 | | | | 245,156 | |
Novelis Corp.(b) | | | | | | | | | | | | |
3.25%, 11/15/26(e) | | | | | | | 542 | | | | 510,238 | |
4.75%, 01/30/30(e) | | | | | | | 328 | | | | 308,467 | |
3.88%, 08/15/31 | | | | | | | 200 | | | | 176,247 | |
Novelis Sheet Ingot GmbH, 3.38%, 04/15/29(d) | | | EUR | | | | 100 | | | | 104,104 | |
Rio Tinto Finance USA PLC, 4.75%, 03/22/42 | | | USD | | | | 400 | | | | 387,082 | |
Vedanta Resources Finance II PLC, 13.88%, 01/21/24(d) | | | | | | | 200 | | | | 177,108 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,908,658 | |
|
| Mortgage Real Estate Investment Trusts (REITs)(b) — 0.0% | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. | | | | | | | | | | | | |
5.25%, 10/01/25 | | | | | | | 30 | | | | 29,594 | |
4.25%, 02/01/27 | | | | | | | 42 | | | | 39,573 | |
4.75%, 06/15/29 | | | | | | | 46 | | | | 41,478 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 110,645 | |
| | | |
| Office REITs — 0.1% | | | | | | | | | |
Alexandria Real Estate Equities, Inc. | | | | | | | | | | | | |
4.75%, 04/15/35 | | | | | | | 140 | | | | 135,800 | |
4.00%, 02/01/50 | | | | | | | 550 | | | | 434,522 | |
Highwoods Realty LP, 7.65%, 02/01/34 | | | | | | | 40 | | | | 43,152 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 613,474 | |
| | |
| 30 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Oil, Gas & Consumable Fuels — 7.1% | |
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26(b) | | | USD | | | | 431 | | | $ | 433,155 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp.(b)
5.75%, 03/01/27 | | | | | | | 148 | | | | 146,851 | |
5.75%, 01/15/28 | | | | | | | 39 | | | | 38,611 | |
5.38%, 06/15/29 | | | | | | | 140 | | | | 134,592 | |
Apache Corp., 5.35%, 07/01/49 | | | | | | | 84 | | | | 69,842 | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp.(b)
9.00%, 11/01/27 | | | | | | | 367 | | | | 462,420 | |
8.25%, 12/31/28 | | | | | | | 593 | | | | 596,446 | |
Series B, 5.88%, 06/30/29 | | | | | | | 44 | | | | 40,936 | |
Baytex Energy Corp., 8.50%, 04/30/30(b) | | | | | | | 144 | | | | 149,027 | |
Buckeye Partners LP
5.85%, 11/15/43 | | | | | | | 94 | | | | 76,149 | |
5.60%, 10/15/44 | | | | | | | 59 | | | | 45,396 | |
Burlington Resources LLC, 5.95%, 10/15/36 | | | | | | | 685 | | | | 739,649 | |
Callon Petroleum Co.
6.38%, 07/01/26 | | | | | | | 111 | | | | 110,473 | |
8.00%, 08/01/28(b)(e) | | | | | | | 355 | | | | 362,552 | |
7.50%, 06/15/30(b)(e) | | | | | | | 304 | | | | 306,590 | |
Chesapeake Energy Corp.(b)
5.88%, 02/01/29 | | | | | | | 28 | | | | 27,439 | |
6.75%, 04/15/29(e) | | | | | | | 290 | | | | 292,698 | |
CITGO Petroleum Corp., 8.38%, 01/15/29(b) | | | | | | | 322 | | | | 331,122 | |
Civitas Resources, Inc.(b)
8.38%, 07/01/28 | | | | | | | 523 | | | | 545,983 | |
8.63%, 11/01/30 | | | | | | | 261 | | | | 276,848 | |
8.75%, 07/01/31 | | | | | | | 495 | | | | 526,951 | |
CNX Midstream Partners LP, 4.75%, 04/15/30(b) | | | | | | | 66 | | | | 59,267 | |
CNX Resources Corp., 7.38%, 01/15/31(b) | | | | | | | 70 | | | | 70,486 | |
Comstock Resources, Inc.(b)
6.75%, 03/01/29(e) | | | | | | | 387 | | | | 353,914 | |
5.88%, 01/15/30 | | | | | | | 447 | | | | 387,683 | |
ConocoPhillips, 6.50%, 02/01/39 | | | | | | | 600 | | | | 693,625 | |
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31(b) | | | | | | | 500 | | | | 473,802 | |
Crescent Energy Finance LLC(b)
7.25%, 05/01/26 | | | | | | | 496 | | | | 499,058 | |
9.25%, 02/15/28 | | | | | | | 400 | | | | 415,028 | |
CrownRock LP/CrownRock Finance, Inc., 5.00%, 05/01/29(b) | | | | | | | 43 | | | | 41,925 | |
Devon Energy Corp.
5.85%, 12/15/25 | | | | | | | 1,000 | | | | 1,010,790 | |
4.75%, 05/15/42 | | | | | | | 300 | | | | 262,069 | |
Diamond Foreign Asset Co./Diamond Finance LLC, 8.50%, 10/01/30 | | | | | | | 140 | | | | 143,164 | |
DT Midstream, Inc.,
4.38%, 06/15/31(b)(e) | | | | | | | 209 | | | | 188,525 | |
Ecopetrol SA, 8.88%, 01/13/33 | | | | | | | 175 | | | | 189,711 | |
Enbridge, Inc.(a) | | | | | | | | | | | | |
(3-mo. CME Term SOFR + 3.90%), 6.25%, 03/01/78 | | | | | | | 1,935 | | | | 1,788,596 | |
(5-year CMT + 4.43%), 8.50%, 01/15/84 | | | | | | | 123 | | | | 130,828 | |
Series 20-A, (5-year CMT + 5.31%), 5.75%, 07/15/80 | | | | | | | 950 | | | | 876,375 | |
Energean Israel Finance Ltd., 8.50%, 09/30/33 | | | | | | | 56 | | | | 52,799 | |
Energy Transfer LP
6.00%, 02/01/29(b) | | | | | | | 196 | | | | 197,761 | |
7.38%, 02/01/31(b) | | | | | | | 69 | | | | 72,515 | |
5.30%, 04/15/47 | | | | | | | 540 | | | | 495,097 | |
Series H, (5-year CMT + 5.69%), 6.50%(a)(j) | | | | | | | 307 | | | | 291,736 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Oil, Gas & Consumable Fuels (continued) | |
EnLink Midstream LLC
5.63%, 01/15/28(b) | | | USD | | | | 92 | | | $ | 90,959 | |
5.38%, 06/01/29 | | | | | | | 264 | | | | 258,312 | |
6.50%, 09/01/30(b) | | | | | | | 125 | | | | 127,621 | |
EnLink Midstream Partners LP, 5.60%, 04/01/44 | | | | | | | 141 | | | | 122,716 | |
Enterprise Products Operating LLC, 6.13%, 10/15/39 | | | | | | | 1,400 | | | | 1,528,134 | |
EOG Resources, Inc., 5.10%, 01/15/36 | | | | | | | 200 | | | | 198,053 | |
EQM Midstream Partners LP
4.13%, 12/01/26 | | | | | | | 68 | | | | 65,680 | |
6.50%, 07/01/27(b) | | | | | | | 126 | | | | 128,297 | |
4.50%, 01/15/29(b) | | | | | | | 13 | | | | 12,281 | |
7.50%, 06/01/30(b) | | | | | | | 57 | | | | 61,276 | |
FTAI Infra Escrow Holdings LLC, 10.50%, 06/01/27(b) | | | | | | | 37 | | | | 38,382 | |
Genesis Energy LP/Genesis Energy Finance Corp.
7.75%, 02/01/28 | | | | | | | 107 | | | | 107,373 | |
8.25%, 01/15/29 | | | | | | | 115 | | | | 118,340 | |
8.88%, 04/15/30 | | | | | | | 146 | | | | 150,964 | |
Gulfport Energy Corp., 8.00%, 05/17/26(b) | | | | | | | 25 | | | | 25,271 | |
Harvest Midstream I LP, 7.50%, 09/01/28(b) | | | | | | | 40 | | | | 39,763 | |
Hess Corp., 4.30%, 04/01/27 | | | | | | | 1,100 | | | | 1,088,345 | |
Hilcorp Energy I LP/Hilcorp Finance
Co.(b)
6.25%, 11/01/28 | | | | | | | 70 | | | | 69,730 | |
5.75%, 02/01/29 | | | | | | | 127 | | | | 122,643 | |
6.00%, 04/15/30 | | | | | | | 12 | | | | 11,638 | |
8.38%, 11/01/33 | | | | | | | 408 | | | | 432,252 | |
Howard Midstream Energy Partners LLC, 8.88%, 07/15/28(b) | | | | | | | 179 | | | | 187,872 | |
HPCL-Mittal Energy Ltd., 5.45%, 10/22/26(d) | | | | | | | 200 | | | | 193,188 | |
Impulsora Pipeline LLC, 6.05%, 01/01/43(c) | | | | | | | 1,592 | | | | 1,352,581 | |
ITT Holdings LLC, 6.50%, 08/01/29(b)(e) | | | | | | | 232 | | | | 205,236 | |
Kinder Morgan, Inc., 5.05%, 02/15/46(e) | | | | | | | 1,400 | | | | 1,249,057 | |
Kinetik Holdings LP
6.63%, 12/15/28 | | | | | | | 58 | | | | 59,091 | |
5.88%, 06/15/30(b)(e) | | | | | | | 202 | | | | 198,173 | |
Leviathan Bond Ltd., 6.75%,
06/30/30(b)(d) | | | | | | | 22 | | | | 20,049 | |
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26(b) | | | | | | | 22 | | | | 21,450 | |
Marathon Petroleum Corp., 6.50%, 03/01/41(e) | | | | | | | 1,150 | | | | 1,235,231 | |
Matador Resources Co.(e)
5.88%, 09/15/26 | | | | | | | 123 | | | | 121,979 | |
6.88%, 04/15/28(b) | | | | | | | 167 | | | | 169,391 | |
Medco Oak Tree Pte. Ltd., 7.38%, 05/14/26(d) | | | | | | | 288 | | | | 286,290 | |
MPLX LP
4.25%, 12/01/27 | | | | | | | 250 | | | | 244,570 | |
4.80%, 02/15/29 | | | | | | | 500 | | | | 496,431 | |
Murphy Oil Corp., 5.88%, 12/01/42 | | | | | | | 18 | | | | 15,903 | |
Murphy Oil USA, Inc., 4.75%, 09/15/29 | | | | | | | 28 | | | | 26,530 | |
Nabors Industries Ltd.(b)
7.25%, 01/15/26 | | | | | | | 140 | | | | 134,569 | |
7.50%, 01/15/28 | | | | | | | 177 | | | | 153,061 | |
Nabors Industries, Inc.
5.75%, 02/01/25(e) | | | | | | | 522 | | | | 521,826 | |
7.38%, 05/15/27(b) | | | | | | | 20 | | | | 19,594 | |
9.13%, 01/31/30(b) | | | | | | | 175 | | | | 175,711 | |
New Fortress Energy, Inc., 6.75%, 09/15/25(b) | | | | | | | 61 | | | | 60,513 | |
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26(b)(e) | | | | | | | 186 | | | | 187,862 | |
Noble Finance II LLC, 8.00%, 04/15/30(b) | | | | | | | 209 | | | | 217,476 | |
Northern Oil and Gas, Inc.(b)
8.13%, 03/01/28 | | | | | | | 513 | | | | 519,412 | |
8.75%, 06/15/31 | | | | | | | 212 | | | | 220,819 | |
| | |
SCHEDULE OF INVESTMENTS | | 31 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Oil, Gas & Consumable Fuels (continued) | |
NuStar Logistics LP
6.00%, 06/01/26 | | | USD | | | | 88 | | | $ | 87,845 | |
6.38%, 10/01/30 | | | | | | | 17 | | | | 17,030 | |
PBF Holding Co. LLC/PBF Finance Corp., 7.88%, 09/15/30(b) | | | | | | | 158 | | | | 160,907 | |
Permian Resources Operating LLC 5.38%, 01/15/26(b) | | | | | | | 32 | | | | 31,574 | |
7.75%, 02/15/26(b) | | | | | | | 380 | | | | 386,585 | |
6.88%, 04/01/27(b) | | | | | | | 116 | | | | 115,920 | |
8.00%, 04/15/27(b)(e) | | | | | | | 189 | | | | 195,913 | |
5.88%, 07/01/29(b) | | | | | | | 449 | | | | 437,757 | |
9.88%, 07/15/31(b) | | | | | | | 209 | | | | 232,251 | |
7.00%, 01/15/32 | | | | | | | 208 | | | | 214,588 | |
Petroleos Mexicanos
4.25%, 01/15/25 | | | | | | | 55 | | | | 53,316 | |
6.50%, 03/13/27(e) | | | | | | | 142 | | | | 131,971 | |
8.75%, 06/02/29 | | | | | | | 204 | | | | 196,710 | |
5.95%, 01/28/31(e) | | | | | | | 245 | | | | 194,408 | |
6.70%, 02/16/32 | | | | | | | 117 | | | | 96,818 | |
6.38%, 01/23/45 | | | | | | | 48 | | | | 31,134 | |
Precision Drilling Corp., 6.88%, 01/15/29(b) | | | | | | | 9 | | | | 8,679 | |
Rockcliff Energy II LLC, 5.50%, 10/15/29(b) | | | | | | | 111 | | | | 104,908 | |
Rockies Express Pipeline LLC, 4.95%, 07/15/29(b) | | | | | | | 36 | | | | 34,422 | |
Sabine Pass Liquefaction LLC, 5.88%, 06/30/26 | | | | | | | 1,750 | | | | 1,781,493 | |
Sitio Royalties Operating Partnership LP/Sitio Finance Corp., 7.88%, 11/01/28 | | | | | | | 247 | | | | 255,946 | |
SM Energy Co.
6.75%, 09/15/26 | | | | | | | 116 | | | | 115,698 | |
6.63%, 01/15/27 | | | | | | | 14 | | | | 13,921 | |
6.50%, 07/15/28 | | | | | | | 103 | | | | 103,047 | |
Southwestern Energy Co., 5.38%, 02/01/29 | | | | | | | 107 | | | | 104,421 | |
Suncor Energy, Inc., 6.50%, 06/15/38 | | | | | | | 1,000 | | | | 1,068,581 | |
Sunoco LP/Sunoco Finance Corp.
5.88%, 03/15/28 | | | | | | | 4 | | | | 3,995 | |
7.00%, 09/15/28(b) | | | | | | | 122 | | | | 125,876 | |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(b)
7.50%, 10/01/25 | | | | | | | 9 | | | | 9,045 | |
6.00%, 03/01/27 | | | | | | | 29 | | | | 28,359 | |
5.50%, 01/15/28 | | | | | | | 95 | | | | 89,776 | |
6.00%, 12/31/30 | | | | | | | 2 | | | | 1,859 | |
6.00%, 09/01/31 | | | | | | | 88 | | | | 81,394 | |
TransCanada PipeLines Ltd., 4.63%, 03/01/34 | | | | | | | 500 | | | | 473,358 | |
Transocean Aquila Ltd., 8.00%, 09/30/28(b) | | | | | | | 82 | | | | 83,227 | |
Transocean Titan Financing Ltd., 8.38%, 02/01/28(b) . | | | | | | | 125 | | | | 129,686 | |
Transocean, Inc.(b)
7.50%, 01/15/26 | | | | | | | 352 | | | | 345,826 | |
11.50%, 01/30/27 | | | | | | | 358 | | | | 374,110 | |
8.00%, 02/01/27 | | | | | | | 261 | | | | 254,475 | |
8.75%, 02/15/30(e) | | | | | | | 654 | | | | 683,848 | |
Valaris Ltd., 8.38%, 04/30/30(b) | | | | | | | 511 | | | | 523,540 | |
Venture Global Calcasieu Pass LLC(b)
3.88%, 08/15/29 | | | | | | | 182 | | | | 165,129 | |
4.13%, 08/15/31 | | | | | | | 3 | | | | 2,643 | |
3.88%, 11/01/33(e) | | | | | | | 469 | | | | 397,453 | |
Venture Global LNG, Inc.(b)
8.13%, 06/01/28 | | | | | | | 557 | | | | 562,513 | |
9.50%, 02/01/29 | | | | | | | 1,462 | | | | 1,547,040 | |
8.38%, 06/01/31 | | | | | | | 875 | | | | 874,547 | |
9.88%, 02/01/32 | | | | | | | 697 | | | | 726,022 | |
Vermilion Energy, Inc., 6.88%, 05/01/30(b) | | | | | | | 108 | | | | 103,685 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Oil, Gas & Consumable Fuels (continued) | |
Vital Energy, Inc.
10.13%, 01/15/28 | | | USD | | | | 172 | | | $ | 176,740 | |
9.75%, 10/15/30 | | | | | | | 209 | | | | 216,664 | |
Western Midstream Operating LP
5.45%, 04/01/44 | | | | | | | 137 | | | | 124,027 | |
5.30%, 03/01/48 | | | | | | | 75 | | | | 65,267 | |
5.50%, 08/15/48 | | | | | | | 69 | | | | 61,535 | |
5.25%, 02/01/50 | | | | | | | 304 | | | | 272,554 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 42,180,415 | |
| | | |
| Paper & Forest Products — 0.2% | | | | | | | | | |
International Paper Co., 6.00%, 11/15/41 | | | | | | | 870 | | | | 919,248 | |
| | | | | | | | | | | | |
| | | |
| Passenger Airlines — 0.9% | | | | | | | | | |
Air Canada, 3.88%, 08/15/26(b) | | | | | | | 125 | | | | 119,424 | |
American Airlines Pass-Through Trust | | | | | | | | | | | | |
Series 2015-2, Class A, 4.00%, 03/22/29 | | | | | | | 967 | | | | 883,534 | |
Series 2015-2, Class AA, 3.60%, 03/22/29 | | | | | | | 967 | | | | 904,610 | |
American Airlines, Inc., 8.50%, 05/15/29(b) | | | | | | | 291 | | | | 307,296 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 04/20/29(b) | | | | | | | 336 | | | | 327,926 | |
Deutsche Lufthansa AG, 2.88%, 05/16/27(d) | | | EUR | | | | 100 | | | | 106,043 | |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(b) | | | USD | | | | 138 | | | | 138,143 | |
United Airlines Pass-Through Trust, Series 2023-1, Class A, 4.30%, 02/15/27 | | | | | | | 2,213 | | | | 2,144,439 | |
United Airlines, Inc.(b)
4.38%, 04/15/26 | | | | | | | 113 | | | | 110,108 | |
4.63%, 04/15/29(e) | | | | | | | 359 | | | | 335,749 | |
VistaJet Malta Finance PLC/Vista Management Holding, Inc., 7.88%, 05/01/27(b) | | | | | | | 85 | | | | 73,107 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,450,379 | |
| | | |
| Personal Care Products — 0.0% | | | | | | | | | |
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 6.63%, 07/15/30(b) | | | | | | | 176 | | | | 180,807 | |
| | | | | | | | | | | | |
| | | |
| Pharmaceuticals — 1.6% | | | | | | | | | |
1375209 BC Ltd., 9.00%, 01/30/28(b) | | | | | | | 189 | | | | 184,294 | |
AbbVie, Inc.
3.20%, 05/14/26 | | | | | | | 500 | | | | 484,591 | |
4.55%, 03/15/35(e) | | | | | | | 2,140 | | | | 2,098,601 | |
4.45%, 05/14/46 | | | | | | | 2,095 | | | | 1,923,475 | |
Bristol-Myers Squibb Co.
3.55%, 03/15/42 | | | | | | | 350 | | | | 286,371 | |
4.35%, 11/15/47 | | | | | | | 300 | | | | 264,539 | |
Cheplapharm Arzneimittel GmbH, 3.50%, 02/11/27(d) | | | EUR | | | | 100 | | | | 106,668 | |
CVS Health Corp.
5.13%, 07/20/45 | | | USD | | | | 700 | | | | 662,259 | |
5.05%, 03/25/48 | | | | | | | 1,821 | | | | 1,703,196 | |
Gruenenthal GmbH, 4.13%, 05/15/28(d) | | | EUR | | | | 100 | | | | 108,991 | |
Jazz Securities DAC, 4.38%, 01/15/29(b) | | | USD | | | | 200 | | | | 186,283 | |
Option Care Health, Inc., 4.38%, 10/31/29(b) | | | | | | | 76 | | | | 68,686 | |
Takeda Pharmaceutical Co. Ltd., 2.05%, 03/31/30 | | | | | | | 500 | | | | 428,438 | |
Teva Pharmaceutical Finance Netherlands II BV, 7.38%, 09/15/29 | | | EUR | | | | 100 | | | | 120,574 | |
Teva Pharmaceutical Finance Netherlands III BV
3.15%, 10/01/26 | | | USD | | | | 299 | | | | 276,388 | |
4.75%, 05/09/27 | | | | | | | 200 | | | | 191,842 | |
7.88%, 09/15/29 | | | | | | | 200 | | | | 214,616 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,309,812 | |
| | | |
| Professional Services — 0.1% | | | | | | | | | |
CoreLogic, Inc., 4.50%, 05/01/28(b)(e) | | | | | | | 607 | | | | 531,738 | |
| | | | | | | | | | | | |
| | |
| 32 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
| Real Estate Management & Development — 0.2% | | | | |
Agps Bondco PLC, 5.50%,
11/13/26(d)(k)(l) | | | EUR | | | | 100 | | | $ | 38,086 | |
Anywhere Real Estate Group LLC/Anywhere Co.- Issuer Corp. | | | | | | | | | | | | |
7.00%, 04/15/30 | | | USD | | | | 169 | | | | 156,404 | |
7.00%, 04/15/30(b) | | | | | | | 150 | | | | 138,057 | |
Cushman & Wakefield U.S. Borrower LLC, 8.88%, 09/01/31 | | | | | | | 203 | | | | 215,133 | |
Fantasia Holdings Group Co. Ltd.(k)(l) | | | | | | | | | | | | |
11.75%, 04/17/22(d) | | | | | | | 200 | | | | 4,500 | |
10.88%, 01/09/23 | | | | | | | 307 | | | | 6,908 | |
11.88%, 06/01/23(d) | | | | | | | 400 | | | | 9,000 | |
9.25%, 07/28/23(d) | | | | | | | 300 | | | | 6,750 | |
i-595 Express LLC, 3.31%, 12/31/31(c) | | | | | | | 678 | | | | 633,091 | |
Theta Capital Pte. Ltd., 8.13%, 01/22/25(d) | | | | | | | 200 | | | | 177,772 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,385,701 | |
| | | |
| Residential REITs — 0.2% | | | | | | | | | |
ERP Operating LP, 4.50%, 06/01/45 | | | | | | | 1,155 | | | | 975,925 | |
| | | | | | | | | | | | |
| | | |
| Retail REITs — 0.3% | | | | | | | | | |
Simon Property Group LP, 4.75%, 03/15/42 | | | | | | | 1,670 | | | | 1,520,271 | |
| | | | | | | | | | | | |
|
| Semiconductors & Semiconductor Equipment — 1.2% | |
ams-OSRAM AG, 10.50%, 03/30/29 | | | EUR | | | | 100 | | | | 119,751 | |
Broadcom, Inc. | | | | | | | | | | | | |
4.75%, 04/15/29 | | | USD | | | | 2,500 | | | | 2,505,630 | |
4.15%, 04/15/32(b) | | | | | | | 1,500 | | | | 1,414,011 | |
Entegris Escrow Corp., 4.75%, 04/15/29(b) | | | | | | | 749 | | | | 721,597 | |
Entegris, Inc., 4.38%, 04/15/28(b) | | | | | | | 201 | | | | 191,284 | |
Intel Corp. | | | | | | | | | | | | |
5.13%, 02/10/30 | | | | | | | 750 | | | | 777,813 | |
2.00%, 08/12/31(e) | | | | | | | 1,000 | | | | 844,472 | |
KLA Corp., 3.30%, 03/01/50 | | | | | | | 500 | | | | 381,639 | |
NCR Atleos Corp., 9.50%, 04/01/29 | | | | | | | 158 | | | | 167,874 | |
QUALCOMM, Inc., 4.65%, 05/20/35 | | | | | | | 250 | | | | 255,708 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,379,779 | |
| | | |
| Software — 2.1% | | | | | | | | | |
Alteryx, Inc., 8.75%, 03/15/28(b) | | | | | | | 209 | | | | 222,454 | |
Boxer Parent Co., Inc. | | | | | | | | | | | | |
6.50%, 10/02/25(d) | | | EUR | | | | 100 | | | | 109,975 | |
7.13%, 10/02/25(b) | | | USD | | | | 81 | | | | 81,434 | |
9.13%, 03/01/26(b)(e) | | | | | | | 516 | | | | 514,866 | |
Capstone Borrower, Inc., 8.00%, 06/15/30(b) | | | | | | | 205 | | | | 213,274 | |
Clarivate Science Holdings Corp.(b)(e) | | | | | | | | | | | | |
3.88%, 07/01/28 | | | | | | | 653 | | | | 615,710 | |
4.88%, 07/01/29 | | | | | | | 433 | | | | 406,299 | |
Cloud Software Group, Inc.(b) | | | | | | | | | | | | |
6.50%, 03/31/29 | | | | | | | 2,211 | | | | 2,105,846 | |
9.00%, 09/30/29(e) | | | | | | | 1,072 | | | | 1,018,885 | |
Consensus Cloud Solutions, Inc.(b) | | | | | | | | | | | | |
6.00%, 10/15/26 | | | | | | | 48 | | | | 45,641 | |
6.50%, 10/15/28 | | | | | | | 45 | | | | 40,817 | |
Crowdstrike Holdings, Inc., 3.00%, 02/15/29 | | | | | | | 30 | | | | 27,112 | |
Elastic NV, 4.13%, 07/15/29(b) | | | | | | | 129 | | | | 118,454 | |
McAfee Corp., 7.38%, 02/15/30(b)(e) | | | | | | | 691 | | | | 631,057 | |
Microsoft Corp., 2.92%, 03/17/52(e) | | | | | | | 1,600 | | | | 1,180,857 | |
MicroStrategy, Inc., 6.13%, 06/15/28(b) | | | | | | | 342 | | | | 331,788 | |
Open Text Corp., 6.90%, 12/01/27(b) | | | | | | | 310 | | | | 322,292 | |
Oracle Corp. | | | | | | | | | | | | |
5.38%, 07/15/40(e) | | | | | | | 3,025 | | | | 2,972,246 | |
4.00%, 11/15/47 | | | | | | | 400 | | | | 316,832 | |
3.95%, 03/25/51 | | | | | | | 600 | | | | 469,839 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Software (continued) | | | | | | | �� | | |
Playtika Holding Corp., 4.25%, 03/15/29(b) | | | USD | | | | 54 | | | $ | 47,118 | |
SS&C Technologies, Inc., 5.50%, 09/30/27(b)(e) | | | | | | | 584 | | | | 575,668 | |
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(b) | | | | | | | 189 | | | | 156,033 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,524,497 | |
| | | |
| Specialized REITs(b) — 0.1% | | | | | | | | | |
Iron Mountain, Inc. | | | | | | | | | | | | |
7.00%, 02/15/29 | | | | | | | 436 | | | | 448,155 | |
5.63%, 07/15/32 | | | | | | | 62 | | | | 58,693 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 506,848 | |
| | | |
| Specialty Retail — 0.1% | | | | | | | | | |
Arko Corp., 5.13%, 11/15/29(b) | | | | | | | 86 | | | | 74,412 | |
eG Global Finance PLC, 12.00%, 11/30/28 | | | | | | | 209 | | | | 222,591 | |
PetSmart, Inc./PetSmart Finance Corp., 7.75%, 02/15/29(b)(e) | | | | | | | 493 | | | | 479,599 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 776,602 | |
|
| Technology Hardware, Storage & Peripherals — 0.7% | |
Apple, Inc. | | | | | | | | | | | | |
4.65%, 02/23/46 | | | | | | | 2,400 | | | | 2,367,400 | |
3.75%, 11/13/47(e) | | | | | | | 1,000 | | | | 854,868 | |
Seagate HDD Cayman(b) | | | | | | | | | | | | |
8.25%, 12/15/29 | | | | | | | 331 | | | | 356,992 | |
8.50%, 07/15/31 | | | | | | | 319 | | | | 346,212 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,925,472 | |
|
| Textiles, Apparel & Luxury Goods(b) — 0.0% | |
Hanesbrands, Inc., 4.88%, 05/15/26 | | | | | | | 92 | | | | 88,745 | |
Levi Strauss & Co., 3.50%, 03/01/31 | | | | | | | 11 | | | | 9,524 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 98,269 | |
| | | |
| Tobacco — 0.8% | | | | | | | | | |
Altria Group, Inc. | | | | | | | | | | | | |
2.45%, 02/04/32 | | | | | | | 200 | | | | 163,094 | |
5.38%, 01/31/44(e) | | | | | | | 2,000 | | | | 1,963,338 | |
Reynolds American, Inc. | | | | | | | | | | | | |
4.45%, 06/12/25 | | | | | | | 394 | | | | 389,397 | |
7.00%, 08/04/41 | | | | | | | 1,000 | | | | 1,033,530 | |
5.85%, 08/15/45 | | | | | | | 1,500 | | | | 1,404,085 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,953,444 | |
| | | |
| Transportation Infrastructure — 0.8% | | | | | | | | | |
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(b) | | | | | | | 200 | | | | 198,460 | |
Azzurra Aeroporti SpA, 2.63%, 05/30/27(d) | | | EUR | | | | 100 | | | | 102,773 | |
GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27(d) | | | USD | | | | 200 | | | | 183,070 | |
ITR Concession Co. LLC, 4.20%, 07/15/25(b) | | | | | | | 4,000 | | | | 3,859,947 | |
Transurban Finance Co. Pty. Ltd., 4.13%, 02/02/26(b). | | | | | | | 580 | | | | 566,631 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,910,881 | |
| | | |
| Water Utilities — 0.2% | | | | | | | | | |
American Water Capital Corp., 4.45%, 06/01/32 | | | | | | | 1,350 | | | | 1,342,941 | |
| | | | | | | | | | | | |
|
| Wireless Telecommunication Services — 1.1% | |
Altice France SA/France | | | | | | | | | | | | |
11.50%, 02/01/27(i) | | | EUR | | | | 100 | | | | 110,671 | |
5.13%, 07/15/29(b) | | | USD | | | | 544 | | | | 423,243 | |
5.50%, 10/15/29(b) | | | | | | | 400 | | | | 313,650 | |
Cellnex Finance Co. SA, 1.25%, 01/15/29(d) | | | EUR | | | | 100 | | | | 98,583 | |
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/01/26(b) | | | USD | | | | 612 | | | | 608,334 | |
Eutelsat SA, 1.50%, 10/13/28(d) | | | EUR | | | | 100 | | | | 82,796 | |
Hughes Satellite Systems Corp., 5.25%, 08/01/26 | | | USD | | | | 72 | | | | 63,358 | |
| | |
SCHEDULE OF INVESTMENTS | | 33 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
| Wireless Telecommunication Services (continued) | | | | |
Kenbourne Invest SA, 6.88%, 11/26/24(b) | | | USD | | | | 210 | | | $ | 145,359 | |
Millicom International Cellular SA, 4.50%, 04/27/31(b) | | | | | | | 200 | | | | 165,986 | |
Rogers Communications, Inc., 7.50%, 08/15/38 | | | | | | | 2,325 | | | | 2,684,316 | |
T-Mobile U.S., Inc.
2.55%, 02/15/31 | | | | | | | 500 | | | | 430,657 | |
4.50%, 04/15/50(e) | | | | | | | 500 | | | | 441,775 | |
Vmed O2 U.K. Financing I PLC, 4.50%, 07/15/31(d) | | | GBP | | | | 100 | | | | 109,924 | |
Vodafone Group PLC, 4.25%, 09/17/50(e) | | | USD | | | | 700 | | | | 580,629 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,259,281 | |
| | | | | | | | | | | | |
| |
Total Corporate Bonds — 67.0%
(Cost: $405,178,776) | | | | 398,453,456 | |
| | | | | | | | | | | | |
|
Floating Rate Loan Interests(a) | |
|
| Aerospace & Defense — 0.1% | |
Peraton Corp. | |
2nd Lien Term Loan B1, (3-mo. CME Term SOFR at 0.75% Floor + 7.75%), 13.22%, 02/01/29 | | | | | | | 303 | | | | 300,745 | |
Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.21%, 02/01/28 | | | | | | | 151 | | | | 150,632 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 451,377 | |
| | | |
| Air Freight & Logistics — 0.0% | | | | | | | | | |
Clue Opco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.50%), 9.86%, 12/19/30 | | | | | | | 130 | | | | 122,958 | |
| | | | | | | | | | | | |
| | | |
| Automobile Components — 0.0% | | | | | | | | | |
Tenneco, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR + 5.00%), 10.47%, 11/17/28 | | | | | | | 82 | | | | 72,290 | |
| | | | | | | | | | | | |
| | | |
| Banks — 0.0% | | | | | | | | | |
Ascensus Holdings, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.50%), 12.18%, 08/02/29 | | | | | | | 122 | | | | 116,906 | |
| | | | | | | | | | | | |
| | | |
| Beverages — 0.0% | | | | | | | | | |
Naked Juice LLC | | | | | | | | | | | | |
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.45%, 01/24/30 | | | | | | | 20 | | | | 16,000 | |
Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.70%, 01/24/29 | | | | | | | 17 | | | | 16,320 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 32,320 | |
| | | |
| Broadline Retail — 0.0% | | | | | | | | | |
PUG LLC, USD Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.97%, 02/12/27 | | | | | | | 108 | | | | 106,245 | |
| | | | | | | | | | | | |
| | | |
| Building Products — 0.0% | | | | | | | | | |
LBM Acquisition LLC, Term Loan B, (1-mo. CME
Term SOFR at 0.75% Floor + 3.75%), 9.21%, 12/17/27 | | | | | | | — | (m) | | | 1 | |
White Cap Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.11%, 10/19/27 | | | | | | | 46 | | | | 45,640 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 45,641 | |
| | | |
| Chemicals — 0.1% | | | | | | | | | |
Arc Falcon I, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 09/30/28 | | | | | | | 46 | | | | 45,372 | |
Aruba Investments Holdings LLC, 2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 7.75%), 13.21%, 11/24/28 | | | | | | | 65 | | | | 60,133 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Chemicals (continued) | | | | | | | | | |
Discovery Purchaser Corp., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.38%), 9.77%, 10/04/29 | | | USD | | | | 358 | | | $ | 352,750 | |
Herens U.S. Holdco Corp., USD Term Loan B, (3-mo. CME Term SOFR + 3.93%), 9.37%, 07/03/28 | | | | | | | 92 | | | | 83,092 | |
Momentive Performance Materials Inc., 2023 Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.86%, 03/29/28 | | | | | | | 148 | | | | 142,615 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 683,962 | |
|
| Commercial Services & Supplies — 0.0% | |
PECF USS Intermediate Holding III Corp., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.89%, 12/15/28 | | | | | | | 93 | | | | 72,067 | |
TruGreen LP, 2020 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 8.50%), 14.14%, 11/02/28 | | | | | | | 106 | | | | 78,440 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 150,507 | |
| | | |
| Communications Equipment — 0.0% | | | | | | | | | |
Viasat, Inc., 2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.96%, 05/30/30 | | | | | | | 153 | | | | 149,374 | |
| | | | | | | | | | | | |
| | | |
| Construction & Engineering — 0.1% | | | | | | | | | |
Brand Industrial Services, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.50%), 10.88%, 08/01/30 | | | | | | | 594 | | | | 589,311 | |
| | | | | | | | | | | | |
| | | |
| Consumer Finance — 0.0% | | | | | | | | | |
Sabre GLBL, Inc. | | | | | | | | | | | | |
2021 Term Loan B1, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 12/17/27 | | | | | | | 46 | | | | 40,029 | |
2021 Term Loan B2, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 12/17/27 | | | | | | | 72 | | | | 63,076 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 103,105 | |
| | | |
| Containers & Packaging — 0.0% | | | | | | | | | |
Trident TPI Holdings, Inc., 2023 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.85%, 09/15/28 | | | | | | | 92 | | | | 91,870 | |
| | | | | | | | | | | | |
|
| Diversified Consumer Services — 0.0% | |
Ascend Learning LLC | | | | | | | | | | | | |
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.75%), 11.21%, 12/10/29 | | | | | | | 83 | | | | 70,935 | |
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 12/11/28 | | | | | | | 106 | | | | 103,702 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 174,637 | |
|
| Diversified Telecommunication Services — 0.1% | |
Frontier Communications Holdings LLC, 2021 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.22%, 10/08/27(c) | | | | | | | 143 | | | | 142,170 | |
Zayo Group Holdings, Inc., USD Term Loan, (1-mo. CME Term SOFR + 3.00%), 8.47%, 03/09/27 | | | | | | | 110 | | | | 94,376 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 236,546 | |
|
| Electronic Equipment, Instruments & Components — 0.0% | |
Roper Industrial Products Investment Co., USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%) , 9.35%, 11/22/29 | | | | | | | 66 | | | | 66,717 | |
| | | | | | | | | | | | |
| | |
| 34 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Energy Equipment & Services — 0.0% | |
Lealand Finance Co. BV, 2020 Make Whole Term Loan, (1-mo. CME Term SOFR + 3.00%), 8.47%, 06/28/24(c) | | | USD | | | | 8 | | | $ | 5,597 | |
| | | | | | | | | | | | |
| | | |
| Financial Services — 0.0% | | | | | | | | | |
Deerfield Dakota Holding LLC | | | | | | | | | | | | |
2020 USD Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.75%), 9.10%, 04/09/27 | | | | | | | 33 | | | | 32,893 | |
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 6.75%), 12.36%, 04/07/28 | | | | | | | 145 | | | | 137,931 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 170,824 | |
| | | |
| Food Products — 0.0% | | | | | | | | | |
Chobani LLC, 2023 Incremental Term Loan, (3-mo. CME Term SOFR + 3.75%), 9.11%, 10/25/27 | | | | | | | 148 | | | | 148,123 | |
| | | | | | | | | | | | |
| |
| Health Care Equipment & Supplies — 0.1% | | | | |
Bausch & Lomb Corp., 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.36%, 09/29/28 | | | | | | | 129 | | | | 128,195 | |
Bausch and Lomb, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 05/10/27 | | | | | | | 176 | | | | 174,310 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 302,505 | |
|
| Health Care Providers & Services — 0.1% | |
LifePoint Health, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 5.50%), 11.17%, 11/16/28 | | | | | | | 68 | | | | 67,705 | |
Quorum Health Corp., 2020 Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 8.25%), 13.76%, 04/29/25 | | | | | | | 116 | | | | 69,808 | |
Star Parent, Inc., Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.35%, 09/27/30 | | | | | | | 238 | | | | 234,782 | |
Surgery Center Holdings, Inc., 2023 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.86%, 12/19/30 .. | | | | | | | 68 | | | | 68,282 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 440,577 | |
|
| Health Care Technology — 0.3% | |
AthenaHealth Group, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 02/15/29 | | | | | | | 946 | | | | 940,249 | |
Gainwell Acquisition Corp., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.45%, 10/01/27 | | | | | | | 298 | | | | 289,491 | |
Verscend Holding Corp., 2021 Term Loan B, (1-mo. CME Term SOFR + 4.00%), 9.47%, 08/27/25 | | | | | | | 622 | | | | 622,454 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,852,194 | |
| | | |
| Household Durables — 0.1% | | | | | | | | | |
Hunter Douglas, Inc., USD Term Loan B1, (3-mo. CME Term SOFR + 3.50%), 8.88%, 02/26/29 | | | | | | | 145 | | | | 144,035 | |
Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.47%, 10/06/28 | | | | | | | 280 | | | | 250,437 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 394,472 | |
| | | |
| Interactive Media & Services — 0.0% | | | | | | | | | |
Acuris Finance U.S., Inc., 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.50%, 02/16/28 | | | | | | | 66 | | | | 65,533 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| IT Services — 0.1% | | | | | | | | | |
Magenta Buyer LLC | | | | | | | | | | | | |
2021 USD 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.64%, 07/27/28 | | | USD | | | | 560 | | | $ | 393,486 | |
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 8.25%), 13.89%, 07/27/29 | | | | | | | 280 | | | | 106,400 | |
Project Alpha Intermediate Holding, Inc., 2023 1st Lien Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.11%, 10/28/30 | | | | | | | 59 | | | | 59,459 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 559,345 | |
| | | |
| Leisure Products — 0.0% | | | | | | | | | |
Peloton Interactive, Inc., Term Loan, (6-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.48%, 05/25/27 | | | | | | | 70 | | | | 70,127 | |
| | | | | | | | | | | | |
| | | |
| Machinery — 0.1% | | | | | | | | | |
SPX Flow, Inc., 2022 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.96%, 04/05/29 | | | | | | | 252 | | | | 252,334 | |
Titan Acquisition Ltd./Canada, 2018 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.47%, 03/28/25 | | | | | | | 460 | | | | 459,626 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 711,960 | |
| | | |
| Media — 0.2% | | | | | | | | | |
AVSC Holding Corp., 2018 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 7.25%), 12.72%, 09/01/25 | | | | | | | 156 | | | | 142,629 | |
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.14%, 08/21/26 | | | | | | | 437 | | | | 432,134 | |
DirecTV Financing LLC, Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.65%, 08/02/27 | | | | | | | 431 | | | | 430,754 | |
Radiate Holdco LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.72%, 09/25/26 | | | | | | | 161 | | | | 128,038 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,133,555 | |
| | | |
| Oil, Gas & Consumable Fuels — 0.2% | | | | | | | | | |
Ecopetrol SA, 2023 Term Loan, (3-mo. CME Term SOFR + 4.75%), 10.13%, 09/06/30 | | | | | | | 150 | | | | 148,875 | |
Freeport LNG Investments LLLP, Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.18%, 12/21/28 | | | | | | | 65 | | | | 64,821 | |
M6 ETX Holdings II Midco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.96%, 09/19/29 | | | | | | | 77 | | | | 77,426 | |
New Fortress Energy, Inc., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.39%, 10/27/28 | | | | | | | 642 | | | | 630,765 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 921,887 | |
| | | |
| Passenger Airlines — 0.1% | | | | | | | | | |
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.43%, 04/20/28 | | | | | | | 243 | | | | 249,526 | |
| | | | | | | | | | | | |
| | | |
| Personal Care Products — 0.0% | | | | | | | | | |
KDC/ONE Development Corp., Inc., 2023 USD Term Loan B, (1-mo. CME Term SOFR + 5.00%), 10.36%, 08/15/28 | | | | | | | 120 | | | | 118,620 | |
| | | | | | | | | | | | |
| | |
SCHEDULE OF INVESTMENTS | | 35 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Pharmaceuticals — 0.0% | | | | | | | | | |
Amneal Pharmaceuticals LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 5.50%), 10.86%, 05/04/28 | | | USD | | | | 48 | | | $ | 47,058 | |
| | | | | | | | | | | | |
| | | |
| Professional Services — 0.0% | | | | | | | | | |
CoreLogic, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 06/02/28 | | | | | | | 85 | | | | 82,839 | |
Galaxy U.S. Opco, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.13%, 04/29/29(c) | | | | | | | 139 | | | | 113,652 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 196,491 | |
|
| Real Estate Management & Development — 0.0% | |
Cushman & Wakefield U.S. Borrower LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.36%, 01/31/30(c) | | | | | | | 50 | | | | 50,013 | |
| | | | | | | | | | | | |
| | | |
| Software — 0.5% | | | | | | | | | |
Boxer Parent Co., Inc. | | | | | | | | | | | | |
2021 USD 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.50%), 10.97%, 02/27/26 | | | | | | | 279 | | | | 277,691 | |
2023 USD Term Loan, 0.00%, 12/29/28 | | | | | | | 63 | | | | 63,362 | |
Cloud Software Group, Inc., 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.95%, 03/30/29 | | | | | | | 540 | | | | 526,612 | |
Cloudera, Inc., 2021 Second Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.46%, 10/08/29 | | | | | | | 234 | | | | 222,737 | |
McAfee Corp., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.19%, 03/01/29 | | | | | | | 281 | | | | 279,204 | |
MH Sub I LLC | | | | | | | | | | | | |
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.25%), 11.61%, 02/23/29 | | | | | | | 35 | | | | 32,487 | |
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.61%, 05/03/28 | | | | | | | 325 | | | | 319,356 | |
Planview Parent, Inc., 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.70%, 12/18/28 | | | | | | | 103 | | | | 93,601 | |
Polaris Newco LLC, USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.47%, 06/02/28 | | | | | | | 196 | | | | 193,056 | |
Proofpoint, Inc., 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.25%), 11.72%, 08/31/29 | | | | | | | 250 | | | | 251,673 | |
RealPage, Inc., 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 04/24/28 | | | | | | | 215 | | | | 213,089 | |
Sophia LP, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 10/07/27 | | | | | | | 85 | | | | 85,397 | |
Sovos Compliance LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.97%, 08/11/28 | | | | | | | 117 | | | | 114,880 | |
UKG, Inc., 2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.76%, 05/03/27 | | | | | | | 195 | | | | 194,979 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,868,124 | |
| | | |
| Specialty Retail — 0.0% | | | | | | | | | |
PetSmart LLC, 2021 Term Loan B, 0.00%, 02/11/28 | | | | | | | — | (m) | | | 1 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Transportation Infrastructure — 0.0% | | | | | | | | | |
Apple Bidco LLC, 2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.86%, 09/22/28 | | | USD | | | | 32 | | | $ | 31,944 | |
| | | | | | | | | | | | |
| |
| Wireless Telecommunication Services — 0.1% | | | | |
Altice France SA/France, 2023 USD Term Loan B14, (3-mo. CME Term SOFR + 5.50%), 10.89%, 08/15/28 | | | | | | | 93 | | | | 83,268 | |
Digicel International Finance Ltd. | | | | | | | | | | | | |
2017 Term Loan B, (3-mo. LIBOR US + 2.25%), 10.75%, 05/28/24 | | | | | | | 369 | | | | 342,190 | |
2017 Term Loan B1, 05/27/24(n) | | | | | | | 16 | | | | 14,870 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 440,328 | |
| | | | | | | | | | | | |
| |
Total Floating Rate Loan Interests — 2.3%
(Cost: $14,329,973) | | | | 13,972,570 | |
| | | | | | | | | | | | |
| | | |
Foreign Agency Obligations | | | | | | | | | | | | |
| | | |
| Bahrain — 0.0% | | | | | | | | | |
Bahrain Government International Bond, 5.45%, 09/16/32(d) | | | | | | | 200 | | | | 183,313 | |
| | | | | | | | | | | | |
| | | |
| Canada — 1.1% | | | | | | | | | |
CDP Financial, Inc., 5.60%, 11/25/39(b) | | | | | | | 5,890 | | | | 6,299,644 | |
| | | | | | | | | | | | |
| | | |
| Colombia — 0.1% | | | | | | | | | |
Colombia Government International Bond
4.50%, 01/28/26(e) | | | | | | | 300 | | | | 294,000 | |
3.88%, 04/25/27 | | | | | | | 200 | | | | 190,562 | |
3.13%, 04/15/31 | | | | | | | 200 | | | | 162,563 | |
8.00%, 04/20/33(e) | | | | | | | 200 | | | | 218,312 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 865,437 | |
| | | |
| Dominican Republic — 0.2% | | | | | | | | | |
Dominican Republic International Bond
6.88%, 01/29/26(d) | | | | | | | 115 | | | | 116,921 | |
5.95%, 01/25/27(d) | | | | | | | 228 | | | | 228,474 | |
4.50%, 01/30/30(b) | | | | | | | 226 | | | | 207,637 | |
7.05%, 02/03/31(b) | | | | | | | 150 | | | | 157,343 | |
4.88%, 09/23/32(b) | | | | | | | 300 | | | | 272,742 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 983,117 | |
| | | |
| Egypt — 0.0% | | | | | | | | | |
Egypt Government International Bond, 7.50%, 02/16/61(b) | | | | | | | 219 | | | | 127,362 | |
| | | | | | | | | | | | |
| | | |
| Guatemala — 0.1% | | | | | | | | | |
Guatemala Government Bond(b)
5.25%, 08/10/29 | | | | | | | 200 | | | | 195,800 | |
5.38%, 04/24/32 | | | | | | | 200 | | | | 193,700 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 389,500 | |
| | | |
| Ivory Coast — 0.1% | | | | | | | | | |
Ivory Coast Government International Bond, 6.38%, 03/03/28(d) | | | | | | | 400 | | | | 392,125 | |
| | | | | | | | | | | | |
| | | |
| Morocco — 0.0% | | | | | | | | | |
Morocco Government International Bond, 2.38%, 12/15/27(b) | | | | | | | 200 | | | | 178,875 | |
| | | | | | | | | | | | |
| | | |
| Oman — 0.1% | | | | | | | | | |
Oman Government International Bond(d)
6.50%, 03/08/47 | | | | | | | 228 | | | | 232,275 | |
6.75%, 01/17/48 | | | | | | | 200 | | | | 208,812 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 441,087 | |
| | |
| 36 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Romania — 0.1% | | | | | | | | | |
Romanian Government International Bond 5.25%, 11/25/27(b) | | | USD | | | | 102 | | | $ | 101,073 | |
2.50%, 02/08/30(d) | | | EUR | | | | 222 | | | | 212,122 | |
2.12%, 07/16/31(d) | | | | | | | 226 | | | | 198,329 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 511,524 | |
| | | |
| Senegal — 0.0% | | | | | | | | | |
Senegal Government International Bond, 6.25%, 05/23/33(d) | | | USD | | | | 200 | | | | 178,125 | |
| | | | | | | | | | | | |
| | | |
| South Africa — 0.1% | | | | | | | | | |
Republic of South Africa Government International Bond
4.85%, 09/30/29 | | | | | | | 200 | | | | 187,250 | |
5.88%, 04/20/32(e) | | | | | | | 200 | | | | 189,440 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 376,690 | |
| | | |
| Ukraine — 0.0% | | | | | | | | | |
Ukraine Government International Bond(k)(l)
7.75%, 09/01/27(d) | | | | | | | 385 | | | | 102,795 | |
7.25%, 03/15/35(b) | | | | | | | 200 | | | | 46,400 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 149,195 | |
| | | | | | | | | | | | |
| |
Total Foreign Agency Obligations — 1.9%
(Cost: $11,033,030) | | | | 11,075,994 | |
| | | | | | | | | | | | |
| | | |
Municipal Bonds | | | | | | | | | | | | |
| | | |
| California — 1.2% | | | | | | | | | |
City of Los Angeles California, GO, Series A, 5.00%, 09/01/42 | | | | | | | 2,000 | | | | 1,980,087 | |
East Bay Municipal Utility District Water System Revenue, RB, BAB, 5.87%, 06/01/40 | | | | | | | 1,900 | | | | 2,095,141 | |
Oxnard Union High School District, Refunding GO, (BAM), 3.18%, 08/01/43 | | | | | | | 1,600 | | | | 1,255,998 | |
State of California, Refunding GO, 5.13%, 03/01/38 | | | | | | | 1,000 | | | | 1,004,236 | |
University of California, RB, BAB, 5.95%, 05/15/45 | | | | | | | 885 | | | | 971,395 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,306,857 | |
| | | |
| Georgia — 0.4% | | | | | | | | | |
Municipal Electric Authority of Georgia, Refunding RB, BAB, 7.06%, 04/01/57 | | | | | | | 1,907 | | | | 2,126,968 | |
| | | | | | | | | | | | |
| | | |
| Hawaii — 0.3% | | | | | | | | | |
City & County Honolulu HI Wastewater System Revenue, Refunding RB, Series A, 2.62%, 07/01/45 | | | | | | | 1,000 | | | | 684,948 | |
State of Hawaii, GO, Series GK, 6.15%, 10/01/38 | | | | | | | 1,000 | | | | 1,085,739 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,770,687 | |
| | | |
| Illinois — 0.3% | | | | | | | | | |
State of Illinois, GO, 5.10%, 06/01/33 | | | | | | | 2,000 | | | | 1,977,756 | |
| | | | | | | | | | | | |
| | | |
| Massachusetts — 0.1% | | | | | | | | | |
University of Massachusetts Building Authority, Refunding RB, Series 3, 3.43%, 11/01/40 | | | | | | | 500 | | | | 418,180 | |
| | | | | | | | | | | | |
| | | |
| New York — 1.2% | | | | | | | | | |
Metropolitan Transportation Authority, RB, BAB, 7.34%, 11/15/39 | | | | | | | 1,295 | | | | 1,606,613 | |
New York City Industrial Development Agency, Refunding RB, (AGM), 3.19%, 03/01/40 | | | | | | | 165 | | | | 128,827 | |
New York City Municipal Water Finance Authority, Refunding RB, BAB, 5.72%, 06/15/42 | | | | | | | 1,390 | | | | 1,518,524 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| New York (continued) | | | | | | | | | |
New York State Dormitory Authority, RB, BAB | | | | | | | | | | | | |
Series D, 5.60%, 03/15/40 | | | USD | | | | 1,900 | | | $ | 2,013,043 | |
Series F, 5.63%, 03/15/39 | | | | | | | 1,100 | | | | 1,146,052 | |
Port Authority of New York & New Jersey, RB, 159th Series, 6.04%, 12/01/29 | | | | 780 | | | | 835,505 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,248,564 | |
| | | | | | | | | | | | |
| | | |
Total Municipal Bonds — 3.5%
(Cost: $19,970,270) | | | | | | | | | | | 20,849,012 | |
| | | | | | | | | | | | |
|
Non-Agency Mortgage-Backed Securities | |
|
Collateralized Mortgage Obligations — 9.8% | |
Alternative Loan Trust | | | | | | | | | | | | |
Series 2005-64CB, Class 1A15, 5.50%, 12/25/35 | | | | | | | 373 | | | | 325,488 | |
Series 2006-OA21, Class A1, (1-mo. Term SOFR + 0.30%), 5.66%, 03/20/47(a) | | | | | | | 350 | | | | 284,907 | |
Series 2007-OA10, Class 2A1, (1-mo. Term SOFR + 0.61%), 5.97%, 09/25/47(a) | | | | | | | 3,973 | | | | 557,973 | |
Banc of America Funding Trust, Series 2007-2, Class 1A2, 6.00%, 03/25/37 | | | | | | | 215 | | | | 170,498 | |
Bravo Residential Funding Trust | | | | | | | | | | | | |
Series 2021-NQM1, Class A1, 0.94%, 02/25/49(a)(b) | | | | | | | 702 | | | | 619,480 | |
Series 2023-NQM3, Class A1, 4.85%, 09/25/62(b) | | | | | | | 459 | | | | 451,252 | |
Series 2023-NQM4, Class A1, 6.44%, 05/25/63 | | | | | | | 1,425 | | | | 1,438,288 | |
Chase Home Lending Mortgage Trust, Series 2019- ATR1, Class A12, 6.50%,
04/25/49(a)(b) | | | | | | | 489 | | | | 493,128 | |
CIM Trust | | | | | | | | | | | | |
Series 2023-I1, Class A1, 6.03%, 04/25/58(b) | | | | | | | 1,251 | | | | 1,243,522 | |
Series 2023-I2, Class A1, 6.64%, 12/25/67 | | | | | | | 1,231 | | | | 1,241,837 | |
COLT Mortgage Loan Trust | | | | | | | | | | | | |
Series 2020-2, Class M1, 5.25%, 03/25/65(a)(b) | | | | | | | 3,050 | | | | 2,977,179 | |
Series 2020-3, Class M1, 3.36%, 04/27/65(a)(b) | | | | | | | 3,820 | | | | 3,502,634 | |
Series 2022-1, Class A1, 4.55%, 04/25/67(a)(b) | | | | | | | 1,522 | | | | 1,491,814 | |
Series 2022-7, Class A1, 5.16%, 04/25/67(b) | | | | | | | 2,022 | | | | 1,970,257 | |
Series 2022-9, Class A1, 6.79%, 12/25/67(b) | | | | | | | 330 | | | | 334,239 | |
Series 2023-2, Class A1, 6.60%, 07/25/68 | | | | | | | 1,469 | | | | 1,488,145 | |
Credit Suisse Mortgage Capital Certificates Trust, Series 2022-NQM5, Class A1, 5.17%, 05/25/67(a)(b) | | | | | | | 2,708 | | | | 2,689,813 | |
Deephaven Residential Mortgage Trust, Series 2022-2, Class A1, 4.30%, 03/25/67(a)(b) | | | | | | | 269 | | | | 255,340 | |
Ellington Financial Mortgage Trust(a)(b) | | | | | | | | | | | | |
Series 2020-1, Class M1, 5.24%, 05/25/65 | | | | | | | 1,500 | | | | 1,455,927 | |
Series 2021-2, Class A1, 0.93%, 06/25/66 | | | | | | | 199 | | | | 158,249 | |
Flagstar Mortgage Trust, Series 2021-4, Class A1, 2.50%, 06/01/51(a)(b) | | | | | | | 2,413 | | | | 1,975,959 | |
GCAT Trust, Series 2022-NQM3, Class A1, 4.35%, 04/25/67(a)(b) | | | | | | | 1,127 | | | | 1,086,973 | |
GMACM Mortgage Loan Trust, Series 2005-AR3, Class 5A1, 3.87%, 06/19/35(a) | | | | | | | 91 | | | | 81,400 | |
GS Mortgage-Backed Securities Corp. Trust, Series 2022-PJ2, Class A4, 2.50%, 06/25/52(a)(b) | | | | | | | 1,045 | | | | 854,676 | |
GS Mortgage-Backed Securities Trust, Series 2021- PJ2, Class A2, 2.50%, 11/25/51(a)(b) | | | | | | | 911 | | | | 748,511 | |
GSR Mortgage Loan Trust, Series 2007-4F, Class 3A1, 6.00%, 07/25/37 | | | | | | | 81 | | | | 51,939 | |
Homeward Opportunities Fund Trust, Series 2022-1, Class A1, 5.08%, 07/25/67(b) | | | | | | | 1,194 | | | | 1,173,609 | |
| | |
SCHEDULE OF INVESTMENTS | | 37 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Collateralized Mortgage Obligations (continued) | |
JP Morgan Mortgage Trust | | | | | | | | | | | | |
Series 2006-S3, Class 1A12, 6.50%, 08/25/36 | | | USD | | | | 42 | | | $ | 14,006 | |
Series 2022-DSC1, Class A1, 4.75%, 01/25/63(a)(b) | | | | | | | 466 | | | | 443,866 | |
Series 2022-INV3, Class A3B, 3.00%, 09/25/52(a)(b) | | | | | | | 734 | | | | 624,103 | |
Series 2023-DSC1, Class A1, 4.63%, 07/25/63(a)(b) | | | | | | | 328 | | | | 308,529 | |
Mello Mortgage Capital Acceptance, Series 2022- INV2, Class A3, 3.00%,
04/25/52(a)(b) | | | | | | | 775 | | | | 661,188 | |
Merrill Lynch Mortgage Investors Trust, Series 2006- A3, Class 3A1, 4.29%, 05/25/36(a) | | | | | | | 132 | | | | 92,157 | |
MFA Trust | | | | | | | | | | | | |
Series 2021-NQM1, Class M1, 2.31%, 04/25/65(a)(b) | | | | | | | 2,750 | | | | 2,087,760 | |
Series 2023-NQM1, Class A1, 5.75%, 11/25/67(b) | | | | | | | 851 | | | | 846,336 | |
Series 2023-NQM3, Class A1, 6.62%, 07/25/68 | | | | | | | 1,714 | | | | 1,732,869 | |
Mill City Mortgage Trust, Series 2023-NQM2, Class A1, 6.24%, 12/25/67(b) | | | | | | | 1,789 | | | | 1,793,293 | |
OBX Trust | | | | | | | | | | | | |
Series 2022-INC3, Class A1, 3.00%, 02/25/52(a)(b) . | | | | | | | 685 | | | | 586,630 | |
Series 2022-NQM9, Class A1A, 6.45%, 09/25/62(b) | | | | | | | 509 | | | | 514,564 | |
Series 2023-NQM1, Class A1, 6.12%, 11/25/62(a)(b) | | | | | | | 709 | | | | 712,696 | |
Series 2023-NQM6, Class A1, 6.52%, 07/25/63 | | | | | | | 1,352 | | | | 1,364,069 | |
Onslow Bay Financial LLC, Class A1A, 6.57%, 06/25/63 | | | | | | | 1,636 | | | | 1,651,282 | |
PRKCM Trust, Series 2023-AFC2, Class A1, 6.48%, 06/25/58 | | | | | | | 1,585 | | | | 1,593,144 | |
RCKT Mortgage Trust, Series 2022-2, Class A1, 3.00%, 02/25/52(a)(b) | | | | | | | 1,023 | | | | 871,007 | |
SG Residential Mortgage Trust, Series 2022-2, Class A1, 5.35%, 08/25/62(b) | | | | | | | 665 | | | | 664,357 | |
Spruce Hill Mortgage Loan Trust, Series 2022-SH1, Class A1A, 4.10%, 07/25/57(b) | | | | | | | 696 | | | | 667,926 | |
STAR Trust, Series 2021-1, Class M1, 2.36%, 05/25/65(a)(b) | | | | | | | 2,050 | | | | 1,567,560 | |
Starwood Mortgage Residential Trust, Series 2020-3, Class M1, 3.54%, 04/25/65(a)(b) | | | | | | | 2,000 | | | | 1,652,540 | |
Verus Securitization Trust | | | | | | | | | | | | |
Series 2022-3, Class A1, 4.13%, 02/25/67(b) | | | | | | | 2,830 | | | | 2,633,656 | |
Series 2022-7, Class A1, 5.15%, 07/25/67(b) | | | | | | | 1,619 | | | | 1,620,883 | |
Series 2022-INV2, Class A1, 6.79%, 10/25/67(b) | | | | | | | 479 | | | | 486,058 | |
Series 2023-1, Class A1, 5.85%, 12/25/67(b) | | | | | | | 973 | | | | 972,318 | |
Series 2023-5, Class A1, 6.48%, 06/25/68 | | | | | | | 1,422 | | | | 1,435,756 | |
Visio Trust, Series 2023-2, Class A1, 6.60%, 10/25/58 | | | | | | | 1,424 | | | | 1,434,923 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 58,156,513 | |
|
| Commercial Mortgage-Backed Securities — 4.3% | |
3650R Commercial Mortgage Trust, Series 2021- PF1, Class A5, 2.52%, 11/15/54 | | | | | | | 1,250 | | | | 1,031,654 | |
BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.60%, 04/14/33(a)(b) | | | | | | | 4,170 | | | | 3,901,902 | |
Bayview Commercial Asset Trust, Series 2007-2A, Class A1, (1-mo. Term SOFR + 0.38%), 5.74%, 07/25/37(a)(b) | | | | | | | 620 | | | | 564,110 | |
BX Commercial Mortgage Trust(a)(b) | | | | | | | | | | | | |
Series 2019-XL, Class A, (1-mo. Term SOFR + 1.03%), 6.40%, 10/15/36 | | | | | | | 504 | | | | 502,702 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Commercial Mortgage-Backed Securities (continued) | |
BX Commercial Mortgage Trust(a)(b) (continued) | | | | | | | | | | | | |
Series 2021-CIP, Class A, (1-mo. Term SOFR + 1.04%), 6.40%, 12/15/38 | | | USD | | | | 605 | | | $ | 592,281 | |
Series 2021-SOAR, Class A, (1-mo. Term SOFR + 0.78%), 6.15%, 06/15/38 | | | | | | | 1,569 | | | | 1,543,908 | |
Series 2021-XL2, Class A, (1-mo. Term SOFR + 0.80%), 6.17%, 10/15/38 | | | | | | | 391 | | | | 383,611 | |
Series 2022-LP2, Class A, (1-mo. Term SOFR + 1.01%), 6.37%, 02/15/39 | | | | | | | 1,426 | | | | 1,399,802 | |
BX Trust(a)(b) | | | | | | | | | | | | |
Series 2021-LBA, Class AJV, (1-mo. Term SOFR + 0.91%), 6.28%, 02/15/36 | | | | | | | 1,690 | | | | 1,662,448 | |
Series 2022 VAMF, Class A, (1-mo. Term SOFR + 0.85%), 6.21%, 01/15/39 | | | | | | | 1,300 | | | | 1,272,296 | |
Series 2022-GPA, Class A, (1-mo. Term SOFR + 2.17%), 7.53%, 08/15/39 | | | | | | | 650 | | | | 650,611 | |
Cantor Commercial Real Estate Lending, Series 2019- CF2, Class A5, 2.87%, 11/15/52 | | | | | | | 550 | | | | 483,489 | |
Citigroup Commercial Mortgage Trust, Series 2019- SMRT, Class A, 4.15%, 01/10/36(b) | | | | | | | 700 | | | | 698,699 | |
Cold Storage Trust, Series 2020-ICE5, Class A, (1- mo. Term SOFR + 1.01%), 6.37%, 11/15/37(a)(b) | | | | | | | 238 | | | | 236,761 | |
Credit Suisse Mortgage Capital Certificates Trust, Series 2020-FACT, Class D, (1-mo. Term SOFR + 4.07%), 9.44%, 10/15/37(a)(b) | | | | | | | 900 | | | | 828,925 | |
CSMC BHAR, Series 2021-BHAR, Class C, (1-mo. Term SOFR + 2.11%), 7.48%, 11/15/38(a)(b) | | | | | | | 300 | | | | 295,354 | |
Extended Stay America Trust, Series 2021-ESH, Class D, (1-mo. Term SOFR + 2.36%), 7.73%, 07/15/38(a)(b) | | | | | | | 1,801 | | | | 1,769,862 | |
GS Mortgage Securities Trust, Series 2019-GC38, Class AAB, 3.84%, 02/10/52 | | | | | | | 930 | | | | 899,107 | |
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2022-ACB, Class A, (30-day Avg SOFR + 1.40%), 6.74%, 03/15/39(a)(b) | | | | | | | 1,700 | | | | 1,676,520 | |
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2006-1A, Class B, (1-mo. Term SOFR + 1.11%), 6.47%, 04/25/31(a)(b) | | | | | | | 96 | | | | 95,662 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4, 3.31%, 04/15/48 | | | | | | | 1,200 | | | | 1,157,014 | |
STWD Trust, Series 2021-FLWR, Class A, (1-mo. Term SOFR + 0.69%), 6.05%, 07/15/36(a)(b) | | | | | | | 1,207 | | | | 1,184,668 | |
UBS Commercial Mortgage Trust, Series 2019-C18, Class A4, 3.04%, 12/15/52 | | | | | | | 1,200 | | | | 1,044,947 | |
Wells Fargo Commercial Mortgage Trust, Series 2016-LC25, Class A4, 3.64%, 12/15/59 | | | | | | | 1,700 | | | | 1,621,423 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 25,497,756 | |
| | | | | | | | | | | | |
| |
Total Non-Agency Mortgage-Backed Securities — 14.1%
(Cost: $88,838,382) | | | | 83,654,269 | |
| | | | | | | | | | | | |
| | | |
Preferred Securities | | | | | | | | | | | | |
| | | |
| Capital Trusts — 7.2% | | | | | | | | | |
| | | |
| Automobiles — 0.0% | | | | | | | | | |
Volkswagen International Finance NV,
3.88%(a)(d)(j) | | | EUR | | | | 100 | | | | 101,028 | |
| | | | | | | | | | | | |
| | | |
| Banks(j) — 6.1% | | | | | | | | | |
AIB Group PLC, 5.25%(a)(d) | | | | | | | 200 | | | | 217,738 | |
Banco Bilbao Vizcaya Argentaria SA, 6.13%(a) | | | USD | | | | 2,000 | | | | 1,820,220 | |
Banco Mercantil del Norte SA, 6.75%(a)(b) | | | | | | | 200 | | | | 197,096 | |
Bank of America Corp., Series FF, 5.88%(a)(e) | | | | | | | 3,500 | | | | 3,350,764 | |
| | |
| 38 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Banks (continued) | | | | | | | | | |
Bank of East Asia Ltd., 5.88%(a)(d) | | | USD | | | | 250 | | | $ | 232,656 | |
Bank of New York Mellon Corp., Series F, 4.63%(a) | | | | | | | 2,750 | | | | 2,618,470 | |
Barclays PLC | | | | | | | | | | | | |
9.63% | | | | | | | 640 | | | | 664,800 | |
4.38%(a) | | | | | | | 310 | | | | 240,996 | |
BNP Paribas SA(a)(b) | | | | | | | | | | | | |
4.63% | | | | | | | 2,000 | | | | 1,610,954 | |
8.50% | | | | | | | 265 | | | | 277,514 | |
Citigroup, Inc., 7.63%(a) | | | | | | | 208 | | | | 212,389 | |
Credit Agricole SA, 7.88%(a)(b) | | | | | | | 1,000 | | | | 1,000,368 | |
Goldman Sachs Group, Inc., Series R, 4.95%(a) | | | | | | | 333 | | | | 317,975 | |
HSBC Holdings PLC(a) | | | | | | | | | | | | |
4.70% | | | | | | | 275 | | | | 223,972 | |
6.50%(e) | | | | | | | 1,090 | | | | 1,051,349 | |
6.00%(e) | | | | | | | 435 | | | | 415,451 | |
6.38% | | | | | | | 1,000 | | | | 987,244 | |
ING Groep NV, Series NC10, 4.25%(a) | | | | | | | 1,500 | | | | 1,091,045 | |
JPMorgan Chase & Co., Series FF, 5.00%(a) | | | | | | | 2,500 | | | | 2,454,414 | |
Krung Thai Bank PCL/Cayman Islands, 4.40%(a)(d) | | | | | | | 252 | | | | 233,415 | |
Lloyds Banking Group PLC(a) | | | | | | | | | | | | |
8.00% | | | | | | | 200 | | | | 200,400 | |
6.75% | | | | | | | 595 | | | | 586,557 | |
7.50% | | | | | | | 1,750 | | | | 1,713,758 | |
NatWest Group PLC, 6.00%(a) | | | | | | | 1,575 | | | | 1,522,723 | |
Nordea Bank Abp, 6.13%(a)(b) | | | | | | | 2,960 | | | | 2,931,787 | |
PNC Financial Services Group, Inc.(a) | | | | | | | | | | | | |
Series V, 6.20% | | | | | | | 205 | | | | 199,309 | |
Series W, 6.25%(e) | | | | | | | 1,705 | | | | 1,589,346 | |
Rizal Commercial Banking Corp., 6.50%(a)(d) | | | | | | | 200 | | | | 188,392 | |
U.S. Bancorp, Series J, 5.30%(a)(e) | | | | | | | 1,900 | | | | 1,704,357 | |
UBS Group AG(a)(b) | | | | | | | | | | | | |
4.88% | | | | | | | 2,000 | | | | 1,801,444 | |
9.25% | | | | | | | 400 | | | | 431,511 | |
9.25% | | | | | | | 200 | | | | 221,653 | |
Wells Fargo & Co.(a) | | | | | | | | | | | | |
7.63%(e) | | | | | | | 300 | | | | 314,793 | |
Series S, 5.90% | | | | | | | 3,390 | | | | 3,354,261 | |
Woori Bank, 4.25%(a)(d) | | | | | | | 250 | | | | 244,063 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 36,223,184 | |
| | | |
| Capital Markets — 0.4% | | | | | | | | | |
Charles Schwab Corp., Series H, 4.00%(a)(j) | | | | | | | 3,000 | | | | 2,369,430 | |
| | | | | | | | | | | | |
|
| Diversified Telecommunication Services — 0.0% | |
Telefonica Europe BV, 6.14%(a)(d)(j) | | | EUR | | | | 200 | | | | 226,862 | |
| | | | | | | | | | | | |
| | | |
| Electric Utilities(a) — 0.6% | | | | | | | | | |
Edison International, Series B, 5.00%(j) | | | USD | | | | 169 | | | | 157,357 | |
EDP - Energias de Portugal SA, 5.94%, 04/23/83(d) | | | EUR | | | | 100 | | | | 114,541 | |
Electricite de France SA(j) | | | | | | | | | | | | |
9.13%(b) | | | USD | | | | 200 | | | | 223,282 | |
3.38%(d) | | | EUR | | | | 200 | | | | 193,457 | |
NextEra Energy Capital Holdings, Inc., 5.65%, 05/01/79 | | | USD | | | | 2,750 | | | | 2,580,464 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,269,101 | |
|
Independent Power and Renewable Electricity
Producers(a)(b)(j) — 0.1% | |
NRG Energy, Inc., 10.25% | | | | | | | 340 | | | | 353,969 | |
Vistra Corp., 7.00%(e) | | | | | | | 162 | | | | 159,570 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 513,539 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
| Wireless Telecommunication Services — 0.0% | | | | |
Vodafone Group PLC, 6.50%, 08/30/84(a)(d) | | | EUR | | | | 100 | | | $ | 117,965 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 42,821,109 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Shares | | | | |
| | | |
| Preferred Stocks — 0.3%(a)(j) | | | | | | | | | |
| | | |
| Capital Markets — 0.3% | | | | | | | | | |
Morgan Stanley, Series K, 5.85% | | | | | | | 66,567 | | | | 1,612,253 | |
| | | | | | | | | | | | |
| | | |
| Financial Services — 0.0% | | | | | | | | | |
Federal National Mortgage Association, Series S, 8.25% | | | | | | | 10,000 | | | | 32,200 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,644,453 | |
| | | | | | | | | | | | |
| | | |
| Trust Preferred — 0.1% | | | | | | | | | |
| | | |
| Banks — 0.1% | | | | | | | | | |
Citigroup Capital XIII, 12.02%, 10/30/40(a) | | | | | | | 29,583 | | | | 844,299 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 844,299 | |
| | | | | | | | | | | | |
| |
Total Preferred Securities — 7.6%
(Cost: $48,024,992) | | | | 45,309,861 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Par (000) | | | | |
|
U.S. Government Sponsored Agency Securities | |
| | | |
| Agency Obligations — 1.1% | | | | | | | | | |
Fannie Mae, 5.63%, 07/15/37(e) | | | USD | | | | 1,600 | | | | 1,810,262 | |
Resolution Funding Corp. Principal Strip, 0.00%, 04/15/30(h) | | | | | | | 6,055 | | | | 4,611,040 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,421,302 | |
|
| Collateralized Mortgage Obligations — 4.8% | |
Fannie Mae REMICS(e) | | | | | | | | | | | | |
Series 2015-47, Class GL, 3.50%, 07/25/45 | | | | | | | 1,636 | | | | 1,469,601 | |
Series 2022-25, Class KL, 4.00%, 05/25/52 | | | | | | | 14,500 | | | | 13,108,206 | |
Freddie Mac REMICS | | | | | | | | | | | | |
Series 4350, Class DY, 4.00%, 06/15/44 | | | | | | | 1,601 | | | | 1,533,158 | |
Series 4398, Class ZX, 4.00%, 09/15/54 | | | | | | | 11,104 | | | | 10,038,223 | |
Series 4549, Class TZ, 4.00%, 11/15/45 | | | | | | | 3,011 | | | | 2,830,705 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 28,979,893 | |
|
| Interest Only Collateralized Mortgage Obligations — 0.1% | |
Fannie Mae REMICS, Series 2012-47, Class NI, 4.50%, 04/25/42 | | | | | | | 797 | | | | 134,360 | |
Ginnie Mae(a) | | | | | | | | | | | | |
Series 2009-116, Class KS, (1-mo. Term SOFR + 6.36%), 1.00%, 12/16/39 | | | | | | | 585 | | | | 47,332 | |
Series 2011-52, Class NS, (1-mo. Term SOFR + 6.56%), 1.20%, 04/16/41 | | | | | | | 4,734 | | | | 349,531 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 531,223 | |
|
| Mortgage-Backed Securities — 15.7% | |
Fannie Mae Mortgage-Backed Securities(e) | | | | | | | | | | | | |
4.50%, 07/01/55 | | | | | | | 2,730 | | | | 2,699,734 | |
4.00%, 02/01/56 - 04/01/56 | | | | | | | 2,903 | | | | 2,802,792 | |
Freddie Mac Mortgage-Backed Securities, 4.50%, 03/01/47(e) | | | | | | | 549 | | | | 548,928 | |
Ginnie Mae Mortgage-Backed Securities, 5.50%, 08/15/33 | | | | | | | 24 | | | | 24,129 | |
| | |
SCHEDULE OF INVESTMENTS | | 39 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| | | |
| Security | | | | | Par (000) | | | Value | |
|
| Mortgage-Backed Securities (continued) | |
Uniform Mortgage-Backed Securities | | | | | | | | | | | | |
1.50%, 05/01/31(e) | | | USD | | | | 6,171 | | | $ | 5,674,604 | |
5.00%, 08/01/34 - 01/16/54(e)(o) | | | | | | | 21,746 | | | | 21,756,770 | |
4.50%, 06/01/37 - 01/16/54(e)(o) | | | | | | | 6,170 | | | | 6,152,989 | |
5.50%, 12/01/37 - 01/16/54(e)(o) | | | | | | | 23,354 | | | | 23,568,051 | |
6.00%, 12/01/38(e) | | | | | | | 199 | | | | 207,822 | |
3.00%, 02/01/52(e) | | | | | | | 6,927 | | | | 6,129,654 | |
3.50%, 04/01/52 - 04/01/53(e) | | | | | | | 9,051 | | | | 8,336,069 | |
4.00%, 05/01/52 - 09/01/52(e) | | | | | | | 4,067 | | | | 3,873,328 | |
6.50%, 10/01/53(e) | | | | | | | 5,517 | | | | 5,653,281 | |
7.00%, 01/16/54(o) | | | | | | | 5,780 | | | | 5,961,754 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 93,389,905 | |
| | | | | | | | | | | | |
| |
Total U.S. Government Sponsored Agency
Securities — 21.7%
(Cost: $132,665,498) | | | | 129,322,323 | |
| | | | | | | | | | | | |
| | | |
U.S. Treasury Obligations | | | | | | | | | | | | |
U.S. Treasury Bonds(e) | | | | | | | | | | | | |
3.00%, 11/15/44 | | | | | | | 33,795 | | | | 27,969,323 | |
2.50%, 02/15/46 | | | | | | | 57,350 | | | | 43,033,221 | |
2.75%, 11/15/47 | | | | | | | 2,000 | | | | 1,556,719 | |
U.S. Treasury Notes(e) | | | | | | | | | | | | |
5.00%, 10/31/25 | | | | | | | 26,000 | | | | 26,296,562 | |
3.63%, 05/31/28 | | | | | | | 1,900 | | | | 1,879,887 | |
4.88%, 10/31/28 | | | | | | | 7,800 | | | | 8,141,859 | |
| | | | | | | | | | | | |
| |
Total U.S. Treasury Obligations — 18.3%
(Cost: $128,686,947) | | | | 108,877,571 | |
| | | | | | | | | | | | |
| |
Total Long-Term Investments — 151.9%
(Cost: $942,173,145) | | | | 903,818,999 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Shares | | | | |
| | | |
Short-Term Securities | | | | | | | | | | | | |
| | | |
| Money Market Funds — 2.0% | | | | | | | | | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 5.26%(p)(q) | | | | | | | 11,900,896 | | | | 11,900,896 | |
| | | | | | | | | | | | |
| | | |
Total Short-Term Securities — 2.0%
(Cost: $11,900,896) | | | | | | | | | | | 11,900,896 | |
| | | | | | | | | | | | |
| |
Total Investments Before TBA Sale
Commitments — 153.9%
(Cost: $954,074,041) | | | | 915,719,895 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
TBA Sale Commitments | | | | | | | | | | | | |
|
| Mortgage-Backed Securities — (1.0)% | |
Uniform Mortgage-Backed Securities, 7.00%, 01/16/54(o) | | | USD | | | | (5,780 | ) | | $ | (5,961,754 | ) |
| | | | | | | | | | | | |
| |
Total TBA Sale Commitments — (1.0)%
(Proceeds: $(5,913,889)) | | | | (5,961,754 | ) |
| | | | | | | | | | | | |
| |
Total Investments, Net of TBA Sale
Commitments — 152.9%
(Cost: $948,160,152) | | | | 909,758,141 | |
| |
Liabilities in Excess of Other Assets — (52.9)% | | | | (314,775,530 | ) |
| | | | | | | | | | | | |
| |
Net Assets — 100.0% | | | $ | 594,982,611 | |
| | | | | | | | | | | | |
| (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) | All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
| (f) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
| (g) | Convertible security. |
| (j) | Perpetual security with no stated maturity date. |
| (k) | Issuer filed for bankruptcy and/or is in default. |
| (l) | Non-income producing security. |
| (m) | Rounds to less than 1,000. |
| (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) | Represents or includes a TBA transaction. (p) Affiliate of the Trust. |
| (q) | 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, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Affiliated Issuer | | Value at
12/31/22 | | | Purchases
at Cost | | | Proceeds
from Sale
| | | Net
Realized
Gain (Loss)
| | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value at
12/31/23 | | | Shares
Held at
12/31/23 | | | Income | | | Capital Gain
Distributions
from
Underlying
Funds | |
BlackRock Liquidity Funds, T-Fund, Institutional Class | | $ | 2,477,689 | | | $ | 9,423,207 | (a) | | $ | — | | | $ | — | | | $ | — | | | $ | 11,900,896 | | | | 11,900,896 | | | $ | 369,097 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Represents net amount purchased (sold). | |
| | |
| 40 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) |
Reverse Repurchase Agreements
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | |
| Interest
Rate |
| |
| Trade
Date |
| |
| Maturity
Date |
(a) | | | Face Value | | |
| Face Value
Including
Accrued Interest |
| | Type of Non-Cash Underlying Collateral | |
| Remaining
Contractual Maturity
of the Agreements |
(a) |
BNP Paribas SA | | | 4.67 | %(b) | | | 02/27/23 | | | | Open | | | $ | 1,810,000 | | | $ | 1,882,067 | | | U.S. Government Sponsored
Agency Securities | | | Open/Demand | |
BNP Paribas SA | | | 5.52 | (b) | | | 09/05/23 | | | | Open | | | | 17,781,250 | | | | 18,092,570 | | | U.S. Treasury Obligations | | | Open/Demand | |
BNP Paribas SA | | | 5.52 | (b) | | | 09/05/23 | | | | Open | | | | 26,909,269 | | | | 27,379,934 | | | U.S. Treasury Obligations | | | Open/Demand | |
Nomura Securities International, Inc. | | | 5.45 | (b) | | | 09/05/23 | | | | Open | | | | 23,008,937 | | | | 23,411,671 | | | U.S. Treasury Obligations | | | Open/Demand | |
Nomura Securities International, Inc. | | | 5.45 | (b) | | | 09/05/23 | | | | Open | | | | 1,495,000 | | | | 1,521,167 | | | U.S. Treasury Obligations | | | Open/Demand | |
Nomura Securities International, Inc. | | | 5.45 | (b) | | | 10/06/23 | | | | Open | | | | 1,838,250 | | | | 1,862,235 | | | U.S. Treasury Obligations | | | Open/Demand | |
BNP Paribas SA | | | 5.50 | (b) | | | 11/06/23 | | | | Open | | | | 26,097,500 | | | | 26,317,357 | | | U.S. Treasury Obligations | | | Open/Demand | |
BNP Paribas SA | | | 5.50 | (b) | | | 11/06/23 | | | | Open | | | | 7,926,750 | | | | 7,991,274 | | | U.S. Treasury Obligations | | | Open/Demand | |
J.P. Morgan Securities LLC | | | 4.50 | | | | 11/14/23 | | | | 01/04/24 | | | | 143,385 | | | | 144,227 | | | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 4.90 | | | | 11/14/23 | | | | 01/04/24 | | | | 1,662,500 | | | | 1,673,135 | | | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.40 | | | | 11/14/23 | | | | 01/04/24 | | | | 194,625 | | | | 195,997 | | | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.40 | | | | 11/14/23 | | | | 01/04/24 | | | | 86,620 | | | | 87,231 | | | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.40 | | | | 11/14/23 | | | | 01/04/24 | | | | 132,000 | | | | 132,931 | | | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.45 | | | | 11/14/23 | | | | 01/04/24 | | | | 101,850 | | | | 102,575 | | | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.45 | | | | 11/14/23 | | | | 01/04/24 | | | | 224,825 | | | | 226,425 | | �� | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.45 | | | | 11/14/23 | | | | 01/04/24 | | | | 115,830 | | | | 116,654 | | | Capital Trusts | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.45 | | | | 11/14/23 | | | | 01/04/24 | | | | 276,124 | | | | 278,088 | | | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.45 | | | | 11/14/23 | | | | 01/04/24 | | | | 1,360,000 | | | | 1,369,677 | | | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.45 | | | | 11/14/23 | | | | 01/04/24 | | | | 1,025,500 | | | | 1,032,797 | | | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.45 | | | | 11/14/23 | | | | 01/04/24 | | | | 2,330,692 | | | | 2,347,275 | | | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.25 | | | | 11/15/23 | | | | 01/04/24 | | | | 968,467 | | | | 974,964 | | | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.45 | | | | 11/15/23 | | | | 01/04/24 | | | | 364,375 | | | | 366,912 | | | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.45 | | | | 11/15/23 | | | | 01/04/24 | | | | 535,580 | | | | 539,309 | | | Corporate Bonds | | | Up to 30 Days | |
Barclays Capital, Inc. | | | 4.75 | | | | 11/15/23 | | | | 01/10/24 | | | | 319,760 | | | | 321,701 | | | Corporate Bonds | | | Up to 30 Days | |
Barclays Capital, Inc. | | | 5.45 | | | | 11/15/23 | | | | 01/10/24 | | | | 171,140 | | | | 172,332 | | | Capital Trusts | | | Up to 30 Days | |
Barclays Capital, Inc. | | | 5.45 | | | | 11/15/23 | | | | 01/10/24 | | | | 162,500 | | | | 163,632 | | | Capital Trusts | | | Up to 30 Days | |
Barclays Capital, Inc. | | | 5.45 | | | | 11/15/23 | | | | 01/10/24 | | | | 954,687 | | | | 961,336 | | | Corporate Bonds | | | Up to 30 Days | |
Barclays Capital, Inc. | | | 5.45 | | | | 11/15/23 | | | | 01/10/24 | | | | 102,375 | | | | 103,088 | | | Capital Trusts | | | Up to 30 Days | |
Barclays Capital, Inc. | | | 5.45 | | | | 11/15/23 | | | | 01/10/24 | | | | 1,069,500 | | | | 1,076,948 | | | Corporate Bonds | | | Up to 30 Days | |
Barclays Capital, Inc. | | | 5.45 | | | | 11/15/23 | | | | 01/10/24 | | | | 891,250 | | | | 897,457 | | | Corporate Bonds | | | Up to 30 Days | |
Barclays Capital, Inc. | | | 5.45 | | | | 11/15/23 | | | | 01/10/24 | | | | 2,006,250 | | | | 2,020,221 | | | Corporate Bonds | | | Up to 30 Days | |
Barclays Capital, Inc. | | | 5.45 | | | | 11/15/23 | | | | 01/10/24 | | | | 201,090 | | | | 202,490 | | | Capital Trusts | | | Up to 30 Days | |
Barclays Capital, Inc. | | | 5.45 | | | | 11/15/23 | | | | 01/10/24 | | | | 3,560,000 | | | | 3,584,791 | | | Corporate Bonds | | | Up to 30 Days | |
Barclays Capital, Inc. | | | 5.45 | | | | 11/15/23 | | | | 01/10/24 | | | | 756,250 | | | | 761,516 | | | Corporate Bonds | | | Up to 30 Days | |
Barclays Capital, Inc. | | | 5.45 | | | | 11/15/23 | | | | 01/10/24 | | | | 1,153,125 | | | | 1,161,155 | | | Corporate Bonds | | | Up to 30 Days | |
Barclays Capital, Inc. | | | 5.45 | | | | 11/15/23 | | | | 01/10/24 | | | | 911,807 | | | | 918,156 | | | Capital Trusts | | | Up to 30 Days | |
Barclays Capital, Inc. | | | 1.00 | (b) | | | 11/15/23 | | | | Open | | | | 151,436 | | | | 151,630 | | | Corporate Bonds | | | Open/Demand | |
BNP Paribas SA | | | 5.37 | (b) | | | 11/15/23 | | | | Open | | | | 2,931,250 | | | | 2,951,363 | | | Capital Trusts | | | Open/Demand | |
BNP Paribas SA | | | 5.45 | (b) | | | 11/15/23 | | | | Open | | | | 275,625 | | | | 277,544 | | | Capital Trusts | | | Open/Demand | |
Goldman Sachs & Co. LLC | | | 5.45 | (b) | | | 11/15/23 | | | | Open | | | | 1,880,525 | | | | 1,893,621 | | | Corporate Bonds | | | Open/Demand | |
Nomura Securities International, Inc. | | | 5.32 | (b) | | | 11/15/23 | | | | Open | | | | 477,500 | | | | 480,746 | | | Corporate Bonds | | | Open/Demand | |
Nomura Securities International, Inc. | | | 5.32 | (b) | | | 11/15/23 | | | | Open | | | | 383,198 | | | | 385,803 | | | Corporate Bonds | | | Open/Demand | |
Nomura Securities International, Inc. | | | 5.35 | (b) | | | 11/15/23 | | | | Open | | | | 121,684 | | | | 122,516 | | | Corporate Bonds | | | Open/Demand | |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 11/15/23 | | | | Open | | | | 130,240 | | | | 131,152 | | | Corporate Bonds | | | Open/Demand | |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 11/15/23 | | | | Open | | | | 129,690 | | | | 130,598 | | | Corporate Bonds | | | Open/Demand | |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 11/15/23 | | | | Open | | | | 148,804 | | | | 149,846 | | | Corporate Bonds | | | Open/Demand | |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 11/15/23 | | | | Open | | | | 111,101 | | | | 111,879 | | | Corporate Bonds | | | Open/Demand | |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 11/15/23 | | | | Open | | | | 529,746 | | | | 533,456 | | | Corporate Bonds | | | Open/Demand | |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 11/15/23 | | | | Open | | | | 2,441,250 | | | | 2,458,375 | | | Corporate Bonds | | | Open/Demand | |
BofA Securities, Inc. | | | 0.25 | | | | 11/16/23 | | | | 01/11/24 | | | | 274,237 | | | | 274,323 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 2.50 | | | | 11/16/23 | | | | 01/11/24 | | | | 321,882 | | | | 322,888 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 4.15 | | | | 11/16/23 | | | | 01/11/24 | | | | 88,438 | | | | 88,896 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 4.25 | | | | 11/16/23 | | | | 01/11/24 | | | | 78,152 | | | | 78,567 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.15 | | | | 11/16/23 | | | | 01/11/24 | | | | 512,982 | | | | 516,285 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.15 | | | | 11/16/23 | | | | 01/11/24 | | | | 267,731 | | | | 269,455 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.20 | | | | 11/16/23 | | | | 01/11/24 | | | | 241,069 | | | | 242,636 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.25 | | | | 11/16/23 | | | | 01/11/24 | | | | 570,712 | | | | 574,458 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.25 | | | | 11/16/23 | | | | 01/11/24 | | | | 673,750 | | | | 678,171 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.25 | | | | 11/16/23 | | | | 01/11/24 | | | | 160,775 | | | | 161,830 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.25 | | | | 11/16/23 | | | | 01/11/24 | | | | 139,720 | | | | 140,637 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.35 | | | | 11/16/23 | | | | 01/11/24 | | | | 503,391 | | | | 506,757 | | | Corporate Bonds | | | Up to 30 Days | |
| | |
SCHEDULE OF INVESTMENTS | | 41 |
| | |
Schedule of Investments (continued) December 31, 2023 | | 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) |
BofA Securities, Inc. | | | 5.35 | % | | | 11/16/23 | | | | 01/11/24 | | | $ | 155,394 | | | $ | 156,433 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.35 | | | | 11/16/23 | | | | 01/11/24 | | | | 450,125 | | | | 453,135 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.35 | | | | 11/16/23 | | | | 01/11/24 | | | | 146,640 | | | | 147,621 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.35 | | | | 11/16/23 | | | | 01/11/24 | | | | 489,845 | | | | 493,121 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 359,890 | | | | 362,319 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 229,717 | | | | 231,268 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 634,695 | | | | 638,979 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 264,775 | | | | 266,562 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 124,313 | | | | 125,152 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 228,523 | | | | 230,065 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 296,327 | | | | 298,328 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 321,750 | | | | 323,922 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 202,020 | | | | 203,384 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 101,320 | | | | 102,004 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 561,000 | | | | 564,787 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 378,750 | | | | 381,307 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 1,164,375 | | | | 1,172,235 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 419,375 | | | | 422,206 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 87,831 | | | | 88,424 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 373,750 | | | | 376,273 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 133,238 | | | | 134,137 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 102,520 | | | | 103,218 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 146,955 | | | | 147,956 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 121,170 | | | | 121,995 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 138,724 | | | | 139,669 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 762,277 | | | | 767,470 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 264,600 | | | | 266,403 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 216,645 | | | | 218,121 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 197,469 | | | | 198,814 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 1,318,125 | | | | 1,327,105 | | | Capital Trusts | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 2,565,090 | | | | 2,582,565 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 1,485,000 | | | | 1,495,117 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 802,434 | | | | 807,901 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 497,189 | | | | 500,576 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 3,560,000 | | | | 3,584,252 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 751,250 | | | | 756,368 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 418,125 | | | | 420,973 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 2,823,750 | | | | 2,842,987 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 338,750 | | | | 341,058 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 161,883 | | | | 162,985 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 369,597 | | | | 372,115 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 135,923 | | | | 136,849 | | | Corporate Bonds | | | Up to 30 Days | |
Merrill Lynch International | | | 5.32 | | | | 11/16/23 | | | | 01/11/24 | | | | 151,903 | | | | 152,913 | | | Foreign Agency Obligations | | | Up to 30 Days | |
Merrill Lynch International | | | 5.33 | | | | 11/16/23 | | | | 01/11/24 | | | | 149,337 | | | | 150,332 | | | Corporate Bonds | | | Up to 30 Days | |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 11/24/23 | | | | Open | | | | 403,219 | | | | 405,551 | | | Corporate Bonds | | | Open/Demand | |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 11/29/23 | | | | Open | | | | 1,771,875 | | | | 1,780,506 | | | Corporate Bonds | | | Open/Demand | |
BofA Securities, Inc. | | | 5.35 | | | | 11/30/23 | | | | 01/11/24 | | | | 508,500 | | | | 510,843 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.40 | | | | 11/30/23 | | | | 01/11/24 | | | | 200,640 | | | | 201,573 | | | Corporate Bonds | | | Up to 30 Days | |
BofA Securities, Inc. | | | 5.40 | | | | 11/30/23 | | | | 01/11/24 | | | | 243,165 | | | | 244,296 | | | Corporate Bonds | | | Up to 30 Days | |
BNP Paribas SA | | | 5.45 | (b) | | | 11/30/23 | | | | Open | | | | 115,308 | | | | 115,849 | | | Corporate Bonds | | | Open/Demand | |
Goldman Sachs & Co. LLC | | | 5.45 | (b) | | | 11/30/23 | | | | Open | | | | 98,093 | | | | 98,553 | | | Corporate Bonds | | | Open/Demand | |
Goldman Sachs & Co. LLC | | | 5.45 | (b) | | | 11/30/23 | | | | Open | | | | 295,872 | | | | 297,261 | | | Corporate Bonds | | | Open/Demand | |
BofA Securities, Inc. | | | 5.40 | | | | 12/01/23 | | | | 01/11/24 | | | | 184,450 | | | | 185,225 | | | Corporate Bonds | | | Up to 30 Days | |
Royal Bank of Canada | | | 5.55 | | | | 12/07/23 | | | | 01/08/24 | | | | 1,393,332 | | | | 1,398,488 | | | U.S. Government Sponsored
Agency Securities | | | Up to 30 Days | |
Royal Bank of Canada | | | 5.55 | | | | 12/07/23 | | | | 01/08/24 | | | | 12,365,398 | | | | 12,411,150 | | | U.S. Government Sponsored
Agency Securities | | | Up to 30 Days | |
Barclays Capital, Inc. | | | 5.49 | | | | 12/07/23 | | | | 01/10/24 | | | | 4,090,320 | | | | 4,105,291 | | | Corporate Bonds | | | Up to 30 Days | |
Goldman Sachs & Co. LLC | | | 5.45 | (b) | | | 12/07/23 | | | | Open | | | | 423,120 | | | | 424,657 | | | Corporate Bonds | | | Open/Demand | |
Goldman Sachs & Co. LLC | | | 5.45 | (b) | | | 12/07/23 | | | | Open | | | | 1,094,000 | | | | 1,097,975 | | | Corporate Bonds | | | Open/Demand | |
Goldman Sachs & Co. LLC | | | 5.45 | (b) | | | 12/07/23 | | | | Open | | | | 410,625 | | | | 412,117 | | | Corporate Bonds | | | Open/Demand | |
Nomura Securities International, Inc. | | | 5.40 | (b) | | | 12/07/23 | | | | Open | | | | 507,885 | | | | 509,713 | | | Corporate Bonds | | | Open/Demand | |
| | |
| 42 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | 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) |
Royal Bank of Canada | | | 5.53 | % | | | 12/08/23 | | | | 01/16/24 | | | $ | 1,585,372 | | | $ | 1,589,999 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 2,553,007 | | | | 2,560,458 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 782,917 | | | | 785,202 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 5,414,999 | | | | 5,430,803 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 586,456 | | | | 588,168 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 1,474,302 | | | | 1,478,605 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 5,449,181 | | | | 5,465,085 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 1,856,311 | | | | 1,861,729 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 1,632,109 | | | | 1,636,872 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 199,937 | | | | 200,520 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 2,626,069 | | | | 2,633,733 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 234,440 | | | | 235,124 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 941,840 | | | | 944,589 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 1,669,382 | | | | 1,674,254 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 469,269 | | | | 470,639 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 1,857,228 | | | | 1,862,649 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 5,169,746 | | | | 5,184,834 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 1,914,945 | | | | 1,920,534 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 176,878 | | | | 177,394 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 5,714,994 | | | | 5,731,674 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 285,056 | | | | 285,888 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 1,781,964 | | | | 1,787,165 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 1,681,303 | | | | 1,686,210 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 1,117,731 | | | | 1,120,993 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 1,688,613 | | | | 1,693,541 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 1,001,575 | | | | 1,004,498 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 1,119,134 | | | | 1,122,401 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 257,738 | | | | 258,490 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 519,259 | | | | 520,774 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 325,537 | | | | 326,487 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
Royal Bank of Canada | | | 5.53 | | | | 12/08/23 | | | | 01/16/24 | | | | 2,011,224 | | | | 2,017,094 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
| | |
SCHEDULE OF INVESTMENTS | | 43 |
| | |
Schedule of Investments (continued) December 31, 2023 | | 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) |
Royal Bank of Canada | | | 5.53 | % | | | 12/08/23 | | | | 01/16/24 | | | $ | 617,219 | | | $ | 619,021 | | | U.S. Government Sponsored
Agency Securities | | Up to 30 Days |
BNP Paribas SA | | | 5.15 | (b) | | | 12/08/23 | | | | Open | | | | 60,321 | | | | 60,502 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 4.75 | (b) | | | 12/11/23 | | | | Open | | | | 913,500 | | | | 915,911 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.18 | (b) | | | 12/11/23 | | | | Open | | | | 931,250 | | | | 933,930 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.30 | (b) | | | 12/11/23 | | | | Open | | | | 390,600 | | | | 391,750 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.30 | (b) | | | 12/11/23 | | | | Open | | | | 284,500 | | | | 285,338 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.35 | (b) | | | 12/11/23 | | | | Open | | | | 998,959 | | | | 1,001,928 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.37 | (b) | | | 12/11/23 | | | | Open | | | | 103,650 | | | | 103,959 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.39 | (b) | | | 12/11/23 | | | | Open | | | | 39,688 | | | | 39,806 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.41 | (b) | | | 12/11/23 | | | | Open | | | | 259,550 | | | | 260,330 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.44 | (b) | | | 12/11/23 | | | | Open | | | | 173,800 | | | | 174,325 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.45 | (b) | | | 12/11/23 | | | | Open | | | | 375,500 | | | | 376,637 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.45 | (b) | | | 12/11/23 | | | | Open | | | | 216,235 | | | | 216,890 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.45 | (b) | | | 12/11/23 | | | | Open | | | | 1,730,610 | | | | 1,735,850 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.45 | (b) | | | 12/11/23 | | | | Open | | | | 186,921 | | | | 187,487 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.45 | (b) | | | 12/11/23 | | | | Open | | | | 171,390 | | | | 171,909 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.45 | (b) | | | 12/11/23 | | | | Open | | | | 137,438 | | | | 137,854 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.45 | (b) | | | 12/11/23 | | | | Open | | | | 420,000 | | | | 421,272 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.45 | (b) | | | 12/11/23 | | | | Open | | | | 1,044,240 | | | | 1,047,402 | | | Capital Trusts | | Open/Demand |
BNP Paribas SA | | | 5.47 | (b) | | | 12/11/23 | | | | Open | | | | 455,376 | | | | 456,760 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.48 | (b) | | | 12/11/23 | | | | Open | | | | 134,865 | | | | 135,276 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.52 | (b) | | | 12/11/23 | | | | Open | | | | 1,533,701 | | | | 1,538,294 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.65 | (b) | | | 12/11/23 | | | | Open | | | | 85,403 | | | | 85,658 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.25 | (b) | | | 12/11/23 | | | | Open | | | | 157,960 | | | | 158,421 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.35 | (b) | | | 12/11/23 | | | | Open | | | | 187,450 | | | | 188,007 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.35 | (b) | | | 12/11/23 | | | | Open | | | | 416,909 | | | | 418,148 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.45 | (b) | | | 12/11/23 | | | | Open | | | | 965,000 | | | | 967,922 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.45 | (b) | | | 12/11/23 | | | | Open | | | | 3,078,750 | | | | 3,088,072 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.45 | (b) | | | 12/11/23 | | | | Open | | | | 1,852,500 | | | | 1,858,109 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.45 | (b) | | | 12/11/23 | | | | Open | | | | 329,406 | | | | 330,404 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.45 | (b) | | | 12/11/23 | | | | Open | | | | 135,270 | | | | 135,680 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.45 | (b) | | | 12/11/23 | | | | Open | | | | 407,500 | | | | 408,734 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.45 | (b) | | | 12/11/23 | | | | Open | | | | 2,771,250 | | | | 2,779,641 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 4.50 | (b) | | | 12/11/23 | | | | Open | | | | 81,875 | | | | 82,080 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.35 | (b) | | | 12/11/23 | | | | Open | | | | 467,812 | | | | 469,203 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.35 | (b) | | | 12/11/23 | | | | Open | | | | 202,170 | | | | 202,771 | | | Foreign Agency Obligations | | Open/Demand |
Nomura Securities International, Inc. | | | 5.35 | (b) | | | 12/11/23 | | | | Open | | | | 178,214 | | | | 178,743 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/11/23 | | | | Open | | | | 105,023 | | | | 105,342 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/11/23 | | | | Open | | | | 300,000 | | | | 300,913 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/11/23 | | | | Open | | | | 160,750 | | | | 161,239 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/11/23 | | | | Open | | | | 214,740 | | | | 215,394 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/11/23 | | | | Open | | | | 611,972 | | | | 613,836 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/11/23 | | | | Open | | | | 266,500 | | | | 267,311 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/11/23 | | | | Open | | | | 85,893 | | | | 86,154 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/11/23 | | | | Open | | | | 354,791 | | | | 355,871 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/11/23 | | | | Open | | | | 276,487 | | | | 277,329 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/11/23 | | | | Open | | | | 184,500 | | | | 185,062 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/11/23 | | | | Open | | | | 920,000 | | | | 922,801 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/11/23 | | | | Open | | | | 953,325 | | | | 956,227 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/11/23 | | | | Open | | | | 126,420 | | | | 126,805 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/11/23 | | | | Open | | | | 87,675 | | | | 87,942 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/11/23 | | | | Open | | | | 102,548 | | | | 102,860 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/11/23 | | | | Open | | | | 186,401 | | | | 186,969 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/11/23 | | | | Open | | | | 983,750 | | | | 986,745 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/11/23 | | | | Open | | | | 198,000 | | | | 198,603 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/11/23 | | | | Open | | | | 915,000 | | | | 917,786 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.67 | (b) | | | 12/11/23 | | | | Open | | | | 392,010 | | | | 393,175 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.48 | (b) | | | 12/11/23 | | | | Open | | | | 5,293,750 | | | | 5,309,867 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/11/23 | | | | Open | | | | 3,866,100 | | | | 3,877,892 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.00 | (b) | | | 12/12/23 | | | | Open | | | | 380,520 | | | | 381,524 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.37 | (b) | | | 12/12/23 | | | | Open | | | | 511,500 | | | | 512,950 | | | Corporate Bonds | | Open/Demand |
| | |
| 44 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | 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 SA | | | 5.39 | %(b) | | | 12/12/23 | | | | Open | | | $ | 117,810 | | | $ | 118,145 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.45 | (b) | | | 12/12/23 | | | | Open | | | | 104,243 | | | | 104,542 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.48 | (b) | | | 12/12/23 | | | | Open | | | | 197,680 | | | | 198,252 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/12/23 | | | | Open | | | | 304,510 | | | | 305,391 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/12/23 | | | | Open | | | | 350,947 | | | | 351,962 | | | Corporate Bonds | | Open/Demand |
J.P. Morgan Securities LLC | | | 5.45 | | | | 12/13/23 | | | | 01/04/24 | | | | 266,472 | | | | 267,198 | | | Foreign Agency Obligations | | Up to 30 Days |
Barclays Capital, Inc. | | | 4.50 | | | | 12/13/23 | | | | 01/10/24 | | | | 263,544 | | | | 264,137 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 3.50 | | | | 12/13/23 | | | | 01/11/24 | | | | 229,900 | | | | 230,302 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 12/13/23 | | | | 01/11/24 | | | | 92,415 | | | | 92,664 | | | Corporate Bonds | | Up to 30 Days |
BNP Paribas SA | | | 5.43 | (b) | | | 12/15/23 | | | | Open | | | | 101,920 | | | | 102,135 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.45 | (b) | | | 12/15/23 | | | | Open | | | | 1,571,250 | | | | 1,574,580 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/15/23 | | | | Open | | | | 1,539,569 | | | | 1,542,856 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.42 | (b) | | | 12/20/23 | | | | Open | | | | 144,923 | | | | 145,162 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.65 | (b) | | | 12/26/23 | | | | Open | | | | 166,260 | | | | 166,390 | | | Corporate Bonds | | Open/Demand |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 290,426,518 | | | $ | 292,807,922 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | (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 | | | 385 | | | | 03/19/24 | | | $ | 45,436 | | | $ | 1,992,117 | |
Ultra U.S. Treasury Bond | | | 687 | | | | 03/19/24 | | | | 91,779 | | | | 8,306,256 | |
2-Year U.S. Treasury Note | | | 3 | | | | 03/28/24 | | | | 618 | | | | 6,094 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 10,304,467 | |
| | | | | | | | | | | | | | | | |
Short Contracts
10-Year U.S. Treasury Note | | | 1,013 | | | | 03/19/24 | | | | 114,358 | | | | (3,727,439 | ) |
U.S. Long Bond | | | 161 | | | | 03/19/24 | | | | 20,115 | | | | (1,460,556 | ) |
5-Year U.S. Treasury Note | | | 73 | | | | 03/28/24 | | | | 7,940 | | | | (128,560 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (5,316,555 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 4,987,912 | |
| | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| Currency Purchased | | | | | Currency Sold | | | Counterparty | | Settlement Date | | | | | | Unrealized
Appreciation
(Depreciation) | |
| | | | | | | | |
| USD | | | 369,582 | | | | | EUR | | | 342,242 | | | Barclays Bank PLC | | | 03/14/24 | | | | | | | $ | (9,304 | ) |
| USD | | | 114,445 | | | | | CAD | | | 153,000 | | | Deutsche Bank AG | | | 03/20/24 | | | | | | | | (1,144 | ) |
| USD | | | 67,257 | | | | | EUR | | | 62,000 | | | Barclays Bank PLC | | | 03/20/24 | | | | | | | | (1,398 | ) |
| USD | | | 104,959 | | | | | EUR | | | 95,000 | | | Morgan Stanley & Co. International PLC | | | 03/20/24 | | | | | | | | (239 | ) |
| USD | | | 5,838,813 | | | | | EUR | | | 5,321,000 | | | UBS AG | | | 03/20/24 | | | | | | | | (53,366 | ) |
| USD | | | 622,307 | | | | | GBP | | | 491,000 | | | State Street Bank and Trust Co. | | | 03/20/24 | | | | | | | | (3,783 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (69,234 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
SCHEDULE OF INVESTMENTS | | 45 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) |
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.41.V2 | | | 5.00 | % | | | Quarterly | | | | 12/20/28 | | | | USD | | | | 6,782 | | | $ | (408,367 | ) | | $ | (87,300 | ) | | $ | (321,067 | ) |
CDX.NA.IG.41.V1 | | | 1.00 | | | | Quarterly | | | | 12/20/28 | | | | USD | | | | 25,210 | | | | (498,107 | ) | | | (366,354 | ) | | | (131,753 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (906,474 | ) | | $ | (453,654 | ) | | $ | (452,820 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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) |
| | | | |
| | Virgin Media Finance PLC | | | 5.00 | % | | | Quarterly | | | JPMorgan Chase Bank N.A. | | | 12/20/25 | | | B | | | EUR | | | | 10 | | | $ | 780 | | | $ | 603 | | | $ | 177 | | | | | |
| | Jaguar Land Rover Automotive PLC | | | 5.00 | | | | Quarterly | | | Morgan Stanley & Co. International PLC | | | 12/20/26 | | | BB | | | EUR | | | | 17 | | | | 1,493 | | | | 2,619 | | | | (1,126 | ) | | | | |
| | CMA CGM SA | | | 5.00 | | | | Quarterly | | | Morgan Stanley & Co. International PLC | | | 06/20/27 | | | N/R | | | EUR | | | | 20 | | | | 2,589 | | | | 3,547 | | | | (958 | ) | | | | |
| | Ladbrokes Coral Group Ltd. | | | 1.00 | | | | Quarterly | | | JPMorgan Chase Bank N.A. | | | 06/20/27 | | | N/R | | | EUR | | | | 10 | | | | (91 | ) | | | (789 | ) | | | 698 | | | | | |
| | Ladbrokes Coral Group Ltd. | | | 1.00 | | | | Quarterly | | | JPMorgan Chase Bank N.A. | | | 06/20/27 | | | N/R | | | EUR | | | | 3 | | | | (27 | ) | | | (376 | ) | | | 349 | | | | | |
| | Adler Real Estate AG | | | 5.00 | | | | Quarterly | | | Bank of America N.A. | | | 12/20/27 | | | CCC+ | | | EUR | | | | 5 | | | | (1,053 | ) | | | (1,009 | ) | | | (44 | ) | | | | |
| | Adler Real Estate AG | | | 5.00 | | | | Quarterly | | | Barclays Bank PLC | | | 12/20/27 | | | CCC+ | | | EUR | | | | 3 | | | | (633 | ) | | | (594 | ) | | | (39 | ) | | | | |
| | Adler Real Estate AG | | | 5.00 | | | | Quarterly | | | Barclays Bank PLC | | | 12/20/27 | | | CCC+ | | | EUR | | | | 9 | | | | (1,780 | ) | | | (1,670 | ) | | | (110 | ) | | | | |
| | Adler Real Estate AG | | | 5.00 | | | | Quarterly | | | Citibank N.A. | | | 12/20/27 | | | CCC+ | | | EUR | | | | 3 | | | | (516 | ) | | | (498 | ) | | | (18 | ) | | | | |
| | Adler Real Estate AG | | | 5.00 | | | | Quarterly | | | JPMorgan Chase Bank N.A. | | | 12/20/27 | | | CCC+ | | | EUR | | | | 6 | | | | (1,081 | ) | | | (1,042 | ) | | | (39 | ) | | | | |
| | Adler Real Estate AG | | | 5.00 | | | | Quarterly | | | Morgan Stanley & Co. International PLC | | | 12/20/27 | | | CCC+ | | | EUR | | | | 4 | | | | (784 | ) | | | (744 | ) | | | (40 | ) | | | | |
| | United Group B.V. | | | 5.00 | | | | Quarterly | | | Bank of America N.A. | | | 12/20/27 | | | B | | | EUR | | | | 10 | | | | 453 | | | | (1,261 | ) | | | 1,714 | | | | | |
| | CMBX.NA.15 | | | 3.00 | | | | Monthly | | | Morgan Stanley & Co. International PLC | | | 11/15/64 | | | N/R | | | USD | | | | 4,710 | | | | (864,873 | ) | | | (873,644 | ) | | | 8,771 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (865,523 | ) | | $ | (874,858 | ) | | $ | 9,335 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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 and OTC Swaps
| | | | | | | | | | | | | | | | |
| Description | | Swap
Premiums
Paid | | | Swap
Premiums
Received | | | Unrealized
Appreciation
| | | Unrealized
Depreciation
| |
Centrally Cleared Swaps(a) | | $ | — | | | $ | (453,654 | ) | | $ | — | | | $ | (452,820 | ) |
OTC Swaps | | | 6,769 | | | | (881,627 | ) | | | 11,709 | | | | (2,374 | ) |
| | (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. | |
| | |
| 46 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) |
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) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 10,304,467 | | | $ | — | | | $ | 10,304,467 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on OTC swaps; Swap premiums paid | | | — | | | | 18,478 | | | | — | | | | — | | | | — | | | | — | | | | 18,478 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 18,478 | | | $ | — | | | $ | — | | | $ | 10,304,467 | | | $ | — | | | $ | 10,322,945 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on futures contracts(a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 5,316,555 | | | $ | — | | | $ | 5,316,555 | |
Forward foreign currency exchange contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 69,234 | | | | — | | | | — | | | | 69,234 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on centrally cleared swaps(a) | | | — | | | | 452,820 | | | | — | | | | — | | | | — | | | | — | | | | 452,820 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on OTC swaps; Swap premiums received | | | — | | | | 884,001 | | | | — | | | | — | | | | — | | | | — | | | | 884,001 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 1,336,821 | | | $ | — | | | $ | 69,234 | | | $ | 5,316,555 | | | $ | — | | | $ | 6,722,610 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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, 2023, 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 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (10,020,423 | ) | | $ | — | | | $ | (10,020,423 | ) |
| | Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 1,480 | | | | — | | | | — | | | | 1,480 | |
| | Options purchased(a) | | | — | | | | (3 | ) | | | — | | | | — | | | | — | | | | — | | | | (3 | ) |
| | Options written | | | — | | | | 706 | | | | — | | | | — | | | | — | | | | — | | | | 706 | |
| | Swaps | | | — | | | | (1,256,358 | ) | | | — | | | | — | | | | 4,804,374 | | | | — | | | | 3,548,016 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | (1,255,655 | ) | | $ | — | | | $ | 1,480 | | | $ | (5,216,049 | ) | | $ | — | | | $ | (6,470,224 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 4,878,826 | | | $ | — | | | $ | 4,878,826 | |
| | Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | (57,639 | ) | | | — | | | | — | | | | (57,639 | ) |
| | Swaps | | | — | | | | 454,501 | | | | — | | | | — | | | | (5,476,987 | ) | | | — | | | | (5,022,486 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | 454,501 | | | $ | — | | | $ | (57,639 | ) | | $ | (598,161 | ) | | $ | — | | | $ | (201,299 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts: | | | | |
Average notional value of contracts — long | | $ | 141,906,254 | |
Average notional value of contracts — short | | $ | 136,991,944 | |
Forward foreign currency exchange contracts: | | | | |
Average amounts purchased — in USD | | $ | 6,922,118 | |
Average amounts sold — in USD | | $ | 161,482 | |
Options: | | | | |
Average notional value of swaption contracts purchased | | $ | — | (a) |
Average notional value of swaption contracts written | | $ | — | (a) |
| | |
SCHEDULE OF INVESTMENTS | | 47 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) |
Average Quarterly Balances of Outstanding Derivative Financial Instruments (continued)
| | | | |
Credit default swaps: | | | | |
Average notional value — buy protection | | $ | 29,717,875 | |
Average notional value — sell protection | | $ | 4,891,354 | |
Interest rate swaps: | | | | |
Average notional value — pays fixed rate | | $ | — | (a) |
Average notional value — receives fixed rate | | $ | 5,025,000 | |
| | (a) | Derivative financial instrument not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. | |
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 | | $ | 30,562 | | | $ | 407,517 | |
Forward foreign currency exchange contracts | | | — | | | | 69,234 | |
Swaps — centrally cleared | | | 8,158 | | | | — | |
Swaps — OTC(a) | | | 18,478 | | | | 884,001 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 57,198 | | | | 1,360,752 | |
| | | | | | | | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | (38,720 | ) | | | (407,517 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to an MNA | | $ | 18,478 | | | $ | 953,235 | |
| | | | | | | | |
| | (a) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the 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 |
| |
| Net Amount
of Derivative
Assets |
|
Bank of America N.A. | | $ | 1,714 | | | $ | (1,714 | ) | | $ | — | | | $ | — | | | $ | — | |
JPMorgan Chase Bank N.A. | | | 1,827 | | | | (1,827 | ) | | | — | | | | — | | | | — | |
Morgan Stanley & Co. International PLC | | | 14,937 | | | | (14,937 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 18,478 | | | $ | (18,478 | ) | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Counterparty | |
| Derivative
Liabilities
Subject to
an MNA by
Counterparty |
| |
| Derivatives
Available
for Offset |
(a) | |
| Non-Cash
Collateral
Pledged |
| |
| Cash
Collateral
Pledged |
(b) | |
| Net
Amount of
Derivative
Liabilities |
(c)(d) |
Bank of America N.A. | | $ | 2,314 | | | $ | (1,714 | ) | | $ | — | | | $ | — | | | $ | 600 | |
Barclays Bank PLC | | | 13,115 | | | | — | | | | — | | | | (5,000 | ) | | | 8,115 | |
Citibank N.A. | | | 516 | | | | — | | | | — | | | | — | | | | 516 | |
Deutsche Bank AG | | | 1,144 | | | | — | | | | — | | | | — | | | | 1,144 | |
JPMorgan Chase Bank N.A. | | | 2,246 | | | | (1,827 | ) | | | — | | | | — | | | | 419 | |
Morgan Stanley & Co. International PLC | | | 876,751 | | | | (14,937 | ) | | | — | | | | (861,814 | ) | | | — | |
State Street Bank and Trust Co. | | | 3,783 | | | | — | | | | — | | | | — | | | | 3,783 | |
UBS AG | | | 53,366 | | | | — | | | | — | | | | — | | | | 53,366 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 953,235 | | | $ | (18,478 | ) | | $ | — | | | $ | (866,814 | ) | | $ | 67,943 | |
| | | | | | | | | | | | | | | | | | | | |
| | (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/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. | |
| | (c) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. | |
| | (d) | Net amount represents the net amount payable due to counterparty in the event of default. | |
| | |
| 48 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) |
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 | | $ | — | | | $ | 91,342,426 | | | $ | 961,517 | | | $ | 92,303,943 | |
Corporate Bonds | | | | | | | | | | | | | | | | |
Aerospace & Defense | | | — | | | | 15,142,176 | | | | — | | | | 15,142,176 | |
Air Freight & Logistics | | | — | | | | 1,151,594 | | | | — | | | | 1,151,594 | |
Automobile Components | | | — | | | | 3,291,055 | | | | — | | | | 3,291,055 | |
Automobiles | | | — | | | | 4,833,483 | | | | — | | | | 4,833,483 | |
Banks | | | — | | | | 27,271,842 | | | | — | | | | 27,271,842 | |
Beverages | | | — | | | | 4,849,436 | | | | — | | | | 4,849,436 | |
Biotechnology | | | — | | | | 4,533,877 | | | | — | | | | 4,533,877 | |
Broadline Retail | | | — | | | | 1,394,715 | | | | — | | | | 1,394,715 | |
Building Products | | | — | | | | 8,148,033 | | | | — | | | | 8,148,033 | |
Capital Markets | | | — | | | | 4,483,176 | | | | — | | | | 4,483,176 | |
Chemicals | | | — | | | | 5,096,718 | | | | — | | | | 5,096,718 | |
Commercial Services & Supplies | | | — | | | | 8,044,340 | | | | — | | | | 8,044,340 | |
Communications Equipment | | | — | | | | 831,486 | | | | — | | | | 831,486 | |
Construction & Engineering | | | — | | | | 1,230,630 | | | | — | | | | 1,230,630 | |
Construction Materials | | | — | | | | 4,221,566 | | | | — | | | | 4,221,566 | |
Consumer Discretionary | | | — | | | | 96,574 | | | | — | | | | 96,574 | |
Consumer Finance | | | — | | | | 7,228,538 | | | | — | | | | 7,228,538 | |
Consumer Staples Distribution & Retail | | | — | | | | 3,077,377 | | | | — | | | | 3,077,377 | |
Containers & Packaging | | | — | | | | 5,895,753 | | | | — | | | | 5,895,753 | |
Diversified Consumer Services | | | — | | | | 1,120,892 | | | | — | | | | 1,120,892 | |
Diversified REITs | | | — | | | | 7,269,249 | | | | — | | | | 7,269,249 | |
Diversified Telecommunication Services | | | 113,436 | | | | 17,294,646 | | | | — | | | | 17,408,082 | |
Electric Utilities | | | — | | | | 28,730,667 | | | | — | | | | 28,730,667 | |
Electrical Equipment | | | — | | | | 1,583,867 | | | | — | | | | 1,583,867 | |
Electronic Equipment, Instruments & Components | | | — | | | | 2,208,075 | | | | — | | | | 2,208,075 | |
Energy Equipment & Services | | | — | | | | 2,494,760 | | | | — | | | | 2,494,760 | |
Entertainment | | | — | | | | 1,080,377 | | | | — | | | | 1,080,377 | |
Environmental, Maintenance & Security Service | | | — | | | | 2,547,633 | | | | — | | | | 2,547,633 | |
Financial Services | | | — | | | | 3,244,085 | | | | — | | | | 3,244,085 | |
Food Products | | | — | | | | 2,336,170 | | | | — | | | | 2,336,170 | |
Gas Utilities | | | — | | | | 1,502,857 | | | | — | | | | 1,502,857 | |
Ground Transportation | | | — | | | | 8,946,943 | | | | — | | | | 8,946,943 | |
Health Care Equipment & Supplies | | | — | | | | 5,693,804 | | | | — | | | | 5,693,804 | |
Health Care Providers & Services | | | — | | | | 12,204,319 | | | | — | | | | 12,204,319 | |
Health Care REITs | | | — | | | | 3,462,945 | | | | — | | | | 3,462,945 | |
Health Care Technology | | | — | | | | 1,170,259 | | | | — | | | | 1,170,259 | |
Hotel & Resort REITs | | | — | | | | 1,158,691 | | | | — | | | | 1,158,691 | |
Hotels, Restaurants & Leisure | | | — | | | | 15,515,420 | | | | 2,028,935 | | | | 17,544,355 | |
Household Durables | | | — | | | | 637,802 | | | | — | | | | 637,802 | |
Household Products | | | — | | | | 280,995 | | | | — | | | | 280,995 | |
Independent Power and Renewable Electricity Producers | | | — | | | | 1,217,493 | | | | — | | | | 1,217,493 | |
Industrial Conglomerates | | | — | | | | 2,307,873 | | | | — | | | | 2,307,873 | |
Insurance | | | — | | | | 15,978,726 | | | | — | | | | 15,978,726 | |
Interactive Media & Services | | | — | | | | 575,932 | | | | — | | | | 575,932 | |
Internet Software & Services | | | — | | | | 342,638 | | | | — | | | | 342,638 | |
IT Services | | | — | | | | 5,607,796 | | | | — | | | | 5,607,796 | |
Leisure Products | | | — | | | | 401,502 | | | | — | | | | 401,502 | |
Machinery | | | — | | | | 4,396,836 | | | | — | | | | 4,396,836 | |
Marine Transportation | | | — | | | | 101,500 | | | | — | | | | 101,500 | |
Media | | | — | | | | 22,308,877 | | | | — | | | | 22,308,877 | |
Metals & Mining | | | — | | | | 5,908,658 | | | | — | | | | 5,908,658 | |
Mortgage Real Estate Investment Trusts (REITs) | | | — | | | | 110,645 | | | | — | | | | 110,645 | |
| | |
SCHEDULE OF INVESTMENTS | | 49 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) |
Fair Value Hierarchy as of Period End (continued)
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Corporate Bonds (continued) | | | | | | | | | | | | | | | | |
Office REITs | | $ | — | | | $ | 613,474 | | | $ | — | | | $ | 613,474 | |
Oil, Gas & Consumable Fuels | | | — | | | | 40,827,834 | | | | 1,352,581 | | | | 42,180,415 | |
Paper & Forest Products | | | — | | | | 919,248 | | | | — | | | | 919,248 | |
Passenger Airlines | | | — | | | | 5,450,379 | | | | — | | | | 5,450,379 | |
Personal Care Products | | | — | | | | 180,807 | | | | — | | | | 180,807 | |
Pharmaceuticals | | | — | | | | 9,309,812 | | | | — | | | | 9,309,812 | |
Professional Services | | | — | | | | 531,738 | | | | — | | | | 531,738 | |
Real Estate Management & Development | | | — | | | | 752,610 | | | | 633,091 | | | | 1,385,701 | |
Residential REITs | | | — | | | | 975,925 | | | | — | | | | 975,925 | |
Retail REITs | | | — | | | | 1,520,271 | | | | — | | | | 1,520,271 | |
Semiconductors & Semiconductor Equipment | | | — | | | | 7,379,779 | | | | — | | | | 7,379,779 | |
Software | | | — | | | | 12,524,497 | | | | — | | | | 12,524,497 | |
Specialized REITs | | | — | | | | 506,848 | | | | — | | | | 506,848 | |
Specialty Retail | | | — | | | | 776,602 | | | | — | | | | 776,602 | |
Technology Hardware, Storage & Peripherals | | | — | | | | 3,925,472 | | | | — | | | | 3,925,472 | |
Textiles, Apparel & Luxury Goods | | | — | | | | 98,269 | | | | — | | | | 98,269 | |
Tobacco | | | — | | | | 4,953,444 | | | | — | | | | 4,953,444 | |
Transportation Infrastructure | | | — | | | | 4,910,881 | | | | — | | | | 4,910,881 | |
Water Utilities | | | — | | | | 1,342,941 | | | | — | | | | 1,342,941 | |
Wireless Telecommunication Services | | | — | | | | 6,259,281 | | | | — | | | | 6,259,281 | |
Floating Rate Loan Interests | | | — | | | | 13,661,138 | | | | 311,432 | | | | 13,972,570 | |
Foreign Agency Obligations | | | — | | | | 11,075,994 | | | | — | | | | 11,075,994 | |
Municipal Bonds | | | — | | | | 20,849,012 | | | | — | | | | 20,849,012 | |
Non-Agency Mortgage-Backed Securities | | | — | | | | 83,654,269 | | | | — | | | | 83,654,269 | |
Preferred Securities | | | | | | | | | | | | | | | | |
Capital Trusts | | | — | | | | 42,821,109 | | | | — | | | | 42,821,109 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Capital Markets | | | 1,612,253 | | | | — | | | | — | | | | 1,612,253 | |
Financial Services | | | — | | | | 32,200 | | | | — | | | | 32,200 | |
Trust Preferred | | | 844,299 | | | | — | | | | — | | | | 844,299 | |
U.S. Government Sponsored Agency Securities | | | — | | | | 129,322,323 | | | | — | | | | 129,322,323 | |
U.S. Treasury Obligations | | | — | | | | 108,877,571 | | | | — | | | | 108,877,571 | |
Short-Term Securities | | | | | | | | | | | | | | | | |
Money Market Funds | | | 11,900,896 | | | | — | | | | — | | | | 11,900,896 | |
Unfunded Floating Rate Loan Interests(a) | | | — | | | | 44 | | | | — | | | | 44 | |
Liabilities | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | |
TBA Sale Commitments | | | — | | | | (5,961,754 | ) | | | — | | | | (5,961,754 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 14,470,884 | | | $ | 889,999,745 | | | $ | 5,287,556 | | | $ | 909,758,185 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(b) | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Credit Contracts | | $ | — | | | $ | 11,709 | | | $ | — | | | $ | 11,709 | |
Interest Rate Contracts | | | 10,304,467 | | | | — | | | | — | | | | 10,304,467 | |
Liabilities | | | | | | | | | | | | | | | | |
Credit Contracts | | | — | | | | (455,194 | ) | | | — | | | | (455,194 | ) |
Foreign Currency Exchange Contracts | | | — | | | | (69,234 | ) | | | — | | | | (69,234 | ) |
Interest Rate Contracts | | | (5,316,555 | ) | | | — | | | | — | | | | (5,316,555 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 4,987,912 | | | $ | (512,719 | ) | | $ | — | | | $ | 4,475,193 | |
| | | | | | | | | | | | | | | | |
| | (a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. | |
| | (b) | Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts 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 or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $292,807,922 are categorized as Level 2 within the fair value hierarchy.
| | |
| 50 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Core Bond Trust (BHK) |
A reconciliation of Level 3 financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments 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 | | | Corporate
Bonds | | | Floating
Rate Loan
Interests | | | Non-Agency
Mortgage-Backed
Securities | | | Total | |
Assets | | | | | | | | | | | | | | | | | | | | |
Opening balance, as of December 31, 2022 | | $ | 1,619,981 | | | $ | 4,333,458 | | | $ | 135,835 | | | $ | 477,212 | | | $ | 6,566,486 | |
Transfers into Level 3 | | | — | | | | — | | | | 316,728 | | | | — | | | | 316,728 | |
Transfers out of Level 3 | | | (726,572 | ) | | | — | | | | (77,380 | ) | | | (477,212 | ) | | | (1,281,164 | ) |
Accrued discounts/premiums | | | (35,350 | ) | | | — | | | | 517 | | | | — | | | | (34,833 | ) |
Net realized gain (loss) | | | 3,761 | | | | — | | | | (3,567 | ) | | | — | | | | 194 | |
Net change in unrealized appreciation (depreciation)(a)(b) | | | 57,882 | | | | (196,564 | ) | | | 2,603 | | | | — | | | | (136,079 | ) |
Purchases | | | 500,000 | | | | — | | | | 133,661 | | | | — | | | | 633,661 | |
Sales | | | (458,185 | ) | | | (122,287 | ) | | | (196,965 | ) | | | — | | | | (777,437 | ) |
| | | | | | | | | | | | | | | | | | | | |
Closing balance, as of December 31, 2023 | | $ | 961,517 | | | $ | 4,014,607 | | | $ | 311,432 | | | $ | — | | | $ | 5,287,556 | |
| | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2023(b) | | $ | 57,882 | | | $ | (196,564 | ) | | $ | (1,821 | ) | | $ | — | | | $ | (140,503 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | (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, 2023 is generally due to investments no longer held or categorized as Level 3 at period end. | |
See notes to financial statements.
| | |
SCHEDULE OF INVESTMENTS | | 51 |
| | |
Consolidated Schedule of Investments December 31, 2023 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| Asset-Backed Securities | | | | | | | | | |
Ares XXXIIR CLO Ltd., Series 2014-32RA, Class B, (3-mo. CME Term SOFR + 2.06%), 7.44%, 05/15/30(a)(b) | | | USD | | | | 500 | | | $ | 494,775 | |
Arini European CLO I DAC, Series 1X, Class D, (3-mo. EURIBOR + 6.04%), 9.97%, 07/15/36(a)(c) | | | EUR | | | | 100 | | | | 110,608 | |
BlueMountain Fuji Eur CLO IV DAC, Series 4X, Class ER, (3-mo. EURIBOR + 6.21%), 10.17%, 02/25/34(a)(c) | | | | | | | 100 | | | | 103,867 | |
Cairn CLO XVI DAC, Series 2023-16X, Class D, (3-mo. EURIBOR + 5.20%), 1.00%, 01/15/37(a)(c)(d) | | | | | | | 100 | | | | 110,395 | |
CIFC European Funding CLO I DAC, Series 1X, Class DR, (3-mo. EURIBOR + 3.20%), 7.17%, 07/15/32(a)(c) | | | | | | | 100 | | | | 106,253 | |
Contego CLO VII DAC, Series 7X, Class D, (3-mo. EURIBOR + 3.95%), 7.95%, 05/14/32(a)(c) | | | | | | | 100 | | | | 107,975 | |
Contego CLO VIII DAC, Series 8X, Class ER, (3-mo. EURIBOR + 6.06%), 10.02%, 01/25/34(a)(c) | | | | | | | 100 | | | | 104,673 | |
CVC Cordatus Loan Fund XXII DAC, Series 22X, Class D, (3-mo. EURIBOR + 3.15%), 7.08%, 12/15/34(a)(c) | | | | | | | 100 | | | | 104,038 | |
Galaxy XXVIII CLO Ltd., Series 2018-28A, Class C, (3-mo. CME Term SOFR + 2.21%), 7.61%, 07/15/31(a)(b) | | | USD | | | | 250 | | | | 247,865 | |
Greene King Finance PLC(a) | | | | | | | | | | | | |
Series B1, (3-mo. LIBOR GBP + 1.92%), 7.14%, 12/15/34 | | | GBP | | | | 100 | | | | 99,110 | |
Series B2, (3-mo. LIBOR GBP + 2.20%), 6.63%, 03/15/36(c) | | | | | | | 100 | | | | 99,465 | |
Margay CLO I DAC, Series 1X, Class D, (3-mo. EURIBOR + 6.40%), 10.25%, 07/15/36(a)(c) | | | EUR | | | | 100 | | | | 110,824 | |
Neuberger Berman Loan Advisers Euro CLO DAC, Series 2021-2X, Class E, (3-mo. EURIBOR + 6.06%), 10.03%, 04/15/34(a)(c) | | | | | | | 100 | | | | 105,304 | |
Palmer Square European CLO DAC, Series 2023- 1X, Class D, (3-mo. EURIBOR + 6.20%), 10.05%, 07/15/36(a)(c) | | | | | | | 100 | | | | 111,477 | |
Rockfield Park CLO DAC(a)(c) | | | | | | | | | | | | |
Series 1X, Class C, (3-mo. EURIBOR + 3.00%), 6.97%, 07/16/34 | | | | | | | 100 | | | | 104,910 | |
Series 1X, Class D, (3-mo. EURIBOR + 5.95%), 9.92%, 07/16/34 | | | | | | | 100 | | | | 104,998 | |
Unique Pub Finance Co. PLC, Series N, 6.46%, 03/30/32(c) | | | GBP | | | | 89 | | | | 114,036 | |
| | | | | | | | | | | | |
| |
Total Asset-Backed Securities — 0.2%
(Cost: $2,412,855) | | | | 2,340,573 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Shares | | | | |
| |
Common Stocks | | | | | |
| |
| Capital Markets — 0.1% | | | | |
Ardagh MP USA, Inc., (Acquired 08/02/21, Cost: $1,599,353)(e)(f) | | | | | | | 162,646 | | | | 634,319 | |
| | | | | | | | | | | | |
| | | |
| Chemicals — 0.1% | | | | | | | | | |
Element Solutions, Inc.(g) | | | | | | | 37,305 | | | | 863,238 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| Security | | | | | Shares | | | Value | |
| | | |
| Electrical Equipment — 0.0% | | | | | | | | | |
SunPower Corp.(e) | | | | | | | 1,025 | | | $ | 4,951 | |
| | | | | | | | | | | | |
|
| Energy Equipment & Services — 0.0% | |
Nine Energy Service, Inc.(e) | | | | | | | 2,390 | | | | 6,405 | |
| | | | | | | | | | | | |
| | | |
| Financial Services — 0.0% | | | | | | | | | |
Block, Inc., Class A(e) | | | | | | | 4,614 | | | | 356,893 | |
| | | | | | | | | | | | |
| | | |
| Ground Transportation — 0.1% | | | | | | | | | |
Uber Technologies, Inc.(e) | | | | | | | 14,860 | | | | 914,930 | |
| | | | | | | | | | | | |
|
| Hotels, Restaurants & Leisure — 0.0% | |
Aramark | | | | | | | 16,824 | | | | 472,754 | |
| | | | | | | | | | | | |
| | | |
| IT Services — 0.0% | | | | | | | | | |
Twilio, Inc., Class A(e) | | | | | | | 2,522 | | | | 191,344 | |
| | | | | | | | | | | | |
| | | |
| Metals & Mining — 0.2% | | | | | | | | | |
Constellium SE, Class A(e) | | | | | | | 138,993 | | | | 2,774,300 | |
| | | | | | | | | | | | |
|
| Oil, Gas & Consumable Fuels(e) — 0.0% | |
Kcad Holdings I Ltd.(h) | | | | | | | 2,223,465,984 | | | | 22,235 | |
NGL Energy Partners LP | | | | | | | 100,709 | | | | 560,949 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 583,184 | |
| | | |
| Pharmaceuticals — 0.1% | | | | | | | | | |
Catalent, Inc.(e) | | | | | | | 28,829 | | | | 1,295,287 | |
| | | | | | | | | | | | |
| |
| Real Estate Management & Development — 0.0% | | | | |
ADLER Group SA(b)(e) | | | | | | | 8,254 | | | | 4,829 | |
ADLER Group SA | | | | | | | 3,728 | | | | 2,109 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,938 | |
| |
| Semiconductors & Semiconductor Equipment — 0.0% | | | | |
Maxeon Solar Technologies Ltd.(e) | | | | | | | 128 | | | | 918 | |
| | | | | | | | | | | | |
| | | |
| Software — 0.1% | | | | | | | | | |
Informatica, Inc., Class A(e) | | | | | | | 62,173 | | | | 1,765,092 | |
| | | | | | | | | | | | |
| | | |
Total Common Stocks — 0.7%
(Cost: $33,694,911) | | | | | | | | | | | 9,870,553 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Par (000) | | | | |
| | | |
Corporate Bonds | | | | | | | | | | | | |
| | | |
| Aerospace & Defense(b) — 4.3% | | | | | | | | | |
Bombardier, Inc. | | | | | | | | | | | | |
7.13%, 06/15/26 | | | USD | | | | 4,683 | | | | 4,661,136 | |
7.88%, 04/15/27 | | | | | | | 1,781 | | | | 1,781,313 | |
6.00%, 02/15/28 | | | | | | | 3,089 | | | | 3,009,537 | |
7.50%, 02/01/29 | | | | | | | 3,465 | | | | 3,522,443 | |
8.75%, 11/15/30 | | | | | | | 2,381 | | | | 2,535,058 | |
7.45%, 05/01/34 | | | | | | | 434 | | | | 494,760 | |
Embraer Netherlands Finance BV, 7.00%, 07/28/30 | | | | | | | 2,041 | | | | 2,132,620 | |
F-Brasile SpA/F-Brasile U.S. LLC, Series XR, 7.38%, 08/15/26 | | | | | | | 3,695 | | | | 3,611,326 | |
Rolls-Royce PLC | | | | | | | | | | | | |
3.63%, 10/14/25 | | | | | | | 4,941 | | | | 4,745,830 | |
5.75%, 10/15/27 | | | | | | | 2,184 | | | | 2,187,752 | |
Spirit AeroSystems, Inc. | | | | | | | | | | | | |
9.38%, 11/30/29 | | | | | | | 2,657 | | | | 2,907,486 | |
9.75%, 11/15/30 | | | | | | | 2,077 | | | | 2,232,721 | |
TransDigm, Inc. | | | | | | | | | | | | |
6.25%, 03/15/26 | | | | | | | 3,216 | | | | 3,210,444 | |
6.75%, 08/15/28 | | | | | | | 12,181 | | | | 12,462,162 | |
| | |
| 52 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| | | |
| Aerospace & Defense (continued) | | | | | | | | | |
TransDigm, Inc. (continued) | | | | | | | | | | | | |
7.13%, 12/01/31 | | | USD | | | | 4,945 | | | $ | 5,181,940 | |
Triumph Group, Inc., 9.00%, 03/15/28 | | | | | | | 5,110 | | | | 5,433,693 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 60,110,221 | |
| |
| Automobile Components — 2.2% | | | | |
Adient Global Holdings Ltd., 3.50%, 08/15/24(c) | | | EUR | | | | 15 | | | | 37,157 | |
Clarios Global LP, 6.75%, 05/15/25(b) | | | USD | | | | 1,456 | | | | 1,468,813 | |
Clarios Global LP/Clarios U.S. Finance Co. | | | | | | | | | | | | |
4.38%, 05/15/26(c) | | | EUR | | | | 1,576 | | | | 1,725,013 | |
6.25%, 05/15/26(b) | | | USD | | | | 3,622 | | | | 3,626,701 | |
8.50%, 05/15/27(b) | | | | | | | 14,182 | | | | 14,231,438 | |
6.75%, 05/15/28(b) | | | | | | | 7,569 | | | | 7,722,007 | |
Dana Financing Luxembourg SARL, 8.50%, 07/15/31(c) | | | EUR | | | | 100 | | | | 120,580 | |
Forvia SE, 2.75%, 02/15/27(c) | | | | | | | 167 | | | | 176,171 | |
Goodyear Tire & Rubber Co., 5.63%, 04/30/33 | | | USD | | | | 311 | | | | 278,777 | |
IHO Verwaltungs GmbH, (8.75% Cash or 9.50% PIK), 8.75%, 05/15/28(c)(i) | | | EUR | | | | 116 | | | | 139,254 | |
Tenneco, Inc., 8.00%, 11/17/28(b) | | | USD | | | | 132 | | | | 112,695 | |
Titan International, Inc., 7.00%, 04/30/28 | | | | | | | 348 | | | | 348,146 | |
ZF Europe Finance BV, 6.13%, 03/13/29(c) | | | EUR | | | | 100 | | | | 117,189 | |
ZF Finance GmbH(c) | | | | | | | | | | | | |
5.75%, 08/03/26 | | | | | | | 200 | | | | 227,966 | |
2.00%, 05/06/27 | | | | | | | 200 | | | | 203,729 | |
2.75%, 05/25/27 | | | | | | | 100 | | | | 104,875 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 30,640,511 | |
| |
| Automobiles — 0.7% | | | | |
Asbury Automotive Group, Inc. | | | | | | | | | | | | |
4.50%, 03/01/28 | | | USD | | | | 90 | | | | 85,478 | |
5.00%, 02/15/32(b) | | | | | | | 901 | | | | 818,832 | |
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28(b) | | | | | | | 1,030 | | | | 1,019,700 | |
Ford Motor Co. | | | | | | | | | | | | |
3.25%, 02/12/32 | | | | | | | 387 | | | | 321,869 | |
6.10%, 08/19/32 | | | | | | | 2,863 | | | | 2,885,993 | |
Ken Garff Automotive LLC, 4.88%, 09/15/28(b) | | | | | | | 680 | | | | 643,546 | |
LCM Investments Holdings II LLC(b) | | | | | | | | | | | | |
4.88%, 05/01/29 | | | | | | | 968 | | | | 899,189 | |
8.25%, 08/01/31 | | | | | | | 1,353 | | | | 1,412,132 | |
RCI Banque SA, (5-year EUR Swap + 2.85%), 2.63%, 02/18/30(a)(c) | | | EUR | | | | 600 | | | | 640,512 | |
Wabash National Corp., 4.50%, 10/15/28(b) | | | USD | | | | 1,072 | | | | 967,283 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,694,534 | |
| |
| Banks — 1.0% | | | | |
Banco BPM SpA(a)(c) | | | | | | | | | | | | |
(3-mo. EURIBOR + 2.80%), 6.00%, 06/14/28 | | | EUR | | | | 175 | | | | 202,101 | |
(5-year EUR Swap + 4.67%), 4.25%, 10/01/29 | | | | | | | 250 | | | | 274,410 | |
Banco de Credito Social Cooperativo SA, (1-year EURIBOR ICE Swap + 4.27%), 7.50%, 09/14/29(a)(c) | | | | | | | 200 | | | | 231,249 | |
Banco de Sabadell SA(a)(c) | | | | | | | | | | | | |
(1-year EUR Swap + 2.40%), 5.25%, 02/07/29 | | | | | | | 100 | | | | 113,943 | |
(5-year EUR Swap + 2.95%), 2.50%, 04/15/31 | | | | | | | 100 | | | | 104,207 | |
(5-year EUR Swap + 3.15%), 6.00%, 08/16/33 | | | | | | | 100 | | | | 111,597 | |
Banco Espirito Santo SA(c)(e)(j) | | | | | | | | | | | | |
4.75%, 01/15/18(a) | | | | | | | 1,900 | | | | 545,351 | |
4.00%, 01/21/22 | | | | | | | 1,100 | | | | 315,730 | |
Banco Santander SA, 6.92%, 08/08/33 | | | USD | | | | 1,000 | | | | 1,065,666 | |
Barclays PLC, 5.20%, 05/12/26 | | | | | | | 800 | | | | 794,814 | |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| | | |
| Banks (continued) | | | | | | | | | |
Citigroup, Inc., (1-day SOFR + 2.66%), 6.17%, 05/25/34(a) | | | USD | | | | 2,175 | | | $ | 2,250,636 | |
Commerzbank AG, (5-year EUR Swap + 6.36%), 6.13%(a)(c)(k) | | | EUR | | | | 400 | | | | 425,573 | |
First-Citizens Bank & Trust Co., 6.00%, 04/01/36 | | | USD | | | | 3,261 | | | | 3,151,506 | |
Freedom Mortgage Corp.(b) | | | | | | | | | | | | |
12.00%, 10/01/28 | | | | | | | 541 | | | | 590,841 | |
12.25%, 10/01/30 | | | | | | | 537 | | | | 589,495 | |
Intesa Sanpaolo SpA | | | | | | | | | | | | |
5.71%, 01/15/26(b) | | | | | | | 400 | | | | 397,995 | |
5.15%, 06/10/30(c) | | | GBP | | | | 125 | | | | 144,061 | |
(1-year CMT + 2.60%), 4.20%,
06/01/32(a)(b) | | | USD | | | | 855 | | | | 705,006 | |
(1-year CMT + 2.75%), 4.95%,
06/01/42(a)(b) | | | | | | | 630 | | | | 448,574 | |
Macquarie Bank Ltd., 6.80%, 01/18/33(b) | | | | | | | 623 | | | | 662,208 | |
Northern Trust Corp., 6.13%, 11/02/32 | | | | | | | 904 | | | | 970,746 | |
UniCredit SpA, (5-year EUR Swap + 2.80%), | | | | | | | | | | | | |
2.73%, 01/15/32(a)(c) | | | EUR | | | | 200 | | | | 206,969 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,302,678 | |
| |
| Biotechnology(c) — 0.0% | | | | |
Cidron Aida Finco SARL | | | | | | | | | | | | |
5.00%, 04/01/28 | | | | | | | 163 | | | | 173,058 | |
6.25%, 04/01/28 | | | GBP | | | | 133 | | | | 159,218 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 332,276 | |
| |
| Broadline Retail — 0.1% | | | | |
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26(b) | | | USD | | | | 697 | | | | 669,780 | |
| | | | | | | | | | | | |
| |
| Building Products(b) — 2.0% | | | | |
Advanced Drainage Systems, Inc. | | | | | | | | | | | | |
5.00%, 09/30/27 | | | | | | | 547 | | | | 527,855 | |
6.38%, 06/15/30 | | | | | | | 4,547 | | | | 4,581,073 | |
Beacon Roofing Supply, Inc., 6.50%, 08/01/30 | | | | | | | 1,550 | | | | 1,584,832 | |
Foundation Building Materials, Inc., 6.00%, 03/01/29 | | | | | | | 440 | | | | 395,617 | |
GYP Holdings III Corp., 4.63%, 05/01/29 | | | | | | | 2,104 | | | | 1,920,749 | |
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26 | | | | | | | 386 | | | | 378,573 | |
SRS Distribution, Inc. | | | | | | | | | | | | |
4.63%, 07/01/28 | | | | | | | 3,320 | | | | 3,149,670 | |
6.13%, 07/01/29 | | | | | | | 2,072 | | | | 1,964,318 | |
6.00%, 12/01/29 | | | | | | | 4,465 | | | | 4,163,195 | |
White Cap Buyer LLC, 6.88%, 10/15/28 | | | | | | | 7,100 | | | | 6,872,884 | |
White Cap Parent LLC, (8.25% Cash or 9.00% PIK), 8.25%, 03/15/26(i) | | | | | | | 1,957 | | | | 1,947,906 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 27,486,672 | |
| |
| Capital Markets — 1.3% | | | | |
AG TTMT Escrow Issuer LLC, 8.63%, 09/30/27(b) | | | | | | | 708 | | | | 744,386 | |
Ares Capital Corp., 7.00%, 01/15/27 | | | | | | | 735 | | | | 756,018 | |
Aretec Group, Inc., 10.00%, 08/15/30(b) | | | | | | | 450 | | | | 478,193 | |
Blackstone Private Credit Fund | | | | | | | | | | | | |
7.05%, 09/29/25 | | | | | | | 432 | | | | 439,638 | |
3.25%, 03/15/27 | | | | | | | 590 | | | | 541,234 | |
Blue Owl Capital Corp. | | | | | | | | | | | | |
3.75%, 07/22/25 | | | | | | | 1,102 | | | | 1,055,518 | |
3.40%, 07/15/26 | | | | | | | 785 | | | | 729,806 | |
Blue Owl Capital Corp. II, 8.45%, 11/15/26(b) | | | | | | | 767 | | | | 790,196 | |
Blue Owl Credit Income Corp. | | | | | | | | | | | | |
5.50%, 03/21/25 | | | | | | | 873 | | | | 860,651 | |
3.13%, 09/23/26 | | | | | | | 540 | | | | 493,143 | |
7.75%, 09/16/27 | | | | | | | 1,852 | | | | 1,909,496 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 53 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| |
| Capital Markets (continued) | | | | |
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29(b) | | | USD | | | | 1,129 | | | $ | 1,066,477 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | | | | | | | | | | | | |
6.25%, 05/15/26 | | | | | | | 282 | | | | 269,059 | |
5.25%, 05/15/27 | | | | | | | 4,462 | | | | 4,007,876 | |
9.75%, 01/15/29(b) | | | | | | | 1,542 | | | | 1,573,148 | |
4.38%, 02/01/29 | | | | | | | 1,689 | | | | 1,410,416 | |
Lehman Brothers Holdings, Inc.(e)(j) | | | | | | | | | | | | |
5.38%, 10/17/12 | | | EUR | | | | 350 | | | | 1,546 | |
1.00%, 05/17/13 | | | USD | | | | 1,535 | | | | 1,535 | |
4.75%, 01/16/14 | | | EUR | | | | 1,890 | | | | 8,346 | |
1.00%, 02/05/14 | | | | | | | 3,950 | | | | 17,443 | |
1.00%, 12/31/49 | | | USD | | | | 430 | | | | 430 | |
Oaktree Strategic Credit Fund, 8.40%, 11/14/28(b) | | | | | | | 861 | | | | 906,905 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 18,061,460 | |
| | | |
| Chemicals — 3.1% | | | | | | | | | |
Ashland LLC, 3.38%, 09/01/31(b) | | | | | | | 112 | | | | 96,535 | |
Avient Corp., 7.13%, 08/01/30(b) | | | | | | | 440 | | | | 457,714 | |
Axalta Coating Systems Dutch Holding B BV, 7.25%, 02/15/31(b) | | | | | | | 1,410 | | | | 1,478,714 | |
Axalta Coating Systems LLC, 3.38%, 02/15/29(b) | | | | | | | 2,011 | | | | 1,804,730 | |
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27(b) | | | | | | | 2,464 | | | | 2,394,460 | |
Celanese U.S. Holdings LLC, 6.70%, 11/15/33 | | | | | | | 656 | | | | 711,496 | |
Chemours Co.(b) | | | | | | | | | | | | |
5.75%, 11/15/28 | | | | | | | 1,048 | | | | 998,226 | |
4.63%, 11/15/29 | | | | | | | 462 | | | | 405,615 | |
Element Solutions, Inc., 3.88%, 09/01/28(b) | | | | | | | 7,277 | | | | 6,699,473 | |
FIS Fabbrica Italiana Sintetici SpA, 5.63%, 08/01/27(c) | | | EUR | | | | 100 | | | | 102,391 | |
HB Fuller Co., 4.25%, 10/15/28 | | | USD | | | | 606 | | | | 566,642 | |
Herens Holdco SARL, 4.75%, 05/15/28(b) | | | | | | | 3,799 | | | | 3,116,648 | |
Herens Midco SARL, 5.25%, 05/15/29(c) | | | EUR | | | | 102 | | | | 67,559 | |
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(b) | | | USD | | | | 1,557 | | | | 1,488,803 | |
INEOS Quattro Finance 2 PLC, 8.50%, 03/15/29(c) | | | EUR | | | | 100 | | | | 116,336 | |
Ingevity Corp., 3.88%, 11/01/28(b) | | | USD | | | | 494 | | | | 442,393 | |
Kobe U.S. Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26(b)(i) | | | | | | | 1,415 | | | | 1,054,558 | |
Kronos International, Inc., 3.75%, 09/15/25(c) | | | EUR | | | | 200 | | | | 211,020 | |
LSF11 A5 HoldCo LLC, 6.63%, 10/15/29(b) | | | USD | | | | 725 | | | | 613,086 | |
Minerals Technologies, Inc., 5.00%, 07/01/28(b) | | | | | | | 878 | | | | 844,364 | |
Nobian Finance BV, 3.63%, 07/15/26(c) | | | EUR | | | | 106 | | | | 112,045 | |
NOVA Chemicals Corp., 4.88%, 06/01/24(b) | | | USD | | | | 215 | | | | 213,121 | |
Olympus Water U.S. Holding Corp. | | | | | | | | | | | | |
9.63%, 11/15/28(c) | | | EUR | | | | 179 | | | | 211,440 | |
9.75%, 11/15/28(b) | | | USD | | | | 5,177 | | | | 5,494,832 | |
SCIL IV LLC/SCIL USA Holdings LLC | | | | | | | | | | | | |
5.38%, 11/01/26(b) | | | | | | | 1,495 | | | | 1,435,098 | |
9.50%, 07/15/28(c) | | | EUR | | | | 100 | | | | 117,571 | |
(3-mo. EURIBOR + 4.38%), 8.34%, 11/01/26(a)(c) | | | | | | | 100 | | | | 110,369 | |
Scotts Miracle-Gro Co. | | | | | | | | | | | | |
4.50%, 10/15/29 | | | USD | | | | 229 | | | | 203,469 | |
4.38%, 02/01/32 | | | | | | | 1,696 | | | | 1,433,154 | |
SK Invictus Intermediate II SARL, 5.00%, 10/30/29(b) | | | | | | | 3,950 | | | | 3,426,625 | |
Synthomer PLC, 3.88%, 07/01/25(c) | | | EUR | | | | 133 | | | | 144,729 | |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| | | |
| Chemicals (continued) | | | | | | | | | |
WR Grace Holdings LLC(b) | | | | | | | | | | | | |
4.88%, 06/15/27 | | | USD | | | | 733 | | | $ | 705,220 | |
5.63%, 08/15/29 | | | | | | | 5,450 | | | | 4,795,765 | |
7.38%, 03/01/31 | | | | | | | 1,174 | | | | 1,174,358 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 43,248,559 | |
| |
| Commercial Services & Supplies — 5.9% | | | | |
ADT Security Corp.(b) | | | | | | | | | | | | |
4.13%, 08/01/29 | | | | | | | 1,619 | | | | 1,489,885 | |
4.88%, 07/15/32 | | | | | | | 790 | | | | 730,742 | |
Albion Financing 1 SARL/Aggreko Holdings, Inc., 6.13%, 10/15/26(b) | | | | | | | 940 | | | | 931,126 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp.(b) | | | | | | | | | | | | |
6.63%, 07/15/26 | | | | | | | 11,899 | | | | 11,836,517 | |
9.75%, 07/15/27 | | | | | | | 3,520 | | | | 3,449,237 | |
6.00%, 06/01/29 | | | | | | | 7,236 | | | | 5,899,468 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL | | | | | | | | | | | | |
4.63%, 06/01/28(b) | | | | | | | 3,374 | | | | 3,072,473 | |
4.88%, 06/01/28(c) | | | GBP | | | | 200 | | | | 214,141 | |
APi Group DE, Inc., 4.75%, 10/15/29(b) | | | USD | | | | 1,283 | | | | 1,205,148 | |
APX Group, Inc.(b) | | | | | | | | | | | | |
6.75%, 02/15/27 | | | | | | | 1,620 | | | | 1,615,950 | |
5.75%, 07/15/29 | | | | | | | 1,478 | | | | 1,377,871 | |
Ashtead Capital, Inc., 5.95%, 10/15/33(b) | | | | | | | 1,335 | | | | 1,360,098 | |
BCP V Modular Services Finance II PLC(c) | | | | | | | | | | | | |
4.75%, 11/30/28 | | | EUR | | | | 200 | | | | 203,953 | |
6.13%, 11/30/28 | | | GBP | | | | 100 | | | | 113,763 | |
Boels Topholding BV, 6.25%, 02/15/29(c) | | | EUR | | | | 107 | | | | 123,153 | |
EC Finance PLC, 3.00%, 10/15/26(c) | | | | | | | 109 | | | | 115,969 | |
Fortress Transportation and Infrastructure Investors LLC(b) | | | | | | | | | | | | |
6.50%, 10/01/25 | | | USD | | | | 3,704 | | | | 3,692,141 | |
9.75%, 08/01/27 | | | | | | | 2,442 | | | | 2,539,680 | |
5.50%, 05/01/28 | | | | | | | 4,066 | | | | 3,910,042 | |
7.88%, 12/01/30 | | | | | | | 3,652 | | | | 3,804,581 | |
Garda World Security Corp.(b) | | | | | | | | | | | | |
4.63%, 02/15/27 | | | | | | | 936 | | | | 902,481 | |
9.50%, 11/01/27 | | | | | | | 492 | | | | 496,009 | |
7.75%, 02/15/28 | | | | | | | 3,360 | | | | 3,476,287 | |
6.00%, 06/01/29 | | | | | | | 137 | | | | 122,804 | |
Herc Holdings, Inc., 5.50%, 07/15/27(b) | | | | | | | 4,416 | | | | 4,359,992 | |
Inter Media and Communication SpA, 6.75%, 02/09/27(c) | | | EUR | | | | 200 | | | | 212,106 | |
Legends Hospitality Holding Co. LLC/Legends | | | | | | | | | | | | |
Hospitality Co.-Issuer, Inc., 5.00%, 02/01/26(b) | | | USD | | | | 561 | | | | 560,159 | |
Metis Merger Sub LLC, 6.50%, 05/15/29(b) | | | | | | | 763 | | | | 690,004 | |
Neptune Bidco U.S., Inc., 9.29%, 04/15/29(b) | | | | | | | 1,976 | | | | 1,842,615 | |
NESCO Holdings II, Inc., 5.50%, 04/15/29(b) | | | | | | | 1,353 | | | | 1,250,970 | |
Paprec Holding SA(c) | | | | | | | | | | | | |
3.50%, 07/01/28 | | | EUR | | | | 100 | | | | 105,979 | |
7.25%, 11/17/29 | | | | | | | 100 | | | | 118,261 | |
Prime Security Services Borrower LLC/Prime Finance, Inc.(b) | | | | | | | | | | | | |
5.75%, 04/15/26 | | | USD | | | | 1,037 | | | | 1,042,618 | |
6.25%, 01/15/28 | | | | | | | 3,405 | | | | 3,385,144 | |
Q-Park Holding I BV, 1.50%, 03/01/25(c) | | | EUR | | | | 100 | | | | 107,940 | |
Rekeep SpA, 7.25%, 02/01/26(c) | | | | | | | 100 | | | | 98,678 | |
Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29(b) | | | USD | | | | 2,072 | | | | 1,791,989 | |
Techem Verwaltungsgesellschaft 675 mbH, 2.00%, 07/15/25(c) | | | EUR | | | | 220 | | | | 237,133 | |
| | |
| 54 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| |
| Commercial Services & Supplies (continued) | | | | |
United Rentals North America, Inc., 6.00%, 12/15/29(b) | | | USD | | | | 8,622 | | | $ | 8,753,641 | |
Verisure Holding AB(c) | | | | | | | | | | | | |
3.88%, 07/15/26 | | | EUR | | | | 140 | | | | 151,477 | |
9.25%, 10/15/27 | | | | | | | 100 | | | | 118,428 | |
7.13%, 02/01/28 | | | | | | | 100 | | | | 115,902 | |
Williams Scotsman, Inc.(b) | | | | | | | | | | | | |
6.13%, 06/15/25 | | | USD | | | | 1,652 | | | | 1,655,254 | |
7.38%, 10/01/31 | | | | | | | 1,966 | | | | 2,061,856 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 81,343,665 | |
| |
| Communications Equipment(b) — 0.6% | | | | |
CommScope Technologies LLC, 6.00%, 06/15/25 | | | | | | | 1,921 | | | | 1,565,615 | |
CommScope, Inc., 6.00%, 03/01/26 | | | | | | | 2,904 | | | | 2,588,858 | |
Viasat, Inc. | | | | | | | | | | | | |
5.63%, 09/15/25 | | | | | | | 2,330 | | | | 2,271,842 | |
5.63%, 04/15/27 | | | | | | | 1,502 | | | | 1,453,185 | |
7.50%, 05/30/31 | | | | | | | 270 | | | | 211,950 | |
Viavi Solutions, Inc., 3.75%, 10/01/29 | | | | | | | 959 | | | | 839,547 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,930,997 | |
| |
| Construction & Engineering — 0.7% | | | | |
Arcosa, Inc., 4.38%, 04/15/29(b) | | | | | | | 1,252 | | | | 1,166,088 | |
Brand Industrial Services, Inc., 10.38%, 08/01/30(b) | | | | | | | 7,805 | | | | 8,254,022 | |
Dycom Industries, Inc., 4.50%, 04/15/29(b) | | | | | | | 90 | | | | 83,513 | |
Infrastrutture Wireless Italiane SpA, 1.63%, 10/21/28(c) | | | EUR | | | | 200 | | | | 203,992 | |
Pike Corp., 8.63%, 01/31/31(b) | | | USD | | | | 461 | | | | 484,438 | |
Webuild SpA, 7.00%, 09/27/28(c) | | | EUR | | | | 100 | | | | 115,839 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,307,892 | |
| |
| Construction Materials — 3.0% | | | | |
American Builders & Contractors Supply Co., Inc., Series A, 3.88%, 11/15/29(b) | | | USD | | | | 1,603 | | | | 1,429,025 | |
BCPE Empire Holdings, Inc., 7.63%, 05/01/27(b) | | | | | | | 1,897 | | | | 1,829,213 | |
Camelot Return Merger Sub, Inc., 8.75%, 08/01/28(b) | | | | | | | 1,092 | | | | 1,108,412 | |
Emerald Debt Merger Sub LLC | | | | | | | | | | | | |
6.38%, 12/15/30(b) | | | EUR | | | | 840 | | | | 990,422 | |
6.38%, 12/15/30(c) | | | | | | | 100 | | | | 117,907 | |
6.63%, 12/15/30(b) | | | USD | | | | 14,326 | | | | 14,632,146 | |
H&E Equipment Services, Inc., 3.88%, 12/15/28(b) | | | | | | | 358 | | | | 325,535 | |
HT Troplast GmbH, 9.38%, 07/15/28(c) | | | EUR | | | | 124 | | | | 138,857 | |
Jeld-Wen, Inc., 4.63%, 12/15/25(b) | | | USD | | | | 1,574 | | | | 1,522,845 | |
New Enterprise Stone & Lime
Co., Inc.(b) | | | | | | | | | | | | |
5.25%, 07/15/28 | | | | | | | 435 | | | | 414,951 | |
9.75%, 07/15/28 | | | | | | | 640 | | | | 640,000 | |
PCF GmbH, 4.75%, 04/15/26(c) | | | EUR | | | | 100 | | | | 79,883 | |
Resideo Funding, Inc., 4.00%, 09/01/29(b) | | | USD | | | | 290 | | | | 253,025 | |
Ritchie Bros Holdings, Inc., 6.75%, 03/15/28(b) | | | | | | | 412 | | | | 424,184 | |
Smyrna Ready Mix Concrete LLC(b) | | | | | | | | | | | | |
6.00%, 11/01/28 | | | | | | | 4,762 | | | | 4,688,567 | |
8.88%, 11/15/31 | | | | | | | 3,579 | | | | 3,762,159 | |
Standard Industries, Inc./New Jersey | | | | | | | | | | | | |
2.25%, 11/21/26(c) | | | EUR | | | | 511 | | | | 531,682 | |
5.00%, 02/15/27(b) | | | USD | | | | 128 | | | | 124,792 | |
4.75%, 01/15/28(b) | | | | | | | 100 | | | | 96,269 | |
4.38%, 07/15/30(b) | | | | | | | 2,674 | | | | 2,455,770 | |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| |
| Construction Materials (continued) | | | | |
Standard Industries, Inc./New Jersey (continued) | | | | | | | | | | | | |
3.38%, 01/15/31(b) | | | USD | | | | 4,044 | | | $ | 3,478,934 | |
Summit Materials LLC/Summit Materials Finance Corp., 7.25%, 01/15/31(b) | | | | | | | 2,402 | | | | 2,530,997 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 41,575,575 | |
| |
| Consumer Discretionary — 0.0% | | | | |
Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 07/30/26(c) | | | EUR | | | | 88 | | | | 96,574 | |
| | | | | | | | | | | | |
| |
| Consumer Finance — 3.9% | | | | |
Block, Inc. | | | | | | | | | | | | |
2.75%, 06/01/26 | | | USD | | | | 3,632 | | | | 3,425,084 | |
3.50%, 06/01/31 | | | | | | | 5,767 | | | | 5,120,813 | |
Bread Financial Holdings, Inc., 9.75%, 03/15/29(b) | | | | | | | 721 | | | | 747,443 | |
Capital One Financial Corp., (1-day SOFR + 2.86%), 6.38%, 06/08/34(a) | | | | | | | 520 | | | | 535,183 | |
Encore Capital Group, Inc., 5.38%, 02/15/26(c) | | | GBP | | | | 100 | | | | 121,087 | |
Ford Motor Credit Co. LLC | | | | | | | | | | | | |
6.86%, 06/05/26 | | | | | | | 108 | | | | 141,911 | |
7.35%, 03/06/30 | | | USD | | | | 3,382 | | | | 3,633,286 | |
7.20%, 06/10/30 | | | | | | | 3,119 | | | | 3,321,879 | |
GTCR W-2 Merger Sub LLC, 7.50%, 01/15/31(b) | | | | | | | 8,793 | | | | 9,291,759 | |
Navient Corp., 9.38%, 07/25/30 | | | | | | | 959 | | | | 1,004,722 | |
Nexi SpA, 0.00%, 02/24/28(c)(l)(m) | | | EUR | | | | 200 | | | | 191,182 | |
OneMain Finance Corp. | | | | | | | | | | | | |
6.88%, 03/15/25 | | | USD | | | | 1,060 | | | | 1,073,017 | |
7.13%, 03/15/26 | | | | | | | 809 | | | | 824,200 | |
6.63%, 01/15/28 | | | | | | | 3,592 | | | | 3,626,264 | |
9.00%, 01/15/29 | | | | | | | 1,443 | | | | 1,525,581 | |
5.38%, 11/15/29 | | | | | | | 705 | | | | 660,161 | |
7.88%, 03/15/30 | | | | | | | 2,001 | | | | 2,059,771 | |
4.00%, 09/15/30 | | | | | | | 558 | | | | 477,512 | |
Sabre GLBL, Inc., 8.63%, 06/01/27(b) | | | | | | | 2,401 | | | | 2,184,956 | |
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(b) | | | | | | | 2,554 | | | | 2,483,535 | |
SLM Corp., 3.13%, 11/02/26 | | | | | | | 930 | | | | 867,165 | |
Verscend Escrow Corp., 9.75%, 08/15/26(b) | | | | | | | 10,288 | | | | 10,360,304 | |
Worldline SA/France, 0.00%, 07/30/26(c)(l)(m) | | | EUR | | | | 164 | | | | 161,456 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 53,838,271 | |
| |
| Consumer Staples Distribution & Retail — 1.3% | | | | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(b) | | | | | | | | | | | | |
4.63%, 01/15/27 | | | USD | | | | 373 | | | | 362,632 | |
5.88%, 02/15/28 | | | | | | | 1,328 | | | | 1,328,891 | |
6.50%, 02/15/28 | | | | | | | 4,762 | | | | 4,818,896 | |
3.50%, 03/15/29 | | | | | | | 1,573 | | | | 1,428,256 | |
4.88%, 02/15/30 | | | | | | | 1,210 | | | | 1,158,365 | |
Bellis Acquisition Co. PLC(c) | | | | | | | | | | | | |
3.25%, 02/16/26 | | | GBP | | | | 200 | | | | 236,043 | |
4.50%, 02/16/26 | | | | | | | 328 | | | | 394,881 | |
Lamb Weston Holdings, Inc.(b) | | | | | | | | | | | | |
4.88%, 05/15/28 | | | USD | | | | 100 | | | | 97,800 | |
4.13%, 01/31/30 | | | | | | | 205 | | | | 188,996 | |
4.38%, 01/31/32 | | | | | | | 952 | | | | 868,484 | |
Market Bidco Finco PLC, 5.50%, 11/04/27(c) | | | GBP | | | | 156 | | | | 174,984 | |
Performance Food Group, Inc.(b) | | | | | | | | | | | | |
5.50%, 10/15/27 | | | USD | | | | 2,744 | | | | 2,703,714 | |
4.25%, 08/01/29 | | | | | | | 485 | | | | 444,839 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 55 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| |
| Consumer Staples Distribution & Retail (continued) | | | | |
Picard Groupe SAS, 3.88%, 07/01/26(c) | | | EUR | | | | 112 | | | $ | 120,227 | |
Post Holdings, Inc.(b) | | | | | | | | | | | | |
5.50%, 12/15/29 | | | USD | | | | 734 | | | | 707,259 | |
4.50%, 09/15/31 | | | | | | | 215 | | | | 192,671 | |
Premier Foods Finance PLC, 3.50%, 10/15/26(c) . | | | GBP | | | | 100 | | | | 118,326 | |
U.S. Foods, Inc.(b) | | | | | | | | | | | | |
6.88%, 09/15/28 | | | USD | | | | 1,023 | | | | 1,053,036 | |
4.75%, 02/15/29 | | | | | | | 224 | | | | 212,743 | |
4.63%, 06/01/30 | | | | | | | 149 | | | | 138,862 | |
7.25%, 01/15/32 | | | | | | | 1,232 | | | | 1,284,621 | |
United Natural Foods, Inc., 6.75%, 10/15/28(b) | | | | | | | 454 | | | | 367,531 | |
Walgreens Boots Alliance, Inc., 3.20%, 04/15/30 | | | | | | | 122 | | | | 107,393 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 18,509,450 | |
| |
| Containers & Packaging — 3.9% | | | | |
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC | | | | | | | | | | | | |
6.00%, 06/15/27(b) | | | | | | | 2,141 | | | | 2,133,330 | |
3.25%, 09/01/28(b) | | | | | | | 1,708 | | | | 1,494,198 | |
3.00%, 09/01/29(c) | | | EUR | | | | 564 | | | | 500,344 | |
4.00%, 09/01/29(b) | | | USD | | | | 5,662 | | | | 4,792,750 | |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | | | | | | | | | | | | |
5.25%, 04/30/25(b) | | | | | | | 1,955 | | | | 1,901,280 | |
2.13%, 08/15/26(c) | | | EUR | | | | 1,239 | | | | 1,216,157 | |
4.13%, 08/15/26(b) | | | USD | | | | 2,300 | | | | 2,098,750 | |
4.75%, 07/15/27(c) | | | GBP | | | | 100 | | | | 92,161 | |
5.25%, 08/15/27(b) | | | USD | | | | 868 | | | | 674,319 | |
Ball Corp., 6.00%, 06/15/29 | | | | | | | 1,028 | | | | 1,049,766 | |
Canpack SA/Canpack U.S. LLC, 3.13%, 11/01/25(b) | | | | | | | 584 | | | | 555,165 | |
Clydesdale Acquisition Holdings, Inc.(b) | | | | | | | | | | | | |
6.63%, 04/15/29 | | | | | | | 2,766 | | | | 2,720,554 | |
8.75%, 04/15/30 | | | | | | | 4,356 | | | | 4,061,389 | |
Crown Americas LLC, 5.25%, 04/01/30 | | | | | | | 138 | | | | 135,907 | |
Crown European Holdings SA(c) | | | | | | | | | | | | |
3.38%, 05/15/25 | | | EUR | | | | 100 | | | | 109,429 | |
5.00%, 05/15/28 | | | | | | | 100 | | | | 114,393 | |
Fiber Bidco SpA, 11.00%, 10/25/27(c) | | | | | | | 100 | | | | 120,331 | |
Graphic Packaging International LLC | | | | | | | | | | | | |
4.75%, 07/15/27(b) | | | USD | | | | 574 | | | | 556,780 | |
3.50%, 03/15/28(b) | | | | | | | 35 | | | | 32,477 | |
2.63%, 02/01/29(c) | | | EUR | | | | 556 | | | | 565,278 | |
Kleopatra Finco SARL, 4.25%, 03/01/26(c) | | | | | | | 200 | | | | 181,397 | |
LABL, Inc.(b) | | | | | | | | | | | | |
5.88%, 11/01/28 | | | USD | | | | 1,085 | | | | 983,037 | |
9.50%, 11/01/28 | | | | | | | 2,391 | | | | 2,414,910 | |
Mauser Packaging Solutions Holding Co.(b) | | | | | | | | | | | | |
7.88%, 08/15/26 | | | | | | | 15,793 | | | | 16,072,236 | |
9.25%, 04/15/27 | | | | | | | 370 | | | | 363,175 | |
OI European Group BV | | | | | | | | | | | | |
6.25%, 05/15/28(b) | | | EUR | | | | 620 | | | | 715,934 | |
6.25%, 05/15/28(c) | | | | | | | 100 | | | | 115,473 | |
Owens-Brockway Glass Container,
Inc.(b) | | | | | | | | | | | | |
6.63%, 05/13/27 | | | USD | | | | 211 | | | | 211,026 | |
7.25%, 05/15/31 | | | | | | | 1,005 | | | | 1,018,959 | |
Sealed Air Corp., 5.00%, 04/15/29(b) | | | | | | | 322 | | | | 311,379 | |
Sealed Air Corp./Sealed Air Corp. U.S., 6.13%, 02/01/28(b) | | | | | | | 1,001 | | | | 1,009,621 | |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| |
| Containers & Packaging (continued) | | | | |
Trident TPI Holdings, Inc., 12.75%, 12/31/28(b) | | | USD | | | | 621 | | | $ | 664,470 | |
Trivium Packaging Finance BV(b) | | | | | | | | | | | | |
5.50%, 08/15/26 | | | | | | | 4,581 | | | | 4,494,460 | |
8.50%, 08/15/27 | | | | | | | 800 | | | | 784,399 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 54,265,234 | |
| |
| Diversified Consumer Services — 0.4% | | | | |
Graham Holdings Co., 5.75%, 06/01/26(b) | | | | | | | 705 | | | | 700,759 | |
Service Corp. International, 4.00%, 05/15/31 | | | | | | | 222 | | | | 198,801 | |
Sotheby’s, 7.38%, 10/15/27(b) | | | | | | | 5,001 | | | | 4,822,945 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,722,505 | |
| |
| Diversified REITs — 1.4% | | | | |
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27(b) | | | | | | | 590 | | | | 493,011 | |
GLP Capital LP/GLP Financing II, Inc. | | | | | | | | | | | | |
3.25%, 01/15/32 | | | | | | | 1,733 | | | | 1,463,089 | |
6.75%, 12/01/33 | | | | | | | 815 | | | | 879,246 | |
HAT Holdings I LLC/HAT Holdings II LLC(b) | | | | | | | | | | | | |
3.38%, 06/15/26 | | | | | | | 1,021 | | | | 959,606 | |
8.00%, 06/15/27 | | | | | | | 574 | | | | 597,732 | |
Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32(b) | | | | | | | 776 | | | | 710,799 | |
SBA Communications Corp. | | | | | | | | | | | | |
3.13%, 02/01/29 | | | | | | | 3,957 | | | | 3,555,351 | |
3.88%, 02/15/27 | | | | | | | 400 | | | | 384,126 | |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, 02/15/28(b) | | | | | | | 4,826 | | | | 4,892,623 | |
VICI Properties LP | | | | | | | | | | | | |
4.95%, 02/15/30 | | | | | | | 975 | | | | 946,062 | |
5.63%, 05/15/52 | | | | | | | 868 | | | | 832,247 | |
VICI Properties LP/VICI Note Co., Inc.(b) | | | | | | | | | | | | |
4.63%, 12/01/29 | | | | | | | 3,379 | | | | 3,183,861 | |
4.13%, 08/15/30 | | | | | | | 1,219 | | | | 1,110,418 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 20,008,171 | |
| |
| Diversified Telecommunication Services — 5.0% | | | | |
Cablevision Lightpath LLC(b) | | | | | | | | | | | | |
3.88%, 09/15/27 | | | | | | | 600 | | | | 526,887 | |
5.63%, 09/15/28 | | | | | | | 1,201 | | | | 946,520 | |
Cellnex Telecom SA(c) | | | | | | | | | | | | |
2.13%, 08/11/30 | | | EUR | | | | 300 | | | | 340,307 | |
1.75%, 10/23/30 | | | | | | | 100 | | | | 96,648 | |
Series CLNX, 0.75%, 11/20/31(l) | | | | | | | 100 | | | | 91,854 | |
Frontier Communications Holdings LLC(b) | | | | | | | | | | | | |
5.88%, 10/15/27 | | | USD | | | | 251 | | | | 242,491 | |
5.00%, 05/01/28 | | | | | | | 345 | | | | 318,841 | |
8.75%, 05/15/30 | | | | | | | 13,219 | | | | 13,598,500 | |
Global Switch Finance BV, 1.38%, 10/07/30(c) | | | EUR | | | | 106 | | | | 105,537 | |
Iliad Holding SASU(b) | | | | | | | | | | | | |
6.50%, 10/15/26 | | | USD | | | | 7,579 | | | | 7,564,172 | |
7.00%, 10/15/28 | | | | | | | 1,495 | | | | 1,487,658 | |
Kaixo Bondco Telecom SA, 5.13%, 09/30/29(c) | | | EUR | | | | 100 | | | | 102,943 | |
Level 3 Financing, Inc. | | | | | | | | | | | | |
3.40%, 03/01/27 | | | USD | | | | 6,723 | | | | 6,454,080 | |
4.63%, 09/15/27 | | | | | | | 5,053 | | | | 3,031,800 | |
3.63%, 01/15/29 | | | | | | | 416 | | | | 212,160 | |
10.50%, 05/15/30 | | | | | | | 6,268 | | | | 6,077,984 | |
Level 3 New Money TSA, 11.00%, 11/15/29(d) | | | | | | | 4,031 | | | | 4,030,535 | |
Lorca Telecom Bondco SA, 4.00%, 09/18/27(c) | | | EUR | | | | 274 | | | | 294,917 | |
| | |
| 56 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| |
| Diversified Telecommunication Services (continued) | | | | |
Lumen Technologies, Inc., 4.00%, 02/15/27 | | | USD | | | | 1,987 | | | $ | 1,282,350 | |
Sable International Finance Ltd., 5.75%, | | | | | | | | | | | | |
09/07/27(b) | | | | | | | 539 | | | | 510,190 | |
SoftBank Group Corp.(c) | | | | | | | | | | | | |
2.13%, 07/06/24 | | | EUR | | | | 249 | | | | 269,386 | |
4.75%, 07/30/25 | | | | | | | 100 | | | | 110,773 | |
3.88%, 07/06/32 | | | | | | | 200 | | | | 188,301 | |
Telecom Italia Capital SA | | | | | | | | | | | | |
6.38%, 11/15/33 | | | USD | | | | 1,478 | | | | 1,445,643 | |
6.00%, 09/30/34 | | | | | | | 2,752 | | | | 2,613,514 | |
7.20%, 07/18/36 | | | | | | | 594 | | | | 596,271 | |
7.72%, 06/04/38 | | | | | | | 238 | | | | 242,365 | |
Telecom Italia SpA/Milano | | | | | | | | | | | | |
5.30%, 05/30/24(b) | | | | | | | 322 | | | | 320,502 | |
2.75%, 04/15/25(c) | | | EUR | | | | 139 | | | | 149,245 | |
6.88%, 02/15/28(c) | | | | | | | 218 | | | | 255,752 | |
7.88%, 07/31/28(c) | | | | | | | 213 | | | | 260,772 | |
1.63%, 01/18/29(c) | | | | | | | 143 | | | | 136,020 | |
Zayo Group Holdings, Inc.(b) | | | | | | | | | | | | |
4.00%, 03/01/27 | | | USD | | | | 15,849 | | | | 12,707,326 | |
6.13%, 03/01/28 | | | | | | | 3,999 | | | | 2,937,106 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 69,549,350 | |
| |
| Electric Utilities — 1.2% | | | | |
Edison International, Series A, (5-year CMT + 4.70%), 5.38%(a)(k) | | | | | | | 2,200 | | | | 2,080,757 | |
EDP - Energias de Portugal SA(a)(c) | | | | | | | | | | | | |
(5-year EUR Swap + 1.84%), 1.70%, 07/20/80 | | | EUR | | | | 100 | | | | 105,412 | |
(5-year EUR Swap + 2.38%), 1.88%, 08/02/81 | | | | | | | 200 | | | | 205,335 | |
FirstEnergy Corp., 2.65%, 03/01/30 | | | USD | | | | 269 | | | | 232,397 | |
NextEra Energy Operating Partners LP(b) | | | | | | | | | | | | |
3.88%, 10/15/26 | | | | | | | 345 | | | | 328,481 | |
7.25%, 01/15/29 | | | | | | | 866 | | | | 906,621 | |
Pacific Gas and Electric Co., 6.95%, 03/15/34 | | | | | | | 2,190 | | | | 2,405,518 | |
Palomino Funding Trust I, 7.23%, 05/17/28(b) | | | | | | | 682 | | | | 718,252 | |
PG&E Corp., 4.25%, 12/01/27(b) | | | | | | | 4,449 | | | | 4,662,552 | |
Talen Energy Supply LLC, 8.63%, 06/01/30(b) | | | | | | | 716 | | | | 760,773 | |
TransAlta Corp., 7.75%, 11/15/29 | | | | | | | 590 | | | | 626,630 | |
Vistra Operations Co. LLC(b) | | | | | | | | | | | | |
7.75%, 10/15/31 | | | | | | | 1,921 | | | | 1,995,130 | |
6.95%, 10/15/33 | | | | | | | 1,110 | | | | 1,168,204 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,196,062 | |
| |
| Electrical Equipment(b) — 0.7% | | | | |
Regal Rexnord Corp. | | | | | | | | | | | | |
6.05%, 04/15/28 | | | | | | | 2,822 | | | | 2,856,644 | |
6.30%, 02/15/30 | | | | | | | 1,055 | | | | 1,082,336 | |
6.40%, 04/15/33 | | | | | | | 1,095 | | | | 1,141,285 | |
WESCO Distribution, Inc. | | | | | | | | | | | | |
7.13%, 06/15/25 | | | | | | | 1,940 | | | | 1,954,166 | |
7.25%, 06/15/28 | | | | | | | 2,820 | | | | 2,898,467 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,932,898 | |
|
| Electronic Equipment, Instruments & Components(b) — 0.3% | |
Coherent Corp., 5.00%, 12/15/29 | | | | | | | 953 | | | | 905,117 | |
Sensata Technologies BV, 5.88%, 09/01/30 | | | | | | | 1,209 | | | | 1,201,161 | |
Sensata Technologies, Inc. | | | | | | | | | | | | |
4.38%, 02/15/30 | | | | | | | 2,576 | | | | 2,389,143 | |
3.75%, 02/15/31 | | | | | | | 79 | | | | 69,578 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,564,999 | |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| |
| Energy Equipment & Services — 1.4% | | | | |
Archrock Partners LP/Archrock Partners Finance Corp.(b) | | | | | | | | | | | | |
6.88%, 04/01/27 | | | USD | | | | 3,608 | | | $ | 3,617,020 | |
6.25%, 04/01/28 | | | | | | | 801 | | | | 788,985 | |
Borr IHC Ltd./Borr Finance(b) | | | | | | | | | | | | |
10.00%, 11/15/28 | | | | | | | 1,914 | | | | 2,000,187 | |
10.38%, 11/15/30 | | | | | | | 997 | | | | 1,028,468 | |
Enerflex Ltd., 9.00%, 10/15/27(b) | | | | | | | 1,227 | | | | 1,183,630 | |
Nine Energy Service, Inc., 13.00%, 02/01/28 | | | | | | | 478 | | | | 421,835 | |
Oceaneering International, Inc., 6.00%, | | | | | | | | | | | | |
02/01/28(b) | | | | | | | 369 | | | | 357,664 | |
Patterson-UTI Energy, Inc., 7.15%, 10/01/33 | | | | | | | 510 | | | | 540,295 | |
Seadrill Finance Ltd., 8.38%, 08/01/30(b) | | | | | | | 1,273 | | | | 1,328,159 | |
USA Compression Partners LP/USA Compression Finance Corp. | | | | | | | | | | | | |
6.88%, 04/01/26 | | | | | | | 3,626 | | | | 3,610,707 | |
6.88%, 09/01/27 | | | | | | | 1,510 | | | | 1,492,102 | |
Vallourec SACA, 8.50%, 06/30/26(c) | | | EUR | | | | 138 | | | | 153,088 | |
Weatherford International Ltd.(b) | | | | | | | | | | | | |
6.50%, 09/15/28 | | | USD | | | | 606 | | | | 627,100 | |
8.63%, 04/30/30 | | | | | | | 2,176 | | | | 2,271,872 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 19,421,112 | |
| |
| Entertainment — 1.0% | | | | |
Allwyn Entertainment Financing U.K. PLC | | | | | | | | | | | | |
7.88%, 04/30/29(b) | | | | | | | 800 | | | | 823,360 | |
7.25%, 04/30/30(c) | | | EUR | | | | 100 | | | | 115,915 | |
CPUK Finance Ltd., 3.59%, 02/28/42(c) | | | GBP | | | | 101 | | | | 124,432 | |
Lions Gate Capital Holdings LLC, 5.50%, 04/15/29(b) | | | USD | | | | 1,076 | | | | 804,956 | |
Live Nation Entertainment, Inc.(b) | | | | | | | | | | | | |
5.63%, 03/15/26 | | | | | | | 245 | | | | 242,761 | |
6.50%, 05/15/27 | | | | | | | 7,289 | | | | 7,416,718 | |
4.75%, 10/15/27 | | | | | | | 3,015 | | | | 2,890,887 | |
3.75%, 01/15/28 | | | | | | | 799 | | | | 745,141 | |
Odeon Finco PLC, 12.75%, 11/01/27(b) | | | | | | | 303 | | | | 307,663 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,471,833 | |
| |
| Environmental, Maintenance & Security Service — 1.8% | | | | |
Clean Harbors, Inc., 6.38%, 02/01/31(b) | | | | | | | 1,231 | | | | 1,250,764 | |
Covanta Holding Corp. | | | | | | | | | | | | |
4.88%, 12/01/29(b) | | | | | | | 2,689 | | | | 2,349,352 | |
5.00%, 09/01/30 | | | | | | | 454 | | | | 386,427 | |
GFL Environmental, Inc.(b) | | | | | | | | | | | | |
3.75%, 08/01/25 | | | | | | | 964 | | | | 941,449 | |
5.13%, 12/15/26 | | | | | | | 218 | | | | 215,690 | |
4.00%, 08/01/28 | | | | | | | 3,809 | | | | 3,521,011 | |
3.50%, 09/01/28 | | | | | | | 280 | | | | 258,737 | |
4.75%, 06/15/29 | | | | | | | 2,070 | | | | 1,949,857 | |
4.38%, 08/15/29 | | | | | | | 3,161 | | | | 2,917,238 | |
6.75%, 01/15/31 | | | | | | | 3,487 | | | | 3,592,590 | |
Tervita Corp., 11.00%, 12/01/25(b) | | | | | | | 415 | | | | 435,750 | |
Waste Pro USA, Inc., 5.50%, 02/15/26(b) | | | | | | | 7,766 | | | | 7,474,775 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 25,293,640 | |
| |
| Financial Services — 2.1% | | | | |
Aircastle Ltd., 6.50%, 07/18/28(b) | | | | | | | 719 | | | | 733,176 | |
Castlelake Aviation Finance DAC, 5.00%, 04/15/27(b) | | | | | | | 178 | | | | 166,638 | |
Enact Holdings, Inc., 6.50%, 08/15/25(b) | | | | | | | 1,779 | | | | 1,773,486 | |
Garfunkelux Holdco 3 SA, 6.75%, 11/01/25(c) | | | EUR | | | | 100 | | | | 87,106 | |
GGAM Finance Ltd.(b) | | | | | | | | | | | | |
7.75%, 05/15/26 | | | USD | | | | 237 | | | | 240,555 | |
8.00%, 02/15/27 | | | | | | | 2,281 | | | | 2,338,116 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 57 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| |
| Financial Services (continued) | | | | |
GGAM Finance Ltd.(b) (continued) | | | | | | | | | | | | |
8.00%, 06/15/28 | | | USD | | | | 640 | | | $ | 662,143 | |
Global Aircraft Leasing Co. Ltd.(b)(i) | | | | | | | | | | | | |
(6.50% Cash or 7.25% PIK), 6.50%, 09/15/24 | | | . | | | | 708 | | | | 665,274 | |
Series 2021, (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24 | | | | | | | 1,562 | | | | 1,468,905 | |
Intrum AB(c) | | | | | | | | | | | | |
4.88%, 08/15/25 | | | EUR | | | | 100 | | | | 102,943 | |
3.50%, 07/15/26 | | | | | | | 117 | | | | 109,142 | |
Jefferies Finance LLC/JFIN Co.-Issuer Corp., 5.00%, 08/15/28(b) | | | USD | | | | 1,679 | | | | 1,502,838 | |
Macquarie Airfinance Holdings Ltd.(b) | | | | | | | | | | | | |
8.38%, 05/01/28 | | | | | | | 579 | | | | 606,416 | |
8.13%, 03/30/29 | | | | | | | 1,026 | | | | 1,072,398 | |
Nationstar Mortgage Holdings, Inc.(b) | | | | | | | | | | | | |
5.00%, 02/01/26 | | | | | | | 7,213 | | | | 7,054,012 | |
6.00%, 01/15/27 | | | | | | | 85 | | | | 84,362 | |
5.13%, 12/15/30 | | | | | | | 324 | | | | 292,939 | |
5.75%, 11/15/31 | | | | | | | 1,505 | | | | 1,403,274 | |
PennyMac Financial Services, Inc., 7.88%, 12/15/29(b) | | | | | | | 1,449 | | | | 1,491,553 | |
Rocket Mortgage LLC/Rocket Mortgage Co- Issuer, Inc.(b) | | | | | | | | | | | | |
2.88%, 10/15/26 | | | | | | | 6,392 | | | | 5,896,620 | |
3.88%, 03/01/31 | | | | | | | 784 | | | | 689,525 | |
4.00%, 10/15/33 | | | | | | | 431 | | | | 366,147 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 28,807,568 | |
| |
| Food Products — 1.5% | | | | |
Aramark International Finance SARL, 3.13%, 04/01/25(c) | | | EUR | | | | 582 | | | | 637,015 | |
Aramark Services, Inc., 5.00%, 02/01/28(b) | | | USD | | | | 5,688 | | | | 5,517,587 | |
B&G Foods, Inc., 8.00%, 09/15/28(b) | | | | | | | 593 | | | | 622,676 | |
Chobani LLC/Chobani Finance Corp., Inc.(b) | | | | | | | | | | | | |
7.50%, 04/15/25 | | | | | | | 7,215 | | | | 7,178,925 | |
4.63%, 11/15/28 | | | | | | | 3,990 | | | | 3,729,890 | |
Darling Global Finance BV, 3.63%, 05/15/26(c) | | | EUR | | | | 457 | | | | 497,754 | |
Darling Ingredients, Inc., 6.00%, 06/15/30(b) | | | USD | | | | 1,415 | | | | 1,416,047 | |
Elior Group SA, 3.75%, 07/15/26(c) | | | EUR | | | | 112 | | | | 113,909 | |
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29(b) | | | USD | | | | 512 | | | | 442,972 | |
Tereos Finance Groupe I SA, 7.25%, 04/15/28(c) | | | EUR | | | | 100 | | | | 116,842 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 20,273,617 | |
| |
| Gas Utilities — 0.2% | | | | |
AmeriGas Partners LP/AmeriGas Finance Corp., 9.38%, 06/01/28(b) | | | USD | | | | 1,593 | | | | 1,645,055 | |
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31(b) | | | | | | | 537 | | | | 486,837 | |
UGI International LLC, 2.50%, 12/01/29(c) | | | EUR | | | | 100 | | | | 93,572 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,225,464 | |
| |
| Ground Transportation — 1.2% | | | | |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 8.00%, 02/15/31(b) | | | USD | | | | 1,215 | | | | 1,213,329 | |
GN Bondco LLC, 9.50%, 10/15/31(b) | | | | | | | 1,907 | | | | 1,861,785 | |
Mobico Group PLC, (5-year UK Government Bond + 4.14%), 4.25%(a)(c)(k) | | | GBP | | | | 154 | | | | 172,379 | |
RXO, Inc., 7.50%, 11/15/27(b) | | | USD | | | | 412 | | | | 425,126 | |
Uber Technologies, Inc. | | | | | | | | | | | | |
0.00%, 12/15/25(l)(m) | | | | | | | 1,757 | | | | 1,786,621 | |
8.00%, 11/01/26(b) | | | | | | | 1,954 | | | | 1,990,249 | |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| |
| Ground Transportation (continued) | | | | |
Uber Technologies, Inc. (continued) | | | | | | | | | | | | |
7.50%, 09/15/27(b) | | | USD | | | | 1,983 | | | $ | 2,053,654 | |
6.25%, 01/15/28(b) | | | | | | | 1,274 | | | | 1,277,195 | |
4.50%, 08/15/29(b) | | | | | | | 6,474 | | | | 6,175,979 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,956,317 | |
| |
| Health Care Equipment & Supplies — 1.8% | | | | |
Avantor Funding, Inc. | | | | | | | | | | | | |
2.63%, 11/01/25(c) | | | EUR | | | | 527 | | | | 568,261 | |
3.88%, 07/15/28(c) | | | | | | | 100 | | | | 107,911 | |
4.63%, 07/15/28(b) | | | USD | | | | 2,380 | | | | 2,300,225 | |
3.88%, 11/01/29(b) | | | | | | | 6,485 | | | | 5,889,142 | |
Bausch & Lomb Escrow Corp., 8.38%, | | | | | | | | | | | | |
10/01/28(b) | | | | | | | 7,294 | | | | 7,694,733 | |
Garden Spinco Corp., 8.63%, 07/20/30(b) | | | | | | | 963 | | | | 1,028,615 | |
Medline Borrower LP(b) | | | | | | | | | | | | |
3.88%, 04/01/29 | | | | | | | 1,692 | | | | 1,529,812 | |
5.25%, 10/01/29 | | | | | | | 6,128 | | | | 5,776,108 | |
Teleflex, Inc., 4.63%, 11/15/27 | | | | | | | 80 | | | | 77,765 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 24,972,572 | |
| |
| Health Care Providers & Services — 4.6% | | | | |
Acadia Healthcare Co., Inc.(b) | | | | | | | | | | | | |
5.50%, 07/01/28 | | | | | | | 286 | | | | 281,667 | |
5.00%, 04/15/29 | | | | | | | 146 | | | | 140,160 | |
AHP Health Partners, Inc., 5.75%, 07/15/29(b) | | | | | | | 2,061 | | | | 1,793,496 | |
Catalent Pharma Solutions, Inc. | | | | | | | | | | | | |
5.00%, 07/15/27(b) | | | | | | | 1,857 | | | | 1,794,182 | |
2.38%, 03/01/28(c) | | | EUR | | | | 100 | | | | 95,906 | |
3.13%, 02/15/29(b) | | | USD | | | | 3,032 | | | | 2,653,364 | |
3.50%, 04/01/30(b) | | | | | | | 303 | | | | 263,591 | |
Charles River Laboratories International, Inc., 4.25%, 05/01/28(b) | | | | | | | 618 | | | | 588,254 | |
CHS/Community Health Systems, Inc.(b) | | | | | | | | | | | | |
6.00%, 01/15/29 | | | | | | | 3,050 | | | | 2,745,397 | |
5.25%, 05/15/30 | | | | | | | 5,001 | | | | 4,182,569 | |
4.75%, 02/15/31 | | | | | | | 3,779 | | | | 2,970,804 | |
Encompass Health Corp. | | | | | | | | | | | | |
4.50%, 02/01/28 | | | | | | | 2,107 | | | | 2,015,891 | |
4.75%, 02/01/30 | | | | | | | 35 | | | | 32,961 | |
4.63%, 04/01/31 | | | | | | | 193 | | | | 177,595 | |
Ephios Subco 3 SARL, 7.88%, 01/31/31(c) | | | EUR | | | | 118 | | | | 134,640 | |
Fortrea Holdings, Inc., 7.50%, 07/01/30(b) | | | USD | | | | 1,036 | | | | 1,063,943 | |
HealthEquity, Inc., 4.50%, 10/01/29(b) | | | | | | | 3,663 | | | | 3,401,129 | |
IQVIA, Inc. | | | | | | | | | | | | |
1.75%, 03/15/26(c) | | | EUR | | | | 330 | | | | 349,232 | |
5.00%, 10/15/26(b) | | | USD | | | | 1,054 | | | | 1,043,930 | |
5.00%, 05/15/27(b) | | | | | | | 200 | | | | 196,289 | |
6.25%, 02/01/29(b) | | | | | | | 2,197 | | | | 2,293,552 | |
2.25%, 03/15/29(c) | | | EUR | | | | 100 | | | | 101,011 | |
6.50%, 05/15/30(b) | | | USD | | | | 812 | | | | 832,388 | |
Legacy LifePoint Health LLC, 4.38%, 02/15/27(b) | | | | | | | 1,193 | | | | 1,101,424 | |
LifePoint Health, Inc.(b) | | | | | | | | | | | | |
9.88%, 08/15/30 | | | | | | | 1,870 | | | | 1,889,805 | |
11.00%, 10/15/30 | | | | | | | 2,060 | | | | 2,169,493 | |
ModivCare, Inc., 5.88%, 11/15/25(b) | | | | | | | 2,327 | | | | 2,297,913 | |
Molina Healthcare, Inc.(b) | | | | | | | | | | | | |
4.38%, 06/15/28 | | | | | | | 294 | | | | 278,059 | |
3.88%, 05/15/32 | | | | | | | 149 | | | | 130,191 | |
Prime Healthcare Services, Inc., 7.25%, 11/01/25(b) | | | | | | | 259 | | | | 252,525 | |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/01/26(b) | | | | | | | 499 | | | | 495,048 | |
| | |
| 58 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| |
| Health Care Providers & Services (continued) | | | | |
Star Parent, Inc., 9.00%, 10/01/30(b) | | | USD | | | | 5,512 | | | $ | 5,808,838 | |
Surgery Center Holdings, Inc.(b) | | | | | | | | | | | | |
6.75%, 07/01/25 | | | | | | | 997 | | | | 993,261 | |
10.00%, 04/15/27 | | | | | | | 1,948 | | | | 1,967,480 | |
Tenet Healthcare Corp. | | | | | | | | | | | | |
4.88%, 01/01/26 | | | | | | | 3,460 | | | | 3,421,013 | |
6.25%, 02/01/27 | | | | | | | 1,504 | | | | 1,511,371 | |
5.13%, 11/01/27 | | | | | | | 140 | | | | 136,857 | |
6.13%, 10/01/28 | | | | | | | 1,491 | | | | 1,486,780 | |
6.13%, 06/15/30 | | | | | | | 3,898 | | | | 3,941,217 | |
6.75%, 05/15/31(b) | | | | | | | 6,830 | | | | 6,980,601 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 64,013,827 | |
| |
| Health Care REITs — 0.3% | | | | |
MPT Operating Partnership LP/MPT Finance Corp. | | | | | | | | | | | | |
2.50%, 03/24/26 | | | GBP | | | | 793 | | | | 819,838 | |
4.63%, 08/01/29 | | | USD | | | | 4,092 | | | | 2,942,397 | |
3.50%, 03/15/31 | | | | | | | 27 | | | | 16,881 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,779,116 | |
| |
| Health Care Technology — 0.8% | | | | |
AthenaHealth Group, Inc., 6.50%, 02/15/30(b) | | | | | | | 11,907 | | | | 10,801,763 | |
| | | | | | | | | | | | |
| |
| Hotel & Resort REITs — 1.1% | | | | |
RHP Hotel Properties LP/RHP Finance Corp. | | | | | | | | | | | | |
4.75%, 10/15/27 | | | | | | | 1,776 | | | | 1,715,413 | |
7.25%, 07/15/28(b) | | | | | | | 1,748 | | | | 1,817,372 | |
4.50%, 02/15/29(b) | | | | | | | 4,594 | | | | 4,272,607 | |
RLJ Lodging Trust LP, 4.00%, 09/15/29(b) | | | | | | | 749 | | | | 673,076 | |
Service Properties Trust | | | | | | | | | | | | |
7.50%, 09/15/25 | | | | | | | 894 | | | | 903,935 | |
8.63%, 11/15/31(b) | | | | | | | 5,563 | | | | 5,826,870 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 15,209,273 | |
| |
| Hotels, Restaurants & Leisure — 10.4% | | | | |
Boyd Gaming Corp., 4.75%, 06/15/31(b) | | | | | | | 131 | | | | 120,235 | |
Boyne USA, Inc., 4.75%, 05/15/29(b) | | | | | | | 1,869 | | | | 1,757,598 | |
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc.(b) | | | | | | | | | | | | |
3.88%, 01/15/28 | | | | | | | 495 | | | | 467,638 | |
4.38%, 01/15/28 | | | | | | | 1,545 | | | | 1,475,599 | |
4.00%, 10/15/30 | | | | | | | 1,055 | | | | 946,228 | |
Caesars Entertainment, Inc.(b) | | | | | | | | | | | | |
6.25%, 07/01/25 | | | | | | | 7,535 | | | | 7,555,488 | |
8.13%, 07/01/27 | | | | | | | 9,599 | | | | 9,839,925 | |
4.63%, 10/15/29 | | | | | | | 3,459 | | | | 3,120,041 | |
7.00%, 02/15/30 | | | | | | | 6,747 | | | | 6,918,623 | |
Carnival Corp. | | | | | | | | | | | | |
7.63%, 03/01/26(b) | | | | | | | 842 | | | | 857,224 | |
7.63%, 03/01/26(c) | | | EUR | | | | 206 | | | | 230,598 | |
5.75%, 03/01/27(b) | | | USD | | | | 4,944 | | | | 4,822,543 | |
6.00%, 05/01/29(b) | | | | | | | 3,383 | | | | 3,255,141 | |
7.00%, 08/15/29(b) | | | | | | | 878 | | | | 916,737 | |
Carnival Holdings Bermuda Ltd., 10.38%, 05/01/28(b) | | | | | | | 12,966 | | | | 14,112,441 | |
Carnival PLC, 1.00%, 10/28/29 | | | EUR | | | | 100 | | | | 79,098 | |
CCM Merger, Inc., Series 2020, 6.38%, 05/01/26(b) | | | USD | | | | 485 | | | | 472,875 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium
Op
Series 2020, 5.38%, 04/15/27 | | | | | | | 406 | | | | 397,230 | |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| |
| Hotels, Restaurants & Leisure (continued) | | | | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op (continued) | | | | | | | | | | | | |
Series 2020, 6.50%, 10/01/28 | | | USD | | | | 293 | | | $ | 290,778 | |
Churchill Downs, Inc.(b) | | | | | | | | | | | | |
5.50%, 04/01/27 | | | | | | | 850 | | | | 841,083 | |
4.75%, 01/15/28 | | | | | | | 4,469 | | | | 4,283,071 | |
5.75%, 04/01/30 | | | | | | | 1,065 | | | | 1,038,366 | |
6.75%, 05/01/31 | | | | | | | 10,229 | | | | 10,381,774 | |
Cirsa Finance International SARL(c) | | | | | | | | | | | | |
4.75%, 05/22/25 | | | EUR | | | | 147 | | | | 161,956 | |
(3-mo. EURIBOR + 4.50%), 8.45%, 07/31/28(a) | | | | | | | 100 | | | | 111,629 | |
Codere Finance 2 Luxembourg SA, (8.00% Cash and 3.00% PIK), 11.00%, 09/30/26(c)(i) | | | | | | | 132 | | | | 84,801 | |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.(b) | | | | | | | | | | | | |
4.63%, 01/15/29 | | | USD | | | | 4,313 | | | | 3,913,487 | |
6.75%, 01/15/30 | | | | | | | 318 | | | | 279,205 | |
Hilton Domestic Operating Co., Inc. | | | | | | | | | | | | |
5.75%, 05/01/28(b) | | | | | | | 1,133 | | | | 1,133,429 | |
3.75%, 05/01/29(b) | | | | | | | 544 | | | | 504,358 | |
4.88%, 01/15/30 | | | | | | | 1,220 | | | | 1,182,371 | |
4.00%, 05/01/31(b) | | | | | | | 1,094 | | | | 1,002,022 | |
3.63%, 02/15/32(b) | | | | | | | 240 | | | | 209,450 | |
IRB Holding Corp., 7.00%, 06/15/25(b) | | | | | | | 794 | | | | 794,000 | |
LHMC Finco 2 SARL, 7.25% Cash or 8.00% PIK, 7.25%, 10/02/25(c)(i) | | | EUR | | | | 100 | | | | 109,567 | |
Life Time, Inc.(b) | | | | | | | | | | | | |
5.75%, 01/15/26 | | | USD | | | | 1,652 | | | | 1,640,122 | |
8.00%, 04/15/26 | | | | | | | 1,262 | | | | 1,273,475 | |
Light & Wonder International, Inc.(b) | | | | | | | | | | | | |
7.00%, 05/15/28 | | | | | | | 706 | | | | 713,184 | |
7.25%, 11/15/29 | | | | | | | 241 | | | | 246,762 | |
7.50%, 09/01/31 | | | | | | | 1,096 | | | | 1,143,189 | |
Lindblad Expeditions Holdings, Inc., 9.00%, 05/15/28(b) | | | | | | | 1,313 | | | | 1,357,596 | |
Lindblad Expeditions LLC, 6.75%, 02/15/27(b) | | | | | | | 1,551 | | | | 1,543,245 | |
Lottomatica SpA, (3-mo. EURIBOR + 4.00%), 7.93%, 12/15/30(a)(c) | | | EUR | | | | 100 | | | | 111,497 | |
Melco Resorts Finance Ltd.(b) | | | | | | | | | | | | |
4.88%, 06/06/25 | | | USD | | | | 1,071 | | | | 1,039,874 | |
5.63%, 07/17/27 | | | | | | | 200 | | | | 187,563 | |
5.75%, 07/21/28 | | | | | | | 600 | | | | 552,375 | |
5.38%, 12/04/29 | | | | | | | 3,980 | | | | 3,502,400 | |
Merlin Entertainments Ltd., 5.75%, 06/15/26(b) | | | | | | | 902 | | | | 892,768 | |
MGM China Holdings Ltd.(b) | | | | | | | | | | | | |
5.38%, 05/15/24 | | | | | | | 200 | | | | 199,020 | |
5.25%, 06/18/25 | | | | | | | 600 | | | | 587,250 | |
5.88%, 05/15/26 | | | | | | | 200 | | | | 195,000 | |
4.75%, 02/01/27 | | | | | | | 440 | | | | 417,450 | |
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29(b) | | | | | | | 578 | | | | 537,540 | |
Motion Bondco DAC, 6.63%, 11/15/27(b) | | | | | | | 861 | | | | 796,256 | |
NCL Corp. Ltd.(b) | | | | | | | | | | | | |
5.88%, 03/15/26 | | | | | | | 2,002 | | | | 1,956,270 | |
8.38%, 02/01/28 | | | | | | | 719 | | | | 761,346 | |
8.13%, 01/15/29 | | | | | | | 631 | | | | 659,131 | |
7.75%, 02/15/29 | | | | | | | 1,782 | | | | 1,792,788 | |
NCL Finance Ltd., 6.13%, 03/15/28(b) | | | | | | | 849 | | | | 812,690 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 59 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| |
| Hotels, Restaurants & Leisure (continued) | | | | |
Ontario Gaming GTA LP, 8.00%, 08/01/30(b) | | | USD | | | | 1,481 | | | $ | 1,527,281 | |
Pinnacle Bidco PLC(c) | | | | | | | | | | | | |
8.25%, 10/11/28 | | | EUR | | | | 100 | | | | 114,665 | |
10.00%, 10/11/28 | | | GBP | | | | 100 | | | | 132,227 | |
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp., 5.63%, 09/01/29(b) | | | USD | | | | 1,188 | | | | 950,400 | |
Raising Cane’s Restaurants LLC, 9.38%, 05/01/29(b) | | | | | | | 721 | | | | 769,440 | |
Raptor Acquisition Corp./Raptor Co.-Issuer LLC, 4.88%, 11/01/26(b) | | | | | | | 973 | | | | 927,424 | |
Royal Caribbean Cruises Ltd.(b) | | | | | | | | | | | | |
4.25%, 07/01/26 | | | | | | | 462 | | | | 446,234 | |
5.50%, 08/31/26 | | | | | | | 258 | | | | 255,458 | |
5.38%, 07/15/27 | | | | | | | 461 | | | | 456,354 | |
11.63%, 08/15/27 | | | | | | | 204 | | | | 221,987 | |
5.50%, 04/01/28 | | | | | | | 2,640 | | | | 2,606,363 | |
8.25%, 01/15/29 | | | | | | | 923 | | | | 977,872 | |
9.25%, 01/15/29 | | | | | | | 894 | | | | 961,607 | |
7.25%, 01/15/30 | | | | | | | 1,599 | | | | 1,669,964 | |
Scientific Games Holdings LP/Scientific Games U.S. FinCo, Inc., 6.63%, 03/01/30(b) | | | | | | | 1,028 | | | | 971,902 | |
Six Flags Entertainment Corp., 7.25%, 05/15/31(b) | | | | | | | 4,662 | | | | 4,676,359 | |
Six Flags Theme Parks, Inc., 7.00%, 07/01/25(b) | | | | | | | 936 | | | | 940,053 | |
Station Casinos LLC, 4.63%, 12/01/31(b) | | | | | | | 2,431 | | | | 2,191,971 | |
Stonegate Pub Co. Financing PLC, 8.00%, 07/13/25(c) | | | GBP | | | | 159 | | | | 196,589 | |
TUI Cruises GmbH, 6.50%, 05/15/26(c) | | | EUR | | | | 100 | | | | 108,739 | |
Vail Resorts, Inc., 6.25%, 05/15/25(b) | | | USD | | | | 721 | | | | 717,395 | |
Viking Cruises Ltd.(b) | | | | | | | | | | | | |
5.88%, 09/15/27 | | | | | | | 1,436 | | | | 1,385,740 | |
7.00%, 02/15/29 | | | | | | | 269 | | | | 266,688 | |
9.13%, 07/15/31 | | | | | | | 3,780 | | | | 4,027,956 | |
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29(b) | | | | | | | 886 | | | | 863,850 | |
Wynn Macau Ltd.(b) | | | | | | | | | | | | |
5.50%, 01/15/26 | | | | | | | 400 | | | | 389,000 | |
5.50%, 10/01/27 | | | | | | | 200 | | | | 187,563 | |
5.63%, 08/26/28 | | | | | | | 4,507 | | | | 4,164,750 | |
5.13%, 12/15/29 | | | | | | | 661 | | | | 585,398 | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(b) | | | | | | | | | | | | |
5.13%, 10/01/29 | | | | | | | 1,884 | | | | 1,778,094 | |
7.13%, 02/15/31 | | | | | | | 1,662 | | | | 1,730,843 | |
Yum! Brands, Inc., 4.75%, 01/15/30(b) | | | | | | | 637 | | | | 617,457 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 144,403,023 | |
| |
| Household Durables — 0.7% | | | | |
Ashton Woods USA LLC/Ashton Woods Finance Co.(b) | | | | | | | | | | | | |
4.63%, 04/01/30 | | | | | | | 636 | | | | 569,723 | |
Series B, 6.63%, 01/15/28 | | | | | | | 406 | | | | 393,997 | |
Brookfield Residential Properties, Inc./Brookfield | | | | | | | | | | | | |
Residential U.S. LLC, 5.00%, 06/15/29(b) | | | | | | | 1,154 | | | | 1,024,345 | |
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25(b) | | | | | | | 1,328 | | | | 1,313,843 | |
Dream Finders Homes, Inc., 8.25%, 08/15/28(b) | | | | | | | 607 | | | | 641,484 | |
Installed Building Products, Inc., 5.75%, 02/01/28(b) | | | | | | | 723 | | | | 701,310 | |
KB Home, 7.25%, 07/15/30 | | | | | | | 328 | | | | 339,517 | |
LGI Homes, Inc., 8.75%, 12/15/28(b) | | | | | | | 453 | | | | 481,879 | |
Mattamy Group Corp., 4.63%, 03/01/30(b) | | | | | | | 903 | | | | 836,860 | |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| |
| Household Durables (continued) | | | | |
SWF Escrow Issuer Corp., 6.50%, 10/01/29(b) | | | USD | | | | 808 | | | $ | 580,750 | |
Taylor Morrison Communities, Inc., 5.88%, 06/15/27(b) | | | | | | | 1,431 | | | | 1,438,155 | |
Tempur Sealy International, Inc.(b) | | | | | | | | | | | | |
4.00%, 04/15/29 | | | | | | | 19 | | | | 17,161 | |
3.88%, 10/15/31 | | | | | | | 1,434 | | | | 1,212,350 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,551,374 | |
| |
| Household Products — 0.1% | | | | |
Central Garden & Pet Co. | | | | | | | | | | | | |
5.13%, 02/01/28 | | | | | | | 280 | | | | 272,048 | |
4.13%, 10/15/30 | | | | | | | 349 | | | | 317,428 | |
Spectrum Brands, Inc., 5.50%, 07/15/30(b) | | | | | | | 996 | | | | 966,489 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,555,965 | |
|
| Independent Power and Renewable Electricity Producers — 0.5% | |
Alexander Funding Trust II, 7.47%, 07/31/28(b) | | | | | | | 910 | | | | 955,534 | |
Calpine Corp.(b) | | | | | | | | | | | | |
5.25%, 06/01/26 | | | | | | | 136 | | | | 134,193 | |
5.13%, 03/15/28 | | | | | | | 300 | | | | 287,634 | |
4.63%, 02/01/29 | | | | | | | 2,297 | | | | 2,133,514 | |
5.00%, 02/01/31 | | | | | | | 187 | | | | 171,426 | |
Clearway Energy Operating LLC(b) | | | | | | | | | | | | |
4.75%, 03/15/28 | | | | | | | 133 | | | | 128,134 | |
3.75%, 01/15/32 | | | | | | | 104 | | | | 90,347 | |
Cullinan Holdco Scsp, 4.63%, 10/15/26(c) | | | EUR | | | | 100 | | | | 85,832 | |
NextEra Energy Partners LP(b)(l) | | | | | | | | | | | | |
0.00%, 11/15/25(m) | | | USD | | | | 1,063 | | | | 928,531 | |
2.50%, 06/15/26 | | | | | | | 1,063 | | | | 952,448 | |
NRG Energy, Inc., 7.00%, 03/15/33(b) | | | | | | | 980 | | | | 1,035,816 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,903,409 | |
| |
| Insurance — 5.1% | | | | |
Acrisure LLC/Acrisure Finance, Inc., 6.00%, 08/01/29(b) | | | | | | | 706 | | | | 641,504 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer(b) | | | | | | | | | | | | |
4.25%, 10/15/27 | | | | | | | 5,021 | | | | 4,825,432 | |
6.75%, 10/15/27 | | | | | | | 12,795 | | | | 12,749,770 | |
6.75%, 04/15/28 | | | | | | | 3,695 | | | | 3,780,096 | |
5.88%, 11/01/29 | | | | | | | 6,012 | | | | 5,696,324 | |
7.00%, 01/15/31 | | | | | | | 2,610 | | | | 2,753,198 | |
AmWINS Group, Inc., 4.88%, 06/30/29(b) | | | | | | | 1,586 | | | | 1,448,389 | |
Ardonagh Midco 2 PLC, (11.50% Cash or 12.75% PIK), 11.50%, 01/15/27(b)(i) | | | | | | | 284 | | | | 279,782 | |
Galaxy Bidco Ltd., 6.50%, 07/31/26(c) | | | GBP | | | | 100 | | | | 123,004 | |
GTCR AP Finance, Inc., 8.00%, 05/15/27(b) | | | USD | | | | 1,586 | | | | 1,601,944 | |
HUB International Ltd.(b) | | | | | | | | | | | | |
7.00%, 05/01/26 | | | | | | | 6,223 | | | | 6,247,052 | |
7.25%, 06/15/30 | | | | | | | 9,431 | | | | 9,961,305 | |
Jones Deslauriers Insurance Management, Inc.(b) | | | | | | | | | | | | |
8.50%, 03/15/30 | | | | | | | 2,894 | | | | 3,039,076 | |
10.50%, 12/15/30 | | | | | | | 1,397 | | | | 1,472,301 | |
NFP Corp.(b) | | | | | | | | | | | | |
6.88%, 08/15/28 | | | | | | | 7,366 | | | | 7,488,281 | |
7.50%, 10/01/30 | | | | | | | 4,085 | | | | 4,347,652 | |
8.50%, 10/01/31 | | | | | | | 995 | | | | 1,078,480 | |
Ryan Specialty LLC, 4.38%, 02/01/30(b) | | | | | | | 168 | | | | 155,820 | |
USI, Inc., 7.50%, 01/15/32(b) | | | | | | | 2,420 | | | | 2,477,596 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 70,167,006 | |
| | |
| 60 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| | | |
| Interactive Media & Services — 0.2% | | | | | | | | | |
Acuris Finance U.S., Inc./Acuris Finance SARL, 5.00%, 05/01/28(b) | | | USD | | | | 2,432 | | | $ | 1,982,080 | |
iliad SA(c)
5.38%, 06/14/27 | | | EUR | | | | 100 | | | | 113,155 | |
5.38%, 02/15/29 | | | | | | | 300 | | | | 339,465 | |
5.63%, 02/15/30 | | | | | | | 100 | | | | 114,082 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,548,782 | |
| |
| Internet Software & Services(b) — 0.5% | | | | |
ANGI Group LLC, 3.88%, 08/15/28 | | | USD | | | | 869 | | | | 733,895 | |
Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.50%, 03/01/29 | | | | | | | 298 | | | | 269,898 | |
ION Trading Technologies SARL, 5.75%, 05/15/28 | | | | | | | 1,268 | | | | 1,118,541 | |
Match Group Holdings II LLC
4.63%, 06/01/28 | | | | | | | 2,149 | | | | 2,057,668 | |
5.63%, 02/15/29 | | | | | | | 2,261 | | | | 2,195,996 | |
4.13%, 08/01/30 | | | | | | | 872 | | | | 791,258 | |
3.63%, 10/01/31 | | | | | | | 464 | | | | 400,905 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,568,161 | |
| | | |
| IT Services — 2.5% | | | | | | | | | |
Ahead DB Holdings LLC, 6.63%, 05/01/28(b) | | | | | | | 886 | | | | 771,928 | |
Atos SE(c)
0.00%, 11/06/24(l)(m) | | | EUR | | | | 200 | | | | 176,683 | |
2.50%, 11/07/28 | | | | | | | 100 | | | | 66,016 | |
Banff Merger Sub, Inc., 8.38%, 09/01/26(c) | | | | | | | 100 | | | | 108,015 | |
Booz Allen Hamilton, Inc., 4.00%, 07/01/29(b) | | | USD | | | | 1,750 | | | | 1,640,008 | |
CA Magnum Holdings, 5.38%, 10/31/26(b) | | | | | | | 2,652 | | | | 2,466,360 | |
Camelot Finance SA, 4.50%, 11/01/26(b) | | | | | | | 334 | | | | 326,124 | |
Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc., 8.00%, 06/15/29(b) | | | | | | | 2,401 | | | | 2,506,068 | |
Central Parent, Inc./CDK Global, Inc., 7.25%, 06/15/29(b) | | | | | | | 6,114 | | | | 6,235,415 | |
Dun & Bradstreet Corp., 5.00%, 12/15/29(b) | | | | | | | 4,746 | | | | 4,427,164 | |
Engineering - Ingegneria Informatica - SpA, 11.13%, 05/15/28(c) | | | EUR | | | | 222 | | | | 261,613 | |
Fair Isaac Corp., 4.00%, 06/15/28(b) | | | USD | | | | 502 | | | | 475,073 | |
Gartner, Inc.(b)
4.50%, 07/01/28 | | | | | | | 50 | | | | 47,416 | |
3.75%, 10/01/30 | | | | | | | 553 | | | | 488,836 | |
KBR, Inc., 4.75%, 09/30/28(b) | | | | | | | 1,213 | | | | 1,124,150 | |
La Financiere Atalian SASU, 5.13%, 05/15/25(c) | | | EUR | | | | 200 | | | | 161,618 | |
Newfold Digital Holdings Group, Inc., 11.75%, 10/15/28(b) | | | USD | | | | 568 | | | | 611,026 | |
Presidio Holdings, Inc., 4.88%, 02/01/27(b) | | | | | | | 265 | | | | 259,779 | |
Science Applications International Corp., 4.88%, 04/01/28(b) | | | | | | | 564 | | | | 537,210 | |
Twilio, Inc.
3.63%, 03/15/29 | | | | | | | 4,541 | | | | 4,142,693 | |
3.88%, 03/15/31 | | | | | | | 2,101 | | | | 1,870,951 | |
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29(b) | | | | | | | 6,304 | | | | 5,717,696 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 34,421,842 | |
| | | |
| Leisure Products — 0.1% | | | | | | | | | |
Acushnet Co., 7.38%, 10/15/28(b) | | | | | | | 449 | | | | 468,437 | |
MajorDrive Holdings IV LLC, 6.38%, 06/01/29(b) | | | | | | | 975 | | | | 839,594 | |
Mattel, Inc.
6.20%, 10/01/40 | | | | | | | 169 | | | | 163,469 | |
5.45%, 11/01/41 | | | | | | | 484 | | | | 435,889 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,907,389 | |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| | | |
| Machinery — 2.6% | | | | | | | | | |
BWX Technologies, Inc., 4.13%, 06/30/28(b) | | | USD | | | | 1,495 | | | $ | 1,386,298 | |
Chart Industries, Inc.(b)
7.50%, 01/01/30 | | | | | | | 3,648 | | | | 3,813,061 | |
9.50%, 01/01/31 | | | | | | | 502 | | | | 545,258 | |
Gates Global LLC/Gates Corp., 6.25%, 01/15/26(b) | | | | | | | 1,877 | | | | 1,867,615 | |
GrafTech Global Enterprises, Inc., 9.88%, 12/15/28(b) | | | | | | | 646 | | | | 498,227 | |
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(b)(i) | | | | | | | 1,662 | | | | 1,654,717 | |
IMA Industria Macchine Automatiche SpA, 3.75%, 01/15/28(c) | | | EUR | | | | 100 | | | | 102,755 | |
Loxam SAS(c)
6.38%, 05/15/28 | | | | | | | 115 | | | | 132,020 | |
6.38%, 05/31/29 | | | | | | | 101 | | | | 115,401 | |
Madison IAQ LLC(b)
4.13%, 06/30/28 | | | USD | | | | 1,351 | | | | 1,228,249 | |
5.88%, 06/30/29 | | | | | | | 2,396 | | | | 2,111,076 | |
OT Merger Corp., 7.88%, 10/15/29(b) | | | | | | | 621 | | | | 371,979 | |
Renk AG/Frankfurt am Main, 5.75%, 07/15/25(c) | | | EUR | | | | 129 | | | | 141,349 | |
Terex Corp., 5.00%, 05/15/29(b) | | | USD | | | | 1,433 | | | | 1,350,602 | |
Titan Acquisition Ltd./Titan Co.-Borrower LLC, 7.75%, 04/15/26(b) | | | | | | | 4,950 | | | | 4,981,185 | |
TK Elevator Holdco GmbH
6.63%, 07/15/28(c) | | | EUR | | | | 900 | | | | 914,138 | |
7.63%, 07/15/28(b) | | | USD | | | | 3,045 | | | | 2,991,076 | |
TK Elevator Midco GmbH, 4.38%, 07/15/27(c) | | | EUR | | | | 992 | | | | 1,058,761 | |
TK Elevator U.S. Newco, Inc., 5.25%, 07/15/27(b) | | | USD | | | | 7,935 | | | | 7,795,003 | |
Vertiv Group Corp., 4.13%, 11/15/28(b) | | | | | | | 2,587 | | | | 2,427,174 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 35,485,944 | |
| | | |
| Media — 8.9% | | | | | | | | | |
Altice Financing SA
5.00%, 01/15/28(b) | | | | | | | 3,071 | | | | 2,783,743 | |
4.25%, 08/15/29(c) | | | EUR | | | | 101 | | | | 98,732 | |
5.75%, 08/15/29(b) | | | USD | | | | 3,003 | | | | 2,664,887 | |
AMC Networks, Inc., 4.75%, 08/01/25 | | | | | | | 1,038 | | | | 1,010,815 | |
Banijay Entertainment SASU
7.00%, 05/01/29(c) | | | EUR | | | | 113 | | | | 131,296 | |
8.13%, 05/01/29(b) | | | USD | | | | 480 | | | | 494,177 | |
Cable One, Inc. 0.00%, 03/15/26(l)(m) | | | | | | | 475 | | | | 403,038 | |
1.13%, 03/15/28(l) | | | | | | | 1,164 | | | | 881,730 | |
4.00%, 11/15/30(b) | | | | | | | 2,833 | | | | 2,293,705 | |
CCO Holdings LLC/CCO Holdings Capital Corp.(b)
4.75%, 03/01/30 | | | | | | | 492 | | | | 449,572 | |
4.25%, 02/01/31 | | | | | | | 1,212 | | | | 1,059,203 | |
7.38%, 03/01/31 | | | | | | | 23,220 | | | | 23,832,172 | |
4.75%, 02/01/32 | | | | | | | 3,491 | | | | 3,078,922 | |
4.25%, 01/15/34 | | | | | | | 305 | | | | 247,851 | |
Clear Channel International BV, 6.63%, 08/01/25(b) | | | | | | | 2,360 | | | | 2,371,380 | |
Clear Channel Outdoor Holdings, Inc.(b)
5.13%, 08/15/27 | | | | | | | 440 | | | | 420,018 | |
9.00%, 09/15/28 | | | | | | | 5,250 | | | | 5,478,191 | |
7.50%, 06/01/29 | | | | | | | 8,995 | | | | 7,479,075 | |
CMG Media Corp., 8.88%, 12/15/27(b) | | | | | | | 1,482 | | | | 1,175,419 | |
CSC Holdings LLC(b)
5.50%, 04/15/27 | | | | | | | 2,570 | | | | 2,375,444 | |
11.25%, 05/15/28 | | | | | | | 9,321 | | | | 9,603,986 | |
6.50%, 02/01/29 | | | | | | | 205 | | | | 180,933 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 61 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| | | |
| Media (continued) | | | | | | | | | |
CSC Holdings LLC(b) (continued) | | | | | | | | | | | | |
4.13%, 12/01/30 | | | USD | | | | 5,359 | | | $ | 4,076,859 | |
Directv Financing LLC/Directv Financing Co- Obligor, Inc., 5.88%, 08/15/27(b) | | | | | | | 279 | | | | 262,142 | |
DISH DBS Corp.(b) | | | | | | | | | | | | |
5.25%, 12/01/26 | | | | | | | 3,102 | | | | 2,657,638 | |
5.75%, 12/01/28 | | | | | | | 2,128 | | | | 1,697,293 | |
DISH Network Corp., 11.75%, 11/15/27(b) | | | | | | | 5,446 | | | | 5,684,845 | |
GCI LLC, 4.75%, 10/15/28(b) | | | | | | | 426 | | | | 390,850 | |
Gray Television, Inc.(b) | | | | | | | | | | | | |
5.88%, 07/15/26 | | | | | | | 933 | | | | 907,539 | |
7.00%, 05/15/27 | | | | | | | 1,172 | | | | 1,113,986 | |
Lamar Media Corp., 4.00%, 02/15/30 | | | | | | | 236 | | | | 216,291 | |
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(b) | | | | | | | 4,783 | | | | 4,684,757 | |
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27(b) | | | | 972 | | | | 947,418 | |
Nexstar Media, Inc., 5.63%, 07/15/27(b) | | | | | | | 409 | | | | 395,483 | |
Outfront Media Capital LLC/Outfront Media Capital Corp.(b) | | | | | | | | | | | | |
5.00%, 08/15/27 | | | | | | | 1,625 | | | | 1,570,720 | |
4.25%, 01/15/29 | | | | | | | 1,316 | | | | 1,187,519 | |
4.63%, 03/15/30 | | | | | | | 1,550 | | | | 1,381,819 | |
7.38%, 02/15/31 | | | | | | | 1,528 | | | | 1,604,614 | |
Pinewood Finance Co. Ltd., 3.63%, 11/15/27(c) | | | GBP | | | | 100 | | | | 117,034 | |
Radiate Holdco LLC/Radiate Finance, Inc.(b) | | | | | | | | | | | | |
4.50%, 09/15/26 | | | USD | | | | 676 | | | | 515,587 | |
6.50%, 09/15/28 | | | | | | | 3,258 | | | | 1,596,369 | |
RCS & RDS SA, 2.50%, 02/05/25(c) | | | EUR | | | | 200 | | | | 215,213 | |
Sinclair Television Group, Inc., 4.13%, 12/01/30(b) | | | USD | | | | 96 | | | | 67,680 | |
Sirius XM Radio, Inc.(b) | | | | | | | | | | | | |
3.13%, 09/01/26 | | | | | | | 262 | | | | 246,194 | |
5.00%, 08/01/27 | | | | | | | 6,814 | | | | 6,582,280 | |
4.00%, 07/15/28 | | | | | | | 381 | | | | 352,365 | |
Stagwell Global LLC, 5.63%, 08/15/29(b) | | | | | | | 553 | | | | 508,631 | |
Summer BC Holdco B SARL, 5.75%, 10/31/26(c) | | | EUR | | | | 100 | | | | 105,663 | |
Summer BidCo BV, (9.00% Cash or 9.75% PIK), 9.00%, 11/15/25(c)(i) | | | | | | | 310 | | | | 338,485 | |
TEGNA, Inc., 4.75%, 03/15/26(b) | | | | | | | 240 | | | | 233,435 | |
Tele Columbus AG, 3.88%, 05/02/25(c) | | | EUR | | | | 285 | | | | 199,158 | |
Telenet Finance Luxembourg Notes SARL, 5.50%, 03/01/28(b) | | | USD | | | | 2,000 | | | | 1,870,000 | |
United Group BV, 4.00%, 11/15/27(c) | | | EUR | | | | 100 | | | | 104,090 | |
Univision Communications, Inc.(b) | | | | | | | | | | | | |
6.63%, 06/01/27 | | | USD | | | | 1,630 | | | | 1,625,555 | |
8.00%, 08/15/28 | | | | | | | 2,835 | | | | 2,924,643 | |
7.38%, 06/30/30 | | | | | | | 892 | | | | 889,442 | |
UPC Broadband Finco BV, 4.88%, 07/15/31(b) | | | | | | | 1,270 | | | | 1,117,740 | |
Videotron Ltd., 3.63%, 06/15/29(b) | | | | | | | 340 | | | | 308,563 | |
Virgin Media Secured Finance PLC, 4.50%, 08/15/30(b) | | | | | | | 200 | | | | 178,060 | |
Virgin Media Vendor Financing Notes III DAC, 4.88%, 07/15/28(c) | | | GBP | | | | 100 | | | | 117,123 | |
VZ Secured Financing BV, 3.50%, 01/15/32(c) | | | EUR | | | | 170 | | | | 165,267 | |
Warnermedia Holdings, Inc. | | | | | | | | | | | | |
5.14%, 03/15/52 | | | USD | | | | 2,611 | | | | 2,241,167 | |
5.39%, 03/15/62 | | | | | | | 1,336 | | | | 1,144,138 | |
Ziggo Bond Co. BV(b) | | | | | | | | | | | | |
6.00%, 01/15/27 | | | | | | | 291 | | | | 283,219 | |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| | | |
| Media (continued) | | | | | | | | | |
Ziggo Bond Co. BV(b) (continued) | | | | | | | | | | | | |
5.13%, 02/28/30 | | | USD | | | | 868 | | | $ | 725,965 | |
Ziggo BV, 4.88%, 01/15/30(b) | | | | | | | 1,165 | | | | 1,039,164 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 123,106,292 | |
| | | |
| Metals & Mining — 3.8% | | | | | | | | | |
Arsenal AIC Parent LLC, 8.00%, 10/01/30(b) | | | | | | | 1,197 | | | | 1,248,902 | |
ATI, Inc. | | | | | | | | | | | | |
5.88%, 12/01/27 | | | | | | | 1,060 | | | | 1,044,575 | |
4.88%, 10/01/29 | | | | | | | 550 | | | | 512,578 | |
7.25%, 08/15/30 | | | | | | | 2,764 | | | | 2,875,642 | |
5.13%, 10/01/31 | | | | | | | 1,063 | | | | 985,942 | |
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(b) | | | | | | | 6,045 | | | | 6,163,361 | |
Carpenter Technology Corp. | | | | | | | | | | | | |
6.38%, 07/15/28 | | | | | | | 379 | | | | 377,578 | |
7.63%, 03/15/30 | | | | | | | 1,314 | | | | 1,354,972 | |
Constellium SE | | | | | | | | | | | | |
4.25%, 02/15/26(c) | | | EUR | | | | 394 | | | | 432,243 | |
5.63%, 06/15/28(b) | | | USD | | | | 4,620 | | | | 4,508,764 | |
3.75%, 04/15/29(b) | | | | | | | 6,457 | | | | 5,858,827 | |
ERO Copper Corp., 6.50%, 02/15/30(b) | | | | | | | 1,179 | | | | 1,040,185 | |
First Quantum Minerals Ltd., 8.63%, 06/01/31(b) | | | | | | | 1,764 | | | | 1,484,970 | |
Kaiser Aluminum Corp.(b) | | | | | | | | | | | | |
4.63%, 03/01/28 | | | | | | | 5,292 | | | | 4,894,200 | |
4.50%, 06/01/31 | | | | | | | 3,623 | | | | 3,123,125 | |
Mineral Resources Ltd., 9.25%, 10/01/28(b) | | | | | | | 155 | | | | 164,884 | |
New Gold, Inc., 7.50%, 07/15/27(b) | | | | | | | 2,582 | | | | 2,604,908 | |
Novelis Corp.(b) | | | | | | | | | | | | |
3.25%, 11/15/26 | | | | | | | 1,863 | | | | 1,753,826 | |
4.75%, 01/30/30 | | | | | | | 7,685 | | | | 7,227,347 | |
3.88%, 08/15/31 | | | | | | | 5,237 | | | | 4,615,024 | |
Novelis Sheet Ingot GmbH, 3.38%, 04/15/29(c) | | | EUR | | | | 1,029 | | | | 1,071,224 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 53,343,077 | |
|
| Mortgage Real Estate Investment Trusts (REITs)(b) — 0.1% | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. | | | | | | | | | | | | |
5.25%, 10/01/25 | | | USD | | | | 241 | | | | 237,739 | |
4.75%, 06/15/29 | | | | | | | 826 | | | | 744,792 | |
Starwood Property Trust, Inc., 4.38%, 01/15/27 | | | | | | | 190 | | | | 179,062 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,161,593 | |
| | | |
| Office REITs — 0.0% | | | | | | | | | |
Highwoods Realty LP, 7.65%, 02/01/34 | | | | | | | 285 | | | | 307,459 | |
| | | | | | | | | | | | |
| | | |
| Oil, Gas & Consumable Fuels — 15.9% | | | | | | | | | |
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26(b) | | | | | | | 3,870 | | | | 3,889,350 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.75%, 03/01/27(b) | | | | | | | 2,034 | | | | 2,018,210 | |
Antero Resources Corp., 7.63%, 02/01/29(b) | | | | | | | 410 | | | | 420,712 | |
Apache Corp., 5.35%, 07/01/49 | | | | | | | 265 | | | | 220,335 | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp.(b) | | | | | | | | | | | | |
9.00%, 11/01/27 | | | | | | | 3,140 | | | | 3,956,400 | |
8.25%, 12/31/28 | | | | | | | 4,696 | | | | 4,723,288 | |
Series B, 5.88%, 06/30/29 | | | | | | | 1,814 | | | | 1,687,661 | |
Baytex Energy Corp., 8.50%, 04/30/30(b) | | | | | | | 920 | | | | 952,117 | |
Buckeye Partners LP | | | | | | | | | | | | |
5.85%, 11/15/43 | | | | | | | 816 | | | | 661,042 | |
5.60%, 10/15/44 | | | | | | | 553 | | | | 425,492 | |
| | |
| 62 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| | | |
| Oil, Gas & Consumable Fuels (continued) | | | | | | | | | |
Callon Petroleum Co.
6.38%, 07/01/26 | | | USD | | | | 929 | | | $ | 924,589 | |
8.00%, 08/01/28(b) | | | | | | | 4,224 | | | | 4,313,857 | |
7.50%, 06/15/30(b) | | | | | | | 4,346 | | | | 4,383,032 | |
Chesapeake Energy Corp., 6.75%, 04/15/29(b) | | | | | | | 2,403 | | | | 2,425,355 | |
CITGO Petroleum Corp.(b)
7.00%, 06/15/25 | | | | | | | 2,745 | | | | 2,740,532 | |
8.38%, 01/15/29 | | | | | | | 2,678 | | | | 2,753,868 | |
Civitas Resources, Inc.(b)
8.38%, 07/01/28 | | | | | | | 4,296 | | | | 4,484,788 | |
8.63%, 11/01/30 | | | | | | | 2,120 | | | | 2,248,731 | |
8.75%, 07/01/31 | | | | | | | 3,947 | | | | 4,201,767 | |
CNX Midstream Partners LP, 4.75%, 04/15/30(b) | | | | | | | 520 | | | | 466,951 | |
CNX Resources Corp., 7.38%, 01/15/31(b) | | | | | | | 473 | | | | 476,283 | |
Comstock Resources, Inc.(b)
6.75%, 03/01/29 | | | | | | | 4,211 | | | | 3,850,990 | |
5.88%, 01/15/30 | | | | | | | 2,474 | | | | 2,145,701 | |
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31(b) | | | | | | | 6,898 | | | | 6,536,575 | |
Crescent Energy Finance LLC(b)
7.25%, 05/01/26 | | | | | | | 5,449 | | | | 5,482,595 | |
9.25%, 02/15/28 | | | | | | | 3,152 | | | | 3,270,421 | |
CrownRock LP/CrownRock Finance, Inc., 5.00%, 05/01/29(b) | | | | | | | 240 | | | | 234,000 | |
Diamond Foreign Asset Co./Diamond Finance LLC, 8.50%, 10/01/30(b) | | | | | | | 1,138 | | | | 1,163,721 | |
DT Midstream, Inc., 4.13%, 06/15/29(b) | | | | | | | 2,236 | | | | 2,057,083 | |
Enbridge, Inc., (5-year CMT + 4.43%), 8.50%, 01/15/84(a) | | | | | | | 1,023 | | | | 1,088,110 | |
Energy Transfer LP
6.00%, 02/01/29(b) | | | | | | | 943 | | | | 951,472 | |
7.38%, 02/01/31(b) | | | | | | | 921 | | | | 967,912 | |
Series H, (5-year CMT + 5.69%),
6.50%(a)(k) | | | | | | | 2,326 | | | | 2,210,351 | |
EnLink Midstream LLC
5.63%, 01/15/28(b) | | | | | | | 1,303 | | | | 1,288,253 | |
5.38%, 06/01/29 | | | | | | | 706 | | | | 690,789 | |
6.50%, 09/01/30(b) | | | | | | | 3,194 | | | | 3,260,981 | |
EnLink Midstream Partners LP, 5.60%, 04/01/44 | | | | | | | 1,301 | | | | 1,132,290 | |
EnQuest PLC, 11.63%, 11/01/27(b) | | | | | | | 200 | | | | 190,580 | |
EQM Midstream Partners LP
4.13%, 12/01/26 | | | | | | | 361 | | | | 348,684 | |
6.50%, 07/01/27(b) | | | | | | | 947 | | | | 964,266 | |
7.50%, 06/01/30(b) | | | | | | | 1,558 | | | | 1,674,880 | |
FTAI Infra Escrow Holdings LLC, 10.50%, 06/01/27(b) | | | | | | | 626 | | | | 649,376 | |
Genesis Energy LP/Genesis Energy Finance Corp.
7.75%, 02/01/28 | | | | | | | 275 | | | | 275,959 | |
8.25%, 01/15/29 | | | | | | | 937 | | | | 964,215 | |
8.88%, 04/15/30 | | | | | | | 598 | | | | 618,331 | |
Gulfport Energy Corp., 8.00%, 05/17/26(b) | | | | | | | 152 | | | | 153,649 | |
Harbour Energy PLC, 5.50%, 10/15/26(b) | | | | | | | 420 | | | | 410,550 | |
Harvest Midstream I LP, 7.50%, 09/01/28(b) | | | | | | | 315 | | | | 313,135 | |
Hess Midstream Operations LP, 4.25%, 02/15/30(b) | | | | | | | 771 | | | | 709,320 | |
Hilcorp Energy I LP/Hilcorp Finance
Co.(b)
6.25%, 11/01/28 | | | | | | | 514 | | | | 512,020 | |
5.75%, 02/01/29 | | | | | | | 1,299 | | | | 1,254,438 | |
6.00%, 04/15/30 | | | | | | | 130 | | | | 126,076 | |
8.38%, 11/01/33 | | | | | | | 3,048 | | | | 3,229,173 | |
Howard Midstream Energy Partners LLC, 8.88%, 07/15/28(b) | | | | | | | 1,391 | | | | 1,459,943 | |
ITT Holdings LLC, 6.50%, 08/01/29(b) | | | | | | | 1,889 | | | | 1,671,085 | |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| | | |
| Oil, Gas & Consumable Fuels (continued) | | | | | | | | | |
Kinetik Holdings LP(b)
6.63%, 12/15/28 | | | USD | | | | 476 | | | $ | 484,954 | |
5.88%, 06/15/30 | | | | | | | 1,274 | | | | 1,249,860 | |
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26(b) | | | | | | | 135 | | | | 131,625 | |
Matador Resources Co.
5.88%, 09/15/26 | | | | | | | 2,078 | | | | 2,060,749 | |
6.88%, 04/15/28(b) | | | | | | | 3,215 | | | | 3,261,025 | |
Murphy Oil Corp., 5.88%, 12/01/42 | | | | | | | 141 | | | | 124,575 | |
Nabors Industries Ltd.(b)
7.25%, 01/15/26 | | | | | | | 596 | | | | 572,881 | |
7.50%, 01/15/28 | | | | | | | 1,164 | | | | 1,006,568 | |
Nabors Industries, Inc.
5.75%, 02/01/25 | | | | | | | 3,806 | | | | 3,804,732 | |
7.38%, 05/15/27(b) | | | | | | | 685 | | | | 671,083 | |
9.13%, 01/31/30(b) | | | | | | | 1,418 | | | | 1,423,757 | |
Neptune Energy Bondco PLC, 6.63%, 05/15/25(b) | | | | | | | 200 | | | | 198,197 | |
New Fortress Energy, Inc., 6.75%, 09/15/25(b) | | | | | | | 871 | | | | 864,051 | |
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26(b) | | | | | | | 1,826 | | | | 1,844,276 | |
Noble Finance II LLC, 8.00%, 04/15/30(b) | | | | | | | 1,620 | | | | 1,685,696 | |
Northern Oil and Gas, Inc.(b)
8.13%, 03/01/28 | | | | | | | 6,436 | | | | 6,516,450 | |
8.75%, 06/15/31 | | | | | | | 1,642 | | | | 1,710,303 | |
NuStar Logistics LP, 6.00%, 06/01/26 | | | | | | | 1,631 | | | | 1,628,129 | |
PBF Holding Co. LLC/PBF Finance Corp., 7.88%, 09/15/30(b) | | | | | | | 1,008 | | | | 1,026,547 | |
Permian Resources Operating LLC(b)
7.75%, 02/15/26 | | | | | | | 1,419 | | | | 1,443,591 | |
6.88%, 04/01/27 | | | | | | | 1,827 | | | | 1,825,748 | |
8.00%, 04/15/27 | | | | | | | 1,407 | | | | 1,458,462 | |
5.88%, 07/01/29 | | | | | | | 2,222 | | | | 2,166,361 | |
9.88%, 07/15/31 | | | | | | | 1,614 | | | | 1,793,557 | |
7.00%, 01/15/32 | | | | | | | 1,715 | | | | 1,769,319 | |
Precision Drilling Corp., 6.88%, 01/15/29(b) | | | | | | | 76 | | | | 73,289 | |
Rockcliff Energy II LLC, 5.50%, 10/15/29(b) | | | | | | | 1,011 | | | | 955,510 | |
Rockies Express Pipeline LLC, 4.95%, 07/15/29(b) | | | | | | | 452 | | | | 432,192 | |
Sitio Royalties Operating Partnership LP/Sitio Finance Corp., 7.88%, 11/01/28(b) | | | | | | | 1,774 | | | | 1,838,254 | |
SM Energy Co.
6.75%, 09/15/26 | | | | | | | 659 | | | | 657,284 | |
6.63%, 01/15/27 | | | | | | | 85 | | | | 84,519 | |
6.50%, 07/15/28 | | | | | | | 548 | | | | 548,252 | |
Southwestern Energy Co.
5.38%, 02/01/29 | | | | | | | 800 | | | | 780,715 | |
4.75%, 02/01/32 | | | | | | | 2,256 | | | | 2,087,278 | |
Sunoco LP/Sunoco Finance Corp.
6.00%, 04/15/27 | | | | | | | 238 | | | | 238,204 | |
5.88%, 03/15/28 | | | | | | | 352 | | | | 351,531 | |
7.00%, 09/15/28(b) | | | | | | | 1,009 | | | | 1,041,057 | |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(b)
7.50%, 10/01/25 | | | | | | | 74 | | | | 74,370 | |
5.50%, 01/15/28 | | | | | | | 1,616 | | | | 1,527,134 | |
6.00%, 12/31/30 | | | | | | | 66 | | | | 61,350 | |
6.00%, 09/01/31 | | | | | | | 686 | | | | 634,502 | |
Transocean Aquila Ltd., 8.00%, 09/30/28(b) | | | | | | | 670 | | | | 680,028 | |
Transocean Titan Financing Ltd., 8.38%, 02/01/28(b) | | | | | | | 518 | | | | 537,418 | |
Transocean, Inc.(b)
7.50%, 01/15/26 | | | | | | | 3,208 | | | | 3,151,735 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 63 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
|
| Oil, Gas & Consumable Fuels (continued) | |
Transocean, Inc.(b) (continued)
11.50%, 01/30/27 | | | USD | | | | 3,111 | | | $ | 3,250,995 | |
8.00%, 02/01/27 | | | | | | | 1,889 | | | | 1,841,775 | |
8.75%, 02/15/30 | | | | | | | 4,324 | | | | 4,517,962 | |
Valaris Ltd., 8.38%, 04/30/30(b) | | | | | | | 4,167 | | | | 4,269,258 | |
Vantage Drilling International, 9.50%, 02/15/28(b) | | | | | | | 2,353 | | | | 2,317,738 | |
Venture Global Calcasieu Pass LLC(b)
3.88%, 08/15/29 | | | | | | | 2,848 | | | | 2,583,990 | |
3.88%, 11/01/33 | | | | | | | 6,268 | | | | 5,311,805 | |
Venture Global LNG, Inc.(b)
8.13%, 06/01/28 | | | | | | | 4,211 | | | | 4,252,676 | |
9.50%, 02/01/29 | | | | | | | 11,795 | | | | 12,481,080 | |
8.38%, 06/01/31 | | | | | | | 7,340 | | | | 7,336,200 | |
9.88%, 02/01/32 | | | | | | | 5,677 | | | | 5,913,385 | |
Vermilion Energy, Inc., 6.88%, 05/01/30(b) | | | | | | | 807 | | | | 774,755 | |
Vital Energy, Inc.
10.13%, 01/15/28 | | | | | | | 1,424 | | | | 1,463,244 | |
9.75%, 10/15/30 | | | | | | | 1,574 | | | | 1,631,720 | |
Western Midstream Operating LP
5.45%, 04/01/44 | | | | | | | 1,001 | | | | 906,209 | |
5.30%, 03/01/48 | | | | | | | 1,851 | | | | 1,610,789 | |
5.50%, 08/15/48 | | | | | | | 703 | | | | 626,939 | |
5.25%, 02/01/50 | | | | | | | 2,857 | | | | 2,561,474 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 220,360,396 | |
| | | |
| Paper & Forest Products — 0.0% | | | | | | | | | |
Ahlstrom-Munksjo Holding 3 Oy, 3.63%, 02/04/28(c) | | | EUR | | | | 109 | | | | 108,598 | |
| | | | | | | | | | | | |
| | | |
| Passenger Airlines — 1.1% | | | | | | | | | |
Air Canada, 3.88%, 08/15/26(b) | | | USD | | | | 402 | | | | 384,067 | |
American Airlines, Inc., 8.50%, 05/15/29(b) | | | | | | | 2,320 | | | | 2,449,918 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(b)
5.50%, 04/20/26 | | | | | | | 257 | | | | 255,408 | |
5.75%, 04/20/29 | | | | | | | 3,433 | | | | 3,345,962 | |
Deutsche Lufthansa AG, 3.50%, 07/14/29(c) | | | EUR | | | | 100 | | | | 107,332 | |
International Consolidated Airlines Group SA, 3.75%, 03/25/29(c) | | | | | | | 100 | | | | 106,807 | |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(b) | | | USD | | | | 1,786 | | | | 1,790,466 | |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 09/20/25(b) | | | | | | | 685 | | | | 492,617 | |
United Airlines Pass-Through Trust, Series 2020-1, Class B, 4.88%, 07/15/27 | | | | | | | 170 | | | | 164,900 | |
United Airlines, Inc.(b)
4.38%, 04/15/26 | | | | | | | 215 | | | | 209,497 | |
4.63%, 04/15/29 | | | | | | | 5,099 | | | | 4,768,765 | |
VistaJet Malta Finance PLC/Vista Management Holding, Inc.(b)
7.88%, 05/01/27 | | | | | | | 700 | | | | 602,061 | |
6.38%, 02/01/30 | | | | | | | 862 | | | | 601,996 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 15,279,796 | |
| | | |
| Personal Care Products — 0.1% | | | | | | | | | |
Coty, Inc., 5.75%, 09/15/28(c) | | | EUR | | | | 100 | | | | 116,025 | |
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC(b)
4.75%, 01/15/29 | | | USD | | | | 83 | | | | 79,166 | |
6.63%, 07/15/30 | | | | | | | 1,364 | | | | 1,401,251 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,596,442 | |
| | | |
| Pharmaceuticals — 0.9% | | | | | | | | | |
1375209 BC Ltd., 9.00%, 01/30/28(b) | | | | | | | 1,132 | | | | 1,103,813 | |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| | | |
| Pharmaceuticals (continued) | | | | | | | | | |
Cheplapharm Arzneimittel GmbH | | | | | | | | | | | | |
5.50%, 01/15/28(b) | | | USD | | | | 743 | | | $ | 702,512 | |
7.50%, 05/15/30(c) | | | EUR | | | | 105 | | | | 123,283 | |
Grifols SA, 3.88%, 10/15/28(c) | | | | | | | 100 | | | | 100,727 | |
Gruenenthal GmbH, 4.13%, 05/15/28(c) | | | | | | | 117 | | | | 127,520 | |
Jazz Securities DAC, 4.38%, 01/15/29(b) | | | USD | | | | 800 | | | | 745,132 | |
Option Care Health, Inc., 4.38%, 10/31/29(b) | | | | | | | 1,054 | | | | 952,562 | |
Organon & Co./Organon Foreign Debt Co-Issuer BV(b) | | | | | | | | | | | | |
4.13%, 04/30/28 | | | | | | | 400 | | | | 368,185 | |
5.13%, 04/30/31 | | | | | | | 800 | | | | 683,876 | |
Rossini SARL, 6.75%, 10/30/25(c) | | | EUR | | | | 101 | | | | 111,499 | |
Teva Pharmaceutical Finance Netherlands II BV | | | | | | | | | | | | |
3.75%, 05/09/27 | | | | | | | 100 | | | | 106,349 | |
7.38%, 09/15/29 | | | | | | | 192 | | | | 231,503 | |
7.88%, 09/15/31 | | | | | | | 100 | | | | 124,843 | |
Teva Pharmaceutical Finance Netherlands III BV | | | | | | | | | | | | |
3.15%, 10/01/26 | | | USD | | | | 4,163 | | | | 3,848,173 | |
4.75%, 05/09/27 | | | | | | | 513 | | | | 492,075 | |
6.75%, 03/01/28 | | | | | | | 531 | | | | 540,505 | |
7.88%, 09/15/29 | | | | | | | 1,670 | | | | 1,792,043 | |
8.13%, 09/15/31 | | | | | | | 912 | | | | 991,143 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,145,743 | |
| | | |
| Professional Services — 0.2% | | | | | | | | | |
CoreLogic, Inc., 4.50%, 05/01/28(b) | | | | | | | 2,658 | | | | 2,328,435 | |
| | | | | | | | | | | | |
|
| Real Estate Management & Development — 0.6% | |
Adler Financing SARL, (12.50% PIK), 12.50%, 06/30/25(i) | | | EUR | | | | 120 | | | | 139,296 | |
ADLER Group SA, (21.00% PIK), 21.00%, 07/31/25(i) | | | | | | | 100 | | | | 107,709 | |
Agps Bondco PLC(c) | | | | | | | | | | | | |
6.00%, 08/05/25(e)(j) | | | | | | | 200 | | | | 79,816 | |
5.50%, 11/13/26(e)(j) | | | | | | | 200 | | | | 76,172 | |
5.00%, 01/14/29 | | | | | | | 100 | | | | 35,216 | |
Anywhere Real Estate Group LLC/Anywhere Co.-Issuer Corp. | | | | | | | | | | | | |
7.00%, 04/15/30 | | | USD | | | | 1,781 | | | | 1,642,236 | |
7.00%, 04/15/30(b) | | | | | | | 1,314 | | | | 1,211,883 | |
Aroundtown SA(c) | | | | | | | | | | | | |
0.38%, 04/15/27 | | | EUR | | | | 100 | | | | 88,644 | |
(5-year GBP Swap + 4.38%),
4.75%(a)(k) | | | GBP | | | | 215 | | | | 118,801 | |
Cushman & Wakefield U.S. Borrower LLC(b) | | | | | | | | | | | | |
6.75%, 05/15/28 | | | USD | | | | 1,451 | | | | 1,443,745 | |
8.88%, 09/01/31 | | | | | | | 1,483 | | | | 1,571,639 | |
DEMIRE Deutsche Mittelstand Real Estate AG, 1.88%, 10/15/24(c) | | | EUR | | | | 100 | | | | 66,102 | |
Heimstaden Bostad Treasury BV, 1.38%, 03/03/27 | | | | | | | 100 | | | | 87,213 | |
Howard Hughes Corp., 4.38%, 02/01/31(b) | | | USD | | | | 2,347 | | | | 2,035,436 | |
SBB Treasury OYJ(c) | | | | | | | | | | | | |
0.75%, 12/14/28 | | | EUR | | | | 156 | | | | 102,429 | |
1.13%, 11/26/29 | | | | | | | 100 | | | | 64,735 | |
Vivion Investments SARL, 3.00%, 08/08/24(c) | | | | | | | 100 | | | | 103,188 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,974,260 | |
| | | |
| Retail REITs — 0.1% | | | | | | | | | |
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, 4.50%, 04/01/27(b) | | | USD | | | | 866 | | | | 779,400 | |
| | | | | | | | | | | | |
|
| Semiconductors & Semiconductor Equipment — 0.9% | |
ams-OSRAM AG(c) | | | | | | | | | | | | |
2.13%, 11/03/27(l) | | | EUR | | | | 100 | | | | 86,798 | |
| | |
| 64 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
|
| Semiconductors & Semiconductor Equipment (continued) | |
ams-OSRAM AG(c) (continued) | | | | | | | | | | | | |
10.50%, 03/30/29 | | | EUR | | | | 137 | | | $ | 164,059 | |
Entegris Escrow Corp., 4.75%, 04/15/29(b) | | | USD | | | | 9,138 | | | | 8,803,675 | |
Entegris, Inc., 4.38%, 04/15/28(b) | | | | | | | 511 | | | | 486,298 | |
NCR Atleos Corp., 9.50%, 04/01/29(b) | | | | | | | 1,234 | | | | 1,311,120 | |
Synaptics, Inc., 4.00%, 06/15/29(b) | | | | | | | 1,375 | | | | 1,233,356 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,085,306 | |
| | | |
| Software — 5.1% | | | | | | | | | |
Alteryx, Inc., 8.75%, 03/15/28(b) | | | | | | | 1,395 | | | | 1,484,800 | |
Boxer Parent Co., Inc. | | | | | | | | | | | | |
6.50%, 10/02/25(c) | | | EUR | | | | 173 | | | | 190,256 | |
7.13%, 10/02/25(b) | | | USD | | | | 3,099 | | | | 3,115,611 | |
9.13%, 03/01/26(b) | | | | | | | 4,864 | | | | 4,853,311 | |
Capstone Borrower, Inc., 8.00%, 06/15/30(b) | | | | | | | 1,656 | | | | 1,722,836 | |
Cedacri Mergeco SpA, (3-mo. EURIBOR + 5.50%), 9.50%, 05/15/28(a)(c) | | | EUR | | | | 100 | | | | 108,739 | |
Clarivate Science Holdings Corp.(b) | | | | | | | | | | | | |
3.88%, 07/01/28 | | | USD | | | | 5,665 | | | | 5,341,496 | |
4.88%, 07/01/29 | | | | | | | 5,045 | | | | 4,733,896 | |
Cloud Software Group, Inc.(b) | | | | | | | | | | | | |
6.50%, 03/31/29 | | | | | | | 19,072 | | | | 18,164,949 | |
9.00%, 09/30/29 | | | | | | | 8,235 | | | | 7,826,980 | |
Consensus Cloud Solutions, Inc.(b) | | | | | | | | | | | | |
6.00%, 10/15/26 | | | | | | | 386 | | | | 367,028 | |
6.50%, 10/15/28 | | | | | | | 475 | | | | 430,851 | |
Crowdstrike Holdings, Inc., 3.00%, 02/15/29 | | | | | | | 138 | | | | 124,714 | |
Elastic NV, 4.13%, 07/15/29(b) | | | | | | | 1,654 | | | | 1,518,780 | |
Helios Software Holdings, Inc./ION Corporate Solutions Finance SARL, 4.63%, 05/01/28(b) | | | | | | | 400 | | | | 364,904 | |
Iron Mountain U.K. PLC, 3.88%, 11/15/25(c) | | | GBP | | | | 100 | | | | 122,403 | |
McAfee Corp., 7.38%, 02/15/30(b) | | | USD | | | | 7,048 | | | | 6,436,597 | |
MicroStrategy, Inc., 6.13%, 06/15/28(b) | | | | | | | 2,533 | | | | 2,457,365 | |
Open Text Corp., 6.90%, 12/01/27(b) | | | | | | | 4,599 | | | | 4,781,355 | |
Playtika Holding Corp., 4.25%, 03/15/29(b) | | | | | | | 421 | | | | 367,343 | |
SS&C Technologies, Inc., 5.50%, 09/30/27(b) | | | | | | | 6,836 | | | | 6,738,469 | |
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(b) | | | | | | | 165 | | | | 136,219 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 71,388,902 | |
| | | |
| Specialized REITs(b) — 0.5% | | | | | | | | | |
Iron Mountain, Inc. | | | | | | | | | | | | |
7.00%, 02/15/29 | | | | | | | 3,944 | | | | 4,053,951 | |
5.63%, 07/15/32 | | | | | | | 3,252 | | | | 3,078,572 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,132,523 | |
| | | |
| Specialty Retail — 0.5% | | | | | | | | | |
Arko Corp., 5.13%, 11/15/29(b) | | | | | | | 540 | | | | 467,237 | |
eG Global Finance PLC, 12.00%, 11/30/28(b) | | | | | | | 1,943 | | | | 2,069,353 | |
Goldstory SAS, 5.38%, 03/01/26(c) | | | EUR | | | | 100 | | | | 109,998 | |
PetSmart, Inc./PetSmart Finance Corp., 7.75%, 02/15/29(b) | | | USD | | | | 3,811 | | | | 3,707,409 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,353,997 | |
|
| Technology Hardware, Storage & Peripherals(b) — 0.4% | |
Seagate HDD Cayman | | | | | | | | | | | | |
8.25%, 12/15/29 | | | | | | | 2,634 | | | | 2,840,840 | |
8.50%, 07/15/31 | | | | | | | 2,507 | | | | 2,720,857 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,561,697 | |
| |
| Textiles, Apparel & Luxury Goods — 0.2% | | | | |
Crocs, Inc.(b) | | | | | | | | | | | | |
4.25%, 03/15/29 | | | | | | | 217 | | | | 194,374 | |
4.13%, 08/15/31 | | | | | | | 282 | | | | 238,626 | |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| |
| Textiles, Apparel & Luxury Goods (continued) | | | | |
European TopSoho SARL, Series SMCP, 4.00%, 09/21/21(c)(e)(j)(l) | | | EUR | | | | 200 | | | $ | 191,231 | |
Hanesbrands, Inc., 4.88%, 05/15/26(b) | | | USD | | | | 779 | | | | 751,433 | |
Kontoor Brands, Inc., 4.13%, 11/15/29(b) | | | | | | | 525 | | | | 473,680 | |
Levi Strauss & Co., 3.50%, 03/01/31(b) | | | | | | | 318 | | | | 275,337 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,124,681 | |
|
| Transportation Infrastructure(c) — 0.0% | |
Azzurra Aeroporti SpA, 2.13%, 05/30/24 | | | EUR | | | | 288 | | | | 314,409 | |
Heathrow Finance PLC, 3.88%, 03/01/27(n) | | | GBP | | | | 221 | | | | 259,514 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 573,923 | |
| | | |
| Water Utilities — 0.0% | | | | | | | | | |
Thames Water Utilities Finance PLC, 4.00%, 04/18/27(c) | | | EUR | | | | 100 | | | | 106,459 | |
| | | | | | | | | | | | |
|
| Wireless Telecommunication Services — 1.4% | |
Altice France SA/France
2.13%, 02/15/25(c) | | | | | | | 100 | | | | 106,211 | |
5.88%, 02/01/27(c) | | | | | | | 100 | | | | 98,034 | |
8.13%, 02/01/27(b) | | | USD | | | | 5,346 | | | | 4,928,105 | |
11.50%, 02/01/27(c)(d) | | | EUR | | | | 100 | | | | 110,671 | |
5.13%, 01/15/29(b) | | | USD | | | | 1,181 | | | | 918,520 | |
5.13%, 07/15/29(b) | | | | | | | 600 | | | | 466,811 | |
5.50%, 10/15/29(b) | | | | | | | 2,679 | | | | 2,100,669 | |
Cellnex Finance Co. SA(c)
1.00%, 09/15/27 | | | EUR | | | | 100 | | | | 101,034 | |
1.50%, 06/08/28 | | | | | | | 100 | | | | 101,125 | |
2.00%, 09/15/32 | | | | | | | 100 | | | | 94,392 | |
2.00%, 02/15/33 | | | | | | | 200 | | | | 187,974 | |
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/01/26(b) | | | USD | | | | 4,959 | | | | 4,929,295 | |
Eutelsat SA, 1.50%, 10/13/28(c) | | | EUR | | | | 200 | | | | 165,592 | |
Hughes Satellite Systems Corp., 5.25%, 08/01/26 | | | USD | | | | 462 | | | | 406,548 | |
Liberty Costa Rica Senior Secured Finance, 10.88%, 01/15/31(b) | | | | | | | 643 | | | | 659,377 | |
SES SA, (5-year EUR Swap + 5.40%), 5.63%(a)(c)(k) | | | EUR | | | | 100 | | | | 110,227 | |
Vmed O2 U.K. Financing I PLC
4.00%, 01/31/29(c) | | | GBP | | | | 200 | | | | 225,294 | |
4.25%, 01/31/31(b) | | | USD | | | | 3,172 | | | | 2,769,932 | |
4.50%, 07/15/31(c) | | | GBP | | | | 201 | | | | 220,948 | |
4.75%, 07/15/31(b) | | | USD | | | | 324 | | | | 289,204 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 18,989,963 | |
| | | | | | | | | | | | |
| |
Total Corporate Bonds — 124.2%
(Cost: $1,695,582,044) | | | | 1,723,936,273 | |
| | | | | |
| |
Floating Rate Loan Interests(a) | | | | | |
| |
| Aerospace & Defense — 0.3% | | | | |
Peraton Corp. | | | | | | | | | | | | |
2nd Lien Term Loan B1, (3-mo. CME Term SOFR at 0.75% Floor + 7.75%), 13.22%, 02/01/29 | | | | | | | 2,777 | | | | 2,756,285 | |
Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.21%, 02/01/28 | | | | | | | 1,358 | | | | 1,359,976 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,116,261 | |
| | | |
| Air Freight & Logistics — 0.1% | | | | | | | | | |
Clue Opco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.50%), 9.86%, 12/19/30 | | | | | | | 1,064 | | | | 1,006,363 | |
| | | | | | | | | | | | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 65 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| | | |
| Automobile Components — 0.0% | | | | | | | | | |
Tenneco, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR + 5.00%), 10.47%, 11/17/28 | | | USD | | | | 707 | | | $ | 621,940 | |
| | | | | | | | | | | | |
| | | |
| Banks — 0.1% | | | | | | | | | |
Ascensus Holdings, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.50%), 12.18%, 08/02/29 | | | | | | | 994 | | | | 953,066 | |
| | | | | | | | | | | | |
| | | |
| Beverages — 0.0% | | | | | | | | | |
Naked Juice LLC | | | | | | | | | | | | |
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.45%, 01/24/30 | | | | | | | 156 | | | | 124,800 | |
Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.70%, 01/24/29 | | | | | | | 153 | | | | 147,843 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 272,643 | |
| | | |
| Broadline Retail — 0.1% | | | | | | | | | |
PUG LLC, USD Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.97%, 02/12/27 | | | | | | | 1,069 | | | | 1,050,221 | |
| | | | | | | | | | | | |
| | | |
| Building Products — 0.1% | | | | | | | | | |
White Cap Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.11%, 10/19/27 | | | | | | | 632 | | | | 632,742 | |
| | | | | | | | | | | | |
| | | |
| Chemicals — 0.5% | | | | | | | | | |
Arc Falcon I, Inc. | | | | | | | | | | | | |
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 7.00%), 12.46%, 09/30/29(h) | | | | | | | 2,814 | | | | 2,525,565 | |
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 09/30/28 | | | | | | | 368 | | | | 363,445 | |
Aruba Investments Holdings LLC, 2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 7.75%), 13.21%, 11/24/28 | | | | | | | 443 | | | | 413,744 | |
Discovery Purchaser Corp., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.38%), 9.77%, 10/04/29 | | | | | | | 2,489 | | | | 2,449,760 | |
Herens U.S. Holdco Corp., USD Term Loan B, (3-mo. CME Term SOFR + 3.93%), 9.37%, 07/03/28 | | | | | | | 620 | | | | 559,960 | |
Momentive Performance Materials Inc., 2023 Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.86%, 03/29/28 | | | | | | | 1,166 | | | | 1,124,648 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,437,122 | |
| |
| Commercial Services & Supplies — 0.2% | | | | |
Garda World Security Corp., 2022 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.62%, 02/01/29 | | | | | | | 815 | | | | 814,727 | |
PECF USS Intermediate Holding III Corp., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.89%, 12/15/28 | | | | | | | 1,279 | | | | 991,206 | |
TruGreen LP, 2020 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 8.50%), 14.14%, 11/02/28 | | | | | | | 868 | | | | 642,320 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,448,253 | |
| | | |
| Communications Equipment — 0.1% | | | | | | | | | |
Viasat, Inc., 2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.96%, 05/30/30 | | | | | | | 1,258 | | | | 1,231,118 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| | | |
| Construction & Engineering — 0.3% | | | | | | | | | |
Brand Industrial Services, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.50%), 10.88%, 08/01/30 | | | USD | | | | 4,624 | | | $ | 4,591,292 | |
| | | | | | | | | | | | |
| | | |
| Consumer Finance — 0.1% | | | | | | | | | |
Sabre GLBL, Inc. | | | | | | | | | | | | |
2021 Term Loan B1, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 12/17/27 | | | | | | | 291 | | | | 253,105 | |
2021 Term Loan B2, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 12/17/27 | | | | | | | 457 | | | | 398,522 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 651,627 | |
| | | |
| Containers & Packaging — 0.1% | | | | | | | | | |
LABL, Inc., 2021 USD 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.46%, 10/29/28 | | | | | | | 967 | | | | 925,921 | |
Trident TPI Holdings, Inc., 2023 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.85%, 09/15/28 | | | | | | | 707 | | | | 706,329 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,632,250 | |
| |
| Diversified Consumer Services — 0.1% | | | | |
Ascend Learning LLC | | | | | | | | | | | | |
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.75%), 11.21%, 12/10/29 | | | | | | | 657 | | | | 561,499 | |
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 12/11/28 | | | | | | | 861 | | | | 845,198 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,406,697 | |
| |
| Diversified Telecommunication Services — 0.2% | | | | |
Frontier Communications Holdings LLC, 2021 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.22%, 10/08/27(h) | | | | | | | 695 | | | | 690,505 | |
Lumen Technologies, Inc., 2023 TSA Term Loan B, (3-mo. CME Term SOFR + 2.25%), 7.71%, 03/15/27(h) | | | | | | | 1,960 | | | | 1,332,425 | |
Zayo Group Holdings, Inc., USD Term Loan, (1- mo. CME Term SOFR + 3.00%), 8.47%, 03/09/27 | | | | | | | 1,055 | | | | 903,355 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,926,285 | |
|
| Electronic Equipment, Instruments & Components — 0.1% | |
Ingram Micro, Inc., 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.61%, 06/30/28(h) | | | | | | | 1,026 | | | | 1,027,907 | |
Roper Industrial Products Investment Co., USD Term Loan, 9.36%, 11/22/29 | | | | | | | 442 | | | | 442,936 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,470,843 | |
| | | |
| Energy Equipment & Services — 0.0% | | | | | | | | | |
Lealand Finance Co. BV, 2020 Make Whole Term Loan, (1-mo. CME Term SOFR + 3.00%), 8.47%, 06/28/24(h) | | | | | | | 90 | | | | 60,567 | |
| | | | | | | | | | | | |
| | |
| 66 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| | | |
| Financial Services — 0.1% | | | | | | | | | |
Deerfield Dakota Holding LLC | | | | | | | | | | | | |
2020 USD Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.75%), 9.10%, 04/09/27 | | | USD | | | | 104 | | | $ | 102,606 | |
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 6.75%), 12.36%, 04/07/28 | | | | | | | 1,206 | | | | 1,147,208 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,249,814 | |
| | | |
| Food Products — 0.1% | | | | | | | | | |
Chobani LLC, 2023 Incremental Term Loan, (3-mo. CME Term SOFR + 3.75%), 9.11%, 10/25/27 | | | | | | | 1,210 | | | | 1,211,004 | |
| | | | | | | | | | | | |
| |
| Health Care Equipment & Supplies — 0.4% | | | | |
Bausch & Lomb Corp., 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.36%, 09/29/28 | | | | | | | 1,069 | | | | 1,065,310 | |
Bausch and Lomb, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 05/10/27 | | | | | | | 1,385 | | | | 1,366,612 | |
Medline Borrower LP, USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 10/23/28 | | | | | | | 2,744 | | | | 2,755,194 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,187,116 | |
| |
| Health Care Providers & Services — 0.3% | | | | |
EyeCare Partners LLC, 2020 Term Loan, (3-mo. CME Term SOFR + 3.75%), 9.39%, 02/18/27 | | | | | | | 729 | | | | 352,937 | |
LifePoint Health, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 5.50%), 11.17%, 11/16/28 | | | | | | | 657 | | | | 653,628 | |
Quorum Health Corp., 2020 Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 8.25%), 13.76%, 04/29/25 | | | | | | | 1,463 | | | | 877,504 | |
Star Parent, Inc., Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.35%, 09/27/30 | | | | | | | 1,960 | | | | 1,934,996 | |
Surgery Center Holdings, Inc., 2023 Term Loan, 8.86%, 12/19/30 | | | | | | | 676 | | | | 678,031 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,497,096 | |
| | | |
| Health Care Technology — 1.9% | | | | | | | | | |
AthenaHealth Group, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 02/15/29 | | | | | | | 9,638 | | | | 9,585,096 | |
Gainwell Acquisition Corp., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.45%, 10/01/27 | | | | | | | 1,762 | | | | 1,708,563 | |
Verscend Holding Corp. | | | | | | | | | | | | |
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.47%, 04/02/29 | | | | | | | 9,376 | | | | 9,376,345 | |
2021 Term Loan B, (1-mo. CME Term SOFR + 4.00%), 9.47%, 08/27/25 | | | | | | | 5,413 | | | | 5,417,594 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 26,087,598 | |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| |
| Hotels, Restaurants & Leisure — 0.2% | | | | |
Carnival Corp., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.72%, 10/18/28 | | | USD | | | | 2,873 | | | $ | 2,874,219 | |
| | | | | | | | | | | | |
| | | |
| Household Durables — 0.2% | | | | | | | | | |
Hunter Douglas, Inc., USD Term Loan B1, (3-mo. CME Term SOFR + 3.50%), 8.88%, 02/26/29 | | | | | | | 1,121 | | | | 1,114,928 | |
Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.47%, 10/06/28 | | | | | | | 2,052 | | | | 1,835,664 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,950,592 | |
| | | |
| Insurance — 0.4% | | | | | | | | | |
Alliant Holdings Intermediate LLC, 2023 Term Loan B6, (3-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.86%, 11/06/30 | | | | | | | 3,745 | | | | 3,757,578 | |
NFP Corp., 2020 Term Loan, (1-mo. CME Term SOFR + 3.25%), 8.72%, 02/16/27 | | | | | | | 2,088 | | | | 2,096,542 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,854,120 | |
| | | |
| Interactive Media & Services — 0.0% | | | | | | | | | |
Acuris Finance U.S., Inc., 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.50%, 02/16/28 | | | | | | | 543 | | | | 541,833 | |
| | | | | | | | | | | | |
| | | |
| IT Services — 0.3% | | | | | | | | | |
Magenta Buyer LLC | | | | | | | | | | | | |
2021 USD 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.64%, 07/27/28 | | | | | | | 3,459 | | | | 2,429,668 | |
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 8.25%), 13.89%, 07/27/29 | | | | | | | 2,293 | | | | 871,340 | |
Project Alpha Intermediate Holding, Inc., 2023 1st Lien Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.11%, 10/28/30 | | | | | | �� | 489 | | | | 491,157 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,792,165 | |
| | | |
| Leisure Products — 0.0% | | | | | | | | | |
Peloton Interactive, Inc., Term Loan, (6-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.48%, 05/25/27 | | | | | | | 504 | | | | 505,707 | |
| | | | | | | | | | | | |
| | | |
| Machinery — 0.8% | | | | | | | | | |
Gates Global LLC, 2021 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.96%, 03/31/27 | | | | | | | 1,213 | | | | 1,213,264 | |
SPX Flow, Inc., 2022 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.96%, 04/05/29 | | | | | | | 1,812 | | | | 1,815,895 | |
Titan Acquisition Ltd./Canada, 2018 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.47%, 03/28/25 | | | | | | | 7,826 | | | | 7,810,187 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,839,346 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 67 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| | | |
| Media — 1.0% | | | | | | | | | |
AVSC Holding Corp., 2018 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 7.25%), 12.72%, 09/01/25 | | | USD | | | | 639 | | | $ | 582,955 | |
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.14%, 08/21/26 | | | | | | | 6,354 | | | | 6,279,635 | |
DirecTV Financing LLC, Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.65%, 08/02/27 | | | | | | | 5,632 | | | | 5,626,072 | |
Radiate Holdco LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.72%, 09/25/26 | | | | | | | 1,400 | | | | 1,116,080 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,604,742 | |
| |
| Oil, Gas & Consumable Fuels — 0.4% | | | | |
Freeport LNG Investments LLLP, Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.18%, 12/21/28 | | | | | | | 684 | | | | 682,765 | |
M6 ETX Holdings II Midco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.96%, 09/19/29 | | | | | | | 423 | | | | 422,916 | |
New Fortress Energy, Inc., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.39%, 10/27/28 | | | | | | | 5,156 | | | | 5,065,770 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,171,451 | |
| | | |
| Passenger Airlines — 0.1% | | | | | | | | | |
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.43%, 04/20/28 | | | | | | | 1,966 | | | | 2,016,537 | |
| | | | | | | | | | | | |
| | | |
| Personal Care Products — 0.1% | | | | | | | | | |
KDC/ONE Development Corp., Inc., 2023 USD Term Loan B, (1-mo. CME Term SOFR + 5.00%), 10.36%, 08/15/28 | | | | | | | 1,012 | | | | 1,000,362 | |
| | | | | | | | | | | | |
| | | |
| Pharmaceuticals — 0.0% | | | | | | | | | |
Amneal Pharmaceuticals LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 5.50%), 10.86%, 05/04/28 | | | | | | | 396 | | | | 388,666 | |
PRA Health Sciences, Inc., US Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.86%, 07/03/28 | | | | | | | — | (o) | | | 1 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 388,667 | |
| | | |
| Professional Services — 0.3% | | | | | | | | | |
CoreLogic, Inc. | | | | | | | | | | | | |
2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.50%), 11.97%, 06/04/29 | | | | | | | 1,107 | | | | 986,126 | |
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 06/02/28 | | | | | | | 2,486 | | | | 2,412,915 | |
Galaxy U.S. Opco, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.13%, 04/29/29(h) | | | | | | | 479 | | | | 392,911 | |
OMNIA Partners LLC, Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.63%, 07/25/30 | | | | | | | 9 | | | | 8,939 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,800,891 | |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
|
| Real Estate Management & Development — 0.0% | |
Cushman & Wakefield U.S. Borrower LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.36%, 01/31/30(h) | | | USD | | | | 421 | | | $ | 420,020 | |
| | | | | | | | | | | | |
| | | |
| Software — 3.0% | | | | | | | | | |
Boxer Parent Co., Inc. | | | | | | | | | | | | |
2021 USD 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.50%), 10.97%, 02/27/26 | | | | | | | 2,250 | | | | 2,239,448 | |
2023 USD Term Loan, 12/29/28(p) | | | | | | | 1,781 | | | | 1,785,068 | |
Capstone Borrower, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 3.75%), 9.10%, 06/17/30 | | | | | | | 1 | | | | 558 | |
Cloud Software Group, Inc., 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.95%, 03/30/29 | | | | | | | 5,919 | | | | 5,770,668 | |
Cloudera, Inc., 2021 Second Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.46%, 10/08/29 | | | | | | | 1,895 | | | | 1,807,018 | |
Delta TopCo, Inc., 2020 Term Loan B, (6-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.12%, 12/01/27 | | | | | | | — | (o) | | | 5 | |
McAfee Corp., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.19%, 03/01/29 | | | | | | | 2,389 | | | | 2,372,114 | |
MH Sub I LLC | | | | | | | | | | | | |
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.25%), 11.61%, 02/23/29 | | | | 288 | | | | 267,324 | |
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.61%, 05/03/28 | | | | 3,366 | | | | 3,303,914 | |
Planview Parent, Inc., 2nd Lien Term Loan, (3- mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.70%, 12/18/28 | | | | | | | 850 | | | | 772,438 | |
Polaris Newco LLC, USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.47%, 06/02/28 | | | | | | | 1,344 | | | | 1,323,815 | |
Proofpoint, Inc., 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.25%), 11.72%, 08/31/29 | | | | 2,070 | | | | 2,085,878 | |
RealPage, Inc., 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.50%), 11.97%, 04/23/29 | | | | 7,231 | | | | 7,213,338 | |
Sophia LP | | | | | | | | | | | | |
2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 8.00%), 13.46%, 10/09/28 | | | | 10,251 | | | | 10,263,834 | |
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 10/07/27 | | | | 674 | | | | 674,629 | |
UKG, Inc., 2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.76%, 05/03/27 | | | | | | | 2,177 | | | | 2,177,148 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 42,057,197 | |
| | |
| 68 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| |
| Transportation Infrastructure — 0.1% | | | | |
Apple Bidco LLC, 2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.86%, 09/22/28 | | | USD | | | | 650 | | | $ | 652,136 | |
| | | | | | | | | | | | |
|
| Wireless Telecommunication Services — 0.1% | |
Digicel International Finance Ltd. | | | | | | | | | | | | |
2017 Term Loan B, (3-mo. LIBOR US + 2.25%), 10.75%, 05/28/24 | | | | | | | 1,906 | | | | 1,765,612 | |
2017 Term Loan B1, 05/27/24(p) | | | | | | | 83 | | | | 76,726 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,842,338 | |
| | | | | | | | | | | | |
| |
Total Floating Rate Loan Interests — 12.2%
(Cost: $172,402,159) | | | 170,054,241 | |
| | | | | | | | | | | | |
| | | |
Preferred Securities | | | | | | | | | | | | |
| | | |
| Capital Trusts — 2.6%(a) | | | | | | | | | |
| | | |
| Automobiles(k) — 0.1% | | | | | | | | | |
General Motors Financial Co., Inc., Series C, 5.70% | | | | | | | 655 | | | | 604,886 | |
Volkswagen International Finance NV, 3.88%(c) | | | EUR | | | | 200 | | | | 202,057 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 806,943 | |
| | | |
| Banks(k) — 1.9% | | | | | | | | | |
AIB Group PLC, 5.25%(c) | | | | | | | 210 | | | | 228,625 | |
Banco Bilbao Vizcaya Argentaria SA,
6.00%(c) | | | | | | | 200 | | | | 220,154 | |
Bank of Ireland Group PLC, 7.50%(c) | | | | | | | 200 | | | | 223,517 | |
Barclays PLC
9.63% | | | USD | | | | 3,745 | | | | 3,890,119 | |
4.38% | | | | | | | 2,490 | | | | 1,935,740 | |
8.00% | | | | | | | 980 | | | | 961,784 | |
8.00% | | | | | | | 200 | | | | 198,625 | |
BNP Paribas SA
8.50%(b) | | | | | | | 2,200 | | | | 2,303,893 | |
6.88%(c) | | | EUR | | | | 200 | | | | 228,509 | |
CaixaBank SA, 6.75%(c) | | | | | | | 200 | | | | 220,549 | |
Citigroup, Inc., 7.63% | | | USD | | | | 1,571 | | | | 1,604,148 | |
Cooperatieve Rabobank UA, 4.38%(c) | | | EUR | | | | 200 | | | | 206,439 | |
Deutsche Bank AG, 6.75%(c) | | | | | | | 200 | | | | 204,794 | |
ING Groep NV, 3.88% | | | USD | | | | 200 | | | | 161,750 | |
KBC Group NV, 8.00%(c) | | | EUR | | | | 200 | | | | 234,479 | |
Lloyds Banking Group PLC
8.00% | | | USD | | | | 1,320 | | | | 1,322,637 | |
4.95%(c) | | | EUR | | | | 200 | | | | 214,991 | |
PNC Financial Services Group, Inc. | | | | | | | | | | | | |
Series V, 6.20% | | | USD | | | | 1,417 | | | | 1,377,661 | |
Series W, 6.25% | | | | | | | 1,572 | | | | 1,465,367 | |
Societe Generale SA, 7.88%(c) | | | EUR | | | | 100 | | | | 113,725 | |
UBS Group AG
4.38%(b) | | | USD | | | | 950 | | | | 750,290 | |
9.25%(b) | | | | | | | 2,275 | | | | 2,454,218 | |
9.25%(b) | | | | | | | 2,519 | | | | 2,791,719 | |
7.00%(c) | | | | | | | 200 | | | | 198,468 | |
Wells Fargo & Co., 7.63% | | | | | | | 2,311 | | | | 2,424,958 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 25,937,159 | |
|
| Diversified Telecommunication Services — 0.1% | |
British Telecommunications PLC, 4.88%, 11/23/81(b) | | | | | | | 200 | | | | 170,979 | |
Telefonica Europe BV(c)(k)
7.13% | | | EUR | | | | 200 | | | | 238,124 | |
| | | | | | | | | | | | |
Security | | | | | Par (000) | | | Value | |
| |
| Diversified Telecommunication Services (continued) | | | | |
Telefonica Europe BV(c)(k) (continued) | | | | | | | | | | | | |
6.14% | | | EUR | | | | 300 | | | $ | 340,293 | |
6.75% | | | | | | | 100 | | | | 117,752 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 867,148 | |
| | | |
| Electric Utilities — 0.2% | | | | | | | | | |
Edison International, Series B, 5.00%(k) | | | USD | | | | 1,263 | | | | 1,175,984 | |
EDP - Energias de Portugal SA, 5.94%, 04/23/83(c) | | | EUR | | | | 100 | | | | 114,541 | |
Electricite de France SA(k) | | | | | | | | | | | | |
6.00%(c) | | | GBP | | | | 300 | | | | 371,216 | |
9.13%(b) | | | USD | | | | 535 | | | | 597,280 | |
3.00%(c) | | | EUR | | | | 200 | | | | 200,919 | |
3.38%(c) | | | | | | | 200 | | | | 193,457 | |
Naturgy Finance BV, 2.37%(c)(k) | | | | | | | 200 | | | | 200,919 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,854,316 | |
| |
| Health Care Providers & Services — 0.0% | | | | |
Clariane SE, 4.13%(c)(k) | | | GBP | | | | 200 | | | | 135,113 | |
| | | | | | | | | | | | |
| | | |
| Hotels, Restaurants & Leisure — 0.0% | | | | | | | | | |
Accor SA, 2.63%(c)(k) | | | EUR | | | | 100 | | | | 107,169 | |
| | | | | | | | | | | | |
|
| Independent Power and Renewable Electricity Producers(b)(k) — 0.3% | |
NRG Energy, Inc., 10.25% | | | USD | | | | 2,518 | | | | 2,621,455 | |
Vistra Corp., 7.00% | | | | | | | 1,272 | | | | 1,252,920 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,874,375 | |
| | | |
| Insurance(c) — 0.0% | | | | | | | | | |
Liberty Mutual Group, Inc., 3.63%, 05/23/59 | | | EUR | | | | 100 | | | | 107,500 | |
Poste Italiane SpA, 2.63%(k) | | | | | | | 200 | | | | 181,311 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 288,811 | |
| | | |
| Oil, Gas & Consumable Fuels — 0.0% | | | | | | | | | |
Repsol International Finance BV, 4.25%(c)(k) | | | | | | | 124 | | | | 133,459 | |
| | | | | | | | | | | | |
| | | |
| Pharmaceuticals(c) — 0.0% | | | | | | | | | |
Bayer AG | | | | | | | | | | | | |
6.63%, 09/25/83 | | | | | | | 100 | | | | 112,356 | |
4.50%, 03/25/82 | | | | | | | 200 | | | | 209,750 | |
7.00%, 09/25/83 | | | | | | | 100 | | | | 113,823 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 435,929 | |
| |
| Real Estate Management & Development — 0.0% | | | | |
Heimstaden Bostad AB, 2.63%(c)(k) | | | | | | | 375 | | | | 138,891 | |
| | | | | | | | | | | | |
| | | |
| Transportation Infrastructure — 0.0% | | | | | | | | | |
Abertis Infraestructuras Finance BV,
3.25%(c)(k) | | | | | | | 200 | | | | 211,366 | |
| | | | | | | | | | | | |
|
| Wireless Telecommunication Services(c) — 0.0% | |
Vodafone Group PLC | | | | | | | | | | | | |
2.63%, 08/27/80 | | | | | | | 400 | | | | 419,363 | |
3.00%, 08/27/80 | | | | | | | 100 | | | | 98,686 | |
6.50%, 08/30/84 | | | | | | | 100 | | | | 117,965 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 636,014 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 36,426,693 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Shares | | | | |
| | | |
| Preferred Stocks — 0.9%(e) | | | | | | | | | |
| |
| Commercial Services & Supplies — 0.1% | | | | |
Verscend Intermediate Holding(h) | | | | | | | 790 | | | | 1,112,353 | |
| | | | | | | | | | | | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 69 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | BlackRock Corporate High Yield Fund, Inc. (HYT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| | | |
| Security | | | | | Shares | | | Value | |
| | | |
| Financial Services — 0.1% | | | | | | | | | |
Alliant Holdings, Inc., 9.75%(h)(k) | | | | | | | 1,431 | | | $ | 1,416,247 | |
| | | | | | | | | | | | |
| | | |
| Interactive Media & Services — 0.7% | | | | | | | | | |
ByteDance Ltd., Series E-1, (Acquired 11/11/20, Cost: $6,755,577)(f)(h) | | | | | | | 61,653 | | | | 10,061,561 | |
| | | | | | | | | | | | |
|
| Wireless Telecommunication Services — 0.0% | |
CF-B L2 (D) LLC, (Acquired 04/08/15, Cost: $674,329)(f) | | | | | | | 688,714 | | | | 2,707 | |
Ligado Networks LLC(h)(q) | | | | | | | 32,168 | | | | 8,042 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,749 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,600,910 | |
| | | | | | | | | | | | |
| | | |
Total Preferred Securities — 3.5%
(Cost: $51,245,640) | | | | | | | | | | | 49,027,603 | |
| | | | | | | | | | | | |
| | | |
Total Long-Term Investments — 140.8%
(Cost: $1,955,337,609) | | | | | | | | | | | 1,955,229,243 | |
| | | | | | | | | | | | |
| | | |
Short-Term Securities | | | | | | | | | | | | |
| | | |
| Money Market Funds — 0.0% | | | | | | | | | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 5.26%(r)(s) | | | | | | | 34,146 | | | | 34,146 | |
| | | | | | | | | | | | |
| | | |
Total Short-Term Securities — 0.0%
(Cost: $34,146) | | | | | | | | | | | 34,146 | |
| | | | | | | | | | | | |
| | | |
Options Purchased — 0.0%
(Cost: $372,138) | | | | | | | | | | | 202,023 | |
| | | | | | | | | | | | |
| |
Total Investments Before Options Written — 140.8%
(Cost: $1,955,743,893) | | | | 1,955,465,412 | |
| | | | | | | | | | | | |
| |
Options Written — (0.0)%
(Premiums Received: $(102,204)) | | | | (50,413 | ) |
| | | | | | | | | | | | |
| |
Total Investments, Net of Options Written — 140.8%
(Cost: $1,955,641,689) | | | | 1,955,414,999 | |
| |
Liabilities in Excess of Other Assets — (40.8)% | | | | (566,814,745 | ) |
| | | | | | | | | | | | |
| | | |
Net Assets — 100.0% | | | | | | | | | | $ | 1,388,600,254 | |
| | | | | | | | | | | | |
| (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) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
| (d) | When-issued security. |
| (e) | Non-income producing security. |
| (f) | Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $10,698,587, representing 0.8% of its net assets as of period end, and an original cost of $9,029,259. |
| (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) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| (i) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
| (j) | Issuer filed for bankruptcy and/or is in default. |
| (k) | Perpetual security with no stated maturity date. |
| (l) | Convertible security. |
| (n) | 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. |
| (o) | Rounds to less than 1,000. |
| (p) | 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. |
| (q) | All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Consolidated Financial Statements for details on the wholly-owned subsidiary. |
| (r) | Affiliate of the Trust. |
| (s) | 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, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Affiliated Issuer | | Value at
12/31/22 | | | Purchases
at Cost | | | Proceeds
from Sale | | | Net
Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value at
12/31/23 | | | Shares
Held at
12/31/23 | | | Income | | | Capital Gain
Distributions
from
Underlying
Funds | |
BlackRock Liquidity Funds, T-Fund, Institutional Class | | $ | 723,084 | | | $ | — | | | $ | (688,938 | )(a) | | $ | — | | | $ | — | | | $ | 34,146 | | | | 34,146 | | | $ | 69,906 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Represents net amount purchased (sold). | |
| | |
| 70 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | BlackRock Corporate High Yield Fund, Inc. (HYT) |
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 | | | | | | | | | | | | | | | | |
5-Year U.S. Treasury Note | | | 91 | | | | 03/28/24 | | | $ | 9,898 | | | $ | 224,514 | |
| | | | | | | | | | | | | | | | |
| | | | |
Short Contracts | | | | | | | | | | | | | | | | |
U.S. Long Bond | | | 6 | | | | 03/19/24 | | | | 750 | | | | (54,431 | ) |
Ultra U.S. Treasury Bond | | | 22 | | | | 03/19/24 | | | | 2,939 | | | | (264,016 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (318,447 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | $ | (93,933 | ) |
| | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| Currency Purchased | | | | | Currency Sold | | | Counterparty | | | Settlement Date | | | | | | Unrealized
Appreciation
(Depreciation) | |
| | | | | | | | |
| USD | | | 2,560,907 | | | | | EUR | | | 2,309,608 | | | | Citibank N.A. | | | | 03/20/24 | | | | | | | $ | 3,375 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| USD | | | 575,235 | | | | | EUR | | | 531,000 | | | | Australia & New Zealand Bank Group | | | | 03/20/24 | | | | | | | | (12,765 | ) |
| USD | | | 129,350 | | | | | EUR | | | 118,000 | | | | BNP Paribas SA | | | | 03/20/24 | | | | | | | | (1,316 | ) |
| USD | | | 32,950 | | | | | EUR | | | 30,000 | | | | Deutsche Bank AG | | | | 03/20/24 | | | | | | | | (270 | ) |
| USD | | | 106,941 | | | | | EUR | | | 99,000 | | | | Deutsche Bank AG | | | | 03/20/24 | | | | | | | | (2,686 | ) |
| USD | | | 194,171 | | | | | EUR | | | 179,000 | | | | Deutsche Bank AG | | | | 03/20/24 | | | | | | | | (4,043 | ) |
| USD | | | 214,337 | | | | | EUR | | | 194,000 | | | | Morgan Stanley & Co. International PLC | | | | 03/20/24 | | | | | | | | (488 | ) |
| USD | | | 37,267,012 | | | | | EUR | | | 33,962,000 | | | | UBS AG | | | | 03/20/24 | | | | | | | | (340,616 | ) |
| USD | | | 348,365 | | | | | GBP | | | 273,524 | | | | Morgan Stanley & Co. International PLC | | | | 03/20/24 | | | | | | | | (415 | ) |
| USD | | | 5,191,381 | | | | | GBP | | | 4,096,000 | | | | State Street Bank and Trust Co. | | | | 03/20/24 | | | | | | | | (31,561 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (394,160 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (390,785 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange-Traded Options Purchased
| | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Exercise Price | | Notional
Amount (000) | | Value | |
| Put | | | | | | | | | | | | | | | | |
SPDR S&P 500 ETF Trust | | | 525 | | | | 01/19/24 | | | USD 465.00 | | | USD | | | 24,954 | | $ | 73,238 | |
SPDR S&P 500 ETF Trust | | | 430 | | | | 02/16/24 | | | USD 460.00 | | | USD | | | 20,438 | | | 128,785 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 202,023 | |
| | | | | | | | | | | | | | | | | | | | |
Exchange-Traded Options Written
| | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Exercise Price | | Notional
Amount (000) | | Value | |
| Put | | | | | | | | | | | | | | | | |
SPDR S&P 500 ETF Trust | | | 525 | | | | 01/19/24 | | | USD 445.00 | | | USD | | | 24,954 | | $ | (16,013 | ) |
SPDR S&P 500 ETF Trust | | | 430 | | | | 02/16/24 | | | USD 430.00 | | | USD | | | 20,438 | | | (34,400 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (50,413 | ) |
| | | | | | | | | | | | | | | | | | | | |
Centrally Cleared Credit Default Swaps — Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation/Index | |
| Financing
Rate Received
by the Trust |
| | Payment Frequency | |
| Termination
Date |
| | Credit Rating | |
| Notional
Amount (000) |
| | | Value | | |
| Upfront
Premium
Paid
(Received) |
| |
| Unrealized
Appreciation
(Depreciation) |
|
CDX.NA.HY.41.V2 | | | 5.00 | % | | Quarterly | | | 12/20/28 | | | B | | | USD 16,604 | | | $ | 999,848 | | | $ | 183,776 | | | $ | 816,072 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 71 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | 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) |
|
Virgin Media Finance PLC | | | 5.00 | % | | | Quarterly | | | JPMorgan Chase Bank N.A. | | | 12/20/25 | | | B | | | EUR | | | | 70 | | | $ | 5,458 | | | $ | 4,216 | | | $ | 1,242 | |
Jaguar Land Rover Automotive PLC | | | 5.00 | | | | Quarterly | | | Bank of America N.A. | | | 12/20/26 | | | BB | | | EUR | | | | 37 | | | | 3,224 | | | | (983 | ) | | | 4,207 | |
Jaguar Land Rover Automotive PLC | | | 5.00 | | | | Quarterly | | | Barclays Bank PLC | | | 12/20/26 | | | BB | | | EUR | | | | 41 | | | | 3,538 | | | | 1,096 | | | | 2,442 | |
Jaguar Land Rover Automotive PLC | | | 5.00 | | | | Quarterly | | | Morgan Stanley & Co. International PLC | | | 12/20/26 | | | BB | | | EUR | | | | 31 | | | | 2,655 | | | | 4,658 | | | | (2,003 | ) |
CMA CGM SA | | | 5.00 | | | | Quarterly | | | Morgan Stanley & Co. International PLC | | | 06/20/27 | | | N/R | | | EUR | | | | 125 | | | | 16,182 | | | | 22,170 | | | | (5,988 | ) |
Ladbrokes Coral Group Ltd. | | | 1.00 | | | | Quarterly | | | JPMorgan Chase Bank N.A. | | | 06/20/27 | | | N/R | | | EUR | | | | 50 | | | | (447 | ) | | | (3,936 | ) | | | 3,489 | |
Ladbrokes Coral Group Ltd. | | | 1.00 | | | | Quarterly | | | JPMorgan Chase Bank N.A. | | | 06/20/27 | | | N/R | | | EUR | | | | 19 | | | | (170 | ) | | | (2,384 | ) | | | 2,214 | |
Adler Real Estate AG | | | 5.00 | | | | Quarterly | | | Bank of America N.A. | | | 12/20/27 | | | CCC+ | | | EUR | | | | 35 | | | | (6,856 | ) | | | (6,568 | ) | | | (288 | ) |
Adler Real Estate AG | | | 5.00 | | | | Quarterly | | | Barclays Bank PLC | | | 12/20/27 | | | CCC+ | | | EUR | | | | 21 | | | | (4,121 | ) | | | (3,867 | ) | | | (254 | ) |
Adler Real Estate AG | | | 5.00 | | | | Quarterly | | | Barclays Bank PLC | | | 12/20/27 | | | CCC+ | | | EUR | | | | 59 | | | | (11,585 | ) | | | (10,870 | ) | | | (715 | ) |
Adler Real Estate AG | | | 5.00 | | | | Quarterly | | | Citibank N.A. | | | 12/20/27 | | | CCC+ | | | EUR | | | | 17 | | | | (3,361 | ) | | | (3,238 | ) | | | (123 | ) |
Adler Real Estate AG | | | 5.00 | | | | Quarterly | | | JPMorgan Chase Bank N.A. | | | 12/20/27 | | | CCC+ | | | EUR | | | | 36 | | | | (7,035 | ) | | | (6,783 | ) | | | (252 | ) |
| | | | | | | | | | Morgan Stanley & Co. | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adler Real Estate AG | | | 5.00 | | | | Quarterly | | | International PLC | | | 12/20/27 | | | CCC+ | | | EUR | | | | 26 | | | | (5,101 | ) | | | (4,838 | ) | | | (263 | ) |
United Group B.V. | | | 5.00 | | | | Quarterly | | | Bank of America N.A. | | | 12/20/27 | | | B | | | EUR | | | | 61 | | | | 2,762 | | | | (7,693 | ) | | | 10,455 | |
Ladbrokes Coral Group Ltd. | | | 1.00 | | | | Quarterly | | | JPMorgan Chase Bank N.A. | | | 06/20/28 | | | N/R | | | EUR | | | | 16 | | | | (364 | ) | | | (1,003 | ) | | | 639 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (5,221 | ) | | $ | (20,023 | ) | | $ | 14,802 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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/Reference | | Frequency | | Rate/Reference | | Frequency | | Notional
Amount (000) | |
| | 1-Day SOFR, 5.38%. | | Quarterly | | Markit iBoxx $ Liquid
High Yield Index | | At Termination | | JPMorgan Chase Bank N.A. | | | N/A | | | | 03/20/24 | | | USD | | | 1,535 | | | $ | 126,155 | | | $ | (16,550 | ) | | $ | 142,705 | | | | | |
| | 1-Day SOFR, 5.38%. | | Quarterly | | Markit iBoxx $ Liquid
High Yield Index | | At Termination | | Morgan Stanley & Co. International PLC | | | N/A | | | | 03/20/24 | | | USD | | | 9,430 | | | | 877,869 | | | | (55,170 | ) | | | 933,039 | | | | | |
| | 1-Day SOFR, 5.38%. | | Quarterly | | Markit iBoxx $ Liquid
High Yield Index | | At Termination | | Morgan Stanley & Co. International PLC | | | N/A | | | | 03/20/24 | | | USD | | | 346 | | | | 30,818 | | | | (2,408 | ) | | | 33,226 | | | | | |
| | 1-Day SOFR, 5.38%. | | Quarterly | | Markit iBoxx $ Liquid
High Yield Index | | At Termination | | Morgan Stanley & Co. International PLC | | | N/A | | | | 03/20/24 | | | USD | | | 693 | | | | 64,949 | | | | (5,019 | ) | | | 69,968 | | | | | |
| | 1-Day SOFR, 5.38%. | | Quarterly | | Markit iBoxx $ Liquid
High Yield Index | | At Termination | | Morgan Stanley & Co. International PLC | | | N/A | | | | 03/20/24 | | | USD | | | 1,386 | | | | 144,605 | | | | (12,387 | ) | | | 156,992 | | | | | |
| | 1-Day SOFR, 5.38%. | | Quarterly | | Markit iBoxx $ Liquid
High Yield Index | | At Termination | | Morgan Stanley & Co. International PLC | | | N/A | | | | 03/20/24 | | | USD | | | 624 | | | | 51,437 | | | | (6,728 | ) | | | 58,165 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,295,833 | | | $ | (98,262 | ) | | $ | 1,394,095 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balances Reported in the Consolidated 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) | | $ | 183,776 | | | $ | — | | | $ | 816,072 | | | $ | — | | | $ | — | |
OTC Swaps | | | 32,140 | | | | (150,425 | ) | | | 1,418,783 | | | | (9,886 | ) | | | — | |
Options Written | | | N/A | | | | N/A | | | | 51,791 | | | | — | | | | (50,413 | ) |
| | (a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. | |
| | |
| 72 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | 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) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 224,514 | | | $ | — | | | $ | 224,514 | |
Forward foreign currency exchange contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 3,375 | | | | — | | | | — | | | | 3,375 | |
Options purchased | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments at value — unaffiliated(b) | | | — | | | | — | | | | 202,023 | | | | — | | | | — | | | | — | | | | 202,023 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on centrally cleared swaps(a) | | | — | | | | 816,072 | | | | — | | | | — | | | | — | | | | — | | | | 816,072 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on OTC swaps; Swap premiums paid | | | — | | | | 56,828 | | | | — | | | | — | | | | 1,394,095 | | | | — | | | | 1,450,923 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 872,900 | | | $ | 202,023 | | | $ | 3,375 | | | $ | 1,618,609 | | | $ | — | | | $ | 2,696,907 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on futures contracts(a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 318,447 | | | $ | — | | | $ | 318,447 | |
Forward foreign currency exchange contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 394,160 | | | | — | | | | — | | | | 394,160 | |
Options written | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Options written at value | | | — | | | | — | | | | 50,413 | | | | — | | | | — | | | | — | | | | 50,413 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on OTC swaps; Swap premiums received | | | — | | | | 62,049 | | | | — | | | | — | | | | 98,262 | | | | — | | | | 160,311 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 62,049 | | | $ | 50,413 | | | $ | 394,160 | | | $ | 416,709 | | | $ | — | | | $ | 923,331 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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, 2023, 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 | | $ | — | | | $ | — | | | $ | (1,411,949 | ) | | $ | — | | | $ | (335,505 | ) | | $ | — | | | $ | (1,747,454 | ) |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | (235,185 | ) | | | — | | | | — | | | | (235,185 | ) |
Options purchased(a) | | | — | | | | (17 | ) | | | (2,562,379 | ) | | | — | | | | — | | | | — | | | | (2,562,396 | ) |
Options written | | | — | | | | 4,211 | | | | 1,298,845 | | | | — | | | | — | | | | — | | | | 1,303,056 | |
Swaps | | | — | | | | 982,613 | | | | — | | | | — | | | | (378,783 | ) | | | — | | | | 603,830 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 986,807 | | | $ | (2,675,483 | ) | | $ | (235,185 | ) | | $ | (714,288 | ) | | $ | — | | | $ | (2,638,149 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | (188,778 | ) | | $ | — | | | $ | (558,514 | ) | | $ | — | | | $ | (747,292 | ) |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | (324,171 | ) | | | — | | | | — | | | | (324,171 | ) |
Options purchased(b) | | | — | | | | — | | | | (189,875 | ) | | | — | | | | — | | | | — | | | | (189,875 | ) |
Options written | | | — | | | | — | | | | (87,030 | ) | | | — | | | | — | | | | — | | | | (87,030 | ) |
Swaps | | | — | | | | 846,027 | | | | — | | | | — | | | | 1,540,049 | | | | — | | | | 2,386,076 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 846,027 | | | $ | (465,683 | ) | | $ | (324,171 | ) | | $ | 981,535 | | | $ | — | | | $ | 1,037,708 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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. | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 73 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | BlackRock Corporate High Yield Fund, Inc. (HYT) |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Futures contracts: | | | | |
Average notional value of contracts — long | | $ | 5,028,803 | |
Average notional value of contracts — short | | $ | 15,860,985 | |
Forward foreign currency exchange contracts: | | | | |
Average amounts purchased — in USD | | $ | 39,337,653 | |
Average amounts sold — in USD | | $ | 294,554 | |
Options: | | | | |
Average value of option contracts purchased | | $ | 201,040 | |
Average value of option contracts written | | $ | 53,290 | |
Average notional value of swaption contracts purchased | | $ | — | (a) |
Average notional value of swaption contracts written | | $ | — | (a) |
Credit default swaps: | | | | |
Average notional value — buy protection | | $ | 70,296 | |
Average notional value — sell protection | | $ | 17,920,828 | |
Total return swaps: | | | | |
Average notional value | | $ | 14,014,000 | |
| | (a) | Derivative financial instrument not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. | |
For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Consolidated 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 | | $ | 20,592 | | | $ | — | |
Forward foreign currency exchange contracts | | | 3,375 | | | | 394,160 | |
Options | | | 202,023 | | | | 50,413 | |
Swaps — centrally cleared | | | — | | | | 39,990 | |
Swaps — OTC(a) | | | 1,450,923 | | | | 160,311 | |
| | | | | | | | |
| | |
Total derivative assets and liabilities in the Consolidated Statements of Assets and Liabilities | | | 1,676,913 | | | | 644,874 | |
| | | | | | | | |
| | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | (222,615 | ) | | | (90,403 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to an MNA | | $ | 1,454,298 | | | $ | 554,471 | |
| | | | | | | | |
| | (a) | 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)(d) |
Bank of America N.A. | | $ | 14,662 | | | $ | (14,662 | ) | | $ | — | | | $ | — | | | $ | — | |
Barclays Bank PLC | | | 3,538 | | | | (3,538 | ) | | | — | | | | — | | | | — | |
Citibank N.A. | | | 3,375 | | | | (3,361 | ) | | | — | | | | — | | | | 14 | |
JPMorgan Chase Bank N.A. | | | 154,505 | | | | (30,908 | ) | | | — | | | | — | | | | 123,597 | |
Morgan Stanley & Co. International PLC | | | 1,278,218 | | | | (95,707 | ) | | | — | | | | (950,000 | ) | | | 232,511 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | $ | 1,454,298 | | | $ | (148,176 | ) | | $ | — | | | $ | (950,000 | ) | | $ | 356,122 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Counterparty | |
| Derivative
Liabilities
Subject to
an MNA by
Counterparty |
| |
| Derivatives
Available
for Offset |
(a) | |
| Non-Cash
Collateral
Pledged |
| |
| Cash
Collateral
Pledged |
| |
| Net Amount
of DerivativeLiabilities |
(c)(e) |
Australia & New Zealand Bank Group | | $ | 12,765 | | | $ | — | | | $ | — | | | $ | — | | | $ | 12,765 | |
Bank of America N.A. | | | 15,532 | | | | (14,662 | ) | | | — | | | | — | | | | 870 | |
Barclays Bank PLC | | | 15,706 | | | | (3,538 | ) | | | — | | | | — | | | | 12,168 | |
BNP Paribas SA | | | 1,316 | | | | — | | | | — | | | | — | | | | 1,316 | |
| | |
| 74 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | 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 |
(c)(e) |
Citibank N.A. | | $ | 3,361 | | | $ | (3,361 | ) | | $ | — | | | $ | — | | | $ | — | |
Deutsche Bank AG | | | 6,999 | | | | — | | | | — | | | | — | | | | 6,999 | |
JPMorgan Chase Bank N.A. | | | 30,908 | | | | (30,908 | ) | | | — | | | | — | | | | — | |
Morgan Stanley & Co. International PLC | | | 95,707 | | | | (95,707 | ) | | | — | | | | — | | | | — | |
State Street Bank and Trust Co. | | | 31,561 | | | | — | | | | — | | | | — | | | | 31,561 | |
UBS AG | | | 340,616 | | | | — | | | | — | | | | — | | | | 340,616 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 554,471 | | | $ | (148,176 | ) | | $ | — | | | $ | — | | | $ | 406,295 | |
| | | | | | | | | | | | | | | | | | | | |
| | (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/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. | |
| | (c) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. | |
| | (d) | Net amount represents the net amount receivable from the counterparty in the event of default. | |
| | (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 Consolidated 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 | | $ | — | | | $ | 2,340,573 | | | $ | — | | | $ | 2,340,573 | |
Common Stocks | | | | | | | | | | | | | | | | |
Capital Markets | | | — | | | | 634,319 | | | | — | | | | 634,319 | |
Chemicals | | | 863,238 | | | | — | | | | — | | | | 863,238 | |
Electrical Equipment | | | 4,951 | | | | — | | | | — | | | | 4,951 | |
Energy Equipment & Services | | | 6,405 | | | | — | | | | — | | | | 6,405 | |
Financial Services | | | 356,893 | | | | — | | | | — | | | | 356,893 | |
Ground Transportation | | | 914,930 | | | | — | | | | — | | | | 914,930 | |
Hotels, Restaurants & Leisure | | | 472,754 | | | | — | | | | — | | | | 472,754 | |
IT Services | | | 191,344 | | | | — | | | | — | | | | 191,344 | |
Metals & Mining | | | 2,774,300 | | | | — | | | | — | | | | 2,774,300 | |
Oil, Gas & Consumable Fuels | | | 560,949 | | | | — | | | | 22,235 | | | | 583,184 | |
Pharmaceuticals | | | 1,295,287 | | | | — | | | | — | | | | 1,295,287 | |
Real Estate Management & Development | | | 4,829 | | | | 2,109 | | | | — | | | | 6,938 | |
Semiconductors & Semiconductor Equipment | | | 918 | | | | — | | | | — | | | | 918 | |
Software | | | 1,765,092 | | | | — | | | | — | | | | 1,765,092 | |
Corporate Bonds | | | | | | | | | | | | | | | | |
Aerospace & Defense | | | — | | | | 60,110,221 | | | | — | | | | 60,110,221 | |
Automobile Components | | | — | | | | 30,640,511 | | | | — | | | | 30,640,511 | |
Automobiles | | | — | | | | 9,694,534 | | | | — | | | | 9,694,534 | |
Banks | | | — | | | | 14,302,678 | | | | — | | | | 14,302,678 | |
Biotechnology | | | — | | | | 332,276 | | | | — | | | | 332,276 | |
Broadline Retail | | | — | | | | 669,780 | | | | — | | | | 669,780 | |
Building Products | | | — | | | | 27,486,672 | | | | — | | | | 27,486,672 | |
Capital Markets | | | — | | | | 18,061,460 | | | | — | | | | 18,061,460 | |
Chemicals | | | — | | | | 43,248,559 | | | | — | | | | 43,248,559 | |
Commercial Services & Supplies | | | — | | | | 81,343,665 | | | | — | | | | 81,343,665 | |
Communications Equipment | | | — | | | | 8,930,997 | | | | — | | | | 8,930,997 | |
Construction & Engineering | | | — | | | | 10,307,892 | | | | — | | | | 10,307,892 | |
Construction Materials | | | — | | | | 41,575,575 | | | | — | | | | 41,575,575 | |
Consumer Discretionary | | | — | | | | 96,574 | | | | — | | | | 96,574 | |
Consumer Finance | | | 352,638 | | | | 53,485,633 | | | | — | | | | 53,838,271 | |
Consumer Staples Distribution & Retail | | | — | | | | 18,509,450 | | | | — | | | | 18,509,450 | |
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 75 |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | 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) | | | | | | | | | | | | | | | | |
Containers & Packaging | | $ | — | | | $ | 54,265,234 | | | $ | — | | | $ | 54,265,234 | |
Diversified Consumer Services | | | — | | | | 5,722,505 | | | | — | | | | 5,722,505 | |
Diversified REITs | | | — | | | | 20,008,171 | | | | — | | | | 20,008,171 | |
Diversified Telecommunication Services | | | 432,161 | | | | 69,117,189 | | | | — | | | | 69,549,350 | |
Electric Utilities | | | — | | | | 16,196,062 | | | | — | | | | 16,196,062 | |
Electrical Equipment | | | — | | | | 9,932,898 | | | | — | | | | 9,932,898 | |
Electronic Equipment, Instruments & Components | | | — | | | | 4,564,999 | | | | — | | | | 4,564,999 | |
Energy Equipment & Services | | | — | | | | 19,421,112 | | | | — | | | | 19,421,112 | |
Entertainment | | | — | | | | 13,471,833 | | | | — | | | | 13,471,833 | |
Environmental, Maintenance & Security Service | | | — | | | | 25,293,640 | | | | — | | | | 25,293,640 | |
Financial Services | | | — | | | | 28,807,568 | | | | — | | | | 28,807,568 | |
Food Products | | | — | | | | 20,273,617 | | | | — | | | | 20,273,617 | |
Gas Utilities | | | — | | | | 2,225,464 | | | | — | | | | 2,225,464 | |
Ground Transportation | | | — | | | | 16,956,317 | | | | — | | | | 16,956,317 | |
Health Care Equipment & Supplies | | | — | | | | 24,972,572 | | | | — | | | | 24,972,572 | |
Health Care Providers & Services | | | — | | | | 64,013,827 | | | | — | | | | 64,013,827 | |
Health Care REITs | | | — | | | | 3,779,116 | | | | — | | | | 3,779,116 | |
Health Care Technology | | | — | | | | 10,801,763 | | | | — | | | | 10,801,763 | |
Hotel & Resort REITs | | | — | | | | 15,209,273 | | | | — | | | | 15,209,273 | |
Hotels, Restaurants & Leisure | | | — | | | | 144,403,023 | | | | — | | | | 144,403,023 | |
Household Durables | | | — | | | | 9,551,374 | | | | — | | | | 9,551,374 | |
Household Products | | | — | | | | 1,555,965 | | | | — | | | | 1,555,965 | |
Independent Power and Renewable Electricity Producers | | | — | | | | 6,903,409 | | | | — | | | | 6,903,409 | |
Insurance | | | — | | | | 70,167,006 | | | | — | | | | 70,167,006 | |
Interactive Media & Services | | | — | | | | 2,548,782 | | | | — | | | | 2,548,782 | |
Internet Software & Services | | | — | | | | 7,568,161 | | | | — | | | | 7,568,161 | |
IT Services | | | 176,683 | | | | 34,245,159 | | | | — | | | | 34,421,842 | |
Leisure Products | | | — | | | | 1,907,389 | | | | — | | | | 1,907,389 | |
Machinery | | | — | | | | 35,485,944 | | | | — | | | | 35,485,944 | |
Media | | | — | | | | 123,106,292 | | | | — | | | | 123,106,292 | |
Metals & Mining | | | — | | | | 53,343,077 | | | | — | | | | 53,343,077 | |
Mortgage Real Estate Investment Trusts (REITs) | | | — | | | | 1,161,593 | | | | — | | | | 1,161,593 | |
Office REITs | | | — | | | | 307,459 | | | | — | | | | 307,459 | |
Oil, Gas & Consumable Fuels | | | — | | | | 220,360,396 | | | | — | | | | 220,360,396 | |
Paper & Forest Products | | | — | | | | 108,598 | | | | — | | | | 108,598 | |
Passenger Airlines | | | — | | | | 15,279,796 | | | | — | | | | 15,279,796 | |
Personal Care Products | | | — | | | | 1,596,442 | | | | — | | | | 1,596,442 | |
Pharmaceuticals | | | — | | | | 13,145,743 | | | | — | | | | 13,145,743 | |
Professional Services | | | — | | | | 2,328,435 | | | | — | | | | 2,328,435 | |
Real Estate Management & Development | | | — | | | | 8,974,260 | | | | — | | | | 8,974,260 | |
Retail REITs | | | — | | | | 779,400 | | | | — | | | | 779,400 | |
Semiconductors & Semiconductor Equipment | | | 86,798 | | | | 11,998,508 | | | | — | | | | 12,085,306 | |
Software | | | — | | | | 71,388,902 | | | | — | | | | 71,388,902 | |
Specialized REITs | | | — | | | | 7,132,523 | | | | — | | | | 7,132,523 | |
Specialty Retail | | | — | | | | 6,353,997 | | | | — | | | | 6,353,997 | |
Technology Hardware, Storage & Peripherals | | | — | | | | 5,561,697 | | | | — | | | | 5,561,697 | |
Textiles, Apparel & Luxury Goods | | | 191,231 | | | | 1,933,450 | | | | — | | | | 2,124,681 | |
Transportation Infrastructure | | | — | | | | 573,923 | | | | — | | | | 573,923 | |
Water Utilities | | | — | | | | 106,459 | | | | — | | | | 106,459 | |
Wireless Telecommunication Services | | | — | | | | 18,989,963 | | | | — | | | | 18,989,963 | |
Floating Rate Loan Interests | | | — | | | | 163,604,341 | | | | 6,449,900 | | | | 170,054,241 | |
Preferred Securities | | | | | | | | | | | | | | | | |
Capital Trusts | | | — | | | | 36,426,693 | | | | — | | | | 36,426,693 | |
Preferred Stocks | | | — | | | | — | | | | 12,598,203 | | | | 12,598,203 | |
Short-Term Securities | | | | | | | | | | | | | | | | |
Money Market Funds | | | 34,146 | | | | — | | | | — | | | | 34,146 | |
Options Purchased | | | | | | | | | | | | | | | | |
Equity Contracts | | | 202,023 | | | | — | | | | — | | | | 202,023 | |
| | | | | | | | | | | | | | | | |
| | $ | 10,687,570 | | | $ | 1,925,704,797 | | | $ | 19,070,338 | | | | 1,955,462,705 | |
| | | | | | | | | | | | | | | | |
Investments Valued at NAV(a) | | | | | | | | | | | | | | | 2,707 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 1,955,465,412 | |
| | | | | | | | | | | | | | | | |
| | |
| 76 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Consolidated Schedule of Investments (continued) December 31, 2023 | | BlackRock Corporate High Yield Fund, Inc. (HYT) |
Fair Value Hierarchy as of Period End (continued)
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Derivative Financial Instruments(b) | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Credit Contracts | | $ | — | | | $ | 840,760 | | | $ | — | | | $ | 840,760 | |
Foreign Currency Exchange Contracts | | | — | | | | 3,375 | | | | — | | | | 3,375 | |
Interest Rate Contracts | | | 224,514 | | | | 1,394,095 | | | | — | | | | 1,618,609 | |
Liabilities | | | | | | | | | | | | | | | | |
Credit Contracts | | | — | | | | (9,886 | ) | | | — | | | | (9,886 | ) |
Equity Contracts | | | (50,413 | ) | | | — | | | | — | | | | (50,413 | ) |
Foreign Currency Exchange Contracts | | | — | | | | (394,160 | ) | | | — | | | | (394,160 | ) |
Interest Rate Contracts | | | (318,447 | ) | | | — | | | | — | | | | (318,447 | ) |
| | | | | | | | | | | | | | | | |
| | $ | (144,346 | ) | | $ | 1,834,184 | | | $ | — | | | $ | 1,689,838 | |
| | | | | | | | | | | | | | | | |
| | (a) | Certain investments of the Trust were fair valued using NAV as a practical expedient as no quoted market value is available and therefore have been excluded from the fair value hierarchy. | |
| | (b) | Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. | |
The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $596,000,000 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 and derivative financial instruments 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 | | | Floating Rate Loan
Interests | | | Preferred Stocks | | | Total | |
Assets | | | | | | | | | | | | | | | | |
Opening balance, as of December 31, 2022 | | $ | 22,236 | | | $ | 12,296,415 | | | $ | 12,439,882 | | | $ | 24,758,533 | |
Transfers into Level 3 | | | — | | | | 1,557,403 | | | | 321,684 | | | | 1,879,087 | |
Transfers out of Level 3 | | | — | | | | (9,869,340 | ) | | | — | | | | (9,869,340 | ) |
Accrued discounts/premiums | | | — | | | | 24,270 | | | | — | | | | 24,270 | |
Net realized gain (loss) | | | — | | | | (18,201 | ) | | | — | | | | (18,201 | ) |
Net change in unrealized appreciation (depreciation)(a)(b) | | | (1 | ) | | | 75,310 | | | | (163,363 | ) | | | (88,054 | ) |
Purchases | | | — | | | | 3,390,658 | | | | — | | | | 3,390,658 | |
Sales | | | — | | | | (1,006,615 | ) | | | — | | | | (1,006,615 | ) |
| | | | | | | | | | | | | | | | |
Closing balance, as of December 31, 2023 | | $ | 22,235 | | | $ | 6,449,900 | | | $ | 12,598,203 | | | $ | 19,070,338 | |
| | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2023(b) | | $ | — | | | $ | 75,310 | | | $ | (163,363 | ) | | $ | (88,053 | ) |
| | | | | | | | | | | | | | | | |
| | (a) | Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statements of Operations. | |
| | (b) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2023 is generally due to investments no longer held or categorized as Level 3 at period end. | |
The Trust’s financial instruments that are categorized as Level 3 were valued utilizing third-party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third-party information could result in a significantly lower or higher value of such Level 3 financial instruments.
See notes to financial statements.
| | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | | 77 |
| | |
Schedule of Investments December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities | |
AGL CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 2020-5A, Class A1R, (3-mo. CME Term SOFR + 1.42%), 6.84%, 07/20/34 | | | USD | | | | 1,000 | | | $ | 997,518 | |
Series 2021-12A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.28%, 07/20/34 | | | | | | | 890 | | | | 885,126 | |
Series 2021-12A, Class C, (3-mo. CME Term SOFR + 2.11%), 7.53%, 07/20/34 | | | | | | | 500 | | | | 494,892 | |
AIMCO CLO Ltd., Series 2021-14A, Class A, (3-mo. CME Term SOFR + 1.25%), 6.67%, 04/20/34(a)(b) | | | | | | | 3,000 | | | | 2,993,234 | |
Allegro CLO II-S Ltd., Series 2014-1RA, Class B, (3-mo. CME Term SOFR + 2.41%), 7.82%, 10/21/28(a)(b) | | | | | | | 500 | | | | 499,567 | |
Allegro CLO VI Ltd.(a)(b) | | | | | | | | | | | | |
Series 2017-2A, Class B, (3-mo. CME Term SOFR + 1.76%), 7.16%, 01/17/31 | | | | | | | 360 | | | | 356,362 | |
Series 2017-2A, Class C, (3-mo. CME Term SOFR + 2.06%), 7.46%, 01/17/31 | | | | | | | 2,400 | | | | 2,364,082 | |
Anchorage Capital CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 2013-1A, Class BR, (3-mo. CME Term SOFR + 2.41%), 7.81%, 10/13/30 | | | | | | | 1,000 | | | | 1,001,224 | |
Series 2014-3RA, Class C, (3-mo. CME Term SOFR + 2.11%), 7.50%, 01/28/31 | | | | | | | 1,000 | | | | 988,720 | |
Apidos CLO XV, Series 2013-15A, Class DRR, (3-mo. CME Term SOFR + 2.96%), 8.38%, 04/20/31(a)(b) | | | | | | | 1,000 | | | | 985,379 | |
Apidos CLO XX, Series 2015-20A, Class BRR, (3-mo. CME Term SOFR + 2.21%), 7.61%, 07/16/31(a)(b) | | | | | | | 1,000 | | | | 996,543 | |
Apidos CLO XXXIII, Series 2020-33A, Class AR, (3-mo. CME Term SOFR + 1.41%), 6.81%, 10/24/34(a)(b) | | | | | | | 2,000 | | | | 2,000,240 | |
Apidos CLO XXXVII, Series 2021-37A, Class A, (3-mo. CME Term SOFR + 1.39%), 6.80%, 10/22/34(a)(b) | | | | | | | 3,000 | | | | 2,999,529 | |
Ares XLVII CLO Ltd., Series 2018-47A, Class D, (3-mo. CME Term SOFR + 2.96%), 8.36%, 04/15/30(a)(b) | | | | | | | 1,500 | | | | 1,463,273 | |
Ares XLVIII CLO Ltd., Series 2018-48A, Class C, (3-mo. CME Term SOFR + 2.06%), 7.48%, 07/20/30(a)(b) | | | | | | | 500 | | | | 492,278 | |
Ares XXXVII CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 2015-4A, Class A3R, (3-mo. CME Term SOFR + 1.76%), 7.16%, 10/15/30 | | | | | | | 1,000 | | | | 999,118 | |
Series 2015-4A, Class BR, (3-mo. CME Term SOFR + 2.06%), 7.46%, 10/15/30 | | | | | | | 1,750 | | | | 1,735,343 | |
Atlas Senior Loan Fund XII Ltd., Series 2018-12A, Class A1, (3-mo. CME Term SOFR + 1.44%), 6.84%, 10/24/31(a)(b) | | | | | | | 398 | | | | 397,263 | |
Atrium XV, Series 15A, Class C, (3-mo. CME Term SOFR + 2.46%), 7.87%, 01/23/31(a)(b) | | | | | | | 250 | | | | 250,438 | |
Benefit Street Partners CLO XII Ltd., Series 2017-12A, Class B, (3-mo. CME Term SOFR + 2.26%), 7.66%, 10/15/30(a)(b) | | | | | | | 1,000 | | | | 999,289 | |
Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class A1R, (3-mo. CME Term SOFR + 1.29%), 6.69%, 01/17/32(a)(b) | | | | | | | 1,900 | | | | 1,899,059 | |
Canyon CLO Ltd., Series 2020-3A, Class C, (3-mo. CME Term SOFR + 2.76%), 8.16%, 01/15/34(a)(b) | | | | | | | 500 | | | | 503,366 | |
Carlyle CLO Ltd., Series C17A, Class BR, (3-mo. CME Term SOFR + 2.11%), 7.50%, 04/30/31(a)(b) | | | | | | | 1,000 | | | | 993,504 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Asset-Backed Securities (continued) | |
CarVal CLO I Ltd., Series 2018-1A, Class D, (3-mo. CME Term SOFR + 3.15%), 8.55%, 07/16/31(a)(b) | | | USD | | | | 500 | | | $ | 492,117 | |
Cedar Funding XII CLO Ltd., Series 2020-12A, Class A1R, (3-mo. CME Term SOFR + 1.39%), 6.77%, 10/25/34(a)(b) | | | | | | | 1,000 | | | | 997,500 | |
Cedar Funding XIV CLO Ltd., Series 2021-14A, Class A, (3-mo. CME Term SOFR + 1.36%), 6.76%, 07/15/33(a)(b) | | | | | | | 2,000 | | | | 1,998,000 | |
CIFC Funding Ltd.(a)(b) | | | | | | | | | | | | |
Series 2013-2A, Class A3LR, (3-mo. CME Term SOFR + 2.21%), 7.61%, 10/18/30 | | | | | | | 1,000 | | | | 988,980 | |
Series 2018-1A, Class C, (3-mo. CME Term SOFR + 2.01%), 7.41%, 04/18/31 | | | | | | | 1,000 | | | | 987,756 | |
Series 2018-1A, Class D, (3-mo. CME Term SOFR + 2.91%), 8.31%, 04/18/31 | | | | | | | 1,200 | | | | 1,180,383 | |
Series 2019-2A, Class BR, (3-mo. CME Term SOFR + 1.76%), 7.16%, 04/17/34 | | | | | | | 900 | | | | 895,701 | |
Series 2019-5A, Class A2RS, (3-mo. CME Term SOFR + 2.01%), 7.41%, 01/15/35 | | | | | | | 1,000 | | | | 997,503 | |
Series 2020-2A, Class AR, (3-mo. CME Term SOFR + 1.43%), 6.85%, 10/20/34 | | | | | | | 1,200 | | | | 1,199,087 | |
Series 2020-3A, Class A1R, (3-mo. CME Term SOFR + 1.39%), 6.81%, 10/20/34 | | | | | | | 1,000 | | | | 998,739 | |
Series 2021-1A, Class A1, (3-mo. CME Term SOFR + 1.37%), 6.75%, 04/25/33 | | | | | | | 1,500 | | | | 1,500,999 | |
Clover CLO LLC(a)(b) | | | | | | | | | | | | |
Series 2018-1A, Class A1R, (3-mo. CME Term SOFR + 1.38%), 6.80%, 04/20/32 | | | | | | | 3,500 | | | | 3,498,454 | |
Series 2021-1A, Class A, (3-mo. CME Term SOFR + 1.36%), 6.77%, 04/22/34 | | | | | | | 2,000 | | | | 2,001,517 | |
Series 2021-2A, Class B, (3-mo. CME Term SOFR + 2.01%), 7.43%, 07/20/34 | | | | | | | 1,000 | | | | 1,001,499 | |
Clover CLO Ltd., Series 2019-2A, Class AR, (3-mo. CME Term SOFR + 1.36%), 6.74%, 10/25/33(a)(b) | | | | | | | 1,000 | | | | 995,798 | |
Dryden CLO Ltd., Series 2020-77A, Class AR, (3-mo. CME Term SOFR + 1.38%), 6.75%, 05/20/34(a)(b) | | | | | | | 3,500 | | | | 3,498,007 | |
Elmwood CLO 15 Ltd., Series 2022-2A, Class A1, (3-mo. CME Term SOFR + 1.34%), 6.75%, 04/22/35(a)(b) | | | | | | | 1,200 | | | | 1,196,820 | |
Elmwood CLO II Ltd., Series 2019-2A, Class AR, (3-mo. CME Term SOFR + 1.41%), 6.83%, 04/20/34(a)(b) | | | | | | | 2,000 | | | | 1,999,466 | |
Elmwood CLO V Ltd., Series 2022-2A, Class AR, (3-mo. CME Term SOFR + 1.41%), 6.83%, 10/20/34(a)(b) | | | | | | | 1,000 | | | | 1,000,934 | |
Elmwood CLO VII Ltd., Series 2020-4A, Class AR, (3-mo. CME Term SOFR + 1.63%), 7.05%, 01/17/34(a) | | | | | | | 2,000 | | | | 2,000,543 | |
Elmwood CLO VIII Ltd., Series 2021-1A, Class A1, (3-mo. CME Term SOFR + 1.50%), 6.92%, 01/20/34(a)(b) | | | | | | | 2,000 | | | | 1,996,752 | |
Elmwood CLO XII Ltd., Series 2019-2A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.38%, 01/20/35(a)(b) | | | | | | | 2,000 | | | | 1,999,024 | |
Flatiron CLO Ltd., Series 2021-1A, Class A1, (3-mo. CME Term SOFR + 1.37%), 6.77%, 07/19/34(a)(b) | | | | | | | 1,931 | | | | 1,930,359 | |
Galaxy XX CLO Ltd., Series 2015-20A, Class D1R, (3-mo. CME Term SOFR + 2.86%), 8.28%, 04/20/31(a)(b) | | | | | | | 1,000 | | | | 986,774 | |
| | |
| 78 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Generate CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 2A, Class CR, (3-mo. CME Term SOFR + 2.11%), 7.52%, 01/22/31 | | | USD | | | | 1,500 | | | $ | 1,498,974 | |
Series 2A, Class DR, (3-mo. CME Term SOFR + 2.86%), 8.27%, 01/22/31 | | | | | | | 1,800 | | | | 1,764,082 | |
Series 6A, Class DR, (3-mo. CME Term SOFR + 1.46%), 6.87%, 01/22/35 | | | | | | | 2,500 | | | | 2,497,265 | |
Golub Capital Partners CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 2019-41A, Class AR, (3-mo. CME Term SOFR + 1.58%), 7.00%, 01/20/34 | | | | | | | 1,000 | | | | 999,384 | |
Series 2020-52A, Class A1, (3-mo. CME Term SOFR + 1.70%), 7.12%, 01/20/34 | | | | | | | 2,000 | | | | 2,011,725 | |
Series 2021-53A, Class B, (3-mo. CME Term SOFR + 2.06%), 7.48%, 07/20/34 | | | | | | | 1,000 | | | | 995,721 | |
HalseyPoint CLO Ltd., Series 2021-4A, Class A, (3-mo. CME Term SOFR + 1.48%), 6.90%, 04/20/34(a)(b) | | | | | | | 2,000 | | | | 1,997,455 | |
Highbridge Loan Management Ltd.(a)(b) | | | | | | | | | | | | |
Series 12A-18, Class B, (3-mo. CME Term SOFR + 2.11%), 7.51%, 07/18/31 | | | | | | | 1,250 | | | | 1,239,623 | |
Series 4A-2014, Class A2R, (3-mo. CME Term SOFR + 1.76%), 7.15%, 01/28/30 | | | | | | | 650 | | | | 649,299 | |
HPS Loan Management Ltd., Series 6A-2015, Class BR, (3-mo. CME Term SOFR + 2.01%), 7.40%, 02/05/31(a)(b) | | | | | | | 1,500 | | | | 1,499,261 | |
Long Point Park CLO Ltd., Series 2017-1A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.36%, 01/17/30(a)(b) | | | | | | | 1,000 | | | | 987,868 | |
Madison Park Funding L Ltd., Series 2021-50A, Class A, (3-mo. CME Term SOFR + 1.40%), 6.80%, 04/19/34(a)(b) | | | | | | | 1,270 | | | | 1,269,074 | |
Madison Park Funding XIII Ltd., Series 2014-13A, Class CR2, (3-mo. CME Term SOFR + 2.16%), 7.56%, 04/19/30(a)(b) | | | | | | | 1,000 | | | | 999,515 | |
Madison Park Funding XLVIII Ltd., Series 2021-48A, Class A, (3-mo. CME Term SOFR + 1.41%), 6.81%, 04/19/33(a)(b) | | | | | | | 1,000 | | | | 999,425 | |
Madison Park Funding XXVII Ltd.(a)(b) | | | | | | | | | | | | |
Series 2018-27A, Class B, (3-mo. CME Term SOFR + 2.06%), 7.48%, 04/20/30 | | | | | | | 1,000 | | | | 990,731 | |
Series 2018-27A, Class C, (3-mo. CME Term SOFR + 2.86%), 8.28%, 04/20/30 | | | | | | | 1,000 | | | | 978,449 | |
Madison Park Funding XXXVIII Ltd., Series 2021-38A, Class A, (3-mo. CME Term SOFR + 1.38%), 6.78%, 07/17/34(a)(b) | | | | | | | 1,070 | | | | 1,068,857 | |
Marble Point CLO XI Ltd., Series 2017-2A, Class B, (3-mo. CME Term SOFR + 1.76%), 7.16%, 12/18/30(a)(b) | | | | | | | 1,000 | | | | 986,259 | |
MP CLO III Ltd., Series 2013-1A, Class CR, (3-mo. CME Term SOFR + 2.26%), 7.68%, 10/20/30(a)(b) | | | | | | | 1,000 | | | | 987,193 | |
Neuberger Berman CLO XXII Ltd.(a)(b) | | | | | | | | | | | | |
Series 2016-22A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.31%, 10/17/30 | | | | | | | 400 | | | | 399,647 | |
Series 2016-22A, Class CR, (3-mo. CME Term SOFR + 2.46%), 7.86%, 10/17/30 | | | | | | | 1,000 | | | | 997,536 | |
Neuberger Berman Loan Advisers CLO
Ltd.(a)(b) | | | | | | | | | | | | |
Series 2017-26A, Class C, (3-mo. CME Term SOFR + 2.01%), 7.41%, 10/18/30 | | | | | | | 1,500 | | | | 1,483,260 | |
Series 2018-27A, Class D, (3-mo. CME Term SOFR + 2.86%), 8.26%, 01/15/30 | | | | | | | 1,000 | | | | 981,911 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Asset-Backed Securities (continued) | |
Neuberger Berman Loan Advisers CLO Ltd.(a)(b) (continued) | | | | | | | | | | | | |
Series 2019-35A, Class A1, (3-mo. CME Term SOFR + 1.60%), 7.00%, 01/19/33 | | | USD | | | | 1,000 | | | $ | 1,001,292 | |
Series 2021-45A, Class A, (3-mo. CME Term SOFR + 1.39%), 6.79%, 10/14/35 | | | | | | | 3,000 | | | | 2,996,328 | |
Series 2022-47A, Class A, (3-mo. CME Term SOFR + 1.30%), 6.69%, 04/14/35 | | | | | | | 1,000 | | | | 998,339 | |
OCP CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 2014-6A, Class BR, (3-mo. CME Term SOFR + 2.41%), 7.81%, 10/17/30 | | | | | | | 500 | | | | 499,792 | |
Series 2016-11A, Class BR, (3-mo. CME Term SOFR + 2.71%), 8.09%, 10/26/30 | | | | | | | 1,500 | | | | 1,502,569 | |
Series 2017-14A, Class B, (3-mo. CME Term SOFR + 2.21%), 7.58%, 11/20/30 | | | | | | | 1,000 | | | | 999,497 | |
Octagon Investment Partners 26 Ltd., Series 2016-1A, Class DR, (3-mo. CME Term SOFR + 3.11%), 8.51%, 07/15/30(a)(b) | | | | | | | 500 | | | | 469,458 | |
Octagon Investment Partners 34 Ltd., Series 2017-1A, Class B1, (3-mo. CME Term SOFR + 1.66%), 7.08%, 01/20/30(a)(b) | | | | | | | 1,000 | | | | 995,703 | |
Octagon Investment Partners XVII Ltd.(a)(b) | | | | | | | | | | | | |
Series 2013-1A, Class BR2, (3-mo. CME Term SOFR + 1.66%), 7.04%, 01/25/31 | | | | | | | 1,000 | | | | 993,739 | |
Series 2013-1A, Class CR2, (3-mo. CME Term SOFR + 1.96%), 7.34%, 01/25/31 | | | | | | | 1,000 | | | | 980,338 | |
Octagon Investment Partners XXII Ltd., Series 2014-1A, Class CRR, (3-mo. CME Term SOFR + 2.16%), 7.57%, 01/22/30(a)(b) | | | | | | | 900 | | | | 895,047 | |
OHA Credit Funding Ltd.(a)(b) | | | | | | | | | | | | |
Series 2019-3A, Class AR, (3-mo. CME Term SOFR + 1.40%), 6.82%, 07/02/35 | | | | | | | 1,750 | | | | 1,751,226 | |
Series 2020-5A, Class A1, (3-mo. CME Term SOFR + 1.43%), 6.83%, 04/18/33 | | | | | | | 1,000 | | | | 1,001,529 | |
Series 2020-7A, Class AR, (3-mo. CME Term SOFR + 1.30%), 6.70%, 02/24/37 | | | | | | | 1,250 | | | | 1,250,170 | |
Series 2021-10A, Class A, (3-mo. CME Term SOFR + 1.39%), 6.79%, 01/18/36 | | | | | | | 1,500 | | | | 1,500,753 | |
OHA Credit Partners XII Ltd., Series 2015-12A, Class DR, (3-mo. CME Term SOFR + 3.16%), 8.57%, 07/23/30(a)(b) | | | | | | | 600 | | | | 591,734 | |
OHA Credit Partners XVI, Series 2021-16A, Class A, (3-mo. CME Term SOFR + 1.41%), 6.81%, 10/18/34(a)(b) | | | | | | | 750 | | | | 749,790 | |
OZLM XXI Ltd., Series 2017-21A, Class B, (3-mo. CME Term SOFR + 2.16%), 7.58%, 01/20/31(a)(b) | | | | | | | 1,800 | | | | 1,799,128 | |
Palmer Square CLO Ltd.(a) | | | | | | | | | | | | |
Series 2015-1A, Class A2R4, (3-mo. CME Term SOFR + 1.96%), 7.33%, 05/21/34(b) | | | | | | | 2,500 | | | | 2,489,504 | |
Series 2018-1A, Class A2, (3-mo. CME Term SOFR + 1.71%), 7.11%, 04/18/31(b) | | | | | | | 1,500 | | | | 1,497,631 | |
Series 2019-1A, Class CR, (3-mo. CME Term SOFR + 3.31%), 8.69%, 11/14/34(b) | | | | | | | 1,000 | | | | 979,311 | |
Series 2020-3ARR, Class A1R2, (3-mo. CME Term SOFR + 1.65%), 7.02%, 11/15/36(c) | | | | | | | 1,500 | | | | 1,500,150 | |
Series 2021-2A, Class A, (3-mo. CME Term SOFR + 1.41%), 6.81%, 07/15/34(b) | | | | | | | 2,000 | | | | 1,996,849 | |
Series 2021-4A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.31%, 10/15/34(b) | | | | | | | 1,250 | | | | 1,246,025 | |
| | |
SCHEDULE OF INVESTMENTS | | 79 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Regatta VI Funding Ltd., Series 2016-1A, Class AR2, (3-mo. CME Term SOFR + 1.42%), 6.84%, 04/20/34(a)(b) | | | USD | | | | 2,000 | | | $ | 1,997,809 | |
Regatta VII Funding Ltd., Series 2016-1A, Class DR2, (3-mo. CME Term SOFR + 3.31%), 8.68%, 06/20/34(a)(b) | | | | | | | 500 | | | | 492,093 | |
Regatta XV Funding Ltd., Series 2018-4A, Class A2, (3-mo. CME Term SOFR + 2.11%), 7.49%, 10/25/31(a)(b) | | | | | | | 1,200 | | | | 1,198,098 | |
Regatta XVI Funding Ltd.(a)(b) | | | | | | | | | | | | |
Series 2019-2A, Class C, (3-mo. CME Term SOFR + 2.96%), 8.36%, 01/15/33 | | | | | | | 1,000 | | | | 1,000,020 | |
Series 2019-2A, Class D, (3-mo. CME Term SOFR + 4.16%), 9.56%, 01/15/33 | | | | | | | 1,000 | | | | 982,184 | |
Regatta XVIII Funding Ltd., Series 2021-1A, Class B, (3-mo. CME Term SOFR + 1.71%), 7.11%, 01/15/34(a)(b) | | | | | | | 1,000 | | | | 994,226 | |
Rockford Tower CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 2017-3A, Class A, (3-mo. CME Term SOFR + 1.45%), 6.87%, 10/20/30 | | | | | | | 1,739 | | | | 1,738,874 | |
Series 2017-3A, Class D, (3-mo. CME Term SOFR + 2.91%), 8.33%, 10/20/30 | | | | | | | 1,000 | | | | 971,491 | |
RR Ltd., Series 2018-5A, Class C, (3-mo. CME Term SOFR + 3.36%), 8.76%, 10/15/31(a)(b) | | | | | | | 650 | | | | 635,833 | |
Signal Peak CLO Ltd.(a)(b) | | | | | | | | | | | | |
Series 2020-8A, Class A, (3-mo. CME Term SOFR + 1.53%), 6.95%, 04/20/33 | | | | | | | 6,000 | | | | 5,989,261 | |
Series 2020-8A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.33%, 04/20/33 | | | | | | | 1,650 | | | | 1,633,237 | |
Sixth Street CLO XX Ltd., Series 2021-20A, Class A1, (3-mo. CME Term SOFR + 1.42%), 6.84%, 10/20/34(a)(b) | | | | | | | 1,325 | | | | 1,323,103 | |
Sound Point CLO XXI Ltd., Series 2018-3A, Class A1A, (3-mo. CME Term SOFR + 1.44%), 6.82%, 10/26/31(a)(b) | | | | | | | 1,400 | | | | 1,398,486 | |
Stewart Park CLO Ltd., Series 2015-1A, Class DR, (3-mo. CME Term SOFR + 2.86%), 8.26%, 01/15/30(a)(b) | | | | | | | 1,500 | | | | 1,417,830 | |
Symphony CLO XXVIII Ltd., Series 2021-28A, Class A, (3-mo. CME Term SOFR + 1.40%), 6.81%, 10/23/34(a)(b) | | | | | | | 1,900 | | | | 1,896,348 | |
Tiaa CLO III Ltd., Series 2017-2A, Class A, (3-mo. CME Term SOFR + 1.41%), 6.81%, 01/16/31(a)(b) | | | | | | | 2,122 | | | | 2,121,801 | |
TICP CLO IX Ltd., Series 2017-9A, Class A, (3-mo. CME Term SOFR + 1.40%), 6.82%, 01/20/31(a)(b) | | | | | | | 744 | | | | 745,061 | |
TICP CLO VI Ltd., Series 2016-6A, Class AR2, (3-mo. CME Term SOFR + 1.38%), 6.78%, 01/15/34(a)(b) | | | | | | | 2,000 | | | | 1,996,532 | |
TICP CLO X Ltd., Series 2018-10A, Class B, (3-mo. CME Term SOFR + 1.73%), 7.15%, 04/20/31(a)(b) | | | | | | | 1,300 | | | | 1,298,334 | |
TICP CLO XII Ltd., Series 2018-12A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.31%, 07/15/34(a)(b) | | | | | | | 1,000 | | | | 994,325 | |
TICP CLO XIV Ltd., Series 2019-14A, Class A2R, (3-mo. CME Term SOFR + 1.91%), 7.33%, 10/20/32(a)(b) | | | | | | | 1,750 | | | | 1,742,170 | |
Trimaran CAVU Ltd.(a)(b) | | | | | | | | | | | | |
Series 2021-2A, Class B1, (3-mo. CME Term SOFR + 2.01%), 7.39%, 10/25/34 | | | | | | | 1,500 | | | | 1,483,238 | |
Series 2022-2A, Class A, (3-mo. CME Term SOFR + 2.50%), 7.92%, 01/20/36 | | | | | | | 2,500 | | | | 2,514,419 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
Asset-Backed Securities (continued) | |
Trimaran CAVU Ltd.(a)(b) (continued) | | | | | | | | | | | | |
Series 2022-2A, Class B1, (3-mo. CME Term SOFR + 3.40%), 8.82%, 01/20/36 | | | USD | | | | 1,500 | | | $ | 1,505,856 | |
Whitebox CLO I Ltd., Series 2019-1A, Class ANAR, (3-mo. CME Term SOFR + 1.39%), 6.79%, 07/24/32(a)(b) | | | | | | | 1,000 | | | | 998,095 | |
Whitebox CLO IV Ltd.(a)(b) | | | | | | | | | | | | |
Series 2023-4A, Class A1, (3-mo. CME Term SOFR + 2.15%), 7.57%, 04/20/36 | | | | | | | 2,000 | | | | 2,010,153 | |
Series 2023-4A, Class B1, (3-mo. CME Term SOFR + 2.60%), 8.02%, 04/20/36 | | | | | | | 1,000 | | | | 1,001,612 | |
| | | | | | | | | | | | |
| |
Total Asset-Backed Securities — 15.2%
(Cost: $162,578,640) | | | | 164,686,964 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Shares | | | | |
| | | |
Common Stocks | | | | | | | | | | | | |
|
| Consumer Finance — 0.0% | |
Travelport Finance Luxembourg SARL | | | | | | | 25 | | | | 58,536 | |
| | | | | | | | | | | | |
|
| Health Care Providers & Services — 0.0% | |
Envision Healthcare Corp.(c)(d) | | | | | | | 3,236 | | | | 24,270 | |
| | | | | | | | | | | | |
|
| Media — 0.0% | |
Learfield Communications LLC, (Acquired 09/06/23, Cost: $8,979)(c)(d)(e) | | | | | | | 715 | | | | 30,387 | |
| | | | | | | | | | | | |
| |
Total Common Stocks — 0.0%
(Cost: $205,411) | | | | 113,193 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Par
(000) | | | | |
|
| Corporate Bonds | |
|
| Aerospace & Defense — 4.8% | |
Boeing Co., 5.15%, 05/01/30(f) | | | USD | | | | 6,775 | | | | 6,897,024 | |
Bombardier, Inc.(b) | | | | | | | | | | | | |
7.13%, 06/15/26(f) | | | | | | | 1,026 | | | | 1,021,210 | |
7.88%, 04/15/27(f) | | | | | | | 676 | | | | 676,119 | |
7.50%, 02/01/29(f) | | | | | | | 1,307 | | | | 1,328,667 | |
8.75%, 11/15/30 | | | | | | | 647 | | | | 688,863 | |
7.45%, 05/01/34 | | | | | | | 327 | | | | 372,780 | |
Embraer Netherlands Finance BV, 7.00%, 07/28/30(b) | | | | | | | 565 | | | | 590,363 | |
F-Brasile SpA/F-Brasile U.S. LLC, Series XR, 7.38%, 08/15/26(b)(f) | | | | | | | 1,000 | | | | 977,355 | |
General Dynamics Corp., 4.25%, 04/01/50(f) | | | | | | | 1,260 | | | | 1,168,689 | |
Moog, Inc., 4.25%, 12/15/27(b) | | | | | | | 320 | | | | 302,162 | |
Northrop Grumman Corp.(f) | | | | | | | | | | | | |
4.03%, 10/15/47 | | | | | | | 2,400 | | | | 2,054,678 | |
5.25%, 05/01/50 | | | | | | | 3,050 | | | | 3,139,394 | |
Rolls-Royce PLC(b) | | | | | | | | | | | | |
3.63%, 10/14/25 | | | | | | | 200 | | | | 192,100 | |
5.75%, 10/15/27 | | | | | | | 2,133 | | | | 2,136,664 | |
RTX Corp. | | | | | | | | | | | | |
4.63%, 11/16/48 | | | | | | | 2,805 | | | | 2,559,439 | |
3.13%, 07/01/50(f) | | | | | | | 3,545 | | | | 2,496,503 | |
6.40%, 03/15/54 | | | | | | | 1,100 | | | | 1,273,449 | |
Spirit AeroSystems, Inc.(b) | | | | | | | | | | | | |
9.38%, 11/30/29(f) | | | | | | | 712 | | | | 779,123 | |
9.75%, 11/15/30 | | | | | | | 717 | | | | 770,756 | |
| | |
| 80 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Aerospace & Defense (continued) | | | | | | | | | |
TransDigm, Inc.(b)
6.25%, 03/15/26 | | | USD | | | | 15,488 | | | $ | 15,461,241 | |
6.75%, 08/15/28 | | | | | | | 3,227 | | | | 3,301,486 | |
7.13%, 12/01/31 | | | | | | | 1,699 | | | | 1,780,408 | |
Triumph Group, Inc., 9.00%, 03/15/28(b) | | | | | | | 1,628 | | | | 1,731,126 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 51,699,599 | |
|
| Air Freight & Logistics — 0.6% | |
FedEx Corp., 5.25%, 05/15/50(f) | | | | | | | 6,000 | | | | 5,971,707 | |
| | | | | | | | | | | | |
|
| Automobile Components — 1.1% | |
Clarios Global LP, 6.75%, 05/15/25(b) | | | | | | | 631 | | | | 636,553 | |
Clarios Global LP/Clarios U.S. Finance Co.
4.38%, 05/15/26(g) | | | EUR | | | | 246 | | | | 269,260 | |
6.25%, 05/15/26(b)(f) | | | USD | | | | 2,043 | | | | 2,045,652 | |
8.50%, 05/15/27(b)(f) | | | | | | | 7,045 | | | | 7,069,559 | |
6.75%, 05/15/28(b)(f) | | | | | | | 1,200 | | | | 1,224,258 | |
Goodyear Tire & Rubber Co.
5.00%, 07/15/29(f) | | | | | | | 207 | | | | 195,579 | |
5.63%, 04/30/33 | | | | | | | 53 | | | | 47,508 | |
SK On Co. Ltd., 5.38%, 05/11/26(g) | | | | | | | 200 | | | | 201,296 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,689,665 | |
|
| Automobiles — 1.3% | |
Asbury Automotive Group, Inc.
4.50%, 03/01/28 | | | | | | | 221 | | | | 209,895 | |
5.00%, 02/15/32(b) | | | | | | | 293 | | | | 266,279 | |
Ford Motor Co.(f)
3.25%, 02/12/32 | | | | | | | 171 | | | | 142,221 | |
6.10%, 08/19/32 | | | | | | | 3,129 | | | | 3,154,129 | |
General Motors Co.(f)
6.25%, 10/02/43 | | | | | | | 940 | | | | 958,916 | |
5.95%, 04/01/49 | | | | | | | 3,455 | | | | 3,380,481 | |
Hyundai Capital America
5.50%, 03/30/26(g) | | | | | | | 200 | | | | 201,038 | |
2.38%, 10/15/27(g) | | | | | | | 200 | | | | 180,130 | |
(1-day SOFR + 1.32%), 6.71%, 11/03/25(a) | | | | | | | 200 | | | | 200,346 | |
Jaguar Land Rover Automotive PLC, 4.50%, 10/01/27(g) | | | | | | | 500 | | | | 471,723 | |
LCM Investments Holdings II LLC(b)
4.88%, 05/01/29 | | | | | | | 535 | | | | 496,969 | |
8.25%, 08/01/31 | | | | | | | 370 | | | | 386,171 | |
Nissan Motor Acceptance Co. LLC
6.95%, 09/15/26(b)(f) | | | | | | | 3,265 | | | | 3,372,676 | |
6.95%, 09/15/26 | | | | | | | 75 | | | | 77,474 | |
7.05%, 09/15/28 | | | | | | | 150 | | | | 158,254 | |
Nissan Motor Co. Ltd., 4.81%, 09/17/30 | | | | | | | 200 | | | | 186,981 | |
TML Holdings Pte. Ltd., 4.35%, 06/09/26(g) | | | | | | | 200 | | | | 189,813 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,033,496 | |
|
| Banks — 8.9% | |
ABQ Finance Ltd., 3.13%, 09/24/24(g) | | | | | | | 200 | | | | 196,000 | |
Abu Dhabi Commercial Bank PJSC, 3.50%, 03/31/27(g) | | | | | | | 212 | | | | 201,135 | |
Agricultural Bank of China Ltd./New York, 1.25%, 01/19/26(g) | | | | | | | 200 | | | | 186,304 | |
Australia & New Zealand Banking Group Ltd., (5-year CMT + 1.70%), 2.57%,
11/25/35(a)(b)(f) | | | | | | | 5,445 | | | | 4,391,320 | |
Bangkok Bank PCL/Hong Kong
4.45%, 09/19/28(g) | | | | | | | 200 | | | | 196,178 | |
(5-year CMT + 1.90%), 3.73%,
09/25/34(a)(g) | | | | | | | 200 | | | | 177,052 | |
(5-year CMT + 4.73%), 5.00%(a) | | | | | | | 222 | | | | 213,675 | |
Bank Mandiri Persero Tbk PT, 5.50%, 04/04/26(f)(g) | | | | | | | 200 | | | | 200,563 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Banks (continued) | | | | | | | | | |
Bank Negara Indonesia Persero Tbk PT, 3.75%, 03/30/26(g) | | | USD | | | | 200 | | | $ | 190,200 | |
Bank of America Corp.(a) | | | | | | | | | | | | |
(1-day SOFR + 1.83%), 4.57%, 04/27/33(f) | | | | | | | 9,380 | | | | 8,940,844 | |
(1-day SOFR + 1.99%), 6.20%, 11/10/28 | | | | | | | 3,090 | | | | 3,223,305 | |
Bank of China Ltd./London, 0.97%, 11/02/24(g) | | | | | | | 200 | | | | 193,208 | |
Bank of China Ltd./Luxembourg, 1.40%, 04/28/26(g) | | | | | | | 200 | | | | 185,336 | |
Barclays PLC, (3-mo. LIBOR US + 1.90%), 4.97%, 05/16/29(a)(f) | | | | | | | 3,220 | | | | 3,160,976 | |
China CITIC Bank International Ltd., (5-year CMT + 1.65%), 6.00%, 12/05/33(a) | | | | | | | 250 | | | | 256,310 | |
China Construction Bank Corp., (5-year CMT + 2.15%), 2.45%, 06/24/30(a)(g) | | | | | | | 200 | | | | 191,302 | |
Citigroup, Inc.(f)
6.68%, 09/13/43 | | | | | | | 4,125 | | | | 4,627,915 | |
(1-day SOFR + 2.66%), 6.17%, 05/25/34(a) | | | | | | | 2,740 | | | | 2,835,284 | |
Deutsche Bank AG/New York(a) | | | | | | | | | | | | |
(1-day SOFR + 1.87%), 2.13%, 11/24/26(f) | | | | | | | 3,260 | | | | 3,055,658 | |
(1-day SOFR + 2.51%), 6.82%, 11/20/29 | | | | | | | 3,975 | | | | 4,185,057 | |
Freedom Mortgage Corp.
12.00%, 10/01/28(b) | | | | | | | 147 | | | | 160,543 | |
12.25%, 10/01/30 | | | | | | | 147 | | | | 161,370 | |
Goldman Sachs Group, Inc., (1-day SOFR + 1.85%), 3.62%, 03/15/28(a)(f) | | | | | | | 1,830 | | | | 1,755,218 | |
Industrial & Commercial Bank of China Ltd./Hong Kong, 2.95%, 06/01/25(g) | | | | | | | 200 | | | | 194,378 | |
Industrial & Commercial Bank of China Macau Ltd., (5-year CMT + 1.65%), 2.88%, 09/12/29(a)(g) | | | | | | | 200 | | | | 196,313 | |
Intesa Sanpaolo SpA, 5.71%, 01/15/26(b) | | | | | | | 9,840 | | | | 9,790,684 | |
JPMorgan Chase & Co., (1-day SOFR + 2.58%), 5.72%, 09/14/33(a)(f) | | | | | | | 11,000 | | | | 11,381,696 | |
Kasikornbank PCL/Hong Kong, (5-year CMT + 1.70%), 3.34%, 10/02/31(a)(g) | | | | | | | 468 | | | | 430,607 | |
KB Kookmin Card Co. Ltd., 4.00%, 06/09/25(g) | | | | | | | 200 | | | | 196,144 | |
Macquarie Bank Ltd., 6.80%, 01/18/33(b)(f) | | | | | | | 5,110 | | | | 5,431,598 | |
NongHyup Bank, 4.00%, 01/06/26(g) | | | | | | | 200 | | | | 196,162 | |
QNB Finance Ltd., 2.63%, 05/12/25(g) | | | | | | | 200 | | | | 192,500 | |
Shinhan Financial Group Co. Ltd., 1.35%, 01/10/26(g) | | | | | | | 200 | | | | 185,710 | |
SNB Funding Ltd., 2.75%, 10/02/24(g) | | | | | | | 200 | | | | 194,750 | |
State Street Corp., (1-day SOFR + 1.72%), 5.82%, 11/04/28(a)(f) | | | | | | | 2,925 | | | | 3,035,033 | |
Truist Financial Corp., (1-day SOFR + 2.05%), 6.05%, 06/08/27(a)(f) | | | | | | | 9,310 | | | | 9,473,977 | |
UBS Group AG, (1-year CMT + 1.55%), 4.49%, 05/12/26(a)(b) | | | | | | | 2,585 | | | | 2,545,674 | |
UniCredit SpA, (5-year CMT + 4.75%), 5.46%, 06/30/35(a)(b) | | | | | | | 6,135 | | | | 5,769,831 | |
United Overseas Bank Ltd., 1.25%, 04/14/26(g) | | | | | | | 200 | | | | 184,846 | |
Wells Fargo & Co.(f)
5.61%, 01/15/44 | | | | | | | 4,119 | | | | 4,100,187 | |
(1-day SOFR + 1.51%), 3.53%, 03/24/28(a) | | | | | | | 4,075 | | | | 3,887,625 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 96,272,468 | |
|
| Beverages — 1.1% | |
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46 | | | | | | | 6,170 | | | | 6,048,089 | |
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 01/23/49(f) | | | | | | | 5,000 | | | | 5,373,054 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,421,143 | |
| | |
SCHEDULE OF INVESTMENTS | | 81 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Biotechnology — 0.6% | | | | | | | | | |
Baxalta, Inc., 5.25%, 06/23/45(f) | | | USD | | | | 6,000 | | | $ | 5,976,872 | |
| | | | | | | | | | | | |
| | | |
| Broadline Retail — 0.1% | | | | | | | | | |
Alibaba Group Holding Ltd.
3.60%, 11/28/24 | | | | | | | 200 | | | | 196,300 | |
2.70%, 02/09/41 | | | | | | | 200 | | | | 136,230 | |
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26(b) | | | | | | | 222 | | | | 213,330 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 545,860 | |
|
| Building Products — 1.0% | |
Advanced Drainage Systems, Inc.(b)
5.00%, 09/30/27 | | | | | | | 173 | | | | 166,945 | |
6.38%, 06/15/30 | | | | | | | 724 | | | | 729,425 | |
Beacon Roofing Supply, Inc.(b)
4.13%, 05/15/29 | | | | | | | 86 | | | | 78,402 | |
6.50%, 08/01/30 | | | | | | | 373 | | | | 381,382 | |
GYP Holdings III Corp., 4.63%, 05/01/29(b) | | | | | | | 350 | | | | 319,516 | |
Lowe’s Cos., Inc., 5.63%, 04/15/53(f) | | | | | | | 4,345 | | | | 4,555,409 | |
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26(b) | | | | | | | 113 | | | | 110,826 | |
SRS Distribution, Inc.(b)
4.63%, 07/01/28 | | | | | | | 904 | | | | 857,621 | |
6.13%, 07/01/29(f) | | | | | | | 1,062 | | | | 1,006,808 | |
6.00%, 12/01/29(f) | | | | | | | 1,003 | | | | 935,204 | |
White Cap Buyer LLC, 6.88%, 10/15/28(b)(f) | | | | | | | 2,121 | | | | 2,053,153 | |
White Cap Parent LLC, (8.25% Cash or 9.00% PIK), 8.25%, 03/15/26(b)(f)(h) | | | | | | | 92 | | | | 91,573 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,286,264 | |
|
| Capital Markets — 0.5% | |
Aretec Group, Inc., 10.00%, 08/15/30(b) | | | | | | | 140 | | | | 148,771 | |
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29(b)(f) | | | | | | | 447 | | | | 422,246 | |
Huarong Finance II Co. Ltd., 4.63%, 06/03/26(g) | | | | | | | 200 | | | | 189,750 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
6.25%, 05/15/26 | | | | | | | 788 | | | | 751,839 | |
5.25%, 05/15/27(f) | | | | | | | 2,860 | | | | 2,568,921 | |
9.75%, 01/15/29 | | | | | | | 426 | | | | 434,605 | |
4.38%, 02/01/29(f) | | | | | | | 374 | | | | 312,312 | |
Korea Investment & Securities Co. Ltd., 6.88%, 11/06/26 | | | | | | | 200 | | | | 204,246 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,032,690 | |
|
| Chemicals — 2.6% | |
Ashland LLC, 3.38%, 09/01/31(b) | | | | | | | 80 | | | | 68,953 | |
Avient Corp., 7.13%, 08/01/30(b)(f) | | | | | | | 180 | | | | 187,247 | |
Axalta Coating Systems Dutch Holding B BV, 7.25%, 02/15/31(b) | | | | | | | 384 | | | | 402,714 | |
Axalta Coating Systems LLC, 3.38%, 02/15/29(b) | | | | | | | 940 | | | | 843,583 | |
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27(b) | | | | | | | 597 | | | | 580,151 | |
Bluestar Finance Holdings Ltd., 3.38%, 07/16/24(g) | | | | | | | 200 | | | | 197,358 | |
Chemours Co.(b)
5.75%, 11/15/28 | | | | | | | 293 | | | | 279,084 | |
4.63%, 11/15/29 | | | | | | | 261 | | | | 229,146 | |
CNAC HK Finbridge Co. Ltd., 2.00%, 09/22/25(g) | | | | | | | 300 | | | | 283,236 | |
DuPont de Nemours, Inc., 5.42%, 11/15/48(f) | | | | | | | 7,500 | | | | 7,794,492 | |
Element Solutions, Inc., 3.88%, 09/01/28(b) | | | | | | | 3,039 | | | | 2,797,815 | |
GC Treasury Center Co. Ltd., 2.98%, 03/18/31(g) | | | | | | | 200 | | | | 168,082 | |
Herens Holdco SARL, 4.75%, 05/15/28(b) | | | | | | | 200 | | | | 164,077 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Chemicals (continued) | | | | | | | | | |
Illuminate Buyer LLC/Illuminate Holdings IV, Inc.,
9.00%, 07/01/28(b)(f) | | | USD | | | | 445 | | | $ | 425,509 | |
Ingevity Corp., 3.88%, 11/01/28(b) | | | | | | | 100 | | | | 89,553 | |
LG Chem Ltd., 2.38%, 07/07/31(g) | | | | | | | 200 | | | | 165,666 | |
LYB Finance Co. BV, 8.10%, 03/15/27(b) | | | | | | | 6,000 | | | | 6,459,175 | |
NOVA Chemicals Corp., 4.88%, 06/01/24(b) | | | | | | | 113 | | | | 112,012 | |
Olympus Water U.S. Holding Corp., 9.75%, 11/15/28(b) | | | | | | | 1,466 | | | | 1,556,002 | |
SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, 11/01/26(b)(f) | | | | | | | 480 | | | | 460,767 | |
Scotts Miracle-Gro Co.
4.50%, 10/15/29 | | | | | | | 45 | | | | 39,983 | |
4.00%, 04/01/31 | | | | | | | 250 | | | | 212,101 | |
4.38%, 02/01/32 | | | | | | | 187 | | | | 158,019 | |
SK Invictus Intermediate II SARL, 5.00%, 10/30/29(b) | | | | | | | 1,061 | | | | 920,418 | |
UPL Corp. Ltd., (5-year CMT + 3.87%),
5.25%(a)(g)(i) | | | | | | | 500 | | | | 376,895 | |
WR Grace Holdings LLC(b)
4.88%, 06/15/27 | | | | | | | 224 | | | | 215,511 | |
5.63%, 08/15/29(f) | | | | | | | 2,281 | | | | 2,007,182 | |
7.38%, 03/01/31 | | | | | | | 373 | | | | 373,114 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 27,567,845 | |
|
| Commercial Services & Supplies — 2.6% | |
ADT Security Corp.(b)
4.13%, 08/01/29 | | | | | | | 91 | | | | 83,549 | |
4.88%, 07/15/32 | | | | | | | 518 | | | | 479,145 | |
AerCap Global Aviation Trust, (3-mo. CME Term SOFR + 4.56%), 6.50%, 06/15/45(a)(b) | | | | | | | 5,000 | | | | 5,007,450 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp.(b)
6.63%, 07/15/26(f) | | | | | | | 5,356 | | | | 5,327,875 | |
9.75%, 07/15/27(f) | | | | | | | 3,786 | | | | 3,709,889 | |
6.00%, 06/01/29 | | | | | | | 200 | | | | 163,059 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL, 4.63%, 06/01/28(b) | | | | | | | 2,588 | | | | 2,359,698 | |
APX Group, Inc., 5.75%, 07/15/29(b) | | | | | | | 555 | | | | 517,401 | |
Fortress Transportation and Infrastructure Investors LLC
6.50%, 10/01/25(b) | | | | | | | 1,040 | | | | 1,036,670 | |
9.75%, 08/01/27(b) | | | | | | | 511 | | | | 531,440 | |
5.50%, 05/01/28(b)(f) | | | | | | | 1,306 | | | | 1,255,907 | |
7.88%, 12/01/30 | | | | | | | 915 | | | | 953,229 | |
Garda World Security Corp.(b)
4.63%, 02/15/27 | | | | | | | 194 | | | | 187,053 | |
9.50%, 11/01/27 | | | | | | | 165 | | | | 166,345 | |
7.75%, 02/15/28 | | | | | | | 860 | | | | 889,764 | |
6.00%, 06/01/29 | | | | | | | 37 | | | | 33,166 | |
Herc Holdings, Inc., 5.50%, 07/15/27(b)(f) | | | | | | | 1,181 | | | | 1,166,021 | |
Metis Merger Sub LLC, 6.50%, 05/15/29(b) | | | | | | | 310 | | | | 280,342 | |
Neptune Bidco U.S., Inc., 9.29%, 04/15/29(b) | | | | | | | 258 | | | | 240,584 | |
NESCO Holdings II, Inc., 5.50%, 04/15/29(b) | | | | | | | 356 | | | | 329,154 | |
Prime Security Services Borrower LLC/Prime Finance, Inc.(b)
5.75%, 04/15/26 | | | | | | | 144 | | | | 144,780 | |
6.25%, 01/15/28(f) | | | | | | | 879 | | | | 873,874 | |
Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29(b)(f) | | | | | | | 882 | | | | 762,806 | |
Williams Scotsman, Inc.
6.13%, 06/15/25(b) | | | | | | | 823 | | | | 824,621 | |
| | |
| 82 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Commercial Services & Supplies (continued) | |
Williams Scotsman, Inc. (continued)
4.63%, 08/15/28(b) | | | USD | | | | 269 | | | $ | 254,078 | |
7.38%, 10/01/31 | | | | | | | 589 | | | | 617,718 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 28,195,618 | |
|
| Communications Equipment — 0.3% | |
CommScope Technologies LLC, 6.00%, 06/15/25(b)(f) | | | | | | | 369 | | | | 300,735 | |
CommScope, Inc., 4.75%, 09/01/29(b) | | | | | | | 417 | | | | 279,976 | |
Viasat, Inc.
5.63%, 09/15/25(b) | | | | | | | 996 | | | | 971,139 | |
5.63%, 04/15/27(b)(f) | | | | | | | 821 | | | | 794,318 | |
7.50%, 05/30/31 | | | | | | | 74 | | | | 58,090 | |
Viavi Solutions, Inc., 3.75%, 10/01/29(b) | | | | | | | 412 | | | | 360,681 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,764,939 | |
|
| Construction & Engineering — 0.3% | |
Brand Industrial Services, Inc., 10.38%, 08/01/30 | | | | | | | 2,257 | | | | 2,386,845 | |
Dycom Industries, Inc., 4.50%, 04/15/29(b) | | | | | | | 26 | | | | 24,126 | |
Pike Corp., 8.63%, 01/31/31(b) | | | | | | | 126 | | | | 132,406 | |
Signature Aviation U.S. Holdings, Inc., 4.00%, 03/01/28(b) | | | | | | | 541 | | | | 493,663 | |
Summit Digitel Infrastructure Ltd., 2.88%, 08/12/31(g) | | | | | | | 200 | | | | 164,078 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,201,118 | |
|
| Construction Materials — 1.1% | |
American Builders & Contractors Supply Co., Inc., Series A, 3.88%, 11/15/29(b) | | | | | | | 24 | | | | 21,395 | |
BCPE Empire Holdings, Inc., 7.63%, 05/01/27(b) | | | | | | | 568 | | | | 547,703 | |
Camelot Return Merger Sub, Inc., 8.75%, 08/01/28(b) | | | | | | | 336 | | | | 341,050 | |
Emerald Debt Merger Sub LLC(b)
6.38%, 12/15/30 | | | EUR | | | | 240 | | | | 282,978 | |
6.63%, 12/15/30 | | | USD | | | | 4,342 | | | | 4,434,789 | |
H&E Equipment Services, Inc., 3.88%, 12/15/28(b) | | | | | | | 132 | | | | 120,030 | |
Jeld-Wen, Inc., 4.63%, 12/15/25(b) | | | | | | | 328 | | | | 317,340 | |
Masonite International Corp., 5.38%, 02/01/28(b)(f) | | | | | | | 235 | | | | 225,600 | |
New Enterprise Stone & Lime Co., Inc., 5.25%, 07/15/28(b) | | | | | | | 163 | | | | 155,487 | |
Resideo Funding, Inc., 4.00%, 09/01/29(b) | | | | | | | 97 | | | | 84,632 | |
Ritchie Bros Holdings, Inc., 6.75%, 03/15/28(b) | | | | | | | 117 | | | | 120,460 | |
Smyrna Ready Mix Concrete LLC
6.00%, 11/01/28(b)(f) | | | | | | | 1,146 | | | | 1,128,328 | |
8.88%, 11/15/31 | | | | | | | 1,013 | | | | 1,064,841 | |
Standard Industries, Inc./New Jersey
2.25%, 11/21/26(g) | | | EUR | | | | 156 | | | | 162,314 | |
5.00%, 02/15/27(b) | | | USD | | | | 412 | | | | 401,674 | |
4.75%, 01/15/28(b) | | | | | | | 26 | | | | 25,030 | |
4.38%, 07/15/30(b)(f) | | | | | | | 1,443 | | | | 1,325,234 | |
3.38%, 01/15/31(b) | | | | | | | 393 | | | | 338,086 | |
Summit Materials LLC/Summit Materials Finance Corp.(b)
5.25%, 01/15/29 | | | | | | | 90 | | | | 87,075 | |
7.25%, 01/15/31 | | | | | | | 659 | | | | 694,391 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,878,437 | |
|
| Consumer Finance — 2.6% | |
Block, Inc.(f)
2.75%, 06/01/26 | | | | | | | 1,181 | | | | 1,113,718 | |
3.50%, 06/01/31 | | | | | | | 2,098 | | | | 1,862,921 | |
Bread Financial Holdings, Inc., 9.75%, 03/15/29(b) | | | | | | | 198 | | | | 205,262 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Consumer Finance (continued) | |
Capital One Financial Corp., (1-day SOFR + 2.64%), 6.31%, 06/08/29(a)(f) | | | USD | | | | 6,980 | | | $ | 7,160,852 | |
Ford Motor Credit Co. LLC
7.35%, 03/06/30 | | | | | | | 417 | | | | 447,983 | |
7.20%, 06/10/30 | | | | | | | 821 | | | | 874,403 | |
Global Payments, Inc., 5.95%, 08/15/52(f) | | | | | | | 4,547 | | | | 4,633,203 | |
GTCR W-2 Merger Sub LLC, 7.50%, 01/15/31(b) | | | | | | | 1,869 | | | | 1,975,014 | |
Navient Corp.
5.50%, 03/15/29(f) | | | | | | | 480 | | | | 442,628 | |
9.38%, 07/25/30 | | | | | | | 414 | | | | 433,738 | |
OneMain Finance Corp.
6.88%, 03/15/25 | | | | | | | 112 | | | | 113,375 | |
7.13%, 03/15/26(f) | | | | | | | 781 | | | | 795,674 | |
6.63%, 01/15/28 | | | | | | | 295 | | | | 297,814 | |
9.00%, 01/15/29(f) | | | | | | | 573 | | | | 605,792 | |
5.38%, 11/15/29(f) | | | | | | | 1,233 | | | | 1,154,579 | |
7.88%, 03/15/30 | | | | | | | 552 | | | | 568,213 | |
4.00%, 09/15/30 | | | | | | | 141 | | | | 120,662 | |
Sabre GLBL, Inc., 8.63%, 06/01/27 | | | | | | | 562 | | | | 511,431 | |
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(b) | | | | | | | 788 | | | | 766,259 | |
Shinhan Card Co. Ltd., 1.38%, 10/19/25(g) | | | | | | | 200 | | | | 186,640 | |
SLM Corp., 3.13%, 11/02/26 | | | | | | | 347 | | | | 323,555 | |
Verscend Escrow Corp., 9.75%, 08/15/26(b) | | | | | | | 3,791 | | | | 3,817,643 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 28,411,359 | |
|
| Consumer Staples Distribution & Retail — 2.3% | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(b)
3.25%, 03/15/26 | | | | | | | 1,147 | | | | 1,082,201 | |
4.63%, 01/15/27 | | | | | | | 1,961 | | | | 1,906,489 | |
5.88%, 02/15/28 | | | | | | | 928 | | | | 928,623 | |
6.50%, 02/15/28 | | | | | | | 237 | | | | 239,832 | |
3.50%, 03/15/29 | | | | | | | 158 | | | | 143,461 | |
4.88%, 02/15/30(f) | | | | | | | 387 | | | | 370,485 | |
CK Hutchison International 21 Ltd., 2.50%, 04/15/31(f)(g) | | | | | | | 200 | | | | 171,208 | |
General Mills, Inc.(f)
5.24%, 11/18/25 | | | | | | | 935 | | | | 933,132 | |
4.20%, 04/17/28 | | | | | | | 620 | | | | 611,415 | |
Kraft Heinz Foods Co.
4.25%, 03/01/31 | | | | | | | 68 | | | | 66,610 | |
5.00%, 07/15/35 | | | | | | | 214 | | | | 215,119 | |
7.13%, 08/01/39(b)(f) | | | | | | | 4,415 | | | | 5,230,199 | |
4.63%, 10/01/39 | | | | | | | 100 | | | | 92,952 | |
5.00%, 06/04/42 | | | | | | | 12 | | | | 11,559 | |
4.38%, 06/01/46 | | | | | | | 158 | | | | 137,901 | |
5.50%, 06/01/50(f) | | | | | | | 2,825 | | | | 2,911,750 | |
Lamb Weston Holdings, Inc.(b)
4.88%, 05/15/28 | | | | | | | 460 | | | | 449,878 | |
4.13%, 01/31/30(f) | | | | | | | 515 | | | | 474,794 | |
4.38%, 01/31/32(f) | | | | | | | 643 | | | | 586,592 | |
Performance Food Group, Inc., 4.25%, 08/01/29(b) | | | | | | | 984 | | | | 902,518 | |
Post Holdings, Inc.(b)
4.63%, 04/15/30(f) | | | | | | | 434 | | | | 399,212 | |
4.50%, 09/15/31 | | | | | | | 72 | | | | 64,523 | |
U.S. Foods, Inc.(b)
6.88%, 09/15/28 | | | | | | | 280 | | | | 288,221 | |
4.75%, 02/15/29 | | | | | | | 595 | | | | 565,098 | |
4.63%, 06/01/30 | | | | | | | 67 | | | | 62,441 | |
7.25%, 01/15/32(f) | | | | | | | 338 | | | | 352,437 | |
United Natural Foods, Inc., 6.75%, 10/15/28(b) | | | | | | | 53 | | | | 42,906 | |
| | |
SCHEDULE OF INVESTMENTS | | 83 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Consumer Staples Distribution & Retail (continued) | |
Walgreens Boots Alliance, Inc.
3.20%, 04/15/30 | | | USD | | | | 52 | | | $ | 45,774 | |
4.80%, 11/18/44 | | | | | | | 134 | | | | 111,646 | |
4.10%, 04/15/50 | | | | | | | 200 | | | | 145,234 | |
Walmart, Inc., 5.25%, 09/01/35(f) | | | | | | | 5,150 | | | | 5,626,485 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 25,170,695 | |
|
| Containers & Packaging — 1.3% | |
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC(b)
6.00%, 06/15/27 | | | | | | | 509 | | | | 507,177 | |
3.25%, 09/01/28 | | | | | | | 200 | | | | 174,965 | |
4.00%, 09/01/29(f) | | | | | | | 2,000 | | | | 1,692,953 | |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
5.25%, 04/30/25(b) | | | | | | | 800 | | | | 778,017 | |
2.13%, 08/15/26(g) | | | EUR | | | | 304 | | | | 298,395 | |
4.13%, 08/15/26(b) | | | USD | | | | 300 | | | | 273,750 | |
5.25%, 08/15/27(b) | | | | | | | 200 | | | | 155,373 | |
Ball Corp.
5.25%, 07/01/25 | | | | | | | 30 | | | | 29,963 | |
6.00%, 06/15/29(f) | | | | | | | 290 | | | | 296,140 | |
3.13%, 09/15/31(f) | | | | | | | 234 | | | | 201,752 | |
Canpack SA/Canpack U.S. LLC, 3.13%, 11/01/25(b) | | | | | | | 228 | | | | 216,743 | |
Clydesdale Acquisition Holdings, Inc.(b)
6.63%, 04/15/29 | | | | | | | 250 | | | | 245,892 | |
8.75%, 04/15/30 | | | | | | | 1,046 | | | | 975,256 | |
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26 | | | | | | | 224 | | | | 217,280 | |
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26 | | | | | | | 355 | | | | 351,626 | |
LABL, Inc.(b)
5.88%, 11/01/28 | | | | | | | 418 | | | | 378,718 | |
9.50%, 11/01/28 | | | | | | | 710 | | | | 717,100 | |
Mauser Packaging Solutions Holding Co.(b)
7.88%, 08/15/26(f) | | | | | | | 4,571 | | | | 4,651,820 | |
9.25%, 04/15/27 | | | | | | | 102 | | | | 100,119 | |
OI European Group BV, 6.25%, 05/15/28 | | | EUR | | | | 175 | | | | 202,078 | |
Owens-Brockway Glass Container, Inc.(b)
6.63%, 05/13/27 | | | USD | | | | 59 | | | | 59,007 | |
7.25%, 05/15/31(f) | | | | | | | 264 | | | | 267,667 | |
Sealed Air Corp.(b)
4.00%, 12/01/27 | | | | | | | 109 | | | | 102,304 | |
5.00%, 04/15/29 | | | | | | | 86 | | | | 83,163 | |
Sealed Air Corp./Sealed Air Corp. U.S., 6.13%, 02/01/28(b) | | | | | | | 250 | | | | 252,153 | |
Trivium Packaging Finance BV(b)
5.50%, 08/15/26 | | | | | | | 1,000 | | | | 981,109 | |
8.50%, 08/15/27 | | | | | | | 200 | | | | 196,100 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,406,620 | |
|
| Diversified Consumer Services — 0.2% | |
Service Corp. International
5.13%, 06/01/29 | | | | | | | 468 | | | | 458,640 | |
3.38%, 08/15/30(f) | | | | | | | 1,318 | | | | 1,149,423 | |
4.00%, 05/15/31 | | | | | | | 364 | | | | 325,962 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,934,025 | |
|
| Diversified REITs — 1.9% | |
American Tower Corp., 3.60%, 01/15/28(f) | | | | | | | 4,000 | | | | 3,809,959 | |
Crown Castle, Inc.(f)
3.65%, 09/01/27 | | | | | | | 8,000 | | | | 7,604,710 | |
4.15%, 07/01/50 | | | | | | | 820 | | | | 661,461 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Diversified REITs (continued) | |
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27(b) | | | USD | | | | 197 | | | $ | 164,616 | |
GLP Capital LP/GLP Financing II, Inc., 3.25%, 01/15/32 | | | | | | | 725 | | | | 612,083 | |
HAT Holdings I LLC/HAT Holdings II LLC, 8.00%, 06/15/27 | | | | | | | 158 | | | | 164,532 | |
Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32(b) | | | | | | | 534 | | | | 489,132 | |
SBA Communications Corp.
3.13%, 02/01/29(f) | | | | | | | 3,003 | | | | 2,698,186 | |
3.88%, 02/15/27 | | | | | | | 30 | | | | 28,809 | |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, 02/15/28(b) | | | | | | | 1,316 | | | | 1,334,167 | |
VICI Properties LP, 5.13%, 05/15/32(f) | | | | | | | 3,155 | | | | 3,075,505 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 20,643,160 | |
|
| Diversified Telecommunication Services — 7.2% | |
AT&T, Inc.
4.65%, 06/01/44 | | | | | | | 28 | | | | 24,924 | |
4.35%, 06/15/45 | | | | | | | 95 | | | | 82,015 | |
3.50%, 09/15/53(f) | | | | | | | 15,960 | | | | 11,582,285 | |
Cablevision Lightpath LLC(b)
3.88%, 09/15/27 | | | | | | | 368 | | | | 323,158 | |
5.63%, 09/15/28 | | | | | | | 540 | | | | 425,579 | |
Frontier Communications Holdings LLC(b)
5.88%, 10/15/27 | | | | | | | 68 | | | | 65,695 | |
5.00%, 05/01/28 | | | | | | | 640 | | | | 591,473 | |
8.75%, 05/15/30 | | | | | | | 3,163 | | | | 3,253,806 | |
HKT Capital No. 4 Ltd., 3.00%, 07/14/26(g) | | | | | | | 200 | | | | 190,016 | |
Iliad Holding SASU(b)
6.50%, 10/15/26 | | | | | | | 1,490 | | | | 1,487,085 | |
7.00%, 10/15/28 | | | | | | | 935 | | | | 930,408 | |
Level 3 Financing, Inc.
3.40%, 03/01/27 | | | | | | | 1,069 | | | | 1,026,240 | |
4.63%, 09/15/27 | | | | | | | 1,727 | | | | 1,036,200 | |
3.63%, 01/15/29 | | | | | | | 183 | | | | 93,330 | |
10.50%, 05/15/30 | | | | | | | 2,491 | | | | 2,415,485 | |
Level 3 New Money TSA, 11.00%, 11/15/29(j) | | | | | | | 1,204 | | | | 1,203,850 | |
Lumen Technologies, Inc., 4.00%, 02/15/27 | | | | | | | 871 | | | | 562,117 | |
Network i2i Ltd., (5-year CMT + 4.27%),
5.65%(a)(g)(i) | | | | | | | 695 | | | | 683,272 | |
Sprint Capital Corp.(f)
6.88%, 11/15/28 | | | | | | | 3,063 | | | | 3,318,855 | |
8.75%, 03/15/32 | | | | | | | 2,041 | | | | 2,519,131 | |
Telecom Italia Capital SA
6.38%, 11/15/33 | | | | | | | 393 | | | | 384,396 | |
6.00%, 09/30/34 | | | | | | | 895 | | | | 849,962 | |
7.20%, 07/18/36 | | | | | | | 80 | | | | 80,306 | |
7.72%, 06/04/38 | | | | | | | 117 | | | | 119,146 | |
Telecom Italia SpA/Milano, 5.30%, 05/30/24(b) | | | | | | | 1,062 | | | | 1,057,060 | |
Telefonica Emisiones SA, 5.21%, 03/08/47(f) | | | | | | | 5,000 | | | | 4,632,770 | |
Verizon Communications, Inc.(f)
6.40%, 09/15/33 | | | | | | | 9,475 | | | | 10,519,311 | |
6.55%, 09/15/43 | | | | | | | 13,225 | | | | 15,213,967 | |
5.01%, 04/15/49 | | | | | | | 6,998 | | | | 7,005,049 | |
Zayo Group Holdings, Inc.(b)(f)
4.00%, 03/01/27 | | | | | | | 7,103 | | | | 5,695,005 | |
6.13%, 03/01/28 | | | | | | | 1,263 | | | | 927,623 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 78,299,519 | |
|
| Electric Utilities — 5.0% | |
Abu Dhabi National Energy Co. PJSC, 4.38%, 04/23/25(g) | | | | | | | 200 | | | | 197,516 | |
| | |
| 84 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Electric Utilities (continued) | | | | | | | | | |
China Huaneng Group Hong Kong Treasury Management Holding Ltd., 1.60%, 01/20/26(g) | | | USD | | | | 200 | | | $ | 187,378 | |
Edison International, Series A, (5-year CMT + 4.70%), 5.38%(a)(i) | | | | | | | 6,851 | | | | 6,479,668 | |
Emera, Inc., Series 16-A, (3-mo. LIBOR US + 5.44%), 6.75%, 06/15/76(a) | | | | | | | 7,500 | | | | 7,344,145 | |
FirstEnergy Corp., 2.65%, 03/01/30 | | | | | | | 73 | | | | 63,067 | |
Korea Western Power Co. Ltd., 4.13%, 06/28/25(g) | | | | | | | 200 | | | | 197,030 | |
LLPL Capital Pte Ltd., 6.88%, 02/04/39(g) | | | | | | | 161 | | | | 154,584 | |
Minejesa Capital BV, 4.63%, 08/10/30(g) | | | | | | | 200 | | | | 189,560 | |
Mong Duong Finance Holdings BV, 5.13%, 05/07/29 | | | | | | | 558 | | | | 517,531 | |
NextEra Energy Capital Holdings, Inc., (3-mo. LIBOR US + 2.41%), 4.80%, 12/01/77(a)(f) | | | | | | | 5,000 | | | | 4,311,957 | |
NextEra Energy Operating Partners LP | | | | | | | | | | | | |
4.25%, 07/15/24(b) | | | | | | | 712 | | | | 703,920 | |
4.25%, 09/15/24(b) | | | | | | | 26 | | | | 25,155 | |
3.88%, 10/15/26(b) | | | | | | | 92 | | | | 87,595 | |
7.25%, 01/15/29 | | | | | | | 239 | | | | 250,211 | |
Oncor Electric Delivery Co. LLC, 5.30%, 06/01/42(f) | | | | | | | 2,750 | | | | 2,936,449 | |
Pacific Gas and Electric Co. | | | | | | | | | | | | |
6.95%, 03/15/34 | | | | | | | 1,450 | | | | 1,592,694 | |
4.20%, 06/01/41(f) | | | | | | | 2,310 | | | | 1,843,184 | |
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28(b) | | | | | | | 542 | | | | 512,656 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, 3.00%, 06/30/30(g) | | | | | | | 350 | | | | 310,953 | |
PG&E Corp. | | | | | | | | | | | | |
4.25%, 12/01/27 | | | | | | | 1,224 | | | | 1,282,752 | |
5.25%, 07/01/30 | | | | | | | 226 | | | | 217,987 | |
Progress Energy, Inc., 7.00%, 10/30/31(f) | | | | | | | 12,000 | | | | 13,538,298 | |
Sempra, (5-year CMT + 4.55%), 4.88%(a)(i) | | | | | | | 4,375 | | | | 4,279,899 | |
Southern California Edison Co., 5.88%, 12/01/53(f) | | | | | | | 4,000 | | | | 4,300,331 | |
Star Energy Geothermal Darajat II/Star Energy Geothermal Salak, 4.85%, 10/14/38(g) | | | | | | | 200 | | | | 182,750 | |
State Grid Overseas Investment BVI Ltd.(g) | | | | | | | | | | | | |
1.00%, 08/05/25 | | | | | | | 200 | | | | 187,788 | |
3.50%, 05/04/27 | | | | | | | 200 | | | | 193,572 | |
Talen Energy Supply LLC, 8.63%, 06/01/30(b) | | | | | | | 202 | | | | 214,632 | |
Three Gorges Finance I Cayman Islands Ltd., | | | | | | | | | | | | |
3.15%, 06/02/26(g) | | | | | | | 200 | | | | 192,882 | |
TransAlta Corp., 7.75%, 11/15/29 | | | | | | | 165 | | | | 175,244 | |
Vistra Operations Co. LLC(b) | | | | | | | | | | | | |
5.50%, 09/01/26 | | | | | | | 23 | | | | 22,708 | |
5.63%, 02/15/27 | | | | | | | 812 | | | | 800,952 | |
5.00%, 07/31/27 | | | | | | | 23 | | | | 22,393 | |
7.75%, 10/15/31 | | | | | | | 718 | | | | 745,707 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 54,263,148 | |
|
| Electrical Equipment(b) — 0.4% | |
Regal Rexnord Corp. | | | | | | | | | | | | |
6.05%, 04/15/28 | | | | | | | 940 | | | | 951,540 | |
6.30%, 02/15/30 | | | | | | | 350 | | | | 359,069 | |
6.40%, 04/15/33 | | | | | | | 510 | | | | 531,557 | |
WESCO Distribution, Inc. | | | | | | | | | | | | |
7.13%, 06/15/25 | | | | | | | 1,485 | | | | 1,495,843 | |
7.25%, 06/15/28(f) | | | | | | | 1,384 | | | | 1,422,510 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,760,519 | |
|
| Electronic Equipment, Instruments & Components(b) — 0.4% | |
Coherent Corp., 5.00%, 12/15/29(f) | | | | | | | 687 | | | | 652,482 | |
Imola Merger Corp., 4.75%, 05/15/29 | | | | | | | 573 | | | | 544,410 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Electronic Equipment, Instruments & Components (continued) | |
Sensata Technologies BV, 4.00%, 04/15/29 | | | USD | | | | 207 | | | $ | 192,368 | |
Sensata Technologies, Inc. | | | | | | | | | | | | |
4.38%, 02/15/30 | | | | | | | 2,150 | | | | 1,994,044 | |
3.75%, 02/15/31 | | | | | | | 416 | | | | 366,384 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,749,688 | |
|
| Energy Equipment & Services — 0.5% | |
Archrock Partners LP/Archrock Partners Finance Corp.(b) | | | | | | | | | | | | |
6.88%, 04/01/27 | | | | | | | 1,295 | | | | 1,298,238 | |
6.25%, 04/01/28 | | | | | | | 98 | | | | 96,530 | |
Borr IHC Ltd./Borr Finance | | | | | | | | | | | | |
10.00%, 11/15/28 | | | | | | | 452 | | | | 472,354 | |
10.38%, 11/15/30 | | | | | | | 272 | | | | 280,585 | |
Oceaneering International, Inc., 6.00%, 02/01/28(b) | | | | | | | 101 | | | | 97,897 | |
Seadrill Finance Ltd., 8.38%, 08/01/30 | | | | | | | 222 | | | | 231,619 | |
USA Compression Partners LP/USA Compression Finance Corp. | | | | | | | | | | | | |
6.88%, 04/01/26 | | | | | | | 927 | | | | 923,090 | |
6.88%, 09/01/27 | | | | | | | 666 | | | | 658,106 | |
Weatherford International Ltd.(b) | | | | | | | | | | | | |
6.50%, 09/15/28 | | | | | | | 92 | | | | 95,203 | |
8.63%, 04/30/30(f) | | | | | | | 897 | | | | 936,521 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,090,143 | |
|
| Entertainment(b) — 0.3% | |
Lions Gate Capital Holdings LLC, 5.50%, 04/15/29 | | | | | | | 388 | | | | 290,263 | |
Live Nation Entertainment, Inc. | | | | | | | | | | | | |
4.88%, 11/01/24 | | | | | | | 136 | | | | 134,775 | |
5.63%, 03/15/26 | | | | | | | 25 | | | | 24,771 | |
6.50%, 05/15/27(f) | | | | | | | 2,284 | | | | 2,324,020 | |
4.75%, 10/15/27(f) | | | | | | | 711 | | | | 681,732 | |
3.75%, 01/15/28(f) | | | | | | | 155 | | | | 144,552 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,600,113 | |
|
| Environmental, Maintenance & Security Service — 0.8% | |
Clean Harbors, Inc.(b) | | | | | | | | | | | | |
5.13%, 07/15/29 | | | | | | | 1,142 | | | | 1,091,595 | |
6.38%, 02/01/31 | | | | | | | 168 | | | | 170,697 | |
Covanta Holding Corp. | | | | | | | | | | | | |
4.88%, 12/01/29(b) | | | | | | | 142 | | | | 124,064 | |
5.00%, 09/01/30 | | | | | | | 282 | | | | 240,027 | |
GFL Environmental, Inc.(b) | | | | | | | | | | | | |
4.25%, 06/01/25 | | | | | | | 26 | | | | 25,616 | |
3.75%, 08/01/25 | | | | | | | 443 | | | | 432,637 | |
5.13%, 12/15/26(f) | | | | | | | 2,367 | | | | 2,341,915 | |
4.00%, 08/01/28 | | | | | | | 36 | | | | 33,278 | |
3.50%, 09/01/28 | | | | | | | 376 | | | | 347,447 | |
4.75%, 06/15/29(f) | | | | | | | 558 | | | | 525,614 | |
4.38%, 08/15/29 | | | | | | | 508 | | | | 468,825 | |
6.75%, 01/15/31 | | | | | | | 958 | | | | 987,009 | |
Tervita Corp., 11.00%, 12/01/25(b) | | | | | | | 182 | | | | 191,100 | |
Waste Pro USA, Inc., 5.50%, 02/15/26(b) | | | | | | | 1,975 | | | | 1,900,937 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,880,761 | |
|
| Financial Services — 0.9% | |
BOC Aviation Ltd., 1.75%, 01/21/26(g) | | | | | | | 200 | | | | 186,830 | |
Castlelake Aviation Finance DAC, 5.00%, 04/15/27(b) | | | | | | | 50 | | | | 46,808 | |
China Cinda 2020 I Management Ltd.(g) | | | | | | | | | | | | |
3.25%, 01/28/27 | | | | | | | 200 | | | | 188,046 | |
3.00%, 03/18/27 | | | | | | | 200 | | | | 186,034 | |
| | |
SCHEDULE OF INVESTMENTS | | 85 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Financial Services (continued) | |
CMB International Leasing Management Ltd.,
1.88%, 08/12/25(g) | | | USD | | | | 200 | | | $ | 189,284 | |
GGAM Finance Ltd.(b)
7.75%, 05/15/26 | | | | | | | 66 | | | | 66,990 | |
8.00%, 02/15/27 | | | | | | | 627 | | | | 642,700 | |
8.00%, 06/15/28 | | | | | | | 202 | | | | 208,989 | |
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24(b)(h) | | | | | | | 338 | | | | 317,976 | |
ICBCIL Finance Co. Ltd., 1.75%, 08/25/25(g) | | | | | | | 200 | | | | 189,114 | |
Jefferies Finance LLC/JFIN Co.-Issuer Corp., 5.00%, 08/15/28(b) | | | | | | | 475 | | | | 425,163 | |
JIC Zhixin Ltd., 3.50%, 11/24/27(g) | | | | | | | 200 | | | | 190,878 | |
Kodit Global Co. Ltd., Series 2023, Class 1, 4.95%, 05/25/26(g) | | | | | | | 200 | | | | 199,578 | |
Macquarie Airfinance Holdings Ltd., 8.13%, 03/30/29 | | | | | | | 259 | | | | 270,713 | |
MGIC Investment Corp., 5.25%, 08/15/28 | | | | | | | 337 | | | | 328,042 | |
Nationstar Mortgage Holdings, Inc.(b) | | | | | | | | | | | | |
5.00%, 02/01/26 | | | | | | | 2,358 | | | | 2,306,025 | |
6.00%, 01/15/27 | | | | | | | 524 | | | | 520,070 | |
5.13%, 12/15/30 | | | | | | | 85 | | | | 76,851 | |
5.75%, 11/15/31 | | | | | | | 436 | | | | 406,530 | |
PennyMac Financial Services, Inc., 7.88%, 12/15/29 | | | | | | | 401 | | | | 412,776 | |
Power Finance Corp. Ltd., 3.75%, 12/06/27(g) | | | | | | | 200 | | | | 189,492 | |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.(b) | | | | | | | | | | | | |
2.88%, 10/15/26 | | | | | | | 1,095 | | | | 1,010,137 | |
3.88%, 03/01/31 | | | | | | | 545 | | | | 479,325 | |
4.00%, 10/15/33 | | | | | | | 116 | | | | 98,545 | |
Shriram Finance Ltd., 4.40%, 03/13/24(g) | | | | | | | 500 | | | | 495,500 | |
Sumitomo Mitsui Finance & Leasing Co. Ltd., 5.35%, 04/25/28(g) | | | | | | | 200 | | | | 201,984 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,834,380 | |
|
| Food Products — 0.4% | |
Aramark International Finance SARL, 3.13%, 04/01/25(g) | | | EUR | | | | 200 | | | | 218,905 | |
Aramark Services, Inc., 5.00%, 02/01/28(b)(f) | | | USD | | | | 686 | | | | 665,447 | |
B&G Foods, Inc., 8.00%, 09/15/28 | | | | | | | 162 | | | | 170,107 | |
Chobani LLC/Chobani Finance Corp., Inc.(b)
7.50%, 04/15/25(f) | | | | | | | 1,701 | | | | 1,692,495 | |
4.63%, 11/15/28 | | | | | | | 675 | | | | 630,997 | |
Darling Global Finance BV, 3.63%, 05/15/26(g) | | | EUR | | | | 100 | | | | 108,918 | |
Darling Ingredients, Inc., 6.00%, 06/15/30(b)(f) | | | USD | | | | 714 | | | | 714,528 | |
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29(b) | | | | | | | 275 | | | | 237,924 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,439,321 | |
|
| Gas Utilities(b) — 0.1% | |
AmeriGas Partners LP/AmeriGas Finance Corp., 9.38%, 06/01/28 | | | | | | | 453 | | | | 467,803 | |
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31 | | | | | | | 237 | | | | 214,861 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 682,664 | |
|
| Ground Transportation — 2.3% | |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 8.00%, 02/15/31(b) | | | | | | | 331 | | | | 330,545 | |
BNSF Funding Trust I, (3-mo. LIBOR US + 2.35%), 6.61%, 12/15/55(a)(f) | | | | | | | 6,125 | | | | 5,964,298 | |
CSX Corp., 3.80%, 04/15/50(f) | | | | | | | 770 | | | | 627,677 | |
GN Bondco LLC, 9.50%, 10/15/31 | | | | | | | 521 | | | | 508,647 | |
Norfolk Southern Corp., 6.00%, 03/15/2105 | | | | | | | 12,700 | | | | 11,817,743 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Ground Transportation (continued) | |
RXO, Inc., 7.50%, 11/15/27(b) | | | USD | | | | 105 | | | $ | 108,345 | |
SF Holding Investment 2021 Ltd., 2.38%, 11/17/26(g) | | | | | | | 200 | | | | 185,370 | |
Uber Technologies, Inc.(b)
8.00%, 11/01/26 | | | | | | | 514 | | | | 523,535 | |
7.50%, 09/15/27(f) | | | | | | | 1,023 | | | | 1,059,450 | |
6.25%, 01/15/28 | | | | | | | 2,161 | | | | 2,166,419 | |
4.50%, 08/15/29(f) | | | | | | | 1,062 | | | | 1,013,113 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 24,305,142 | |
|
| Health Care Equipment & Supplies — 0.9% | |
Avantor Funding, Inc.
2.63%, 11/01/25(g) | | | EUR | | | | 300 | | | | 323,488 | |
4.63%, 07/15/28(b)(f) | | | USD | | | | 2,191 | | | | 2,117,560 | |
3.88%, 11/01/29(b) | | | | | | | 395 | | | | 358,707 | |
Bausch & Lomb Escrow Corp., 8.38%, 10/01/28(b) | | | | | | | 2,264 | | | | 2,388,384 | |
Garden Spinco Corp., 8.63%, 07/20/30(b) | | | | | | | 328 | | | | 350,349 | |
Medline Borrower LP(b)
3.88%, 04/01/29 | | | | | | | 362 | | | | 327,300 | |
5.25%, 10/01/29(f) | | | | | | | 3,139 | | | | 2,958,747 | |
Medtronic, Inc., 4.63%, 03/15/45(f) | | | | | | | 647 | | | | 628,674 | |
Teleflex, Inc.
4.63%, 11/15/27 | | | | | | | 70 | | | | 68,044 | |
4.25%, 06/01/28(b)(f) | | | | | | | 637 | | | | 603,739 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,124,992 | |
| | | |
| Health Care Providers & Services — 4.1% | | | | | | | | | |
Acadia Healthcare Co., Inc., 5.00%, 04/15/29(b) | | | | | | | 52 | | | | 49,920 | |
Aetna, Inc., 3.88%, 08/15/47(f) | | | | | | | 3,500 | | | | 2,736,450 | |
AHP Health Partners, Inc., 5.75%, 07/15/29(b) | | | | | | | 609 | | | | 530,027 | |
Catalent Pharma Solutions, Inc.(b)
5.00%, 07/15/27 | | | | | | | 900 | | | | 869,555 | |
3.13%, 02/15/29 | | | | | | | 133 | | | | 116,391 | |
3.50%, 04/01/30 | | | | | | | 408 | | | | 354,935 | |
Charles River Laboratories International, Inc.(b)
4.25%, 05/01/28 | | | | | | | 324 | | | | 308,405 | |
4.00%, 03/15/31 | | | | | | | 68 | | | | 61,430 | |
CHS/Community Health Systems, Inc.(b)
6.00%, 01/15/29 | | | | | | | 1,469 | | | | 1,322,291 | |
5.25%, 05/15/30(f) | | | | | | | 993 | | | | 830,492 | |
4.75%, 02/15/31(f) | | | | | | | 791 | | | | 621,833 | |
Elevance Health, Inc., 4.55%, 03/01/48(f) | | | | | | | 5,000 | | | | 4,553,653 | |
Encompass Health Corp.
4.50%, 02/01/28 | | | | | | | 35 | | | | 33,487 | |
4.75%, 02/01/30(f) | | | | | | | 795 | | | | 748,676 | |
4.63%, 04/01/31 | | | | | | | 409 | | | | 376,355 | |
Fortrea Holdings, Inc., 7.50%, 07/01/30(b)(f) | | | | | | | 289 | | | | 296,795 | |
HCA, Inc.
5.38%, 09/01/26 | | | | | | | 359 | | | | 360,648 | |
5.63%, 09/01/28(f) | | | | | | | 833 | | | | 852,465 | |
5.25%, 06/15/49(f) | | | | | | | 3,500 | | | | 3,253,478 | |
HealthEquity, Inc., 4.50%, 10/01/29(b) | | | | | | | 1,134 | | | | 1,052,929 | |
IQVIA, Inc.(b)
5.00%, 10/15/26 | | | | | | | 554 | | | | 548,707 | |
5.00%, 05/15/27(f) | | | | | | | 592 | | | | 581,016 | |
6.50%, 05/15/30 | | | | | | | 314 | | | | 321,884 | |
Legacy LifePoint Health LLC, 4.38%, 02/15/27(b) | | | | | | | 509 | | | | 469,929 | |
LifePoint Health, Inc.
9.88%, 08/15/30(f) | | | | | | | 452 | | | | 456,787 | |
11.00%, 10/15/30 | | | | | | | 607 | | | | 639,263 | |
ModivCare, Inc., 5.88%, 11/15/25(b)(f) | | | | | | | 536 | | | | 529,300 | |
Molina Healthcare, Inc.(b)
4.38%, 06/15/28(f) | | | | | | | 659 | | | | 623,268 | |
3.88%, 11/15/30 | | | | | | | 491 | | | | 441,361 | |
| | |
| 86 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Health Care Providers & Services (continued) | |
Molina Healthcare, Inc.(b) (continued)
3.88%, 05/15/32(f) | | | USD | | | | 198 | | | $ | 173,005 | |
Prime Healthcare Services, Inc., 7.25%, 11/01/25(b) | | | | | | | 69 | | | | 67,275 | |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/01/26(b) | | | | | | | 128 | | | | 126,986 | |
Star Parent, Inc., 9.00%, 10/01/30 | | | | | | | 1,128 | | | | 1,188,746 | |
Surgery Center Holdings, Inc.(b)(f)
6.75%, 07/01/25 | | | | | | | 188 | | | | 187,295 | |
10.00%, 04/15/27 | | | | | | | 524 | | | | 529,240 | |
Tenet Healthcare Corp.
4.88%, 01/01/26(f) | | | | | | | 1,918 | | | | 1,896,388 | |
6.25%, 02/01/27 | | | | | | | 127 | | | | 127,622 | |
5.13%, 11/01/27 | | | | | | | 427 | | | | 417,414 | |
6.13%, 10/01/28 | | | | | | | 239 | | | | 238,324 | |
6.13%, 06/15/30 | | | | | | | 243 | | | | 245,694 | |
6.75%, 05/15/31(b) | | | | | | | 3,342 | | | | 3,415,691 | |
UnitedHealth Group, Inc., 6.88%, 02/15/38(f) | | | | | | | 10,000 | | | | 12,076,077 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 44,631,487 | |
|
| Health Care REITs — 0.1% | |
MPT Operating Partnership LP/MPT Finance Corp.
2.50%, 03/24/26 | | | GBP | | | | 100 | | | | 103,384 | |
4.63%, 08/01/29(f) | | | USD | | | | 278 | | | | 199,899 | |
3.50%, 03/15/31 | | | | | | | 1,737 | | | | 1,086,020 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,389,303 | |
|
| Health Care Technology — 0.3% | |
AthenaHealth Group, Inc., 6.50%,
02/15/30(b)(f) | | | | | | | 3,245 | | | | 2,943,791 | |
| | | | | | | | | | | | |
|
| Hotel & Resort REITs — 0.4% | |
RHP Hotel Properties LP/RHP Finance Corp.
4.75%, 10/15/27 | | | | | | | 146 | | | | 141,019 | |
7.25%, 07/15/28 | | | | | | | 485 | | | | 504,248 | |
4.50%, 02/15/29(b) | | | | | | | 1,704 | | | | 1,584,789 | |
RLJ Lodging Trust LP, 4.00%, 09/15/29(b) | | | | | | | 199 | | | | 178,828 | |
Service Properties Trust
7.50%, 09/15/25 | | | | | | | 242 | | | | 244,690 | |
8.63%, 11/15/31(b) | | | | | | | 1,563 | | | | 1,637,138 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,290,712 | |
|
| Hotels, Restaurants & Leisure — 5.1% | |
Boyd Gaming Corp.(f)
4.75%, 12/01/27 | | | | | | | 254 | | | | 244,374 | |
4.75%, 06/15/31(b) | | | | | | | 1,113 | | | | 1,021,538 | |
Boyne USA, Inc., 4.75%, 05/15/29(b) | | | | | | | 611 | | | | 574,581 | |
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc.(b)
3.88%, 01/15/28 | | | | | | | 1,128 | | | | 1,065,648 | |
4.38%, 01/15/28 | | | | | | | 2,509 | | | | 2,396,296 | |
4.00%, 10/15/30 | | | | | | | 176 | | | | 157,854 | |
Caesars Entertainment, Inc.(b)
6.25%, 07/01/25 | | | | | | | 2,350 | | | | 2,356,390 | |
8.13%, 07/01/27(f) | | | | | | | 2,379 | | | | 2,438,711 | |
4.63%, 10/15/29(f) | | | | | | | 1,929 | | | | 1,739,971 | |
7.00%, 02/15/30 | | | | | | | 2,151 | | | | 2,205,715 | |
Carnival Corp.(b)
7.63%, 03/01/26(f) | | | | | | | 273 | | | | 277,936 | |
5.75%, 03/01/27 | | | | | | | 1,255 | | | | 1,224,169 | |
4.00%, 08/01/28 | | | | | | | 325 | | | | 302,165 | |
6.00%, 05/01/29 | | | | | | | 1,226 | | | | 1,179,664 | |
7.00%, 08/15/29 | | | | | | | 242 | | | | 252,677 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Hotels, Restaurants & Leisure (continued) | | | | | | | | | |
Carnival Holdings Bermuda Ltd., 10.38%, 05/01/28(b) | | | USD | | | | 3,899 | | | $ | 4,243,746 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 05/01/25(b) | | | | | | | 408 | | | | 405,949 | |
Champion Path Holdings Ltd.(g)
4.50%, 01/27/26 | | | | | | | 500 | | | | 464,375 | |
4.85%, 01/27/28 | | | | | | | 500 | | | | 430,000 | |
Churchill Downs, Inc.(b)
5.50%, 04/01/27 | | | | | | | 1,730 | | | | 1,711,852 | |
4.75%, 01/15/28 | | | | | | | 730 | | | | 699,629 | |
5.75%, 04/01/30 | | | | | | | 1,506 | | | | 1,468,337 | |
6.75%, 05/01/31 | | | | | | | 554 | | | | 562,274 | |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.(b)
4.63%, 01/15/29 | | | | | | | 807 | | | | 732,248 | |
6.75%, 01/15/30 | | | | | | | 133 | | | | 116,774 | |
Fortune Star BVI Ltd.(g)
5.95%, 10/19/25(f) | | | | | | | 269 | | | | 223,095 | |
5.00%, 05/18/26 | | | | | | | 344 | | | | 251,309 | |
Haidilao International Holding Ltd., 2.15%, 01/14/26(g) | | | | | | | 200 | | | | 182,000 | |
Hilton Domestic Operating Co., Inc.
5.75%, 05/01/28(b)(f) | | | | | | | 638 | | | | 638,242 | |
3.75%, 05/01/29(b) | | | | | | | 356 | | | | 330,058 | |
4.88%, 01/15/30(f) | | | | | | | 833 | | | | 807,308 | |
4.00%, 05/01/31(b) | | | | | | | 248 | | | | 227,149 | |
3.63%, 02/15/32(b) | | | | | | | 12 | | | | 10,473 | |
Las Vegas Sands Corp.
3.50%, 08/18/26 | | | | | | | 96 | | | | 91,511 | |
3.90%, 08/08/29 | | | | | | | 88 | | | | 81,084 | |
Life Time, Inc.(b)
5.75%, 01/15/26 | | | | | | | 256 | | | | 254,159 | |
8.00%, 04/15/26 | | | | | | | 254 | | | | 256,309 | |
Light & Wonder International, Inc.
7.00%, 05/15/28(b) | | | | | | | 451 | | | | 455,589 | |
7.25%, 11/15/29(b)(f) | | | | | | | 218 | | | | 223,212 | |
7.50%, 09/01/31 | | | | | | | 655 | | | | 683,202 | |
Lindblad Expeditions Holdings, Inc., 9.00%, 05/15/28(b) | | | | | | | 371 | | | | 383,601 | |
Lindblad Expeditions LLC, 6.75%, 02/15/27(b) | | | | | | | 480 | | | | 477,600 | |
Marriott International, Inc., Series EE, 5.75%, 05/01/25(f) | | | | | | | 1,295 | | | | 1,302,554 | |
McDonald’s Corp., 4.20%, 04/01/50 | | | | | | | 480 | | | | 424,522 | |
Melco Resorts Finance Ltd.
4.88%, 06/06/25(b) | | | | | | | 200 | | | | 194,188 | |
5.25%, 04/26/26(g) | | | | | | | 300 | | | | 288,000 | |
5.75%, 07/21/28(g) | | | | | | | 300 | | | | 276,187 | |
5.38%, 12/04/29(b) | | | | | | | 1,000 | | | | 880,000 | |
5.38%, 12/04/29(g) | | | | | | | 383 | | | | 337,040 | |
Merlin Entertainments Ltd., 5.75%, 06/15/26(b) | | | | | | | 440 | | | | 435,496 | |
MGM China Holdings Ltd.
5.88%, 05/15/26(b) | | | | | | | 200 | | | | 195,000 | |
5.88%, 05/15/26(g) | | | | | | | 200 | | | | 195,000 | |
4.75%, 02/01/27(b) | | | | | | | 200 | | | | 189,750 | |
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29(b) | | | | | | | 313 | | | | 291,090 | |
Motion Bondco DAC, 6.63%, 11/15/27(b) | | | | | | | 200 | | | | 184,961 | |
NCL Corp. Ltd.(b)
5.88%, 03/15/26 | | | | | | | 244 | | | | 238,426 | |
| | |
SCHEDULE OF INVESTMENTS | | 87 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Hotels, Restaurants & Leisure (continued) | | | | | | | | | |
NCL Corp. Ltd.(b) (continued)
8.38%, 02/01/28 | | | USD | | | | 206 | | | $ | 218,132 | |
8.13%, 01/15/29 | | | | | | | 171 | | | | 178,624 | |
7.75%, 02/15/29 | | | | | | | 294 | | | | 295,780 | |
NCL Finance Ltd., 6.13%, 03/15/28(b)(f) | | | | | | | 530 | | | | 507,333 | |
Ontario Gaming GTA LP, 8.00%, 08/01/30 | | | | | | | 236 | | | | 243,375 | |
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.(b)
5.63%, 09/01/29 | | | | | | | 242 | | | | 193,600 | |
5.88%, 09/01/31 | | | | | | | 242 | | | | 188,760 | |
Raising Cane’s Restaurants LLC, 9.38%, 05/01/29(b) | | | | | | | 195 | | | | 208,101 | |
Royal Caribbean Cruises Ltd.(b)
4.25%, 07/01/26 | | | | | | | 200 | | | | 193,175 | |
5.50%, 08/31/26 | | | | | | | 313 | | | | 309,916 | |
5.38%, 07/15/27(f) | | | | | | | 378 | | | | 374,190 | |
11.63%, 08/15/27 | | | | | | | 68 | | | | 73,995 | |
5.50%, 04/01/28 | | | | | | | 162 | | | | 159,936 | |
8.25%, 01/15/29 | | | | | | | 302 | | | | 319,954 | |
9.25%, 01/15/29(f) | | | | | | | 305 | | | | 328,065 | |
7.25%, 01/15/30 | | | | | | | 515 | | | | 537,856 | |
Scientific Games Holdings LP/Scientific Games U.S. FinCo, Inc., 6.63%, 03/01/30(b)(f) | | | | | | | 410 | | | | 387,626 | |
Six Flags Entertainment Corp., 7.25%, 05/15/31(b)(f) | | | | | | | 1,423 | | | | 1,427,383 | |
Six Flags Theme Parks, Inc., 7.00%, 07/01/25(b) | | | | | | | 408 | | | | 409,767 | |
Station Casinos LLC, 4.63%, 12/01/31(b) | | | | | | | 976 | | | | 880,034 | |
Studio City Co. Ltd., 7.00%, 02/15/27(g) | | | | | | | 200 | | | | 196,500 | |
Studio City Finance Ltd.(g)
6.50%, 01/15/28 | | | | | | | 300 | | | | 277,031 | |
5.00%, 01/15/29 | | | | | | | 530 | | | | 442,881 | |
Sunny Express Enterprises Corp., 2.95%, 03/01/27(g) | | | | | | | 200 | | | | 189,666 | |
Vail Resorts, Inc., 6.25%, 05/15/25(b) | | | | | | | 303 | | | | 301,485 | |
Viking Cruises Ltd.(b)
5.88%, 09/15/27(f) | | | | | | | 350 | | | | 337,750 | |
7.00%, 02/15/29 | | | | | | | 74 | | | | 73,364 | |
9.13%, 07/15/31 | | | | | | | 1,253 | | | | 1,335,193 | |
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29(b) | | | | | | | 283 | | | | 275,925 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27(b)(f) | | | | | | | 602 | | | | 585,808 | |
Wynn Macau Ltd.
4.88%, 10/01/24(g) | | | | | | | 200 | | | | 197,250 | |
5.50%, 01/15/26(g) | | | | | | | 230 | | | | 223,675 | |
5.63%, 08/26/28(b)(f) | | | | | | | 1,501 | | | | 1,387,018 | |
5.13%, 12/15/29(b) | | | | | | | 200 | | | | 177,125 | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(b)
5.13%, 10/01/29 | | | | | | | 1,337 | | | | 1,261,843 | |
7.13%, 02/15/31(f) | | | | | | | 614 | | | | 639,433 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 54,618,537 | |
|
| Household Durables — 0.3% | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 4.88%, 02/15/30(b) | | | | | | | 699 | | | | 614,719 | |
CD&R Smokey Buyer, Inc., 6.75%,
07/15/25(b)(f) | | | | | | | 507 | | | | 501,595 | |
Dream Finders Homes, Inc., 8.25%, 08/15/28 | | | | | | | 168 | | | | 177,544 | |
Lennar Corp., 5.25%, 06/01/26(f) | | | | | | | 890 | | | | 893,846 | |
LGI Homes, Inc., 8.75%, 12/15/28 | | | | | | | 183 | | | | 194,666 | |
Mattamy Group Corp., 4.63%, 03/01/30(b) | | | | | | | 427 | | | | 395,724 | |
PulteGroup, Inc.
5.00%, 01/15/27 | | | | | | | 55 | | | | 55,264 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Household Durables (continued) | | | | | | | | | |
PulteGroup, Inc. (continued) | | | | | | | | | | | | |
7.88%, 06/15/32 | | | USD | | | | 56 | | | $ | 65,781 | |
SWF Escrow Issuer Corp., 6.50%, 10/01/29(b)(f) | | | | | | | 201 | | | | 144,469 | |
Taylor Morrison Communities, Inc., 5.88%, 06/15/27(b) | | | | | | | 15 | | | | 15,075 | |
Tempur Sealy International, Inc.(b) | | | | | | | | | | | | |
4.00%, 04/15/29 | | | | | | | 563 | | | | 508,497 | |
3.88%, 10/15/31 | | | | | | | 9 | | | | 7,609 | |
Toll Brothers Finance Corp., 4.35%, 02/15/28 | | | | | | | 35 | | | | 34,194 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,608,983 | |
|
| Household Products — 0.0% | |
Central Garden & Pet Co. | | | | | | | | | | | | |
5.13%, 02/01/28 | | | | | | | 80 | | | | 77,728 | |
4.13%, 10/15/30(f) | | | | | | | 246 | | | | 223,746 | |
Spectrum Brands, Inc., 5.00%, 10/01/29(b) | | | | | | | 34 | | | | 32,440 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 333,914 | |
|
| Independent Power and Renewable Electricity Producers — 0.8% | |
Alexander Funding Trust II, 7.47%, 07/31/28(b)(f) | | | | | | | 520 | | | | 546,019 | |
Calpine Corp.(b) | | | | | | | | | | | | |
5.25%, 06/01/26 | | | | | | | 379 | | | | 373,965 | |
5.13%, 03/15/28(f) | | | | | | | 2,807 | | | | 2,691,291 | |
5.00%, 02/01/31 | | | | | | | 136 | | | | 124,673 | |
Clearway Energy Operating LLC(b) | | | | | | | | | | | | |
4.75%, 03/15/28 | | | | | | | 747 | | | | 719,670 | |
3.75%, 01/15/32 | | | | | | | 307 | | | | 266,699 | |
Greenko Dutch BV, 3.85%, 03/29/26(g) | | | | | | | 746 | | | | 695,226 | |
India Green Energy Holdings, 5.38%, 04/29/24(g) | | | | | | | 250 | | | | 248,125 | |
India Green Power Holdings, 4.00%, 02/22/27(g) | | | | | | | 700 | | | | 640,500 | |
JERA Co., Inc., 3.67%, 04/14/27(g) | | | | | | | 200 | | | | 188,453 | |
NextEra Energy Partners LP(b)(k) | | | | | | | | | | | | |
0.00%, 11/15/25(l) | | | | | | | 284 | | | | 248,074 | |
2.50%, 06/15/26 | | | | | | | 284 | | | | 254,464 | |
NRG Energy, Inc., 6.63%, 01/15/27 | | | | | | | 618 | | | | 619,329 | |
ReNew Pvt Ltd., 5.88%, 03/05/27(g) | | | | | | | 200 | | | | 190,818 | |
ReNew Wind Energy AP2/ReNew Power Pvt Ltd. other 9 Subsidiaries, 4.50%, 07/14/28(g) | | | | | | | 550 | | | | 488,730 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,296,036 | |
|
| Industrial Conglomerates — 0.0% | |
CITIC Ltd., 3.70%, 06/14/26(g) | | | | | | | 200 | | | | 194,138 | |
| | | | | | | | | | | | |
|
| Insurance — 4.3% | |
Acrisure LLC/Acrisure Finance, Inc., 6.00%, 08/01/29(b) | | | | | | | 280 | | | | 254,421 | |
AIA Group Ltd., (5-year CMT + 1.76%),
2.70%(a)(g)(i) | | | | | | | 200 | | | | 181,937 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer | | | | | | | | | | | | |
4.25%, 10/15/27(b) | | | | | | | 41 | | | | 39,403 | |
6.75%, 10/15/27(b)(f) | | | | | | | 2,839 | | | | 2,828,964 | |
6.75%, 04/15/28(b) | | | | | | | 1,147 | | | | 1,173,415 | |
5.88%, 11/01/29(b) | | | | | | | 55 | | | | 52,112 | |
7.00%, 01/15/31 | | | | | | | 721 | | | | 760,558 | |
Allstate Corp., Series B, (3-mo. CME Term SOFR + 3.20%), 8.58%, 08/15/53(a) | | | | | | | 5,000 | | | | 4,967,819 | |
AmWINS Group, Inc., 4.88%, 06/30/29(b) | | | | | | | 551 | | | | 503,192 | |
Aon Global Ltd., 4.25%, 12/12/42(f) | | | | | | | 6,500 | | | | 5,242,194 | |
Farmers Exchange Capital II, (3-mo. LIBOR US + 3.74%), 6.15%, 11/01/53(a)(b) | | | | | | | 4,890 | | | | 4,818,083 | |
GTCR AP Finance, Inc., 8.00%, 05/15/27(b) | | | | | | | 80 | | | | 80,804 | |
Guoren Property & Casualty Insurance Co. Ltd.,
3.35%, 06/01/26(g) | | | | | | | 200 | | | | 174,744 | |
| | |
| 88 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Insurance (continued) | | | | | | | | | |
HUB International Ltd.(b) | | | | | | | | | | | | |
7.00%, 05/01/26 | | | USD | | | | 1,708 | | | $ | 1,714,601 | |
7.25%, 06/15/30(f) | | | | | | | 2,483 | | | | 2,622,619 | |
Jones Deslauriers Insurance Management, Inc.(b) | | | | | | | | | | | | |
8.50%, 03/15/30 | | | | | | | 816 | | | | 856,906 | |
10.50%, 12/15/30 | | | | | | | 400 | | | | 421,561 | |
NFP Corp. | | | | | | | | | | | | |
4.88%, 08/15/28(b) | | | | | | | 105 | | | | 103,913 | |
6.88%, 08/15/28(b) | | | | | | | 401 | | | | 407,657 | |
7.50%, 10/01/30(b) | | | | | | | 170 | | | | 180,930 | |
8.50%, 10/01/31 | | | | | | | 273 | | | | 295,905 | |
Northwestern Mutual Life Insurance Co., 6.06%, 03/30/40(b)(f) | | | | | | | 12,000 | | | | 12,770,744 | |
Progressive Corp., Series B, (3-mo. CME Term SOFR + 2.80%), 8.19%(a)(i) | | | | | | | 5,000 | | | | 4,956,250 | |
Ryan Specialty LLC, 4.38%, 02/01/30(b) | | | | | | | 308 | | | | 285,670 | |
USI, Inc., 7.50%, 01/15/32 | | | | | | | 670 | | | | 685,946 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 46,380,348 | |
| | | |
| Interactive Media & Services — 0.6% | | | | | | | | | |
Acuris Finance U.S., Inc./Acuris Finance SARL, 5.00%, 05/01/28(b) | | | | | | | 724 | | | | 590,060 | |
Baidu, Inc., 1.63%, 02/23/27 | | | | | | | 200 | | | | 180,856 | |
Netflix, Inc. | | | | | | | | | | | | |
3.63%, 06/15/25(b) | | | | | | | 210 | | | | 206,100 | |
5.88%, 11/15/28(f) | | | | | | | 1,698 | | | | 1,787,626 | |
5.38%, 11/15/29(b) | | | | | | | 2,007 | | | | 2,073,470 | |
4.88%, 06/15/30(b) | | | | | | | 461 | | | | 466,786 | |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 4.75%, 04/30/27(b) | | | | | | | 552 | | | | 527,160 | |
Tencent Holdings Ltd.(g) | | | | | | | | | | | | |
3.60%, 01/19/28 | | | | | | | 200 | | | | 190,048 | |
3.68%, 04/22/41 | | | | | | | 200 | | | | 156,706 | |
Weibo Corp., 3.50%, 07/05/24 | | | | | | | 200 | | | | 197,472 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,376,284 | |
| | | |
| Internet Software & Services — 0.5% | | | | | | | | | |
ANGI Group LLC, 3.88%, 08/15/28(b) | | | | | | | 432 | | | | 364,836 | |
Booking Holdings, Inc., 3.55%, 03/15/28(f) | | | | | | | 3,375 | | | | 3,259,860 | |
Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.50%, 03/01/29(b) | | | | | | | 777 | | | | 703,726 | |
ION Trading Technologies SARL, 5.75%, 05/15/28(b) | | | | | | | 200 | | | | 176,426 | |
Match Group Holdings II LLC(b) | | | | | | | | | | | | |
4.13%, 08/01/30 | | | | | | | 383 | | | | 347,537 | |
3.63%, 10/01/31(f) | | | | | | | 217 | | | | 187,492 | |
| | | | | | | | | | | | |
| | | | | | | | | | �� | 5,039,877 | |
| | | |
| IT Services — 0.8% | | | | | | | | | |
Booz Allen Hamilton, Inc., 4.00%, 07/01/29(b) | | | | | | | 668 | | | | 626,015 | |
CA Magnum Holdings | | | | | | | | | | | | |
5.38%, 10/31/26(b) | | | | | | | 964 | | | | 896,520 | |
5.38%, 10/31/26(g) | | | | | | | 700 | | | | 651,000 | |
Camelot Finance SA, 4.50%, 11/01/26(b) | | | | | | | 1,348 | | | | 1,316,214 | |
Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc., 8.00%, 06/15/29 | | | | | | | 661 | | | | 689,925 | |
Central Parent, Inc./CDK Global, Inc., 7.25%, 06/15/29(b)(f) | | | | | | | 765 | | | | 780,192 | |
Dun & Bradstreet Corp., 5.00%, 12/15/29(b) | | | | | | | 592 | | | | 552,229 | |
Fair Isaac Corp., 4.00%, 06/15/28(b) | | | | | | | 393 | | | | 371,920 | |
Gartner, Inc., 4.50%, 07/01/28(b) | | | | | | | 387 | | | | 367,003 | |
KBR, Inc., 4.75%, 09/30/28(b) | | | | | | | 93 | | | | 86,188 | |
Presidio Holdings, Inc., 4.88%, 02/01/27(b) | | | | | | | 73 | | | | 71,562 | |
Twilio, Inc. | | | | | | | | | | | | |
3.63%, 03/15/29 | | | | | | | 259 | | | | 236,282 | |
3.88%, 03/15/31 | | | | | | | 558 | | | | 496,902 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| IT Services (continued) | | | | | | | | | |
Wipro IT Services LLC, 1.50%, 06/23/26(g) | | | USD | | | | 200 | | | $ | 183,488 | |
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29(b) | | | | | | | 1,112 | | | | 1,008,578 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,334,018 | |
| | | |
| Leisure Products — 0.1% | | | | | | | | | |
Acushnet Co., 7.38%, 10/15/28 | | | | | | | 124 | | | | 129,368 | |
Mattel, Inc. | | | | | | | | | | | | |
3.75%, 04/01/29(b) | | | | | | | 122 | | | | 111,434 | |
6.20%, 10/01/40 | | | | | | | 513 | | | | 496,211 | |
5.45%, 11/01/41(f) | | | | | | | 540 | | | | 486,322 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,223,335 | |
| | | |
| Machinery — 0.9% | | | | | | | | | |
BWX Technologies, Inc.(b) | | | | | | | | | | | | |
4.13%, 06/30/28 | | | | | | | 70 | | | | 64,910 | |
4.13%, 04/15/29 | | | | | | | 248 | | | | 226,300 | |
Chart Industries, Inc.(b) | | | | | | | | | | | | |
7.50%, 01/01/30(f) | | | | | | | 946 | | | | 988,804 | |
9.50%, 01/01/31 | | | | | | | 143 | | | | 155,322 | |
Gates Global LLC/Gates Corp., 6.25%, 01/15/26(b) | | | | | | | 714 | | | | 710,430 | |
GrafTech Global Enterprises, Inc., 9.88%, 12/15/28(f) | | | | | | | 200 | | | | 154,250 | |
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(b)(h) | | | | | | | 166 | | | | 165,273 | |
Madison IAQ LLC, 5.88%, 06/30/29(b)(f) | | | | | | | 796 | | | | 701,343 | |
Roller Bearing Co. of America, Inc., 4.38%, 10/15/29(b) | | | | | | | 249 | | | | 230,432 | |
Terex Corp., 5.00%, 05/15/29(b) | | | | | | | 688 | | | | 648,440 | |
Titan Acquisition Ltd./Titan Co.-Borrower LLC, 7.75%, 04/15/26(b) | | | | | | | 1,659 | | | | 1,669,452 | |
TK Elevator Holdco GmbH, 7.63%, 07/15/28(b)(f) | | | | | | | 596 | | | | 585,445 | |
TK Elevator U.S. Newco, Inc., 5.25%, 07/15/27(b)(f) | | | | | | | 2,802 | | | | 2,752,564 | |
Vertiv Group Corp., 4.13%, 11/15/28(b) | | | | | | | 1,191 | | | | 1,117,419 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,170,384 | |
| | | |
| Media — 7.1% | | | | | | | | | |
Altice Financing SA, 5.75%, 08/15/29(b) | | | | | | | 1,910 | | | | 1,694,950 | |
Banijay Entertainment SASU, 8.13%, 05/01/29(b) | | | | | | | 200 | | | | 205,907 | |
Cable One, Inc. | | | | | | | | | | | | |
0.00%, 03/15/26(k)(l) | | | | | | | 136 | | | | 115,396 | |
4.00%, 11/15/30(b) | | | | | | | 606 | | | | 490,641 | |
CCO Holdings LLC/CCO Holdings Capital
Corp.(b) | | | | | | | | | | | | |
5.00%, 02/01/28 | | | | | | | 7 | | | | 6,697 | |
6.38%, 09/01/29(f) | | | | | | | 7,984 | | | | 7,873,523 | |
4.75%, 03/01/30(f) | | | | | | | 229 | | | | 209,252 | |
4.50%, 08/15/30 | | | | | | | 113 | | | | 101,868 | |
4.25%, 02/01/31 | | | | | | | 1,749 | | | | 1,528,504 | |
7.38%, 03/01/31(f) | | | | | | | 3,146 | | | | 3,228,941 | |
4.75%, 02/01/32 | | | | | | | 100 | | | | 88,196 | |
4.25%, 01/15/34(f) | | | | | | | 1,209 | | | | 982,466 | |
Charter Communications Operating LLC/Charter Communications Operating Capital | | | | | | | | | | | | |
6.38%, 10/23/35 | | | | | | | 479 | | | | 486,230 | |
6.48%, 10/23/45 | | | | | | | 9,584 | | | | 9,417,370 | |
5.38%, 05/01/47 | | | | | | | 1,500 | | | | 1,274,734 | |
6.83%, 10/23/55 | | | | | | | 3,540 | | | | 3,534,033 | |
Clear Channel Outdoor Holdings, Inc.(f) | | | | | | | | | | | | |
5.13%, 08/15/27(b) | | | | | | | 2,099 | | | | 2,003,678 | |
7.75%, 04/15/28(b) | | | | | | | 1,309 | | | | 1,128,625 | |
9.00%, 09/15/28 | | | | | | | 4,791 | | | | 4,999,241 | |
Comcast Corp., 3.75%, 04/01/40(f) | | | | | | | 545 | | | | 468,800 | |
Cox Communications, Inc., 8.38%,
03/01/39(b)(f) | | | | | | | 5,000 | | | | 6,215,015 | |
CSC Holdings LLC(b) | | | | | | | | | | | | |
5.38%, 02/01/28 | | | | | | | 336 | | | | 296,800 | |
| | |
SCHEDULE OF INVESTMENTS | | 89 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Media (continued) | | | | | | | | | |
CSC Holdings LLC(b) (continued) | | | | | | | | | | | | |
11.25%, 05/15/28 | | | USD | | | | 3,549 | | | $ | 3,656,748 | |
4.13%, 12/01/30(f) | | | | | | | 272 | | | | 206,924 | |
4.50%, 11/15/31 | | | | | | | 726 | | | | 548,911 | |
Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.88%, 08/15/27(b)(f) | | | | | | | 922 | | | | 866,290 | |
Discovery Communications LLC, 4.88%, 04/01/43(f) | | | | | | | 4,000 | | | | 3,335,209 | |
DISH DBS Corp. | | | | | | | | | | | | |
7.75%, 07/01/26(f) | | | | | | | 1,110 | | | | 773,126 | |
5.25%, 12/01/26(b) | | | | | | | 1,214 | | | | 1,040,094 | |
5.75%, 12/01/28(b) | | | | | | | 77 | | | | 61,415 | |
DISH Network Corp., 11.75%, 11/15/27(b) | | | | | | | 1,698 | | | | 1,772,469 | |
GCI LLC, 4.75%, 10/15/28(b) | | | | | | | 160 | | | | 146,798 | |
Gray Television, Inc.(b)(f) | | | | | | | | | | | | |
5.88%, 07/15/26 | | | | | | | 263 | | | | 255,823 | |
7.00%, 05/15/27 | | | | | | | 335 | | | | 318,418 | |
Interpublic Group of Cos., Inc., 5.40%, 10/01/48(f) | | | | | | | 2,215 | | | | 2,096,060 | |
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(b) | | | | | | | 860 | | | | 842,336 | |
Nexstar Media, Inc., 5.63%, 07/15/27(b)(f) | | | | | | | 112 | | | | 108,298 | |
Outfront Media Capital LLC/Outfront Media Capital Corp. | | | | | | | | | | | | |
5.00%, 08/15/27(b)(f) | | | | | | | 998 | | | | 964,664 | |
4.25%, 01/15/29(b)(f) | | | | | | | 489 | | | | 441,259 | |
4.63%, 03/15/30(b) | | | | | | | 176 | | | | 156,903 | |
7.38%, 02/15/31 | | | | | | | 412 | | | | 432,658 | |
Paramount Global, 5.85%, 09/01/43(f) | | | | | | | 1,300 | | | | 1,170,068 | |
Radiate Holdco LLC/Radiate Finance, Inc.(b) | | | | | | | | | | | | |
4.50%, 09/15/26 | | | | | | | 1,066 | | | | 813,041 | |
6.50%, 09/15/28 | | | | | | | 1,525 | | | | 747,226 | |
Sinclair Television Group, Inc., 4.13%, 12/01/30(b) | | | | | | | 67 | | | | 47,235 | |
Sirius XM Radio, Inc.(b) | | | | | | | | | | | | |
3.13%, 09/01/26 | | | | | | | 62 | | | | 58,260 | |
5.00%, 08/01/27 | | | | | | | 651 | | | | 628,862 | |
Stagwell Global LLC, 5.63%, 08/15/29(b) | | | | | | | 209 | | | | 192,231 | |
TEGNA, Inc., 4.75%, 03/15/26(b) | | | | | | | 64 | | | | 62,249 | |
Telenet Finance Luxembourg Notes SARL, 5.50%, 03/01/28(b) | | | | | | | 1,000 | | | | 935,000 | |
Time Warner Cable LLC, 6.55%, 05/01/37 | | | | | | | 3,519 | | | | 3,467,161 | |
Univision Communications, Inc.(b) | | | | | | | | | | | | |
6.63%, 06/01/27 | | | | | | | 60 | | | | 59,836 | |
8.00%, 08/15/28(f) | | | | | | | 975 | | | | 1,005,829 | |
7.38%, 06/30/30(f) | | | | | | | 242 | | | | 241,306 | |
UPC Broadband Finco BV, 4.88%, 07/15/31(b) | | | | | | | 768 | | | | 675,924 | |
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28(b) | | | | | | | 1,452 | | | | 1,363,718 | |
Ziggo Bond Co. BV, 6.00%, 01/15/27(b) | | | | | | | 955 | | | | 929,465 | |
Ziggo BV, 4.88%, 01/15/30(b) | | | | | | | 605 | | | | 539,651 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 77,312,332 | |
| | | |
| Metals & Mining — 2.0% | | | | | | | | | |
ABJA Investment Co. Pte. Ltd., 5.45%, 01/24/28(g) | | | | | | | 306 | | | | 306,000 | |
Arsenal AIC Parent LLC, 8.00%, 10/01/30(b) | | | | | | | 268 | | | | 279,620 | |
ATI, Inc. | | | | | | | | | | | | |
5.88%, 12/01/27 | | | | | | | 374 | | | | 368,558 | |
7.25%, 08/15/30 | | | | | | | 764 | | | | 794,859 | |
5.13%, 10/01/31 | | | | | | | 656 | | | | 608,446 | |
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(b) | | | | | | | 2,560 | | | | 2,610,125 | |
Carpenter Technology Corp. | | | | | | | | | | | | |
6.38%, 07/15/28 | | | | | | | 58 | | | | 57,782 | |
7.63%, 03/15/30 | | | | | | | 108 | | | | 111,368 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Metals & Mining (continued) | |
Chinalco Capital Holdings Ltd., 2.13%, 06/03/26(g) | | | USD | | | | 200 | | | $ | 186,214 | |
Constellium SE(b) | | | | | | | | | | | | |
5.88%, 02/15/26 | | | | | | | 830 | | | | 824,842 | |
3.75%, 04/15/29(f) | | | | | | | 1,731 | | | | 1,570,641 | |
First Quantum Minerals Ltd., 8.63%, 06/01/31(b) | | | | | | | 495 | | | | 416,701 | |
JSW Steel Ltd., 3.95%, 04/05/27(g) | | | | | | | 500 | | | | 462,500 | |
Kaiser Aluminum Corp.(b) | | | | | | | | | | | | |
4.63%, 03/01/28 | | | | | | | 944 | | | | 873,039 | |
4.50%, 06/01/31 | | | | | | | 960 | | | | 827,546 | |
New Gold, Inc., 7.50%, 07/15/27(b) | | | | | | | 1,413 | | | | 1,425,536 | |
Novelis Corp.(b) | | | | | | | | | | | | |
3.25%, 11/15/26 | | | | | | | 599 | | | | 563,898 | |
4.75%, 01/30/30(f) | | | | | | | 3,350 | | | | 3,150,503 | |
3.88%, 08/15/31 | | | | | | | 1,265 | | | | 1,114,761 | |
Periama Holdings LLC, 5.95%, 04/19/26(g) | | | | | | | 200 | | | | 196,813 | |
Southern Copper Corp., 5.88%, 04/23/45(f) | | | | | | | 3,870 | | | | 3,918,375 | |
Steel Dynamics, Inc., 3.25%, 10/15/50 | | | | | | | 1,145 | | | | 791,837 | |
Vedanta Resources Finance II PLC(g) | | | | | | | | | | | | |
13.88%, 01/21/24 | | | | | | | 400 | | | | 354,216 | |
8.95%, 03/11/25 | | | | | | | 200 | | | | 148,228 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 21,962,408 | |
|
| Mortgage Real Estate Investment Trusts (REITs)(b) — 0.0% | |
Ladder Capital Finance Holdings LLLP/Ladder | | | | | | | | | | | | |
Capital Finance Corp. | | | | | | | | | | | | |
5.25%, 10/01/25 | | | | | | | 67 | | | | 66,093 | |
4.75%, 06/15/29 | | | | | | | 398 | | | | 358,871 | |
Starwood Property Trust, Inc., 4.38%, 01/15/27 | | | | | | | 70 | | | | 65,970 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 490,934 | |
|
| Oil, Gas & Consumable Fuels — 14.2% | |
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26(b) | | | | | | | 521 | | | | 523,605 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp.(b) | | | | | | | | | | | | |
5.75%, 03/01/27 | | | | | | | 95 | | | | 94,262 | |
5.75%, 01/15/28 | | | | | | | 127 | | | | 125,734 | |
5.38%, 06/15/29 | | | | | | | 1,095 | | | | 1,052,699 | |
Apache Corp., 5.35%, 07/01/49 | | | | | | | 172 | | | | 143,010 | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp.(b) | | | | | | | | | | | | |
9.00%, 11/01/27 | | | | | | | 602 | | | | 758,520 | |
8.25%, 12/31/28 | | | | | | | 1,334 | | | | 1,341,752 | |
Baytex Energy Corp., 8.50%, 04/30/30(b) | | | | | | | 340 | | | | 351,869 | |
Buckeye Partners LP | | | | | | | | | | | | |
4.13%, 03/01/25(b) | | | | | | | 594 | | | | 575,789 | |
5.85%, 11/15/43 | | | | | | | 383 | | | | 310,268 | |
5.60%, 10/15/44 | | | | | | | 191 | | | | 146,960 | |
Callon Petroleum Co. | | | | | | | | | | | | |
6.38%, 07/01/26 | | | | | | | 245 | | | | 243,837 | |
8.00%, 08/01/28(b)(f) | | | | | | | 927 | | | | 946,720 | |
7.50%, 06/15/30(b)(f) | | | | | | | 750 | | | | 756,391 | |
Chesapeake Energy Corp.(b) | | | | | | | | | | | | |
5.88%, 02/01/29 | | | | | | | 80 | | | | 78,396 | |
6.75%, 04/15/29(f) | | | | | | | 705 | | | | 711,559 | |
CITGO Petroleum Corp., 8.38%, 01/15/29(b) | | | | | | | 733 | | | | 753,766 | |
Civitas Resources, Inc.(b) | | | | | | | | | | | | |
8.38%, 07/01/28 | | | | | | | 1,204 | | | | 1,256,910 | |
8.63%, 11/01/30(f) | | | | | | | 577 | | | | 612,037 | |
8.75%, 07/01/31 | | | | | | | 1,179 | | | | 1,255,101 | |
CNOOC Finance 2014 ULC, Series 2014, 4.88%, 04/30/44 | | | | | | | 250 | | | | 242,687 | |
| | |
| 90 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Oil, Gas & Consumable Fuels (continued) | |
CNOOC Finance 2015 USA LLC, Series 2015, 3.50%, 05/05/25 | | | USD | | | | 250 | | | $ | 244,992 | |
CNOOC Petroleum North America ULC, 6.40%, 05/15/37 | | | | | | | 2,000 | | | | 2,215,700 | |
CNX Resources Corp., 7.38%, 01/15/31(b) | | | | | | | 166 | | | | 167,152 | |
Comstock Resources, Inc.(b) | | | | | | | | | | | | |
6.75%, 03/01/29(f) | | | | | | | 528 | | | | 482,860 | |
5.88%, 01/15/30 | | | | | | | 1,078 | | | | 934,950 | |
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31(b) | | | | | | | 2,468 | | | | 2,338,688 | |
Crescent Energy Finance LLC(b) | | | | | | | | | | | | |
7.25%, 05/01/26 | | | | | | | 1,096 | | | | 1,102,757 | |
9.25%, 02/15/28 | | | | | | | 895 | | | | 928,625 | |
CrownRock LP/CrownRock Finance, Inc., 5.00%, 05/01/29(b) | | | | | | | 86 | | | | 83,850 | |
Devon Energy Corp. | | | | | | | | | | | | |
5.25%, 09/15/24 | | | | | | | 100 | | | | 99,784 | |
5.25%, 10/15/27 | | | | | | | 130 | | | | 130,709 | |
5.88%, 06/15/28 | | | | | | | 204 | | | | 206,099 | |
4.50%, 01/15/30 | | | | | | | 117 | | | | 112,334 | |
Diamond Foreign Asset Co./Diamond Finance LLC, 8.50%, 10/01/30 | | | | | | | 318 | | | | 325,187 | |
Diamondback Energy, Inc.(f) | | | | | | | | | | | | |
3.50%, 12/01/29 | | | | | | | 692 | | | | 642,674 | |
6.25%, 03/15/33 | | | | | | | 2,880 | | | | 3,077,344 | |
DT Midstream, Inc.(b)(f) | | | | | | | | | | | | |
4.13%, 06/15/29 | | | | | | | 591 | | | | 543,710 | |
4.38%, 06/15/31 | | | | | | | 568 | | | | 512,355 | |
Enbridge, Inc. | | | | | | | | | | | | |
6.70%, 11/15/53(f) | | | | | | | 5,595 | | | | 6,507,163 | |
(3-mo. CME Term SOFR + 3.90%), 6.25%, 03/01/78(a) | | | | | | | 5,000 | | | | 4,621,694 | |
Series 16-A, (3-mo. CME Term SOFR + 4.15%), 6.00%, 01/15/77(a) | | | | | | | 5,880 | | | | 5,581,793 | |
Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 01/30/28(b) | | | | | | | 518 | | | | 518,489 | |
Energy Transfer LP | | | | | | | | | | | | |
5.50%, 06/01/27 | | | | | | | 406 | | | | 410,946 | |
6.00%, 02/01/29(b) | | | | | | | 247 | | | | 249,219 | |
8.00%, 04/01/29(b) | | | | | | | 142 | | | | 147,765 | |
7.38%, 02/01/31(b) | | | | | | | 417 | | | | 438,240 | |
6.13%, 12/15/45(f) | | | | | | | 3,579 | | | | 3,604,762 | |
Series B, (3-mo. LIBOR US + 4.16%),
6.63%(a)(i) | | | | | | | 5,000 | | | | 4,174,948 | |
Series H, (5-year CMT + 5.69%), 6.50%(a)(i) | | | | | | | 121 | | | | 114,984 | |
EnLink Midstream LLC | | | | | | | | | | | | |
5.63%, 01/15/28(b) | | | | | | | 530 | | | | 524,002 | |
5.38%, 06/01/29 | | | | | | | 368 | | | | 360,071 | |
6.50%, 09/01/30(b) | | | | | | | 287 | | | | 293,019 | |
EnLink Midstream Partners LP | | | | | | | | | | | | |
4.85%, 07/15/26 | | | | | | | 35 | | | | 34,289 | |
5.60%, 04/01/44 | | | | | | | 568 | | | | 494,344 | |
Enterprise Products Operating LLC(f) | | | | | | | | | | | | |
4.90%, 05/15/46 | | | | | | | 5,375 | | | | 5,127,376 | |
Series E, (3-mo. CME Term SOFR + 3.29%), 5.25%, 08/16/77(a) | | | | | | | 4,800 | | | | 4,588,842 | |
EQM Midstream Partners LP | | | | | | | | | | | | |
4.13%, 12/01/26 | | | | | | | 226 | | | | 218,290 | |
7.50%, 06/01/30(b) | | | | | | | 141 | | | | 151,578 | |
4.75%, 01/15/31(b)(f) | | | | | | | 802 | | | | 746,380 | |
Exxon Mobil Corp., 3.45%, 04/15/51(f) | | | | | | | 3,890 | | | | 3,051,563 | |
Genesis Energy LP/Genesis Energy Finance Corp. | | | | | | | | | | | | |
7.75%, 02/01/28 | | | | | | | 368 | | | | 369,283 | |
8.25%, 01/15/29 | | | | | | | 258 | | | | 265,494 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Oil, Gas & Consumable Fuels (continued) | |
Genesis Energy LP/Genesis Energy Finance Corp. (continued) | | | | | | | | | | | | |
8.88%, 04/15/30 | | | USD | | | | 232 | | | $ | 239,888 | |
Gulfport Energy Corp., 8.00%, 05/17/26(b) | | | | | | | 52 | | | | 53,070 | |
Harbour Energy PLC, 5.50%, 10/15/26(b) | | | | | | | 200 | | | | 195,500 | |
Harvest Midstream I LP, 7.50%, 09/01/28(b) | | | | | | | 115 | | | | 114,319 | |
Hess Corp., 5.80%, 04/01/47(f) | | | | | | | 5,000 | | | | 5,388,023 | |
Hess Midstream Operations LP, 4.25%, 02/15/30(b) | | | | | | | 497 | | | | 457,240 | |
Hilcorp Energy I LP/Hilcorp Finance Co.(b) | | | | | | | | | | | | |
6.25%, 11/01/28 | | | | | | | 238 | | | | 237,083 | |
5.75%, 02/01/29 | | | | | | | 272 | | | | 262,669 | |
6.00%, 04/15/30 | | | | | | | 32 | | | | 31,034 | |
8.38%, 11/01/33 | | | | | | | 876 | | | | 928,069 | |
Howard Midstream Energy Partners LLC, 8.88%, 07/15/28(b) | | | | | | | 390 | | | | 409,330 | |
ITT Holdings LLC, 6.50%, 08/01/29(b)(f) | | | | | | | 711 | | | | 628,979 | |
Kinder Morgan, Inc. | | | | | | | | | | | | |
7.80%, 08/01/31 | | | | | | | 197 | | | | 225,135 | |
7.75%, 01/15/32(f) | | | | | | | 4,586 | | | | 5,213,799 | |
Kinetik Holdings LP | | | | | | | | | | | | |
6.63%, 12/15/28 | | | | | | | 133 | | | | 135,502 | |
5.88%, 06/15/30(b)(f) | | | | | | | 427 | | | | 418,909 | |
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26(b) | | | | | | | 58 | | | | 56,550 | |
Marathon Petroleum Corp., 5.13%, 12/15/26(f) | | | | | | | 937 | | | | 947,219 | |
Matador Resources Co. | | | | | | | | | | | | |
5.88%, 09/15/26 | | | | | | | 228 | | | | 226,107 | |
6.88%, 04/15/28(b) | | | | | | | 412 | | | | 417,898 | |
Medco Bell Pte. Ltd., 6.38%, 01/30/27(g) | | | | | | | 300 | | | | 287,625 | |
Medco Laurel Tree Pte Ltd., 6.95%, 11/12/28(g) | | | | | | | 400 | | | | 378,944 | |
Medco Maple Tree Pte Ltd., 8.96%, 04/27/29(g) | | | | | | | 250 | | | | 254,687 | |
MPLX LP | | | | | | | | | | | | |
5.20%, 03/01/47(f) | | | | | | | 3,500 | | | | 3,246,167 | |
4.70%, 04/15/48(f) | | | | | | | 5,000 | | | | 4,309,057 | |
5.50%, 02/15/49(f) | | | | | | | 2,640 | | | | 2,553,114 | |
5.65%, 03/01/53 | | | | | | | 885 | | | | 873,999 | |
Murphy Oil Corp. | | | | | | | | | | | | |
5.88%, 12/01/27 | | | | | | | 30 | | | | 29,848 | |
5.88%, 12/01/42 | | | | | | | 47 | | | | 41,525 | |
Murphy Oil USA, Inc., 4.75%, 09/15/29 | | | | | | | 323 | | | | 306,042 | |
Nabors Industries Ltd.(b) | | | | | | | | | | | | |
7.25%, 01/15/26 | | | | | | | 260 | | | | 249,915 | |
7.50%, 01/15/28 | | | | | | | 788 | | | | 681,422 | |
Nabors Industries, Inc. | | | | | | | | | | | | |
5.75%, 02/01/25(f) | | | | | | | 1,258 | | | | 1,257,581 | |
7.38%, 05/15/27(b) | | | | | | | 9 | | | | 8,817 | |
9.13%, 01/31/30(b) | | | | | | | 387 | | | | 388,571 | |
New Fortress Energy, Inc., 6.75%, 09/15/25(b) | | | | | | | 764 | | | | 757,904 | |
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26(b)(f) | | | | | | | 603 | | | | 609,035 | |
NGPL PipeCo LLC, 7.77%, 12/15/37(b) | | | | | | | 1,117 | | | | 1,242,272 | |
Noble Finance II LLC, 8.00%, 04/15/30(b) | | | | | | | 486 | | | | 505,709 | |
Northern Oil and Gas, Inc.(b) | | | | | | | | | | | | |
8.13%, 03/01/28 | | | | | | | 1,220 | | | | 1,235,250 | |
8.75%, 06/15/31 | | | | | | | 470 | | | | 489,551 | |
NuStar Logistics LP | | | | | | | | | | | | |
6.00%, 06/01/26 | | | | | | | 163 | | | | 162,713 | |
6.38%, 10/01/30 | | | | | | | 45 | | | | 45,080 | |
Occidental Petroleum Corp., 6.20%, 03/15/40 | | | | | | | 568 | | | | 586,460 | |
PBF Holding Co. LLC/PBF Finance Corp., 7.88%, 09/15/30(b) | | | | | | | 269 | | | | 273,950 | |
Permian Resources Operating LLC | | | | | | | | | | | | |
5.38%, 01/15/26(b) | | | | | | | 64 | | | | 63,148 | |
| | |
SCHEDULE OF INVESTMENTS | | 91 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Oil, Gas & Consumable Fuels (continued) | |
Permian Resources Operating LLC (continued) | | | | | | | | | | | | |
7.75%, 02/15/26(b) | | | USD | | | | 635 | | | $ | 646,005 | |
6.88%, 04/01/27(b) | | | | | | | 208 | | | | 207,857 | |
8.00%, 04/15/27(b)(f) | | | | | | | 444 | | | | 460,240 | |
5.88%, 07/01/29(b) | | | | | | | 1,002 | | | | 976,910 | |
9.88%, 07/15/31(b) | | | | | | | 459 | | | | 510,064 | |
7.00%, 01/15/32 | | | | | | | 472 | | | | 486,950 | |
Pertamina Persero PT(g) | | | | | | | | | | | | |
1.40%, 02/09/26 | | | | | | | 250 | | | | 231,328 | |
2.30%, 02/09/31 | | | | | | | 200 | | | | 168,500 | |
Petroleos Mexicanos, 6.70%, 02/16/32 | | | | | | | 695 | | | | 575,112 | |
Petronas Capital Ltd.(g) | | | | | | | | | | | | |
2.48%, 01/28/32 | | | | | | | 200 | | | | 170,694 | |
4.50%, 03/18/45 | | | | | | | 200 | | | | 182,668 | |
Plains All American Pipeline LP, Series B, (3-mo. CME Term SOFR + 4.37%), 9.75%(a)(i) | | | | | | | 2,215 | | | | 2,140,244 | |
Precision Drilling Corp., 6.88%, 01/15/29(b) | | | | | | | 18 | | | | 17,358 | |
Reliance Industries Ltd., 3.67%, 11/30/27(g) | | | | | | | 300 | | | | 286,794 | |
Rockcliff Energy II LLC, 5.50%, 10/15/29(b) | | | | | | | 376 | | | | 355,363 | |
Rockies Express Pipeline LLC, 6.88%, 04/15/40(b) | | | | | | | 580 | | | | 567,418 | |
Sabine Pass Liquefaction LLC(f) | | | | | | | | | | | | |
5.75%, 05/15/24 | | | | | | | 375 | | | | 374,782 | |
5.88%, 06/30/26 | | | | | | | 1,481 | | | | 1,507,652 | |
Sinopec Group Overseas Development 2018 Ltd., 2.30%, 01/08/31(f)(g) | | | | | | | 500 | | | | 438,025 | |
Sitio Royalties Operating Partnership LP/Sitio Finance Corp., 7.88%, 11/01/28 | | | | | | | 574 | | | | 594,790 | |
SM Energy Co. | | | | | | | | | | | | |
6.75%, 09/15/26 | | | | | | | 393 | | | | 391,976 | |
6.63%, 01/15/27 | | | | | | | 75 | | | | 74,576 | |
6.50%, 07/15/28 | | | | | | | 125 | | | | 125,057 | |
Southwestern Energy Co. | | | | | | | | | | | | |
5.70%, 01/23/25 | | | | | | | 29 | | | | 28,884 | |
5.38%, 02/01/29 | | | | | | | 308 | | | | 300,575 | |
4.75%, 02/01/32 | | | | | | | 8 | | | | 7,402 | |
Sunoco LP/Sunoco Finance Corp. | | | | | | | | | | | | |
6.00%, 04/15/27(f) | | | | | | | 141 | | | | 141,121 | |
5.88%, 03/15/28 | | | | | | | 317 | | | | 316,578 | |
7.00%, 09/15/28(b) | | | | | | | 277 | | | | 285,801 | |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(b) | | | | | | | | | | | | |
7.50%, 10/01/25 | | | | | | | 41 | | | | 41,205 | |
6.00%, 03/01/27(f) | | | | | | | 150 | | | | 146,682 | |
5.50%, 01/15/28 | | | | | | | 108 | | | | 102,061 | |
6.00%, 12/31/30 | | | | | | | 70 | | | | 65,068 | |
6.00%, 09/01/31 | | | | | | | 239 | | | | 221,058 | |
TransCanada PipeLines Ltd., 4.88%, 05/15/48(f) | | | | | | | 4,000 | | | | 3,664,541 | |
Transcanada Trust, (3-mo. LIBOR US + 3.53%), 5.63%, 05/20/75(a)(f) | | | | | | | 2,755 | | | | 2,597,492 | |
Transocean Aquila Ltd., 8.00%, 09/30/28(b) | | | | | | | 184 | | | | 186,754 | |
Transocean Titan Financing Ltd., 8.38%, 02/01/28(b) | | | | | | | 269 | | | | 279,084 | |
Transocean, Inc.(b) | | | | | | | | | | | | |
7.50%, 01/15/26 | | | | | | | 1,145 | | | | 1,124,918 | |
11.50%, 01/30/27 | | | | | | | 739 | | | | 772,255 | |
8.00%, 02/01/27(f) | | | | | | | 519 | | | | 506,025 | |
8.75%, 02/15/30(f) | | | | | | | 1,526 | | | | 1,593,991 | |
Valaris Ltd., 8.38%, 04/30/30(b) | | | | | | | 1,159 | | | | 1,187,442 | |
Venture Global Calcasieu Pass LLC(b) | | | | | | | | | | | | |
3.88%, 08/15/29 | | | | | | | 1,535 | | | | 1,392,705 | |
4.13%, 08/15/31 | | | | | | | 312 | | | | 274,874 | |
3.88%, 11/01/33(f) | | | | | | | 919 | | | | 778,805 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Oil, Gas & Consumable Fuels (continued) | | | | | | | | | |
Venture Global LNG, Inc.(b) | | | | | | | | | | | | |
8.13%, 06/01/28 | | | USD | | | | 1,186 | | | $ | 1,197,738 | |
9.50%, 02/01/29 | | | | | | | 3,198 | | | | 3,384,018 | |
8.38%, 06/01/31 | | | | | | | 2,216 | | | | 2,214,853 | |
9.88%, 02/01/32 | | | | | | | 1,559 | | | | 1,623,915 | |
Vermilion Energy, Inc., 6.88%, 05/01/30(b) | | | | | | | 270 | | | | 259,212 | |
Vital Energy, Inc. | | | | | | | | | | | | |
10.13%, 01/15/28 | | | | | | | 388 | | | | 398,693 | |
9.75%, 10/15/30 | | | | | | | 480 | | | | 497,602 | |
Western Midstream Operating LP | | | | | | | | | | | | |
5.45%, 04/01/44 | | | | | | | 12 | | | | 10,864 | |
5.30%, 03/01/48(f) | | | | | | | 945 | | | | 822,364 | |
5.50%, 08/15/48 | | | | | | | 117 | | | | 104,341 | |
5.25%, 02/01/50(f) | | | | | | | 444 | | | | 398,073 | |
Williams Cos., Inc.(f) | | | | | | | | | | | | |
4.55%, 06/24/24 | | | | | | | 527 | | | | 524,085 | |
8.75%, 03/15/32 | | | | | | | 2,478 | | | | 3,001,845 | |
5.10%, 09/15/45 | | | | | | | 5,075 | | | | 4,779,664 | |
Woodside Finance Ltd., 3.70%, 09/15/26(g) | | | | | | | 200 | | | | 192,237 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 153,366,073 | |
|
| Paper & Forest Products(f) — 1.6% | |
International Paper Co. | | | | | | | | | | | | |
8.70%, 06/15/38 | | | | | | | 4,000 | | | | 4,999,954 | |
7.30%, 11/15/39 | | | | | | | 10,000 | | | | 11,962,522 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,962,476 | |
| | | |
| Passenger Airlines — 1.1% | | | | | | | | | |
Air Canada, 3.88%, 08/15/26(b) | | | | | | | 549 | | | | 524,509 | |
American Airlines, Inc., 8.50%, 05/15/29(b) | | | | | | | 694 | | | | 732,863 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 04/20/29(b)(f) | | | | | | | 1,444 | | | | 1,407,809 | |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(b)(f) | | | | | | | 874 | | | | 876,832 | |
Singapore Airlines Ltd., 3.00%, 07/20/26(g) | | | | | | | 200 | | | | 190,098 | |
Turkish Airlines Pass-Through Trust, Series 2015-1, Class A, 4.20%, 09/15/28(b) | | | | | | | 1,378 | | | | 1,280,871 | |
United Airlines Pass-Through Trust, Series 2020-1, Class A, 5.88%, 04/15/29(f) | | | | | | | 4,393 | | | | 4,446,965 | |
United Airlines, Inc.(b) | | | | | | | | | | | | |
4.38%, 04/15/26 | | | | | | | 1,097 | | | | 1,068,923 | |
4.63%, 04/15/29(f) | | | | | | | 1,362 | | | | 1,273,791 | |
VistaJet Malta Finance PLC/Vista Management Holding, Inc., 7.88%, 05/01/27(b) | | | | | | | 192 | | | | 165,137 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,967,798 | |
| | | |
| Personal Care Products — 0.0% | | | | | | | | | |
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 6.63%, 07/15/30(b) | | | | | | | 378 | | | | 388,323 | |
| | | | | | | | | | | | |
| | | |
| Pharmaceuticals — 4.1% | | | | | | | | | |
1375209 BC Ltd., 9.00%, 01/30/28(b) | | | | | | | 550 | | | | 536,305 | |
AbbVie, Inc.(f) | | | | | | | | | | | | |
4.75%, 03/15/45 | | | | | | | 5,485 | | | | 5,275,553 | |
4.70%, 05/14/45 | | | | | | | 3,255 | | | | 3,097,394 | |
Bayer U.S. Finance LLC, 6.88%, 11/21/53 | | | | | | | 715 | | | | 761,475 | |
CVS Health Corp.(f) | | | | | | | | | | | | |
5.13%, 07/20/45 | | | | | | | 3,879 | | | | 3,669,859 | |
5.05%, 03/25/48 | | | | | | | 8,205 | | | | 7,674,202 | |
Jazz Securities DAC, 4.38%, 01/15/29(b) | | | | | | | 853 | | | | 794,497 | |
Merck & Co., Inc., 6.50%, 12/01/33(f) | | | | | | | 6,420 | | | | 7,537,822 | |
Option Care Health, Inc., 4.38%, 10/31/29(b)(f) | | | | | | | 461 | | | | 416,633 | |
Organon & Co./Organon Foreign Debt Co-Issuer BV(b) 4.13%, 04/30/28 | | | | | | | 1,633 | | | | 1,503,114 | |
| | |
| 92 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Pharmaceuticals (continued) | |
Organon & Co./Organon Foreign Debt Co-Issuer BV(b) (continued) | | | | | | | | | | | | |
5.13%, 04/30/31(f) | | | USD | | | | 400 | | | $ | 341,938 | |
Pfizer Investment Enterprises Pte. Ltd., 5.30%, 05/19/53(f) | | | | | | | 3,070 | | | | 3,134,114 | |
PRA Health Sciences, Inc., 2.88%, 07/15/26(b) | | | | | | | 707 | | | | 660,647 | |
Prestige Brands, Inc., 3.75%, 04/01/31(b) | | | | | | | 233 | | | | 203,681 | |
Takeda Pharmaceutical Co. Ltd., 2.05%, 03/31/30(f) | | | | | | | 8,270 | | | | 7,086,359 | |
Teva Pharmaceutical Finance Netherlands III BV | | | | | | | | | | | | |
3.15%, 10/01/26 | | | | | | | 1,174 | | | | 1,085,216 | |
4.75%, 05/09/27 | | | | | | | 200 | | | | 191,842 | |
7.88%, 09/15/29 | | | | | | | 451 | | | | 483,959 | |
8.13%, 09/15/31 | | | | | | | 200 | | | | 217,356 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 44,671,966 | |
| | | |
| Professional Services — 0.1% | | | | | | | | | |
CoreLogic, Inc., 4.50%, 05/01/28(b)(f) | | | | | | | 1,488 | | | | 1,303,503 | |
| | | | | | | | | | | | |
|
| Real Estate Management & Development — 0.6% | |
Anywhere Real Estate Group LLC/Anywhere Co.-Issuer Corp. | | | | | | | | | | | | |
7.00%, 04/15/30(b) | | | | | | | 408 | | | | 376,622 | |
7.00%, 04/15/30 | | | | | | | 320 | | | | 295,101 | |
AYC Finance Ltd., 3.90%(g)(i) | | | | | | | 300 | | | | 186,000 | |
China Overseas Finance Cayman VII Ltd., 4.75%, 04/26/28(g) | | | | | | | 200 | | | | 192,824 | |
China Resources Land Ltd., 3.75%, 08/26/24(g) | | | | | | | 200 | | | | 196,898 | |
Cushman & Wakefield U.S. Borrower LLC, 8.88%, 09/01/31 | | | | | | | 216 | | | | 228,910 | |
Fantasia Holdings Group Co. Ltd., 7.95%, 07/05/22(d)(m) | | | | | | | 1,050 | | | | 23,625 | |
Howard Hughes Corp.(b) | | | | | | | | | | | | |
5.38%, 08/01/28 | | | | | | | 399 | | | | 383,489 | |
4.13%, 02/01/29 | | | | | | | 176 | | | | 156,941 | |
New Metro Global Ltd., 4.50%, 05/02/26(g) | | | | | | | 349 | | | | 85,837 | |
Northwest Florida Timber Finance LLC, 4.75%, 03/04/29(b) | | | | | | | 4,485 | | | | 4,240,379 | |
Shimao Group Holdings Ltd., 3.45%, 01/11/31(d)(g)(m) | | | | | | | 200 | | | | 7,000 | |
Sinochem Offshore Capital Co. Ltd., 1.50%, 09/23/26(g) | | | | | | | 200 | | | | 181,216 | |
Sunac China Holdings Ltd.(g)(h) | | | | | | | | | | | | |
(1 % PIK), 1.00%, 09/30/32(k) | | | | | | | 22 | | | | 1,665 | |
(5% Cash or 6% PIK), 6.00%, 09/30/26 | | | | | | | 18 | | | | 2,127 | |
(5.25% Cash or 6.25% PIK), 6.25%, 09/30/27 | | | | | | | 18 | | | | 1,817 | |
(5.5% Cash or 6.5% PIK), 6.50%, 09/30/27 | | | | | | | 35 | | | | 3,102 | |
(5.75% Cash or 6.75% PIK), 6.75%, 09/30/28 | | | | | | | 53 | | | | 4,121 | |
(6% Cash or 7% PIK), 7.00%, 09/30/29 | | | | | | | 53 | | | | 3,855 | |
(6.25% Cash or 7.25% PIK), 7.25%, 09/30/30 | | | | | | | 25 | | | | 1,687 | |
Theta Capital Pte. Ltd., 8.13%, 01/22/25(g) | | | | | | | 200 | | | | 177,772 | |
Wharf REIC Finance BVI Ltd., 2.88%, 05/07/30(g) | | | | | | | 200 | | | | 173,352 | |
Yango Justice International Ltd.(d)(g)(m) | | | | | | | | | | | | |
8.25%, 11/25/23 | | | | | | | 200 | | | | 500 | |
7.50%, 04/15/24 | | | | | | | 200 | | | | 500 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,925,340 | |
| | | |
| Retail REITs — 0.0% | | | | | | | | | |
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, 4.50%, 04/01/27(b) | | | | | | | 328 | | | | 295,200 | |
| | | | | | | | | | | | |
|
| Semiconductors & Semiconductor Equipment — 2.3% | |
Broadcom, Inc., 5.00%, 04/15/30 | | | | | | | 10,970 | | | | 11,128,387 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Semiconductors & Semiconductor Equipment (continued) | |
Entegris Escrow Corp., 4.75%, 04/15/29(b) | | | USD | | | | 258 | | | $ | 248,561 | |
Entegris, Inc., 4.38%, 04/15/28(b) | | | | | | | 120 | | | | 114,199 | |
Lam Research Corp., 4.88%, 03/15/49(f) | | | | | | | 875 | | | | 870,580 | |
NCR Atleos Corp., 9.50%, 04/01/29 | | | | | | | 355 | | | | 377,186 | |
NVIDIA Corp.(f) | | | | | | | | | | | | |
3.50%, 04/01/50 | | | | | | | 2,785 | | | | 2,323,866 | |
3.70%, 04/01/60 | | | | | | | 1,760 | | | | 1,473,886 | |
NXP BV/NXP Funding LLC/NXP USA, Inc. | | | | | | | | | | | | |
4.40%, 06/01/27 | | | | | | | 750 | | | | 740,505 | |
3.40%, 05/01/30(f) | | | | | | | 1,755 | | | | 1,609,984 | |
QUALCOMM, Inc.(f) | | | | | | | | | | | | |
4.30%, 05/20/47 | | | | | | | 3,500 | | | | 3,201,023 | |
6.00%, 05/20/53 | | | | | | | 1,993 | | | | 2,293,204 | |
SK Hynix, Inc., 1.50%, 01/19/26(g) | | | | | | | 200 | | | | 184,196 | |
Synaptics, Inc., 4.00%, 06/15/29(b) | | | | | | | 16 | | | | 14,352 | |
TSMC Global Ltd., 2.25%, 04/23/31(g) | | | | | | | 250 | | | | 212,472 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 24,792,401 | |
| | | |
| Software — 2.3% | | | | | | | | | |
Alteryx, Inc., 8.75%, 03/15/28(b) | | | | | | | 372 | | | | 395,947 | |
Boxer Parent Co., Inc.(b) | | | | | | | | | | | | |
7.13%, 10/02/25 | | | | | | | 764 | | | | 768,095 | |
9.13%, 03/01/26 | | | | | | | 392 | | | | 391,139 | |
Capstone Borrower, Inc., 8.00%, 06/15/30(b) | | | | | | | 453 | | | | 471,283 | |
Clarivate Science Holdings Corp.(b)(f) | | | | | | | | | | | | |
3.88%, 07/01/28 | | | | | | | 1,602 | | | | 1,510,516 | |
4.88%, 07/01/29 | | | | | | | 1,241 | | | | 1,164,473 | |
Cloud Software Group, Inc.(b) | | | | | | | | | | | | |
6.50%, 03/31/29 | | | | | | | 4,875 | | | | 4,643,148 | |
9.00%, 09/30/29(f) | | | | | | | 2,517 | | | | 2,392,290 | |
Consensus Cloud Solutions, Inc., 6.50%, 10/15/28(b)(f) | | | | | | | 286 | | | | 259,418 | |
Crowdstrike Holdings, Inc., 3.00%, 02/15/29 | | | | | | | 61 | | | | 55,127 | |
Elastic NV, 4.13%, 07/15/29(b) | | | | | | | 718 | | | | 659,301 | |
Helios Software Holdings, Inc./ION Corporate Solutions Finance SARL, 4.63%, 05/01/28(b)(f) | | | | | | | 205 | | | | 187,013 | |
McAfee Corp., 7.38%, 02/15/30(b)(f) | | | | | | | 1,361 | | | | 1,242,935 | |
MicroStrategy, Inc., 6.13%, 06/15/28(b) | | | | | | | 180 | | | | 174,625 | |
Open Text Corp., 6.90%, 12/01/27(b) | | | | | | | 988 | | | | 1,027,175 | |
Oracle Corp.(f) | | | | | | | | | | | | |
3.95%, 03/25/51 | | | | | | | 4,425 | | | | 3,465,064 | |
5.55%, 02/06/53 | | | | | | | 1,280 | | | | 1,280,357 | |
Playtika Holding Corp., 4.25%, 03/15/29(b) | | | | | | | 114 | | | | 99,471 | |
PTC, Inc.(b) | | | | | | | | | | | | |
3.63%, 02/15/25 | | | | | | | 166 | | | | 162,281 | |
4.00%, 02/15/28 | | | | | | | 365 | | | | 345,907 | |
SS&C Technologies, Inc., 5.50%, 09/30/27(b)(f) | | | | | | | 3,719 | | | | 3,665,940 | |
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(b) | | | | | | | 447 | | | | 369,030 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 24,730,535 | |
| | | |
| Specialized REITs(b) — 0.2% | | | | | | | | | |
Iron Mountain, Inc. | | | | | | | | | | | | |
4.88%, 09/15/27 | | | | | | | 606 | | | | 591,341 | |
7.00%, 02/15/29 | | | | | | | 925 | | | | 950,787 | |
5.63%, 07/15/32 | | | | | | | 493 | | | | 466,709 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,008,837 | |
| | | |
| Specialty Retail — 0.2% | | | | | | | | | |
eG Global Finance PLC, 12.00%, 11/30/28 | | | | | | | 418 | | | | 445,182 | |
| | |
SCHEDULE OF INVESTMENTS | | 93 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (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 | | | | 481 | | | $ | 453,479 | |
7.75%, 02/15/29(f) | | | | | | | 1,567 | | | | 1,524,406 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,423,067 | |
|
| Technology Hardware, Storage & Peripherals — 0.5% | |
Dell International LLC/EMC Corp.(f) | | | | | | | | | | | | |
5.85%, 07/15/25 | | | | | | | 2,395 | | | | 2,418,442 | |
8.35%, 07/15/46 | | | | | | | 1,005 | | | | 1,319,832 | |
Seagate HDD Cayman(b) | | | | | | | | | | | | |
8.25%, 12/15/29 | | | | | | | 726 | | | | 783,011 | |
8.50%, 07/15/31 | | | | | | | 701 | | | | 760,798 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,282,083 | |
|
| Textiles, Apparel & Luxury Goods(b) — 0.1% | |
Crocs, Inc., 4.13%, 08/15/31 | | | | | | | 244 | | | | 206,471 | |
Hanesbrands, Inc., 4.88%, 05/15/26(f) | | | | | | | 140 | | | | 135,046 | |
Levi Strauss & Co., 3.50%, 03/01/31 | | | | | | | 523 | | | | 452,834 | |
William Carter Co., 5.63%, 03/15/27 | | | | | | | 365 | | | | 360,437 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,154,788 | |
| | | |
| Tobacco — 2.5% | | | | | | | | | |
Altria Group, Inc., 10.20%, 02/06/39 | | | | | | | 13,392 | | | | 18,588,463 | |
BAT Capital Corp., 4.54%, 08/15/47(f) | | | | | | | 3,000 | | | | 2,303,186 | |
BAT International Finance PLC, 1.67%, 03/25/26(f) | | | | | | | 4,350 | | | | 4,040,537 | |
Reynolds American, Inc., 5.85%, 08/15/45(f) | | | | | | | 2,335 | | | | 2,185,692 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 27,117,878 | |
| | | |
| Transportation Infrastructure(g) — 0.1% | | | | | | | | | |
CK Hutchison International 23 Ltd. | | | | | | | | | | | | |
4.75%, 04/21/28(f) | | | | | | | 400 | | | | 400,624 | |
4.88%, 04/21/33 | | | | | | | 400 | | | | 400,092 | |
CMHI Finance BVI Co. Ltd., (5-year CMT + 6.62%), 3.88%(a)(i) | | | | | | | 200 | | | | 191,000 | |
Shanghai Port Group BVI Development 2 Co. Ltd., 1.50%, 07/13/25 | | | | | | | 200 | | | | 189,232 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,180,948 | |
|
| Wireless Telecommunication Services — 1.2% | |
Altice France SA/France(b) | | | | | | | | | | | | |
5.13%, 01/15/29 | | | | | | | 1,346 | | | | 1,046,848 | |
5.13%, 07/15/29 | | | | | | | 996 | | | | 774,907 | |
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/01/26(b) | | | | | | | 2,509 | | | | 2,493,971 | |
Digicel Holdings, 8.75%, 05/25/24 | | | | | | | 27 | | | | 25,609 | |
Digicel International Finance Ltd./Digicel international Holdings Ltd., 8.75%, 05/25/24 | | | | | | | 635 | | | | 594,030 | |
Globe Telecom, Inc., (5-year CMT + 5.53%), 4.20%(a)(g)(i) | | | | | | | 700 | | | | 663,250 | |
Hughes Satellite Systems Corp., 5.25%, 08/01/26 | | | | | | | 180 | | | | 158,395 | |
Sprint LLC, 7.63%, 03/01/26 | | | | | | | 1,096 | | | | 1,145,015 | |
T-Mobile U.S., Inc. | | | | | | | | | | | | |
4.75%, 02/01/28(f) | | | | | | | 1,013 | | | | 1,009,323 | |
2.63%, 02/15/29 | | | | | | | 438 | | | | 394,320 | |
3.38%, 04/15/29(f) | | | | | | | 676 | | | | 628,074 | |
2.88%, 02/15/31(f) | | | | | | | 235 | | | | 207,065 | |
3.50%, 04/15/31(f) | | | | | | | 990 | | | | 905,048 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Wireless Telecommunication Services (continued) | |
T-Mobile U.S., Inc. (continued) | | | | | | | | | | | | |
5.05%, 07/15/33(f) | | | USD | | | | 2,000 | | | $ | 2,015,551 | |
Vmed O2 U.K. Financing I PLC, 4.75%, 07/15/31(b) | | | | | | | 934 | | | | 833,694 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,895,100 | |
| | | | | | | | | | | | |
| | | |
Total Corporate Bonds — 112.9%
(Cost: $1,228,553,602) | | | | | | | | | | | 1,221,197,107 | |
| | | | | | | | | | | | |
| | | |
Floating Rate Loan Interests(a) | | | | | | | | | | | | |
| | | |
| Aerospace & Defense — 0.2% | | | | | | | | | |
Barnes Group, Inc., Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.46%, 09/03/30 | | | | | | | 94 | | | | 94,053 | |
Bleriot U.S. Bidco, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.61%, 10/31/28 | | | | | | | 62 | | | | 61,886 | |
Cobham Ultra SeniorCo SARL, USD Term Loan B, (6-mo. CME Term SOFR at 0.50% Floor + 3.50%), 9.36%, 08/03/29 | | | | | | | 99 | | | | 97,151 | |
Cubic Corp. | | | | | | | | | | | | |
Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.90%, 05/25/28 | | | | | | | 414 | | | | 384,747 | |
Term Loan C, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.90%, 05/25/28 | | | | | | | 62 | | | | 57,588 | |
Dynasty Acquisition Co., Inc., 2023 Term Loan B1, (1-mo. CME Term SOFR + 4.00%), 9.36%, 08/24/28 | | | | | | | 383 | | | | 383,475 | |
Peraton Corp. | | | | | | | | | | | | |
2nd Lien Term Loan B1, (3-mo. CME Term SOFR at 0.75% Floor + 7.75%), 13.22%, 02/01/29 | | | | | | | 112 | | | | 111,552 | |
Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.21%, 02/01/28 | | | | | | | 597 | | | | 598,177 | |
Setanta Aircraft Leasing DAC, Term Loan B, (3-mo. CME Term SOFR + 2.00%), 7.61%, 11/05/28 | | | | | | | 150 | | | | 150,375 | |
Standard Aero Ltd., 2023 Term Loan B2, (1-mo. CME Term SOFR + 4.00%), 9.36%, 08/24/28 | | | | | | | 164 | | | | 164,346 | |
TransDigm, Inc. | | | | | | | | | | | | |
2023 Term Loan I, (3-mo. CME Term SOFR + 3.25%), 8.60%, 08/24/28 | | | | | | | 313 | | | | 313,697 | |
2023 Term Loan J, (3-mo. CME Term SOFR at 1.00% Floor + 3.25%), 8.60%, 02/14/31 | | | | | | | 119 | | | | 119,446 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,536,493 | |
| | | |
| Air Freight & Logistics — 0.0% | | | | | | | | | |
Rand Parent LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.60%, 03/17/30 | | | | | | | 79 | | | | 78,095 | |
| | | | | | | | | | | | |
| | | |
| Automobile Components — 0.1% | | | | | | | | | |
Adient U.S. LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.72%, 04/10/28 | | | | | | | 75 | | | | 75,203 | |
Clarios Global LP, 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 3.75%), 9.11%, 05/06/30 | | | | | | | 297 | | | | 297,627 | |
Tenneco, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR + 5.00%), 10.47%, 11/17/28 | | | | | | | 166 | | | | 145,987 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 518,817 | |
| | |
| 94 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Automobiles — 0.0% | | | | | | | | | |
Dealer Tire Financial LLC, Series B, Term Loan B2, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.86%, 12/14/27 | | | USD | | | | 221 | | | $ | 221,461 | |
RVR Dealership Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.21%, 02/08/28 | | | | | | | 22 | | | | 18,669 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 240,130 | |
| | | |
| Banks — 0.1% | | | | | | | | | |
Ascensus Holdings, Inc. | | | | | | | | | | | | |
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.50%), 12.18%, 08/02/29 | | | | | | | 61 | | | | 58,956 | |
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 08/02/28 | | | | | | | 437 | | | | 434,967 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 493,923 | |
| | | |
| Beverages — 0.1% | | | | | | | | | |
Naked Juice LLC | | | | | | | | | | | | |
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.45%, 01/24/30 | | | | | | | 225 | | | | 180,342 | |
Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.70%, 01/24/29 | | | | | | | 533 | | | | 514,279 | |
Triton Water Holdings, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.86%, 03/31/28 | | | | | | | 157 | | | | 155,117 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 849,738 | |
| | | |
| Broadline Retail — 0.1% | | | | | | | | | |
New SK Holdco Sub LLC, 2022 PIK Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.85%, 1.50% PIK), 13.71%, 06/30/27 | | | | | | | 290 | | | | 287,515 | |
PUG LLC, USD Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.97%, 02/12/27 | | | | | | | 412 | | | | 404,778 | |
Sally Holdings LLC, 2023 CovLite Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.61%, 02/28/30 | | | | | | | 73 | | | | 72,656 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 764,949 | |
| | | |
| Building Products — 0.1% | | | | | | | | | |
AZZ, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.11%, 05/13/29 | | | | | | | 28 | | | | 27,832 | |
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.97%, 05/19/28 | | | | | | | 184 | | | | 184,849 | |
LBM Acquisition LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.21%, 12/17/27 | | | | | | | 96 | | | | 94,883 | |
SRS Distribution, Inc. | | | | | | | | | | | | |
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 06/02/28 | | | | | | | 445 | | | | 445,426 | |
2022 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.96%, 06/02/28 | | | | | | | 67 | | | | 66,798 | |
White Cap Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.11%, 10/19/27 | | | | | | | 192 | | | | 192,252 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,012,040 | |
| | | |
| Capital Markets — 0.1% | | | | | | | | | |
Aretec Group, Inc., 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.96%, 08/09/30 | | | | | | | 75 | | | | 74,650 | |
Axalta Coating Systems U.S. Holdings, Inc., 2023 USD Term Loan B4, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.85%, 12/20/29 . | | | | | | | 187 | | | | 187,152 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Capital Markets (continued) | | | | | | | | | |
Azalea Topco, Inc., Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.97%, 07/24/26 | | | USD | | | | 263 | | | $ | 260,084 | |
Castlelake Aviation One DAC | | | | | | | | | | | | |
2023 Incremental Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.13%, 10/22/27 | | | | | | | 80 | | | | 80,241 | |
Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.40%, 10/22/26 | | | | | | | 254 | | | | 254,279 | |
Focus Financial Partners LLC | | | | | | | | | | | | |
2021 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.86%, 06/30/28 | | | | | | | 182 | | | | 182,015 | |
2023 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.86%, 06/30/28 | | | | | | | 97 | | | | 96,878 | |
ION Trading Finance Ltd., 2021 USD Term Loan, (3-mo. CME Term SOFR + 4.75%), 10.20%, 04/03/28 | | | | | | | 74 | | | | 73,447 | |
Osaic Holdings, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 4.50%), 9.86%, 08/17/28 | | | | | | | 268 | | | | 268,850 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,477,596 | |
| | | |
| Chemicals — 0.3% | | | | | | | | | |
Arc Falcon I, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 09/30/28 | | | | | | | 214 | | | | 211,244 | |
Aruba Investments Holdings LLC, 2020 USD Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.46%, 11/24/27 | | | | | | | 73 | | | | 72,348 | |
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.32%, 08/27/26 | | | | | | | 116 | | | | 111,474 | |
Chemours Co., 2023 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 8.86%, 08/18/28 | | | | | | | 148 | | | | 147,187 | |
Derby Buyer LLC, USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 11/01/30(c) | | | | | | | 248 | | | | 248,000 | |
Discovery Purchaser Corp., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.38%), 9.77%, 10/04/29 | | | | | | | 116 | | | | 113,949 | |
Ecovyst Catalyst Technologies LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.98%, 06/09/28 | | | | | | | 184 | | | | 184,291 | |
Element Solutions, Inc., 2023 Term Loan B, 12/18/30(c)(n) | | | | | | | 247 | | | | 247,612 | |
HB Fuller Co., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.61%, 02/15/30 | | | | | | | 77 | | | | 76,737 | |
Herens U.S. Holdco Corp., USD Term Loan B, (3-mo. CME Term SOFR + 3.93%), 9.37%, 07/03/28 | | | | | | | 137 | | | | 123,976 | |
INEOS U.S. Finance LLC, 2023 USD Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.86%, 02/18/30 | | | | | | | 72 | | | | 71,640 | |
LSF11 A5 Holdco LLC | | | | | | | | | | | | |
2023 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.71%, 10/15/28 | | | | | | | 37 | | | | 36,876 | |
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 10/15/28 | | | | | | | 215 | | | | 214,949 | |
Momentive Performance Materials Inc., 2023 Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.86%, 03/29/28 | | | | | | | 285 | | | | 274,942 | |
Nouryon USA LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.47%, 04/03/28 | | | | | | | 113 | | | | 113,749 | |
| | |
SCHEDULE OF INVESTMENTS | | 95 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Chemicals (continued) | | | | | | | | | |
Olympus Water U.S. Holding Corp., 2023 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.35%, 11/09/28 | | | USD | | | | 114 | | | $ | 114,141 | |
OQ Chemicals Corp., 2017 USD Term Loan B2, (3-mo. CME Term SOFR + 3.60%), 9.01%, 10/14/24 | | | | | | | 202 | | | | 194,490 | |
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.47%, 03/16/27 | | | | | | | 74 | | | | 74,180 | |
Sparta U.S. HoldCo LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.71%, 08/02/28 | | | | | | | 217 | | | | 216,781 | |
WR Grace Holdings LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.36%, 09/22/28 | | | | | | | 181 | | | | 181,008 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,029,574 | |
|
| Commercial Services & Supplies — 0.2% | |
Action Environmental Group, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.88%, 10/24/30(c) | | | | | | | 75 | | | | 75,185 | |
Albion Financing 3 SARL, USD Term Loan, (3-mo. CME Term SOFR + 5.25%), 10.92%, 08/17/26 | | | | | | | 220 | | | | 221,327 | |
Allied Universal Holdco LLC | | | | | | | | | | | | |
2021 USD Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.21%, 05/12/28 | | | | | | | 379 | | | | 377,285 | |
2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.11%, 05/12/28 | | | | | | | 41 | | | | 40,840 | |
Amentum Government Services Holdings LLC, 2022 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.36%, 02/15/29 | | | | | | | 53 | | | | 53,110 | |
PECF USS Intermediate Holding III Corp., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.89%, 12/15/28 | | | | | | | 131 | | | | 101,416 | |
Prime Security Services Borrower LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.84%, 10/14/30 | | | | | | | 110 | | | | 110,257 | |
Tempo Acquisition LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.11%, 08/31/28 | | | | | | | 582 | | | | 584,019 | |
TruGreen LP, 2020 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.46%, 11/02/27 | | | | | | | 236 | | | | 227,173 | |
Viad Corp., Initial Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.47%, 07/30/28 | | | | | | | 129 | | | | 128,039 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,918,651 | |
|
| Communications Equipment — 0.0% | |
Ciena Corp., 2020 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.36%, 10/24/30 | | | | | | | 204 | | | | 204,180 | |
Viasat, Inc. | | | | | | | | | | | | |
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.96%, 05/30/30 | | | | | | | 99 | | | | 96,654 | |
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.86%, 03/02/29 | | | | | | | 149 | | | | 146,037 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 446,871 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Construction & Engineering — 0.1% | |
Brand Industrial Services, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.50%), 10.88%, 08/01/30 | | | USD | | | | 449 | | | $ | 445,670 | |
Legence Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.96%, 12/16/27 | | | | | | | 62 | | | | 61,758 | |
Pike Corp., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.47%, 01/21/28 | | | | | | | 75 | | | | 75,156 | |
USIC Holdings, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 9.11%, 05/12/28 | | | | | | | 147 | | | | 145,596 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 728,180 | |
|
| Construction Materials — 0.2% | |
ACProducts Holdings, Inc., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.86%, 05/17/28 | | | | | | | 170 | | | | 148,488 | |
American Builders & Contractors Supply Co., Inc., Series A, 2019 Term Loan, (1-mo. CME Term SOFR + 2.00%), 7.46%, 01/15/27 | | | | | | | 121 | | | | 121,473 | |
Chariot Buyer LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 11/03/28 | | | | | | | 370 | | | | 368,396 | |
CP Atlas Buyer, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.21%, 11/23/27 | | | | | | | 176 | | | | 172,549 | |
CPG International LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.96%, 04/28/29 | | | | | | | 88 | | | | 87,931 | |
Emerald Debt Merger Sub LLC, Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.36%, 05/31/30 | | | | | | | 115 | | | | 115,043 | |
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1-mo. CME Term SOFR + 1.75%), 7.21%, 03/01/27 | | | | | | | 49 | | | | 48,913 | |
Jeld-Wen, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.72%, 07/28/28 | | | | | | | 98 | | | | 98,112 | |
New AMI I LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.36%, 03/08/29 | | | | | | | 96 | | | | 82,928 | |
Oscar AcquisitionCo. LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.95%, 04/29/29 | | | | | | | 191 | | | | 188,960 | |
Quikrete Holdings, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.22%, 03/19/29 | | | | | | | 75 | | | | 74,807 | |
Smyrna Ready Mix Concrete LLC, 2023 Term Loan, 04/02/29(n) | | | | | | | 66 | | | | 35,602 | |
Standard Industries, Inc./New Jersey, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.72%, 09/22/28 | | | | | | | 73 | | | | 72,768 | |
Summit Materials LLC, 2023 Incremental Term Loan B, 11/30/28(n) | | | | | | | 90 | | | | 90,282 | |
Wilsonart LLC, 2021 Term Loan E, (3-mo. CME Term SOFR at 1.00% Floor + 3.25%), 8.70%, 12/31/26 | | | | | | | 338 | | | | 338,255 | |
Zurn LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.47%, 10/04/28 | | | | | | | 96 | | | | 96,929 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,141,436 | |
|
| Consumer Finance — 0.1% | |
GTCR W Merger Sub LLC, USD Term Loan B, 09/20/30(n) | | | | | | | 202 | | | | 202,758 | |
| | |
| 96 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Consumer Finance (continued) | |
Trans Union LLC | | | | | | | | | | | | |
2019 Term Loan B5, (1-mo. CME Term SOFR + 1.75%), 7.21%, 11/16/26 | | | USD | | | | 111 | | | $ | 110,770 | |
2021 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.72%, 12/01/28 | | | | | | | 319 | | | | 320,199 | |
WEX, Inc., 2021 Term Loan, (1-mo. CME Term SOFR + 2.25%), 7.72%, 03/31/28 | | | | | | | 123 | | | | 122,753 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 756,480 | |
|
| Consumer Staples Distribution & Retail — 0.0% | |
U.S. Foods, Inc. | | | | | | | | | | | | |
2019 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.47%, 09/13/26 | | | | | | | 41 | | | | 40,486 | |
2021 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.97%, 11/22/28 | | | | | | | 200 | | | | 201,110 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 241,596 | |
|
| Containers & Packaging — 0.1% | |
Charter Next Generation, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.22%, 12/01/27 | | | | | | | 458 | | | | 459,660 | |
LABL, Inc., 2021 USD 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.46%, 10/29/28 | | | | | | | 146 | | | | 139,199 | |
Mauser Packaging Solutions Holding Co., Term Loan B, (1-mo. CME Term SOFR + 4.00%), 9.34%, 08/14/26 | | | | | | | 159 | | | | 159,818 | |
Pregis TopCo Corp., 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 9.11%, 07/31/26 | | | | | | | 74 | | | | 74,141 | |
Trident TPI Holdings, Inc., 2021 Term Loan B3, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.61%, 09/15/28 | | | | | | | 149 | | | | 148,531 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 981,349 | |
|
| Distributors — 0.0% | |
PAI Holdco, Inc., 2020 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.39%, 10/28/27 | | | | | | | 202 | | | | 187,907 | |
| | | | | | | | | | | | |
|
| Diversified Consumer Services — 0.1% | |
Ascend Learning LLC | | | | | | | | | | | | |
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.75%), 11.21%, 12/10/29 | | | | | | | 82 | | | | 70,173 | |
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 12/11/28 | | | | | | | 117 | | | | 114,799 | |
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.72%, 11/24/28 | | | | | | | 216 | | | | 216,088 | |
KUEHG Corp., 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.35%, 06/12/30 | | | | | | | 167 | | | | 167,112 | |
Learning Care Group U.S. No. 2, Inc., 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.13%, 08/11/28 | | | | | | | 27 | | | | 27,054 | |
Sotheby’s, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 10.16%, 01/15/27 | | | | | | | 366 | | | | 361,174 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Diversified Consumer Services (continued) | |
Spring Education Group, Inc., Term Loan, (3-mo. CME Term SOFR + 4.50%), 9.85%, 10/04/30 | | | USD | | | | 194 | | | $ | 194,636 | |
Wand NewCo 3, Inc., 2020 Term Loan, (1-mo. CME Term SOFR + 2.75%), 8.22%, 02/05/26 | | | | | | | 336 | | | | 336,339 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,487,375 | |
|
| Diversified Telecommunication Services — 0.1% | |
Level 3 Financing, Inc., 2023 TSA Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.21%, 03/01/27(c) | | | | | | | 180 | | | | 171,000 | |
Lumen Technologies, Inc., 2023 TSA Term Loan B, (3-mo. CME Term SOFR + 2.25%), 7.71%, 03/15/27(c) | | | | | | | 243 | | | | 165,111 | |
ORBCOMM, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.81%, 09/01/28 | | | | | | | 147 | | | | 139,153 | |
Zayo Group Holdings, Inc., USD Term Loan, (1-mo. CME Term SOFR + 3.00%), 8.47%, 03/09/27 | | | | | | | 584 | | | | 500,360 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 975,624 | |
|
| Electronic Equipment, Instruments & Components — 0.0% | |
Coherent Corp., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.22%, 07/02/29 | | | | | | | 111 | | | | 111,017 | |
MX Holdings U.S., Inc., 2023 USD Term Loan B1D, 07/31/28(n) | | | | | | | 26 | | | | 26,049 | |
Roper Industrial Products Investment Co., USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.35%, 11/22/29 | | | | | | | 328 | | | | 328,370 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 465,436 | |
|
| Entertainment — 0.3% | |
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.47%, 04/22/26 | | | | | | | 161 | | | | 134,600 | |
Aristocrat Technologies, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.70%, 05/24/29 | | | | | | | 11 | | | | 11,502 | |
Cirque Du Soleil Holding USA Newco, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.60%, 03/08/30 | | | | | | | 155 | | | | 154,245 | |
Creative Artists Agency LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.86%, 11/27/28 | | | | | | | 256 | | | | 257,126 | |
Delta 2 Lux SARL, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.60%, 01/15/30 | | | | | | | 249 | | | | 249,468 | |
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.71%, 03/24/25 | | | | | | | 255 | | | | 253,724 | |
Live Nation Entertainment, Inc., Term Loan B4, (1- mo. CME Term SOFR + 1.75%), 7.21%, 10/19/26 | | | | | | | 450 | | | | 448,668 | |
SMG U.S. Midco 2, Inc., 2020 Term Loan, (3-mo. CME Term SOFR + 2.50%), 8.14%, 01/23/25 | | | | | | | 151 | | | | 150,857 | |
UFC Holdings LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 2.75%), 8.40%, 04/29/26 | | | | | | | 193 | | | | 193,649 | |
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 2.75%), 8.22%, 05/18/25 | | | | | | | 461 | | | | 461,535 | |
WMG Acquisition Corp., 2021 Term Loan G, (1-mo. CME Term SOFR + 2.13%), 7.60%, 01/20/28 | | | | | | | 351 | | | | 350,926 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,666,300 | |
| | |
SCHEDULE OF INVESTMENTS | | 97 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Environmental, Maintenance & Security Service — 0.0% | |
Clean Harbors, Inc., 2021 Incremental Term Loan B, 0.00%, 10/08/28 | | | USD | | | | 111 | | | $ | 111,445 | |
Covanta Holding Corp. | | | | | | | | | | | | |
2021 Term Loan C, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.86%, 11/30/28 | | | | | | | 6 | | | | 6,264 | |
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.86%, 11/30/28 | | | | | | | 82 | | | | 82,160 | |
GFL Environmental, Inc., 2023 First Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.91%, 05/31/27 | | | | | | | 80 | | | | 79,807 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 279,676 | |
|
| Financial Services — 0.2% | |
Belron Finance U.S. LLC | | | | | | | | | | | | |
2018 Term Loan B, (3-mo. CME Term SOFR + 2.25%), 7.88%, 11/13/25 | | | | | | | 368 | | | | 368,247 | |
2023 USD Term Loan, 04/13/28(c)(n) | | | | | | | 178 | | | | 178,439 | |
Belron Luxembourg SARL, 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 8.00%, 04/18/29 | | | | | | | 53 | | | | 53,662 | |
Cogeco Financing 2 LP, 2023 Term Loan B, (3-mo. CME Term SOFR + 2.50%), 7.88%, 09/29/28 | | | | | | | 165 | | | | 161,866 | |
Deerfield Dakota Holding LLC | | | | | | | | | | | | |
2020 USD Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.75%), 9.10%, 04/09/27 | | | | | | | 750 | | | | 741,504 | |
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 6.75%), 12.36%, 04/07/28 | | | | | | | 190 | | | | 180,738 | |
GIP Pilot Acquisition Partners LP, Term Loan, (3-mo. CME Term SOFR + 3.00%), 8.39%, 10/04/30 | | | | | | | 37 | | | | 36,969 | |
UPC Financing Partnership, 2021 USD Term Loan AX, (1-mo. CME Term SOFR + 3.00%), 8.48%, 01/31/29 | | | | | | | 45 | | | | 44,875 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,766,300 | |
|
| Food Products — 0.2% | |
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 9.22%, 10/01/25 | | | | | | | 200 | | | | 191,312 | |
Aramark Services, Inc. | | | | | | | | | | | | |
2021 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.97%, 04/06/28 | | | | | | | 113 | | | | 112,982 | |
2023 Term Loan B6, (1-mo. CME Term SOFR + 2.50%), 7.97%, 06/22/30 | | | | | | | 88 | | | | 87,654 | |
B&G Foods, Inc., 2019 Term Loan B4, (1-mo. CME Term SOFR + 2.50%), 7.86%, 10/10/26 | | | | | | | 88 | | | | 87,286 | |
Chobani LLC | | | | | | | | | | | | |
2020 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.97%, 10/25/27 | | | | | | | 585 | | | | 585,201 | |
2023 Incremental Term Loan, (3-mo. CME Term SOFR + 3.75%), 9.11%, 10/25/27 | | | | | | | 93 | | | | 93,077 | |
Froneri U.S., Inc., 2020 USD Term Loan, (1-mo. CME Term SOFR + 2.25%), 7.71%, 01/29/27 | | | | | | | 560 | | | | 560,610 | |
H-Food Holdings LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.69%), 9.27%, 05/23/25 | | | | | | | 54 | | | | 43,335 | |
Nomad Foods U.S. LLC, Term Loan B4, (6-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 11/13/29 | | | | | | | 74 | | | | 74,385 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Food Products (continued) | | | | | | | | | |
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 9.14%, 06/08/28 | | | USD | | | | 306 | | | $ | 306,853 | |
UTZ Quality Foods LLC, 2021 Term Loan B, (3-mo. CME Term SOFR + 3.00%), 8.64%, 01/20/28 | | | | | | | 378 | | | | 377,445 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,520,140 | |
|
| Ground Transportation — 0.1% | |
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.10%, 04/06/28 | | | | | | | 98 | | | | 97,015 | |
Avis Budget Car Rental LLC, 2020 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.22%, 08/06/27 | | | | | | | 70 | | | | 70,129 | |
Genesee & Wyoming, Inc., Term Loan, (3-mo. CME Term SOFR + 2.00%), 7.45%, 12/30/26 | | | | | | | 185 | | | | 184,927 | |
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3-mo. CME Term SOFR + 5.50%), 11.15%, 08/04/25 | | | | | | | 77 | | | | 67,427 | |
Uber Technologies, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.12%, 03/03/30 | | | | | | | 237 | | | | 238,188 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 657,686 | |
|
| Health Care Equipment & Supplies — 0.2% | |
Avantor Funding, Inc., 2021 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.71%, 11/08/27 | | | | | | | 165 | | | | 165,771 | |
Bausch & Lomb Corp., 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.36%, 09/29/28 | | | | | | | 112 | | | | 111,301 | |
Bausch and Lomb, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 05/10/27 | | | | | | | 319 | | | | 314,418 | |
Curia Global, Inc., 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.23%, 08/30/26 | | | | | | | 23 | | | | 20,485 | |
Femur Buyer, Inc., 1st Lien Term Loan, (3-mo. CME Term SOFR + 4.50%), 10.11%, 03/05/26 | | | | | | | 106 | | | | 95,098 | |
Insulet Corp., Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.72%, 05/04/28 | | | | | | | 110 | | | | 109,964 | |
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.40%, 10/19/27 | | | | | | | 242 | | | | 235,563 | |
Medline Borrower LP, USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 10/23/28 | | | | | | | 755 | | | | 757,911 | |
Sotera Health Holdings LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.39%, 12/11/26 | | | | | | | 267 | | | | 266,442 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,076,953 | |
|
| Health Care Providers & Services — 0.3% | |
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.47%, 02/22/28 | | | | | | | 241 | | | | 236,382 | |
CHG Healthcare Services, Inc. | | | | | | | | | | | | |
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 09/29/28 | | | | | | | 183 | | | | 183,271 | |
2023 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.14%, 09/29/28 | | | | | | | 36 | | | | 36,023 | |
CNT Holdings I Corp., 2020 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.93%, 11/08/27 | | | | | | | 196 | | | | 196,187 | |
| | |
| 98 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Health Care Providers & Services (continued) | |
Electron BidCo, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 11/01/28 | | | USD | | | | 296 | | | $ | 296,144 | |
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.50%), 9.97%, 02/04/27 | | | | | | | 115 | | | | 114,837 | |
EyeCare Partners LLC, 2020 Term Loan, (3-mo. CME Term SOFR + 3.75%), 9.39%, 02/18/27 | | | | | | | 197 | | | | 95,297 | |
Fortrea Holdings, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.11%, 07/01/30 | | | | | | | 51 | | | | 50,660 | |
ICON Luxembourg SARL, LUX Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.86%, 07/03/28 | | | | | | | 196 | | | | 196,850 | |
IQVIA, Inc., 2023 USD Term Loan B4, (3-mo. CME Term SOFR + 2.00%), 7.35%, 01/02/31 | | | | | | | 159 | | | | 159,455 | |
MED ParentCo LP, 1st Lien Term Loan, (1-mo. CME Term SOFR + 4.25%), 9.72%, 08/31/26 | | | | | | | 40 | | | | 39,653 | |
Phoenix Newco, Inc., 2021 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 11/15/28 | | | | | | | 366 | | | | 368,265 | |
Precision Medicine Group LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.45%, 11/18/27 | | | | | | | 152 | | | | 149,877 | |
Reverb Buyer, Inc., 2021 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 11/01/28 | | | | | | | 117 | | | | 108,575 | |
Star Parent, Inc., Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.35%, 09/27/30 | | | | | | | 108 | | | | 106,605 | |
Surgery Center Holdings, Inc., 2023 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.86%, 12/19/30 | | | | | | | 153 | | | | 152,900 | |
Vizient, Inc., 2022 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.71%, 05/16/29 | | | | | | | 32 | | | | 31,565 | |
WCG Intermediate Corp., 2019 Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.00%), 9.47%, 01/08/27 | | | | | | | 153 | | | | 153,440 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,675,986 | |
|
| Health Care Technology — 0.1% | |
AthenaHealth Group, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 02/15/29 | | | | | | | 397 | | | | 394,300 | |
Gainwell Acquisition Corp., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.45%, 10/01/27 | | | | | | | 364 | | | | 353,463 | |
Verscend Holding Corp., 2021 Term Loan B, (1-mo. CME Term SOFR + 4.00%), 9.47%, 08/27/25 | | | | | | | 329 | | | | 329,491 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,077,254 | |
|
| Hotel & Resort REITs — 0.0% | |
RHP Hotel Properties LP, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.11%, 05/18/30 | | | | | | | 134 | | | | 134,026 | |
| | | | | | | | | | | | |
|
| Hotels, Restaurants & Leisure — 0.5% | |
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.22%, 02/02/26 | | | | | | | 250 | | | | 232,182 | |
Alterra Mountain Co., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.21%, 05/31/30(c) | | | | | | | 77 | | | | 77,143 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Hotels, Restaurants & Leisure (continued) | |
Bally’s Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.93%, 10/02/28 | | | USD | | | | 99 | | | $ | 93,379 | |
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc., 2023 Term Loan B5, (1-mo. CME Term SOFR + 2.25%), 7.61%, 09/20/30 | | | | | | | 337 | | | | 337,027 | |
Caesars Entertainment, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 02/06/30 | | | | | | | 139 | | | | 139,146 | |
Carnival Corp., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.36%, 08/08/27 | | | | | | | 120 | | | | 120,495 | |
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1-mo. CME Term SOFR + 2.00%), 7.46%, 03/17/28 | | | | | | | 183 | | | | 182,527 | |
City Football Group Ltd., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 07/21/28 | | | | | | | 222 | | | | 219,912 | |
ECL Entertainment, LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.11%, 08/31/30 | | | | | | | 62 | | | | 61,891 | |
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3-mo. LIBOR US at 1.00% Floor + 3.00%), 8.61%, 03/08/24 | | | | | | | 458 | | | | 446,913 | |
Fertitta Entertainment LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.36%, 01/27/29 | | | | | | | 588 | | | | 587,865 | |
Flutter Financing BV | | | | | | | | | | | | |
2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.86%, 07/22/28 | | | | | | | 64 | | | | 64,159 | |
Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.70%, 11/25/30 | | | | | | | 407 | | | | 407,338 | |
Four Seasons Hotels Ltd., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.96%, 11/30/29 | | | | | | | 301 | | | | 301,522 | |
Hilton Domestic Operating Co., Inc., 2023 Term Loan B4, (1-mo. CME Term SOFR + 2.00%), 7.46%, 11/08/30 | | | | | | | 330 | | | | 331,315 | |
IRB Holding Corp., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.46%, 12/15/27 | | | | | | | 341 | | | | 341,588 | |
Light & Wonder International, Inc., 2022 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.46%, 04/14/29 | | | | | | | 151 | | | | 151,588 | |
Packers Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.71%, 03/09/28 | | | | | | | 126 | | | | 78,484 | |
Penn Entertainment, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.21%, 05/03/29 | | | | | | | 193 | | | | 193,459 | |
Playa Resorts Holding BV, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.61%, 01/05/29 | | | | | | | 57 | | | | 56,430 | |
SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 08/25/28 | | | | | | | 69 | | | | 69,343 | |
| | |
SCHEDULE OF INVESTMENTS | | 99 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Hotels, Restaurants & Leisure (continued) | |
Station Casinos LLC, 2020 Term Loan B, (1-mo. CME Term SOFR at 0.25% Floor + 2.25%), 7.71%, 02/08/27 | | | USD | | | | 296 | | | $ | 296,538 | |
Whatabrands LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 08/03/28 | | | | | | | 307 | | | | 307,249 | |
Wyndham Hotels & Resorts, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.71%, 05/24/30 | | | | | | | 19 | | | | 18,896 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,116,389 | |
| | | |
| Household Durables — 0.1% | | | | | | | | | |
AI Aqua Merger Sub, Inc., 2023 Incremental Term Loan, 07/31/28(n) | | | | | | | 183 | | | | 183,630 | |
Hunter Douglas, Inc., USD Term Loan B1, (3-mo. CME Term SOFR + 3.50%), 8.88%, 02/26/29 | | | | | | | 327 | | | | 325,537 | |
Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.47%, 10/06/28 | | | | | | | 312 | | | | 278,976 | |
Weber-Stephen Products LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.72%, 10/30/27 | | | | | | | 403 | | | | 350,836 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,138,979 | |
|
| Independent Power and Renewable Electricity Producers — 0.0% | |
Calpine Construction Finance Co. LP, 2023 Refinancing Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.61%, 07/31/30 | | | | | | | 147 | | | | 146,521 | |
Constellation Renewables LLC, 2020 Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 2.50%), 8.15%, 12/15/27 | | | | | | | 233 | | | | 232,845 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 379,366 | |
| | | |
| Industrial Conglomerates — 0.0% | | | | | | | | | |
JFL-Tiger Acquisition Co., Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.40%, 10/17/30 | | | | | | | 69 | | | | 69,000 | |
| | | | | | | | | | | | |
| | | |
| Insurance — 0.3% | | | | | | | | | |
Alliant Holdings Intermediate LLC, 2023 Term Loan B6, (3-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.86%, 11/06/30 | | | | | | | 753 | | | | 755,192 | |
AmWINS Group, Inc. | | | | | | | | | | | | |
2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.25%), 7.72%, 02/19/28 | | | | | | | 287 | | | | 287,228 | |
2023 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 8.22%, 02/19/28 | | | | | | | 54 | | | | 54,544 | |
Amynta Agency Borrower, Inc., 2023 1st Lien Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.61%, 02/28/28 | | | | | | | 178 | | | | 178,281 | |
AssuredPartners, Inc. | | | | | | | | | | | | |
2020 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.97%, 02/12/27 | | | | | | | 259 | | | | 259,034 | |
2023 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.22%, 02/12/27 | | | | | | | 73 | | | | 72,921 | |
Baldwin Risk Partners, LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 10/14/27 | | | | | | | 55 | | | | 54,651 | |
HUB International Ltd. | | | | | | | | | | | | |
2022 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.37%, 11/10/29 | | | | | | | 74 | | | | 74,485 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Insurance (continued) | | | | | | | | | |
HUB International Ltd. (continued) 2023 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.66%, 06/20/30 | | | USD | | | | 464 | | | $ | 466,260 | |
Jones Deslauriers Insurance Management, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.62%, 03/15/30 | | | | | | | 143 | | | | 143,418 | |
Ryan Specialty Group LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.46%, 09/01/27 | | | | | | | 160 | | | | 159,488 | |
Sedgwick Claims Management Services, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.11%, 02/24/28 | | | | | | | 449 | | | | 450,532 | |
USI, Inc./New York | | | | | | | | | | | | |
2023 Acquisition Term Loan, (3-mo. CME Term SOFR + 3.25%), 8.60%, 09/27/30 | | | | | | | 62 | | | | 61,864 | |
2023 Refi Term Loan, (3-mo. CME Term SOFR + 3.25%), 8.61%, 09/27/30 | | | | | | | 70 | | | | 70,013 | |
2023 Term Loan B, (3-mo. CME Term SOFR + 3.00%) , 8.38%, 11/22/29 | | | | | | | 433 | | | | 432,891 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,520,802 | |
| | | |
| Interactive Media & Services — 0.1% | | | | | | | | | |
Acuris Finance U.S., Inc., 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.50%, 02/16/28 | | | | | | | 50 | | | | 49,890 | |
Adevinta ASA, USD Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.36%, 06/26/28 | | | | | | | 78 | | | | 77,848 | |
Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.47%, 10/30/26 | | | | | | | 263 | | | | 263,798 | |
Grab Holdings, Inc., Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 4.50%), 9.97%, 01/29/26 | | | | | | | 118 | | | | 117,856 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 509,392 | |
| | | |
| Internet Software & Services — 0.0% | | | | | | | | | |
Gen Digital, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.46%, 09/12/29 | | | | | | | 202 | | | | 202,169 | |
| | | | | | | | | | | | |
| | | |
| IT Services — 0.3% | | | | | | | | | |
Asurion LLC | | | | | | | | | | | | |
2020 Term Loan B8, (1-mo. CME Term SOFR + 3.25%), 8.71%, 12/23/26 | | | | | | | 291 | | | | 289,616 | |
2021 2nd Lien Term Loan B3, (1-mo. CME Term SOFR + 5.25%), 10.72%, 01/31/28 | | | | | | | 175 | | | | 166,395 | |
2021 Second Lien Term Loan B4, (1-mo. CME Term SOFR + 5.25%), 10.72%, 01/20/29 | | | | | | | 44 | | | | 41,374 | |
2023 Term Loan B11, (1-mo. CME Term SOFR + 4.25%), 9.71%, 08/19/28 | | | | | | | 75 | | | | 74,207 | |
Camelot Finance SA, Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.47%, 10/30/26 | | | | | | | 234 | | | | 233,939 | |
Central Parent, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.35%, 07/06/29 | | | | | | | 387 | | | | 388,304 | |
Dun & Bradstreet Corp. | | | | | | | | | | | | |
2022 Incremental Term Loan B2, (1-mo. CME Term SOFR + 3.00%), 8.36%, 01/18/29 | | | | | | | 303 | | | | 303,336 | |
2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.21%, 02/06/26 | | | | | | | 477 | | | | 478,050 | |
Epicor Software Corp., 2020 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.72%, 07/30/27 | | | | | | | 110 | | | | 110,633 | |
| | |
| 100 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
IT Services (continued) | | | | | |
Go Daddy Operating Co. LLC | | | | | | | | | | | | |
2021 Term Loan B4, (1-mo. CME Term SOFR + 2.00%), 7.47%, 08/10/27 | | | USD | | | | 124 | | | $ | 123,584 | |
2022 Term Loan B5, (1-mo. CME Term SOFR + 2.50%), 7.86%, 11/09/29 | | | | | | | 221 | | | | 221,652 | |
Magenta Buyer LLC | | | | | | | | | | | | |
2021 USD 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.64%, 07/27/28 | | | | | | | 249 | | | | 175,048 | |
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 8.25%), 13.89%, 07/27/29 | | | | | | | 193 | | | | 73,503 | |
Venga Finance SARL, 2021 USD Term Loan B, 06/28/29(n) | | | | | | | 82 | | | | 80,360 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,760,001 | |
| |
Leisure Products — 0.0% | | | | | |
Fender Musical Instruments Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.46%, 12/01/28(c) | | | | | | | 79 | | | | 76,639 | |
Peloton Interactive, Inc., Term Loan, (6-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.48%, 05/25/27 | | | | | | | 40 | | | | 40,496 | |
Topgolf Callaway Brands Corp., Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.96%, 03/15/30 | | | | | | | 129 | | | | 128,891 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 246,026 | |
Machinery — 0.3% | | | | | | | | | | | | |
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.36%, 06/23/28 | | | | | | | 219 | | | | 219,098 | |
Columbus McKinnon Corp./New York, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.39%, 05/14/28 | | | | | | | 63 | | | | 62,726 | |
Doosan Bobcat North America, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.95%, 04/20/29 | | | | | | | 36 | | | | 36,343 | |
Filtration Group Corp. | | | | | | | | | | | | |
2021 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.97%, 10/21/28 | | | | | | | 132 | | | | 131,708 | |
2023 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.72%, 10/21/28 | | | | | | | 296 | | | | 296,548 | |
Gardner Denver, Inc., 2020 USD Term Loan B2, (1-mo. CME Term SOFR + 1.75%), 7.21%, 03/01/27 | | | | | | | 206 | | | | 206,704 | |
Gates Global LLC, 2021 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.96%, 03/31/27 | | | | | | | 299 | | | | 298,874 | |
Generac Power Systems, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.19%, 12/13/26 | | | | | | | 40 | | | | 39,950 | |
Madison IAQ LLC, Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 06/21/28 | | | | | | | 449 | | | | 447,252 | |
SPX Flow, Inc., 2022 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.96%, 04/05/29 | | | | | | | 230 | | | | 230,275 | |
Titan Acquisition Ltd./Canada, 2018 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.47%, 03/28/25 | | | | | | | 444 | | | | 442,863 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Machinery (continued) | | | | | |
Vertical U.S. Newco, Inc., Term Loan B, (6-mo. CME Term SOFR at 0.50% Floor + 3.50%), 9.38%, 07/30/27 | | | USD | | | | 420 | | | $ | 420,542 | |
Vertiv Group Corp., 2023 Term Loan B, (4-mo. CME Term SOFR + 2.50%), 7.97%, 03/02/27 | | | | | | | 346 | | | | 347,232 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,180,115 | |
Media — 0.2% | | | | | | | | | | | | |
A L Parent LLC, 2023 Take Back Term Loan, (1-mo. CME Term SOFR at 2.00% Floor + 5.50%), 10.86%, 06/30/28 | | | | | | | 50 | | | | 48,594 | |
ABG Intermediate Holdings 2 LLC, 2021 Term Loan B1, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 12/21/28 | | | | | | | 154 | | | | 154,526 | |
Altice Financing SA, USD 2017 1st Lien Term Loan, (3-mo. LIBOR US + 2.75%), 8.41%, 01/31/26 | | | | | | | 248 | | | | 244,323 | |
AVSC Holding Corp., 2020 Term Loan B1, (1-mo. CME Term SOFR at 1.00% Floor + 3.25%, 0.25% PIK), 9.21%, 03/03/25 | | | | | | | 183 | | | | 178,672 | |
Charter Communications Operating, LLC, 2023 Term Loan B4, (1-mo. CME Term SOFR + 2.00%), 7.36%, 12/07/30 | | | | | | | 157 | | | | 155,943 | |
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.14%, 08/21/26 | | | | | | | 164 | | | | 161,847 | |
CSC Holdings LLC, 2019 Term Loan B5, (1-mo. LIBOR US + 2.50%), 7.98%, 04/15/27 | | | | | | | 313 | | | | 296,147 | |
DirecTV Financing LLC, Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.65%, 08/02/27 | | | | | | | 319 | | | | 318,300 | |
NEP Group, Inc., 2018 1st Lien Term Loan, (3-mo. CME Term SOFR + 3.25%), 8.72%, 10/20/25 | | | | | | | 188 | | | | 177,553 | |
Radiate Holdco LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.72%, 09/25/26 | | | | | | | 375 | | | | 298,908 | |
Sinclair Television Group, Inc., 2022 Term Loan B4, (1-mo. CME Term SOFR + 3.75%), 9.21%, 04/21/29 | | | | | | | 113 | | | | 91,862 | |
Virgin Media Bristol LLC, 2020 USD Term Loan Q, (1-mo. CME Term SOFR + 3.25%), 8.73%, 01/31/29 | | | | | | | 225 | | | | 224,258 | |
Voyage Digital NZ, USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.37%, 05/11/29(c) | | | | | | | 100 | | | | 99,889 | |
Ziggo Financing Partnership, USD Term Loan I, (1-mo. CME Term SOFR + 2.50%), 7.98%, 04/30/28 | | | | | | | 126 | | | | 125,505 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,576,327 | |
Oil, Gas & Consumable Fuels — 0.1% | | | | | | | | | | | | |
Freeport LNG Investments LLLP, Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.18%, 12/21/28 | | | | | | | 438 | | | | 437,657 | |
M6 ETX Holdings II Midco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.96%, 09/19/29 | | | | | | | 26 | | | | 25,699 | |
Medallion Midland Acquisition LP, 2023 Term Loan, 10/18/28(n) | | | | | | | 260 | | | | 260,374 | |
New Fortress Energy, Inc., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.39%, 10/27/28 | | | | | | | 230 | | | | 225,975 | |
Oryx Midstream Services Permian Basin LLC, 2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 10/05/28 | | | | | | | 363 | | | | 363,468 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,313,173 | |
| | |
SCHEDULE OF INVESTMENTS | | 101 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Paper & Forest Products — 0.0% | | | | | |
Asplundh Tree Expert LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.21%, 09/07/27 | | | USD | | | | 295 | | | $ | 295,557 | |
| | | | | | | | | | | | |
Passenger Airlines — 0.2% | | | | | | | | | | | | |
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.43%, 04/20/28 | | | | | | | 392 | | | | 402,432 | |
Air Canada, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 9.14%, 08/11/28 | | | | | | | 368 | | | | 368,965 | |
American Airlines, Inc. | | | | | | | | | | | | |
2023 1st Lien Term Loan, (3-mo. CME Term SOFR + 3.50%), 8.87%, 06/04/29 | | | | | | | 62 | | | | 62,077 | |
Series AA, 2017 1st Lien Term Loan, (3-mo. CME Term SOFR + 1.75%), 7.11%, 01/29/27 | | | | | | | 302 | | | | 298,998 | |
Series AA, 2023 Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.60%, 02/15/28 | | | | | | | 277 | | | | 276,646 | |
Mileage Plus Holdings LLC, 2020 Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 5.25%), 10.77%, 06/21/27 | | | | | | | 262 | | | | 270,386 | |
United Airlines, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.22%, 04/21/28 | | | | | | | 349 | | | | 350,162 | |
WestJet Airlines Ltd., Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.46%, 12/11/26 | | | | | | | 96 | | | | 95,140 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,124,806 | |
Personal Care Products — 0.1% | | | | | | | | | | | | |
Sunshine Luxembourg VII SARL, 2021 USD Term Loan B3, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.95%, 10/01/26 | | | | | | | 832 | | | | 835,720 | |
| | | | | | | | | | | | |
Pharmaceuticals — 0.1% | | | | | | | | | | | | |
Amneal Pharmaceuticals LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 5.50%), 10.86%, 05/04/28 | | | | | | | 123 | | | | 121,383 | |
Bausch Health Americas, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.71%, 02/01/27 | | | | | | | 139 | | | | 112,931 | |
Elanco Animal Health, Inc., Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.19%, 08/01/27 | | | | | | | 296 | | | | 293,948 | |
Jazz Financing Lux SARL, USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 05/05/28 | | | | | | | 264 | | | | 265,118 | |
Option Care Health, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.22%, 10/27/28 | | | | | | | 108 | | | | 108,427 | |
Organon & Co., USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 06/02/28 | | | | | | | 197 | | | | 197,020 | |
Perrigo Investments LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.71%, 04/20/29 | | | | | | | 115 | | | | 114,279 | |
PRA Health Sciences, Inc., US Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.86%, 07/03/28 | | | | | | | 49 | | | | 49,045 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,262,151 | |
Professional Services — 0.2% | | | | | | | | | | | | |
AlixPartners LLP, 2021 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.22%, 02/04/28 | | | | | | | 220 | | | | 220,454 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Professional Services (continued) | | | | | |
ASGN, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.61%, 08/30/30 | | | USD | | | | 50 | | | $ | 50,050 | |
CoreLogic, Inc. | | | | | | | | | | | | |
2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.50%), 11.97%, 06/04/29 | | | | | | | 100 | | | | 89,063 | |
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 06/02/28 | | | | | | | 534 | | | | 517,974 | |
Element Materials Technology Group U.S. Holdings, Inc. | | | | | | | | | | | | |
2022 USD Delayed Draw Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.70%, 07/06/29 | | | | | | | 76 | | | | 75,102 | |
2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.70%, 07/06/29 | | | | | | | 164 | | | | 162,721 | |
Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 7.21%, 04/28/28 | | | | | | | 222 | | | | 222,477 | |
Galaxy U.S. Opco, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.13%, 04/29/29(c) | | | | | | | 241 | | | | 197,661 | |
VS Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.71%, 02/28/27 | | | | | | | 257 | | | | 257,187 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,792,689 | |
Real Estate Management & Development — 0.0% | |
Cushman & Wakefield U.S. Borrower LLC | | | | | | | | | | | | |
2020 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.22%, 08/21/25 | | | | | | | 12 | | | | 11,682 | |
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 01/31/30 | | | | | | | 141 | | | | 140,236 | |
2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.36%, 01/31/30(c) | | | | | | | 109 | | | | 108,728 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 260,646 | |
Semiconductors & Semiconductor Equipment — 0.0% | |
MKS Instruments, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 08/17/29 | | | | | | | 225 | | | | 225,072 | |
Synaptics, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.87%, 12/02/28 | | | | | | | 110 | | | | 109,034 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 334,106 | |
Software — 0.6% | | | | | | | | | | | | |
Applied Systems, Inc., 2022 Extended 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.85%, 09/18/26 | | | | | | | 74 | | | | 74,163 | |
Barracuda Networks, Inc., 2022 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.88%, 08/15/29 | | | | | | | 117 | | | | 113,923 | |
CCC Intelligent Solutions, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.72%, 09/21/28 | | | | | | | 184 | | | | 184,126 | |
Cloud Software Group, Inc., 2022 USD Term Loan B, (3-mo. CME Term SOFR + 4.50%), 9.95%, 03/30/29 | | | | | | | 850 | | | | 829,037 | |
Cloudera, Inc. | | | | | | | | | | | | |
2021 Second Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.46%, 10/08/29 | | | | | | | 113 | | | | 107,726 | |
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.21%, 10/08/28 | | | | | | | 89 | | | | 87,852 | |
| | |
| 102 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Software (continued) | | | | | |
Cornerstone OnDemand, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.22%, 10/16/28 | | | USD | | | | 79 | | | $ | 76,332 | |
Delta TopCo, Inc. | | | | | | | | | | | | |
2020 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.62%, 12/01/28 | | | | | | | 45 | | | | 44,989 | |
2020 Term Loan B, (6-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.12%, 12/01/27 | | | | | | | — | (o) | | | 2 | |
Genesys Cloud Services Holdings II LLC, 2020 USD Term Loan B4, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.47%, 12/01/27 | | | | | | | 380 | | | | 381,767 | |
Helios Software Holdings, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.70%, 07/18/30 | | | | | | | 153 | | | | 152,236 | |
Informatica LLC, 2021 USD Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.22%, 10/27/28 | | | | | | | 420 | | | | 420,247 | |
McAfee Corp., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.19%, 03/01/29 | | | | | | | 370 | | | | 367,816 | |
MH Sub I LLC | | | | | | | | | | | | |
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.25%), 11.61%, 02/23/29 | | | | | | | 247 | | | | 228,960 | |
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.61%, 05/03/28 | | | | | | | 644 | | | | 631,853 | |
Playtika Holding Corp., 2021 Term Loan, (1-mo. CME Term SOFR + 2.75%), 8.22%, 03/13/28 | | | | | | | 230 | | | | 229,127 | |
Polaris Newco LLC, USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.47%, 06/02/28 | | | | | | | 606 | | | | 596,695 | |
Proofpoint, Inc., 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 08/31/28 | | | | | | | 557 | | | | 556,797 | |
RealPage, Inc., 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 04/24/28 | | | | | | | 805 | | | | 797,464 | |
Severin Acquisition LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.25%), 8.63%, 08/01/27 | | | | | | | 157 | | | | 157,048 | |
Sophia LP, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 10/07/27 | | | | | | | 288 | | | | 288,539 | |
UKG, Inc. | | | | | | | | | | | | |
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.76%, 05/03/27 | | | | | | | 112 | | | | 112,459 | |
2021 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.76%, 05/04/26 | | | | | | | 279 | | | | 279,280 | |
Veritas U.S., Inc., 2021 USD Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 5.00%), 10.47%, 09/01/25 | | | | | | | 268 | | | | 222,096 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,940,534 | |
Specialty Retail — 0.1% | | | | | | | | | | | | |
EG America LLC, 2021 Term Loan, (1-mo. SOFR OIS CMPD + 4.25%), 9.99%, 03/31/26 | | | | | | | 160 | | | | 158,821 | |
Mavis Tire Express Services Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.47%, 05/04/28 | | | | | | | 310 | | | | 310,336 | |
PetSmart LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.21%, 02/11/28 | | | | | | | 396 | | | | 390,737 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Specialty Retail (continued) | | | | | |
Pilot Travel Centers LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.46%, 08/04/28 | | | USD | | | | 177 | | | $ | 177,591 | |
Restoration Hardware, Inc. | | | | | | | | | | | | |
2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 10/20/28 | | | | | | | 89 | | | | 86,542 | |
Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.97%, 10/20/28 | | | | | | | 90 | | | | 87,785 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,211,812 | |
Textiles, Apparel & Luxury Goods — 0.0% | | | | | | | | | | | | |
Crocs, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.50%, 02/20/29 | | | | | | | 79 | | | | 78,927 | |
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 11/24/28(c) | | | | | | | 96 | | | | 95,310 | |
Hanesbrands, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.11%, 03/08/30(c) | | | | | | | 57 | | | | 57,421 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 231,658 | |
Trading Companies & Distributors — 0.1% | | | | | | | | | | | | |
Core & Main LP, 2021 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.99%, 07/27/28 | | | | | | | 553 | | | | 552,276 | |
TMK Hawk Parent Corp., 2020 Super Priority Second Out Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.14%, 08/28/24(c) | | | | | | | 120 | | | | 74,503 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 626,779 | |
Transportation Infrastructure — 0.0% | | | | | | | | | | | | |
Apple Bidco LLC | | | | | | | | | | | | |
2021 Term Loan, (1-week CME Term SOFR at 0.50% Floor + 2.75%), 8.21%, 09/22/28 | | | | | | | 154 | | | | 153,391 | |
2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.86%, 09/22/28 | | | | | | | 158 | | | | 158,431 | |
OLA Netherlands BV, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.25%), 11.71%, 12/15/26 | | | | | | | 121 | | | | 120,494 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 432,316 | |
Wireless Telecommunication Services — 0.2% | | | | | | | | | | | | |
Altice France SA/France, 2023 USD Term Loan B14, (3-mo. CME Term SOFR + 5.50%), 10.89%, 08/15/28 | | | | | | | 199 | | | | 178,299 | |
Connect Finco SARL, 2021 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.86%, 12/11/26 | | | | | | | 740 | | | | 739,723 | |
Digicel International Finance Ltd. | | | | | | | | | | | | |
2017 Term Loan B, (3-mo. LIBOR US + 2.25%), 10.75%, 05/28/24 | | | | | | | 101 | | | | 93,278 | |
2017 Term Loan B1, 05/27/24(n) | | | | | | | 4 | | | | 4,053 | |
GOGO Intermediate Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.22%, 04/30/28 | | | | | | | 63 | | | | 63,174 | |
| | |
SCHEDULE OF INVESTMENTS | | 103 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Wireless Telecommunication Services (continued) | | | | | |
Iridium Satellite LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.86%, 09/20/30 | | | USD | | | | 338 | | | $ | 338,326 | |
SBA Senior Finance II LLC, 2018 Term Loan B, (1- mo. CME Term SOFR + 1.75%), 7.21%, 04/11/25 | | | | | | | 247 | | | | 247,281 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,664,134 | |
| | | | | | | | | | | | |
Total Floating Rate Loan Interests — 6.9% (Cost: $74,803,134) | | | | | | | | | | | 74,211,228 | |
| | | | | | | | | | | | |
| | | |
Foreign Agency Obligations | | | | | | | | | | | | |
| | | |
| Brazil — 0.5% | | | | | | | | | |
Brazilian Government International Bond, 5.00%, 01/27/45 | | | | | | | 6,525 | | | | 5,301,562 | |
| | | | | | | | | | | | |
| | | |
| China — 0.0% | | | | | | | | | |
China Development Bank/Hong Kong, 2.00%, 02/16/27(g) | | | | | | | 200 | | | | 186,786 | |
Export-Import Bank of China, 3.38%, 03/14/27(g) | | | | | | | 200 | | | | 194,608 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 381,394 | |
| | | |
| Colombia — 0.3% | | | | | | | | | |
Colombia Government International Bond, 5.63%, 02/26/44(f) | | | | | | | 4,000 | | | | 3,352,500 | |
| | | | | | | | | | | | |
| | | |
| Hong Kong — 0.0% | | | | | | | | | |
Airport Authority, 3.25%, 01/12/52 | | | | | | | 200 | | | | 153,082 | |
| | | | | | | | | | | | |
| | | |
| India — 0.0% | | | | | | | | | |
Export-Import Bank of India, 3.88%, 02/01/28(g) | | | | | | | 200 | | | | 191,802 | |
| | | | | | | | | | | | |
| | | |
| Indonesia — 0.6% | | | | | | | | | |
Indonesia Government International Bond | | | | | | | | | | | | |
5.88%, 01/15/24(b) | | | | | | | 4,400 | | | | 4,394,104 | |
4.65%, 09/20/32 | | | | | | | 250 | | | | 249,609 | |
4.85%, 01/11/33(f) | | | | | | | 200 | | | | 204,062 | |
5.25%, 01/17/42(g) | | | | | | | 200 | | | | 208,075 | |
4.75%, 07/18/47(g) | | | | | | | 200 | | | | 196,375 | |
3.70%, 10/30/49 | | | | | | | 200 | | | | 166,813 | |
3.50%, 02/14/50 | | | | | | | 200 | | | | 160,688 | |
Perusahaan Penerbit SBSN Indonesia III(g) | | | | | | | | | | | | |
1.50%, 06/09/26 | | | | | | | 200 | | | | 184,625 | |
4.40%, 06/06/27 | | | | | | | 200 | | | | 198,750 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,963,101 | |
| | | |
| Mexico — 0.5% | | | | | | | | | |
Mexico Government International Bond, 4.75%, 03/08/44(f) | | | | | | | 5,800 | | | | 4,971,687 | |
| | | | | | | | | | | | |
| | | |
| Pakistan — 0.1% | | | | | | | | | |
Pakistan Government International Bond(g) | | | | | | | | | | | | |
6.00%, 04/08/26 | | | | | | | 450 | | | | 316,547 | |
7.38%, 04/08/31 | | | | | | | 200 | | | | 121,187 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 437,734 | |
| | | |
| Philippines — 0.0% | | | | | | | | | |
Philippines Government International Bond | | | | | | | | | | | | |
3.70%, 03/01/41 | | | | | | | 300 | | | | 257,063 | |
2.65%, 12/10/45 | | | | | | | 200 | | | | 141,375 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 398,438 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Saudi Arabia — 0.0% | | | | | | | | | |
Saudi Government International Bond(g) | | | | | | | | | | | | |
4.00%, 04/17/25 | | | USD | | | | 200 | | | $ | 196,688 | |
4.50%, 10/26/46 | | | | | | | 200 | | | | 176,500 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 373,188 | |
| | | |
| South Korea — 0.1% | | | | | | | | | |
Export-Import Bank of Korea | | | | | | | | | | | | |
0.63%, 06/29/24 | | | | | | | 250 | | | | 244,345 | |
1.63%, 01/18/27 | | | | | | | 200 | | | | 183,370 | |
Korea Development Bank | |
3.75%, 01/22/24 | | | | | | | 200 | | | | 199,964 | |
2.00%, 02/24/25 | | | | | | | 200 | | | | 193,542 | |
4.38%, 02/15/33 | | | | | | | 200 | | | | 196,948 | |
Korea Expressway Corp., 1.13%, 05/17/26(g) | | | | | | | 200 | | | | 183,086 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,201,255 | |
| | | |
| United Arab Emirates — 0.0% | | | | | | | | | |
Sharjah Sukuk Program Ltd., 6.09%, 03/19/34 | | | | | | | 250 | | | | 261,797 | |
| | | | | | | | | | | | |
| | | |
| Uruguay — 0.3% | | | | | | | | | |
Uruguay Government International Bond, 5.10%, 06/18/50(f) | | | | | | | 3,500 | | | | 3,507,656 | |
| | | | | | | | | | | | |
Total Foreign Agency Obligations — 2.4% (Cost: $28,837,390) | | | | | | | | | | | 26,495,196 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Shares | | | | |
|
Investment Companies | |
|
| Fixed Income Funds — 0.2% | |
Invesco Senior Loan ETF | | | | | | | 120,000 | | | | 2,541,600 | |
| | | | | | | | | | | | |
| |
Total Investment Companies — 0.2%
(Cost: $2,508,761) | | | | 2,541,600 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Par
(000) | | | | |
|
Municipal Bonds | |
|
| New York — 1.0% | |
Metropolitan Transportation Authority, RB, BAB, 6.55%, 11/15/31 | | | USD | | | | 10,000 | | | | 10,611,973 | |
| | | | | | | | | | | | |
| |
Total Municipal Bonds — 1.0%
(Cost: $9,833,900) | | | | 10,611,973 | |
| | | | | | | | | | | | |
|
Preferred Securities | |
|
Capital Trusts — 11.2% | |
|
| Automobiles — 0.2% | |
General Motors Financial Co., Inc., Series C, 5.70%(a)(i) | | | | | | | 2,565 | | | | 2,368,754 | |
| | | | | | | | | | | | |
|
| Banks — 7.8% | |
Bank of East Asia Ltd., 5.83%(a)(g)(i) | | | | | | | 750 | | | | 650,156 | |
Barclays PLC | | | | | | | | | | | | |
9.63% | | | | | | | 3,340 | | | | 3,469,425 | |
4.38%(a)(i) | | | | | | | 1,630 | | | | 1,267,171 | |
8.00%(a)(i) | | | | | | | 4,500 | | | | 4,469,060 | |
BNP Paribas SA(a)(b)(i) | | | | | | | | | | | | |
4.63% | | | | | | | 13,999 | | | | 11,275,871 | |
| | |
| 104 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Banks (continued) | | | | | |
BNP Paribas SA(a)(b)(i) (continued) | | | | | | | | | | | | |
7.38% | | | USD | | | | 4,535 | | | $ | 4,541,299 | |
Credit Agricole SA, 8.13%(a)(b)(f)(i) | | | | | | | 5,000 | | | | 5,092,120 | |
HDFC Bank Ltd., 3.70%(a)(g)(i) | | | | | | | 200 | | | | 181,813 | |
HSBC Capital Funding Dollar 1 LP,
10.18%(a)(b)(i) | | | | | | | 11,835 | | | | 14,993,975 | |
Industrial & Commercial Bank of China Ltd., 3.20%(a)(g)(i) | | | | | | | 300 | | | | 282,000 | |
ING Groep NV, 3.88%(a)(i) | | | | | | | 1,808 | | | | 1,462,219 | |
JPMorgan Chase & Co., 8.75%, 09/01/30(f) | | | | | | | 2,000 | | | | 2,399,525 | |
Kasikornbank PCL/Hong Kong, 4.00%(a)(g)(i) | | | | | | | 300 | | | | 264,937 | |
Lloyds Banking Group PLC, 7.50%(a)(i) | | | | | | | 8,285 | | | | 8,113,422 | |
Macquarie Bank Ltd., 6.13%(a)(b)(i) | | | | | | | 1,885 | | | | 1,751,075 | |
Mitsubishi UFJ Financial Group, Inc., 8.20%, 12/31/79(a) | | | | | | | 425 | | | | 461,122 | |
NatWest Group PLC, 8.00%(a)(i) | | | | | | | 970 | | | | 973,055 | |
Nordea Bank Abp, 6.63%(a)(b)(i) | | | | | | | 5,540 | | | | 5,477,586 | |
PNC Financial Services Group, Inc., Series V, 6.20%(a)(f)(i) | | | | | | | 5,529 | | | | 5,375,503 | |
Rizal Commercial Banking Corp., 6.50%(a)(g)(i) | | | | | | | 700 | | | | 659,372 | |
State Street Corp., Series F, 9.24%(a)(i) | | | | | | | 618 | | | | 622,828 | |
TMBThanachart Bank PCL, 4.90%(a)(g)(i) | | | | | | | 700 | | | | 682,500 | |
UBS Group AG(a)(b)(i) | | | | | | | | | | | | |
9.25% | | | | | | | 1,640 | | | | 1,817,555 | |
7.00% | | | | | | | 7,500 | | | | 7,497,686 | |
Wells Fargo & Co., Series S, 5.90%(a)(i) | | | | | | | 281 | | | | 278,038 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 84,059,313 | |
Electric Utilities — 0.7% | | | | | | | | | | | | |
PPL Capital Funding, Inc., Series A, 8.27%, 03/30/67(a) | | | | | | | 8,300 | | | | 7,738,393 | |
| | | | | | | | | | | | |
| | | |
Financial Services — 0.0% | | | | | | | | | | | | |
NWD Finance BVI Ltd., 4.13%(a)(g)(i) | | | | | | | 209 | | | | 110,770 | |
| | | | | | | | | | | | |
|
Independent Power and Renewable Electricity Producers — 0.1% | |
Vistra Corp., 7.00%(a)(b)(f)(i) | | | | | | | 481 | | | | 473,785 | |
| | | | | | | | | | | | |
| | | |
Insurance — 1.7% | | | | | | | | | | | | |
ACE Capital Trust II, 9.70%, 04/01/30(f) | | | | | | | 7,000 | | | | 8,218,476 | |
Equitable of Iowa Cos Capital Trust II, Series B, 8.42%, 04/01/27 | | | | | | | 5,000 | | | | 4,760,370 | |
Kyobo Life Insurance Co. Ltd., 5.90%, 06/15/52(a)(g) | | | | 200 | | | | 196,062 | |
MetLife, Inc., 6.40%, 12/15/66(f) | | | | | | | 5,000 | | | | 5,156,350 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 18,331,258 | |
Oil, Gas & Consumable Fuels — 0.2% | | | | | | | | | | | | |
Enterprise Products Operating LLC, 8.42%, 06/01/67(a) | | | | | | | 2,500 | | | | 2,365,202 | |
| | | | | | | | | | | | |
Passenger Airlines(a)(g)(i) — 0.0% | | | | | | | | | | | | |
Airport Authority | | | | | | | | | | | | |
2.10% | | | | | | | 200 | | | | 186,392 | |
2.40% | | | | | | | 200 | | | | 176,700 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 363,092 | |
Transportation Infrastructure — 0.0% | | | | | | | | | | | | |
Royal Capital BV, 5.00%(a)(g)(i) | | | | | | | 200 | | | | 194,625 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| |
Wireless Telecommunication Services — 0.5% | | | | | |
Vodafone Group PLC, 7.00%, 04/04/79(a) | | | USD | | | | 4,745 | | | $ | 4,892,114 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 120,897,306 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Shares | | | | |
|
| Preferred Stocks — 1.0% | |
|
| Capital Markets — 0.5% | |
State Street Corp., Series D, 5.90%(a)(i) | | | | | | | 220,495 | | | | 5,518,990 | |
| | | | | | | | | | | | |
| | | |
| Interactive Media & Services — 0.5% | | | | | | | | | |
ByteDance Ltd., Series E-1, (Acquired 11/11/20, Cost: $3,403,593)(c)(d)(e) | | | | | | | 31,062 | | | | 5,069,213 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,588,203 | |
| | | | | | | | | | | | |
| |
Total Preferred Securities — 12.2%
(Cost: $136,101,107) | | | | 131,485,509 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Par
(000) | | | | |
|
U.S. Government Sponsored Agency Securities | |
|
| Mortgage-Backed Securities — 7.1% | |
Uniform Mortgage-Backed Securities, 4.50%, 01/16/54(p) | | | USD | | | | 79,260 | | | | 76,826,471 | |
| | | | | | | | | | | | |
| | | |
Total U.S. Government Sponsored Agency Securities — 7.1%
(Cost: $75,179,348) | | | | | | | | | | | 76,826,471 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Shares | | | | |
|
Warrants | |
|
| Consumer Discretionary — 0.0% | |
Service King (Carnelian Point), (Exercisable 01/14/23, 1 Share for 1 Warrant, Expires 06/30/27, Strike Price USD 10.00)(d) | | | | | | | 321 | | | | — | |
| | | | | | | | | | | | |
| |
Total Warrants — 0.0%
(Cost: $ — ) | | | | — | |
| | | | | | | | | | | | |
| |
Total Long-Term Investments — 157.9%
(Cost: $1,718,601,293) | | | | 1,708,169,241 | |
| | | | | | | | | | | | |
| | |
SCHEDULE OF INVESTMENTS | | 105 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Shares | | | Value | |
| | |
Short-Term Securities | | | | | | | | |
| | |
| Money Market Funds — 1.5% | | | | | | |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 5.26%(q)(r) | | | 16,341,334 | | | $ | 16,341,334 | |
| | | | | | | | |
| | |
Total Short-Term Securities — 1.5%
(Cost: $16,341,334) | | | | | | | 16,341,334 | |
| | | | | | | | |
| | |
Options Purchased — 0.0%
(Cost: $1,103,698) | | | | | | | 310,279 | |
| | | | | | | | |
| | |
Total Investments Before Options Written — 159.4%
(Cost: $1,736,046,325) | | | | | | | 1,724,820,854 | |
| | | | | | | | |
| | |
Options Written — (0.0)%
(Premiums Received: $(342,511)) | | | | | | | (83,384 | ) |
| | | | | | | | |
| | |
Total Investments, Net of Options Written — 159.4%
(Cost: $1,735,703,814) | | | | | | | 1,724,737,470 | |
| |
Liabilities in Excess of Other Assets — (59.4)% | | | | (642,645,249 | ) |
| | | | | | | | |
| | |
Net Assets — 100.0% | | | | | | $ | 1,082,092,221 | |
| | | | | | | | |
| (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) | Non-income producing security. |
| (e) | Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $5,099,600, representing 0.5% of its net assets as of period end, and an original cost of $3,412,572. |
| (f) | All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
| (g) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
| (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) | Perpetual security with no stated maturity date. |
| (j) | When-issued security. |
| (k) | Convertible security. |
| (m) | Issuer filed for bankruptcy and/or is in default. |
| (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) | Rounds to less than 1,000. |
| (p) | Represents or includes a TBA transaction. |
| (q) | Affiliate of the Trust. |
| (r) | 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, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Affiliated Issuer | | Value at 12/31/22 | | | Purchases at Cost | | | Proceeds from Sale | | | Net Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value at 12/31/23 | | | Shares Held at 12/31/23 | | | Income | | | Capital Gain Distributions from Underlying Funds | |
BlackRock Liquidity Funds, T-Fund, Institutional Class | | $ | 8,145,069 | | | $ | 8,196,265 | (a) | | $ | — | | | $ | — | | | $ | — | | | $ | 16,341,334 | | | | 16,341,334 | | | $ | 464,189 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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) |
TD Securities (USA) LLC | | | 5.49 | %(b) | | | 11/08/23 | | | | Open | | | $ | 5,497,087 | | | $ | 5,533,734 | | | Corporate Bonds | | | Open/Demand | |
J.P. Morgan Securities LLC | | | 4.50 | | | | 11/14/23 | | | | 01/04/24 | | | | 533,610 | | | | 536,745 | | | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.25 | | | | 11/14/23 | | | | 01/04/24 | | | | 1,500,000 | | | | 1,510,281 | | | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.35 | | | | 11/14/23 | | | | 01/04/24 | | | | 1,124,077 | | | | 1,131,929 | | | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.40 | | | | 11/14/23 | | | | 01/04/24 | | | | 165,000 | | | | 166,163 | | | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.40 | | | | 11/14/23 | | | | 01/04/24 | | | | 1,076,250 | | | | 1,083,838 | | | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.40 | | | | 11/14/23 | | | | 01/04/24 | | | | 454,125 | | | | 457,327 | | | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.45 | | | | 11/14/23 | | | | 01/04/24 | | | | 691,668 | | | | 696,589 | | | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.45 | | | | 11/14/23 | | | | 01/04/24 | | | | 853,125 | | | | 859,195 | | | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.45 | | | | 11/14/23 | | | | 01/04/24 | | | | 244,784 | | | | 246,526 | | | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.45 | | | | 11/14/23 | | | | 01/04/24 | | | | 504,400 | | | | 507,989 | | | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.45 | | | | 11/14/23 | | | | 01/04/24 | | | | 343,915 | | | | 346,362 | | | Capital Trusts | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.45 | | | | 11/14/23 | | | | 01/04/24 | | | | 541,061 | | | | 544,911 | | | Corporate Bonds | | | Up to 30 Days | |
J.P. Morgan Securities LLC | | | 5.45 | | | | 11/15/23 | | | | 01/04/24 | | | | 1,248,390 | | | | 1,257,084 | | | Corporate Bonds | | | Up to 30 Days | |
| | |
| 106 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) |
Reverse Repurchase Agreements (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Interest
Rate | | | Trade
Date | | | Maturity
Date(a) | | | Face Value | | | Face Value
Including
Accrued Interest | | | Type of Non-Cash Underlying
Collateral | | Remaining
Contractual Maturity
of the Agreements(a) |
J.P. Morgan Securities LLC | | | 5.45 | % | | | 11/15/23 | | | | 01/04/24 | | | $ | 874,500 | | | $ | 880,590 | | | Corporate Bonds | | Up to 30 Days |
Barclays Capital, Inc. | | | 4.75 | | | | 11/15/23 | | | | 01/10/24 | | | | 476,442 | | | | 479,334 | | | Corporate Bonds | | Up to 30 Days |
Barclays Capital, Inc. | | | 5.40 | | | | 11/15/23 | | | | 01/10/24 | | | | 2,660,698 | | | | 2,679,056 | | | Foreign Agency Obligations | | Up to 30 Days |
Barclays Capital, Inc. | | | 5.45 | | | | 11/15/23 | | | | 01/10/24 | | | | 2,458,837 | | | | 2,475,961 | | | Corporate Bonds | | Up to 30 Days |
Barclays Capital, Inc. | | | 5.45 | | | | 11/15/23 | | | | 01/10/24 | | | | 4,000,000 | | | | 4,027,856 | | | Corporate Bonds | | Up to 30 Days |
Barclays Capital, Inc. | | | 5.49 | | | | 11/15/23 | | | | 01/10/24 | | | | 4,762,100 | | | | 4,795,506 | | | Capital Trusts | | Up to 30 Days |
Barclays Capital, Inc. | | | 5.49 | | | | 11/15/23 | | | | 01/10/24 | | | | 2,283,930 | | | | 2,299,952 | | | Corporate Bonds | | Up to 30 Days |
Barclays Capital, Inc. | | | 5.49 | | | | 11/15/23 | | | | 01/10/24 | | | | 1,975,000 | | | | 1,988,855 | | | Corporate Bonds | | Up to 30 Days |
Barclays Capital, Inc. | | | 5.49 | | | | 11/15/23 | | | | 01/10/24 | | | | 3,101,750 | | | | 3,123,509 | | | Corporate Bonds | | Up to 30 Days |
Barclays Capital, Inc. | | | 5.49 | | | | 11/15/23 | | | | 01/10/24 | | | | 1,091,200 | | | | 1,098,855 | | | Corporate Bonds | | Up to 30 Days |
Barclays Capital, Inc. | | | 5.49 | | | | 11/15/23 | | | | 01/10/24 | | | | 1,130,625 | | | | 1,138,556 | | | Corporate Bonds | | Up to 30 Days |
Barclays Capital, Inc. | | | 5.50 | | | | 11/15/23 | | | | 01/10/24 | | | | 3,619,723 | | | | 3,645,162 | | | Foreign Agency Obligations | | Up to 30 Days |
Barclays Capital, Inc. | | | 1.00 | (b) | | | 11/15/23 | | | | Open | | | | 150,635 | | | | 150,827 | | | Corporate Bonds | | Open/Demand |
Barclays Capital, Inc. | | | 5.37 | (b) | | | 11/15/23 | | | | Open | | | | 3,154,050 | | | | 3,175,692 | | | Corporate Bonds | | Open/Demand |
Barclays Capital, Inc. | | | 5.50 | (b) | | | 11/15/23 | | | | Open | | | | 155,750 | | | | 156,845 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.41 | (b) | | | 11/15/23 | | | | Open | | | | 954,034 | | | | 960,629 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.44 | (b) | | | 11/15/23 | | | | Open | | | | 681,430 | | | | 686,167 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.00 | (b) | | | 11/15/23 | | | | Open | | | | 185,138 | | | | 186,321 | | | Foreign Agency Obligations | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 11/15/23 | | | | Open | | | | 283,943 | | | | 285,931 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 11/15/23 | | | | Open | | | | 214,438 | | | | 215,939 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 11/15/23 | | | | Open | | | | 491,040 | | | | 494,478 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 11/15/23 | | | | Open | | | | 963,991 | | | | 970,741 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 11/15/23 | | | | Open | | | | 384,979 | | | | 387,674 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 11/15/23 | | | | Open | | | | 955,000 | | | | 961,687 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 11/15/23 | | | | Open | | | | 445,570 | | | | 448,690 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 11/15/23 | | | | Open | | | | 541,748 | | | | 545,541 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.50 | (b) | | | 11/15/23 | | | | Open | | | | 1,561,720 | | | | 1,572,695 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.50 | (b) | | | 11/15/23 | | | | Open | | | | 424,575 | | | | 427,559 | | | Corporate Bonds | | Open/Demand |
BofA Securities, Inc. | | | 0.00 | | | | 11/16/23 | | | | 01/11/24 | | | | 716,107 | | | | 716,107 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 2.50 | | | | 11/16/23 | | | | 01/11/24 | | | | 628,343 | | | | 630,306 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 4.00 | | | | 11/16/23 | | | | 01/11/24 | | | | 5,077,500 | | | | 5,102,888 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 4.15 | | | | 11/16/23 | | | | 01/11/24 | | | | 425,915 | | | | 428,124 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 4.25 | | | | 11/16/23 | | | | 01/11/24 | | | | 207,141 | | | | 208,241 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 4.50 | | | | 11/16/23 | | | | 01/11/24 | | | | 263,139 | | | | 264,619 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.10 | | | | 11/16/23 | | | | 01/11/24 | | | | 397,585 | | | | 400,120 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.20 | | | | 11/16/23 | | | | 01/11/24 | | | | 496,811 | | | | 500,041 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.25 | | | | 11/16/23 | | | | 01/11/24 | | | | 1,308,300 | | | | 1,316,886 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.25 | | | | 11/16/23 | | | | 01/11/24 | | | | 468,019 | | | | 471,090 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.25 | | | | 11/16/23 | | | | 01/11/24 | | | | 143,348 | | | | 144,288 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.25 | | | | 11/16/23 | | | | 01/11/24 | | | | 1,878,125 | | | | 1,890,450 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.35 | | | | 11/16/23 | | | | 01/11/24 | | | | 900,622 | | | | 906,645 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.35 | | | | 11/16/23 | | | | 01/11/24 | | | | 735,435 | | | | 740,353 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.35 | | | | 11/16/23 | | | | 01/11/24 | | | | 1,755,930 | | | | 1,767,673 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.35 | | | | 11/16/23 | | | | 01/11/24 | | | | 1,343,655 | | | | 1,352,641 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.35 | | | | 11/16/23 | | | | 01/11/24 | | | | 702,545 | | | | 707,244 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.35 | | | | 11/16/23 | | | | 01/11/24 | | | | 1,471,860 | | | | 1,481,703 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 278,005 | | | | 279,882 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 585,000 | | | | 588,949 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 490,875 | | | | 494,188 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 224,031 | | | | 225,543 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 98,525 | | | | 99,190 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 100,463 | | | | 101,141 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 174,563 | | | | 175,741 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 1,522,875 | | | | 1,533,154 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 455,813 | | | | 458,889 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 172,200 | | | | 173,362 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 2,822,400 | | | | 2,841,451 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 961,410 | | | | 967,900 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 400,403 | | | | 403,105 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 747,500 | | | | 752,546 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 324,743 | | | | 326,935 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 548,760 | | | | 552,464 | | | Corporate Bonds | | Up to 30 Days |
| | |
SCHEDULE OF INVESTMENTS | | 107 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) |
Reverse Repurchase Agreements (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Interest
Rate | | | Trade
Date | | | Maturity
Date(a) | | | Face Value | | | Face Value
Including
Accrued Interest | | | Type of Non-Cash Underlying
Collateral | | Remaining
Contractual Maturity
of the Agreements(a) |
BofA Securities, Inc. | | | 5.40 | % | | | 11/16/23 | | | | 01/11/24 | | | $ | 1,698,742 | | | $ | 1,710,209 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 1,318,377 | | | | 1,327,277 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 1,077,790 | | | | 1,085,065 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 11/16/23 | | | | 01/11/24 | | | | 1,117,500 | | | | 1,125,043 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 825,845 | | | | 831,472 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 401,613 | | | | 404,348 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 4,717,960 | | | | 4,750,101 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 706,781 | | | | 711,597 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 826,746 | | | | 832,378 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 377,010 | | | | 379,578 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 3,014,531 | | | | 3,035,068 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 523,005 | | | | 526,568 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 6,571,875 | | | | 6,616,646 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 2,256,791 | | | | 2,272,166 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 310,643 | | | | 312,759 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 3,950,000 | | | | 3,976,909 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 333,125 | | | | 335,394 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 1,232,105 | | | | 1,240,499 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 1,016,250 | | | | 1,023,173 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 3,725,000 | | | | 3,750,377 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 1,837,500 | | | | 1,850,018 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 2,618,650 | | | | 2,636,490 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 868,035 | | | | 873,948 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.45 | | | | 11/16/23 | | | | 01/11/24 | | | | 599,885 | | | | 603,972 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.48 | | | | 11/16/23 | | | | 01/11/24 | | | | 2,812,500 | | | | 2,831,766 | | | Capital Trusts | | Up to 30 Days |
BofA Securities, Inc. | | | 5.48 | | | | 11/16/23 | | | | 01/11/24 | | | | 2,658,750 | | | | 2,676,962 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.49 | | | | 11/16/23 | | | | 01/11/24 | | | | 5,065,425 | | | | 5,100,186 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.50 | | | | 11/16/23 | | | | 01/11/24 | | | | 701,663 | | | | 706,486 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.50 | | | | 11/16/23 | | | | 01/11/24 | | | | 193,380 | | | | 194,709 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.50 | | | | 11/16/23 | | | | 01/11/24 | | | | 164,045 | | | | 165,173 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.50 | | | | 11/16/23 | | | | 01/11/24 | | | | 279,698 | | | | 281,620 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.50 | | | | 11/16/23 | | | | 01/11/24 | | | | 274,060 | | | | 275,944 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.50 | | | | 11/16/23 | | | | 01/11/24 | | | | 11,415,000 | | | | 11,493,478 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.50 | | | | 11/16/23 | | | | 01/11/24 | | | | 4,648,926 | | | | 4,680,888 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.50 | | | | 11/16/23 | | | | 01/11/24 | | | | 9,522,375 | | | | 9,587,841 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.50 | | | | 11/16/23 | | | | 01/11/24 | | | | 6,656,306 | | | | 6,702,068 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.50 | | | | 11/16/23 | | | | 01/11/24 | | | | 4,585,000 | | | | 4,616,522 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.50 | | | | 11/16/23 | | | | 01/11/24 | | | | 4,731,900 | | | | 4,764,432 | | | Corporate Bonds | | Up to 30 Days |
Merrill Lynch International | | | 5.33 | | | | 11/16/23 | | | | 01/11/24 | | | | 946,050 | | | | 952,353 | | | Corporate Bonds | | Up to 30 Days |
Nomura Securities International, Inc. | | | 4.50 | (b) | | | 11/24/23 | | | | Open | | | | 215,584 | | | | 216,527 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.25 | (b) | | | 11/24/23 | | | | Open | | | | 190,593 | | | | 191,566 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 11/24/23 | | | | Open | | | | 973,417 | | | | 979,048 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.25 | (b) | | | 11/29/23 | | | | Open | | | | 3,897,611 | | | | 3,915,800 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.45 | (b) | | | 11/29/23 | | | | Open | | | | 1,895,000 | | | | 1,904,180 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 11/29/23 | | | | Open | | | | 169,250 | | | | 170,074 | | | Corporate Bonds | | Open/Demand |
J.P. Morgan Securities LLC | | | 5.45 | | | | 11/30/23 | | | | 01/04/24 | | | | 32,143 | | | | 32,293 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 4.80 | | | | 11/30/23 | | | | 01/11/24 | | | | 2,156,250 | | | | 2,165,163 | | | Capital Trusts | | Up to 30 Days |
BofA Securities, Inc. | | | 5.35 | | | | 11/30/23 | | | | 01/11/24 | | | | 608,025 | | | | 610,826 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.35 | | | | 11/30/23 | | | | 01/11/24 | | | | 2,840,230 | | | | 2,853,315 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.35 | | | | 11/30/23 | | | | 01/11/24 | | | | 958,551 | | | | 962,967 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.35 | | | | 11/30/23 | | | | 01/11/24 | | | | 4,069,565 | | | | 4,088,313 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 11/30/23 | | | | 01/11/24 | | | | 306,565 | | | | 307,991 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 11/30/23 | | | | 01/11/24 | | | | 322,740 | | | | 324,241 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.50 | | | | 11/30/23 | | | | 01/11/24 | | | | 869,666 | | | | 873,785 | | | Corporate Bonds | | Up to 30 Days |
BNP Paribas SA | | | 5.45 | (b) | | | 11/30/23 | | | | Open | | | | 303,180 | | | | 304,603 | | | Corporate Bonds | | Open/Demand |
BofA Securities, Inc. | | | 5.35 | | | | 12/01/23 | | | | 01/11/24 | | | | 2,038,063 | | | | 2,046,543 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 12/01/23 | | | | 01/11/24 | | | | 1,566,565 | | | | 1,573,145 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 12/01/23 | | | | 01/11/24 | | | | 792,825 | | | | 796,155 | | | Corporate Bonds | | Up to 30 Days |
RBC Capital Markets, LLC | | | 5.50 | (b) | | | 12/01/23 | | | | Open | | | | 8,410,000 | | | | 8,445,976 | | | Corporate Bonds | | Open/Demand |
BofA Securities, Inc. | | | 5.45 | | | | 12/06/23 | | | | 01/11/24 | | | | 241,000 | | | | 241,912 | | | Corporate Bonds | | Up to 30 Days |
BNP Paribas SA | | | 5.15 | (b) | | | 12/08/23 | | | | Open | | | | 113,314 | | | | 113,654 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.40 | (b) | | | 12/08/23 | | | | Open | | | | 625,255 | | | | 627,224 | | | Corporate Bonds | | Open/Demand |
| | |
| 108 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) |
Reverse Repurchase Agreements (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Interest
Rate | | | Trade
Date | | | Maturity
Date(a) | | | Face Value | | | Face Value
Including
Accrued Interest | | | Type of Non-Cash Underlying
Collateral | | Remaining
Contractual Maturity
of the Agreements(a) |
J.P. Morgan Securities LLC | | | 5.45 | % | | | 12/13/23 | | | | 01/04/24 | | | $ | 366,522 | | | $ | 367,520 | | | Corporate Bonds | | Up to 30 Days |
J.P. Morgan Securities LLC | | | 5.45 | | | | 12/13/23 | | | | 01/04/24 | | | | 155,093 | | | | 155,516 | | | Corporate Bonds | | Up to 30 Days |
Barclays Capital, Inc. | | | 4.50 | | | | 12/13/23 | | | | 01/10/24 | | | | 647,219 | | | | 648,675 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 3.50 | | | | 12/13/23 | | | | 01/11/24 | | | | 567,188 | | | | 568,180 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 12/13/23 | | | | 01/11/24 | | | | 512,070 | | | | 513,453 | | | Corporate Bonds | | Up to 30 Days |
BNP Paribas SA | | | 4.75 | (b) | | | 12/13/23 | | | | Open | | | | 2,744,885 | | | | 2,751,404 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.30 | (b) | | | 12/13/23 | | | | Open | | | | 625,118 | | | | 626,774 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.32 | (b) | | | 12/13/23 | | | | Open | | | | 1,875,500 | | | | 1,880,489 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.35 | (b) | | | 12/13/23 | | | | Open | | | | 486,000 | | | | 487,300 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.37 | (b) | | | 12/13/23 | | | | Open | | | | 209,028 | | | | 209,589 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.39 | (b) | | | 12/13/23 | | | | Open | | | | 80,270 | | | | 80,486 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.39 | (b) | | | 12/13/23 | | | | Open | | | | 679,725 | | | | 681,557 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.39 | (b) | | | 12/13/23 | | | | Open | | | | 2,082,685 | | | | 2,088,298 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.40 | (b) | | | 12/13/23 | | | | Open | | | | 1,006,445 | | | | 1,009,162 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.41 | (b) | | | 12/13/23 | | | | Open | | | | 629,213 | | | | 630,915 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.42 | (b) | | | 12/13/23 | | | | Open | | | | 1,926,562 | | | | 1,931,783 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.44 | (b) | | | 12/13/23 | | | | Open | | | | 352,106 | | | | 353,064 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.44 | (b) | | | 12/13/23 | | | | Open | | | | 1,912,500 | | | | 1,917,702 | | | Capital Trusts | | Open/Demand |
BNP Paribas SA | | | 5.45 | (b) | | | 12/13/23 | | | | Open | | | | 527,730 | | | | 529,168 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.45 | (b) | | | 12/13/23 | | | | Open | | | | 337,000 | | | | 337,918 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.45 | (b) | | | 12/13/23 | | | | Open | | | | 713,639 | | | | 715,583 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.45 | (b) | | | 12/13/23 | | | | Open | | | | 223,550 | | | | 224,159 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.45 | (b) | | | 12/13/23 | | | | Open | | | | 368,945 | | | | 369,950 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.45 | (b) | | | 12/13/23 | | | | Open | | | | 378,500 | | | | 379,531 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.45 | (b) | | | 12/13/23 | | | | Open | | | | 4,846,875 | | | | 4,860,083 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.45 | (b) | | | 12/13/23 | | | | Open | | | | 491,033 | | | | 492,371 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.46 | (b) | | | 12/13/23 | | | | Open | | | | 1,916,705 | | | | 1,921,938 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.47 | (b) | | | 12/13/23 | | | | Open | | | | 982,695 | | | | 985,383 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.47 | (b) | | | 12/13/23 | | | | Open | | | | 902,500 | | | | 904,968 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.47 | (b) | | | 12/13/23 | | | | Open | | | | 681,703 | | | | 683,567 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 520,220 | | | | 521,645 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 308,848 | | | | 309,694 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 714,298 | | | | 716,255 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 455,033 | | | | 456,282 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 258,515 | | | | 259,225 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 345,030 | | | | 345,977 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 531,895 | | | | 533,355 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.50 | (b) | | | 12/13/23 | | | | Open | | | | 8,371,650 | | | | 8,394,672 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.50 | (b) | | | 12/13/23 | | | | Open | | | | 2,537,500 | | | | 2,544,478 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.50 | (b) | | | 12/13/23 | | | | Open | | | | 4,500,000 | | | | 4,512,375 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.65 | (b) | | | 12/13/23 | | | | Open | | | | 174,600 | | | | 175,071 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.25 | (b) | | | 12/13/23 | | | | Open | | | | 791,940 | | | | 794,019 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.25 | (b) | | | 12/13/23 | | | | Open | | | | 1,255,457 | | | | 1,258,753 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.35 | (b) | | | 12/13/23 | | | | Open | | | | 1,226,067 | | | | 1,229,347 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.35 | (b) | | | 12/13/23 | | | | Open | | | | 458,380 | | | | 459,606 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.45 | (b) | | | 12/13/23 | | | | Open | | | | 837,500 | | | | 839,782 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.45 | (b) | | | 12/13/23 | | | | Open | | | | 4,278,000 | | | | 4,289,658 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.45 | (b) | | | 12/13/23 | | | | Open | | | | 845,000 | | | | 847,303 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.45 | (b) | | | 12/13/23 | | | | Open | | | | 1,595,000 | | | | 1,599,346 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.45 | (b) | | | 12/13/23 | | | | Open | | | | 2,888,812 | | | | 2,896,685 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.45 | (b) | | | 12/13/23 | | | | Open | | | | 4,258,020 | | | | 4,269,623 | | | Corporate Bonds | | Open/Demand |
Goldman Sachs & Co. LLC | | | 5.45 | (b) | | | 12/13/23 | | | | Open | | | | 407,500 | | | | 408,610 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 4.50 | (b) | | | 12/13/23 | | | | Open | | | | 167,750 | | | | 168,127 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.35 | (b) | | | 12/13/23 | | | | Open | | | | 3,212,249 | | | | 3,220,842 | | | Foreign Agency Obligations | | Open/Demand |
Nomura Securities International, Inc. | | | 5.35 | (b) | | | 12/13/23 | | | | Open | | | | 478,750 | | | | 480,031 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 1,203,152 | | | | 1,206,449 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 172,244 | | | | 172,716 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 130,250 | | | | 130,607 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 226,800 | | | | 227,421 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 706,556 | | | | 708,492 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 186,030 | | | | 186,540 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 220,825 | | | | 221,430 | | | Corporate Bonds | | Open/Demand |
| | |
SCHEDULE OF INVESTMENTS | | 109 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) |
Reverse Repurchase Agreements (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Interest
Rate | | | Trade
Date | | | Maturity
Date(a) | | | Face Value | | | Face Value
Including
Accrued Interest | | | Type of Non-Cash Underlying
Collateral | | Remaining
Contractual Maturity
of the Agreements(a) |
Nomura Securities International, Inc. | | | 5.48 | %(b) | | | 12/13/23 | | | | Open | | | $ | 160,628 | | | $ | 161,068 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 641,874 | | | | 643,632 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 155,779 | | | | 156,206 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 180,540 | | | | 181,035 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 193,219 | | | | 193,748 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 493,509 | | | | 494,861 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 555,391 | | | | 556,913 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 448,050 | | | | 449,278 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 284,563 | | | | 285,342 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 279,518 | | | | 280,283 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 437,895 | | | | 439,095 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 930,000 | | | | 932,548 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 205,718 | | | | 206,281 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 1,835,000 | | | | 1,840,028 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 373,750 | | | | 374,774 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | | 5.50 | (b) | | | 12/13/23 | | | | Open | | | | 11,387,500 | | | | 11,418,816 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | | 5.50 | (b) | | | 12/13/23 | | | | Open | | | | 5,195,062 | | | | 5,209,349 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | | 5.50 | (b) | | | 12/13/23 | | | | Open | | | | 14,018,500 | | | | 14,057,051 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.48 | (b) | | | 12/13/23 | | | | Open | | | | 5,803,437 | | | | 5,819,339 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 3,861,562 | | | | 3,872,163 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 1,683,412 | | | | 1,688,033 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 3,452,310 | | | | 3,461,787 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 4,331,250 | | | | 4,343,139 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 3,075,469 | | | | 3,083,911 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 1,066,000 | | | | 1,068,926 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 4,884,094 | | | | 4,897,501 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 578,463 | | | | 580,050 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 809,051 | | | | 811,272 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 5,927,216 | | | | 5,943,486 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 2,037,287 | | | | 2,042,880 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 2,144,450 | | | | 2,150,337 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 4,012,500 | | | | 4,023,514 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 2,644,100 | | | | 2,651,358 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 1,458,785 | | | | 1,462,789 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 597,715 | | | | 599,356 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 842,737 | | | | 845,051 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 3,023,125 | | | | 3,031,423 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 583,918 | | | | 585,520 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 1,908,000 | | | | 1,913,237 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 1,943,662 | | | | 1,948,998 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 5,010,205 | | | | 5,023,958 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 888,250 | | | | 890,688 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 507,896 | | | | 509,290 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 5,850,394 | | | | 5,866,453 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 1,239,962 | | | | 1,243,366 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 1,077,300 | | | | 1,080,257 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 10,925,000 | | | | 10,954,989 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 4,453,312 | | | | 4,465,537 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 4,518,316 | | | | 4,530,719 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 3,157,006 | | | | 3,165,672 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 2,864,276 | | | | 2,872,139 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 3,145,000 | | | | 3,153,633 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 2,971,687 | | | | 2,979,845 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 3,806,250 | | | | 3,816,698 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 2,372,662 | | | | 2,379,175 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 2,372,700 | | | | 2,379,213 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 3,667,500 | | | | 3,677,567 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 810,469 | | | | 812,694 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 6,683,350 | | | | 6,701,696 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 6,957,675 | | | | 6,976,774 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 3,062,500 | | | | 3,070,907 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 5,632,500 | | | | 5,647,961 | | | Corporate Bonds | | Open/Demand |
| | |
| 110 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) |
Reverse Repurchase Agreements (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Interest
Rate | | | Trade
Date | | | Maturity
Date(a) | | | Face Value | | | Face Value
Including
Accrued Interest | | | Type of Non-Cash Underlying
Collateral | | Remaining
Contractual Maturity
of the Agreements(a) |
TD Securities (USA) LLC | | | 5.49 | %(b) | | | 12/13/23 | | | | Open | | | $ | 623,200 | | | $ | 624,911 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 8,867,775 | | | | 8,892,117 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 3,610,000 | | | | 3,619,909 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 2,305,000 | | | | 2,311,327 | | | Capital Trusts | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 575,825 | | | | 577,406 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 2,846,602 | | | | 2,854,416 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 2,559,375 | | | | 2,566,400 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 437,363 | | | | 438,563 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 842,162 | | | | 844,474 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 2,950,325 | | | | 2,958,424 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 1,348,600 | | | | 1,352,302 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 5,031,250 | | | | 5,045,061 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 4,743,437 | | | | 4,756,458 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 6,605,662 | | | | 6,623,795 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 3,435,840 | | | | 3,445,271 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 4,950,212 | | | | 4,963,801 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 588,965 | | | | 590,582 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 2,160,000 | | | | 2,165,929 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 2,856,575 | | | | 2,864,416 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 2,339,700 | | | | 2,346,122 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 1,658,437 | | | | 1,662,990 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 4,076,944 | | | | 4,088,135 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 2,338,119 | | | | 2,344,537 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 369,630 | | | | 370,645 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 7,875,000 | | | | 7,896,617 | | | Capital Trusts | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 2,851,875 | | | | 2,859,703 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 2,677,812 | | | | 2,685,163 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/13/23 | | | | Open | | | | 911,232 | | | | 913,734 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.50 | (b) | | | 12/13/23 | | | | Open | | | | 6,490,645 | | | | 6,508,494 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.50 | (b) | | | 12/13/23 | | | | Open | | | | 5,141,937 | | | | 5,156,078 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.00 | (b) | | | 12/15/23 | | | | Open | | | | 937,750 | | | | 939,573 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.37 | (b) | | | 12/15/23 | | | | Open | | | | 4,301,550 | | | | 4,310,533 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.43 | (b) | | | 12/15/23 | | | | Open | | | | 580,580 | | | | 581,806 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.45 | (b) | | | 12/15/23 | | | | Open | | | | 704,126 | | | | 705,619 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.48 | (b) | | | 12/15/23 | | | | Open | | | | 397,380 | | | | 398,227 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/15/23 | | | | Open | | | | 740,480 | | | | 742,058 | | | Corporate Bonds | | Open/Demand |
Nomura Securities International, Inc. | | | 5.48 | (b) | | | 12/15/23 | | | | Open | | | | 1,736,095 | | | | 1,739,795 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | | 5.45 | (b) | | | 12/15/23 | | | | Open | | | | 4,637,719 | | | | 4,647,548 | | | Corporate Bonds | | Open/Demand |
BofA Securities, Inc. | | | 5.15 | | | | 12/20/23 | | | | 01/11/24 | | | | 890,417 | | | | 891,946 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.25 | | | | 12/20/23 | | | | 01/11/24 | | | | 1,809,094 | | | | 1,812,260 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.35 | | | | 12/20/23 | | | | 01/11/24 | | | | 473,441 | | | | 474,286 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.40 | | | | 12/20/23 | | | | 01/11/24 | | | | 235,620 | | | | 236,044 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.45 | | | | 12/20/23 | | | | 01/11/24 | | | | 1,958,466 | | | | 1,962,024 | | | Corporate Bonds | | Up to 30 Days |
BofA Securities, Inc. | | | 5.45 | | | | 12/20/23 | | | | 01/11/24 | | | | 3,576,807 | | | | 3,583,305 | | | Corporate Bonds | | Up to 30 Days |
BNP Paribas SA | | | 5.42 | (b) | | | 12/20/23 | | | | Open | | | | 1,778,902 | | | | 1,781,849 | | | Corporate Bonds | | Open/Demand |
RBC Capital Markets, LLC | | | 5.50 | (b) | | | 12/20/23 | | | | Open | | | | 358,125 | | | | 358,727 | | | Corporate Bonds | | Open/Demand |
TD Securities (USA) LLC | | | 5.49 | (b) | | | 12/20/23 | | | | Open | | | | 1,296,450 | | | | 1,298,823 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.45 | (b) | | | 12/22/23 | | | | Open | | | | 197,694 | | | | 197,993 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.54 | (b) | | | 12/22/23 | | | | Open | | | | 238,453 | | | | 238,819 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.54 | (b) | | | 12/22/23 | | | | Open | | | | 135,563 | | | | 135,771 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.54 | (b) | | | 12/22/23 | | | | Open | | | | 287,263 | | | | 287,705 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.54 | (b) | | | 12/22/23 | | | | Open | | | | 114,500 | | | | 114,676 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.54 | (b) | | | 12/22/23 | | | | Open | | | | 220,663 | | | | 221,002 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.54 | (b) | | | 12/22/23 | | | | Open | | | | 172,125 | | | | 172,390 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.54 | (b) | | | 12/22/23 | | | | Open | | | | 881,059 | | | | 882,415 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.54 | (b) | | | 12/22/23 | | | | Open | | | | 345,425 | | | | 345,957 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.54 | (b) | | | 12/22/23 | | | | Open | | | | 128,486 | | | | 128,684 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.54 | (b) | | | 12/22/23 | | | | Open | | | | 100,380 | | | | 100,534 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.54 | (b) | | | 12/22/23 | | | | Open | | | | 545,265 | | | | 546,104 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.54 | (b) | | | 12/22/23 | | | | Open | | | | 468,868 | | | | 469,589 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.54 | (b) | | | 12/22/23 | | | | Open | | | | 132,525 | | | | 132,729 | | | Corporate Bonds | | Open/Demand |
| | |
SCHEDULE OF INVESTMENTS | | 111 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) |
Reverse Repurchase Agreements (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Interest
Rate | | | Trade
Date | | | Maturity
Date(a) | | Face Value | | | Face Value
Including
Accrued Interest | | | Type of Non-Cash Underlying
Collateral | | Remaining
Contractual Maturity
of the Agreements(a) |
BNP Paribas SA | | | 5.54 | %(b) | | | 12/22/23 | | | Open | | $ | 168,100 | | | $ | 168,359 | | | Corporate Bonds | | Open/Demand |
BNP Paribas SA | | | 5.65 | (b) | | | 12/26/23 | | | Open | | | 169,928 | | | | 170,061 | | | Corporate Bonds | | Open/Demand |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | $ | 588,465,435 | | | $ | 590,829,426 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | (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. Treasury Note | | | 846 | | | | 03/19/24 | | | $ | 95,505 | | | $ | 3,091,775 | |
2-Year U.S. Treasury Note | | | 394 | | | | 03/28/24 | | | | 81,130 | | | | 775,187 | |
5-Year U.S. Treasury Note | | | 1,052 | | | | 03/28/24 | | | | 114,430 | | | | 2,451,749 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 6,318,711 | |
| | | | | | | | | | | | | | | | |
Short Contracts | | | | | | | | | | | | | | | | |
10-Year U.S. Ultra Long Treasury Note | | | 647 | | | | 03/19/24 | | | | 76,356 | | | | (3,445,791 | ) |
U.S. Long Bond | | | 1,010 | | | | 03/19/24 | | | | 126,187 | | | | (9,188,456 | ) |
Ultra U.S. Treasury Bond | | | 92 | | | | 03/19/24 | | | | 12,291 | | | | (1,095,830 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (13,730,077 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | (7,411,366 | ) |
| | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Currency Purchased
| | | Currency Sold | | | Counterparty | | Settlement Date | | | Unrealized
Appreciation
(Depreciation) | |
| | | | | | |
| USD | | | 1,709,086 | | | EUR | | | 1,554,000 | | | Deutsche Bank AG | | | 03/20/24 | | | $ | (11,727 | ) |
| USD | | | 94,226 | | | GBP | | | 74,000 | | | Natwest Markets PLC | | | 03/20/24 | | | | (134 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (11,861 | ) |
| | | | | | | | | | | | | | | | | | | | |
Exchange-Traded Options Purchased
| | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Exercise Price | | Notional
Amount (000) | | Value | |
| Call | | | | | | | | | | | | | | | | | | |
3-Month SOFR Future | | | 910 | | | | 03/15/24 | | | | USD | | | 95.50 | | USD | | 216,148 | | $ | 108,062 | |
| | | | | | | | | | | | | | | | | | | | | | |
| Put | | | | | | | | | | | | | | | | | | |
SPDR S&P 500 ETF Trust | | | 417 | | | | 01/19/24 | | | | USD | | | 465.00 | | USD | | 19,820 | | | 58,172 | |
SPDR S&P 500 ETF Trust | | | 342 | | | | 02/16/24 | | | | USD | | | 460.00 | | USD | | 16,256 | | | 102,429 | |
SPDR S&P 500 ETF Trust | | | 102 | | | | 03/15/24 | | | | USD | | | 455.00 | | USD | | 4,848 | | | 41,616 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | 202,217 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 310,279 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | |
| 112 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) |
Exchange-Traded Options Written
| | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Exercise Price | | Notional Amount (000) | | | Value | |
| Call | | | | | | | | | | | | | | | | | | |
3-Month SOFR Future | | | 910 | | | | 03/15/24 | | | USD | | 97.00 | | USD | | | 216,148 | | | $ | (34,125 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| Put | | | | | | | | | | | | | | | | | | |
SPDR S&P 500 ETF Trust | | | 417 | | | | 01/19/24 | | | USD | | 445.00 | | USD | | | 19,820 | | | | (12,718 | ) |
SPDR S&P 500 ETF Trust | | | 342 | | | | 02/16/24 | | | USD | | 430.00 | | USD | | | 16,256 | | | | (27,361 | ) |
SPDR S&P 500 ETF Trust | | | 102 | | | | 03/15/24 | | | USD | | 405.00 | | USD | | | 4,848 | | | | (9,180 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | (49,259 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (83,384 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
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.41.V2 | | | 5.00 | % | | | Quarterly | | | | 12/20/28 | | | | USD | | | | 54,450 | | | $ | (3,278,854 | ) | | $ | (423,934 | ) | | $ | (2,854,920 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and Options Written
| | | | | | | | | | | | | | | | | | | | |
| Description | | Swap
Premiums
Paid | | | Swap
Premiums
Received | | | Unrealized
Appreciation | | | Unrealized
Depreciation | | | Value | |
Centrally Cleared Swaps(a) | | $ | — | | | $ | (423,934 | ) | | $ | — | | | $ | (2,854,920 | ) | | $ | — | |
Options Written | | | N/A | | | | N/A | | | | 259,127 | | | | — | | | | (83,384 | ) |
| | (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) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 6,318,711 | | | $ | — | | | $ | 6,318,711 | |
Options purchased | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments at value — unaffiliated(b) | | | — | | | | — | | | | 202,217 | | | | — | | | | 108,062 | | | | — | | | | 310,279 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | 202,217 | | | $ | — | | | $ | 6,426,773 | | | $ | — | | | $ | 6,628,990 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on futures contracts(a) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 13,730,077 | | | $ | — | | | $ | 13,730,077 | |
Forward foreign currency exchange contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 11,861 | | | | — | | | | — | | | | 11,861 | |
Options written | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Options written at value | | | — | | | | — | | | | 49,259 | | | | — | | | | 34,125 | | | | — | | | | 83,384 | |
Swaps — centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on centrally cleared swaps(a) | | | — | | | | 2,854,920 | | | | — | | | | — | | | | — | | | | — | | | | 2,854,920 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 2,854,920 | | | $ | 49,259 | | | $ | 11,861 | | | $ | 13,764,202 | | | $ | — | | | $ | 16,680,242 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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. | |
| | |
SCHEDULE OF INVESTMENTS | | 113 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) |
For the period ended December 31, 2023, 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 | | $ | — | | | $ | — | | | $ | 170,050 | | | $ | — | | | $ | 6,879,360 | | | $ | — | | | $ | 7,049,410 | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | (7,308 | ) | | | — | | | | — | | | | (7,308 | ) |
Options purchased(a) | | | — | | | | — | | | | (3,476,144 | ) | | | — | | | | — | | | | — | | | | (3,476,144 | ) |
Options written | | | — | | | | — | | | | 2,040,163 | | | | — | | | | — | | | | — | | | | 2,040,163 | |
Swaps | | | — | | | | (5,029,711 | ) | | | — | | | | — | | | | (2,811,976 | ) | | | — | | | | (7,841,687 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | (5,029,711 | ) | | $ | (1,265,931 | ) | | $ | (7,308 | ) | | $ | 4,067,384 | | | $ | — | | | $ | (2,235,566 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (8,551,702 | ) | | $ | — | | | $ | (8,551,702 | ) |
Forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | (11,861 | ) | | | — | | | | — | | | | (11,861 | ) |
Options purchased(b) | | | — | | | | — | | | | (38,432 | ) | | | — | | | | (644,672 | ) | | | — | | | | (683,104 | ) |
Options written | | | — | | | | — | | | | (10,496 | ) | | | — | | | | 214,141 | | | | — | | | | 203,645 | |
Swaps | | | — | | | | (2,272,047 | ) | | | — | | | | — | | | | 5,074,148 | | | | — | | | | 2,802,101 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | (2,272,047 | ) | | $ | (48,928 | ) | | $ | (11,861 | ) | | $ | (3,908,085 | ) | | $ | — | | | $ | (6,240,921 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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 | | $ | 314,451,435 | |
Average notional value of contracts — short | | $ | 232,274,701 | |
Forward foreign currency exchange contracts: | | | | |
Average amounts purchased — in USD | | $ | 1,609,243 | |
Options: | | | | |
Average value of option contracts purchased | | $ | 830,113 | |
Average value of option contracts written | | $ | 167,609 | |
Credit default swaps: | | | | |
Average notional value — buy protection | | $ | 81,662,500 | |
Interest rate swaps: | | | | |
Average notional value — receives fixed rate | | $ | — | (a) |
| | (a) | Derivative financial instrument not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. | |
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 | | $ | 414,758 | | | $ | — | |
Forward foreign currency exchange contracts | | | — | | | | 11,861 | |
Options | | | 310,279 | (a) | | | 83,384 | |
Swaps — centrally cleared | | | 29,074 | | | | — | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 754,111 | | | | 95,245 | |
| | | | | | | | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | (754,111 | ) | | | (83,384 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to an MNA | | $ | — | | | $ | 11,861 | |
| | | | | | | | |
| | (a) | Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments. | |
| | |
| 114 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Credit Allocation Income Trust (BTZ) |
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)(b) |
Deutsche Bank AG | | $ | 11,727 | | | $ | — | | | $ | — | | | $ | — | | | $ | 11,727 | |
Natwest Markets PLC | | | 134 | | | | — | | | | — | | | | — | | | | 134 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 11,861 | | | $ | — | | | $ | — | | | $ | — | | | $ | 11,861 | |
| | | | | | | | | | | | | | | | | | | | |
| | (a) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. | |
| | (b) | 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 | | $ | — | | | $ | 163,186,814 | | | $ | 1,500,150 | | | $ | 164,686,964 | |
Common Stocks | | | — | | | | 58,536 | | | | 54,657 | | | | 113,193 | |
Corporate Bonds | | | — | | | | 1,221,197,107 | | | | — | | | | 1,221,197,107 | |
Floating Rate Loan Interests | | | — | | | | 72,338,587 | | | | 1,872,641 | | | | 74,211,228 | |
Foreign Agency Obligations | | | — | | | | 26,495,196 | | | | — | | | | 26,495,196 | |
Investment Companies | | | 2,541,600 | | | | — | | | | — | | | | 2,541,600 | |
Municipal Bonds | | | — | | | | 10,611,973 | | | | — | | | | 10,611,973 | |
Preferred Securities | | | | | | | | | | | | | | | | |
Capital Trusts | | | — | | | | 120,897,306 | | | | — | | | | 120,897,306 | |
Preferred Stocks | | | 5,518,990 | | | | — | | | | 5,069,213 | | | | 10,588,203 | |
U.S. Government Sponsored Agency Securities | | | — | | | | 76,826,471 | | | | — | | | | 76,826,471 | |
Warrants | | | — | | | | — | | | | — | | | | — | |
Short-Term Securities | | | | | | | | | | | | | | | | |
Money Market Funds | | | 16,341,334 | | | | — | | | | — | | | | 16,341,334 | |
Options Purchased | | | | | | | | | | | | | | | | |
Equity Contracts | | | 202,217 | | | | — | | | | — | | | | 202,217 | |
Interest Rate Contracts | | | 108,062 | | | | — | | | | — | | | | 108,062 | |
Unfunded Floating Rate Loan Interests(a) | | | — | | | | — | | | | 120 | | | | 120 | |
| | | | | | | | | | | | | | | | |
| | $ | 24,712,203 | | | $ | 1,691,611,990 | | | $ | 8,496,781 | | | $ | 1,724,820,974 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(b) | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Interest Rate Contracts | | $ | 6,318,711 | | | $ | — | | | $ | — | | | $ | 6,318,711 | |
Liabilities | | | | | | | | | | | | | | | | |
Credit Contracts | | | — | | | | (2,854,920 | ) | | | — | | | | (2,854,920 | ) |
Equity Contracts | | | (49,259 | ) | | | — | | | | — | | | | (49,259 | ) |
Foreign Currency Exchange Contracts | | | — | | | | (11,861 | ) | | | — | | | | (11,861 | ) |
Interest Rate Contracts | | | (13,764,202 | ) | | | — | | | | — | | | | (13,764,202 | ) |
| | | | | | | | | | | | | | | | |
| | $ | (7,494,750 | ) | | $ | (2,866,781 | ) | | $ | — | | | $ | (10,361,531 | ) |
| | | | | | | | | | | | | | | | |
| | (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. | |
| | |
SCHEDULE OF INVESTMENTS | | 115 |
| | |
Schedule of Investments (continued) December 31, 2023 | | 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 $590,829,426 are categorized as Level 2 within the fair value hierarchy.
See notes to financial statements.
| | |
| 116 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments December 31, 2023 | | BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
Asset-Backed Securities | | | | | | | | | | | | |
Ballyrock CLO Ltd., Series 2023-25A, Class C, (3-mo. CME Term SOFR + 4.70%), 10.02%, 01/25/36(a) | | | USD | | | | 1,000 | | | $ | 992,438 | |
Golub Capital Partners CLO Ltd., Series 2023-66B, Class D, (3-mo. CME Term SOFR + 5.50%), 10.88%, 04/25/36(a)(b) | | | | | | | 1,000 | | | | 1,014,419 | |
Palmer Square CLO Ltd., Series 2023-2A, Class D, (3-mo. CME Term SOFR + 5.00%), 10.42%, 04/20/36(a)(b) | | | | | | | 1,000 | | | | 1,001,967 | |
Pikes Peak CLO Ltd., Series 2023-14, Class D, (3-mo. CME Term SOFR + 5.45%), 10.87%, 04/20/36(a)(b) | | | | | | | 1,000 | | | | 1,014,004 | |
Symphony CLO Ltd., Series 2023-40A, Class D, (3-mo. CME Term SOFR + 5.00%), 10.34%, 01/14/34(a) | | | | | | | 1,000 | | | | 999,711 | |
Whitebox CLO IV Ltd., Series 2023-4A, Class D, (3-mo. CME Term SOFR + 5.15%), 10.57%, 04/20/36(a)(b) | | | | | | | 1,000 | | | | 1,022,720 | |
| | | | | | | | | | | | |
| | | |
Total Asset-Backed Securities — 2.1%
(Cost: $6,000,000) | | | | | | | | | | | 6,045,259 | |
| | | | | | | | | | | | |
| | | |
| | | | | |
Shares | | | | |
| | | |
Common Stocks | | | | | | | | | | | | |
| | | |
| Automobile Components — 0.0% | | | | | | | | | |
Lear Corp. | | | | | | | 178 | | | | 25,135 | |
| | | | | | | | | | | | |
| | | |
| Construction & Engineering — 0.0% | | | | | | | | | |
McDermott International Ltd.(c) | | | | | | | 76,644 | | | | 6,898 | |
| | | | | | | | | | | | |
| | | |
| Consumer Finance — 0.1% | | | | | | | | | |
Travelport Finance Luxembourg SARL | | | | | | | 166 | | | | 389,634 | |
| | | | | | | | | | | | |
| | | |
| Energy Equipment & Services — 0.0% | | | | | | | | | |
Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $0)(c)(d)(e) | | | | | | | 3,738 | | | | — | |
| | | | | | | | | | | | |
| | | |
| Financial Services — 0.1% | | | | | | | | | |
NMG Parent LLC | | | | | | | 2,218 | | | | 221,800 | |
| | | | | | | | | | | | |
| | | |
| Health Care Providers & Services — 0.0% | | | | | | | | | |
Envision Healthcare Corp.(c)(d) | | | | | | | 19,653 | | | | 147,398 | |
| | | | | | | | | | | | |
| | | |
| Household Products — 0.0% | | | | | | | | | |
Berkline Benchcraft Equity LLC(c)(d) | | | | | | | 6,155 | | | | — | |
| | | | | | | | | | | | |
| | | |
| Industrial Conglomerates — 0.0% | | | | | | | | | |
Ameriforge Group, Inc.(c) | | | | | | | 832 | | | | 8 | |
| | | | | | | | | | | | |
| | | |
| Media — 0.1% | | | | | | | | | |
Learfield Communications LLC, (Acquired 09/06/23, Cost: $52,679)(c)(d)(e) | | | | | | | 4,192 | | | | 178,160 | |
| | | | | | | | | | | | |
| | | |
Total Common Stocks — 0.3%
(Cost: $2,558,058) | | | | | | | | | | | 969,033 | |
| | | | | | | | | | | | |
| | | |
| | | | | | Par
(000) | | | | |
| | | |
Corporate Bonds | | | | | | | | | | | | |
| | | |
| Automobile Components — 0.1% | | | | | | | | | |
Clarios Global LP, 6.75%, 05/15/25(b) | | | USD | | | | 275 | | | | 277,420 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Building Products — 0.1% | | | | | | | | | |
White Cap Buyer LLC, 6.88%, 10/15/28(b) | | | USD | | | | 155 | | | $ | 150,042 | |
| | | | | | | | | | | | |
| | | |
| Chemicals(b) — 0.1% | | | | | | | | | |
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28 | | | | | | | 32 | | | | 30,598 | |
WR Grace Holdings LLC, 5.63%, 08/15/29 | | | | | | | 409 | | | | 359,903 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 390,501 | |
| | | |
| Commercial Services & Supplies — 0.0% | | | | | | | | | |
Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 01/15/28(b) | | | | | | | 127 | | | | 126,259 | |
| | | | | | | | | | | | |
| | | |
| Construction & Engineering — 0.1% | | | | | | | | | |
Brand Industrial Services, Inc., 10.38%, 08/01/30 | | | | | | | 154 | | | | 162,860 | |
| | | | | | | | | | | | |
| | | |
| Construction Materials(b) — 0.1% | | | | | | | | | |
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29 | | | | | | | 73 | | | | 70,628 | |
Wesco Aircraft Holdings, Inc., 9.00%, 11/15/26(c)(f) | | | | | | | 926 | | | | 88,201 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 158,829 | |
| | | |
| Diversified REITs — 0.0% | | | | | | | | | |
VICI Properties LP/VICI Note Co., Inc., 4.63%, 06/15/25(b) . | | | | | | | 85 | | | | 83,491 | |
| | | | | | | | | | | | |
|
| Diversified Telecommunication Services — 0.2% | |
Level 3 New Money TSA, 11.00%, 11/15/29(g) | | | | | | | 304 | | | | 304,688 | |
Zayo Group Holdings, Inc., 6.13%, 03/01/28(b) | | | | | | | 155 | | | | 113,841 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 418,529 | |
| | | |
| Electric Utilities — 0.0% | | | | | | | | | |
Texas Competitive Electric Holdings, Series M, 5.03%, 10/10/19(c)(d)(f) | | | | | | | 1,050 | | | | — | |
| | | | | | | | | | | | |
| | | |
| Entertainment — 0.1% | | | | | | | | | |
Odeon Finco PLC, 12.75%, 11/01/27(b) | | | | | | | 374 | | | | 379,756 | |
| | | | | | | | | | | | |
| | | |
| Ground Transportation(b) — 0.1% | | | | | | | | | |
Uber Technologies, Inc. | | | | | | | | | | | | |
6.25%, 01/15/28 | | | | | | | 137 | | | | 137,344 | |
4.50%, 08/15/29 | | | | | | | 235 | | | | 224,182 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 361,526 | |
| | | |
| Health Care Equipment & Supplies — 0.1% | | | | | | | | | |
Medline Borrower LP, 5.25%, 10/01/29(b) | | | | | | | 237 | | | | 223,391 | |
| | | | | | | | | | | | |
| | | |
| Hotels, Restaurants & Leisure(b) — 0.2% | | | | | | | | | |
Caesars Entertainment, Inc., 4.63%, 10/15/29 | | | | | | | 240 | | | | 216,482 | |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., 6.75%, 01/15/30 | | | | | | | 395 | | | | 346,811 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 563,293 | |
| | | |
| Household Durables — 0.1% | | | | | | | | | |
SWF Escrow Issuer Corp., 6.50%, 10/01/29(b) | | | | | | | 465 | | | | 334,219 | |
| | | | | | | | | | | | |
| | | |
| Household Products — 0.0% | | | | | | | | | |
Berkline Benchcraft LLC, 0.00%, 05/03/12(c)(d)(f) | | | | | | | 400 | | | | — | |
| | | | | | | | | | | | |
| | | |
| Insurance — 0.1% | | | | | | | | | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co- Issuer, 6.75%, 10/15/27(b) | | | | | | | 220 | | | | 219,222 | |
| | | | | | | | | | | | |
| | |
SCHEDULE OF INVESTMENTS | | 117 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| IT Services — 0.0% | | | | | | | | | |
Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc., 8.00%, 06/15/29 | | | USD | | | | 118 | | | $ | 123,164 | |
| | | | | | | | | | | | |
| | | |
| Machinery(b) — 0.4% | | | | | | | | | |
Madison IAQ LLC, 5.88%, 06/30/29 | | | | | | | 742 | | | | 653,764 | |
Vertiv Group Corp., 4.13%, 11/15/28 | | | | | | | 556 | | | | 521,650 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,175,414 | |
| | | |
| Media — 0.1% | | | | | | | | | |
Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 09/15/26(b) | | | | | | | 353 | | | | 269,234 | |
| | | | | | | | | | | | |
|
| Real Estate Management & Development — 0.0% | |
Realogy Group LLC/Realogy Co.-Issuer Corp., 5.75%, 01/15/29(b) | | | | | | | 29 | | | | 22,538 | |
| | | | | | | | | | | | |
| | | |
| Software — 0.1% | | | | | | | | | |
Cloud Software Group, Inc., 9.00%, 09/30/29(b) | | | | | | | 379 | | | | 360,222 | |
| | | | | | | | | | | | |
| | | |
| Specialty Retail — 0.1% | | | | | | | | | |
eG Global Finance PLC, 12.00%, 11/30/28 | | | | | | | 285 | | | | 303,533 | |
| | | | | | | | | | | | |
|
| Wireless Telecommunication Services — 0.0% | |
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(d)(h) | | | | | | | 163 | | | | 26,858 | |
| | | | | | | | | | | | |
Total Corporate Bonds — 2.1%
(Cost: $7,020,749) | | | | | | | | | | | 6,130,301 | |
| | | | | | | | | | | | |
| | | |
Floating Rate Loan Interests(a) | | | | | | | | | | | | |
| | | |
| Aerospace & Defense — 5.1% | | | | | | | | | |
Barnes Group, Inc., Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.46%, 09/03/30 | | | | | | | 412 | | | | 413,142 | |
Bleriot U.S. Bidco, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.61%, 10/31/28 | | | | | | | 597 | | | | 599,297 | |
Cobham Ultra SeniorCo SARL, USD Term Loan B, (6-mo. CME Term SOFR at 0.50% Floor + 3.50%), 9.36%, 08/03/29 | | | | | | | 227 | | | | 223,448 | |
Cubic Corp. | | | | | | | | | | | | |
Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.90%, 05/25/28 | | | | | | | 1,803 | | | | 1,674,037 | |
Term Loan C, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.90%, 05/25/28 | | | | | | | 366 | | | | 339,631 | |
Dynasty Acquisition Co., Inc., 2023 Term Loan B1, (1-mo. CME Term SOFR + 4.00%), 9.36%, 08/24/28 | | | | | | | 2,363 | | | | 2,368,100 | |
NORDAM Group, Inc., Term Loan B, (1-mo. CME Term SOFR + 5.60%), 10.96%, 04/09/26 | | | | | | | 450 | | | | 410,916 | |
Peraton Corp. | | | | | | | | | | | | |
2nd Lien Term Loan B1, (3-mo. CME Term SOFR at 0.75% Floor + 7.75%), 13.22%, 02/01/29 | | | | | | | 1,044 | | | | 1,035,834 | |
Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.21%, 02/01/28 | | | | | | | 3,464 | | | | 3,468,253 | |
Setanta Aircraft Leasing DAC, Term Loan B, (3-mo. CME Term SOFR + 2.00%), 7.61%, 11/05/28 | | | | | | | 826 | | | | 828,065 | |
Standard Aero Ltd., 2023 Term Loan B2, (1-mo. CME Term SOFR + 4.00%), 9.36%, 08/24/28 | | | | | | | 1,013 | | | | 1,014,900 | |
TransDigm,Inc. | | | | | | | | | | | | |
2023 Term Loan I, (3-mo. CME Term SOFR + 3.25%), 8.60%, 08/24/28 | | | | | | | 1,837 | | | | 1,843,739 | |
2023 Term Loan J, (3-mo. CME Term SOFR at 1.00% Floor + 3.25%), 8.60%, 02/14/31 | | | | | | | 468 | | | | 469,755 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,689,117 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Air Freight & Logistics — 0.1% | | | | | | | | | |
Rand Parent LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.60%, 03/17/30 | | | USD | | | | 150 | | | $ | 149,081 | |
| | | | | | | | | | | | |
| | | |
| Automobile Components — 0.8% | | | | | | | | | |
Adient U.S. LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.72%, 04/10/28 | | | | | | | 408 | | | | 408,685 | |
Clarios Global LP, 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 3.75%), 9.11%, 05/06/30 | | | | | | | 1,386 | | | | 1,388,258 | |
Tenneco, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR + 5.00%), 10.47%, 11/17/28 | | | | | | | 691 | | | | 607,693 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,404,636 | |
| | | |
| Automobiles — 0.6% | | | | | | | | | |
Dealer Tire Financial LLC, Series B, Term Loan B2, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.86%, 12/14/27 | | | | | | | 1,552 | | | | 1,555,398 | |
RVR Dealership Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.21%, 02/08/28 | | | | | | | 148 | | | | 126,745 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,682,143 | |
| | | |
| Banks — 1.2% | | | | | | | | | |
Ascensus Holdings, Inc. 2021 | | | | | | | | | | | | |
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.50%), 12.18%, 08/02/29 | | | | | | | 1,778 | | | | 1,704,690 | |
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 08/02/28 | | | | | | | 1,686 | | | | 1,679,824 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,384,514 | |
| | | |
| Beverages — 1.4% | | | | | | | | | |
Naked Juice LLC | | | | | | | | | | | | |
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.45%, 01/24/30 | | | | | | | 1,157 | | | | 925,471 | |
Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.70%, 01/24/29 | | | | | | | 2,372 | | | | 2,288,472 | |
Triton Water Holdings, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.86%, 03/31/28 | | | | | | | 796 | | | | 787,945 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,001,888 | |
| | | |
| Broadline Retail — 1.5% | | | | | | | | | |
New SK Holdco Sub LLC, 2022 PIK Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.85%, 1.50% PIK), 13.71%, 06/30/27(h) | | | | | | | 1,513 | | | | 1,500,054 | |
PUG LLC | | | | | | | | | | | | |
2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.72%, 02/12/27(d) | | | | | | | 225 | | | | 222,577 | |
USD Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.97%, 02/12/27 | | | | | | | 1,974 | | | | 1,938,417 | |
Sally Holdings LLC, 2023 CovLite Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.61%, 02/28/30 | | | | | | | 389 | | | | 390,153 | |
Woof Holdings, Inc., 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.36%, 12/21/27 | | | | | | | 233 | | | | 187,738 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,238,939 | |
| | | |
| Building Products — 1.5% | | | | | | | | | |
AZZ, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.11%, 05/13/29 | | | | | | | 161 | | | | 161,423 | |
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.97%, 05/19/28 | | | | | | | 837 | | | | 840,052 | |
LBM Acquisition LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.21%, 12/17/27 | | | | | | | 311 | | | | 307,287 | |
SRS Distribution, Inc. | | | | | | | | | | | | |
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 06/02/28 | | | | | | | 1,694 | | | | 1,694,370 | |
| | |
| 118 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Building Products (continued) | | | | | | | | | |
SRS Distribution, Inc. (continued) | | | | | | | | | | | | |
2022 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.96%, 06/02/28 | | | USD | | | | 605 | | | $ | 603,951 | |
White Cap Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.11%, 10/19/27 | | | | | | | 747 | | | | 748,316 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,355,399 | |
| | | |
| Capital Markets — 2.5% | | | | | | | | | |
Aretec Group, Inc., 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.96%, 08/09/30 | | | | | | | 353 | | | | 352,350 | |
Axalta Coating Systems U.S. Holdings, Inc., 2023 USD Term Loan B4, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.85%, 12/20/29 | | | | | | | 808 | | | | 810,137 | |
Azalea Topco, Inc. | | | | | | | | | | | | |
2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.22%, 07/24/26 | | | | | | | 1,023 | | | | 1,007,543 | |
Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.97%, 07/24/26 | | | | | | | 591 | | | | 583,760 | |
Castlelake Aviation One DAC | | | | | | | | | | | | |
2023 Incremental Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.13%, 10/22/27 | | | | | | | 442 | | | | 441,818 | |
Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.40%, 10/22/26 | | | | | | | 1,348 | | | | 1,349,449 | |
Focus Financial Partners LLC | | | | | | | | | | | | |
2021 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.86%, 06/30/28 | | | | | | | 897 | | | | 896,102 | |
2023 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.86%, 06/30/28 | | | | | | | 482 | | | | 482,395 | |
ION Trading Finance Ltd., 2021 USD Term Loan, (3-mo. CME Term SOFR + 4.75%), 10.20%, 04/03/28 | | | | | | | 411 | | | | 411,195 | |
Osaic Holdings, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 4.50%), 9.86%, 08/17/28 | | | | | | | 858 | | | | 860,078 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,194,827 | |
| | | |
| Chemicals — 5.6% | | | | | | | | | |
Arc Falcon I, Inc., 2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 7.00%), 12.46%, 09/30/29(d) | | | | | | | 572 | | | | 513,370 | |
Aruba Investments Holdings LLC | | | | | | | | | | | | |
2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 7.75%), 13.21%, 11/24/28 | | | | | | | 885 | | | | 826,369 | |
2020 USD Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.46%, 11/24/27 | | | | | | | 466 | | | | 458,604 | |
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.32%, 08/27/26 | | | | | | | 796 | | | | 763,501 | |
Chemours Co., 2023 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 8.86%, 08/18/28 | | | | | | | 708 | | | | 706,100 | |
CPC Acquisition Corp., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.36%, 12/29/27 | | | | | | | 397 | | | | 318,433 | |
Derby Buyer LLC, USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 11/01/30(d) | | | | | | | 1,160 | | | | 1,160,000 | |
Discovery Purchaser Corp., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.38%), 9.77%, 10/04/29 | | | | | | | 588 | | | | 579,247 | |
Ecovyst Catalyst Technologies LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.98%, 06/09/28 | | | | | | | 1,056 | | | | 1,056,326 | |
Element Solutions, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.36%, 12/18/30(d) | | | | | | | 1,213 | | | | 1,215,845 | |
HB Fuller Co., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.61%, 02/15/30 | | | | | | | 179 | | | | 178,918 | |
Herens U.S. Holdco Corp., USD Term Loan B, (3-mo. CME Term SOFR + 3.93%), 9.37%, 07/03/28 | | | | | | | 656 | | | | 591,940 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Chemicals (continued) | | | | | | | | | |
INEOS U.S. Finance LLC, 2023 USD Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.86%, 02/18/30 | | | USD | | | | 414 | | | $ | 413,920 | |
LSF11 A5 Holdco LLC | | | | | | | | | | | | |
2023 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.71%, 10/15/28 | | | | | | | 177 | | | | 177,406 | |
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 10/15/28 | | | | | | | 1,111 | | | | 1,111,395 | |
Lummus Technology Holdings V LLC, 2021 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.97%, 06/30/27 | | | | | | | 142 | | | | 142,330 | |
Momentive Performance Materials Inc., 2023 Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.86%, 03/29/28 | | | | | | | 1,305 | | | | 1,258,937 | |
Nouryon USA LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.47%, 04/03/28 | | | | | | | 565 | | | | 566,748 | |
Olympus Water U.S. Holding Corp., 2023 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.35%, 11/09/28 | | | | | | | 560 | | | | 561,696 | |
OQ Chemicals Corp., 2017 USD Term Loan B2, (3-mo. CME Term SOFR + 3.60%), 9.01%, 10/14/24 | | | | | | | 968 | | | | 933,785 | |
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.47%, 03/16/27 | | | | | | | 641 | | | | 641,425 | |
Sparta U.S. HoldCo LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.71%, 08/02/28 | | | | | | | 1,004 | | | | 1,001,204 | |
WR Grace Holdings LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.36%, 09/22/28 | | | | | | | 854 | | | | 855,533 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,033,032 | |
| | | |
| Commercial Services & Supplies — 3.2% | | | | | | | | | |
Action Environmental Group, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.88%, 10/24/30(d) | | | | | | | 396 | | | | 396,974 | |
Albion Financing 3 SARL, USD Term Loan, (3-mo. CME Term SOFR + 5.25%), 10.92%, 08/17/26 | | | | | | | 1,206 | | | | 1,210,062 | |
Allied Universal Holdco LLC | | | | | | | | | | | | |
2021 USD Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.21%, 05/12/28 | | | | | | | 1,597 | | | | 1,588,127 | |
2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.11%, 05/12/28 | | | | | | | 205 | | | | 205,195 | |
Amentum Government Services Holdings LLC, 2022 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.36%, 02/15/29 | | | | | | | 481 | | | | 479,959 | |
PECF USS Intermediate Holding III Corp., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.89%, 12/15/28 | | | | | | | 492 | | | | 381,246 | |
Prime Security Services Borrower LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.84%, 10/14/30 | | | | | | | 445 | | | | 446,041 | |
Tempo Acquisition LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.11%, 08/31/28 | | | | | | | 2,932 | | | | 2,942,998 | |
TruGreen LP, 2020 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.46%, 11/02/27 | | | | | | | 1,007 | | | | 970,844 | |
Viad Corp., Initial Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.47%, 07/30/28 | | | | | | | 601 | | | | 596,950 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,218,396 | |
| | | |
| Communications Equipment — 0.7% | | | | | | | | | |
Ciena Corp., 2020 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.36%, 10/24/30 | | | | | | | 861 | | | | 862,775 | |
| | |
SCHEDULE OF INVESTMENTS | | 119 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Communications Equipment (continued) | | | | | | | | | |
Viasat, Inc. | | | | | | | | | | | | |
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.96%, 05/30/30 | | | USD | | | | 518 | | | $ | 506,701 | |
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.86%, 03/02/29 | | | | | | | 705 | | | | 689,907 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,059,383 | |
| | | |
| Construction & Engineering — 1.4% | | | | | | | | | |
Brand Industrial Services, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.50%), 10.88%, 08/01/30 | | | | | | | 2,056 | | | | 2,041,169 | |
Legence Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.96%, 12/16/27 | | | | | | | 136 | | | | 136,274 | |
Pike Corp., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.47%, 01/21/28 | | | | | | | 644 | | | | 645,525 | |
USIC Holdings, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 9.11%, 05/12/28 | | | | | | | 1,069 | | | | 1,058,851 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,881,819 | |
| | | |
| Construction Materials — 4.2% | | | | | | | | | |
ACProducts Holdings, Inc., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.86%, 05/17/28 | | | | | | | 1,004 | | | | 877,915 | |
American Builders & Contractors Supply Co., Inc., Series A, 2019 Term Loan, (1-mo. CME Term SOFR + 2.00%), 7.46%, 01/15/27 | | | | | | | 725 | | | | 726,660 | |
Chariot Buyer LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 11/03/28 | | | | | | | 1,500 | | | | 1,495,294 | |
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 04/12/28 | | | | | | | 156 | | | | 155,947 | |
CP Atlas Buyer, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.21%, 11/23/27 | | | | | | | 892 | | | | 875,864 | |
CP Iris Holdco I, Inc. | | | | | | | | | | | | |
2021 2nd Lien Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.46%, 10/01/29 | | | | | | | 645 | | | | 578,888 | |
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.21%, 10/02/28 | | | | | | | 146 | | | | 145,827 | |
CPG International LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.96%, 04/28/29 | | | | | | | 477 | | | | 477,201 | |
Emerald Debt Merger Sub LLC, Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.36%, 05/31/30 | | | | | | | 599 | | | | 600,224 | |
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1-mo. CME Term SOFR + 1.75%), 7.21%, 03/01/27 | | | | | | | 324 | | | | 324,028 | |
Jeld-Wen, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.72%, 07/28/28 | | | | | | | 500 | | | | 500,614 | |
New AMI I LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.36%, 03/08/29 | | | | | | | 517 | | | | 444,929 | |
Oscar AcquisitionCo. LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.95%, 04/29/29 | | | | | | | 675 | | | | 666,875 | |
Quikrete Holdings, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.22%, 03/19/29 | | | | | | | 383 | | | | 384,008 | |
Smyrna Ready Mix Concrete LLC, 2023 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.86%, 04/02/29 | | | | | | | 328 | | | | 328,645 | |
Standard Industries, Inc./New Jersey, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.72%, 09/22/28 | | | | | | | 978 | | | | 979,621 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Construction Materials (continued) | | | | | | | | | |
Summit Materials LLC, 2023 Incremental Term Loan B, 11/30/28(i) | | | USD | | | | 448 | | | $ | 449,402 | |
Wilsonart LLC, 2021 Term Loan E, (3-mo. CME Term SOFR at 1.00% Floor + 3.25%), 8.70%, 12/31/26 | | | | | | | 1,936 | | | | 1,938,576 | |
Zurn LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.47%, 10/04/28 | | | | | | | 68 | | | | 68,388 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,018,906 | |
| | | |
| Consumer Finance — 1.3% | | | | | | | | | |
GTCR W Merger Sub LLC, USD Term Loan B, 09/20/30(i) | | | | | | | 996 | | | | 999,735 | |
Trans Union LLC | | | | | | | | | | | | |
2019 Term Loan B5, (1-mo. CME Term SOFR + 1.75%), 7.21%, 11/16/26 | | | | | | | 1,130 | | | | 1,130,611 | |
2021 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.72%, 12/01/28 | | | | | | | 1,129 | | | | 1,131,725 | |
WEX, Inc., 2021 Term Loan, (1-mo. CME Term SOFR + 2.25%), 7.72%, 03/31/28 | | | | | | | 594 | | | | 595,517 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,857,588 | |
|
| Consumer Staples Distribution & Retail — 0.3% | |
U.S. Foods, Inc. | | | | | | | | | | | | |
2019 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.47%, 09/13/26 | | | | | | | 578 | | | | 578,386 | |
2021 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.97%, 11/22/28 | | | | | | | 373 | | | | 374,054 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 952,440 | |
| | | |
| Containers & Packaging — 2.3% | | | | | | | | | |
Charter Next Generation, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.22%, 12/01/27 | | | | | | | 2,303 | | | | 2,310,900 | |
LABL, Inc., 2021 USD 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.46%, 10/29/28 | | | | | | | 980 | | | | 937,791 | |
Mauser Packaging Solutions Holding Co., Term Loan B, (1-mo. CME Term SOFR + 4.00%), 9.34%, 08/14/26 | | | | | | | 771 | | | | 773,269 | |
Pactiv Evergreen Group Holdings Inc, 2020 Term Loan B2, (1-mo. CME Term SOFR + 3.25%), 8.72%, 02/05/26 | | | | | | | 139 | | | | 139,397 | |
Pregis TopCo Corp. | | | | | | | | | | | | |
1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 9.11%, 07/31/26 | | | | | | | 375 | | | | 375,581 | |
2021 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.22%, 07/31/26 | | | | | | | 428 | | | | 427,487 | |
Reynolds Consumer Products LLC, Term Loan, (1-mo. CME Term SOFR + 1.75%), 7.21%, 02/04/27 | | | | | | | 809 | | | | 810,310 | |
Trident TPI Holdings, Inc., 2021 Term Loan B3, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.61%, 09/15/28 | | | | | | | 785 | | | | 780,656 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,555,391 | |
| | | |
| Distributors — 0.2% | | | | | | | | | |
PAI Holdco, Inc., 2020 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.39%, 10/28/27 | | | | | | | 624 | | | | 580,243 | |
| | | | | | | | | | | | |
| | | |
| Diversified Consumer Services — 2.2% | | | | | | | | | |
Ascend Learning LLC | | | | | | | | | | | | |
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.75%), 11.21%, 12/10/29 | | | | | | | 413 | | | | 352,623 | |
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 12/11/28 | | | | | | | 586 | | | | 575,148 | |
| | |
| 120 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Diversified Consumer Services (continued) | | | | | | | | | |
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.72%, 11/24/28 | | | USD | | | | 566 | | | $ | 565,556 | |
KUEHG Corp., 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.35%, 06/12/30 | | | | | | | 861 | | | | 863,580 | |
Learning Care Group U.S. No. 2, Inc., 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.13%, 08/11/28 | | | | | | | 136 | | | | 136,271 | |
Sotheby’s | | | | | | | | | | | | |
2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 10.16%, 01/15/27 | | | | | | | 1,083 | | | | 1,067,926 | |
Series L, 2023 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 10.16%, 01/15/27 | | | | | | | 245 | | | | 241,427 | |
Spring Education Group, Inc., Term Loan, (3-mo. CME Term SOFR + 4.50%), 9.85%, 10/04/30 | | | | | | | 961 | | | | 963,448 | |
Wand NewCo 3, Inc., 2020 Term Loan, (1-mo. CME Term SOFR + 2.75%), 8.22%, 02/05/26 | | | | | | | 1,564 | | | | 1,567,345 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,333,324 | |
|
| Diversified Telecommunication Services — 2.0% | |
Cablevision Lightpath LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.73%, 11/30/27 | | | | | | | 142 | | | | 141,852 | |
Consolidated Communications, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.97%, 10/02/27 | | | | | | | 497 | | | | 460,690 | |
Level 3 Financing, Inc., 2023 TSA Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.21%, 03/01/27(d) | | | | | | | 1,192 | | | | 1,132,068 | |
Lumen Technologies, Inc., 2023 TSA Term Loan B, (3-mo. CME Term SOFR + 2.25%), 7.71%, 03/15/27(d) | | | | | | | 1,095 | | | | 744,796 | |
ORBCOMM, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.81%, 09/01/28 | | | | | | | 532 | | | | 503,774 | |
Zayo Group Holdings, Inc., USD Term Loan, (1-mo. CME Term SOFR + 3.00%), 8.47%, 03/09/27 | | | | | | | 3,114 | | | | 2,665,229 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,648,409 | |
|
| Electronic Equipment, Instruments & Components — 0.9% | |
Coherent Corp., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.22%, 07/02/29 | | | | | | | 949 | | | | 950,302 | |
MX Holdings U.S., Inc., 2023 USD Term Loan B1D, 07/31/28(i) | | | | | | | 120 | | | | 120,621 | |
Roper Industrial Products Investment Co., USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.35%, 11/22/29 | | | | | | | 1,538 | | | | 1,539,828 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,610,751 | |
|
| Energy Equipment & Services — 0.0% | |
Lealand Finance Co. BV | | | | | | | | | | | | |
2020 Make Whole Term Loan, (1-mo. CME Term SOFR + 3.00%), 8.47%, 06/28/24(d) | | | | | | | 25 | | | | 16,696 | |
2020 Take Back Term Loan, (1-mo. CME Term SOFR + 4.00%), 6.47%, 06/30/25 | | | | | | | 187 | | | | 73,243 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 89,939 | |
|
| Entertainment — 3.8% | |
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.47%, 04/22/26 | | | | | | | 919 | | | | 766,030 | |
Aristocrat Technologies, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.70%, 05/24/29 | | | | | | | 62 | | | | 62,013 | |
Cirque Du Soleil Holding USA Newco, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.60%, 03/08/30 | | | | | | | 554 | | | | 551,046 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Entertainment (continued) | |
Creative Artists Agency LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.86%, 11/27/28 | | | USD | | | | 1,279 | | | $ | 1,283,476 | |
Delta 2 Lux SARL, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.60%, 01/15/30 | | | | | | | 1,137 | | | | 1,139,138 | |
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.71%, 03/24/25 | | | | | | | 801 | | | | 797,796 | |
Live Nation Entertainment, Inc., Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 7.21%, 10/19/26 | | | | | | | 1,539 | | | | 1,535,016 | |
SMG U.S. Midco 2, Inc., 2020 Term Loan, (3-mo. CME Term SOFR + 2.50%), 8.14%, 01/23/25 | | | | | | | 930 | | | | 929,613 | |
UFC Holdings LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 2.75%), 8.40%, 04/29/26 | | | | | | | 547 | | | | 548,647 | |
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 2.75%), 8.22%, 05/18/25 | | | | | | | 1,622 | | | | 1,625,175 | |
WMG Acquisition Corp., 2021 Term Loan G, (1-mo. CME Term SOFR + 2.13%), 7.60%, 01/20/28 | | | | | | | 1,661 | | | | 1,661,121 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,899,071 | |
|
| Environmental, Maintenance & Security Service — 0.6% | |
Clean Harbors, Inc., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.37%, 10/08/28 | | | | | | | 425 | | | | 425,928 | |
Covanta Holding Corp. | | | | | | | | | | | | |
2021 Term Loan C, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.86%, 11/30/28 | | | | | | | 53 | | | | 52,732 | |
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.86%, 11/30/28 | | | | | | | 693 | | | | 691,657 | |
GFL Environmental, Inc., 2023 First Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.91%, 05/31/27 | | | | | | | 446 | | | | 447,518 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,617,835 | |
|
| Financial Services — 3.7% | |
Belron Finance U.S. LLC | | | | | | | | | | | | |
2018 Term Loan B, (3-mo. CME Term SOFR + 2.25%), 7.88%, 11/13/25 | | | | | | | 265 | | | | 265,050 | |
2019 USD Term Loan B3, (3-mo. CME Term SOFR + 2.25%), 7.90%, 10/30/26 | | | | | | | 648 | | | | 648,810 | |
2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.43%), 8.07%, 04/13/28 | | | | | | | 1,684 | | | | 1,684,718 | |
2023 USD Term Loan, 04/13/28(d)(i) | | | | | | | 974 | | | | 976,400 | |
Belron Luxembourg SARL, 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 8.00%, 04/18/29 | | | | | | | 287 | | | | 287,191 | |
Cogeco Financing 2 LP, 2023 Term Loan B, (3-mo. CME Term SOFR + 2.50%), 7.88%, 09/29/28 | | | | | | | 975 | | | | 957,009 | |
Deerfield Dakota Holding LLC | | | | | | | | | | | | |
2020 USD Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.75%), 9.10%, 04/09/27 | | | | | | | 3,753 | | | | 3,712,245 | |
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 6.75%), 12.36%, 04/07/28 | | | | | | | 1,114 | | | | 1,059,693 | |
FinCo I LLC, 2023 Term Loan, (3-mo. CME Term SOFR + 3.00%), 8.38%, 06/27/29 | | | | | | | 379 | | | | 380,301 | |
GIP Pilot Acquisition Partners LP, Term Loan, (3-mo. CME Term SOFR + 3.00%), 8.39%, 10/04/30 | | | | | | | 186 | | | | 185,846 | |
UPC Financing Partnership, 2021 USD Term Loan AX, (1-mo. CME Term SOFR + 3.00%), 8.48%, 01/31/29 | | | | | | | 473 | | | | 471,407 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,628,670 | |
|
| Food Products — 3.2% | |
8th Avenue Food & Provisions, Inc. | | | | | | | | | | | | |
2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 9.22%, 10/01/25 | | | | | | | 870 | | | | 832,383 | |
2021 Incremental Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.22%, 10/01/25 | | | | | | | 930 | | | | 892,648 | |
| | |
SCHEDULE OF INVESTMENTS | | 121 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Food Products (continued) | |
Aramark Services, Inc., 2023 Term Loan B6, (1-mo. CME Term SOFR + 2.50%), 7.97%, 06/22/30 | | | USD | | | | 466 | | | $ | 466,888 | |
Chobani LLC | | | | | | | | | | | | |
2020 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.97%, 10/25/27 | | | | | | | 1,963 | | | | 1,963,681 | |
2023 Incremental Term Loan, (3-mo. CME Term SOFR + 3.75%), 9.11%, 10/25/27 | | | | | | | 506 | | | | 506,420 | |
Froneri U.S., Inc., 2020 USD Term Loan, (1-mo. CME Term SOFR + 2.25%), 7.71%, 01/29/27 | | | | | | | 2,157 | | | | 2,157,560 | |
H-Food Holdings LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.69%), 9.27%, 05/23/25 | | | | | | | 307 | | | | 244,253 | |
Nomad Foods U.S. LLC, Term Loan B4, (6-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 11/13/29 | | | | | | | 618 | | | | 618,603 | |
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 9.14%, 06/08/28 | | | | | | | 1,238 | | | | 1,241,817 | |
UTZ Quality Foods LLC, 2021 Term Loan B, (3-mo. CME Term SOFR + 3.00%), 8.64%, 01/20/28 | | | | | | | 417 | | | | 417,243 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,341,496 | |
|
| Ground Transportation — 0.7% | |
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.10%, 04/06/28 | | | | | | | 353 | | | | 349,349 | |
Avis Budget Car Rental LLC, 2020 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.22%, 08/06/27 | | | | | | | 402 | | | | 400,635 | |
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3-mo. CME Term SOFR + 5.50%), 11.15%, 08/04/25 | | | | | | | 699 | | | | 614,991 | |
Uber Technologies, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.13%, 03/03/30 | | | | | | | 783 | | | | 784,846 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,149,821 | |
|
| Health Care Equipment & Supplies — 3.0% | |
Avantor Funding, Inc., 2021 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.71%, 11/08/27 | | | | | | | 679 | | | | 679,830 | |
Bausch & Lomb Corp., 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.36%, 09/29/28 | | | | | | | 579 | | | | 576,381 | |
Bausch and Lomb, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 05/10/27 | | | | | | | 1,388 | | | | 1,370,105 | |
Curia Global, Inc., 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.23%, 08/30/26 | | | | | | | 86 | | | | 76,589 | |
Femur Buyer, Inc., 1st Lien Term Loan, (3-mo. CME Term SOFR + 4.50%), 10.11%, 03/05/26 | | | | | | | 419 | | | | 376,160 | |
Insulet Corp., Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.72%, 05/04/28 | | | | | | | 467 | | | | 467,940 | |
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.40%, 10/19/27 | | | | | | | 911 | | | | 885,302 | |
Medline Borrower LP, USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 10/23/28 | | | | | | | 2,655 | | | | 2,665,571 | |
Sotera Health Holdings LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.39%, 12/11/26 | | | | | | | 1,564 | | | | 1,561,388 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,659,266 | |
|
| Health Care Providers & Services — 5.1% | |
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.47%, 02/22/28 | | | | | | | 1,168 | | | | 1,142,833 | |
CHG Healthcare Services, Inc. | | | | | | | | | | | | |
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 09/29/28 | | | | | | | 625 | | | | 624,691 | |
2023 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.14%, 09/29/28 | | | | | | | 133 | | | | 133,084 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Health Care Providers & Services (continued) | |
CNT Holdings I Corp., 2020 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.93%, 11/08/27 | | | USD | | | | 1,121 | | | $ | 1,122,432 | |
Electron BidCo, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 11/01/28 | | | | | | | 1,338 | | | | 1,339,408 | |
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.50%), 9.97%, 02/04/27 | | | | | | | 650 | | | | 648,091 | |
EyeCare Partners LLC | | | | | | | | | | | | |
2020 Term Loan, (3-mo. CME Term SOFR + 3.75%), 9.39%, 02/18/27 | | | | | | | 1,024 | | | | 495,454 | |
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.75%), 12.39%, 11/15/29 | | | | | | | 358 | | | | 95,845 | |
2021 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.39%, 11/15/28 | | | | | | | 327 | | | | 156,393 | |
Fortrea Holdings, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.11%, 07/01/30 | | | | | | | 258 | | | | 257,275 | |
ICON Luxembourg SARL, LUX Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.86%, 07/03/28 | | | | | | | 1,210 | | | | 1,213,711 | |
Ingenovis Health, Inc., Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.22%, 03/06/28 | | | | | | | 990 | | | | 956,339 | |
IQVIA, Inc., 2023 USD Term Loan B4, (3-mo. CME Term SOFR + 2.00%), 7.35%, 01/02/31 | | | | | | | 753 | | | | 755,154 | |
MED ParentCo LP, 1st Lien Term Loan, (1-mo. CME Term SOFR + 4.25%), 9.72%, 08/31/26 | | | | | | | 235 | | | | 232,826 | |
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.46%, 11/01/29 | | | | | | | 377 | | | | 316,209 | |
Phoenix Newco, Inc., 2021 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 11/15/28 | | | | | | | 1,873 | | | | 1,883,269 | |
Precision Medicine Group LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.45%, 11/18/27 | | | | | | | 752 | | | | 741,250 | |
Reverb Buyer, Inc., 2021 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 11/01/28 | | | | | | | 558 | | | | 519,425 | |
Star Parent, Inc., Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.35%, 09/27/30 | | | | | | | 429 | | | | 423,457 | |
Surgery Center Holdings, Inc., 2023 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.86%, 12/19/30 | | | | | | | 717 | | | | 719,389 | |
Vizient, Inc., 2022 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.71%, 05/16/29 | | | | | | | 206 | | | | 206,159 | |
WCG Intermediate Corp., 2019 Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.00%), 9.47%, 01/08/27 | | | | | | | 748 | | | | 748,657 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,731,351 | |
|
| Health Care Technology — 2.6% | |
AthenaHealth Group, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 02/15/29 | | | | | | | 1,831 | | | | 1,820,580 | |
Gainwell Acquisition Corp., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.45%, 10/01/27 | | | | | | | 1,889 | | | | 1,832,598 | |
Verscend Holding Corp. | | | | | | | | | | | | |
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.47%, 04/02/29 | | | | | | | 1,902 | | | | 1,902,000 | |
2021 Term Loan B, (1-mo. CME Term SOFR + 4.00%), 9.47%, 08/27/25 | | | | | | | 1,899 | | | | 1,900,555 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,455,733 | |
|
| Hotel & Resort REITs — 0.2% | |
RHP Hotel Properties LP, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.11%, 05/18/30 | | | | | | | 509 | | | | 509,300 | |
| | | | | | | | | | | | |
|
| Hotels, Restaurants & Leisure — 7.8% | |
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.22%, 02/02/26 | | | | | | | 1,112 | | | | 1,032,478 | |
| | |
| 122 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
|
| Hotels, Restaurants & Leisure (continued) | |
Alterra Mountain Co., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.21%, 05/31/30(d) | | | USD | | | | 94 | | | $ | 94,998 | |
Bally’s Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.93%, 10/02/28 | | | | | | | 592 | | | | 559,539 | |
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc., 2023 Term Loan B5, (1-mo. CME Term SOFR + 2.25%), 7.61%, 09/20/30 | | | | | | | 993 | | | | 992,532 | |
Caesars Entertainment, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 02/06/30 | | | | | | | 761 | | | | 762,321 | |
Carnival Corp., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.36%, 08/08/27 | | | | | | | 600 | | | | 600,483 | |
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1-mo. CME Term SOFR + 2.00%), 7.46%, 03/17/28 | | | | | | | 893 | | | | 892,293 | |
City Football Group Ltd., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 07/21/28 | | | | | | | 1,025 | | | | 1,018,264 | |
ECL Entertainment, LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.11%, 08/31/30 | | | | | | | 494 | | | | 494,133 | |
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3-mo. LIBOR US at 1.00% Floor + 3.00%), 8.61%, 03/08/24 | | | | | | | 2,073 | | | | 2,023,101 | |
Fertitta Entertainment LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.36%, 01/27/29 | | | | | | | 2,313 | | | | 2,312,192 | |
Flutter Financing BV | | | | | | | | | | | | |
2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.86%, 07/22/28 | | | | | | | 302 | | | | 302,582 | |
Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.70%, 11/25/30 | | | | | | | 2,002 | | | | 2,003,662 | |
Four Seasons Hotels Ltd., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.96%, 11/30/29 | | | | | | | 1,876 | | | | 1,880,725 | |
Hilton Domestic Operating Co., Inc., 2023 Term Loan B4, (1-mo. CME Term SOFR + 2.00%), 7.46%, 11/08/30 | | | | | | | 485 | | | | 486,474 | |
IRB Holding Corp., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.46%, 12/15/27 | | | | | | | 1,463 | | | | 1,464,376 | |
Light & Wonder International, Inc., 2022 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.46%, 04/14/29 | | | | | | | 667 | | | | 667,606 | |
Packers Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.71%, 03/09/28 | | | | | | | 554 | | | | 346,735 | |
Penn Entertainment, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.21%, 05/03/29 | | | | | | | 906 | | | | 906,897 | |
Playa Resorts Holding BV, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.61%, 01/05/29 | | | | | | | 293 | | | | 293,040 | |
SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 08/25/28 | | | | | | | 421 | | | | 421,012 | |
Station Casinos LLC, 2020 Term Loan B, (1-mo. CME Term SOFR at 0.25% Floor + 2.25%), 7.71%, 02/08/27 | | | | | | | 1,247 | | | | 1,247,916 | |
Whatabrands LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 08/03/28 | | | | | | | 1,381 | | | | 1,381,441 | |
Wyndham Hotels & Resorts, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.71%, 05/24/30 | | | | | | | 330 | | | | 330,582 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 22,515,382 | |
| | | |
| Household Durables — 1.8% | | | | | | | | | |
AI Aqua Merger Sub, Inc., 2023 Incremental Term Loan, 07/31/28(i) | | | | | | | 896 | | | | 899,082 | |
Hunter Douglas, Inc., USD Term Loan B1, (3-mo. CME Term SOFR + 3.50%), 8.88%, 02/26/29 | | | | | | | 1,472 | | | | 1,464,110 | |
Serta Simmons Bedding, LLC, 2023 New Term Loan, (3-mo. CME Term SOFR + 7.50%), 12.96%, 06/29/28 | | | | | | | 307 | | | | 291,354 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Household Durables (continued) | | | | | | | | | |
Stitch Aquisition Corp., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 6.75%), 12.36%, 07/28/28 | | | USD | | | | 663 | | | $ | 351,255 | |
Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.47%, 10/06/28 | | | | | | | 1,066 | | | | 954,057 | |
Weber-Stephen Products LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.72%, 10/30/27 | | | | | | | 1,543 | | | | 1,344,242 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,304,100 | |
| | | |
| Household Products — 0.1% | | | | | | | | | |
Kronos Acquisition Holdings, Inc., 2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.00%), 11.54%, 12/22/26 | | | | | | | 249 | | | | 249,077 | |
| | | | | | | | | | | | |
|
| Independent Power and Renewable Electricity Producers — 1.0% | |
Calpine Construction Finance Co. LP, 2023 Refinancing Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.61%, 07/31/30 | | | | | | | 755 | | | | 754,536 | |
Calpine Corp. | | | | | | | | | | | | |
2019 Term Loan B10, (1-mo. CME Term SOFR + 2.00%), 7.47%, 08/12/26 | | | | | | | 461 | | | | 461,646 | |
Term Loan B9, (1-mo. CME Term SOFR + 2.00%), 7.47%, 04/05/26 | | | | | | | 858 | | | | 858,675 | |
Constellation Renewables LLC, 2020 Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 2.50%), 8.15%, 12/15/27 | | | | | | | 728 | | | | 727,118 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,801,975 | |
| | | |
| Industrial Conglomerates — 0.1% | | | | | | | | | |
JFL-Tiger Acquisition Co., Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.40%, 10/17/30 | | | | | | | 363 | | | | 363,000 | |
| | | | | | | | | | | | |
| | | |
| Insurance — 6.5% | | | | | | | | | |
Alliant Holdings Intermediate LLC, 2023 Term Loan B6, 11/06/30(i) | | | | | | | 4,224 | | | | 4,237,759 | |
AmWINS Group, Inc. | | | | | | | | | | | | |
2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.25%), 7.72%, 02/19/28 | | | | | | | 1,176 | | | | 1,175,855 | |
2023 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 8.22%, 02/19/28 | | | | | | | 303 | | | | 303,461 | |
Amynta Agency Borrower, Inc., 2023 1st Lien Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.61%, 02/28/28 | | | | | | | 870 | | | | 869,384 | |
AssuredPartners, Inc. | | | | | | | | | | | | |
2020 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.97%, 02/12/27 | | | | | | | 617 | | | | 618,319 | |
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 02/12/27 | | | | | | | 596 | | | | 597,153 | |
2023 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.22%, 02/12/27 | | | | | | | 370 | | | | 370,599 | |
Baldwin Risk Partners, LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 10/14/27 | | | | | | | 268 | | | | 267,293 | |
HUB International Ltd. | | | | | | | | | | | | |
2022 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.37%, 11/10/29 | | | | | | | 284 | | | | 285,031 | |
2023 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.66%, 06/20/30 | | | | | | | 2,828 | | | | 2,838,318 | |
Jones Deslauriers Insurance Management, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.62%, 03/15/30 | | | | | | | 698 | | | | 700,038 | |
Ryan Specialty Group LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.46%, 09/01/27 | | | | | | | 832 | | | | 829,996 | |
| | |
SCHEDULE OF INVESTMENTS | | 123 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| Insurance (continued) | | | | | | | | | |
Sedgwick Claims Management Services, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.11%, 02/24/28 | | | USD | | | | 2,449 | | | $ | 2,454,908 | |
USI, Inc./New York | | | | | | | | | | | | |
2023 Acquisition Term Loan, (3-mo. CME Term SOFR + 3.25%), 8.60%, 09/27/30 | | | | | | | 319 | | | | 319,299 | |
2023 Refi Term Loan, (3-mo. CME Term SOFR + 3.25%), 8.61%, 09/27/30 | | | | | | | 366 | | | | 366,066 | |
2023 Term Loan B, 11/22/29(i) | | | | | | | 2,499 | | | | 2,501,012 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 18,734,491 | |
| | | |
| Interactive Media & Services — 0.9% | | | | | | | | | |
Acuris Finance U.S., Inc., 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.50%, 02/16/28 | | | | | | | 263 | | | | 262,794 | |
Adevinta ASA, USD Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.36%, 06/26/28 | | | | | | | 447 | | | | 446,919 | |
Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.47%, 10/30/26 | | | | | | | 1,161 | | | | 1,161,934 | |
Grab Holdings, Inc., Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 4.50%), 9.97%, 01/29/26 | | | | | | | 633 | | | | 634,763 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,506,410 | |
| | | |
| Internet Software & Services — 0.3% | | | | | | | | | |
Gen Digital, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.46%, 09/12/29 | | | | | | | 986 | | | | 985,937 | |
| | | | | | | | | | | | |
| | | |
| IT Services — 3.7% | | | | | | | | | |
Asurion LLC | | | | | | | | | | | | |
2020 Term Loan B8, (1-mo. CME Term SOFR + 3.25%), 8.71%, 12/23/26 | | | | | | | 181 | | | | 180,311 | |
2021 2nd Lien Term Loan B3, (1-mo. CME Term SOFR + 5.25%), 10.72%, 01/31/28 | | | | | | | 689 | | | | 654,839 | |
2021 Second Lien Term Loan B4, (1-mo. CME Term SOFR + 5.25%), 10.72%, 01/20/29 | | | | | | | 654 | | | | 614,963 | |
2023 Term Loan B11, (1-mo. CME Term SOFR + 4.25%), 9.71%, 08/19/28 | | | | | | | 998 | | | | 993,575 | |
Camelot Finance SA, Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.47%, 10/30/26 | | | | | | | 1,059 | | | | 1,059,102 | |
Central Parent, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.35%, 07/06/29 | | | | | | | 1,658 | | | | 1,664,207 | |
Dun & Bradstreet Corp. | | | | | | | | | | | | |
2022 Incremental Term Loan B2, (1-mo. CME Term SOFR + 3.00%), 8.36%, 01/18/29 | | | | | | | 435 | | | | 435,883 | |
2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.21%, 02/06/26 | | | | | | | 1,424 | | | | 1,426,186 | |
Go Daddy Operating Co. LLC | | | | | | | | | | | | |
2021 Term Loan B4, (1-mo. CME Term SOFR + 2.00%), 7.47%, 08/10/27 | | | | | | | 446 | | | | 446,788 | |
2022 Term Loan B5, (1-mo. CME Term SOFR + 2.50%), 7.86%, 11/09/29 | | | | | | | 1,080 | | | | 1,082,785 | |
Magenta Buyer LLC | | | | | | | | | | | | |
2021 USD 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.64%, 07/27/28 | | | | | | | 1,477 | | | | 1,037,501 | |
| | | | | | | | | | | | |
| Security | | | | | Par
(000) | | | Value | |
| | | |
| IT Services (continued) | | | | | | | | | |
Magenta Buyer LLC (continued) | | | | | | | | | | | | |
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 8.25%), 13.89%, 07/27/29 | | | USD | | | | 1,358 | | | $ | 516,221 | |
Venga Finance SARL, 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.40%, 06/28/29 | | | | | | | 397 | | | | 392,983 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,505,344 | |
| | | |
| Leisure Products — 0.4% | | | | | | | | | |
Fender Musical Instruments Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.46%, 12/01/28(d) | | | | | | | 296 | | | | 289,666 | |
Peloton Interactive, Inc., Term Loan, (6-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.48%, 05/25/27 | | | | | | | 210 | | | | 210,382 | |
Topgolf Callaway Brands Corp., Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.96%, 03/15/30 | | | | | | | 701 | | | | 699,976 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,200,024 | |
| | | |
| Machinery — 5.1% | | | | | | | | | |
Arcline FM Holdings LLC | | | | | | | | | | | | |
2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.36%, 06/23/28 | | | | | | | 933 | | | | 930,791 | |
2023 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 5.25%), 10.86%, 06/23/28(d) . | | | | | | | 277 | | | | 277,305 | |
Columbus McKinnon Corp./New York, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.39%, 05/14/28 | | | | | | | 216 | | | | 216,768 | |
Doosan Bobcat North America, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.95%, 04/20/29 | | | | | | | 163 | | | | 162,680 | |
Filtration Group Corp. | | | | | | | | | | | | |
2021 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.97%, 10/21/28 | | | | | | | 716 | | | | 716,751 | |
2023 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.72%, 10/21/28 | | | | | | | 1,448 | | | | 1,452,581 | |
Gardner Denver, Inc., 2020 USD Term Loan B2, (1-mo. CME Term SOFR + 1.75%), 7.21%, 03/01/27 | | | | | | | 218 | | | | 218,487 | |
Gates Global LLC, 2021 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.96%, 03/31/27 | | | | | | | 1,476 | | | | 1,477,279 | |
Generac Power Systems, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.19%, 12/13/26 | | | | | | | 200 | | | | 199,750 | |
Madison IAQ LLC, Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 06/21/28 | | | | | | | 2,265 | | | | 2,254,238 | |
SPX Flow, Inc., 2022 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.96%, 04/05/29 | | | | | | | 1,197 | | | | 1,200,054 | |
Titan Acquisition Ltd./Canada, 2018 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.47%, 03/28/25 | | | | | | | 2,364 | | | | 2,359,262 | |
Vertical U.S. Newco, Inc., Term Loan B, (6-mo. CME Term SOFR at 0.50% Floor + 3.50%), 9.38%, 07/30/27 | | | | | | | 1,665 | | | | 1,666,941 | |
Vertiv Group Corp., 2023 Term Loan B, 0.00%, 03/02/27 | | | | | | | 1,487 | | | | 1,487,386 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,620,273 | |
| | | |
| Media — 4.4% | | | | | | | | | |
A L Parent LLC, 2023 Take Back Term Loan, (1-mo. CME Term SOFR at 2.00% Floor + 5.50%), 10.86%, 06/30/28 | | | | | | | 296 | | | | 285,100 | |
ABG Intermediate Holdings 2 LLC, 2021 Term Loan B1, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 12/21/28 | | | | | | | 782 | | | | 784,518 | |
| | |
| 124 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| Media (continued) | | | | | | | | | |
Altice Financing SA | | | | | | | | | | | | |
2017 USD Term Loan B, (3-mo. LIBOR US + 2.75%), 8.41%, 07/15/25 | | | USD | | | | 681 | | | $ | 673,861 | |
USD 2017 1st Lien Term Loan, (3-mo. LIBOR US + 2.75%), 8.41%, 01/31/26 | | | | | | | 940 | | | | 927,355 | |
AVSC Holding Corp. | | | | | | | | | | | | |
2020 Term Loan B1, (1-mo. CME Term SOFR at 1.00% Floor + 3.25%, 0.25% PIK), 9.21%, 03/03/25(h) | | | | | | | 614 | | | | 600,381 | |
2020 Term Loan B3, (3-mo. LIBOR US + 5.00%), 5.00%, 10/15/26 | | | | | | | 609 | | | | 618,465 | |
Charter Communications Operating, LLC, 2023 Term Loan B4, (1-mo. CME Term SOFR + 2.00%), 7.36%, 12/07/30 | | | | | | | 859 | | | | 855,204 | |
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.14%, 08/21/26 | | | | | | | 779 | | | | 769,969 | |
CMG Media Corp., 2021 Term Loan, (3-mo. CME Term SOFR + 3.50%), 8.95%, 12/17/26 | | | | | | | — | (j) | | | 131 | |
CSC Holdings LLC, 2019 Term Loan B5, (1-mo. LIBOR US + 2.50%), 7.98%, 04/15/27 | | | | | | | 888 | | | | 839,457 | |
DirecTV Financing LLC, Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.65%, 08/02/27 | | | | | | | 1,316 | | | | 1,313,989 | |
NEP Group, Inc., 2018 1st Lien Term Loan, (3-mo. CME Term SOFR + 3.25%), 8.72%, 10/20/25 | | | | | | | 861 | | | | 810,740 | |
Radiate Holdco LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.72%, 09/25/26 | | | | | | | 1,612 | | | | 1,284,853 | |
Sinclair Television Group, Inc., 2022 Term Loan B4, (1-mo. CME Term SOFR + 3.75%), 9.21%, 04/21/29 | | | | | | | 623 | | | | 505,863 | |
Virgin Media Bristol LLC | | | | | | | | | | | | |
2020 USD Term Loan Q, (1-mo. CME Term SOFR + 3.25%), 8.73%, 01/31/29 | | | | | | | 278 | | | | 277,083 | |
USD Term Loan N, (1-mo. CME Term SOFR + 2.50%), 7.98%, 01/31/28 | | | | | | | 609 | | | | 606,001 | |
Voyage Digital NZ, USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.37%, 05/11/29(d) | | | | | | | 588 | | | | 586,266 | |
Ziggo Financing Partnership, USD Term Loan I, (1-mo. CME Term SOFR + 2.50%), 7.98%, 04/30/28 | | | | | | | 1,003 | | | | 999,058 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,738,294 | |
| | | |
| Oil, Gas & Consumable Fuels — 2.5% | | | | | | | | | |
Freeport LNG Investments LLLP, Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.18%, 12/21/28 | | | | | | | 2,254 | | | | 2,249,701 | |
M6 ETX Holdings II Midco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.96%, 09/19/29 | | | | | | | 163 | | | | 163,091 | |
Medallion Midland Acquisition LP, 2023 Term Loan, 10/18/28(i) | | | | | | | 1,326 | | | | 1,329,793 | |
Murphy USA, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 1.75%), 7.21%, 01/31/28 | | | | | | | 390 | | | | 390,975 | |
New Fortress Energy, Inc., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.39%, 10/27/28 | | | | | | | 1,093 | | | | 1,073,872 | |
Oryx Midstream Services Permian Basin LLC, 2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 10/05/28 | | | | | | | 1,889 | | | | 1,891,773 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,099,205 | |
| | | |
| Paper & Forest Products — 0.4% | | | | | | | | | |
Asplundh Tree Expert LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.21%, 09/07/27 | | | | | | | 1,198 | | | | 1,198,520 | |
| | | |
| Passenger Airlines — 2.9% | | | | | | | | | |
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.43%, 04/20/28 | | | | | | | 908 | | | | 931,839 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| Passenger Airlines (continued) | | | | | | | | | |
Air Canada, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 9.14%, 08/11/28 | | | USD | | | | 1,242 | | | $ | 1,244,121 | |
American Airlines, Inc. | | | | | | | | | | | | |
2023 1st Lien Term Loan, (3-mo. CME Term SOFR + 3.50%), 8.87%, 06/04/29 | | | | | | | 993 | | | | 994,241 | |
Series AA, 2017 1st Lien Term Loan, (3-mo. CME Term SOFR + 1.75%), 7.11%, 01/29/27 | | | | | | | 167 | | | | 165,611 | |
Series AA, 2023 Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.60%, 02/15/28 | | | | | | | 1,470 | | | | 1,467,210 | |
Mileage Plus Holdings LLC, 2020 Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 5.25%), 10.77%, 06/21/27 | | | | | | | 1,390 | | | | 1,435,143 | |
United Airlines, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.22%, 04/21/28 | | | | | | | 1,790 | | | | 1,793,532 | |
WestJet Airlines Ltd., Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.46%, 12/11/26 | | | | | | | 448 | | | | 446,322 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,478,019 | |
| | | |
| Personal Care Products — 1.3% | | | | | | | | | |
Sunshine Luxembourg VII SARL, 2021 USD Term Loan B3, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.95%, 10/01/26 | | | | | | | 3,700 | | | | 3,716,315 | |
| | | | | | | | | | | | |
| | | |
| Pharmaceuticals — 2.0% | | | | | | | | | |
Amneal Pharmaceuticals LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 5.50%), 10.86%, 05/04/28 | | | | | | | 741 | | | | 727,560 | |
Bausch Health Americas, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.71%, 02/01/27 | | | | | | | 665 | | | | 539,850 | |
Elanco Animal Health, Inc., Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.19%, 08/01/27 | | | | | | | 925 | | | | 918,933 | |
Jazz Financing Lux SARL, USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 05/05/28 | | | | | | | 1,237 | | | | 1,243,088 | |
Option Care Health, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.22%, 10/27/28 | | | | | | | 428 | | | | 429,300 | |
Organon & Co., USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 06/02/28 | | | | | | | 866 | | | | 866,691 | |
Perrigo Investments LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.71%, 04/20/29 | | | | | | | 574 | | | | 571,397 | |
PRA Health Sciences, Inc., US Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.86%, 07/03/28 | | | | | | | 302 | | | | 302,398 | |
Prestige Brands, Inc., 2021 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.47%, 07/03/28 | | | | | | | 61 | | | | 60,650 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,659,867 | |
| | | |
| Professional Services — 2.9% | | | | | | | | | |
AlixPartners LLP, 2021 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.22%, 02/04/28 | | | | | | | 1,218 | | | | 1,220,199 | |
ASGN, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.61%, 08/30/30 | | | | | | | 244 | | | | 245,243 | |
CoreLogic, Inc. | | | | | | | | | | | | |
2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.50%), 11.97%, 06/04/29 | | | | | | | 673 | | | | 599,750 | |
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 06/02/28 | | | | | | | 2,058 | | | | 1,997,547 | |
Element Materials Technology Group U.S. Holdings, Inc. | | | | | | | | | | | | |
2022 USD Delayed Draw Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.70%, 07/06/29 | | | | | | | 371 | | | | 367,032 | |
2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.70%, 07/06/29 | | | | | | | 804 | | | | 795,237 | |
| | |
SCHEDULE OF INVESTMENTS | | 125 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| Professional Services (continued) | | | | | | | | | |
Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 7.21%, 04/28/28 | | | USD | | | | 1,239 | | | $ | 1,238,880 | |
Galaxy U.S. Opco, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.13%, 04/29/29(d) | | | | | | | 1,122 | | | | 919,867 | |
VS Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.71%, 02/28/27 | | | | | | | 1,010 | | | | 1,010,696 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,394,451 | |
| |
| Real Estate Management & Development — 0.5% | | | | |
Cushman & Wakefield U.S. Borrower LLC | | | | | | | | | | | | |
2020 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.22%, 08/21/25 | | | | | | | 57 | | | | 56,563 | |
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 01/31/30 | | | | | | | 731 | | | | 723,841 | |
2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.36%, 01/31/30(d) | | | | | | | 540 | | | | 538,650 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,319,054 | |
| |
| Semiconductors & Semiconductor Equipment — 0.4% | | | | |
MKS Instruments, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 08/17/29 | | | | | | | 831 | | | | 831,781 | |
Synaptics, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.87%, 12/02/28 | | | | | | | 382 | | | | 379,695 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,211,476 | |
| | | |
| Software — 13.3% | | | | | | | | | |
Applied Systems, Inc. | | | | | | | | | | | | |
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 6.75%), 12.10%, 09/17/27 | | | | | | | 439 | | | | 440,883 | |
2022 Extended 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.85%, 09/18/26 | | | | | | | 467 | | | | 468,679 | |
Barracuda Networks, Inc., 2022 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.88%, 08/15/29 | | | | | | | 612 | | | | 596,462 | |
CCC Intelligent Solutions, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.72%, 09/21/28 | | | | | | | 1,027 | | | | 1,026,403 | |
Cloud Software Group, Inc., 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.95%, 03/30/29 | | | | | | | 3,338 | | | | 3,254,559 | |
Cloudera, Inc. | | | | | | | | | | | | |
2021 Second Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.46%, 10/08/29 | | | | | | | 482 | | | | 459,505 | |
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.21%, 10/08/28 | | | | | | | 524 | | | | 518,379 | |
Cornerstone OnDemand, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.22%, 10/16/28 | | | | | | | 380 | | | | 366,980 | |
Delta TopCo, Inc., 2020 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.62%, 12/01/28 | | | | | | | 237 | | | | 236,941 | |
E2open LLC, 2020 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.97%, 02/04/28 | | | | | | | 174 | | | | 173,953 | |
Genesys Cloud Services Holdings II LLC, 2020 USD Term Loan B4, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.47%, 12/01/27 | | | | | | | 2,004 | | | | 2,010,882 | |
Helios Software Holdings, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.70%, 07/18/30 | | | | | | | 800 | | | | 798,000 | |
Informatica LLC, 2021 USD Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.22%, 10/27/28 | | | | | | | 1,877 | | | | 1,879,059 | |
McAfee Corp., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.19%, 03/01/29 | | | | | | | 2,122 | | | | 2,107,114 | |
| | | | | | | | | | | | |
| Security | | | | | Par (000) | | | Value | |
| | | |
| Software (continued) | | | | | | | | | |
MH Sub I LLC | | | | | | | | | | | | |
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.25%), 11.61%, 02/23/29 | | | USD | | | | 1,249 | | | $ | 1,159,148 | |
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.61%, 05/03/28 | | | | | | | 3,187 | | | | 3,128,337 | |
Planview Parent, Inc., 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.70%, 12/18/28 | | | | | | | 572 | | | | 519,805 | |
Playtika Holding Corp., 2021 Term Loan, (1-mo. CME Term SOFR + 2.75%), 8.22%, 03/13/28 | | | | | | | 1,048 | | | | 1,045,490 | |
Polaris Newco LLC, USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.47%, 06/02/28 | | | | | | | 2,894 | | | | 2,851,015 | |
Proofpoint, Inc. | | | | | | | | | | | | |
1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 08/31/28 | | | | | | | 1,711 | | | | 1,708,989 | |
2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.25%), 11.72%, 08/31/29 | | | | | | | 895 | | | | 901,713 | |
RealPage, Inc. | | | | | | | | | | | | |
1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.47%, 04/24/28 | | | | | | | 3,832 | | | | 3,796,721 | |
2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.50%), 11.97%, 04/23/29 | | | | | | | 1,695 | | | | 1,690,886 | |
Severin Acquisition LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.25%), 8.63%, 08/01/27 | | | | | | | 797 | | | | 799,770 | |
Sophia LP | | | | | | | | | | | | |
2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 8.00%), 13.46%, 10/09/28 | | | | | | | 1,708 | | | | 1,710,135 | |
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.96%, 10/07/27 | | | | | | | 1,334 | | | | 1,335,144 | |
UKG, Inc. | | | | | | | | | | | | |
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.76%, 05/03/27 | | | | | | | 865 | | | | 865,240 | |
Term Loan B, (3-mo. CME Term SOFR + 3.75%), 9.23%, 05/04/26 | | | | | | | 996 | | | | 997,329 | |
Veritas U.S., Inc., 2021 USD Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 5.00%), 10.47%, 09/01/25 | | | | | | | 1,429 | | | | 1,183,725 | |
Voyage Australia Pty. Ltd., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.50%), 9.18%, 07/20/28 | | | | | | | 145 | | | | 144,369 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 38,175,615 | |
| | | |
| Specialty Retail — 2.3% | | | | | | | | | |
CD&R Firefly Bidco Ltd., 2023 GBP Term Loan B5, (3-mo. SONIA + 6.00%), 11.29%, 06/21/28 | | | GBP | | | | 1,000 | | | | 1,245,180 | |
EG America LLC, 2021 Term Loan, (1-mo. SOFR OIS CMPD + 4.25%), 9.99%, 03/31/26 | | | USD | | | | 174 | | | | 173,000 | |
Mavis Tire Express Services Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.47%, 05/04/28 | | | | | | | 1,829 | | | | 1,830,143 | |
PetSmart LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.21%, 02/11/28 | | | | | | | 2,249 | | | | 2,221,162 | |
Pilot Travel Centers LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.46%, 08/04/28 | | | | | | | 698 | | | | 699,459 | |
Restoration Hardware, Inc., 2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 10/20/28 | | | | | | | 528 | | | | 514,444 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,683,388 | |
| | | |
| Textiles, Apparel & Luxury Goods — 0.4% | | | | | | | | | |
Crocs, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.50%, 02/20/29 | | | | | | | 416 | | | | 417,456 | |
| | |
| 126 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Floating Rate Income Trust (BGT) (Percentages shown are based on Net Assets) |
| | | | | | | | |
| Security | | Par
(000) | | | Value | |
|
| Textiles, Apparel & Luxury Goods (continued) | |
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.72%, 11/24/28(d) | | USD | 530 | | | $ | 526,853 | |
Hanesbrands, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.11%, 03/08/30(d) | | | 319 | | | | 317,796 | |
| | | | | | | | |
| | |
| | | | | | | 1,262,105 | |
| | |
| Trading Companies & Distributors — 1.5% | | | | | | |
Core & Main LP, 2021 Term Loan B, (2-mo. CME Term SOFR + 2.50%), 7.99%, 07/27/28 | | | 2,502 | | | | 2,498,785 | |
TMK Hawk Parent Corp.(d) | | | | | | | | |
2020 Super Priority First Out Term Loan A, (3-mo. CME Term SOFR at 1.00% Floor + 7.50%), 16.39%, 05/30/24 | | | 601 | | | | 595,449 | |
2020 Super Priority Second Out Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.14%, 08/28/24 | | | 1,876 | | | | 1,163,171 | |
| | | | | | | | |
| | |
| | | | | | | 4,257,405 | |
| | |
| Transportation Infrastructure — 0.6% | | | | | | |
Apple Bidco LLC | | | | | | | | |
2021 Term Loan, (1-week CME Term SOFR at 0.50% Floor + 2.75%), 8.21%, 09/22/28 | | | 794 | | | | 792,818 | |
2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.86%, 09/22/28 | | | 455 | | | | 455,892 | |
OLA Netherlands BV, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.25%), 11.71%, 12/15/26 | | | 518 | | | | 514,234 | |
| | | | | | | | |
| | |
| | | | | | | 1,762,944 | |
|
| Wireless Telecommunication Services — 3.4% | |
Altice France SA/France, 2023 USD Term Loan B14, (3-mo. CME Term SOFR + 5.50%), 10.89%, 08/15/28 | | | 1,165 | | | | 1,043,048 | |
Connect Finco SARL, 2021 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.86%, 12/11/26 | | | 4,026 | | | | 4,022,936 | |
Digicel International Finance Ltd. | | | | | | | | |
2017 Term Loan B, (3-mo. LIBOR US + 2.25%), 10.75%, 05/28/24 | | | 500 | | | | 463,303 | |
2017 Term Loan B1, 05/27/24(i) | | | 22 | | | | 20,133 | |
GOGO Intermediate Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.22%, 04/30/28 | | | 572 | | | | 573,398 | |
Iridium Satellite LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.86%, 09/20/30 | | | 1,587 | | | | 1,589,591 | |
SBA Senior Finance II LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.21%, 04/11/25 | | | 2,032 | | | | 2,033,595 | |
| | | | | | | | |
| | | | | | | 9,746,004 | |
| | | | | | | | |
| |
Total Floating Rate Loan Interests — 128.4%
(Cost: $374,349,512) | | | | 369,421,383 | |
| | | | | | | | |
| | |
| | | Shares | | | | |
| | |
Investment Companies | | | | | | | | |
| | |
| Equity Funds — 0.1% | | | | | | |
Janus Henderson AAA CLO ETF | | | 5,000 | | | | 251,500 | |
| | | | | | | | |
| | |
| Fixed Income Funds — 1.1% | | | | | | |
Invesco Senior Loan ETF | | | 70,400 | | | | 1,491,072 | |
iShares 0-5 Year High Yield Corporate Bond ETF(k) | | | 5,000 | | | | 211,100 | |
iShares iBoxx $ High Yield Corporate Bond ETF(k) | | | 20,000 | | | | 1,547,800 | |
| | | | | | | | |
| | | | | | | 3,249,972 | |
| | | | | | | | |
| | |
Total Investment Companies — 1.2%
(Cost: $3,460,020) | | | | | | | 3,501,472 | |
| | | | | | | | |
| | | | | | | | |
| Security | | Benefical
Interest (000) | | | Value | |
| | |
Other Interests | | | | | | | | |
| | |
| Capital Markets — 0.0% | | | | | | |
Millennium Lender Claim Trust(d)(l) | | | USD991 | | | $ | — | |
| | | | | | | | |
| | |
| Industrial Conglomerates — 0.0% | | | | | | |
Millennium Corp. Claim(d)(l) | | | 930 | | | | — | |
| | | | | | | | |
| | |
Total Other Interests — 0.0%
(Cost: $ — ) | | | | | | | — | |
| | | | | | | | |
| | |
| | | Shares | | | | |
| | |
Warrants | | | | | | | | |
| | |
| Consumer Discretionary — 0.0% | | | | | | |
Service King (Carnelian Point), (Exercisable 01/14/23, 1 Share for 1 Warrant, Expires 06/30/27, Strike Price USD 10.00)(c) | | | 1,675 | | | | — | |
| | | | | | | | |
|
| Oil, Gas & Consumable Fuels — 0.0% | |
California Resources Corp., (Issued/Exercisable 11/03/20, 1 Share for 1 Warrant, Expires 10/27/24, Strike Price USD 36.00)(c) | | | 617 | | | | 11,957 | |
| | | | | | | | |
| | |
Total Warrants — 0.0%
(Cost: $ — ) | | | | | | | 11,957 | |
| | | | | | | | |
| | |
Total Investments — 134.1%
(Cost: $393,388,339) | | | | | | | 386,079,405 | |
| |
Liabilities in Excess of Other Assets — (34.1)% | | | | (98,258,741 | ) |
| | | | | | | | |
| | |
Net Assets — 100.0% | | | | | | $ | 287,820,664 | |
| | | | | | | | |
| (a) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
| (b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| (c) | Non-income producing security. |
| (d) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| (e) | Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $178,160, representing 0.1% of its net assets as of period end, and an original cost of $52,679. |
| (f) | Issuer filed for bankruptcy and/or is in default. |
| (g) | When-issued security. |
| (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) | 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. |
| (j) | Rounds to less than 1,000. (k) Affiliate of the Trust. |
| (l) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
| | |
SCHEDULE OF INVESTMENTS | | 127 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Floating Rate Income Trust (BGT) |
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, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Affiliated Issuer | | Value at
12/31/22 | | | Purchases
at Cost | | | Proceeds
from Sale | | | Net
Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value at
12/31/23 | | | Shares
Held at
12/31/23 | | | Income | | | Capital Gain
Distributions
from
Underlying
Funds | |
BlackRock Liquidity Funds, T-Fund, Institutional Class(a) | | $ | — | | | $ | 30,196,180 | | | $ | (30,196,180 | ) | | $ | — | | | $ | — | | | $ | — | | | | — | | | $ | 9,506 | | | $ | — | |
iShares 0-5 Year High Yield Corporate Bond ETF | | | — | | | | 204,381 | | | | — | | | | — | | | | 6,719 | | | | 211,100 | | | | 5,000 | | | | 6,832 | | | | — | |
iShares iBoxx $ High Yield Corporate Bond ETF | | | 368,150 | | | | 4,935,440 | | | | (3,775,753 | ) | | | (21,307 | ) | | | 41,270 | | | | 1,547,800 | | | | 20,000 | | | | 167,728 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | (21,307 | ) | | $ | 47,989 | | | $ | 1,758,900 | | | | | | | $ | 184,066 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | As of period end, the entity is no longer held. | |
Derivative Financial Instruments Outstanding as of Period End
Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | |
| Currency Purchased | | | Currency Sold | | Counterparty | | Settlement Date | | Unrealized
Appreciation
(Depreciation) |
USD | | | 1,034,220 | | | GBP 816,000 | | State Street Bank and Trust Co. | | 03/20/24 | | $ (6,288) |
| | | | | | | | | | | | |
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.39.V3 | | | 5.00 | % | | Quarterly | | | 12/20/27 | | | B | | USD 2,729 | | $ | 171,374 | | | $ | (34,492 | ) | | $ | 205,866 | |
CDX.NA.HY.40.V2 | | | 5.00 | | | Quarterly | | | 06/20/28 | | | B | | USD 2,733 | | | 172,674 | | | | 67,298 | | | | 105,376 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 344,048 | | | $ | 32,806 | | | $ | 311,242 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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 | | | Notional
Amount
(000) | | Value | | | Upfront Premium Paid
(Received) | | | Unrealized Appreciation
(Depreciation) | |
Rate/
Reference | | Frequency | | Rate/Reference | | Frequency |
1-Day SOFR,
5.38% | | Quarterly | | Markit iBoxx
USD Liquid Leveraged Loan Index | | At Termination | | JPMorgan Chase Bank N.A. | | | N/A | | | | 03/20/24 | | | USD 1,567 | | $ | 22,774 | | | $ | (17,671 | ) | | $ | 40,445 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Swaps
| | | | | | | | | | | | | | | | |
| Description | | Swap
Premiums
Paid | | | Swap
Premiums
Received | | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
Centrally Cleared Swaps(a) | | $ | 67,298 | | | $ | (34,492 | ) | | $ | 311,242 | | | $ | — | |
OTC Swaps | | | — | | | | (17,671 | ) | | | 40,445 | | | | — | |
| (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. | |
| | |
| 128 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | 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) | | $ | — | | | $ | 311,242 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 311,242 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on OTC swaps; Swap premiums paid | | | — | | | | — | | | | — | | | | — | | | | 40,445 | | | | — | | | | 40,445 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 311,242 | | | $ | — | | | $ | — | | | $ | 40,445 | | | $ | — | | | $ | 351,687 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward foreign currency exchange contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency exchange contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 6,288 | | | $ | — | | | $ | — | | | $ | 6,288 | |
Swaps — OTC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on OTC swaps; Swap premiums received | | | — | | | | — | | | | — | | | | — | | | | 17,671 | | | | — | | | | 17,671 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | — | | | $ | 6,288 | | | $ | 17,671 | | | $ | — | | | $ | 23,959 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (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, 2023, 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 | | $ | — | | | $ | — | | | $ | — | | | $ | (54,157 | ) | | $ | — | | | $ | — | | | $ | (54,157 | ) |
Swaps | | | — | | | | 145,379 | | | | — | | | | — | | | | (21,201 | ) | | | — | | | | 124,178 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 145,379 | | | $ | — | | | $ | (54,157 | ) | | $ | (21,201 | ) | | $ | — | | | $ | 70,021 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward foreign currency exchange contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (23,048 | ) | | $ | — | | | $ | — | | | $ | (23,048 | ) |
Swaps | | | — | | | | 267,770 | | | | — | | | | — | | | | 40,445 | | | | — | | | | 308,215 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 267,770 | | | $ | — | | | $ | (23,048 | ) | | $ | 40,445 | | | $ | — | | | $ | 285,167 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| | | | |
Forward foreign currency exchange contracts: | | | | |
Average amounts purchased — in USD | | $ | 1,650,989 | |
Credit default swaps: | | | | |
Average notional value — sell protection | | $ | 4,130,250 | |
Total return swaps: | | | | |
Average notional value | | $ | 391,763 | |
For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
| | |
SCHEDULE OF INVESTMENTS | | 129 |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Floating Rate Income Trust (BGT) |
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 | | $ | — | | | $ | 6,288 | |
Swaps — centrally cleared | | | — | | | | 1,742 | |
Swaps — OTC(a) | | | 40,445 | | | | 17,671 | |
| | | | | | | | |
| | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 40,445 | | | | 25,701 | |
| | | | | | | | |
| | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | | — | | | | (1,742 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to an MNA | | $ | 40,445 | | | $ | 23,959 | |
| | | | | | | | |
| | (a) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the 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 | | | Net Amount of Derivative Assets(b)(c) | |
JPMorgan Chase Bank N.A. | | $ | 40,445 | | | $ | (17,671 | ) | | $ | — | | | $ | — | | | $ | 22,774 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Counterparty | | Derivative
Liabilities
Subject to
an MNA by
Counterparty | | | Derivatives Available for Offset(a) | | | Non-Cash
Collateral
Pledged | | | Cash
Collateral
Pledged | | | Net Amount of Derivative Liabilities(b)(d) | |
JPMorgan Chase Bank N.A. | | $ | 17,671 | | | $ | (17,671 | ) | | $ | — | | | $ | — | | | $ | — | |
State Street Bank and Trust Co. | | | 6,288 | | | | — | | | | — | | | | — | | | | 6,288 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | $ | 23,959 | | | $ | (17,671 | ) | | $ | — | | | $ | — | | | $ | 6,288 | |
| | | | | | | | | | | | | | | | | | | | |
| | (a) | The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. | |
| | (b) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. | |
| | (c) | Net amount represents the net amount receivable from the counterparty in the event of default. | |
| | (d) | 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 | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | — | | | $ | 6,045,259 | | | $ | — | | | $ | 6,045,259 | |
Common Stocks | | | | | | | | | | | | | | | | |
Automobile Components | | | 25,135 | | | | — | | | | — | | | | 25,135 | |
Construction & Engineering | | | 6,898 | | | | — | | | | — | | | | 6,898 | |
Consumer Finance | | | — | | | | 389,634 | | | | — | | | | 389,634 | |
Energy Equipment & Services | | | — | | | | — | | | | — | | | | — | |
Financial Services | | | — | | | | 221,800 | | | | — | | | | 221,800 | |
Health Care Providers & Services | | | — | | | | — | | | | 147,398 | | | | 147,398 | |
Household Products | | | — | | | | — | | | | — | | | | — | |
Industrial Conglomerates | | | — | | | | 8 | | | | — | | | | 8 | |
Media | | | — | | | | — | | | | 178,160 | | | | 178,160 | |
Corporate Bonds | | | — | | | | 6,103,443 | | | | 26,858 | | | | 6,130,301 | |
| | |
| 130 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
| | |
Schedule of Investments (continued) December 31, 2023 | | BlackRock Floating Rate Income Trust (BGT) |
Fair Value Hierarchy as of Period End (continued)
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Floating Rate Loan Interests | | $ | — | | | $ | 357,732,636 | | | $ | 11,688,747 | | | $ | 369,421,383 | |
Investment Companies | | | 3,501,472 | | | | — | | | | — | | | | 3,501,472 | |
Other Interests | | | — | | | | — | | | | — | | | | — | |
Warrants | | | 11,957 | | | | — | | | | — | | | | 11,957 | |
Unfunded Floating Rate Loan Interests(a) | | | — | | | | — | | | | 590 | | | | 590 | |
| | | | | | | | | | | | | | | | |
| | $ | 3,545,462 | | | $ | 370,492,780 | | | $ | 12,041,753 | | | $ | 386,079,995 | |
| | | | | | | | | | | | | | | | |
Derivative Financial Instruments(b) | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Credit Contracts | | $ | — | | | $ | 311,242 | | | $ | — | | | $ | 311,242 | |
Interest Rate Contracts | | | — | | | | 40,445 | | | | — | | | | 40,445 | |
Liabilities | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | — | | | | (6,288 | ) | | | — | | | | (6,288 | ) |
| | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 345,399 | | | $ | — | | | $ | 345,399 | |
| | | | | | | | | | | | | | | | |
| (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 $97,000,000 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 and derivative financial instruments at the beginning and/or end of the year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Common
Stocks | | | Corporate
Bonds | | | Floating
Rate Loan
Interests | | | Other
Interests | | | Unfunded
Floating
Rate Loan
Interests | | | Total | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Opening balance, as of December 31, 2022 | | $ | 822 | | | $ | — | (a) | | $ | 7,962,927 | | | $ | — | (a) | | $ | — | | | $ | 7,963,749 | |
Transfers into Level 3(b) | | | — | | | | 48,509 | | | | 2,102,485 | | | | — | | | | — | | | | 2,150,994 | |
Transfers out of Level 3(c) | | | — | | | | — | | | | (3,436,879 | ) | | | — | | | | — | | | | (3,436,879 | ) |
Accrued discounts/premiums | | | — | | | | — | | | | 255,759 | | | | — | | | | — | | | | 255,759 | |
Net realized gain (loss) | | | (130,652 | ) | | | — | | | | (22,373 | ) | | | — | | | | — | | | | (153,025 | ) |
Net change in unrealized appreciation (depreciation)(d)(e) | | | (207,190 | ) | | | (33,358 | ) | | | 128,254 | | | | — | | | | 590 | | | | (111,704 | ) |
Purchases | | | 663,082 | | | | 11,707 | | | | 7,506,484 | | | | — | | | | — | | | | 8,181,273 | |
Sales | | | (504 | ) | | | — | | | | (2,807,910 | ) | | | — | | | | — | | | | (2,808,414 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Closing balance, as of December 31, 2023 | | $ | 325,558 | | | $ | 26,858 | | | $ | 11,688,747 | | | $ | — | (a) | | $ | 590 | | | $ | 12,041,753 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2023(e) | | $ | (337,524 | ) | | $ | (33,358 | ) | | $ | 90,367 $ | | | | — | | | $ | 590 | | | $ | (279,925 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | (a) | Rounds to less than $1. | |
| | (b) | As of December 31, 2022, the Trust used observable inputs in determining the value of certain investments. As of December 31, 2023, 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. | |
| | (c) | As of December 31, 2022, the Trust used significant unobservable inputs in determining the value of certain investments. As of December 31, 2023, 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. | |
| | (d) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. | |
| | (e) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2023 is generally due to investments no longer held or categorized as Level 3 at period end. | |
The Trust’s financial instruments that are categorized as Level 3 were valued utilizing third-party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third-party information could result in a significantly lower or higher value of such Level 3 financial instruments.
See notes to financial statements.
| | |
SCHEDULE OF INVESTMENTS | | 131 |
Statements of Assets and Liabilities
December 31, 2023
| | | | | | | | | | | | | | | | |
| | | BHK | | | HYT(a) | | | BTZ | | | BGT | |
| | | | |
ASSETS | | | | | | | | | | | | | | | | |
Investments, at value — unaffiliated(b) | | $ | 903,818,999 | | | $ | 1,955,431,266 | | | $ | 1,708,479,520 | | | $ | 384,320,505 | |
Investments, at value — affiliated(c) | | | 11,900,896 | | | | 34,146 | | | | 16,341,334 | | | | 1,758,900 | |
Cash | | | 1,691,941 | | | | — | | | | — | | | | — | |
Cash pledged: | | | | | | | | | | | | | | | | |
Collateral — exchange-traded options written | | | — | | | | — | | | | 7,820,000 | | | | — | |
Collateral — OTC derivatives | | | 969,000 | | | | — | | | | — | | | | — | |
Futures contracts | | | 3,687,000 | | | | 85,000 | | | | 4,613,000 | | | | — | |
Centrally cleared swaps | | | 699,000 | | | | 1,400,000 | | | | 2,983,000 | | | | 408,000 | |
Foreign currency, at value(d) | | | 277,983 | | | | 17,535 | | | | 1,475 | | | | — | |
Receivables: | | | | | | | | | | | | | | | | |
Investments sold | | | 1,226,415 | | | | 8,959,210 | | | | 396,971 | | | | 2,658,206 | |
TBA sale commitments | | �� | 5,913,889 | | | | — | | | | — | | | | — | |
Dividends — unaffiliated | | | 24,339 | | | | — | | | | — | | | | — | |
Dividends — affiliated | | | 43,264 | | | | 7,633 | | | | 86,773 | | | | 198 | |
Interest — unaffiliated | | | 10,511,612 | | | | 32,443,016 | | | | 24,730,037 | | | | 4,309,507 | |
Variation margin on futures contracts | | | 30,562 | | | | 20,592 | | | | 414,758 | | | | — | |
Variation margin on centrally cleared swaps | | | 8,158 | | | | — | | | | 29,074 | | | | — | |
Swap premiums paid | | | 6,769 | | | | 32,140 | | | | — | | | | — | |
Unrealized appreciation on: | | | | | | | | | | | | | | | | |
Forward foreign currency exchange contracts | | | — | | | | 3,375 | | | | — | | | | — | |
OTC swaps | | | 11,709 | | | | 1,418,783 | | | | — | | | | 40,445 | |
Unfunded floating rate loan interests | | | 44 | | | | — | | | | 120 | | | | 590 | |
Deferred offering costs | | | 152,199 | | | | 193,411 | | | | — | | | | 231,751 | |
Prepaid expenses | | | 4,994 | | | | 12,221 | | | | 9,870 | | | | 2,721 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total assets | | | 940,978,773 | | | | 2,000,058,328 | | | | 1,765,905,932 | | | | 393,730,823 | |
| | | | | | | | | | | | | | | | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Bank overdraft | | | — | | | | 27,326 | | | | 29,565 | | | | 1,088,991 | |
Foreign bank overdraft(e) | | | — | | | | — | | | | — | | | | 156,655 | |
Cash received: | | | | | | | | | | | | | | | | |
Collateral — reverse repurchase agreements | | | 8,220,490 | | | | — | | | | 12,629,943 | | | | — | |
Collateral — OTC derivatives | | | — | | | | 950,000 | | | | — | | | | — | |
Collateral — TBA commitments | | | 269,000 | | | | — | | | | — | | | | — | |
Options written, at value(f) | | | — | | | | 50,413 | | | | 83,384 | | | | — | |
TBA sale commitments, at value(g) | | | 5,961,754 | | | | — | | | | — | | | | — | |
Reverse repurchase agreements, at value | | | 292,807,922 | | | | — | | | | 590,829,426 | | | | — | |
Payables: | | | | | | | | | | | | | | | | |
Investments purchased | | | 36,530,686 | | | | 8,653,061 | | | | 78,267,238 | | | | 6,489,055 | |
Accounting services fees | | | 43,114 | | | | 68,216 | | | | 63,506 | | | | 22,385 | |
Bank borrowings | | | — | | | | 596,000,000 | | | | — | | | | 97,000,000 | |
Custodian fees | | | 21,581 | | | | 20,722 | | | | 30,055 | | | | 8,793 | |
Interest expense and fees | | | — | | | | 3,186,252 | | | | — | | | | 530,238 | |
Investment advisory fees | | | 373,690 | | | | 996,905 | | | | 867,388 | | | | 242,200 | |
Offering costs | | | — | | | | — | | | | — | | | | 35,649 | |
Trustees’ and Officer’s fees | | | 245,238 | | | | 647,365 | | | | 826,587 | | | | 213,826 | |
Other accrued expenses | | | 61,820 | | | | 115,695 | | | | 100,335 | | | | 12,368 | |
Professional fees | | | 81,250 | | | | 121,126 | | | | 49,527 | | | | 73,590 | |
Transfer agent fees | | | 18,865 | | | | 26,532 | | | | 24,896 | | | | 10,708 | |
Variation margin on futures contracts | | | 407,517 | | | | — | | | | — | | | | — | |
Variation margin on centrally cleared swaps | | | — | | | | 39,990 | | | | — | | | | 1,742 | |
Swap premiums received | | | 881,627 | | | | 150,425 | | | | — | | | | 17,671 | |
| | |
| 132 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Statements of Assets and Liabilities (continued)
December 31, 2023
| | | | | | | | | | | | | | | | |
| | | BHK | | | HYT(a) | | | BTZ | | | BGT | |
Unrealized depreciation on: | | | | | | | | | | | | | | | | |
Forward foreign currency exchange contracts | | | 69,234 | | | | 394,160 | | | | 11,861 | | | | 6,288 | |
OTC swaps | | | 2,374 | | | | 9,886 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Total liabilities | | | 345,996,162 | | | | 611,458,074 | | | | 683,813,711 | | | | 105,910,159 | |
| | | | | | | | | | | | | | | | |
Commitments and contingent liabilities | | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS | | $ | 594,982,611 | | | $ | 1,388,600,254 | | | $ | 1,082,092,221 | | | $ | 287,820,664 | |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS CONSIST OF | | | | | | | | | | | | | | | | |
Paid-in capital(h)(i)(j) | | $ | 735,354,329 | | | $ | 1,651,165,282 | | | $ | 1,195,243,185 | | | $ | 326,871,143 | |
Accumulated loss | | | (140,371,718 | ) | | | (262,565,028 | ) | | | (113,150,964 | ) | | | (39,050,479 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS | | $ | 594,982,611 | | | $ | 1,388,600,254 | | | $ | 1,082,092,221 | | | $ | 287,820,664 | |
| | | | | | | | | | | | | | | | |
| | | | |
Net asset value | | $ | 11.02 | | | $ | 9.73 | | | $ | 11.59 | | | $ | 12.90 | |
| | | | | | | | | | | | | | | | |
| | | | |
(a) Consolidated Statement of Assets and Liabilities. | | | | | | | | | | | | | | | | |
(b) Investments, at cost — unaffiliated | | $ | 942,173,145 | | | $ | 1,955,709,747 | | | $ | 1,719,704,991 | | | $ | 391,685,809 | |
(c) Investments, at cost — affiliated | | $ | 11,900,896 | | | $ | 34,146 | | | $ | 16,341,334 | | | $ | 1,702,530 | |
(d) Foreign currency, at cost | | $ | 265,915 | | | $ | 17,551 | | | $ | 1,465 | | | $ | — | |
(e) Foreign bank overdraft, at cost | | $ | — | | | $ | — | | | $ | — | | | $ | 155,685 | |
(f) Premiums received | | $ | — | | | $ | 102,204 | | | $ | 342,511 | | | $ | — | |
(g) Proceeds from TBA sale commitments | | $ | 5,913,889 | | | $ | — | | | $ | — | | | $ | — | |
(h) Shares outstanding | | | 54,010,702 | | | | 142,699,920 | | | | 93,324,457 | | | | 22,315,637 | |
(i) Shares authorized | | | Unlimited | | | | 200 million | | | | Unlimited | | | | Unlimited | |
(j) Par value | | $ | 0.001 | | | $ | 0.10 | | | $ | 0.001 | | | $ | 0.001 | |
See notes to financial statements.
| | |
FINANCIAL S TATEMENTS | | 133 |
Statements of Operations
Year Ended December 31, 2023
| | | | | | | | | | | | | | | | |
| | | BHK | | | HYT(a) | | | BTZ | | | BGT | |
| | | | |
INVESTMENT INCOME | | | | | | | | | | | | | | | | |
Dividends — unaffiliated | | $ | 182,633 | | | $ | 1,949 | | | $ | 2,111,420 | | | $ | 91,802 | |
Dividends — affiliated | | | 369,097 | | | | 69,906 | | | | 464,189 | | | | 184,066 | |
Interest — unaffiliated | | | 51,359,407 | | | | 141,538,340 | | | | 101,714,425 | | | | 35,123,217 | |
Other income — unaffiliated | | | 125,236 | | | | 1,140,472 | | | | 203,971 | | | | 362,591 | |
Foreign taxes withheld | | | (8,290 | ) | | | (7,594 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Total investment income | | | 52,028,083 | | | | 142,743,073 | | | | 104,494,005 | | | | 35,761,676 | |
| | | | | | | | | | | | | | | | |
| | | | |
EXPENSES | | | | | | | | | | | | | | | | |
Investment advisory | | | 4,517,988 | | | | 11,286,225 | | | | 10,151,063 | | | | 2,807,975 | |
Accounting services | | | 122,555 | | | | 199,101 | | | | 180,206 | | | | 64,679 | |
Professional | | | 109,007 | | | | 173,710 | | | | 83,134 | | | | 110,924 | |
Transfer agent | | | 91,789 | | | | 132,805 | | | | 113,023 | | | | 45,088 | |
Custodian | | | 79,428 | | | | 59,219 | | | | 93,029 | | | | 24,208 | |
Trustees and Officer | | | 58,502 | | | | 131,911 | | | | 138,075 | | | | 35,106 | |
Printing and postage | | | 19,615 | | | | 22,527 | | | | 20,067 | | | | 15,591 | |
Registration | | | 18,533 | | | | 48,960 | | | | 32,082 | | | | 8,368 | |
Miscellaneous | | | 96,874 | | | | 35,390 | | | | 24,299 | | | | 10,702 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total expenses excluding interest expense | | | 5,114,291 | | | | 12,089,848 | | | | 10,834,978 | | | | 3,122,641 | |
Interest expense and fees | | | 16,423,672 | | | | 32,620,163 | | | | 30,833,034 | | | | 5,501,341 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total expenses | | | 21,537,963 | | | | 44,710,011 | | | | 41,668,012 | | | | 8,623,982 | |
Less: | | | | | | | | | | | | | | | | |
Fees waived and/or reimbursed by the Manager | | | (5,636 | ) | | | (1,138 | ) | | | (7,051 | ) | | | (21,472 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | 21,532,327 | | | | 44,708,873 | | | | 41,660,961 | | | | 8,602,510 | |
| | | | | | | | | | | | | | | | |
| | | | |
Net investment income | | | 30,495,756 | | | | 98,034,200 | | | | 62,833,044 | | | | 27,159,166 | |
| | | | | | | | | | | | | | | | |
| | | | |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | | | | | | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Investments — unaffiliated | | | (36,613,028 | ) | | | (91,400,201 | ) | | | (53,227,378 | ) | | | (2,326,469 | ) |
Investments — affiliated | | | — | | | | — | | | | — | | | | (21,307 | ) |
Forward foreign currency exchange contracts | | | 1,480 | | | | (235,185 | ) | | | (7,308 | ) | | | (54,157 | ) |
Foreign currency transactions | | | 13,770 | | | | 186,531 | | | | 13,857 | | | | 12,101 | |
Futures contracts | | | (10,020,423 | ) | | | (1,747,454 | ) | | | 7,049,410 | | | | — | |
Options written | | | 706 | | | | 1,303,056 | | | | 2,040,163 | | | | — | |
Swaps | | | 3,548,016 | | | | 603,830 | | | | (7,841,687 | ) | | | 124,178 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | (43,069,479 | ) | | | (91,289,423 | ) | | | (51,972,943 | ) | | | (2,265,654 | ) |
| | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investments — unaffiliated | | | 68,010,918 | | | | 194,491,268 | | | | 126,847,099 | | | | 13,826,915 | |
Investments — affiliated | | | — | | | | — | | | | — | | | | 47,989 | |
Forward foreign currency exchange contracts | | | (57,639 | ) | | | (324,171 | ) | | | (11,861 | ) | | | (23,048 | ) |
Foreign currency translations | | | 11,720 | | | | (4,519 | ) | | | 173 | | | | (1,232 | ) |
Futures contracts | | | 4,878,826 | | | | (747,292 | ) | | | (8,551,702 | ) | | | — | |
Options written | | | — | | | | (87,030 | ) | | | 203,645 | | | | — | |
Swaps | | | (5,022,486 | ) | | | 2,386,076 | | | | 2,802,101 | | | | 308,215 | |
Unfunded floating rate loan interests | | | 14,060 | | | | 93,418 | | | | 8,146 | | | | 47,413 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | 67,835,399 | | | | 195,807,750 | | | | 121,297,601 | | | | 14,206,252 | |
| | | | | | | | | | | | | | | | |
| | | | |
Net realized and unrealized gain | | | 24,765,920 | | | | 104,518,327 | | | | 69,324,658 | | | | 11,940,598 | |
| | | | | | | | | | | | | | | | |
| | | | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 55,261,676 | | | $ | 202,552,527 | | | $ | 132,157,702 | | | $ | 39,099,764 | |
| | | | | | | | | | | | | | | | |
| (a) | Consolidated Statement of Operations. |
See notes to financial statements.
| | |
| 134 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | |
| | | BHK | | | HYT(a) | |
| | | Year Ended
12/31/23 | | | Year Ended
12/31/22 | | | Year Ended
12/31/23 | | | Year Ended
12/31/22 | |
| | | | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net investment income | | $ | 30,495,756 | | | $ | 34,621,610 | | | $ | 98,034,200 | | | $ | 85,310,028 | |
Net realized loss | | | (43,069,479 | ) | | | (58,306,032 | ) | | | (91,289,423 | ) | | | (48,802,949 | ) |
Net change in unrealized appreciation (depreciation) | | | 67,835,399 | | | | (179,504,308 | ) | | | 195,807,750 | | | | (243,082,240 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Net increase (decrease) in net assets resulting from operations | | | 55,261,676 | | | | (203,188,730 | ) | | | 202,552,527 | | | | (206,575,161 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS(b) | | | | | | | | | | | | | | | | |
From net investment income and net realized gain | | | (29,123,925 | ) | | | (43,352,180 | ) | | | (98,129,727 | ) | | | (75,141,728 | ) |
Return of capital | | | (19,226,456 | ) | | | (969,019 | ) | | | (35,266,158 | ) | | | (32,825,998 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Decrease in net assets resulting from distributions to shareholders | | | (48,350,381 | ) | | | (44,321,199 | ) | | | (133,395,885 | ) | | | (107,967,726 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Proceeds from rights offering (Note 11) | | | — | | | | — | | | | — | | | | 167,749,786 | |
Reinvestment of distributions | | | — | | | | 267,474 | | | | — | | | | 1,065,866 | |
| | | | | | | | | | | | | | | | |
| | | | |
Net increase in net assets derived from capital share transactions | | | — | | | | 267,474 | | | | — | | | | 168,815,652 | |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | 6,911,295 | | | | (247,242,455 | ) | | | 69,156,642 | | | | (145,727,235 | ) |
Beginning of year | | | 588,071,316 | | | | 835,313,771 | | | | 1,319,443,612 | | | | 1,465,170,847 | |
| | | | | | | | | | | | | | | | |
| | | | |
End of year | | $ | 594,982,611 | | | $ | 588,071,316 | | | $ | 1,388,600,254 | | | $ | 1,319,443,612 | |
| | | | | | | | | | | | | | | | |
| (a) | Consolidated Statement of Changes in Net Assets. |
| (b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
Statements of Changes in Net Assets (continued)
| | | | | | | | | | | | | | | | |
| | | BTZ | | | BGT | |
| | | Year Ended
12/31/23 | | | Year Ended
12/31/22 | | | Year Ended
12/31/23 | | | Year Ended
12/31/22 | |
| | | | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
Net investment income | | $ | 62,833,044 | | | $ | 72,207,568 | | | $ | 27,159,166 | | | $ | 18,263,413 | |
Net realized loss | | | (51,972,943 | ) | | | (26,934,855 | ) | | | (2,265,654 | ) | | | (4,197,922 | ) |
Net change in unrealized appreciation (depreciation) | | | 121,297,601 | | | | (325,268,939 | ) | | | 14,206,252 | | | | (20,011,741 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Net increase (decrease) in net assets resulting from operations | | | 132,157,702 | | | | (279,996,226 | ) | | | 39,099,764 | | | | (5,946,250 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
DISTRIBUTIONS TO SHAREHOLDERS(a) | | | | | | | | | | | | | | | | |
From net investment income | | | (59,066,496 | ) | | | (65,195,451 | ) | | | (27,396,917 | ) | | | (16,820,514 | ) |
Return of capital | | | (35,061,131 | ) | | | (21,102,257 | ) | | | (1,235,218 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Decrease in net assets resulting from distributions to shareholders | | | (94,127,627 | ) | | | (86,297,708 | ) | | | (28,632,135 | ) | | | (16,820,514 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | | | | | | | | | |
Net proceeds from the issuance of shares | | | — | | | | 33,408 | | | | — | | | | — | |
Reinvestment of distributions | | | — | | | | — | | | | — | | | | 32,244 | |
Redemption of shares resulting from share repurchase program (including transaction costs) | | | (1,823,893 | ) | | | — | | | | (624,592 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | (1,823,893 | ) | | | 33,408 | | | | (624,592 | ) | | | 32,244 | |
| | | | | | | | | | | | | | | | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | |
Total increase (decrease) in net assets | | | 36,206,182 | | | | (366,260,526 | ) | | | 9,843,037 | | | | (22,734,520 | ) |
Beginning of year | | | 1,045,886,039 | | | | 1,412,146,565 | | | | 277,977,627 | | | | 300,712,147 | |
| | | | | | | | | | | | | | | | |
| | | | |
End of year | | $ | 1,082,092,221 | | | $ | 1,045,886,039 | | | $ | 287,820,664 | | | $ | 277,977,627 | |
| | | | | | | | | | | | | | | | |
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| | |
| 136 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Statements of Cash Flows
Year Ended December 31, 2023
| | | | | | | | | | | | | | | | |
| | | BHK | | | HYT(a) | | | BTZ | | | BGT | |
| | | | |
CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES | | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | $ | 55,261,676 | | | $ | 202,552,527 | | | $ | 132,157,702 | | | $ | 39,099,764 | |
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: | | | | | | | | | | | | | | | | |
Proceeds from sales of long-term investments and principal paydowns/payups | | | 1,339,737,396 | | | | 1,161,988,942 | | | | 2,651,840,097 | | | | 95,081,936 | |
Purchases of long-term investments | | | (1,223,843,684 | ) | | | (1,173,986,702 | ) | | | (2,610,843,741 | ) | | | (98,356,286 | ) |
Net purchases of short-term securities | | | (9,708,637 | ) | | | (7,243,528 | ) | | | (7,597,001 | ) | | | (17,771 | ) |
Amortization of premium and accretion of discount on investments and other fees | | | (2,465,941 | ) | | | (11,820,504 | ) | | | (1,077,186 | ) | | | (1,004,919 | ) |
Paid-in-kind income | | | — | | | | (24,007 | ) | | | — | | | | (68,799 | ) |
Premiums paid on closing options written | | | (544 | ) | | | (579,810 | ) | | | (1,658,351 | ) | | | — | |
Premiums received from options written | | | 1,251 | | | | 1,648,857 | | | | 3,938,823 | | | | — | |
Net realized loss on investments and options written | | | 36,636,850 | | | | 90,115,225 | | | | 51,251,503 | | | | 2,380,674 | |
Net unrealized appreciation on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests | | | (68,371,785 | ) | | | (195,738,073 | ) | | | (127,047,029 | ) | | | (13,939,714 | ) |
(Increase) Decrease in Assets | | | | | | | | | | | | | | | | |
Receivables | | | | | | | | | | | | | | | | |
Dividends — affiliated | | | (11,157 | ) | | | (1,672 | ) | | | (47,289 | ) | | | 2,872 | |
Interest — unaffiliated | | | 601,827 | | | | (4,436,177 | ) | | | (1,035,903 | ) | | | (2,524,194 | ) |
Variation margin on futures contracts | | | 485,260 | | | | 331,150 | | | | 661,726 | | | | — | |
Variation margin on centrally cleared swaps | | | 79,002 | | | | 4,173 | | | | (29,074 | ) | | | — | |
Swap premiums paid | | | (1,232 | ) | | | 12,957 | | | | — | | | | — | |
Prepaid expenses | | | (456 | ) | | | (1,093 | ) | | | (1,241 | ) | | | (397 | ) |
Deferred offering costs | | | (4,500 | ) | | | (6,428 | ) | | | — | | | | (118,383 | ) |
Increase (Decrease) in Liabilities | | | | | | | | | | | | | | | | |
Due to broker | | | (241,000 | ) | | | — | | | | (418,485 | ) | | | — | |
Cash received | | | | | | | | | | | | | | | | |
Collateral — reverse repurchase agreements | | | 7,396,672 | | | | — | | | | 12,614,465 | | | | — | |
Collateral — OTC derivatives | | | — | | | | 950,000 | | | | — | | | | — | |
Collateral — TBA commitments | | | 269,000 | | | | — | | | | — | | | | — | |
Payables | | | | | | | | | | | | | | | | |
Accounting services fees | | | (4,135 | ) | | | 5,302 | | | | 1,049 | | | | 635 | |
Custodian fees | | | 9,886 | | | | (2,814 | ) | | | 3,841 | | | | (4,352 | ) |
Interest expense and fees | | | 325,535 | | | | 856,167 | | | | 350,256 | | | | 94,860 | |
Investment advisory fees | | | (47,037 | ) | | | 41,941 | | | | 1,594 | | | | 3,454 | |
Trustees’ and Officer’s fees | | | 35,260 | | | | 39,555 | | | | 36,697 | | | | 4,670 | |
Other accrued expenses | | | (10,138 | ) | | | (41,254 | ) | | | (28,697 | ) | | | (8,347 | ) |
Professional fees | | | (31,676 | ) | | | (35,177 | ) | | | (42,663 | ) | | | (18,873 | ) |
Transfer agent fees | | | (12,986 | ) | | | (19,861 | ) | | | (18,830 | ) | | | (3,023 | ) |
Variation margin on futures contracts | | | (415,844 | ) | | | — | | | | (518,417 | ) | | | — | |
Variation margin on centrally cleared swaps | | | — | | | | 39,990 | | | | (5,056,935 | ) | | | 1,716 | |
Swap premiums received | | | (447,951 | ) | | | (90,049 | ) | | | — | | | | 17,671 | |
| | | | | | | | | | | | | | | | |
| | | | |
Net cash provided by operating activities | | | 135,220,912 | | | | 64,559,637 | | | | 97,436,911 | | | | 20,623,194 | |
| | | | | | | | | | | | | | | | |
| | | | |
CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES | | | | | | | | | | | | | | | | |
Cash dividends paid to shareholders | | | (48,350,381 | ) | | | (133,395,885 | ) | | | (94,127,627 | ) | | | (28,632,135 | ) |
Payments for offering costs | | | — | | | | — | | | | — | | | | 35,649 | |
Payments for bank borrowings | | | — | | | | (496,000,000 | ) | | | — | | | | (79,000,000 | ) |
Net payments on redemption of capital shares | | | — | | | | — | | | | (1,823,893 | ) | | | (624,592 | ) |
Proceeds from bank borrowings | | | — | | | | 563,000,000 | | | | — | | | | 85,000,000 | |
Increase in bank overdraft | | | — | | | | 27,326 | | | | 29,565 | | | | 1,185,780 | |
Net borrowing of reverse repurchase agreements | | | (94,736,723 | ) | | | — | | | | (3,558,384 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Net cash used for financing activities | | | (143,087,104 | ) | | | (66,368,559 | ) | | | (99,480,339 | ) | | | (22,035,298 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS | | | | | | | | | | | | | | | | |
Cash impact from foreign exchange fluctuations | | | 11,597 | | | | (9 | ) | | | 10 | | | | — | |
| | | | | | | | | | | | | | | | |
| | |
FINANCIAL S TATEMENTS | | 137 |
Statements of Cash Flows (continued)
Year Ended December 31, 2023
| | | | | | | | | | | | | | | | |
| | | BHK | | | HYT(a) | | | BTZ | | | BGT | |
| | | | |
CASH AND FOREIGN CURRENCY | | | | | | | | | | | | | | | | |
Net decrease in restricted and unrestricted cash and foreign currency | | $ | (7,854,595 | ) | | $ | (1,808,931 | ) | | $ | (2,043,418 | ) | | $ | (1,412,104 | ) |
Restricted and unrestricted cash and foreign currency at beginning of year | | | 15,179,519 | | | | 3,311,466 | | | | 17,460,893 | | | | 1,820,104 | |
| | | | | | | | | | | | | | | | |
| | | | |
Restricted and unrestricted cash and foreign currency at end of year | | $ | 7,324,924 | | | $ | 1,502,535 | | | $ | 15,417,475 | | | $ | 408,000 | |
| | | | | | | | | | | | | | | | |
| | | | |
SUPPLEMENTAL DISCLOSURE OFCASH FLOW INFORMATION | | | | | | | | | | | | | | | | |
| | | | |
Cash paid during the year for interest expense | | $ | 16,098,137 | | | $ | 31,763,996 | | | $ | 30,482,778 | | | $ | 5,406,481 | |
| | | | | | | | | | | | | | | | |
| | | | |
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF YEAR TO THE STATEMENTS OF ASSETS AND LIABILITIES | | | | | | | | | | | | | | | | |
Cash | | $ | 1,691,941 | | | $ | — | | | $ | — | | | $ | — | |
Cash pledged | | | | | | | | | | | | | | | | |
Collateral — exchange-traded options written | | | — | | | | — | | | | 7,820,000 | | | | — | |
Collateral — OTC derivatives | | | 969,000 | | | | — | | | | — | | | | — | |
Futures contracts | | | 3,687,000 | | | | 85,000 | | | | 4,613,000 | | | | — | |
Centrally cleared swaps | | | 699,000 | | | | 1,400,000 | | | | 2,983,000 | | | | 408,000 | |
Foreign currency at value | | | 277,983 | | | | 17,535 | | | | 1,475 | | | | — | |
| | | | | | | | | | | | | | | | |
| | | | |
| | $ | 7,324,924 | | | $ | 1,502,535 | | | $ | 15,417,475 | | | $ | 408,000 | |
| | | | | | | | | | | | | | | | |
| (a) | Consolidated Statement of Cash Flows. |
See notes to financial statements.
| | |
| 138 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BHK | |
| | | Year Ended
12/31/23 | | | Year Ended
12/31/22 | | | Year Ended
12/31/21 | | | Year Ended
12/31/20 | | | Period from
09/01/19 to 12/31/19 | | | Year Ended
08/31/19 | |
| | | | | | | |
Net asset value, beginning of period | | $ | 10.89 | | | $ | 15.47 | | | $ | 16.45 | | | $ | 15.32 | | | $ | 15.79 | | | $ | 14.08 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.56 | | | | 0.64 | | | | 0.72 | | | | 0.72 | | | | 0.22 | | | | 0.66 | |
Net realized and unrealized gain (loss) | | | 0.47 | | | | (4.40 | ) | | | (0.65 | ) | | | 1.24 | | | | (0.36 | ) | | | 1.82 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | 1.03 | | | | (3.76 | ) | | | 0.07 | | | | 1.96 | | | | (0.14 | ) | | | 2.48 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.54 | ) | | | (0.69 | ) | | | (0.80 | ) | | | (0.64 | ) | | | (0.27 | ) | | | (0.73 | ) |
From net realized gain | | | — | | | | (0.11 | ) | | | (0.25 | ) | | | (0.19 | ) | | | (0.04 | ) | | | (0.04 | ) |
Return of capital | | | (0.36 | ) | | | (0.02 | ) | | | — | | | | — | | | | (0.02 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (0.90 | ) | | | (0.82 | ) | | | (1.05 | ) | | | (0.83 | ) | | | (0.33 | ) | | | (0.77 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, end of period | | $ | 11.02 | | | $ | 10.89 | | | $ | 15.47 | | | $ | 16.45 | | | $ | 15.32 | | | $ | 15.79 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Market price, end of period | | $ | 10.91 | | | $ | 10.38 | | | $ | 16.51 | | | $ | 16.30 | | | $ | 14.58 | | | $ | 14.56 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Return(c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 10.12 | % | | | (24.44 | )% | | | 0.50 | %(d) | | | 13.24 | % | | | (0.75 | )%(e) | | | 18.86 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Based on market price | | | 14.38 | % | | | (32.52 | )% | | | 8.25 | % | | | 17.90 | % | | | 2.43 | %(e) | | | 20.09 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Ratios to Average Net Assets(f) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 3.69 | % | | | 1.95 | % | | | 0.85 | % | | | 0.91 | % | | | 1.42 | %(g)(h) | | | 1.72 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 3.69 | % | | | 1.95 | % | | | 0.85 | % | | | 0.90 | % | | | 1.42 | %(g) | | | 1.72 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed and excluding interest expense | | | 0.88 | % | | | 0.90 | % | | | 0.81 | % | | | 0.75 | % | | | 0.79 | %(g) | | | 0.77 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 5.23 | % | | | 5.13 | % | | | 4.50 | % | | | 4.52 | % | | | 4.15 | %(g) | | | 4.63 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 594,983 | | | $ | 588,071 | | | $ | 835,314 | | | $ | 886,970 | | | $ | 826,349 | | | $ | 851,650 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Borrowings outstanding, end of period (000) | | $ | 292,808 | | | $ | 387,219 | | | $ | 405,522 | | | $ | 296,921 | | | $ | 271,749 | | | $ | 273,621 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate(i) | | | 133 | % | | | 104 | % | | | 54 | % | | | 69 | % | | | 21 | % | | | 27 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (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. |
| (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 would have been 1.45%. |
| (i) | Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended
12/31/23 | | | Year Ended
12/31/22 | | | Year Ended
12/31/21 | | | Year Ended
12/31/20 | | | Period from
09/01/19 to 12/31/19 | | | Year Ended
08/31/19 | |
Portfolio turnover rate (excluding MDRs) | | | 81 | % | | | 76 | % | | | 34 | % | | | 55 | % | | | 11 | % | | | 27 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | HYT(a) | |
| | | | | | |
| | | Year Ended
12/31/23 | | | Year Ended
12/31/22 | | | Year Ended
12/31/21 | | | Year Ended
12/31/20 | | | Period from
09/01/19 to 12/31/19 | | | Year Ended
08/31/19 | |
| | | | | | | |
Net asset value, beginning of period | | $ | 9.25 | | | $ | 11.99 | | | $ | 11.95 | | | $ | 11.91 | | | $ | 11.82 | | | $ | 11.90 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(b) | | | 0.69 | | | | 0.67 | | | | 0.76 | | | | 0.79 | | | | 0.25 | | | | 0.79 | |
Net realized and unrealized gain (loss) | | | 0.72 | | | | (2.42 | ) | | | 0.21 | | | | 0.18 | | | | 0.22 | | | | (0.01 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | 1.41 | | | | (1.75 | ) | | | 0.97 | | | | 0.97 | | | | 0.47 | | | | 0.78 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Distributions(c) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.68 | ) | | | (0.60 | ) | | | (0.80 | ) | | | (0.82 | ) | | | (0.35 | ) | | | (0.86 | ) |
Return of capital | | | (0.25 | ) | | | (0.26 | ) | | | (0.13 | ) | | | (0.11 | ) | | | (0.03 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (0.93 | ) | | | (0.86 | ) | | | (0.93 | ) | | | (0.93 | ) | | | (0.38 | ) | | | (0.86 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Dilutive effect of rights offer (Note 11) | | | — | | | | (0.13 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, end of period | | $ | 9.73 | | | $ | 9.25 | | | $ | 11.99 | | | $ | 11.95 | | | $ | 11.91 | | | $ | 11.82 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Market price, end of period | | $ | 9.43 | | | $ | 8.74 | | | $ | 12.34 | | | $ | 11.43 | | | $ | 11.20 | | | $ | 10.51 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Return(d) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 16.80 | % | | | (15.71 | )% | | | 8.42 | % | | | 9.57 | % | | | 4.28 | %(e) | | | 8.06 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Based on market price | | | 19.80 | % | | | (22.62 | )% | | | 16.66 | % | | | 11.45 | % | | | 10.28 | %(e) | | | 6.86 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Ratios to Average Net Assets(f) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 3.35 | % | | | 1.89 | % | | | 1.35 | % | | | 1.50 | % | | | 1.92 | %(g)(h) | | | 2.19 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 3.35 | % | | | 1.89 | % | | | 1.34 | % | | | 1.49 | % | | | 1.92 | %(g) | | | 2.19 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed and excluding interest expense and fees | | | 0.91 | % | | | 0.91 | % | | | 0.93 | % | | | 0.94 | % | | | 0.93 | %(g) | | | 0.92 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 7.34 | % | | | 6.61 | % | | | 6.30 | % | | | 7.06 | % | | | 6.39 | %(g) | | | 6.87 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 1,388,600 | | | $ | 1,319,444 | | | $ | 1,465,171 | | | $ | 1,456,907 | | | $ | 1,451,868 | | | $ | 1,440,436 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Borrowings outstanding, end of period (000) | | $ | 596,000 | | | $ | 529,000 | | | $ | 647,000 | | | $ | 685,000 | | | $ | 607,000 | | | $ | 486,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Asset coverage, end of period per $1,000 of bank borrowings(i) | | $ | 3,330 | | | $ | 3,494 | | | $ | 3,265 | | | $ | 3,127 | | | $ | 3,392 | | | $ | 3,965 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 62 | % | | | 45 | % | | | 54 | % | | | 82 | % | | | 20 | % | | | 64 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (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. |
| (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 would have been 1.95%. |
| (i) | Calculated by subtracting the Trust’s total liabilities (not including bank borrowings) from the Trust’s total assets and dividing this by the amount of bank borrowings, and by multiplying the results by 1,000. |
See notes to financial statements.
| | |
| 140 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BTZ | |
| | | | | | |
| | | Year Ended
12/31/23 | | | Year Ended
12/31/22 | | | Year Ended
12/31/21 | | | Year Ended
12/31/20 | | | Period from
11/01/19
to 12/31/19 | | | Year Ended
10/31/19 | |
| | | | | | | |
Net asset value, beginning of period | | $ | 11.19 | | | $ | 15.10 | | | $ | 15.71 | | | $ | 14.97 | | | $ | 14.94 | | | $ | 13.72 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.67 | | | | 0.77 | | | | 0.85 | | | | 0.84 | | | | 0.13 | | | | 0.79 | |
Net realized and unrealized gain (loss) | | | 0.74 | | | | (3.76 | ) | | | (0.45 | ) | | | 0.91 | | | | 0.15 | | | | 1.25 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | 1.41 | | | | (2.99 | ) | | | 0.40 | | | | 1.75 | | | | 0.28 | | | | 2.04 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.63 | ) | | | (0.70 | ) | | | (0.86 | ) | | | (0.85 | ) | | | (0.23 | ) | | | (0.79 | ) |
Return of capital | | | (0.38 | ) | | | (0.22 | ) | | | (0.15 | ) | | | (0.16 | ) | | | (0.02 | ) | | | (0.03 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (1.01 | ) | | | (0.92 | ) | | | (1.01 | ) | | | (1.01 | ) | | | (0.25 | ) | | | (0.82 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, end of period | | $ | 11.59 | | | $ | 11.19 | | | $ | 15.10 | | | $ | 15.71 | | | $ | 14.97 | | | $ | 14.94 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Market price, end of period | | $ | 10.32 | | | $ | 10.10 | | | $ | 15.05 | | | $ | 14.71 | | | $ | 13.98 | | | $ | 13.55 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Return(c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 14.24 | % | | | (19.50 | )% | | | 2.73 | % | | | 12.78 | % | | | 2.02 | %(d) | | | 16.17 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Based on market price | | | 12.70 | % | | | (27.10 | )% | | | 9.36 | % | | | 13.07 | % | | | 5.05 | %(d) | | | 23.34 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Ratios to Average Net Assets(e) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 3.98 | % | | | 1.79 | % | | | 1.12 | % | | | 1.35 | % | | | 1.68 | %(f)(g) | | | 2.26 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 3.97 | % | | | 1.79 | % | | | 1.12 | % | | | 1.35 | % | | | 1.68 | %(f) | | | 2.25 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed and excluding interest expense | | | 1.03 | % | | | 0.94 | % | | | 0.94 | % | | | 0.94 | % | | | 0.92 | %(f) | | | 1.08 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 5.99 | % | | | 6.22 | % | | | 5.49 | % | | | 5.69 | % | | | 5.29 | %(f) | | | 5.57 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 1,082,092 | | | $ | 1,045,886 | | | $ | 1,412,147 | | | $ | 1,468,153 | | | $ | 1,554,828 | | | $ | 1,551,243 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Borrowings outstanding, end of period (000) | | $ | 590,829 | | | $ | 589,324 | | | $ | 587,017 | | | $ | 614,172 | | | $ | 577,231 | | | $ | 568,461 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate(h) | | | 155 | % | | | 42 | % | | | 20 | % | | | 34 | % | | | 2 | % | | | 18 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (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. |
| (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 ratios. If these expenses were annualized, the total expenses would have been 1.70%. |
| (h) | Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended
12/31/23 | | | Year Ended
12/31/22 | | | Year Ended
12/31/21 | | | Year Ended
12/31/20 | | | Period from
11/01/19
to 12/31/19 | | | Year Ended
10/31/19 | |
Portfolio turnover rate (excluding MDRs) | | | 93 | % | | | 42 | % | | | 20 | % | | | 34 | % | | | 2 | % | | | 18 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
Financial Highlights (continued)
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | BGT | |
| | | | | | |
| | | Year Ended
12/31/23 | | | Year Ended
12/31/22 | | | Year Ended
12/31/21 | | | Year Ended
12/31/20 | | | Period from
11/01/19
to 12/31/19 | | | Year Ended
10/31/19 | |
| | | | | | | |
Net asset value, beginning of period | | $ | 12.43 | | | $ | 13.44 | | | $ | 13.40 | | | $ | 14.10 | | | $ | 13.95 | | | $ | 14.33 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 1.22 | | | | 0.82 | | | | 0.65 | | | | 0.66 | | | | 0.12 | | | | 0.80 | |
Net realized and unrealized gain (loss) | | | 0.53 | | | | (1.08 | ) | | | 0.17 | | | | (0.47 | ) | | | 0.26 | | | | (0.37 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | 1.75 | | | | (0.26 | ) | | | 0.82 | | | | 0.19 | | | | 0.38 | | | | 0.43 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (1.22 | ) | | | (0.75 | ) | | | (0.66 | ) | | | (0.69 | ) | | | (0.23 | ) | | | (0.81 | ) |
Return of capital | | | (0.06 | ) | | | — | | | | (0.12 | ) | | | (0.20 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (1.28 | ) | | | (0.75 | ) | | | (0.78 | ) | | | (0.89 | ) | | | (0.23 | ) | | | (0.81 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, end of period | | $ | 12.90 | | | $ | 12.43 | | | $ | 13.44 | | | $ | 13.40 | | | $ | 14.10 | | | $ | 13.95 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Market price, end of period | | $ | 12.38 | | | $ | 10.94 | | | $ | 13.99 | | | $ | 11.79 | | | $ | 12.87 | | | $ | 12.42 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Return(c) | | | | | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 15.69 | % | | | (1.32 | )% | | | 6.43 | % | | | 2.83 | % | | | 2.89 | %(d) | | | 4.00 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Based on market price | | | 26.14 | % | | | (16.56 | )% | | | 25.91 | % | | | (0.88 | )% | | | 5.48 | %(d) | | | 4.31 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Ratios to Average Net Assets(e) | | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 3.04 | % | | | 2.20 | % | | | 1.61 | % | | | 1.72 | % | | | 2.11 | %(f) | | | 2.41 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 3.03 | % | | | 2.20 | % | | | 1.60 | % | | | 1.70 | % | | | 2.11 | %(f) | | | 2.41 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed and excluding interest expense and fees | | | 1.09 | % | | | 1.17 | % | | | 1.19 | % | | | 1.17 | % | | | 1.28 | %(f) | | | 1.16 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 9.57 | % | | | 6.40 | % | | | 4.82 | % | | | 5.13 | % | | | 5.23 | %(f) | | | 5.68 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | $ | 287,821 | | | $ | 277,978 | | | $ | 300,712 | | | $ | 300,126 | | | $ | 323,708 | | | $ | 321,091 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Borrowings outstanding, end of period (000) | | $ | 97,000 | | | $ | 91,000 | | | $ | 143,000 | | | $ | 129,000 | | | $ | 130,000 | | | $ | 123,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Asset coverage, end of period per $1,000 of bank borrowings(g) | | $ | 3,967 | | | $ | 4,055 | | | $ | 3,103 | | | $ | 3,327 | | | $ | 3,490 | | | $ | 3,610 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 25 | % | | | 16 | % | | | 50 | % | | | 65 | % | | | 6 | % | | | 53 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (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. |
| (e) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (g) | Calculated by subtracting the Trust’s total liabilities (not including bank borrowings) from the Trust’s total assets and dividing this by the amount of bank borrowings, and by multiplying the results by 1,000. |
See notes to financial statements.
| | |
| 142 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements
1. ORGANIZATION
The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Trusts”, or individually as a “Trust”:
| | | | | | |
| Trust Name | | Herein Referred To As | | Organized | | Diversification
Classification |
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 funds referred to as the BlackRock Fixed-Income Complex.
Basis of Consolidation: The accompanying consolidated financial statements of HYT include the accounts of HYT Subsidiary LLC (the “Taxable Subsidiary”), which is a wholly-owned taxable subsidiary of HYT. The Taxable Subsidiary enables HYT to hold certain pass-through investments and satisfy Regulated Investment Company (“RIC”) tax requirements. Income earned and gains realized on the investments held by the Taxable Subsidiary are taxable to such subsidiary. 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. Taxes payable or deferred as of December 31, 2023, if any, are disclosed in the Consolidated Statement of Assets and Liabilities. HYT may invest up to 25% of its total assets in the Taxable Subsidiary. The net assets of the Taxable Subsidiary as of period end were $8,042, which is less than 0.01% of HYT’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Taxable Subsidiary is subject to the same investment policies and restrictions that apply to HYT.
2. SIGNIFICANT ACCOUNTING POLICIES
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
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.
ForeignTaxes: 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 “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, 2023, if any, are disclosed in the Statements of Assets and Liabilities.
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NOTES TO FINANCIAL STATEMENTS | | 143 |
Notes to Financial Statements (continued)
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.
Collateralization: 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.
Distributions: Distributions from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates and made at least annually. The portion of distributions, if any, that exceeds a fund’s current and accumulated earnings and profits, as measured on a tax basis, constitute a non-taxable return of capital. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
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. Net appreciation (depreciation) in the value of participants’ deferral accounts is allocated among the participating funds in the BlackRock Fixed-Income Complex and reflected as Trustees and Officer expense on the Statements of Operations. The Trustees and Officer expense may be negative as a result of a decrease in value of the deferred accounts.
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. The Board has approved the designation of each Trust’s Manager as the valuation designee for each Trust. Each Trust determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager’s policies. 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 the Manager’s policies and procedures as reflecting fair value. The Manager has formed a committee (the “Valuation Committee”) to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.
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. |
| | • | | 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. |
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| 144 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
| | • | | 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 Valuation Committee in accordance with the Manager’s policies and procedures as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the 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 Valuation Committee 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 Valuation Committee deems relevant and consistent with the principles of fair value measurement.
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 Valuation Committee and third-party pricing services utilized by the Valuation Committee include one or a combination of, but not limited to, the following inputs.
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| | | Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services |
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Market approach | | (i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii) market multiples of comparable issuers. |
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Income approach | | (i) future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; (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. |
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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 involves 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:
| | • | | 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 Valuation Committee’s assumptions used in determining the fair value of financial instruments). |
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NOTES TO FINANCIAL STATEMENTS | | 145 |
Notes to Financial Statements (continued)
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 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, 2023, certain investments of HYT were fair valued using NAV as a practical expedient 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.
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,
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| 146 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
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 Secured Overnight Financing Rate (“SOFR”), 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, 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:
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| Trust Name | | Borrower | | | Par | | | Commitment
Amount | | | Value | | | Unrealized
Appreciation
(Depreciation) | |
| | | | | |
BHK | | | OMNIA Partners LLC | | | $ | 2,817 | | | $ | 2,789 | | | $ | 2,833 | | | $ | 44 | |
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| | | | | | | | | | | | | | | | | | $ | 44 | |
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BTZ | | | Action Environmental Group, Inc. | | | $ | 11,999 | | | $ | 11,909 | | | $ | 12,029 | | | | 120 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 120 | |
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BGT | | | Action Environmental Group, Inc. | | | $ | 58,993 | | | $ | 58,551 | | | $ | 59,141 | | | | 590 | |
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| | | | | | | | | | | | | | | | | | $ | 590 | |
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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
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NOTES TO FINANCIAL STATEMENTS | | 147 |
Notes to Financial Statements (continued)
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. These types of securities may be considered unfunded and may obligate the Trusts to make future cash payments. An unfunded commitment is marked-to-market and any unrealized appreciation (depreciation) is separately presented in the Statements of Assets and Liabilities and Statements of Operations.
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.
Mortgage Dollar Roll Transactions: The Trusts may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.
Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third-party broker dealers in which a fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a fund continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a fund would still be required to pay the full repurchase price. Further, a fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a fund would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.
Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a fund may receive a fee for the use of the security by the counterparty, which may result in interest income to a fund.
For the year ended December 31, 2023, the average daily amount of reverse repurchase agreements outstanding and the weighted average interest rate for the Trusts were as follows:
| | | | | | | | |
| | | |
| Trust Name | | Average Amount
Outstanding | | | Weighted Average
Interest Rate | |
BHK | | $ | 320,570,251.67 | | | | 5.12 | % |
BTZ | | | 589,334,161.29 | | | | 5.22 | |
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 to the extent that the aggregate market value of the cash collateral and the purchased securities it holds is less than the repurchase price. As such, the receipt of any shortfall or any closeout amount owed to a fund upon termination of the MRA could be delayed or not received at all.
| | |
| 148 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
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 CollateralPledged Including
Accrued Interest |
(a)
| |
| Cash Collateral
Pledged/Received |
(a) | | | Net Amount | |
BHK | | | | | | | | | | | | | | | | |
Barclays Capital, Inc. | | $ | (16,865,881 | ) | | $ | 16,865,881 | | | $ | — | | | $ | — | |
BNP Paribas SA | | | (97,416,126 | ) | | | 97,416,126 | | | | — | | | | — | |
BofA Securities, Inc. | | | (29,785,965 | ) | | | 29,785,965 | | | | — | | | | — | |
Goldman Sachs & Co. LLC | | | (16,131,902 | ) | | | 16,131,902 | | | | — | | | | — | |
J.P. Morgan Securities LLC | | | (9,855,395 | ) | | | 9,855,395 | | | | — | | | | — | |
Merrill Lynch International | | | (303,245 | ) | | | 303,245 | | | | — | | | | — | |
Nomura Securities International, Inc. | | | (40,575,353 | ) | | | 40,575,353 | | | | — | | | | — | |
Royal Bank of Canada. | | | (68,685,065 | ) | | | 68,685,065 | | | | — | | | | — | |
TD Securities (USA) LLC | | | (13,188,990 | ) | | | 13,188,990 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | $ | (292,807,922 | ) | | $ | 292,807,922 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | (a) | Net collateral, including accrued interest, if any, with a value of $309,618,093 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged, if any, 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. | | $ | (31,884,641 | ) | | $ | 31,884,641 | | | $ | — | | | $ | — | |
BNP Paribas SA | | | (60,917,619 | ) | | | 60,917,619 | | | | — | | | | — | |
BofA Securities, Inc. | | | (152,178,843 | ) | | | 152,178,843 | | | | — | | | | — | |
Goldman Sachs & Co. LLC | | | (24,712,712 | ) | | | 24,712,712 | | | | — | | | | — | |
J.P. Morgan Securities LLC | | | (10,780,858 | ) | | | 10,780,858 | | | | — | | | | — | |
Merrill Lynch International | | | (952,353 | ) | | | 952,353 | | | | — | | | | — | |
Nomura Securities International, Inc. | | | (25,081,295 | ) | | | 25,081,295 | | | | — | | | | — | |
RBC Capital Markets, LLC | | | (44,137,467 | ) | | | 44,137,467 | | | | — | | | | — | |
TD Securities (USA) LLC | | | (240,183,638 | ) | | | 240,183,638 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | $ | (590,829,426 | ) | | $ | 590,829,426 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | (a) | Net collateral, including accrued interest, if any, with a value of $646,622,051 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged, if any, 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) 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.
| | |
NOTES TO FINANCIAL STATEMENTS | | 149 |
Notes to Financial Statements (continued)
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. The 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.
In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security when they otherwise would not, or at a price different from the current market value.
Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Trusts and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).
For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Trusts’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.
In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the CCP becomes the Trusts’ counterparty on the swap. Each Trust is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, each Trust is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, each Trust agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty are amortized over the term of the contract and recorded as realized gains (losses) in the Statements of Operations, including those at termination.
| | • | | Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk). |
The Trusts may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Trusts will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount 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.
| | |
| 150 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
| | • | | 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 risks 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 derivative contract 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 Trusts and the counterparty.
Cash collateral that has been pledged to cover obligations of the Trusts and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Trusts, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Trusts. Any additional required collateral is delivered to/pledged by the Trusts on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Trust generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Trusts from the counterparties are not fully collateralized, each Trust bears the risk of loss from counterparty non-performance. Likewise, to the extent the Trusts have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, each Trust bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
For financial reporting purposes, the Trusts do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.
6. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Advisory: Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of each 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.
| | | | | | | | | | | | |
| | | | |
| | | BHK | | | BTZ | | | BGT | |
Investment advisory fees | | | 0.50 | % | | | 0.62 | % | | | 0.75 | % |
For purposes of calculating these fees, “managed assets” are determined as total assets of the Trust (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.
| | |
NOTES TO FINANCIAL STATEMENTS | | 151 |
Notes to Financial Statements (continued)
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.
Distribution Fees: BHK, HYT and BGT has entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of BHK, HYT and BGT common shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”). Pursuant to the Distribution Agreement, BRIL will receive commissions with respect to sales of common shares at a commission rate of 1.00% of the gross proceeds of the sale of BHK, HYT and BGT’s common shares and a portion of such commission is re-allowed to broker-dealers engaged by BRIL. The commissions retained by BRIL during the period ended December 31, 2023 amounted to $0.
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, 2025. 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, 2023, the amounts waived were as follows:
| | | | |
| | |
| Trust Name | | Fees Waived and/or Reimbursed
by the Manager | |
BHK | | $ | 5,636 | |
HYT | | | 1,138 | |
BTZ | | | 7,051 | |
BGT | | | 123 | |
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, 2025. 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, 2023, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:
| | | | |
| | |
| Trust Name | | Fees Waived and/or Reimbursed
by the Manager | |
BGT | | $ | 21,349 | |
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.
7. PURCHASES AND SALES
For the year ended December 31, 2023, purchases and sales of investments, including paydowns/payups, mortgage dollar rolls and excluding short-term securities, were as follows:
| | | | | | | | | | | | | | | | |
| | | U.S. Government Securities | | | Other Securities | |
| Trust Name | | Purchases | | | Sales | | | Purchases | | | Sales | |
BHK | | $ | 44,938,619 | | | $ | 109,656,957 | | | $ | 1,161,058,988 | | | $ | 1,229,449,549 | |
HYT | | | — | | | | — | | | | 1,175,936,298 | | | | 1,168,137,136 | |
BTZ | | | — | | | | — | | | | 2,608,268,780 | | | | 2,637,321,290 | |
BGT | | | — | | | | — | | | | 102,991,547 | | | | 93,837,150 | |
For the year ended December 31, 2023, purchases and sales related to mortgage dollar rolls were as follows:
| | | | | | | | |
| Trust Name | | Purchases | | | Sales | |
BHK | | $ | 471,878,861 | | | $ | 471,833,865 | |
BTZ | | | 1,044,091,890 | | | | 1,043,563,461 | |
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.
| | |
| 152 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
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 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, 2023, 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.
U.S. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or NAVs per share. As of period end, permanent differences attributable to non-deductible expenses were reclassified to the following accounts:
| | | | | | | | |
| Trust Name | | Paid-in Capital | | | Accumulated
Earnings (Loss) | |
HYT | | $ | (949 | ) | | $ | 949 | |
The tax character of distributions paid was as follows:
| | | | | | | | |
| Trust Name | | Year Ended
12/31/23 | | | Year Ended
12/31/22 | |
BHK | | | | | | | | |
Ordinary income | | $ | 29,123,925 | | | $ | 37,647,546 | |
Long-term capital gains | | | — | | | | 5,704,634 | |
Return of capital | | | 19,226,456 | | | | 969,019 | |
| | | | | | | | |
| | $ | 48,350,381 | | | $ | 44,321,199 | |
| | | | | | | | |
HYT | | | | | | | | |
Ordinary income | | $ | 98,129,727 | | | $ | 75,141,728 | |
Return of capital | | | 35,266,158 | | | | 32,825,998 | |
| | | | | | | | |
| | $ | 133,395,885 | | | $ | 107,967,726 | |
| | | | | | | | |
BTZ | | | | | | | | |
Ordinary income | | $ | 59,066,496 | | | $ | 65,195,451 | |
Return of capital | | | 35,061,131 | | | | 21,102,257 | |
| | | | | | | | |
| | $ | 94,127,627 | | | $ | 86,297,708 | |
| | | | | | | | |
BGT | | | | | | | | |
Ordinary income | | $ | 27,396,917 | | | $ | 16,820,514 | |
Return of capital | | | 1,235,218 | | | | — | |
| | | | | | | | |
| | $ | 28,632,135 | | | $ | 16,820,514 | |
| | | | | | | | |
As of December 31, 2023, the tax components of accumulated earnings (loss) were as follows:
| | | | | | | | | | | | | | | | |
| Trust Name | | Non-Expiring
Capital Loss
Carryforwards(a) | | | Net Unrealized
Gains (Losses)(b) | | | Qualified
Late-Year
Ordinary Losses(c) | | | Total | |
BHK | | $ | (99,713,074 | ) | | $ | (40,501,261 | ) | | $ | (157,383 | ) | | $ | (140,371,718 | ) |
HYT | | | (257,494,631 | ) | | | (5,070,397 | ) | | | — | | | | (262,565,028 | ) |
BTZ | | | (93,705,915 | ) | | | (19,382,546 | ) | | | (62,503 | ) | | | (113,150,964 | ) |
BGT | | | (31,648,106 | ) | | | (7,402,373 | ) | | | — | | | | (39,050,479 | ) |
| | (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, the realization for tax purposes of unrealized gains(losses) on certain foreign currency and futures contracts, accounting for swap agreements, timing and recognition of partnership income, amortization methods for premiums on fixed income securities, the accrual of income on securities in default, classification of investments, tax deferral of losses on straddles and the deferral of compensation to trustees. | |
| | (c) | The Trust has elected to defer these qualified late-year losses and recognize such losses in the next taxable year. | |
As of December 31, 2023, 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 | | $ | 955,437,323 | | | $ | 22,894,283 | | | $ | (63,078,758 | ) | | $ | (40,184,475 | ) |
HYT | | | 1,960,111,583 | | | | 63,349,221 | | | | (67,070,178 | ) | | | (3,720,957 | ) |
BTZ | | | 1,741,317,321 | | | | 62,774,657 | | | | (81,338,075 | ) | | | (18,563,418 | ) |
BGT | | | 393,573,044 | | | | 3,317,972 | | | | (10,497,654 | ) | | | (7,179,682 | ) |
| | |
NOTES TO FINANCIAL STATEMENTS | | 153 |
Notes to Financial Statements (continued)
9. BANK BORROWINGS
BGT and HYT are party to a senior committed secured, 360-day rolling line of credit facility and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). SSB may elect to terminate its commitment upon 360-days written notice to HYT and BGT. As of period end, HYT 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 $758,000,000 for HYT and $157,000,000 for BGT.
Prior to March 9, 2023, maximum commitment amounts were $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) Daily Simple SOFR plus 0.80% or (b) One Month Term SOFR plus 0.80%. SOFR and One Month Term SOFR 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. 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 borrowings is less than 300%.
For the year ended December 31, 2023, the maximum amount borrowed, the average daily borrowing and the weighted average interest rate, if any, under the credit agreement were as follows:
| | | | | | | | | | | | |
| | | | |
| Trust Name | | Maximum
Amount Borrowed | | | Average Amount
Outstanding | | | Daily Weighted Average
Interest Rate | |
HYT | | $ | 613,000,000 | | | $ | 545,950,685 | | | | 5.91 | % |
BGT | | | 99,000,000 | | | | 90,578,082 | | | | 5.91 | |
10. PRINCIPAL RISKS
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; (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.
Illiquidity Risk: 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.
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.
| | |
| 154 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
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 options purchased and exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.
Geographic/Asset Class 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.
The 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 decrease as interest rates rise and increase as interest rates fall. The Trusts may be subject to a greater risk of rising interest rates due to the period of historically low interest rates that ended in March 2022. The Federal Reserve has recently been raising the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact the Trusts’ performance.
The Trusts invest a significant portion of their assets in securities of issuers located in the United States. A decrease in imports or exports, changes in trade regulations, inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such non-payment would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to continue, they may have an adverse impact on the U.S. economy and the issuers in which the Trusts invest.
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 fund 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 Trusts may be exposed to financial instruments that recently transitioned from, or continue to be tied to, the London Interbank Offered Rate (“LIBOR”) to determine payment obligations, financing terms, hedging strategies or investment value. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has ceased publishing all LIBOR settings, but some USD LIBOR settings will continue to be published under a synthetic methodology until September 30, 2024 for certain legacy contracts. SOFR has been used increasingly on a voluntary basis in new instruments and transactions. Under U.S. regulations that implement a statutory
| | |
NOTES TO FINANCIAL STATEMENTS | | 155 |
Notes to Financial Statements (continued)
fallback mechanism to replace LIBOR, benchmark rates based on SOFR have replaced LIBOR in certain financial contracts. 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.
As of the close of business on September 20, 2022, HYT issued transferrable rights to its Common Shareholders of record, entitling the holders of those rights to subscribe for shares of HYT’s common stock (the “Offer”). Shareholders received one right for each outstanding Common Share owned on the record date. The rights entitled their holders to purchase one new Common Share for every five rights held (1-for-5). The Offer expired on October 13, 2022. HYT received from the Offer gross proceeds of $167,749,786 for the issuance of 20,382,720 Common Shares. The rights offering resulted in $(0.13) or (1.42)% of NAV dilution since the Common Shares were issued below HYT’s NAV. HYT received the entire proceeds from the shares issued under the Offer since the Manager agreed to pay for all expenses (including sales commissions) related to the Offer.
BHK, HYT and BGT have filed a prospectus with the SEC allowing them to issue an additional 15,000,000, 19,617,820 and 11,000,000 Common Shares, respectively, through an equity shelf program (a “Shelf Offering”). Under the Shelf Offering, BHK, HYT and BGT, 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). For the period end December 31, 2023, BHK, HYT and BGT did not issue any Common Shares. As of period end December 31, 2023, 15,000,000, 19,617,820 and 11,000,000 Common Shares, respectively, remain available for issuance under the Shelf Offering. See Additional Information - Shelf Offering Program for additional information.
Initial costs incurred by BHK, HYT and BGT in connection with their Shelf Offerings are recorded as “Deferred offering costs” in the Statements of Assets and Liabilities. As shares are sold, a portion of the costs attributable to the shares sold will be charged against paid-in-capital. Any remaining deferred charges at the end of the Shelf Offering period will be charged to expense.
For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:
| | | | | | | | |
| Trust Name | | Year Ended | |
| | | 12/31/23 | | | 12/31/22 | |
BHK | | | — | | | | 17,666 | |
HYT | | | — | | | | 101,463 | |
BGT | | | — | | | | 2,386 | |
The Trusts participate in an open market share repurchase program (the “Repurchase Program”). From December 1, 2022 through November 30, 2023, 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, 2022, subject to certain conditions. From December 1, 2023 through November 30, 2024, 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, 2023, subject to certain conditions. The Repurchase Program has an accretive effect as shares are purchased at a discount to the Trust’s NAV. There is no assurance that the Trusts will purchase shares in any particular amounts. For the year ended December 31, 2023, BHK and HYT did not repurchase any shares.
The total cost of the shares repurchased is reflected in BGT’s and BTZ’s Statements of Changes in Net Assets. For the period shown, shares repurchased and cost, including transaction costs were as follows:
| | | | | | | | |
| | | BTZ | |
| | | Shares | | | Amounts | |
Year Ended December 31, 2023 | | | 182,646 | | | $ | 1,823,893 | |
| | | | | | | | |
| | | BGT | |
| | | Shares | | | Amounts | |
Year Ended December 31, 2023 | | | 55,022 | | | $ | 624,592 | |
For the year ended December 31, 2023, shares issued and outstanding remained constant for BHK and HYT.
For the year ended December 31, 2022, shares issued and outstanding remained constant for BTZ.
12. SUBSEQUENT EVENTS
Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:
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| 156 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (continued)
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 | | | 01/02/24 | | | | 01/12/24 | | | | 01/31/24 | | | $ | 0.074600 | |
| | | 02/01/24 | | | | 02/15/24 | | | | 02/29/24 | | | | 0.074600 | |
HYT | | | 01/02/24 | | | | 01/12/24 | | | | 01/31/24 | | | | 0.077900 | |
| | | 02/01/24 | | | | 02/15/24 | | | | 02/29/24 | | | | 0.077900 | |
BTZ | | | 01/02/24 | | | | 01/12/24 | | | | 01/31/24 | | | | 0.083900 | |
| | | 02/01/24 | | | | 02/15/24 | | | | 02/29/24 | | | | 0.083900 | |
BGT | | | 01/02/24 | | | | 01/12/24 | | | | 01/31/24 | | | | 0.120280 | |
| | | | 02/01/24 | | | | 02/15/24 | | | | 02/29/24 | | | | 0.120280 | |
| | |
NOTES TO FINANCIAL STATEMENTS | | 157 |
Report of Independent Registered Public Accounting Firm
To the Shareholders and the 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 Corporate High Yield Fund, Inc., BlackRock Credit Allocation Income Trust, and BlackRock Floating Rate Income Trust (the “Funds”), including the schedules of investments, as of December 31, 2023, 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. Such financial statements and financial highlights of BlackRock Corporate High Yield Fund, Inc. are consolidated for all periods presented. 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, 2023, 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 four years in the period ended December 31, 2023, for the period from September 1, 2019 through December 31, 2019, and for the year ended August 31, 2019 |
| |
BlackRock Credit Allocation Income Trust, BlackRock Floating Rate Income Trust | | For each of the four years in the period ended December 31, 2023, for the period from November 1, 2019 through December 31, 2019, and for the year 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, 2023, by correspondence with custodians or counterparties; when replies were not received, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Deloitte & Touche LLP
Boston, Massachusetts
February 26, 2024
We have served as the auditor of one or more BlackRock investment companies since 1992.
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| 158 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
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, 2023:
| | | | |
| Trust Name | | Qualified Dividend
Income | |
BHK | | $ | 2,889,922 | |
HYT | | | 1,378,717 | |
BTZ | | | 9,078,831 | |
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.
| | | | |
| Trust Name | | Federal Obligation
Interest | |
HYT | | $ | 7,500 | |
BTZ | | | 54,447 | |
The following percentages, or maximum percentages allowable by law, of ordinary income distributions paid during the fiscal year ended December 31, 2023 qualified for the dividends-received deduction for corporate shareholders:
| | | | |
| Trust Name | | Dividends-Received
Deduction | |
BHK | | | 5.13 | % |
HYT | | | 0.98 | |
BTZ | | | 7.56 | |
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, 2023:
| | | | |
| Trust Name | | Interest
Dividends | |
BHK | | $ | 27,913,438 | |
HYT | | | 97,670,313 | |
BTZ | | | 47,995,668 | |
BGT | | | 27,156,905 | |
The Trusts hereby designate the following amounts, or maximum amounts allowable by law, as interest-related dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations for the fiscal year ended December 31, 2023:
| | | | |
| Trust Name | | Interest-
Related
Dividends | |
BHK | | $ | 21,548,903 | |
HYT | | | 80,901,124 | |
BTZ | | | 27,251,097 | |
BGT | | | 20,645,126 | |
| | |
IMPORTANT TAX INFORMATION | | 159 |
Investment Objectives, Policies and Risks
Recent Changes
The following information is a summary of certain changes since December 31, 2022.This information may not reflect all of the changes that have occurred since you purchased the relevant Trust.
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 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 may invest up to 10% of its total managed assets in bonds issued in foreign currencies. The Trust may invest directly in securities or synthetically through the use of derivatives.
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 Trust’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 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
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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.
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.The Trust may enter into derivative securities transactions that have leverage embedded in them.
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 “Investment Company 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 Trust, 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 Investment Company 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.
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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 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 may enter into derivative securities transactions that have leverage embedded in them.
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.
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 directly in securities or synthetically through the use of derivatives.
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
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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 “Manager”) or BlackRock International Limited (“BIL” and together with the Manager, the “Advisors”), the Trust’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.
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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.
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 may enter into derivative securities transactions that have leverage embedded in them.
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 may invest directly in securities or synthetically through the use of derivatives. 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 Trust’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 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).
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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 Trust also has the ability to utilize leverage through the issuance of preferred shares.
The Trust may enter into derivative securities transactions that have leverage embedded in them.
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. The order of the below risk factors does not indicate the significance of any particular risk factor.
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, such as credit risk, interest rate risk, extension risk, and prepayment risk, each of which are described in further detail below:
| | • | | 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. |
| | • | | 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 recent period of historically low interest 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%. (Duration is a measure of the price sensitivity of a debt security or portfolio of debt securities to relative changes in interest rates.) 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.
| | • | | 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 (BHK, BTZ and BGT):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
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Investment Objectives, Policies and Risks (continued)
securities also are subject to risk of default on the underlying mortgage or asset, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-backed securities.
U.S. Government Mortgage-Related Securities Risk (BTZ): There are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. Mortgage-related securities guaranteed by the Government National Mortgage Association (“GNMA” or “Ginnie Mae”) are guaranteed as to the timely payment of principal and interest by GNMA and such guarantee is backed by the full faith and credit of the United States. GNMAsecurities 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 (BHK, BTZ and BGT):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. In addition, circumstances could arise that could prevent the timely payment of interest or principal on U.S. Government obligations, such as reaching the legislative “debt ceiling.” Such non-payment could result in losses to the Trust and substantial negative consequences for the U.S. economy and the global financial system.
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 (HYT and BTZ): 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 Secured Overnight Financing Rate (‘SOFR”), 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.
High Yield 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
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Investment Objectives, Policies and Risks (continued)
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.
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. |
| | • | | The European financial markets have recently experienced volatility and adverse trends due to concerns about economic downturns in, or rising government debt levels of, several European countries as well as acts of war in the region. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the Trust’s investments. |
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 (BHK, HYTand BTZ): 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 (BHK, HYT and BTZ): 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, principal 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
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Investment Objectives, Policies and Risks (continued)
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, including the potential for increased volatility in the price of the convertible security.
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 Trust’s returns and/or increase volatility. Derivatives involve significant risks, including:
| | • | | Leverage Risk — The Trust’s use of derivatives can magnify the Trust’s gains and losses. Relatively small market movements may result in large changes in the value of a derivatives position and can result in losses that greatly exceed the amount originally invested. |
| | • | | Market Ris — Some derivatives are more sensitive to interest rate changes and market price fluctuations than other securities. The Trust could also suffer losses related to its derivatives positions as a result of unanticipated market movements, which losses are potentially unlimited. Finally, the Manager may not be able to predict correctly the direction of securities prices, interest rates and other economic factors, which could cause the Trust’s derivatives positions to lose value. |
| | • | | Counterparty Risk – Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will be unable or unwilling to fulfill its contractual obligation, and the related risks of having concentrated exposure to such a counterparty. |
| | • | | 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. |
| | • | | Operational Risk — The use of derivatives includes the risk of potential operational issues, including documentation issues, settlement issues, systems failures, inadequate controls and human error. |
| | • | | Legal Risk — The risk of insufficient documentation, insufficient capacity or authority of counterparty, or legality or enforceability of a contract. |
| | • | | Volatility and Correlation 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 Trust’s use of derivatives is that the fluctuations in their values may not correlate with the overall securities markets. |
| | • | | Valuation Risk — Valuation for derivatives may not be readily available in the market. 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. |
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’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.
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| 168 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Investment Objectives, Policies and Risks (continued)
Reverse Repurchase Agreements Risk: Reverse repurchase agreements involve the sale of securities held by the Trust with an agreement to repurchase the securities at an agreed-upon price, date and interest payment. Reverse repurchase agreements involve the risk that the other party may fail to return the securities in a timely manner or at all. The Trust could lose money if it is unable to recover the securities and the value of the collateral held by the Trust, including the value of the investments made with cash collateral, is less than the value of the securities. These events could also trigger adverse tax consequences for the Trust. In addition, reverse repurchase agreements involve the risk that the interest income earned in the investment of the proceeds will be less than the interest expense.
Dollar Rolls Risk (BHK, BTZ and BGT): 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 (HYT and BTZ): 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 Investment Company 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.
Risk of Investing in the United States: Certain changes in the U.S. economy, such as when the U.S. economy weakens or when its financial markets decline, may have an adverse effect on the securities to which the Trust has exposure.
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.
An outbreak of an infectious coronavirus (COVID-19) that was first detected in December 2019 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. Although vaccines have been developed and approved for use by various governments, the duration of the pandemic and its effects cannot be predicted with certainty. 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.
Shareholder Activism Risk: Shareholder activism involving closed-end funds has recently been increasing. Shareholder activism can take many forms, including engaging in public campaigns to demand that the Trust consider significant transactions such as a tender offer, merger or liquidation or to attempt to influence the Trust’s corporate governance and/or management, commencing proxy contests to attempt to elect the activists’ representatives or others to the Trust’s Board of Trustees, or to seek other actions such as a termination of the Trust’s investment advisory contract with its current investment manager or commencing litigation. If the Trust becomes the subject of shareholder activism, then management and the Board may be required to divert significant resources and attention to respond to the activist and the Trust may incur substantial costs defending against such activism if management and the Board determine that the activist’s demands are not in the best interest of the Trust. Further, the Trust’s share price could be subject to significant fluctuation or otherwise be adversely affected by the events, risks and uncertainties of any shareholder activism.
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INVESTMENT OBJECTIVES , POLICIES AND RISKS | | 169 |
Shareholder Update (unaudited)
The following information is presented for BHK, HYT and BGT, in conformance with annual reporting requirements for funds that have filed a shelf offering registration statement pursuant to General Instruction A.2 of Form N-2.
Summary of Expenses
BlackRock Core Bond Trust (BHK)
The following table and example are intended to assist shareholders in understanding the various costs and expenses directly or indirectly associated with investing in BHK’s common shares.
| | | | |
| | | BHK | |
Shareholder Transaction Expenses | | | | |
Maximum sales load (as a percentage of offering price)(a) | | | 1.00% | |
Offering expenses borne by the Trust (as a percentage of offering price)(a) | | | 0.03% | |
Dividend reinvestment plan fees | |
| $0.02 per share
for open market
purchases of
common shares(b) |
|
Dividend reinvestment plan sale transaction fee | | | $2.50(b) | |
Estimated Annual Expenses (as a percentage of net assets attributable to common shares) | | | | |
Investment advisory fees(c)(d) | | | 0.77% | |
Other expenses | | | 2.92 | |
Miscellaneous | | | 0.11 | |
Interest expense(e) | | | 2.81 | |
Total annual expenses | | | 3.69 | |
Fee waivers(d) | | | — | |
Total annual Trust operating expenses after fee waivers(d) | | | 3.69 | |
| (a) | If the common shares are sold to or through underwriters, the Prospectus Supplement will set forth any applicable sales load and the estimated offering expenses. Trust shareholders will pay all offering expenses involved with an offering. |
| (b) | Computershare Trust Company, N.A.’s (the “Reinvestment Plan Agent”) fees for the handling of the reinvestment of dividends will be paid by BHK. However, shareholders will pay a $0.02 per share fee incurred in connection with open-market purchases, which will be deducted from the value of the dividend. Shareholders will also be charged a $2.50 sales fee and pay a $0.15 per share fee if a shareholder directs the Reinvestment Plan Agent to sell the common shares held in a dividend reinvestment account. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay. |
| (c) | BHK currently pays the Manager a monthly fee at an annual contractual investment advisory fee rate of 0.50% of its average weekly managed assets. For purposes of calculating these fees, “managed assets” means the total assets of BHK (including any assets attributable to money borrowed) minus the sum of its accrued liabilities (other than money borrowed for investment purposes). |
| (d) | BHK and the Manager have entered into a fee waiver agreement (the “Fee Waiver Agreement”), pursuant to which the Manager has contractually agreed to waive the investment advisory fees with respect to any portion of BHK’s assets attributable to investments in any equity and fixed-income mutual funds and exchange-traded funds managed by the Manager or its affiliates that have a contractual management fee, through June 30, 2025. In addition, pursuant to the Fee Waiver Agreement, the Manager has contractually agreed to waive its investment advisory fees by the amount of investment advisory fees BHK pays to the Manager indirectly through its investment in money market funds managed by the Manager or its affiliates, through June 30, 2025. The Fee Waiver Agreement may be terminated at any time, without the payment of any penalty, only by BHK (upon the vote of a majority of the Trustees who are not “interested persons” (as defined in the Investment Company Act) of BHK or a majority of the outstanding voting securities of BHK), upon 90 days’ written notice by BHK to the Manager. |
| (e) | BHK uses leverage in the form of reverse repurchase agreements representing 33.0% of managed assets at an annual interest expense to BHK of 5.1%, which is based on current market conditions. The actual amount of interest expense borne by BHK will vary over time in accordance with the level of BHK’s use of reverse repurchase agreements and variations in market interest rates. Interest expense is required to be treated as an expense of BHK for accounting purposes. |
The following example illustrates BHK’s expenses (including the sales load of $10.00 and offering costs of $0.26) that shareholders would pay on a $1,000 investment in common shares, assuming (i) total net annual expenses of 3.69% of net assets attributable to common shares and (ii) a 5% annual return:
| | | | | | | | | | | | | | | | |
| | | 1 Year | | | 3 Years | | | 5 Years | | | 10 Years | |
Total expenses incurred | | $ | 47 | | | $ | 122 | | | $ | 199 | | | $ | 400 | |
The example should not be considered a representation of future expenses. The example assumes that the estimated “Other expenses” set forth in the Estimated Annual Expenses table are accurate and that all dividends and distributions are reinvested at NAV. Actual expenses may be greater or less than those assumed. BHK’s actual rate of return may be greater or less than the hypothetical 5% return shown in the example.
| | |
| 170 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Shareholder Update (unaudited) (continued)
BlackRock Corporate High Yield Fund, Inc. (HYT)
The following table and example are intended to assist shareholders in understanding the various costs and expenses directly or indirectly associated with investing in HYT’s common shares.
| | | | |
| | | HYT | |
Shareholder Transaction Expenses | | | | |
Maximum sales load (as a percentage of offering price)(a) | | | 1.00% | |
Offering expenses borne by the Trust (as a percentage of offering price)(a) | | | 0.01% | |
| |
| $0.02 per share
for open market
purchases of |
|
Dividend reinvestment plan fees | | | common shares(b) | |
Dividend reinvestment plan sale transaction fee | | | $2.50(b) | |
Estimated Annual Expenses (as a percentage of net assets attributable to common shares) | | | | |
Investment advisory fees(c)(d) | | | 0.85% | |
Other expenses | | | 2.50 | |
Miscellaneous | | | 0.06 | |
Interest expense(e) | | | 2.44 | |
Total annual expenses | | | 3.35 | |
Fee waivers(d) | | | — | |
Total annual Trust operating expenses after fee waivers(d) | | | 3.35 | |
| (a) | If the common shares are sold to or through underwriters, the Prospectus Supplement will set forth any applicable sales load and the estimated offering expenses. Trust shareholders will pay all offering expenses involved with an offering. |
| (b) | Computershare Trust Company, N.A. (the “Reinvestment Plan Agent”) fees for the handling of the reinvestment of dividends will be paid by HYT. However, shareholders will pay a $0.02 per share fee incurred in connection with open-market purchases, which will be deducted from the value of the dividend. Shareholders will also be charged a $2.50 sales fee and pay a $0.15 per share fee if a shareholder directs the Reinvestment Plan Agent to sell the common shares held in a dividend reinvestment account. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay. |
| (c) | HYT currently pays the Manager a monthly fee at an annual contractual investment advisory fee rate of 0.60% based on an aggregate of (i) HYT’s average daily Net Assets and (ii) the proceeds of any outstanding debt securities or borrowings used for leverage (together, “average daily Managed Assets”). |
| (d) | HYT and the Manager have entered into a fee waiver agreement (the “Fee Waiver Agreement”), pursuant to which the Manager has contractually agreed to waive the investment advisory fees with respect to any portion of HYT’s assets attributable to investments in any equity and fixed-income mutual funds and exchange-traded funds managed by the Manager or its affiliates that have a contractual management fee, through June 30, 2025. In addition, pursuant to the Fee Waiver Agreement, the Manager has contractually agreed to waive its investment advisory fees by the amount of investment advisory fees HYT pays to the Manager indirectly through its investment in money market funds managed by the Manager or its affiliates, through June 30, 2025. The Fee Waiver Agreement may be terminated at any time, without the payment of any penalty, only by HYT (upon the vote of a majority of the Directors who are not “interested persons” (as defined in the Investment Company Act) of the Fund (the “Independent Directors”)) or a majority of the outstanding voting securities of HYT), upon 90 days’ written notice by HYT to the Manager. |
| (e) | HYT uses leverage in the form of a credit facility in an amount equal to approximately 30.0% of HYT’s Managed Assets as of December 31, 2023. The interest expense borne by HYT will vary over time in accordance with the level of HYT’s use of leverage and variations in market interest rates. Interest expense is required to be treated as an expense of HYT for accounting purposes. |
The following example illustrates HYT’s expenses (including the sales load of $10.00 and offering costs of $0.14) that shareholders would pay on a $1,000 investment in common shares, assuming (i) total net annual expenses of 3.35% of net assets attributable to common shares and (ii) a 5% annual return:
| | | | | | | | | | | | | | | | |
| | | 1 Year | | | 3 Years | | | 5 Years | | | 10 Years | |
Total expenses incurred | | $ | 44 | | | $ | 112 | | | $ | 183 | | | $ | 370 | |
The example should not be considered a representation of future expenses. The example assumes that the estimated “Other expenses” set forth in the Estimated Annual Expenses table are accurate and that all dividends and distributions are reinvested at NAV. Actual expenses may be greater or less than those assumed. HYT’s actual rate of return may be greater or less than the hypothetical 5% return shown in the example.
Shareholder Update (unaudited) (continued)
BlackRock Floating Rate Income Trust (BGT)
The following table and example are intended to assist shareholders in understanding the various costs and expenses directly or indirectly associated with investing in BGT’s common shares.
| | | | |
| | | BGT | |
Shareholder Transaction Expenses | | | | |
Maximum sales load (as a percentage of offering price)(a) | | | 1.00% | |
Offering expenses borne by the Trust (as a percentage of offering price)(a) | | | 0.08% | |
| |
| $0.02 per share
for open market
purchases of |
|
Dividend reinvestment plan fees | | | common shares(b) | |
Dividend reinvestment plan sale transaction fee | | | $2.50(b) | |
Estimated Annual Expenses (as a percentage of net assets attributable to common shares) | | | | |
Investment advisory fees(c)(d) | | | 0.99% | |
Other expenses | | | 2.05 | |
Miscellaneous | | | 0.11 | |
Interest expense(e) | | | 1.94 | |
Acquired fund fees and expenses(f) | | | 0.01 | |
Total annual expenses(f) | | | 3.05 | |
Fee waivers(d) | | | (0.01) | |
Total annual Trust operating expenses after fee waivers(d) | | | 3.04 | |
| (a) | If the common shares are sold to or through underwriters, the Prospectus Supplement will set forth any applicable sales load and the estimated offering expenses. Trust shareholders will pay all offering expenses involved with an offering. |
| (b) | Computershare Trust Company, N.A. (the “Reinvestment Plan Agent”) fees for the handling of the reinvestment of dividends will be paid by BGT. However, shareholders will pay a $0.02 per share fee incurred in connection with open-market purchases, which will be deducted from the value of the dividend. Shareholders will also be charged a $2.50 sales fee and pay a $0.15 per share fee if direct the Reinvestment Plan Agent to sell the common shares held in a dividend reinvestment account. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay. |
| (c) | BGT currently pays the Manager a monthly fee at an annual contractual investment advisory fee rate of 0.75% of the average weekly value of BGT’s Managed Assets. “Managed Assets” means the total assets of BGT (including any assets attributable to money borrowed for investment purposes) minus the sum of BGT’s accrued liabilities (other than money borrowed for investment purposes). |
| (d) | BGT and the Manager have entered into a fee waiver agreement (the “Fee Waiver Agreement”), pursuant to which the Manager has contractually agreed to waive the investment advisory fees with respect to any portion of BGT’s assets attributable to investments in any equity and fixed-income mutual funds and exchange-traded funds (“ETFs”) managed by the Manager or its affiliates that have a contractual management fee, through June 30, 2025. In addition, pursuant to the Fee Waiver Agreement, the Manager has contractually agreed to waive its investment advisory fees by the amount of investment advisory fees BGT pays to the Manager indirectly through its investment in money market funds managed by the Manager or its affiliates, through June 30, 2025. The Fee Waiver Agreement may be terminated at any time, without the payment of any penalty, only by BGT (upon the vote of a majority of the Trustees who are not “interested persons” (as defined in the Investment Company Act) of BGT (the “Independent Trustees”) or a majority of the outstanding voting securities of BGT), upon 90 days’ written notice by BGT to the Manager. |
| (e) | BGT uses leverage in the form of a credit facility in an amount equal to approximately 25.2% of BGT’s Managed Assets as of December 31, 2023. The interest expense borne by BGT will vary over time in accordance with the level of BGT’s use of leverage and variations in market interest rates. Interest expense is required to be treated as an expense of BGT for accounting purposes. |
| (f) | The total annual expenses do not correlate to the ratios to average net assets shown in BGT’s Financial Highlights for the year ended December 31, 2023, which do not include acquired fund fees and expenses. |
The following example illustrates BGT’s expenses (including the sales load of $10.00 and offering costs of $0.84) that shareholders would pay on a $1,000 investment in common shares, assuming (i) total net annual expenses of 3.04% of net assets attributable to common shares and (ii) a 5% annual return:
| | | | | | | | | | | | | | | | |
| | | 1 Year | | | 3 Years | | | 5 Years | | | 10 Years | |
Total expenses incurred | | $ | 41 | | | $ | 104 | | | $ | 169 | | | $ | 344 | |
The example should not be considered a representation of future expenses. The example assumes that the estimated “Other expenses” set forth in the Estimated Annual Expenses table are accurate and that all dividends and distributions are reinvested at NAV. Actual expenses may be greater or less than those assumed. BGT’s actual rate of return may be greater or less than the hypothetical 5% return shown in the example.
| | |
| 172 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Shareholder Update (unaudited) (continued)
Share Price Data
The following tables summarize each Trust’s highest and lowest daily closing market prices on the NYSE per common share, the NAV per common share, and the premium to or discount from NAV, on the date of each of the high and low market prices. The trading volume indicates the number of common shares traded on the NYSE during the respective quarters.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | NYSE Market Price
Per Common Share | | | NAV per Common
Share on Date of
Market Price | | | Premium/
(Discount)
on Date of
Market Price | | | | |
| BHK — During Quarter Ended | | High | | | Low | | | High | | | Low | | | High | | | Low | | | Trading Volume | |
December 31, 2023 | | $ | 10.97 | | | $ | 9.14 | | | $ | 11.10 | | | $ | 9.70 | | | | (1.17 | )% | | | (5.77 | )% | | | 13,106,334 | |
September 30, 2023 | | | 10.90 | | | | 9.85 | | | | 10.89 | | | | 10.12 | | | | 0.09 | | | | (2.67 | ) | | | 8,953,910 | |
June 30, 2023 | | | 11.06 | | | | 10.21 | | | | 11.19 | | | | 10.75 | | | | (1.16 | ) | | | (5.02 | ) | | | 10,756,216 | |
March 31, 2023 | | | 11.68 | | | | 10.51 | | | | 11.77 | | | | 11.01 | | | | (0.76 | ) | | | (4.54 | ) | | | 11,042,755 | |
December 31, 2022 | | | 11.18 | | | | 9.56 | | | | 11.50 | | | | 10.39 | | | | (2.78 | ) | | | (7.99 | ) | | | 12,378,547 | |
September 30, 2022 | | | 12.40 | | | | 10.00 | | | | 12.41 | | | | 10.84 | | | | (0.08 | ) | | | (7.75 | ) | | | 9,598,611 | |
June 30, 2022 | | | 13.12 | | | | 10.52 | | | | 13.83 | | | | 11.81 | | | | (5.13 | ) | | | (10.92 | ) | | | 13,665,047 | |
March 31, 2022 | | | 16.27 | | | | 12.53 | | | | 15.29 | | | | 13.56 | | | | 6.41 | | | | (7.60 | ) | | | 14,876,344 | |
As of December 31, 2023, BHK’s market price, NAV per Common Share, and premium/(discount) to NAV per Common Share were $10.91, $11.02, and (1.00)%, respectively.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | NYSE Market Price
Per Common Share | | | NAV per Common
Share on Date of
Market Price | | | Premium/
(Discount)
on Date of
Market Price | | | | |
| HYT — During Quarter Ended | | High | | | Low | | | High | | | Low | | | High | | | Low | | | Trading Volume | |
December 31, 2023 | | $ | 9.56 | | | $ | 8.24 | | | $ | 9.74 | | | $ | 8.87 | | | | (1.85 | )% | | | (7.10 | )% | | | 32,227,355 | |
September 30, 2023 | | | 9.28 | | | | 8.56 | | | | 9.41 | | | | 9.45 | | | | (1.38 | ) | | | (9.47 | ) | | | 31,818,726 | |
June 30, 2023 | | | 8.92 | | | | 8.41 | | | | 9.39 | | | | 9.29 | | | | (5.01 | ) | | | (9.47 | ) | | | 27,453,053 | |
March 31, 2023 | | | 9.43 | | | | 8.28 | | | | 9.85 | | | | 9.13 | | | | (4.26 | ) | | | (9.31 | ) | | | 39,760,103 | |
December 31, 2022 | | | 9.14 | | | | 8.15 | | | | 9.62 | | | | 9.03 | | | | (4.99 | ) | | | (9.75 | ) | | | 39,558,757 | |
September 30, 2022 | | | 10.26 | | | | 8.46 | | | | 10.29 | | | | 9.15 | | | | (0.29 | ) | | | (7.54 | ) | | | 28,960,746 | |
June 30, 2022 | | | 11.08 | | | | 9.10 | | | | 11.20 | | | | 9.62 | | | | (1.07 | ) | | | (5.41 | ) | | | 24,910,668 | |
March 31, 2022 | | | 12.22 | | | | 9.98 | | | | 11.98 | | | | 10.79 | | | | 2.00 | | | | (7.51 | ) | | | 30,947,672 | |
As of December 31, 2023, HYT’s market price, NAV per Common Share, and premium/(discount) to NAV per Common Share were $9.43, $9.73, and (3.08)%, respectively.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | NYSE Market Price
Per Common Share | | | NAV per Common
Share on Date of
Market Price | | | Premium/
(Discount)
on Date of
Market Price | | | | |
| BGT — During Quarter Ended | | High | | | Low | | | High | | | Low | | | High | | | Low | | | Trading Volume | |
December 31, 2023 | | $ | 12.38 | | | $ | 11.27 | | | $ | 12.90 | | | $ | 12.68 | | | | (4.03 | )% | | | (11.12 | )% | | | 5,951,411 | |
September 30, 2023 | | | 12.28 | | | | 11.54 | | | | 12.95 | | | | 12.79 | | | | (5.17 | ) | | | (9.77 | ) | | | 5,739,597 | |
June 30, 2023 | | | 11.68 | | | | 10.98 | | | | 12.70 | | | | 12.48 | | | | (8.03 | ) | | | (12.02 | ) | | | 5,217,738 | |
March 31, 2023 | | | 11.75 | | | | 10.78 | | | | 12.84 | | | | 12.45 | | | | (8.49 | ) | | | (13.41 | ) | | | 5,543,181 | |
December 31, 2022 | | | 11.68 | | | | 10.60 | | | | 12.44 | | | | 12.21 | | | | (6.11 | ) | | | (13.19 | ) | | | 5,568,336 | |
September 30, 2022 | | | 12.17 | | | | 10.77 | | | | 12.79 | | | | 12.17 | | | | (4.85 | ) | | | (11.50 | ) | | | 4,013,597 | |
June 30, 2022 | | | 12.95 | | | | 10.80 | | | | 13.27 | | | | 12.37 | | | | (2.41 | ) | | | (12.69 | ) | | | 6,146,663 | |
March 31, 2022 | | | 14.13 | | | | 11.82 | | | | 13.57 | | | | 12.91 | | | | 4.13 | | | | (8.44 | ) | | | 5,978,514 | |
As of December 31, 2023, BGT’s market price, NAV per Common Share, and premium/(discount) to NAV per Common Share were $12.38, $12.90, and (4.03)%, respectively.
Common shares of each Trust have historically traded at both a premium and discount to NAV.
Shares of closed-end funds frequently trade at a discount to their NAV. Because of this possibility and the recognition that any such discount may not be in the interest of shareholders, the Board might consider from time to time engaging in open-market repurchases, managed distribution plans, or other programs intended to reduce the discount. We cannot guarantee or assure, however, that the Board will decide to engage in any of these actions. Nor is there any guarantee or assurance that such actions, if undertaken, would result in the shares trading at a price equal or close to the NAV.
Shareholder Update (unaudited) (continued)
Senior Securities
The following tables set forth information regarding HYT’s and BGT’s outstanding senior securities as of the end of each Trust’s last ten fiscal years, as applicable. Each of HYT’s and BGT’s audited financial statements, including Deloitte & Touche LLP’s Report of Independent Registered Public Accounting Firm, and accompanying notes to financial statements, are included in this annual report.
| | | | | | | | | | | | | | | | | | | | |
| HYT — Fiscal Year Ended | |
| Total Amount
Outstanding
(000) |
| |
| Asset
Coverage |
(a) | |
| Liquidation
Preference |
| |
| Average
Market Value
(000) |
(b) | |
| Type of Senior
Security |
|
December 31, 2023 | | $ | 596,000 | | | $ | 3,330 | | | $ | N/A | | | $ | 545,951 | | | | Bank Borrowings | |
December 31, 2022 | | | 529,000 | | | | 3,494 | | | | N/A | | | | 517,616 | | | | Bank Borrowings | |
December 31, 2021 | | | 647,000 | | | | 3,265 | | | | N/A | | | | 647,367 | | | | Bank Borrowings | |
December 31, 2020 | | | 685,000 | | | | 3,127 | | | | N/A | | | | 598,918 | | | | Bank Borrowings | |
December 31, 2019 | | | 607,000 | | | | 3,392 | | | | N/A | | | | 555,492 | | | | Bank Borrowings | |
August 31, 2019 | | | 486,000 | | | | 3,965 | | | | N/A | | | | 569,559 | | | | Bank Borrowings | |
August 31, 2018 | | | 647,000 | | | | 3,292 | | | | N/A | | | | 666,948 | | | | Bank Borrowings | |
August 31, 2017 | | | 649,000 | | | | 3,382 | | | | N/A | | | | 579,521 | | | | Bank Borrowings | |
August 31, 2016 | | | 604,000 | | | | 3,472 | | | | N/A | | | | 568,839 | | | | Bank Borrowings | |
August 31, 2015 | | | 631,000 | | | | 3,419 | | | | N/A | | | | 696,756 | | | | Bank Borrowings | |
| | | | | | |
| BGT — Fiscal Year Ended | | Total Amount
Outstanding
(000) | | | Asset
Coverage(a) | | | Liquidation
Preference | | | Average
Market Value
(000)(b) | | | Type of Senior
Security | |
December 31, 2023 | | $ | 97,000 | | | $ | 3,967 | | | $ | N/A | | | $ | 90,578 | | | | Bank Borrowings | |
December 31, 2022 | | | 91,000 | | | | 4,055 | | | | N/A | | | | 121,677 | | | | Bank Borrowings | |
December 31, 2021 | | | 143,000 | | | | 3,103 | | | | N/A | | | | 134,068 | | | | Bank Borrowings | |
December 31, 2020 | | | 129,000 | | | | 3,327 | | | | N/A | | | | 122,934 | | | | Bank Borrowings | |
December 31, 2019 | | | 130,000 | | | | 3,490 | | | | N/A | | | | 122,426 | | | | Bank Borrowings | |
October 31, 2019 | | | 123,000 | | | | 3,610 | | | | N/A | | | | 128,378 | | | | Bank Borrowings | |
October 31, 2018 | | | 142,000 | | | | 3,389 | | | | N/A | | | | 144,490 | | | | Bank Borrowings | |
October 31, 2017 | | | 150,000 | | | | 3,287 | | | | N/A | | | | 138,255 | | | | Bank Borrowings | |
October 31, 2016 | | | 148,000 | | | | 3,304 | | | | N/A | | | | 117,885 | | | | Bank Borrowings | |
October 31, 2015 | | | 104,000 | | | | 4,225 | | | | N/A | | | | 129,575 | | | | Bank Borrowings | |
| | (a) | Calculated by subtracting the Trust’s total liabilities (not including bank borrowings) from the Trust’s total assets and dividing this by the amount of bank borrowings, and by multiplying the results by 1,000. | |
| | (b) | Represents the average daily amount outstanding for loans under the revolving credit agreements. | |
| | |
| 174 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Shareholder Update (unaudited) (continued)
The financial highlights table is intended to help the shareholder to understand BHK’s financial performance for the periods presented. Certain information reflects financial results for a single common share of BHK.
| | | | | | | | | | | | | | | | | | | | |
| | | BHK | |
| | | | | |
| | | Year Ended
08/31/18 | | | Year Ended
08/31/17 | | | Year Ended
08/31/16 | | | Year Ended
08/31/15 | | | Year Ended
08/31/14 | |
| | | | | | |
Net asset value, beginning of year | | $ | 14.96 | | | $ | 15.25 | | | $ | 14.29 | | | $ | 15.24 | | | $ | 14.05 | |
| | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.72 | | | | 0.76 | | | | 0.79 | | | | 0.86 | | | | 0.87 | |
Net realized and unrealized gain (loss) | | | (0.82 | ) | | | (0.27 | ) | | | 1.01 | | | | (0.73 | ) | | | 1.23 | |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | (0.10 | ) | | | 0.49 | | | | 1.80 | | | | 0.13 | | | | 2.10 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions(b) | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.78 | ) | | | (0.78 | ) | | | (0.84 | ) | | | (1.04 | ) | | | (0.91 | ) |
In excess of net investment income(c) | | | — | | | | — | | | | — | | | | (0.04 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (0.78 | ) | | | (0.78 | ) | | | (0.84 | ) | | | (1.08 | ) | | | (0.91 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, end of year | | $ | 14.08 | | | $ | 14.96 | | | $ | 15.25 | | | $ | 14.29 | | | $ | 15.24 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Market price, end of year | | $ | 12.85 | | | $ | 14.10 | | | $ | 14.33 | | | $ | 12.63 | | | $ | 13.64 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(d) | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | (0.24 | )% | | | 3.88 | % | | | 13.67 | % | | | 1.62 | % | | | 16.09 | %(e) |
| | | | | | | | | | | | | | | | | | | | |
Based on market price | | | (3.40 | )% | | | 4.20 | % | | | 20.85 | % | | | 0.35 | % | | | 16.78 | % |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 1.60 | % | | | 1.16 | % | | | 0.97 | % | | | 0.95 | %(f) | | | 1.06 | %(f) |
| | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 1.60 | % | | | 1.16 | % | | | 0.97 | % | | | 0.95 | %(f) | | | 1.02 | %(f) |
| | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed and excluding interest expense | | | 0.82 | % | | | 0.78 | % | | | 0.78 | % | | | 0.82 | %(f) | | | 0.91 | %(f) |
| | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 4.99 | % | | | 5.19 | % | | | 5.48 | % | | | 5.83 | % | | | 5.84 | % |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | $ | 759,385 | | | $ | 806,848 | | | $ | 822,549 | | | $ | 770,822 | | | $ | 412,078 | |
| | | | | | | | | | | | | | | | | | | | |
Borrowings outstanding, end of year (000) | | $ | 316,216 | | | $ | 289,078 | | | $ | 288,239 | | | $ | 303,651 | | | $ | 168,301 | |
| | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate(g) | | | 28 | % | | | 32 | % | | | 35 | % | | | 55 | % | | | 82 | % |
| | | | | | | | | | | | | | | | | | | | |
| (a) | Based on average shares outstanding. |
| (b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) | Taxable distribution. |
| (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) | Includes proceeds received from a settlement of litigation, which impacted the Trust’s total return. Excluding these proceeds, the total return would have been 16.01%. |
| (f) | Includes reorganization costs associated with the Trust’s merger. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 0.94%, 0.94% and 0.82% for the year ended August 31, 2015 and 1.00%, 0.96% and 0.85% for the year ended August 31, 2014, respectively. |
| (g) | Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
| | | | | | | | | | | | | | | | | | | | |
| | | Year Ended
8/31/18 | | | Year Ended
8/31/17 | | | Year Ended
8/31/16 | | | Year Ended
8/31/15 | | | Year Ended
8/31/14 | |
Portfolio turnover rate (excluding MDRs) | | | N/A | | | | 32 | % | | | 35 | % | | | 51 | % | | | 48 | % |
| | | | | | | | | | | | | | | | | | | | |
Shareholder Update (unaudited) (continued)
Financial Highlights
The financial highlights table is intended to help the shareholder to understand HYT’s financial performance for the periods presented. Certain information reflects financial results for a single common share of HYT.
| | | | | | | | | | | | | | | | | | | | |
| | | HYT | |
| | | | | |
| | | Year Ended
08/31/18 | | | Year Ended
08/31/17 | | | Year Ended
08/31/16 | | | Year Ended
08/31/15 | | | Year Ended
08/31/14 | |
| | | | | |
Net asset value, beginning of year | | $ | 12.22 | | | $ | 11.79 | | | $ | 12.06 | | | $ | 13.47 | | | $ | 12.62 | |
| | | | | | | | | | | | | | | | | | | | |
Net investment income(a) | | | 0.83 | | | | 0.85 | | | | 0.82 | | | | 0.87 | | | | 0.98 | |
Net realized and unrealized gain (loss) | | | (0.31 | ) | | | 0.47 | | | | (0.10 | ) | | | (1.31 | ) | | | 0.91 | |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | 0.52 | | | | 1.32 | | | | 0.72 | | | | (0.44 | ) | | | 1.89 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions from net investment income(b) | | | (0.84 | ) | | | (0.89 | ) | | | (0.99 | ) | | | (0.97 | ) | | | (1.04 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, end of year | | $ | 11.90 | | | $ | 12.22 | | | $ | 11.79 | | | $ | 12.06 | (c) | | $ | 13.47 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Market price, end of year | | $ | 10.70 | | | $ | 11.13 | | | $ | 10.88 | | | $ | 9.97 | | | $ | 12.07 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(d) | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 5.25 | % | | | 12.41 | %(e) | | | 7.76 | % | | | (2.40 | )%(c) | | | 16.21 | % |
| | | | | | | | | | | | | | | | | | | | |
Based on market price | | | 3.91 | % | | | 10.94 | % | | | 20.29 | % | | | (9.96 | )% | | | 15.58 | % |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios to Average Net Assets(e) | | | | | | | | | | | | | | | | | | | | |
Total expenses(f) | | | 1.99 | % | | | 1.54 | % | | | 1.39 | %(g) | | | 1.37 | % | | | 1.35 | %(g) |
| | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed(f) | | | 1.99 | % | | | 1.54 | % | | | 1.39 | % | | | 1.37 | % | | | 1.35 | %(g) |
| | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed and excluding interest expense and fees(f) | | | 0.94 | % | | | 0.91 | % | | | 0.93 | % | | | 0.96 | % | | | 0.98 | %(g) |
| | | | | | | | | | | | | | | | | | | | |
Net investment income(f) | | | 6.88 | % | | | 7.04 | % | | | 7.30 | % | | | 6.88 | % | | | 7.40 | % |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | $ | 1,482,422 | | | $ | 1,545,622 | | | $ | 1,492,948 | | | $ | 1,527,307 | | | $ | 1,705,422 | |
| | | | | | | | | | | | | | | | | | | | |
Borrowings outstanding, end of year (000) | | $ | 647,000 | | | $ | 649,000 | | | $ | 604,000 | | | $ | 631,000 | | | $ | 723,000 | |
| | | | | | | | | | | | | | | | | | | | |
Asset coverage, end of year per $1,000 | | $ | 3,292 | | | $ | 3,382 | | | $ | 3,472 | | | $ | 3,419 | | | $ | 3,359 | |
| | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 65 | % | | | 75 | % | | | 66 | % | | | 57 | % | | | 64 | % |
| | | | | | | | | | | | | | | | | | | | |
| (a) | Based on average shares outstanding. |
| (b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) | For financial reporting purposes, the market value of certain total return swaps were adjusted as of report date. Accordingly, the net asset value (“NAV”) per share and total return performance based on net asset value presented herein are different than the information previously published on August 31, 2015. |
| (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) | Includes payment received from an affiliate, which had no impact on the Trust’s total return. |
| (f) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
| | | | | | | | | | | | | | | | | | | | |
| | | Year Ended
08/31/18 | | | Year Ended
08/31/17 | | | Year Ended
08/31/16 | | | Year Ended
08/31/15 | | | Year Ended
08/31/14 | |
Investments in underlying funds | | | 0.01 | % | | | 0.04 | % | | | 0.11 | % | | | — | % | | | — | % |
| | | | | | | | | | | | | | | | | | | | |
| (g) | Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.34%, 1.34% and 0.97%, respectively. |
| | |
| 176 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Shareholder Update (unaudited) (continued)
Financial Highlights
The financial highlights table is intended to help the shareholder to understand BGT’s financial performance for the periods presented. Certain information reflects financial results for a single common share of BGT.
| | | | | | | | | | | | | | | | | | | | |
| | | BGT | |
| | | | | |
| | |
| Year Ended
10/31/18 |
| |
| Year Ended
10/31/17 |
| |
| Year Ended
10/31/16 |
| |
| Year Ended
10/31/15 |
(a) | |
| Year Ended
10/31/14 |
(a) |
| | | | | |
Net asset value, beginning of year | | $ | 14.49 | | | $ | 14.41 | | | $ | 14.18 | | | $ | 14.57 | | | $ | 14.79 | |
| | | | | | | | | | | | | | | | | | | | |
Net investment income(b) | | | 0.76 | | | | 0.73 | | | | 0.74 | | | | 0.78 | | | | 0.84 | |
Net realized and unrealized gain (loss) | | | (0.21 | ) | | | 0.12 | | | | 0.19 | | | | (0.36 | ) | | | (0.22 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) from investment operations | | | 0.55 | | | | 0.85 | | | | 0.93 | | | | 0.42 | | | | 0.62 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions from net investment income(c) | | | (0.71 | ) | | | (0.77 | ) | | | (0.70 | ) | | | (0.81 | ) | | | (0.84 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, end of year | | $ | 14.33 | | | $ | 14.49 | | | $ | 14.41 | | | $ | 14.18 | | | $ | 14.57 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Market price, end of year | | $ | 12.72 | | | $ | 14.31 | | | $ | 13.58 | | | $ | 12.77 | | | $ | 13.18 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(d) | | | | | | | | | | | | | | | | | | | | |
Based on net asset value | | | 4.25 | % | | | 6.13 | % | | | 7.27 | % | | | 3.54 | % | | | 4.60 | % |
| | | | | | | | | | | | | | | | | | | | |
Based on market price | | | (6.30 | )% | | | 11.21 | % | | | 12.25 | % | | | 3.08 | % | | | (0.89 | )% |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios to Average Net Assets | | | | | | | | | | | | | | | | | | | | |
Total expenses | | | 2.29 | %(e) | | | 1.92 | % | | | 1.58 | % | | | 1.55 | % | | | 1.52 | % |
| | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed | | | 2.29 | %(e) | | | 1.92 | % | | | 1.58 | % | | | 1.54 | % | | | 1.52 | % |
| | | | | | | | | | | | | | | | | | | | |
Total expenses after fees waived and/or reimbursed and excluding interest expense and fees | | | 1.21 | %(e) | | | 1.20 | % | | | 1.16 | % | | | 1.19 | % | | | 1.18 | % |
| | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 5.27 | %(e) | | | 5.02 | % | | | 5.29 | % | | | 5.37 | % | | | 5.71 | % |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | $ | 339,096 | | | $ | 342,890 | | | $ | 340,944 | | | $ | 335,444 | | | $ | 344,668 | |
| | | | | | | | | | | | | | | | | | | | |
Borrowings outstanding, end of year (000) | | $ | 142,000 | | | $ | 150,000 | | | $ | 148,000 | | | $ | 104,000 | | | $ | 145,000 | |
| | | | | | | | | | | | | | | | | | | | |
Asset coverage, end of year per $1,000 of bank borrowings | | $ | 3,389 | | | $ | 3,287 | | | $ | 3,304 | | | $ | 4,225 | | | $ | 3,377 | |
| | | | | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 57 | % | | | 63 | % | | | 47 | % | | | 42 | % | | | 64 | % |
| | | | | | | | | | | | | | | | | | | | |
| (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) | Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%. |
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 BHK, HYT, BTZ and BGT that request a sale of shares are subject to a $2.50 sales fee and a $0.15 per share sold fee. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay. 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 43006, Providence, RI 02940-3078, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at Computershare, 150 Royall Street, Suite 101, Canton, MA 02021.
| | |
| 178 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Trustee and Officer Information
| | | | | | | | |
| | | | | Independent Trustees(a) | | | | |
| | | | | |
Name
Year of Birth(b) | | Position(s) Held
(Length of Service)(c) | | Principal Occupation(s) During Past 5 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 5 Years |
| | | | |
R. Glenn Hubbard 1958 | | Chair of the Board (Since 2022) Trustee (Since 2007) | | Dean, Columbia Business School from 2004 to 2019; Faculty member, Columbia Business School since 1988. | | 69 RICs consisting of 102 Portfolios | | ADP (data and information services) from 2004 to 2020; Metropolitan Life Insurance Company (insurance); TotalEnergies SE (multi-energy) |
| | | | |
W. Carl Kester(d) 1951 | | Vice Chair of the Board (Since 2022) Trustee (Since 2007) | | Baker Foundation Professor and George Fisher Baker Jr. Professor of Business Administration, Emeritus, Harvard Business School since 2022; George Fisher Baker Jr. Professor of Business Administration, Harvard Business School from 2008 to 2022; 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. | | 71 RICs consisting of 104 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. | | 71 RICs consisting of 104 Portfolios | | Unum (insurance); The Hanover Insurance Group (Board Chair); Huntsman Corporation (Lead Independent Director and non- Executive Vice Chair of the Board) (chemical products) |
| | | | |
Frank J. Fabozzi(d) 1948 | | Trustee (Since 2007) | | Editor of The Journal of Portfolio Management since 1986; Professor of Finance, EDHEC Business School (France) from 2011 to 2022; Professor of Practice, Johns Hopkins University since 2021; 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; 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. | | 71 RICs consisting of 104 Portfolios | | None |
| | | | |
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. | | 69 RICs consisting of 102 Portfolios | | None |
| | | | |
Stayce D. Harris 1959 | | Trustee (Since 2021) | | Lieutenant General, Inspector General 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. | | 69 RICs consisting of 102 Portfolios | | KULR Technology Group, Inc. in 2021; The Boeing Company (airplane manufacturer) |
| | |
TRUSTEE AND OFFICER INFORMATION | | 179 |
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 5 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 5 Years |
| | | | |
J. Phillip Holloman 1955 | | Trustee (Since 2021) | | President and Chief Operating Officer, Cintas Corporation from 2008 to 2018. | | 69 RICs consisting of 102 Portfolios | | PulteGroup, Inc. (home construction); Rockwell Automation Inc. (industrial automation); Vestis Corporation (uniforms and facilities services) |
| | | | |
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. | | 71 RICs consisting of 104 Portfolios | | PennyMac Mortgage Investment Trust |
|
| Non-Management Interested Trustee(a)(f) |
| | | | | |
Name
Year of Birth(b) | | Position(s) Held
(Length of Service) | | Principal Occupation(s) During Past 5 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 5 Years |
| | | | |
Arthur P. Steinmetz 1958 | | Trustee (Since 2023) | | Consultant, Posit PBC (enterprise data science) since 2020; Director, ScotiaBank (U.S.) from 2020 to 2023; Chairman, Chief Executive Officer and President of OppenheimerFunds, Inc. from 2015, 2014 and 2013, respectively to 2019; Trustee, President and Principal Executive Officer of 104 OppenheimerFunds funds from 2014 to 2019; Portfolio manager of various OppenheimerFunds fixed income mutual funds from 1986 to 2014. | | 70 RICs consisting of 103 Portfolios | | Trustee of 104 OppenheimerFunds funds from 2014 to 2019 |
| | |
| 180 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
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 5 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 5 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. | | 97 RICs consisting of 268 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. | | 99 RICs consisting of 270 Portfolios | | None |
| (a) | The address of each Trustee is c/o BlackRock, Inc., 50 Hudson Yards, New York, New York 10001. |
| (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: Frank J. Fabozzi, 1988; R. Glenn Hubbard, 2004; and W. Carl Kester, 1995. |
| (d) | Dr. Fabozzi, Ms. Egan, Dr. Kester, Ms. Lynch, Mr. Steinmetz 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. |
| (f) | Mr. Steinmetz is currently classified as a non-management interested Trustee based on his former directorship at another company that is not an affiliate of BlackRock, Inc. Mr. Steinmetz does not currently serve as an officer or employee of BlackRock, Inc. or its affiliates or own any securities of BlackRock, Inc. It is anticipated that Mr. Steinmetz will become an Independent Trustee effective January 19, 2024. |
| | | | |
| Officers Who Are Not Trustees(a) |
| | | |
Name Year of Birth(b) | | Position(s) Held
(Length of Service) | | Principal Occupation(s) During Past 5 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. |
| | |
Aaron Wasserman 1974 | | Chief Compliance Officer (Since 2023) | | Managing Director of BlackRock, Inc. since 2018; Chief Compliance Officer of the BlackRock-advised funds in the BlackRock Multi-Asset Complex, the BlackRock Fixed-Income Complex and the iShares Complex since 2023; Deputy Chief Compliance Officer for the BlackRock-advised funds in the BlackRock Multi-Asset Complex, the BlackRock Fixed- Income Complex and the iShares Complex from 2014 to 2023. |
| | |
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., 50 Hudson Yards, New York, New York 10001. |
| (b) | Officers of the Trust serve at the pleasure of the Board. |
| | |
TRUSTEE AND OFFICER INFORMATION | | 181 |
Trustee and Officer Information (continued)
Further information about the BHK’s, HYT’s and BGT’s Trustees and Officers is available in the Trust’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.
|
Effective July 1, 2023, Aaron Wasserman replaced Charles Park as Chief Compliance Officer of the Trusts. Effective December 31, 2023, Frank Fabozzi retired as Trustee of the Trusts. Effective January 19, 2024, Arthur Steinmetz became an Independent Trustee of the Trusts. Effective May 31, 2023, James Keenan is no longer a portfolio manager of BGT. Effective May 31, 2023, James Keenan is no longer a portfolio manager of BHK. Effective May 31, 2023, James Keenan is no longer a porfolio manager of HYT. Effective May 31, 2023, David Delbos became a porfolio manager of HYT. Mr. Delbos has been employed by BlackRock since 2002. |
| | |
| 182 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Additional Information
Proxy Results
The Annual Meeting of Shareholders was held on July 12, 2023 for shareholders of record on May 15, 2023, to elect trustee nominees for each Trust. There were no broker non-votes with regard to any of the Trusts.
Shareholders elected the Class I Trustees as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Trust Name | | Lorenzo A. Flores | | | R. Glenn Hubbard | | | John M. Perlowski | | | W. Carl Kester | |
| | Votes For | | | Votes Withheld | | | Votes For | | | Votes Withheld | | | Votes For | | | Votes Withheld | | | Votes For | | | Votes Withheld | |
BHK | | | 38,789,411 | | | | 1,619,432 | | | | 36,794,451 | | | | 3,614,392 | | | | 38,898,233 | | | | 1,510,610 | | | | 38,783,179 | | | | 1,625,664 | |
BTZ | | | 67,138,400 | | | | 4,100,994 | | | | 66,007,104 | | | | 5,232,290 | | | | 68,131,685 | | | | 3,107,709 | | | | 68,031,837 | | | | 3,207,557 | |
BGT | | | 13,718,143 | | | | 889,308 | | | | 13,693,274 | | | | 914,177 | | | | 13,731,336 | | | | 876,115 | | | | 13,709,681 | | | | 897,770 | |
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 Cynthia L. Egan, Robert Fairbairn, Stayce D. Harris, J. Phillip Holloman, Catherine A. Lynch, and Frank J. Fabozzi.
Shareholders elected the Class I Trustees as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Trust Name | | Cynthia L. Egan | | | Lorenzo A. Flores | | | Stayce D. Harris | | | Catherine A. Lynch | |
| | Votes For | | | Votes Withheld | | | Votes For | | | Votes Withheld | | | Votes For | | | Votes Withheld | | | Votes For | | | Votes Withheld | |
HYT | | | 91,084,397 | | | | 4,552,576 | | | | 91,320,814 | | | | 4,316,159 | | | | 91,045,537 | | | | 4,591,436 | | | | 91,147,192 | | | | 4,489,781 | |
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 Robert Fairbairn, J. Phillip Holloman, R. Glenn Hubbard, John M. Perlowski, Frank J. Fabozzi and W. Carl Kester.
Trust Certification
The Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the 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.
Environmental, Social and Governance (“ESG”) Integration
Although the Trusts do not seek to implement a specific sustainability objective, strategy or process unless otherwise disclosed, Trust management will consider ESG factors as part of the investment process for the Trusts. Trust management views ESG integration as the practice of incorporating financially material ESG data or information into investment processes with the objective of enhancing risk-adjusted returns. These ESG considerations will vary depending on the Trusts’ particular investment strategies and may include consideration of third-party research as well as consideration of proprietary BlackRock research across the ESG risks and opportunities regarding an issuer. The ESG characteristics utilized in the Trusts’ investment process are anticipated to evolve over time and one or more characteristics may not be relevant with respect to all issuers that are eligible for investment. Certain of these considerations may affect the Trusts’ exposure to certain companies or industries. While Trust management views ESG considerations as having the potential to contribute to the Trusts’ 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 each Trust for any particular month may be more or less than the amount of net investment income earned by each 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.
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.
| | |
ADDITIONAL INFORMATION | | 183 |
Additional Information (continued)
General Information
BTZ does not make available copies of its Statements of Additional Information because BTZ’s shares are not continuously offered, which means that the Statement of Additional Information of BTZ has not been updated after completion of BTZ’s offerings and the information contained in BTZ’s Statement of Additional Information may have become outdated.
BHK’s, HYT’s and BGT’s Statement of Additional Information includes additional information about the Board and is available, without charge upon request by calling (800)-882-0052.
The following information is a summary of certain changes since December 31, 2022. 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 and, for BHK, HYT and BGT only, prospectuses, by enrolling in the electronic delivery program. Electronic copies of shareholder reports and, for BHK, HYT and BGT only, prospectuses, 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, including for BHK, HYT and BGT only, prospectuses, 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.
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.
| | |
| 184 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
Additional Information (continued)
Shelf Offering Program
From time to time, BHK, HYT and BGT may seek to raise additional equity capital through a Shelf Offering. In a Shelf Offering, BHK, HYT and BGT may, subject to market conditions, raise additional equity capital by issuing new Common Shares from time to time in varying amounts at a net price at or above BHK’s, HYT’s and BGT’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow BHK, HYT and BGT to pursue additional investment opportunities without the need to sell existing portfolio investments, it could also entail risks – including that the issuance of additional Common Shares may limit the extent to which the Common Shares are able to trade at a premium to NAV in the secondary market.
BHK, HYT and BGT filed final prospectuses with the SEC in connection with its Shelf Offering on February 9, 2022, December 29, 2022 and January 3,2023, respectively. This report and the prospectuses of BHK, HYT and BGT are not offers to sell BHK, HYT and BGT Common Shares or solicitations of an offer to buy BHK, HYT and BGT Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectuses of BHK, HYT and BGT contain important information about BHK, HYT and BGT, including their investment objectives, risks, charges and expenses. Investors are urged to read the prospectuses of BHK, HYT and BGT carefully and in their entirety before investing. Copies of the final prospectuses for BHK, HYT and BGT can be obtained from BlackRock at blackrock.com.
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.
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 02114 | | Wilmington, DE 19809 |
| |
(a) For BHK and BTZ. | | |
| | |
ADDITIONAL INFORMATION | | 185 |
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 |
| |
| BAM | | Build America Mutual Assurance Co. |
| |
| CLO | | Collateralized Loan Obligation |
| |
| CMT | | Constant Maturity Treasury |
| |
| DAC | | Designated Activity Company |
| |
| 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 |
| |
| PJSC | | Public Joint Stock Company |
| |
| RB | | Revenue Bond |
| |
| REIT | | Real Estate Investment Trust |
| |
| S&P | | Standard & Poor’s |
| |
| SG | | Syncora Guarantee |
| |
| SOFR | | Secured Overnight Financing Rate |
| |
| SONIA | | Sterling Overnight Interbank Average Rate |
| |
| SPDR | | Standard & Poor’s Depository Receipt |
| |
| TBA | | To-Be-Announced |
| | |
| 186 | | 2 0 2 3 BLACK ROCK ANNUAL REPORT TO SHAREHOLDERS |
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-12/23-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
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:
| | | | | | | | | | | | | | | | |
| | | (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 End3 | | Current Fiscal Year End | | Previous Fiscal Year End3 |
| BlackRock Credit Allocation Income Trust | | $44,982 | | $43,248 | | $0 | | $0 | | $24,232 | | $23,300 | | $407 | | $431 |
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”):
2
| | | | |
| | | Current Fiscal Year End | | Previous Fiscal Year End |
(b) Audit-Related Fees1 | | $0 | | $0 |
(c) Tax Fees2 | | $0 | | $0 |
(d) All Other Fees3 | | $2,154,000 | | $2,098,000 |
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 $2,154,000 and $2,098,000 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 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,”
3
“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 Credit Allocation Income Trust | | $24,639 | | $23,731 |
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 |
$2,154,000 | | $2,098,000 |
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.
(i) – Not Applicable
(j) – Not Applicable
| 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
(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.
4
(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 Fund is managed by a team of investment professionals comprised of Jeffrey Cucunato, Managing Director at BlackRock, Mitchell S. Garfin, CFA, Managing Director at BlackRock and Charley Hung, CFA, Director at BlackRock. Messrs. Cucunato, Garfin and Hung are the Fund’s portfolio managers and are responsible for the day-to-day management of the Fund’s portfolio and the selection of its investments. Messrs. Cucunato and Garfin have been members of the Fund’s portfolio management team since 2011. Mr. Hung has been a member of the Fund’s portfolio management team since 2021.
| | |
| | |
Portfolio Manager | | Biography |
| |
| Jeffrey Cucunato | | Managing Director of BlackRock since 2005. |
| |
| Mitchell S. Garfin, CFA | | Managing Director of BlackRock since 2009; Director of BlackRock from 2005 to 2008. |
| |
| Charley Hung, CFA | | Director of BlackRock since 2013. |
5
(a)(2) As of December 31, 2023:
| | | | | | | | | | | | |
| | | (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 |
Jeffrey Cucunato | | 5 | | 4 | | 2 | | 0 | | 0 | | 1 |
| | | $1.70 Billion | | $510.1 Million | | $555.6 Million | | $0 | | $0 | | $1.41 Million |
Mitchell S. Garfin, CFA | | 27 | | 25 | | 129 | | 0 | | 0 | | 5 |
| | | $36.18 Billion | | $10.55 Billion | | $16.46 Billion | | $0 | | $0 | | $642.3 Million |
Charley Hung, CFA | | 6 | | 7 | | 3 | | 0 | | 0 | | 1 |
| | | $1.52 Billion | | $700.3 Million | | $928.2 Million | | $0 | | $0 | | $1.41 Million |
(iv) Portfolio Manager Potential Material Conflicts of Interest
BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or 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. Cucunato, Garfin and Hung 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. Cucunato, Garfin and Hung may therefore be entitled to receive a portion of any incentive fees earned on such accounts.
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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, 2023:
Portfolio Manager Compensation Overview
The discussion below describes the portfolio managers’ compensation as of December 31, 2023.
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
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 |
Jeffrey Cucunato Charley Hung, CFA | | Bloomberg US Credit Index. |
Mitchell S. Garfin, CFA | | 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. |
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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.
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 ($330,000 for 2023). 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.
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(a)(4) Beneficial Ownership of Securities – As of December 31, 2023.
| | |
| Portfolio Manager | | Dollar Range of Equity Securities of the Fund Beneficially Owned |
Jeffrey Cucunato | | $100,001 - $500,000 |
Mitchell S. Garfin, CFA | | $100,001 - $500,000 |
Charley Hung, CFA | | $10,001 - $50,000 |
(b) Not Applicable
| Item 9 – | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
| | | | | | | | |
| Period | | (a) Total
Number of Shares
Purchased1 | | (b) Average Price Paid per Share | | (c) Total Number of Shares Purchased as Part of Publicly Announced
Plans or Programs1 | | (d) Maximum Number of Shares that May Yet Be Purchased Under the Plans or Programs1 |
July 1-31, 2023 | | 0 | | $ - | | 0 | | 4,675,355 |
August 1-31, 2023 | | 0 | | $ - | | 0 | | 4,675,355 |
September 1-30, 2023 | | 0 | | $ - | | 0 | | 4,675,355 |
October 1-31, 2023 | | 0 | | $ - | | 0 | | 4,675,355 |
November 1-30, 2023 | | 182,646 | | $9.7880 | | 182,646 | | 4,492,709 |
December 1-31, 2023 | | 0 | | $ - | | 0 | | 4,666,223 |
Total: | | 182,646 | | 9.7880 | | 182,646 | | 4,666,223 |
1 On September 8, 2022, the Fund announced a continuation of its open market share repurchase program. Commencing on December 1, 2022, the Fund may repurchase through November 30, 2023, up to 5% of its common shares outstanding as of the close of business on November 30, 2022, subject to certain conditions. On November 15, 2023, the Fund announced a further continuation of its open market share repurchase program. Commencing on December 1, 2023, the Fund may repurchase through November 30, 2024, up to 5% of its common shares outstanding as of the close of business on November 30, 2023, subject to certain conditions.
| 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
9
controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the 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 – | Recovery of Erroneously Awarded Compensation – Not Applicable |
| Item 14 – | 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 Credit Allocation Income Trust
| | | | |
| | By: | | /s/ John M. Perlowski |
| | | | John M. Perlowski |
| | | | Chief Executive Officer (principal executive officer) of |
| | | | BlackRock Credit Allocation Income Trust |
Date: February 26, 2024
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 Credit Allocation Income Trust |
Date: February 26, 2024
| | | | |
| | By: | | /s/ Trent Walker |
| | | | Trent Walker |
| | | | Chief Financial Officer (principal financial officer) of |
| | | | BlackRock Credit Allocation Income Trust |
Date: February 26, 2024
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