UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-10543
Name of Fund: BlackRock Core Bond Trust (BHK)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Core Bond Trust, 55 East 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2012
Date of reporting period: 11/30/2011
Item 1 – Schedule of Investments
|
|
|
|
Schedule of Investments November 30, 2011 (Unaudited) |
BlackRock Core Bond Trust (BHK) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
Par |
|
Value |
|
||
Asset-Backed Securities 5.0% |
|
|
|
|
|
|
|
321 Henderson Receivables I LLC, |
|
USD |
829 |
|
$ |
831,015 |
|
AmeriCredit Automobile |
|
|
400 |
|
|
400,610 |
|
Citibank Omni Master Trust, Series |
|
|
730 |
|
|
794,692 |
|
Countrywide Asset-Backed |
|
|
1,200 |
|
|
754,025 |
|
Credit Acceptance Auto Loan Trust, |
|
|
1,980 |
|
|
1,980,596 |
|
DT Auto Owner Trust (a): |
|
|
|
|
|
|
|
Series
2011-2A, Class C, |
|
|
1,500 |
|
|
1,495,617 |
|
Series
2011-3A, Class C, |
|
|
255 |
|
|
255,000 |
|
Globaldrive BV, Series 2008-2, |
|
EUR |
285 |
|
|
385,834 |
|
Home Equity Asset Trust, Series |
|
USD |
147 |
|
|
143,581 |
|
Nelnet Student Loan Trust, Series |
|
|
1,060 |
|
|
985,021 |
|
SLM Student Loan Trust (b): |
|
|
|
|
|
|
|
Series
2004-B, Class A2, |
|
|
223 |
|
|
214,234 |
|
Series
2008-5, Class A3, |
|
|
515 |
|
|
523,121 |
|
Series
2008-5, Class A4, |
|
|
2,000 |
|
|
2,052,324 |
|
Santander Consumer Acquired |
|
|
|
|
|
|
|
Series
2011-S1A, Class B, |
|
|
637 |
|
|
631,335 |
|
Series
2011-S1A, Class C, |
|
|
474 |
|
|
466,348 |
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
Par |
|
Value |
|
||
Asset-Backed Securities (concluded) |
|
|
|
|
|
|
|
Santander Consumer Acquired |
|
|
|
|
|
|
|
Series
2011-S1A, Class D, |
|
USD |
489 |
|
$ |
485,007 |
|
Series
2011-WO, Class C, |
|
|
580 |
|
|
585,162 |
|
Santander Drive Auto Receivables Trust: |
|
|
|
|
|
|
|
Series
2010-2, Class B, |
|
|
860 |
|
|
858,382 |
|
Series
2010-2, Class C, |
|
|
1,010 |
|
|
1,028,570 |
|
Series
2010-B, Class B, |
|
|
700 |
|
|
699,246 |
|
Series
2010-B, Class C, |
|
|
740 |
|
|
733,133 |
|
Series
2011-S1A, Class B, |
|
|
406 |
|
|
402,095 |
|
Series
2011-S1A, Class D, |
|
|
442 |
|
|
440,419 |
|
Series
2011-S2A, Class C, |
|
|
1,045 |
|
|
1,034,462 |
|
Small Business Administration, Class 1: |
|
|
|
|
|
|
|
Series
2003-P10B, 5.14%, |
|
|
266 |
|
|
279,187 |
|
Series
2004-P10B, 4.75%, |
|
|
184 |
|
|
195,064 |
|
|
|
|
|
|
|
18,654,080 |
|
Interest Only Asset-Backed Securities 0.2% |
|
|
|
|
|
|
|
Sterling Bank Trust, Series 2004-2, |
|
|
4,200 |
|
|
326,813 |
|
Sterling Coofs Trust, Series 1, |
|
|
6,510 |
|
|
510,611 |
|
|
|
|
|
|
|
837,424 |
|
Total Asset-Backed Securities 5.2% |
|
|
|
|
|
19,491,504 |
|
|
|
|
|
|
|
|
|
|
Portfolio Abbreviations |
To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:
|
|
AUD |
Australian Dollar |
CAD |
Canadian Dollar |
CNY |
Chinese Renminbi |
EUR |
Euro |
Fannie |
|
Mae |
Federal National Mortgage Association |
FKA |
Formerly Known As |
Freddie |
Federal Home Loan Mortgage |
Mac |
Corporation |
Ginnie |
Government National Mortgage |
Mae |
Association |
JPY |
Japanese Yen |
LIBOR |
London Interbank Offered Rate |
NOK |
Norwegian Krone |
NZD |
New Zealand Dollar |
RB |
Revenue Bonds |
SEK |
Swedish Krona |
SGD |
Singapore Dollar |
TBA |
To Be Announced |
USD |
US Dollar |
|
|
|
|
|
|
|
|
|
BLACKROCK CORE BOND TRUST |
NOVEMBER 30, 2011 |
1 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Common Stocks |
|
Shares |
|
Value |
|
||
Software 0.0% |
|
|
|
|
|
|
|
Bankruptcy Management Solutions, |
|
|
135 |
|
$ |
1 |
|
Total Common Stocks 0.0% |
|
|
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|||||||
Corporate Bonds |
|
Par |
|
|
|
|
|
Aerospace & Defense 0.6% |
|
|
|
|
|
|
|
United Technologies Corp.: |
|
|
|
|
|
|
|
4.88%, 5/01/15 |
|
USD |
1,125 |
|
|
1,258,382 |
|
6.13%, 7/15/38 |
|
|
700 |
|
|
870,088 |
|
|
|
|
|
|
|
2,128,470 |
|
Airlines 0.3% |
|
|
|
|
|
|
|
Continental Airlines, Inc., Series |
|
|
700 |
|
|
644,000 |
|
United Air Lines, Inc., 12.75%, |
|
|
334 |
|
|
347,263 |
|
|
|
|
|
|
|
991,263 |
|
Auto Components 0.1% |
|
|
|
|
|
|
|
BorgWarner, Inc., 4.63%, 9/15/20 |
|
|
265 |
|
|
277,744 |
|
Beverages 0.1% |
|
|
|
|
|
|
|
Crown European Holdings SA, |
|
EUR |
355 |
|
|
477,013 |
|
Building Products 0.1% |
|
|
|
|
|
|
|
Momentive Performance Materials, |
|
USD |
510 |
|
|
364,650 |
|
Capital Markets 5.5% |
|
|
|
|
|
|
|
American Capital Ltd., 7.96%, |
|
|
720 |
|
|
723,456 |
|
CDP Financial, Inc. (a): |
|
|
|
|
|
|
|
3.00%, 11/25/14 |
|
|
1,005 |
|
|
1,046,036 |
|
5.60%, 11/25/39 |
|
|
2,935 |
|
|
3,556,712 |
|
Credit Suisse AG: |
|
|
|
|
|
|
|
2.60%, 5/27/16 (a) |
|
|
570 |
|
|
567,199 |
|
5.40%, 1/14/20 (e) |
|
|
1,795 |
|
|
1,639,144 |
|
E*Trade Financial Corp., 12.50%, |
|
|
1,570 |
|
|
1,774,100 |
|
The Goldman Sachs Group, Inc.: |
|
|
|
|
|
|
|
3.70%, 8/01/15 |
|
|
400 |
|
|
385,986 |
|
3.63%, 2/07/16 (e) |
|
|
4,869 |
|
|
4,583,716 |
|
5.38%, 3/15/20 |
|
|
1,220 |
|
|
1,150,946 |
|
Morgan Stanley: |
|
|
|
|
|
|
|
2.95%, 5/14/13 (b) |
|
|
1,890 |
|
|
1,867,029 |
|
4.20%, 11/20/14 |
|
|
490 |
|
|
465,919 |
|
4.00%, 7/24/15 |
|
|
410 |
|
|
375,337 |
|
6.25%, 8/28/17 |
|
|
1,930 |
|
|
1,831,535 |
|
5.63%, 9/23/19 |
|
|
630 |
|
|
550,294 |
|
5.50%, 7/28/21 |
|
|
360 |
|
|
314,060 |
|
|
|
|
|
|
|
20,831,469 |
|
Chemicals 0.4% |
|
|
|
|
|
|
|
American Pacific Corp., 9.00%, |
|
|
250 |
|
|
242,188 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Chemicals (concluded) |
|
|
|
|
|
|
|
The Dow Chemical Co., 4.13%, |
|
USD |
350 |
|
$ |
346,753 |
|
Huntsman International LLC, 6.88%, |
|
EUR |
435 |
|
|
584,509 |
|
LyondellBasell Industries NV, 6.00%, |
|
USD |
240 |
|
|
244,800 |
|
|
|
|
|
|
|
1,418,250 |
|
Commercial Banks 5.4% |
|
|
|
|
|
|
|
CIT Group, Inc.: |
|
|
|
|
|
|
|
7.00%, 5/01/15 |
|
|
60 |
|
|
60,000 |
|
7.00%, 5/02/16 (a) |
|
|
90 |
|
|
88,875 |
|
7.00%, 5/01/17 |
|
|
333 |
|
|
329,175 |
|
7.00%, 5/02/17 (a) |
|
|
355 |
|
|
349,675 |
|
DEPFA ACS Bank, 5.13%, 3/16/37 |
|
|
3,775 |
|
|
2,640,877 |
|
DnB NOR Boligkreditt (a): |
|
|
|
|
|
|
|
2.10%, 10/14/16 |
|
|
4,020 |
|
|
4,070,081 |
|
2.90%, 3/29/17 |
|
|
2,600 |
|
|
2,688,881 |
|
Eksportfinans ASA, 5.50%, 6/26/17 |
|
|
950 |
|
|
787,600 |
|
HSBC Bank Brasil SA - Banco |
|
|
1,400 |
|
|
1,382,500 |
|
HSBC Bank Plc, 3.10%, 5/24/16 (a) |
|
|
700 |
|
|
696,982 |
|
HSBC Holdings PLC, 6.10%, |
|
|
305 |
|
|
320,492 |
|
Sparebanken 1 Boligkreditt (a): |
|
|
|
|
|
|
|
1.25%, 10/25/14 |
|
|
1,580 |
|
|
1,579,997 |
|
2.63%, 5/27/17 |
|
|
1,675 |
|
|
1,712,101 |
|
Wachovia Corp., 5.25%, 8/01/14 |
|
|
3,425 |
|
|
3,615,848 |
|
|
|
|
|
|
|
20,323,084 |
|
Commercial Services & Supplies 0.1% |
|
|
|
|
|
|
|
ARAMARK Corp., 8.50%, 2/01/15 |
|
|
18 |
|
|
18,450 |
|
AWAS Aviation Capital Ltd., 7.00%, |
|
|
136 |
|
|
135,600 |
|
Mobile Mini, Inc., 7.88%, 12/01/20 |
|
|
320 |
|
|
320,000 |
|
|
|
|
|
|
|
474,050 |
|
Construction & Engineering 0.1% |
|
|
|
|
|
|
|
Abengoa SA, 8.50%, 3/31/16 |
|
EUR |
150 |
|
|
191,477 |
|
Construction Materials 0.1% |
|
|
|
|
|
|
|
Inversiones CMPC SA, 4.75%, |
|
USD |
220 |
|
|
227,615 |
|
Lafarge SA, 7.13%, 7/15/36 |
|
|
165 |
|
|
141,101 |
|
|
|
|
|
|
|
368,716 |
|
Consumer Finance 0.4% |
|
|
|
|
|
|
|
Ford Motor Credit Co. LLC: |
|
|
|
|
|
|
|
3.15%, 1/13/12 (b) |
|
|
125 |
|
|
125,188 |
|
7.80%, 6/01/12 |
|
|
340 |
|
|
350,263 |
|
SLM Corp.: |
|
|
|
|
|
|
|
6.25%, 1/25/16 |
|
|
661 |
|
|
628,524 |
|
Series A, 0.72%, 1/27/14 (b) |
|
|
550 |
|
|
498,669 |
|
|
|
|
|
|
|
1,602,644 |
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORE BOND TRUST |
NOVEMBER 30, 2011 |
2 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Containers & Packaging 0.6% |
|
|
|
|
|
|
|
Ardagh Packaging Finance Plc, |
|
EUR |
425 |
|
$ |
549,657 |
|
Pregis Corp., 12.38%, 10/15/13 |
|
USD |
165 |
|
|
153,450 |
|
Smurfit Kappa Acquisitions (a): |
|
|
|
|
|
|
|
7.25%, 11/15/17 |
|
EUR |
725 |
|
|
993,666 |
|
7.75%, 11/15/19 |
|
|
410 |
|
|
556,426 |
|
|
|
|
|
|
|
2,253,199 |
|
Diversified Financial Services 7.4% |
|
|
|
|
|
|
|
Ally Financial, Inc.: |
|
|
|
|
|
|
|
8.30%, 2/12/15 |
|
USD |
1,500 |
|
|
1,518,750 |
|
6.25%, 12/01/17 |
|
|
160 |
|
|
147,022 |
|
8.00%, 3/15/20 |
|
|
560 |
|
|
552,300 |
|
Capital One Financial Corp.: |
|
|
|
|
|
|
|
3.15%, 7/15/16 |
|
|
2,100 |
|
|
2,094,240 |
|
4.75%, 7/15/21 |
|
|
960 |
|
|
980,774 |
|
Citigroup, Inc.: |
|
|
|
|
|
|
|
5.00%, 9/15/14 |
|
|
285 |
|
|
285,139 |
|
4.59%, 12/15/15 |
|
|
6,390 |
|
|
6,402,256 |
|
General Electric Capital Corp.: |
|
|
|
|
|
|
|
6.15%, 8/07/37 |
|
|
4,150 |
|
|
4,148,498 |
|
6.88%, 1/10/39 |
|
|
135 |
|
|
150,086 |
|
JPMorgan Chase & Co. (e): |
|
|
|
|
|
|
|
3.70%, 1/20/15 |
|
|
3,425 |
|
|
3,494,483 |
|
6.30%, 4/23/19 |
|
|
2,000 |
|
|
2,210,690 |
|
JPMorgan Chase Bank NA, Series |
|
|
2,050 |
|
|
2,193,471 |
|
Reynolds Group Issuer, Inc. (a): |
|
|
|
|
|
|
|
8.75%, 10/15/16 (g) |
|
EUR |
550 |
|
|
724,254 |
|
7.88%, 8/15/19 |
|
USD |
660 |
|
|
663,300 |
|
6.88%, 2/15/21 |
|
|
1,215 |
|
|
1,160,325 |
|
WMG Acquisition Corp. (a): |
|
|
|
|
|
|
|
9.50%, 6/15/16 |
|
|
160 |
|
|
168,000 |
|
11.50%, 10/01/18 |
|
|
785 |
|
|
773,225 |
|
|
|
|
|
|
|
27,666,813 |
|
Diversified Telecommunication Services 3.3% |
|
|
|
|
|
|
|
Level 3 Escrow, Inc., 8.13%, |
|
|
348 |
|
|
328,860 |
|
Level 3 Financing, Inc., 8.75%, |
|
|
239 |
|
|
237,805 |
|
Qwest Communications International, Inc.: |
|
|
|
|
|
|
|
7.50%, 2/15/14 |
|
|
1,200 |
|
|
1,207,500 |
|
Series B, 7.50%, 2/15/14 |
|
|
290 |
|
|
291,813 |
|
Telecom Italia Capital SA: |
|
|
|
|
|
|
|
4.95%, 9/30/14 |
|
|
1,075 |
|
|
996,413 |
|
6.00%, 9/30/34 |
|
|
1,550 |
|
|
1,097,608 |
|
Telefonica Emisiones SAU, 7.05%, |
|
|
1,975 |
|
|
1,775,071 |
|
Verizon Communications, Inc.: |
|
|
|
|
|
|
|
3.50%, 11/01/21 |
|
|
500 |
|
|
497,503 |
|
6.40%, 2/15/38 |
|
|
3,483 |
|
|
4,166,218 |
|
8.95%, 3/01/39 |
|
|
900 |
|
|
1,380,987 |
|
Verizon New Jersey, Inc., 5.88%, |
|
|
335 |
|
|
336,806 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Diversified Telecommunication Services (concluded) |
|
|
|
|
|
|
|
Windstream Corp., 7.88%, |
|
USD |
40 |
|
$ |
41,800 |
|
|
|
|
|
|
|
12,358,384 |
|
Electric Utilities 6.4% |
|
|
|
|
|
|
|
Alabama Power Co.: |
|
|
|
|
|
|
|
3.95%, 6/01/21 |
|
|
460 |
|
|
497,038 |
|
6.00%, 3/01/39 (e) |
|
|
1,275 |
|
|
1,659,610 |
|
Cleveland Electric Illuminating Co.: |
|
|
|
|
|
|
|
8.88%, 11/15/18 |
|
|
121 |
|
|
162,378 |
|
5.95%, 12/15/36 |
|
|
217 |
|
|
225,898 |
|
Duke Energy Carolinas LLC: |
|
|
|
|
|
|
|
6.10%, 6/01/37 |
|
|
315 |
|
|
397,020 |
|
6.00%, 1/15/38 |
|
|
825 |
|
|
1,052,598 |
|
EDF SA, 5.60%, 1/27/40 (a) |
|
|
1,400 |
|
|
1,421,430 |
|
E.ON International Finance BV, |
|
|
1,525 |
|
|
1,946,838 |
|
Florida Power & Light Co., 4.95%, |
|
|
950 |
|
|
1,072,265 |
|
Florida Power Corp.: |
|
|
|
|
|
|
|
6.35%, 9/15/37 (e) |
|
|
1,325 |
|
|
1,747,610 |
|
6.40%, 6/15/38 |
|
|
430 |
|
|
572,726 |
|
Hydro-Quebec: |
|
|
|
|
|
|
|
9.40%, 2/01/21 |
|
|
390 |
|
|
583,722 |
|
8.40%, 1/15/22 |
|
|
730 |
|
|
1,050,172 |
|
8.05%, 7/07/24 |
|
|
1,900 |
|
|
2,806,045 |
|
Jersey Central Power & Light Co., |
|
|
245 |
|
|
308,301 |
|
PacifiCorp., 6.25%, 10/15/37 |
|
|
575 |
|
|
728,656 |
|
Public Service Co. of Colorado, |
|
|
1,200 |
|
|
1,609,650 |
|
Southern California Edison Co.: |
|
|
|
|
|
|
|
5.63%, 2/01/36 |
|
|
625 |
|
|
776,633 |
|
Series 08-A, 5.95%, 2/01/38 |
|
|
1,075 |
|
|
1,393,845 |
|
The Tokyo Electric Power Co., Inc., |
|
EUR |
750 |
|
|
856,609 |
|
The Toledo Edison Co., 6.15%, |
|
USD |
350 |
|
|
411,402 |
|
Trans-Allegheny Interstate Line Co., |
|
|
250 |
|
|
262,270 |
|
Virginia Electric and Power Co., |
|
|
2,000 |
|
|
2,525,694 |
|
|
|
|
|
|
|
24,068,410 |
|
Energy Equipment & Services 2.3% |
|
|
|
|
|
|
|
Calfrac Holdings LP, 7.50%, |
|
|
565 |
|
|
545,225 |
|
Ensco Plc: |
|
|
|
|
|
|
|
3.25%, 3/15/16 |
|
|
160 |
|
|
162,853 |
|
4.70%, 3/15/21 |
|
|
1,745 |
|
|
1,771,121 |
|
Exterran Holdings, Inc., 7.25%, |
|
|
475 |
|
|
451,250 |
|
Frac Tech Services LLC, 7.63%, |
|
|
1,110 |
|
|
1,118,325 |
|
Peabody Energy Corp., 6.25%, |
|
|
3,845 |
|
|
3,873,838 |
|
Pride International, Inc., 6.88%, |
|
|
230 |
|
|
264,992 |
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORE BOND TRUST |
NOVEMBER 30, 2011 |
3 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Energy Equipment & Services (concluded) |
|
|
|
|
|
|
|
Transocean, Inc., 6.38%, 12/15/21 |
|
USD |
615 |
|
$ |
614,668 |
|
|
|
|
|
|
|
8,802,272 |
|
Food & Staples Retailing 0.9% |
|
|
|
|
|
|
|
Wal-Mart Stores, Inc.: |
|
|
|
|
|
|
|
6.50%, 8/15/37 |
|
|
1,900 |
|
|
2,396,267 |
|
6.20%, 4/15/38 |
|
|
850 |
|
|
1,047,140 |
|
|
|
|
|
|
|
3,443,407 |
|
Food Products 1.0% |
|
|
|
|
|
|
|
Darling International, Inc., 8.50%, |
|
|
335 |
|
|
368,500 |
|
Kraft Foods, Inc., 5.38%, 2/10/20 |
|
|
2,550 |
|
|
2,831,872 |
|
Sara Lee Corp., 4.10%, 9/15/20 |
|
|
500 |
|
|
501,072 |
|
|
|
|
|
|
|
3,701,444 |
|
Health Care Equipment & Supplies 0.5% |
|
|
|
|
|
|
|
DJO Finance LLC: |
|
|
|
|
|
|
|
10.88%, 11/15/14 |
|
|
810 |
|
|
763,425 |
|
7.75%, 4/15/18 |
|
|
735 |
|
|
589,838 |
|
ExamWorks Group, Inc., 9.00%, |
|
|
150 |
|
|
133,875 |
|
Teleflex, Inc., 6.88%, 6/01/19 |
|
|
385 |
|
|
389,331 |
|
|
|
|
|
|
|
1,876,469 |
|
Health Care Providers & Services 2.5% |
|
|
|
|
|
|
|
Aviv Healthcare Properties LP, |
|
|
175 |
|
|
165,375 |
|
ConvaTec Healthcare E SA, 7.38%, |
|
EUR |
494 |
|
|
627,279 |
|
Fresenius Medical Care US Finance, |
|
USD |
152 |
|
|
157,700 |
|
HCA, Inc.: |
|
|
|
|
|
|
|
6.50%, 2/15/20 |
|
|
2,115 |
|
|
2,104,425 |
|
7.88%, 2/15/20 |
|
|
135 |
|
|
142,088 |
|
7.50%, 2/15/22 |
|
|
1,020 |
|
|
1,004,700 |
|
Health Management Associates, |
|
|
580 |
|
|
583,625 |
|
IASIS Healthcare LLC, 8.38%, |
|
|
1,000 |
|
|
832,500 |
|
INC Research LLC, 11.50%, |
|
|
545 |
|
|
490,500 |
|
inVentiv Health, Inc., 10.00%, |
|
|
400 |
|
|
379,000 |
|
Omnicare, Inc., 7.75%, 6/01/20 |
|
|
805 |
|
|
848,269 |
|
Symbion, Inc., 8.00%, 6/15/16 (a) |
|
|
455 |
|
|
420,875 |
|
Tenet Healthcare Corp.: |
|
|
|
|
|
|
|
10.00%, 5/01/18 |
|
|
200 |
|
|
225,000 |
|
8.88%, 7/01/19 |
|
|
1,150 |
|
|
1,253,500 |
|
UnitedHealth Group, Inc., 3.38%, |
|
|
160 |
|
|
158,727 |
|
|
|
|
|
|
|
9,393,563 |
|
Health Care Technology 0.7% |
|
|
|
|
|
|
|
Amgen, Inc.: |
|
|
|
|
|
|
|
3.88%, 11/15/21 |
|
|
1,500 |
|
|
1,478,645 |
|
5.15%, 11/15/41 |
|
|
750 |
|
|
723,143 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Health Care Technology (concluded) |
|
|
|
|
|
|
|
Boston Scientific Corp., 6.25%, |
|
USD |
531 |
|
$ |
586,328 |
|
|
|
|
|
|
|
2,788,116 |
|
Hotels, Restaurants & Leisure 0.2% |
|
|
|
|
|
|
|
El Dorado Resorts LLC, 8.63%, |
|
|
180 |
|
|
158,850 |
|
MGM Resorts International, 11.13%, |
|
|
265 |
|
|
296,469 |
|
Yum! Brands, Inc.: |
|
|
|
|
|
|
|
6.25%, 4/15/16 |
|
|
265 |
|
|
299,903 |
|
5.30%, 9/15/19 |
|
|
175 |
|
|
194,765 |
|
|
|
|
|
|
|
949,987 |
|
Household Durables 0.9% |
|
|
|
|
|
|
|
Beazer Homes USA, Inc., 12.00%, |
|
|
1,050 |
|
|
1,092,000 |
|
Standard Pacific Corp., 10.75%, |
|
|
2,100 |
|
|
2,142,000 |
|
|
|
|
|
|
|
3,234,000 |
|
Household Products 0.1% |
|
|
|
|
|
|
|
Ontex IV SA, 7.50%, 4/15/18 (a) |
|
EUR |
190 |
|
|
227,220 |
|
IT Services 0.9% |
|
|
|
|
|
|
|
First Data Corp. (a): |
|
|
|
|
|
|
|
7.38%, 6/15/19 |
|
USD |
605 |
|
|
568,700 |
|
8.25%, 1/15/21 |
|
|
80 |
|
|
69,200 |
|
SunGard Data Systems, Inc.: |
|
|
|
|
|
|
|
7.38%, 11/15/18 |
|
|
1,080 |
|
|
1,063,800 |
|
7.63%, 11/15/20 |
|
|
1,730 |
|
|
1,712,700 |
|
|
|
|
|
|
|
3,414,400 |
|
Independent Power Producers & Energy Traders 1.1% |
|
|
|
|
|
|
|
Energy Future Holdings Corp., |
|
|
1,520 |
|
|
1,558,000 |
|
Energy Future Intermediate Holding |
|
|
652 |
|
|
671,560 |
|
NRG Energy, Inc., 7.63%, 1/15/18 |
|
|
2,110 |
|
|
2,078,350 |
|
|
|
|
|
|
|
4,307,910 |
|
Industrial Conglomerates 0.7% |
|
|
|
|
|
|
|
Sequa Corp. (a): |
|
|
|
|
|
|
|
11.75%, 12/01/15 |
|
|
690 |
|
|
729,675 |
|
13.50%, 12/01/15 |
|
|
1,940 |
|
|
2,071,368 |
|
|
|
|
|
|
|
2,801,043 |
|
Insurance 2.2% |
|
|
|
|
|
|
|
American International Group, Inc., |
|
|
800 |
|
|
758,266 |
|
CNO Financial Group, Inc., 9.00%, |
|
|
478 |
|
|
501,900 |
|
Fairfax Financial Holdings, Ltd., |
|
|
820 |
|
|
754,382 |
|
Hartford Financial Services Group, |
|
|
345 |
|
|
345,368 |
|
Hartford Life Global Funding Trusts, |
|
|
425 |
|
|
416,338 |
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORE BOND TRUST |
NOVEMBER 30, 2011 |
4 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Insurance (concluded) |
|
|
|
|
|
|
|
Lincoln National Corp., 6.25%, |
|
USD |
630 |
|
$ |
668,017 |
|
MPL 2 Acquisition Canco, Inc., |
|
|
340 |
|
|
299,200 |
|
Manulife Financial Corp., 3.40%, |
|
|
1,630 |
|
|
1,610,104 |
|
Metropolitan Life Global Funding I, |
|
|
775 |
|
|
832,152 |
|
Prudential Financial, Inc.: |
|
|
|
|
|
|
|
7.38%, 6/15/19 |
|
|
250 |
|
|
286,863 |
|
5.38%, 6/21/20 |
|
|
250 |
|
|
258,733 |
|
4.50%, 11/15/20 |
|
|
450 |
|
|
437,395 |
|
5.70%, 12/14/36 |
|
|
675 |
|
|
628,963 |
|
Series D, 5.90%, 3/17/36 |
|
|
500 |
|
|
474,524 |
|
|
|
|
|
|
|
8,272,205 |
|
Life Sciences Tools & Services 0.0% |
|
|
|
|
|
|
|
Life Technologies Corp., 5.00%, |
|
|
105 |
|
|
108,804 |
|
Machinery 0.3% |
|
|
|
|
|
|
|
AGY Holding Corp., 11.00%, |
|
|
310 |
|
|
195,300 |
|
Navistar International Corp.: |
|
|
|
|
|
|
|
3.00%, 10/15/14 (h) |
|
|
810 |
|
|
863,663 |
|
8.25%, 11/01/21 |
|
|
14 |
|
|
14,595 |
|
|
|
|
|
|
|
1,073,558 |
|
Marine 0.3% |
|
|
|
|
|
|
|
Nakilat, Inc., Series A, 6.07%, |
|
|
1,050 |
|
|
1,139,250 |
|
Media 8.9% |
|
|
|
|
|
|
|
AMC Networks, Inc., 7.75%, |
|
|
320 |
|
|
338,400 |
|
Affinion Group, Inc., 7.88%, |
|
|
1,045 |
|
|
869,963 |
|
CBS Corp.: |
|
|
|
|
|
|
|
4.63%, 5/15/18 |
|
|
810 |
|
|
833,390 |
|
8.88%, 5/15/19 |
|
|
325 |
|
|
415,036 |
|
5.75%, 4/15/20 |
|
|
250 |
|
|
274,299 |
|
CCH II LLC, 13.50%, 11/30/16 |
|
|
2,300 |
|
|
2,651,183 |
|
Cengage Learning Acquisitions, Inc. |
|
|
330 |
|
|
239,250 |
|
Clear Channel Communications, Inc., |
|
|
975 |
|
|
804,375 |
|
Clear Channel Worldwide Holdings, |
|
|
2,172 |
|
|
2,286,030 |
|
Comcast Cable Communications |
|
|
600 |
|
|
831,229 |
|
Comcast Corp., 6.45%, 3/15/37 |
|
|
790 |
|
|
896,217 |
|
Cox Communications, Inc., 8.38%, |
|
|
905 |
|
|
1,192,702 |
|
Cox Enterprises, Inc.: |
|
|
|
|
|
|
|
Loan Close 2, 4.00%, 8/15/18 |
|
|
945 |
|
|
965,597 |
|
Loan Close 3, 4.00%, 8/15/18 |
|
|
1,080 |
|
|
1,103,955 |
|
Shares Loan, 4.00%, 8/15/18 |
|
|
1,114 |
|
|
1,138,566 |
|
DIRECTV Holdings LLC, 3.13%, |
|
|
1,380 |
|
|
1,400,115 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Media (concluded) |
|
|
|
|
|
|
|
Gray Television, Inc., 10.50%, |
|
USD |
1,055 |
|
$ |
981,150 |
|
Intelsat Luxemburg SA: |
|
|
|
|
|
|
|
11.25%, 6/15/16 |
|
|
490 |
|
|
509,600 |
|
11.50%, 2/04/17 (f) |
|
|
415 |
|
|
380,763 |
|
Interactive Data Corp., 10.25%, |
|
|
1,330 |
|
|
1,423,100 |
|
NBC Universal Media LLC: |
|
|
|
|
|
|
|
5.15%, 4/30/20 |
|
|
1,983 |
|
|
2,145,780 |
|
4.38%, 4/01/21 |
|
|
1,015 |
|
|
1,038,766 |
|
News America, Inc.: |
|
|
|
|
|
|
|
4.50%, 2/15/21 |
|
|
40 |
|
|
40,297 |
|
7.63%, 11/30/28 |
|
|
385 |
|
|
456,926 |
|
The New York Times Co., 6.63%, |
|
|
1,800 |
|
|
1,818,000 |
|
TCI Communications, Inc., 7.88%, |
|
|
610 |
|
|
783,773 |
|
Time Warner Cable, Inc.: |
|
|
|
|
|
|
|
7.30%, 7/01/38 |
|
|
930 |
|
|
1,113,218 |
|
5.88%, 11/15/40 |
|
|
465 |
|
|
476,986 |
|
5.50%, 9/01/41 |
|
|
920 |
|
|
914,334 |
|
Time Warner, Inc.: |
|
|
|
|
|
|
|
4.70%, 1/15/21 |
|
|
350 |
|
|
367,448 |
|
6.10%, 7/15/40 |
|
|
215 |
|
|
233,735 |
|
Unitymedia Hessen GmbH & Co. KG |
|
|
2,370 |
|
|
2,447,025 |
|
Virgin Media Secured Finance Plc, |
|
|
525 |
|
|
553,875 |
|
Ziggo Finance BV, 6.13%, 11/15/17 |
|
EUR |
1,135 |
|
|
1,486,971 |
|
|
|
|
|
|
|
33,412,054 |
|
Metals & Mining 3.8% |
|
|
|
|
|
|
|
Alcoa, Inc., 5.40%, 4/15/21 |
|
USD |
1,450 |
|
|
1,381,276 |
|
AngloGold Ashanti Holdings Plc, |
|
|
320 |
|
|
312,719 |
|
Barrick Gold Corp., 2.90%, 5/30/16 |
|
|
2,331 |
|
|
2,374,904 |
|
Barrick North America Finance LLC, |
|
|
15 |
|
|
15,687 |
|
Cliffs Natural Resources, Inc.: |
|
|
|
|
|
|
|
4.80%, 10/01/20 |
|
|
240 |
|
|
234,586 |
|
4.88%, 4/01/21 |
|
|
690 |
|
|
672,555 |
|
Corporacion Nacional del Cobre de |
|
|
259 |
|
|
258,994 |
|
Falconbridge Ltd., 6.20%, 6/15/35 |
|
|
1,250 |
|
|
1,228,422 |
|
Joy Global, Inc., 5.13%, 10/15/21 |
|
|
225 |
|
|
237,739 |
|
New World Resources NV, 7.88%, |
|
EUR |
215 |
|
|
265,784 |
|
Newcrest Finance Pty, Ltd., 4.45%, |
|
USD |
515 |
|
|
504,052 |
|
Novelis, Inc., 8.75%, 12/15/20 |
|
|
4,120 |
|
|
4,346,600 |
|
Teck Resources Ltd., 5.38%, |
|
|
2,359 |
|
|
2,568,342 |
|
|
|
|
|
|
|
14,401,660 |
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORE BOND TRUST |
NOVEMBER 30, 2011 |
5 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Multiline Retail 0.3% |
|
|
|
|
|
|
|
Macys Retail Holdings, Inc.: |
|
|
|
|
|
|
|
5.90%, 12/01/16 |
|
USD |
800 |
|
$ |
888,968 |
|
7.45%, 7/15/17 |
|
|
150 |
|
|
176,150 |
|
|
|
|
|
|
|
1,065,118 |
|
Oil, Gas & Consumable Fuels 8.8% |
|
|
|
|
|
|
|
Anadarko Petroleum Corp.: |
|
|
|
|
|
|
|
5.95%, 9/15/16 |
|
|
1,916 |
|
|
2,142,755 |
|
6.38%, 9/15/17 |
|
|
924 |
|
|
1,059,006 |
|
Arch Coal, Inc., 7.25%, 10/01/20 |
|
|
805 |
|
|
788,900 |
|
BP Capital Markets Plc, 3.13%, |
|
|
330 |
|
|
340,586 |
|
Bill Barrett Corp., 9.88%, 7/15/16 |
|
|
40 |
|
|
43,800 |
|
Burlington Resources Finance Co., |
|
|
875 |
|
|
1,218,440 |
|
Cenovus Energy, Inc., 6.75%, |
|
|
750 |
|
|
942,173 |
|
Chesapeake Energy Corp., 6.63%, |
|
|
191 |
|
|
197,685 |
|
ConocoPhillips Canada Funding Co., |
|
|
535 |
|
|
642,005 |
|
Constellation Energy Group, Inc., |
|
|
200 |
|
|
244,210 |
|
Crosstex Energy LP, 8.88%, 2/15/18 |
|
|
130 |
|
|
138,450 |
|
Devon Energy Corp., 7.95%, |
|
|
625 |
|
|
854,627 |
|
El Paso Pipeline Partners Operating |
|
|
240 |
|
|
263,900 |
|
EnCana Corp.: |
|
|
|
|
|
|
|
6.50%, 8/15/34 |
|
|
670 |
|
|
756,943 |
|
6.63%, 8/15/37 |
|
|
700 |
|
|
813,797 |
|
Energy XXI Gulf Coast, Inc., 9.25%, |
|
|
540 |
|
|
553,500 |
|
Enterprise Products Operating LLC: |
|
|
|
|
|
|
|
6.13%, 10/15/39 |
|
|
700 |
|
|
747,148 |
|
Series L, 6.30%, 9/15/17 |
|
|
575 |
|
|
668,183 |
|
KeySpan Gas East Corp., 5.82%, |
|
|
505 |
|
|
604,256 |
|
Kinder Morgan Energy Partners LP: |
|
|
|
|
|
|
|
5.95%, 2/15/18 |
|
|
1,300 |
|
|
1,451,376 |
|
6.55%, 9/15/40 |
|
|
110 |
|
|
118,676 |
|
6.38%, 3/01/41 |
|
|
150 |
|
|
162,238 |
|
Marathon Petroleum Corp., 6.50%, |
|
|
997 |
|
|
1,087,717 |
|
MidAmerican Energy Co., 5.80%, |
|
|
700 |
|
|
813,079 |
|
MidAmerican Energy Holdings Co.: |
|
|
|
|
|
|
|
5.95%, 5/15/37 |
|
|
800 |
|
|
936,662 |
|
6.50%, 9/15/37 |
|
|
1,900 |
|
|
2,377,238 |
|
Nexen, Inc., 7.50%, 7/30/39 |
|
|
1,000 |
|
|
1,139,930 |
|
Niska Gas Storage US LLC, 8.88%, |
|
|
695 |
|
|
677,625 |
|
Petrobras International Finance Co.: |
|
|
|
|
|
|
|
3.88%, 1/27/16 |
|
|
1,340 |
|
|
1,360,012 |
|
5.88%, 3/01/18 |
|
|
75 |
|
|
79,628 |
|
5.75%, 1/20/20 |
|
|
1,725 |
|
|
1,790,578 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Oil, Gas & Consumable Fuels (concluded) |
|
|
|
|
|
|
|
Premier Oil, 5.00%, 5/10/18 |
|
USD |
1,900 |
|
$ |
1,966,500 |
|
Range Resources Corp., 5.75%, |
|
|
935 |
|
|
998,112 |
|
Rockies Express Pipeline LLC (a): |
|
|
|
|
|
|
|
3.90%, 4/15/15 |
|
|
804 |
|
|
791,433 |
|
6.85%, 7/15/18 |
|
|
206 |
|
|
210,692 |
|
Suncor Energy, Inc., 6.10%, |
|
|
1,750 |
|
|
2,048,594 |
|
Western Gas Partners LP, 5.38%, |
|
|
710 |
|
|
712,875 |
|
Williams Partners LP, 4.13%, |
|
|
980 |
|
|
987,647 |
|
Woodside Finance, Ltd., 4.60%, |
|
|
205 |
|
|
209,402 |
|
|
|
|
|
|
|
32,940,378 |
|
Paper & Forest Products 0.8% |
|
|
|
|
|
|
|
Boise Paper Holdings LLC: |
|
|
|
|
|
|
|
9.00%, 11/01/17 |
|
|
185 |
|
|
198,875 |
|
8.00%, 4/01/20 |
|
|
210 |
|
|
221,025 |
|
Clearwater Paper Corp., 10.63%, |
|
|
620 |
|
|
688,200 |
|
International Paper Co.: |
|
|
|
|
|
|
|
4.75%, 2/15/22 |
|
|
420 |
|
|
426,023 |
|
6.00%, 11/15/41 |
|
|
310 |
|
|
313,772 |
|
NewPage Corp., 11.38%, 12/31/14 |
|
|
430 |
|
|
299,925 |
|
Verso Paper Holdings LLC, 11.50%, |
|
|
670 |
|
|
683,400 |
|
|
|
|
|
|
|
2,831,220 |
|
Pharmaceuticals 0.6% |
|
|
|
|
|
|
|
Capsugel Finance Co. SCA, 9.88%, |
|
EUR |
200 |
|
|
268,740 |
|
Endo Pharmaceuticals Holdings, |
|
USD |
245 |
|
|
251,125 |
|
Jaguar Holding Co. II / Jaguar Merger |
|
|
620 |
|
|
623,100 |
|
Teva Pharmaceutical Finance IV BV, |
|
|
1,000 |
|
|
982,792 |
|
|
|
|
|
|
|
2,125,757 |
|
Real Estate Investment Trusts (REITs) 0.3% |
|
|
|
|
|
|
|
Ventas Realty LP / Ventas Capital |
|
|
275 |
|
|
264,427 |
|
Vornado Realty LP, 5.00%, 1/15/22 |
|
|
785 |
|
|
781,436 |
|
|
|
|
|
|
|
1,045,863 |
|
Real Estate Management & Development 0.2% |
|
|
|
|
|
|
|
Realogy Corp., 7.88%, 2/15/19 (a) |
|
|
434 |
|
|
373,240 |
|
WEA Finance LLC, 4.63%, 5/10/21 |
|
|
305 |
|
|
292,705 |
|
|
|
|
|
|
|
665,945 |
|
Road & Rail 0.6% |
|
|
|
|
|
|
|
Burlington Northern Santa Fe LLC, |
|
|
950 |
|
|
1,074,351 |
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORE BOND TRUST |
NOVEMBER 30, 2011 |
6 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
Road & Rail (concluded) |
|
|
|
|
|
|
|
Florida East Coast Railway Corp., |
|
USD |
490 |
|
$ |
488,163 |
|
The Hertz Corp., 7.38%, 1/15/21 |
|
|
650 |
|
|
643,500 |
|
|
|
|
|
|
|
2,206,014 |
|
Semiconductors & Semiconductor Equipment 0.1% |
|
|
|
|
|
|
|
Spansion LLC, 7.88%, 11/15/17 (a) |
|
|
390 |
|
|
397,800 |
|
Software 0.2% |
|
|
|
|
|
|
|
Oracle Corp., 5.38%, 7/15/40 (a) |
|
|
775 |
|
|
891,429 |
|
Specialty Retail 0.3% |
|
|
|
|
|
|
|
Home Depot, Inc., 5.88%, 12/16/36 |
|
|
830 |
|
|
962,905 |
|
QVC, Inc. (a): |
|
|
|
|
|
|
|
7.50%, 10/01/19 |
|
|
35 |
|
|
37,187 |
|
7.38%, 10/15/20 |
|
|
35 |
|
|
37,188 |
|
|
|
|
|
|
|
1,037,280 |
|
Thrifts & Mortgage Finance 0.5% |
|
|
|
|
|
|
|
Northern Rock Plc, 5.63%, 6/22/17 |
|
|
290 |
|
|
306,001 |
|
Radian Group, Inc.: |
|
|
|
|
|
|
|
5.63%, 2/15/13 |
|
|
1,400 |
|
|
854,000 |
|
5.38%, 6/15/15 |
|
|
1,400 |
|
|
602,000 |
|
|
|
|
|
|
|
1,762,001 |
|
Wireless Telecommunication Services 1.8% |
|
|
|
|
|
|
|
America Movil SAB de CV, 2.38%, |
|
|
795 |
|
|
776,418 |
|
Crown Castle Towers LLC, 6.11%, |
|
|
1,560 |
|
|
1,734,104 |
|
Digicel Group Ltd. (a): |
|
|
|
|
|
|
|
9.13%, 1/15/15 (f) |
|
|
560 |
|
|
551,600 |
|
8.25%, 9/01/17 |
|
|
150 |
|
|
147,750 |
|
MetroPCS Wireless, Inc., 6.63%, |
|
|
960 |
|
|
837,600 |
|
Rogers Communications, Inc., |
|
|
1,150 |
|
|
1,504,684 |
|
SBA Tower Trust, 5.10%, 4/15/17 |
|
|
360 |
|
|
378,000 |
|
Sprint Capital Corp., 6.88%, |
|
|
645 |
|
|
449,887 |
|
Sprint Nextel Corp., 9.00%, |
|
|
550 |
|
|
554,125 |
|
|
|
|
|
|
|
6,934,168 |
|
Total Corporate Bonds 72.7% |
|
|
|
|
|
273,045,971 |
|
|
|
|
|
|
|
|
|
|
|||||||
Foreign Agency Obligations |
|
|
|
|
|
|
|
Hellenic Republic Government Bond, |
|
EUR |
160 |
|
|
49,470 |
|
Italy Buoni Poliennali Del Tesoro, |
|
|
3,070 |
|
|
3,682,008 |
|
|
|
|
|
|
|
|
|
Foreign Agency Obligations |
|
Par |
|
Value |
|
||
Italy Government International Bond, |
|
USD |
455 |
|
$ |
367,268 |
|
Kreditanstalt fuer Wiederaufbau: |
|
|
|
|
|
|
|
1.38%, 7/15/13 (k) |
|
|
660 |
|
|
666,281 |
|
2.00%, 6/01/16 |
|
|
595 |
|
|
614,579 |
|
Mexico Government International Bond: |
|
|
|
|
|
|
|
5.63%, 1/15/17 |
|
|
370 |
|
|
418,655 |
|
5.13%, 1/15/20 |
|
|
145 |
|
|
162,255 |
|
Poland Government International |
|
|
705 |
|
|
697,950 |
|
Total Foreign Agency Obligations 1.8% |
|
|
|
|
|
6,658,466 |
|
|
|
|
|
|
|
|
|
|
|||||||
Non-Agency
Mortgage-Backed |
|
|
|
|
|
|
|
Collateralized Mortgage Obligations 4.9% |
|
|
|
|
|
|
|
Banc of America Funding Corp., |
|
|
1,100 |
|
|
825,878 |
|
Bear Stearns Adjustable Rate |
|
|
405 |
|
|
348,677 |
|
Countrywide Alternative Loan Trust: |
|
|
|
|
|
|
|
Series
2005-64CB, Class |
|
|
1,551 |
|
|
1,120,440 |
|
Series
2006-0A21, Class A1, |
|
|
831 |
|
|
383,284 |
|
Series
2006-41CB, Class 1A4, |
|
|
764 |
|
|
503,098 |
|
Series
2007-HY4, Class 4A1, |
|
|
919 |
|
|
570,752 |
|
Countrywide Home Loan Mortgage Pass- |
|
|
|
|
|
|
|
Series
2006-0A5, Class 2A1, |
|
|
343 |
|
|
171,702 |
|
Series
2007-10, Class A22, |
|
|
704 |
|
|
537,987 |
|
Credit Suisse Mortgage Capital |
|
|
|
|
|
|
|
Series
2006-C3, Class AM, |
|
|
1,000 |
|
|
975,442 |
|
Series
2006-C5, Class AM, |
|
|
1,750 |
|
|
1,518,853 |
|
Series
2007-1, Class 5A14, |
|
|
549 |
|
|
425,074 |
|
Series
2010-RR2, Class 2A, |
|
|
1,010 |
|
|
1,117,681 |
|
Series
2011-2R, Class 2A1, |
|
|
1,450 |
|
|
1,409,252 |
|
CS First Boston Mortgage Securities |
|
|
869 |
|
|
564,417 |
|
Deutsche ALT-A Securities, Inc. |
|
|
263 |
|
|
145,663 |
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORE BOND TRUST |
NOVEMBER 30, 2011 |
7 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed |
|
Par |
|
Value |
|
||
Collateralized Mortgage Obligations (concluded) |
|
|
|
|
|
|
|
GMAC Mortgage Corp. Loan Trust, |
|
USD |
1,291 |
|
$ |
1,198,441 |
|
GSR Mortgage Loan Trust: |
|
|
|
|
|
|
|
Series
2006-4F, Class 1A1, |
|
|
689 |
|
|
573,737 |
|
Series
2007-4F, Class 3A1, |
|
|
809 |
|
|
693,987 |
|
Homebanc Mortgage Trust, Series |
|
|
660 |
|
|
397,910 |
|
IndyMac IMJA Mortgage Loan Trust, |
|
|
1,011 |
|
|
824,440 |
|
JPMorgan Mortgage Trust: |
|
|
|
|
|
|
|
Series
2006-S3, Class 1A12, |
|
|
476 |
|
|
454,005 |
|
Series
2007-S1, Class 2A22, |
|
|
513 |
|
|
407,311 |
|
Merrill Lynch Mortgage Investors, |
|
|
718 |
|
|
434,004 |
|
Residential Funding Mortgage |
|
|
476 |
|
|
361,540 |
|
Structured Asset Securities Corp., |
|
|
1,454 |
|
|
1,326,195 |
|
Wells Fargo Mortgage-Backed Securities |
|
|
|
|
|
|
|
Series
2006-3, Class A9, |
|
|
330 |
|
|
321,461 |
|
Series
2006-9, Class 1A29, |
|
|
295 |
|
|
292,855 |
|
Series
2007-10, Class 1A21, |
|
|
64 |
|
|
60,875 |
|
Series
2007-8, Class 2A9, |
|
|
405 |
|
|
385,062 |
|
|
|
|
|
|
|
18,350,023 |
|
Commercial Mortgage-Backed Securities 10.3% |
|
|
|
|
|
|
|
Banc of America Commercial Mortgage, |
|
|
|
|
|
|
|
Series
2006-4, Class AM, |
|
|
250 |
|
|
241,808 |
|
Series
2007-1, Class A4, |
|
|
500 |
|
|
532,778 |
|
Series
2007-2, Class A4, |
|
|
750 |
|
|
789,820 |
|
Bear Stearns Commercial Mortgage |
|
|
800 |
|
|
867,729 |
|
Citigroup Commercial Mortgage |
|
|
1,370 |
|
|
1,501,845 |
|
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed |
|
Par |
|
Value |
|
||
Commercial Mortgage-Backed Securities (continued) |
|
|
|
|
|
|
|
Citigroup/Deutsche Bank |
|
USD |
1,093 |
|
$ |
1,010,719 |
|
Commercial Mortgage Pass-Through |
|
|
1,750 |
|
|
1,729,749 |
|
Credit Suisse First Boston Mortgage |
|
|
705 |
|
|
630,312 |
|
DBRR Trust, Series 2011-C32, Class |
|
|
365 |
|
|
393,744 |
|
Extended Stay America Trust, Series |
|
|
|
|
|
|
|
Class A, 2.95%, 11/05/27 |
|
|
491 |
|
|
492,107 |
|
Class B, 4.22%, 11/05/27 |
|
|
2,000 |
|
|
1,997,754 |
|
Class C, 4.86%, 11/05/27 |
|
|
740 |
|
|
739,173 |
|
Class D, 5.50%, 11/05/27 |
|
|
550 |
|
|
547,495 |
|
GMAC Commercial Mortgage |
|
|
2,350 |
|
|
2,396,788 |
|
GS Mortgage Securities Corp. II (b): |
|
|
|
|
|
|
|
Series
2007-GG10, Class A4, |
|
|
60 |
|
|
63,651 |
|
Series
2010-C2, Class C, |
|
|
900 |
|
|
803,951 |
|
Greenwich Capital Commercial |
|
|
2,190 |
|
|
2,311,819 |
|
JPMorgan Chase Commercial Mortgage |
|
|
|
|
|
|
|
Series
2004-CB8, Class A1A, |
|
|
2,314 |
|
|
2,377,226 |
|
Series
2004-CBX, Class A4, |
|
|
822 |
|
|
821,100 |
|
Series
2004-LN2, Class A2, |
|
|
820 |
|
|
869,406 |
|
Series
2006-CB14, Class AM, |
|
|
330 |
|
|
319,222 |
|
Series
2006-CB16, Class AJ, |
|
|
730 |
|
|
543,689 |
|
LB-UBS Commercial Mortgage Trust (b): |
|
|
|
|
|
|
|
Series
2004-C8, Class C, |
|
|
1,385 |
|
|
1,387,530 |
|
Series
2007-C6, Class A4, |
|
|
1,761 |
|
|
1,885,022 |
|
Series
2007-C7, Class A3, |
|
|
1,460 |
|
|
1,563,508 |
|
Merrill Lynch Mortgage Trust (b): |
|
|
|
|
|
|
|
Series
2004-BPC1, Class A3, |
|
|
522 |
|
|
526,466 |
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORE BOND TRUST |
NOVEMBER 30, 2011 |
8 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed |
|
Par |
|
Value |
|
||
Commercial Mortgage-Backed Securities (concluded) |
|
|
|
|
|
|
|
Merrill Lynch Mortgage Trust(b) |
|
|
|
|
|
|
|
Series
2004-KEY2, Class A4, |
|
USD |
1,000 |
|
$ |
1,059,538 |
|
Morgan Stanley Capital I, Series |
|
|
1,000 |
|
|
1,054,106 |
|
Morgan Stanley Reremic Trust, |
|
|
407 |
|
|
406,393 |
|
Wachovia Bank Commercial Mortgage |
|
|
|
|
|
|
|
Series
2006-C28, Class A2, |
|
|
6,287 |
|
|
6,333,653 |
|
Series
2007-C33, Class A4, |
|
|
2,185 |
|
|
2,317,330 |
|
|
|
|
|
|
|
38,515,431 |
|
Total Non-Agency Mortgage-Backed Securities 15.2% |
|
|
|
|
|
56,865,454 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Interests (l) |
|
Beneficial |
|
|
|
|
|
Health Care Providers & Services 0.0% |
|
|
|
|
|
|
|
Critical Care Systems International, |
|
|
2 |
|
|
191 |
|
Total Other Interests 0.0% |
|
|
|
|
|
191 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Trusts |
|
Par |
|
|
|
|
|
Capital Markets 0.2% |
|
|
|
|
|
|
|
Credit Suisse Guernsey Ltd., 5.86% |
|
USD |
1,004 |
|
|
783,120 |
|
State Street Capital Trust IV, 1.35%, |
|
|
70 |
|
|
47,700 |
|
|
|
|
|
|
|
830,820 |
|
Commercial Banks 0.5% |
|
|
|
|
|
|
|
ABN AMRO North America Holding |
|
|
1,350 |
|
|
992,250 |
|
Barclays Bank Plc, 5.93% (a)(b)(m) |
|
|
250 |
|
|
176,250 |
|
Fifth Third Capital Trust IV, 6.50%, |
|
|
505 |
|
|
487,325 |
|
JPMorgan Chase Capital XXV, Series |
|
|
210 |
|
|
209,163 |
|
|
|
|
|
|
|
1,864,988 |
|
|
|
|
|
|
|
|
|
Preferred Securities |
|
Par |
|
Value |
|
||
Capital Trusts |
|
|
|
|
|
|
|
Consumer Finance 0.1% |
|
|
|
|
|
|
|
Capital One Capital VI, 8.88%, |
|
USD |
315 |
|
$ |
316,749 |
|
|
|
|
|
|
|
316,749 |
|
Insurance 1.0% |
|
|
|
|
|
|
|
American International Group, Inc., |
|
|
115 |
|
|
101,487 |
|
The Allstate Corp., 6.50%, 5/15/67 |
|
|
1,950 |
|
|
1,735,500 |
|
Lincoln National Corp., 6.05%, |
|
|
675 |
|
|
550,125 |
|
Metlife Capital Trust IV, 7.88%, |
|
|
120 |
|
|
122,400 |
|
Swiss Re Capital I LP, 6.85% |
|
|
1,060 |
|
|
921,539 |
|
XL Group Plc, Series E, 6.50% (b)(m) |
|
|
465 |
|
|
360,375 |
|
|
|
|
|
|
|
3,791,426 |
|
Total Capital Trusts 1.8% |
|
|
|
|
|
6,803,983 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Stocks |
|
Shares |
|
|
|
|
|
Commercial Banks 0.1% |
|
|
|
|
|
|
|
Citigroup Capital XIII, 7.88%, (b) |
|
|
14,773 |
|
|
379,223 |
|
|
|
|
|
|
|
379,223 |
|
Total Preferred Securities 1.9% |
|
|
|
|
|
7,183,206 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Taxable Municipal Bonds |
|
Par |
|
|
|
|
|
East Bay Municipal Utility District, RB, |
|
USD |
950 |
|
|
1,151,495 |
|
Indianapolis Local Public Improvement |
|
|
1,275 |
|
|
1,589,938 |
|
Metropolitan Transportation Authority, RB, |
|
|
625 |
|
|
866,300 |
|
New York City Municipal Water Finance |
|
|
|
|
|
|
|
RB, 5.72%, 6/15/42 |
|
|
700 |
|
|
821,947 |
|
RB,
Second General |
|
|
465 |
|
|
507,882 |
|
RB,
Build America Bonds, |
|
|
385 |
|
|
414,830 |
|
New York State Dormitory Authority: |
|
|
|
|
|
|
|
5.63%, 3/15/39 |
|
|
550 |
|
|
640,189 |
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORE BOND TRUST |
NOVEMBER 30, 2011 |
9 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Taxable Municipal Bonds |
|
Par |
|
Value |
|
||
New York State Dormitory Authority, RB, |
|
|
|
|
|
|
|
5.60%, 3/15/40 |
|
USD |
950 |
|
$ |
1,106,085 |
|
Port Authority of New York & New Jersey, |
|
|
385 |
|
|
462,951 |
|
University of California, RB, Build America |
|
|
445 |
|
|
502,694 |
|
Total Taxable Municipal Bonds 2.2% |
|
|
|
|
|
8,064,311 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Sponsored |
|
|
|
|
|
|
|
Agency Obligations 3.3% |
|
|
|
|
|
|
|
Fannie Mae: |
|
|
|
|
|
|
|
6.12%, 10/09/19 (e)(n) |
|
|
7,055 |
|
|
5,363,550 |
|
5.63%, 7/15/37 (o) |
|
|
775 |
|
|
1,036,755 |
|
Federal Home Loan Banks (e): |
|
|
|
|
|
|
|
5.25%, 12/09/22 |
|
|
675 |
|
|
826,409 |
|
5.37%, 9/09/24 |
|
|
1,075 |
|
|
1,343,774 |
|
Resolution Funding Corp. (n): |
|
|
|
|
|
|
|
6.39%, 7/15/18 |
|
|
525 |
|
|
465,447 |
|
6.39%, 10/15/18 |
|
|
525 |
|
|
461,466 |
|
Tennessee Valley Authority, 5.25%, |
|
|
2,355 |
|
|
2,932,022 |
|
|
|
|
|
|
|
12,429,423 |
|
Collateralized Mortgage Obligations 0.7% |
|
|
|
|
|
|
|
Fannie Mae Mortgage-Backed |
|
|
781 |
|
|
848,959 |
|
Freddie Mac Mortgage-Backed Securities: |
|
|
|
|
|
|
|
Series
2825, Class VP, 5.50%, |
|
|
677 |
|
|
729,024 |
|
Series
K013, Class A2, 3.97%, |
|
|
940 |
|
|
1,016,631 |
|
|
|
|
|
|
|
2,594,614 |
|
Federal Deposit Insurance Corporation Guaranteed 0.1% |
|
|
|
|
|
|
|
General Electric Capital Corp., |
|
|
515 |
|
|
525,919 |
|
Interest Only Collateralized Mortgage Obligations 0.1% |
|
|
|
|
|
|
|
Freddie Mac Mortgage-Backed Securities: |
|
|
|
|
|
|
|
Series
2579, Class HI, 5.00%, |
|
|
313 |
|
|
9,484 |
|
Series
2611, Class QI, 5.50%, |
|
|
1,936 |
|
|
253,754 |
|
|
|
|
|
|
|
263,238 |
|
Mortgage-Backed Securities 9.8% |
|
|
|
|
|
|
|
Fannie Mae Mortgage-Backed Securities: |
|
|
|
|
|
|
|
3.50%, 12/12/11 (p) |
|
|
2,300 |
|
|
2,345,641 |
|
4.00% - 4.00%, 12/12/11(p) |
|
|
8,600 |
|
|
8,994,780 |
|
4.50%, 12/01/41 (p) |
|
|
10,800 |
|
|
11,419,313 |
|
|
|
|
|
|
|
|
|
U.S. Government Sponsored |
|
Par |
|
Value |
|
||
Mortgage-Backed Securities (concluded) |
|
|
|
|
|
|
|
Fannie Mae Mortgage-Backed Securities |
|
|
|
|
|
|
|
5.00% - 5.00%, 12/12/11(p) |
|
USD |
3,900 |
|
$ |
4,190,359 |
|
5.50% - 5.50%, 12/12/11(p) |
|
|
6,100 |
|
|
6,621,234 |
|
6.00% - 6.00%, 4/01/35(e) |
|
|
1,889 |
|
|
2,097,221 |
|
Freddie Mac Mortgage-Backed Securities: |
|
|
|
|
|
|
|
4.50%, 1/12/12 (p) |
|
|
100 |
|
|
105,156 |
|
5.00%, 12/12/11 (p) |
|
|
100 |
|
|
106,922 |
|
6.00% - 6.00%, 12/01/18 |
|
|
785 |
|
|
857,456 |
|
Ginnie Mae Mortgage-Backed |
|
|
86 |
|
|
97,241 |
|
|
|
|
|
|
|
36,835,323 |
|
Total US Government Sponsored Agency Securities 14.0% |
|
|
|
|
|
52,648,517 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations |
|
|
|
|
|
|
|
US Treasury Bonds: |
|
|
|
|
|
|
|
8.13%, 8/15/21 (e) |
|
|
1,550 |
|
|
2,398,383 |
|
6.25%, 8/15/23 (e) |
|
|
5,720 |
|
|
8,058,050 |
|
3.50%, 2/15/39 |
|
|
330 |
|
|
359,442 |
|
4.25%, 5/15/39 (e) |
|
|
6,045 |
|
|
7,454,241 |
|
4.38%, 5/15/40 (e) |
|
|
6,375 |
|
|
8,026,520 |
|
4.75%, 2/15/41 (e) |
|
|
1,630 |
|
|
2,177,069 |
|
4.38%, 5/15/41 (e) |
|
|
800 |
|
|
1,009,500 |
|
3.75%, 8/15/41 (e) |
|
|
28,275 |
|
|
32,171,634 |
|
3.13%, 11/15/41 |
|
|
2,170 |
|
|
2,196,107 |
|
US Treasury Inflation Indexed Bonds, |
|
|
3,776 |
|
|
5,061,362 |
|
US Treasury Notes: |
|
|
|
|
|
|
|
0.63%, 1/31/13 (o) |
|
|
200 |
|
|
201,031 |
|
0.50%, 8/15/14 (e) |
|
|
1,040 |
|
|
1,043,900 |
|
0.38%, 11/15/14 (e) |
|
|
7,825 |
|
|
7,821,941 |
|
2.50%, 4/30/15 (e) |
|
|
965 |
|
|
1,030,062 |
|
1.00%, 10/31/16 (e) |
|
|
1,125 |
|
|
1,128,868 |
|
0.88%, 11/30/16 (e) |
|
|
2,800 |
|
|
2,789,282 |
|
2.25%, 7/31/18 (e) |
|
|
2,495 |
|
|
2,623,647 |
|
2.63%, 8/15/20 (e) |
|
|
1,105 |
|
|
1,172,249 |
|
2.13%, 8/15/21 (e) |
|
|
9,763 |
|
|
9,829,359 |
|
2.00%, 11/15/21 (e) |
|
|
4,775 |
|
|
4,745,156 |
|
Total US Treasury Obligations 27.0% |
|
|
|
|
|
101,297,803 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORE BOND TRUST |
NOVEMBER 30, 2011 |
10 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Warrants (q) |
|
Shares |
|
Value |
|
||
Media 0.0% |
|
|
|
|
|
|
|
Cumulus Media, Inc. |
|
|
30,393 |
|
$ |
87,774 |
|
Software 0.0% |
|
|
|
|
|
|
|
Bankruptcy Management |
|
|
90 |
|
|
1 |
|
Total Warrants 0.0% |
|
|
|
|
|
87,775 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Long-Term Investments |
|
|
|
|
|
525,343,199 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowed Bond Agreements |
|
Par |
|
|
|
|
|
Credit Suisse Securities (USA) LLC, |
|
USD |
385,962 |
|
|
385,962 |
|
Total Borrowed Bond Agreements 0.1% |
|
|
|
|
|
385,962 |
|
|
|||||||
Money Market Funds |
|
Shares |
|
|
|
|
|
BlackRock Liquidity Funds, |
|
|
2,008,562 |
|
|
2,008,562 |
|
Total Money Market Funds 0.5% |
|
|
|
|
|
2,008,562 |
|
Total
Short-Term Securities |
|
|
|
|
|
2,394,524 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Purchased |
|
Contracts |
|
|
|
|
|
Exchange-Traded Call Options 0.0% |
|
|
|
|
|
|
|
10-Year US Treasury Note, Strike |
|
|
85 |
|
|
27,891 |
|
Exchange-Traded Put Options 0.0% |
|
|
|
|
|
|
|
Eurodollar 1-year Mid-Curve Options: |
|
|
|
|
|
|
|
Strike
Price USD 99, Expires |
|
|
100 |
|
|
6,875 |
|
Strike
Price USD 99, Expires |
|
|
221 |
|
|
30,387 |
|
USD Put Option, Strike Price USD |
|
|
14 |
|
|
1,094 |
|
|
|
|
|
|
|
38,356 |
|
|
|
|
|
|
|
|
|
Options Purchased |
|
Notional |
|
Value |
|
||
Over-the-Counter Call Options 0.0% |
|
|
|
|
|
|
|
EUR Call Option, Strike Price USD |
|
EUR |
7,850 |
|
$ |
45,462 |
|
USD Call Option: |
|
|
|
|
|
|
|
Strike
Price USD 0.92, Expires |
|
USD |
2,590 |
|
|
6,294 |
|
Strike
Price USD 0.92, Expires |
|
|
2,590 |
|
|
6,294 |
|
Strike
Price USD 81, Expires |
|
|
3,550 |
|
|
8,839 |
|
Strike
Price USD 79.50, Expires |
|
|
3,840 |
|
|
29,530 |
|
|
|
|
|
|
|
96,419 |
|
Over-the-Counter Call Swaptions 0.1% |
|
|
|
|
|
|
|
Receive a fixed rate of 1.76% and |
|
|
9,300 |
|
|
197,970 |
|
Receive a fixed rate of 1.80% and |
|
|
2,000 |
|
|
18,399 |
|
Receive a fixed rate of 3.15% and |
|
|
1,400 |
|
|
110,710 |
|
|
|
|
|
|
|
327,079 |
|
Over-the-Counter Put Options 0.1% |
|
|
|
|
|
|
|
EUR Put Option: |
|
|
|
|
|
|
|
Strike
Price USD 1.28, Expires |
|
EUR |
2,925 |
|
|
18,276 |
|
Strike
Price USD 1.28, Expires |
|
|
2,925 |
|
|
18,276 |
|
Strike
Price USD 1.35, Expires |
|
|
8,813 |
|
|
322,677 |
|
|
|
|
|
|
|
359,229 |
|
Over-the-Counter Put Swaptions 0.1% |
|
|
|
|
|
|
|
Pay a fixed rate of 2.85% and receive |
|
USD |
4,800 |
|
|
6,138 |
|
Pay a fixed rate of 1.76% and receive |
|
|
9,300 |
|
|
233 |
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORE BOND TRUST |
NOVEMBER 30, 2011 |
11 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Options Purchased |
|
Notional |
|
Value |
|
||
Over-the-Counter Put Swaptions (concluded) |
|
|
|
|
|
|
|
Pay a fixed rate of 2.50% and receive |
|
USD |
4,500 |
|
$ |
4 |
|
Pay a fixed rate of 2.70% and receive |
|
|
8,900 |
|
|
35,692 |
|
Pay a fixed rate of 3.50% and receive |
|
|
4,000 |
|
|
223,577 |
|
|
|
|
|
|
|
265,644 |
|
Total Options Purchased |
|
|
|
|
|
1,114,618 |
|
Total Investments Before Borrowed Bonds, TBA |
|
|
|
|
$ |
528,852,341 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowed
Bonds |
|
Par |
|
|
|
|
|
US Treasury Notes, 1.00%, |
|
|
1,510 |
|
|
(1,515,191 |
) |
Total Borrowed Bonds |
|
|
|
|
|
(1,515,191 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TBA Sale Commitments (p) |
|
|
|
|
|
|
|
Fannie Mae Mortgage-Backed |
|
|
|
|
|
|
|
3.50%, 12/12/11 |
|
|
1,600 |
|
|
(1,631,750 |
) |
6.00%, 12/12/11 |
|
|
8,500 |
|
|
(9,316,797 |
) |
Total TBA Sale Commitments |
|
|
|
|
|
(10,948,547 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written |
|
Contracts |
|
Value |
|
||
Exchange-Traded Call Options 0.0% |
|
|
|
|
|
|
|
Eurodollar 1-Year Mid-Curve Options, |
|
|
80 |
|
|
(6,500 |
) |
|
|
|
|
|
|
|
|
Options Written |
|
Notional |
|
Value |
|
||
Over-the-Counter Call Options 0.0% |
|
|
|
|
|
|
|
USD Call
Option, Strike Price USD |
|
USD |
5,180 |
|
$ |
(12,587 |
) |
Over-the-Counter Call Swaptions (0.2)% |
|
|
|
|
|
|
|
Pay a fixed
rate of 3.85% and receive |
|
|
1,200 |
|
|
(179,462 |
) |
Pay a fixed
rate of 3.00% and receive |
|
|
2,300 |
|
|
(160,980 |
) |
Pay a fixed
rate of 2.08% and receive |
|
|
9,300 |
|
|
(256,662 |
) |
Pay a fixed
rate of 2.65% and receive |
|
|
1,400 |
|
|
(62,189 |
) |
Pay a fixed
rate of 2.90% and receive |
|
|
1,400 |
|
|
(85,084 |
) |
|
|
|
|
|
|
(744,377 |
) |
Over-the-Counter Put Options (0.1)% |
|
|
|
|
|
|
|
EUR Put Option: |
|
|
|
|
|
|
|
Strike Price USD 1.28, Expires |
|
EUR |
2,925 |
|
|
(18,276 |
) |
Strike Price USD 1.28, Expires |
|
|
2,925 |
|
|
(18,276 |
) |
Strike Price USD 1.30, Expires |
|
|
8,813 |
|
|
(168,976 |
) |
|
|
|
|
|
|
(205,528 |
) |
Over-the-Counter Put Swaptions 0.0% |
|
|
|
|
|
|
|
Receive a
fixed rate of 1.15% and |
|
USD |
5,900 |
|
|
(1 |
) |
Receive a
fixed rate of 3.75% and |
|
|
2,300 |
|
|
|
|
Receive a
fixed rate of 3.95% and |
|
|
4,600 |
|
|
(1 |
) |
Receive a
fixed rate of 3.85% and |
|
|
1,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORE BOND TRUST |
NOVEMBER 30, 2011 |
12 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Options Written |
|
Notional |
|
Value |
|
||
Over-the-Counter Put Swaptions (concluded) |
|
|
|
|
|
|
|
Receive a fixed rate of 4.00% and |
|
USD |
2,300 |
|
$ |
|
|
Receive a fixed rate of 2.08% and |
|
|
9,300 |
|
|
(129 |
) |
|
|
|
|
|
|
(131 |
) |
Total Options Written |
|
|
|
|
|
(969,123 |
) |
Total Investments, Net of TBA Sale Commitments, |
|
|
|
|
|
515,419,480 |
|
Liabilities in Excess of Other Assets (37.3)% |
|
|
|
|
|
(139,995,564 |
) |
Net Assets 100.0% |
|
|
|
|
$ |
375,423,916 |
|
|
|
|
|
* |
The cost and unrealized appreciation (depreciation) of investments as of November 30, 2011, as computed for federal income tax purposes, were as follows: |
|
|
|
|
|
Aggregate cost |
|
$ |
519,737,924 |
|
Gross unrealized appreciation |
|
$ |
23,821,348 |
|
Gross unrealized depreciation |
|
|
(14,706,931 |
) |
Net unrealized appreciation |
|
$ |
9,114,417 |
|
|
|
(a) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
|
|
(b) |
Variable rate security. Rate shown is as of report date. |
|
|
(c) |
Non-income producing security. |
|
|
(d) |
Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown is as of report date. |
|
|
(e) |
All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements. |
|
|
(f) |
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
|
|
(g) |
Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date. |
|
|
(h) |
Convertible security. |
|
|
(i) |
Issuer filed for bankruptcy and/or is in default of interest payments. |
|
|
(j) |
When-issued security. Unsettled when-issued transactions were as follows: |
|
|
|
|
|
|
|
|
Counterparty |
|
Value |
|
Unrealized |
|
||
JPMorgan Securities, Inc. |
|
$ |
623,100 |
|
$ |
3,100 |
|
|
|
(k) |
All or a portion of security has been pledged as collateral in connection with swaps. |
|
|
(l) |
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
|
|
(m) |
Security is perpetual in nature and has no stated maturity date. |
|
|
(n) |
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
|
|
(o) |
All or a portion of security has been pledged as collateral in connection with open financial futures contracts. |
|
|
(p) |
Represents or includes a to-be-announced (TBA) transaction. Unsettled TBA transactions as of report date were as follows: |
|
|
|
|
|
|
|
|
Counterparty |
|
Value |
|
Unrealized |
|
||
Credit Suisse Securities (USA) LLC |
|
$ |
16,770,906 |
|
$ |
30,500 |
|
Deutsche Bank Securities, Inc. |
|
$ |
11,743,922 |
|
$ |
7,524 |
|
Goldman Sachs & Co. |
|
$ |
4,410,796 |
|
$ |
(636 |
) |
JPMorgan Securities, Inc. |
|
$ |
106,922 |
|
$ |
(78 |
) |
Nomura Securities |
|
$ |
(10,948,547 |
) |
$ |
(9,719 |
) |
UBS Securities |
|
$ |
750,859 |
|
$ |
1,859 |
|
|
|
(q) |
Warrants entitle the Trust to purchase a predetermined 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, if any. |
|
|
(r) |
Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate |
|
Shares |
|
Net |
|
Shares |
|
Income |
|
||||
|
|||||||||||||
BlackRock |
|
|
4,711,687 |
|
|
(2,703,125 |
) |
|
2,008,562 |
|
$ |
1,560 |
|
|
|
(s) |
Represents the current yield as of report date. |
|
|
|
For Trust compliance purposes, the Trusts industry classifications refer to any 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 Trust management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
|
|
|
|
|
|
|
|
|
BLACKROCK CORE BOND TRUST |
NOVEMBER 30, 2011 |
13 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
|
|
Reverse repurchase agreements outstanding as of November 30, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Interest |
|
Trade |
|
Maturity |
|
Net
Closing |
|
Face |
|
|||||
Deutsche Bank, NA |
|
|
0.35% |
|
|
7/18/11 |
|
|
Open |
|
$ |
8,461,716 |
|
$ |
8,448,000 |
|
Deutsche Bank, NA |
|
|
0.35% |
|
|
7/19/11 |
|
|
Open |
|
|
4,349,874 |
|
|
4,342,865 |
|
BNP Paribas Securities |
|
|
0.20% |
|
|
10/11/11 |
|
|
Open |
|
|
1,166,306 |
|
|
1,165,775 |
|
Barclays Capital, Inc. |
|
|
0.07% |
|
|
10/12/11 |
|
|
Open |
|
|
8,009,261 |
|
|
8,008,000 |
|
Barclays Capital, Inc. |
|
|
0.11% |
|
|
10/12/11 |
|
|
Open |
|
|
1,341,394 |
|
|
1,341,063 |
|
Barclays Capital, Inc. |
|
|
0.10% |
|
|
10/25/11 |
|
|
Open |
|
|
2,586,889 |
|
|
2,586,400 |
|
UBS Securities LLC |
|
|
0.35% |
|
|
10/25/11 |
|
|
Open |
|
|
3,350,151 |
|
|
3,347,938 |
|
BOA Merrill Lynch |
|
|
0.08% |
|
|
11/09/11 |
|
|
Open |
|
|
12,553,166 |
|
|
12,551,688 |
|
Deutsche Bank, NA |
|
|
0.12% |
|
|
11/10/11 |
|
|
Open |
|
|
2,645,158 |
|
|
2,644,700 |
|
BNP Paribas Securities |
|
|
0.14% |
|
|
11/14/11 |
|
|
Open |
|
|
1,045,395 |
|
|
1,045,200 |
|
Deutsche Bank, NA |
|
|
0.20% |
|
|
11/14/11 |
|
|
Open |
|
|
2,180,706 |
|
|
2,180,125 |
|
Deutsche Bank, NA |
|
|
(5.50)% |
|
|
11/14/11 |
|
|
Open |
|
|
277,450 |
|
|
279,500 |
|
Barclays Capital, Inc. |
|
|
0.17% |
|
|
11/16/11 |
|
|
Open |
|
|
5,168,910 |
|
|
5,167,788 |
|
BNP Paribas Securities |
|
|
0.14% |
|
|
11/16/11 |
|
|
Open |
|
|
2,042,915 |
|
|
2,042,550 |
|
Credit Suisse Securities |
|
|
0.23% |
|
|
11/16/11 |
|
|
12/12/11 |
|
|
2,024,295 |
|
|
2,023,946 |
|
Credit Suisse Securities |
|
|
0.35% |
|
|
11/16/11 |
|
|
Open |
|
|
1,699,278 |
|
|
1,698,519 |
|
BOA Merrill Lynch |
|
|
0.12% |
|
|
11/17/11 |
|
|
Open |
|
|
845,564 |
|
|
845,438 |
|
Credit Suisse Securities |
|
|
0.13% |
|
|
11/29/11 |
|
|
Open |
|
|
2,449,292 |
|
|
2,449,000 |
|
Credit Suisse Securities |
|
|
0.17% |
|
|
11/29/11 |
|
|
Open |
|
|
2,991,316 |
|
|
2,990,850 |
|
BNP Paribas Securities |
|
|
0.10% |
|
|
11/30/11 |
|
|
12/1/11 |
|
|
33,046,590 |
|
|
33,046,406 |
|
BNP Paribas Securities |
|
|
0.13% |
|
|
11/30/11 |
|
|
12/1/11 |
|
|
7,531,179 |
|
|
7,531,125 |
|
Credit Suisse Securities |
|
|
0.00% |
|
|
11/30/11 |
|
|
12/1/11 |
|
|
7,825,000 |
|
|
7,825,000 |
|
Credit Suisse Securities |
|
|
0.01% |
|
|
11/30/11 |
|
|
12/1/11 |
|
|
3,584,477 |
|
|
3,584,475 |
|
Credit Suisse Securities |
|
|
0.12% |
|
|
11/30/11 |
|
|
12/1/11 |
|
|
9,180,061 |
|
|
9,180,000 |
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
126,356,343 |
|
$ |
126,326,351 |
|
|
|
|
1 Certain agreements have no stated maturity and can be terminated by either party at any time. |
|
|
|
Financial futures contracts purchased as of November 30, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
Issue |
|
Exchange |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5 |
|
German Euro-Bond Future |
|
Eurex |
|
December 2011 |
|
$ |
899,069 |
|
$ |
(19,013 |
) |
|
|
|
|
|
London International |
|
|
|
|
|
|
|
|
|
|
108 |
|
Euro-Bond Future |
|
Financial
Futures and |
|
March 2012 |
|
$ |
35,913,460 |
|
|
60,307 |
|
|
259 |
|
30-Year US Treasury Bond |
|
Chicago Board of Trade |
|
March 2012 |
|
$ |
36,616,125 |
|
|
(469,143 |
) |
|
54 |
|
5-Year US Treasury Note |
|
Chicago Board of Trade |
|
March 2012 |
|
$ |
6,622,594 |
|
|
(2,321 |
) |
|
160 |
|
90-Day Euro Dollar |
|
Chicago Mercantile |
|
December 2014 |
|
$ |
39,378,000 |
|
|
24,391 |
|
|
160 |
|
90-Day Euro Dollar |
|
Chicago Mercantile |
|
March 2015 |
|
$ |
39,308,000 |
|
|
30,480 |
|
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
(375,299 |
) |
|
|
|
|
|
|
|
|
|
BLACKROCK CORE BOND TRUST |
NOVEMBER 30, 2011 |
14 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
|
|
Financial futures contracts sold as of November 30, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
Issue |
|
Exchange |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
352 |
|
Euro-Schatz Future |
|
Eurex |
|
December 2011 |
|
$ |
52,127,372 |
|
$ |
(284,779 |
) |
59 |
|
90-Day Euro-Dollar |
|
Chicago Mercantile |
|
December 2011 |
|
$ |
14,671,456 |
|
|
10,532 |
|
1 |
|
Japanese Yen Future |
|
Chicago Mercantile |
|
December 2011 |
|
$ |
161,238 |
|
|
1,097 |
|
7 |
|
30-Year U.S. Treasury Bond |
|
Chicago Board of Trade |
|
December 2011 |
|
$ |
991,375 |
|
|
1,299 |
|
55 |
|
2-Year US Treasury Note |
|
Chicago Board of Trade |
|
December 2011 |
|
$ |
12,121,484 |
|
|
(547 |
) |
121 |
|
5-Year US Treasury Note |
|
Chicago Board of Trade |
|
December 2011 |
|
$ |
14,883,945 |
|
|
3,963 |
|
386 |
|
10-Year US Treasury Note |
|
Chicago Board of Trade |
|
March 2012 |
|
$ |
49,926,688 |
|
|
19,290 |
|
95 |
|
Ultra Long US Treasury Bond |
|
Chicago Board of Trade |
|
March 2012 |
|
$ |
14,766,563 |
|
|
351,616 |
|
32 |
|
2-Year US Treasury Note |
|
Chicago Board of Trade |
|
March 2012 |
|
$ |
7,056,000 |
|
|
(4,561 |
) |
Total |
|
|
|
|
|
|
|
|
|
|
$ |
97,910 |
|
|
|
|
Foreign currency exchange contracts as of November 30, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency Purchased |
|
Currency Sold |
|
Counterparty |
|
Settlement Date |
|
Unrealized
Appreciation |
|
|||||
CAD |
|
600,000 |
|
EUR |
|
436,297 |
|
Citibank NA |
|
12/02/11 |
|
$ |
1,005 |
|
CAD |
|
150,000 |
|
EUR |
|
107,621 |
|
Deutsche Bank AG |
|
12/02/11 |
|
|
1,225 |
|
EUR |
|
398,074 |
|
CAD |
|
550,000 |
|
Deutsche Bank AG |
|
12/02/11 |
|
|
(2,174 |
) |
EUR |
|
143,960 |
|
CAD |
|
200,000 |
|
UBS AG |
|
12/02/11 |
|
|
(1,325 |
) |
EUR |
|
925,000 |
|
USD |
|
1,245,045 |
|
Citibank NA |
|
12/02/11 |
|
|
(2,123 |
) |
EUR |
|
200,000 |
|
USD |
|
275,028 |
|
Royal Bank of Scotland Plc |
|
12/02/11 |
|
|
(6,288 |
) |
NOK |
|
1,775,000 |
|
USD |
|
310,361 |
|
Citibank NA |
|
12/02/11 |
|
|
(3,042 |
) |
NOK |
|
850,000 |
|
USD |
|
153,722 |
|
UBS AG |
|
12/02/11 |
|
|
(6,555 |
) |
NZD |
|
175,000 |
|
USD |
|
136,176 |
|
Citibank NA |
|
12/02/11 |
|
|
472 |
|
NZD |
|
350,000 |
|
USD |
|
283,121 |
|
Deutsche Bank AG |
|
12/02/11 |
|
|
(9,824 |
) |
SEK |
|
2,750,000 |
|
USD |
|
409,292 |
|
Citibank NA |
|
12/02/11 |
|
|
(2,911 |
) |
SGD |
|
257,979 |
|
USD |
|
200,000 |
|
Citibank NA |
|
12/02/11 |
|
|
1,287 |
|
SGD |
|
291,597 |
|
USD |
|
225,000 |
|
Deutsche Bank AG |
|
12/02/11 |
|
|
2,517 |
|
USD |
|
237,339 |
|
EUR |
|
175,000 |
|
Citibank NA |
|
12/02/11 |
|
|
2,192 |
|
USD |
|
1,064,437 |
|
EUR |
|
800,000 |
|
Royal Bank of Scotland Plc |
|
12/02/11 |
|
|
(10,523 |
) |
USD |
|
208,697 |
|
EUR |
|
150,000 |
|
UBS AG |
|
12/02/11 |
|
|
7,142 |
|
USD |
|
157,535 |
|
NOK |
|
925,000 |
|
Citibank NA |
|
12/02/11 |
|
|
(2,617 |
) |
USD |
|
307,069 |
|
NOK |
|
1,700,000 |
|
Royal Bank of Scotland Plc |
|
12/02/11 |
|
|
12,735 |
|
USD |
|
280,352 |
|
NZD |
|
350,000 |
|
Citibank NA |
|
12/02/11 |
|
|
7,055 |
|
USD |
|
130,927 |
|
NZD |
|
175,000 |
|
Royal Bank of Scotland Plc |
|
12/02/11 |
|
|
(5,721 |
) |
USD |
|
277,511 |
|
SEK |
|
1,900,000 |
|
Citibank NA |
|
12/02/11 |
|
|
(3,261 |
) |
USD |
|
128,272 |
|
SEK |
|
850,000 |
|
Deutsche Bank AG |
|
12/02/11 |
|
|
2,664 |
|
USD |
|
200,000 |
|
SGD |
|
255,146 |
|
Citibank NA |
|
12/02/11 |
|
|
924 |
|
USD |
|
225,000 |
|
SGD |
|
293,006 |
|
Royal Bank of Scotland Plc |
|
12/02/11 |
|
|
(3,616 |
) |
EUR |
|
1,180,000 |
|
USD |
|
1,643,203 |
|
Royal Bank of Scotland Plc |
|
12/05/11 |
|
|
(57,591 |
) |
EUR |
|
1,220,000 |
|
USD |
|
1,653,145 |
|
Citibank NA |
|
12/14/11 |
|
|
(13,640 |
) |
USD |
|
3,312,815 |
|
EUR |
|
2,440,000 |
|
Citibank NA |
|
12/14/11 |
|
|
33,804 |
|
NOK |
|
19,370,000 |
|
SEK |
|
22,699,412 |
|
Goldman
Sachs Capital |
|
1/09/12 |
|
|
(160 |
) |
NOK |
|
19,370,000 |
|
SEK |
|
22,654,184 |
|
UBS AG |
|
1/09/12 |
|
|
3,176 |
|
SEK |
|
13,265,307 |
|
NOK |
|
11,300,000 |
|
Citibank NA |
|
1/09/12 |
|
|
1,790 |
|
SEK |
|
12,811,866 |
|
NOK |
|
10,895,000 |
|
Deutsche Bank AG |
|
1/09/12 |
|
|
3,349 |
|
SEK |
|
6,638,778 |
|
NOK |
|
5,650,000 |
|
Goldman
Sachs Capital |
|
1/09/12 |
|
|
1,347 |
|
SEK |
|
12,788,551 |
|
NOK |
|
10,895,000 |
|
UBS AG |
|
1/09/12 |
|
|
1,629 |
|
AUD |
|
200,000 |
|
CAD |
|
208,869 |
|
UBS AG |
|
1/18/12 |
|
|
5 |
|
CAD |
|
206,917 |
|
AUD |
|
200,000 |
|
Royal Bank of Scotland Plc |
|
1/18/12 |
|
|
(961 |
) |
USD |
|
28,842 |
|
JPY |
|
2,210,000 |
|
Royal Bank of Scotland Plc |
|
1/18/12 |
|
|
314 |
|
EUR |
|
1,125,000 |
|
USD |
|
1,515,120 |
|
Deutsche Bank AG |
|
1/25/12 |
|
|
(2,721 |
) |
EUR |
|
900,000 |
|
USD |
|
1,200,018 |
|
Royal Bank of Scotland Plc |
|
1/25/12 |
|
|
9,901 |
|
USD |
|
11,581,804 |
|
EUR |
|
8,444,000 |
|
Citibank NA |
|
1/25/12 |
|
|
230,077 |
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORE BOND TRUST |
NOVEMBER 30, 2011 |
15 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency Purchased |
|
Currency Sold |
|
Counterparty |
|
Settlement Date |
|
Unrealized |
|
|||||
USD |
|
4,778,854 |
|
EUR |
|
3,514,000 |
|
Royal Bank of Scotland Plc |
|
1/25/12 |
|
$ |
54,793 |
|
CNY |
|
5,940,000 |
|
USD |
|
940,245 |
|
Goldman
Sachs Capital |
|
2/15/12 |
|
|
(8,627 |
) |
USD |
|
932,642 |
|
CNY |
|
5,940,000 |
|
HSBC Bank USA |
|
2/15/12 |
|
|
1,024 |
|
Total |
|
|
|
|
|
|
|
|
|
|
|
$ |
236,747 |
|
|
|
|
Credit default swaps on single-name issues - buy protection outstanding as of November 30, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
Radian Group, Inc. |
|
5.00% |
|
Citibank NA |
|
3/20/13 |
|
$ |
1,400 |
|
$ |
561,516 |
|
Radian Group, Inc. |
|
5.00% |
|
Citibank NA |
|
6/20/15 |
|
$ |
1,400 |
|
|
648,362 |
|
The New York Times |
|
1.00% |
|
Barclays Bank Plc |
|
12/20/16 |
|
$ |
1,800 |
|
|
65,961 |
|
Co. |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
1,275,839 |
|
|
|
|
Credit default swaps on single-name issues - sold protection outstanding as of November 30, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer |
|
Receive |
|
Counterparty |
|
Expiration |
|
Issuer |
|
Notional |
|
Unrealized |
|
||
Aviva USA Corp. |
|
1.00% |
|
Deutsche Bank AG |
|
5/25/12 |
|
A+ |
|
$ |
1,150 |
|
$ |
(1,353 |
) |
Assured Guaranty |
|
5.00% |
|
Citibank NA |
|
12/20/14 |
|
AA- |
|
$ |
150 |
|
|
(6,370 |
) |
Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assured Guaranty |
|
5.00% |
|
Citibank NA |
|
12/20/14 |
|
AA- |
|
$ |
4 |
|
|
(128 |
) |
Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assured Guaranty |
|
5.00% |
|
Citibank NA |
|
3/20/15 |
|
AA- |
|
$ |
15 |
|
|
(492 |
) |
Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MetLife, Inc. |
|
1.00% |
|
Credit Suisse Securities (USA) |
|
9/20/16 |
|
A- |
|
$ |
535 |
|
|
(7,432 |
) |
|
|
|
|
LLC |
|
|
|
|
|
|
|
|
|
|
|
MetLife, Inc. |
|
1.00% |
|
Deutsche Bank AG |
|
9/20/16 |
|
A- |
|
$ |
730 |
|
|
(15,641 |
) |
MetLife, Inc. |
|
1.00% |
|
Goldman Sachs International |
|
9/20/16 |
|
A- |
|
$ |
500 |
|
|
(11,797 |
) |
MetLife, Inc. |
|
1.00% |
|
Morgan Stanley & Co., Inc. |
|
9/20/16 |
|
A- |
|
$ |
900 |
|
|
(20,689 |
) |
MetLife, Inc. |
|
1.00% |
|
Morgan Stanley Capital Services, |
|
9/20/16 |
|
A- |
|
$ |
275 |
|
|
(8,673 |
) |
|
|
|
|
Inc. |
|
|
|
|
|
|
|
|
|
|
|
Prudential Financial, |
|
1.00% |
|
Morgan Stanley Capital Services, |
|
9/20/16 |
|
A |
|
$ |
405 |
|
|
(3,239 |
) |
Inc. |
|
|
|
Inc. |
|
|
|
|
|
|
|
|
|
|
|
Assured Guaranty |
|
5.00% |
|
Citibank NA |
|
12/20/16 |
|
AA- |
|
$ |
224 |
|
|
(7,047 |
) |
Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MetLife, Inc. |
|
1.00% |
|
Citibank NA |
|
12/20/16 |
|
A- |
|
$ |
1,825 |
|
|
(62,486 |
) |
MetLife, Inc. |
|
1.00% |
|
Citibank NA |
|
12/20/16 |
|
A- |
|
$ |
285 |
|
|
(7,991 |
) |
Total |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(153,338 |
) |
1 Using Standard & Poors rating.
2 The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of agreement.
|
|
|
|
|
|
|
|
|
BLACKROCK CORE BOND TRUST |
NOVEMBER 30, 2011 |
16 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
|
|
Credit default swaps on traded indexes - buy protection outstanding as of November 30, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
|
Dow Jones CDX |
|
5.00% |
|
Morgan Stanley Capital Services, Inc. |
|
12/20/15 |
|
$ |
990 |
|
$ |
18,692 |
|
|
Dow Jones CDX North |
|
1.00% |
|
Credit Suisse Securities (USA) LLC |
|
6/20/16 |
|
$ |
388 |
|
|
538 |
|
|
Dow Jones CDX North |
|
1.00% |
|
JPMorgan Chase Bank NA |
|
6/20/16 |
|
$ |
22 |
|
|
77 |
|
|
Dow Jones CDX North |
|
1.00% |
|
Morgan Stanley Capital Services, Inc. |
|
6/20/16 |
|
$ |
1,480 |
|
|
(6,299 |
) |
|
Dow Jones CDX North |
|
1.00% |
|
Credit Suisse Securities (USA) LLC |
|
12/20/16 |
|
$ |
2,490 |
|
|
(12,825 |
) |
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
183 |
|
|
|
|
Credit default swaps on traded indexes - sold protection outstanding as of November 30, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index |
|
Receive |
|
Counterparty |
|
Expiration |
|
Issuer |
|
Notional |
|
Unrealized |
|
||
|
Markit CMBX North |
|
0.08% |
|
Morgan Stanley & Co., Inc. |
|
12/13/49 |
|
AAA |
|
$ |
525 |
|
$ |
5,055 |
|
|
Markit CMBX North |
|
0.35% |
|
Morgan Stanley & Co., Inc. |
|
2/17/51 |
|
AAA |
|
$ |
525 |
|
|
1,657 |
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
6,712 |
|
|
|
|
|
1 Using Standard &Poors rating. |
|
|
|
|
|
2 The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of agreement. |
|
|
|
|
|
Interest rate swaps outstanding as of November 30, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed |
|
Floating |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
|
1.44% (a) |
|
3-month LIBOR |
|
Citibank NA |
|
9/13/13 |
|
$ |
38,810 |
|
$ |
49,193 |
|
|
1.22% (b) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
10/06/16 |
|
$ |
4,750 |
|
|
11,314 |
|
|
3.27% (b) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
5/16/21 |
|
$ |
910 |
|
|
(89,162 |
) |
|
3.86% (a) |
|
3-month LIBOR |
|
JP Morgan Chase & Co. |
|
5/23/21 |
|
$ |
1,400 |
|
|
155,628 |
|
|
2.57% (a) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
8/08/21 |
|
$ |
500 |
|
|
17,729 |
|
|
2.56% (b) |
|
3-month LIBOR |
|
UBS AG |
|
8/10/21 |
|
$ |
1,000 |
|
|
(34,318 |
) |
|
2.35% (a) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
8/12/21 |
|
$ |
1,800 |
|
|
28,385 |
|
|
2.15% (a) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
9/08/21 |
|
$ |
500 |
|
|
(1,589 |
) |
|
1.91% (a) |
|
3-month LIBOR |
|
Bank of America NA |
|
9/26/21 |
|
$ |
300 |
|
|
(7,588 |
) |
|
2.18% (a) |
|
3-month LIBOR |
|
Bank of America NA |
|
10/06/21 |
|
$ |
1,880 |
|
|
(45,164 |
) |
|
2.15% (b) |
|
3-month LIBOR |
|
Morgan Stanley & Co., Inc. |
|
11/23/21 |
|
$ |
900 |
|
|
4,724 |
|
|
2.79% (b) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
10/11/41 |
|
$ |
400 |
|
|
(4,190 |
) |
|
2.87% (b) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
10/13/41 |
|
$ |
500 |
|
|
(13,728 |
) |
|
2.94% (a) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
10/14/41 |
|
$ |
500 |
|
|
20,491 |
|
|
2.58% (b) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
11/11/41 |
|
$ |
350 |
|
|
25,124 |
|
|
2.68% (b) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
11/18/41 |
|
$ |
745 |
|
|
33,388 |
|
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
150,237 |
|
|
|
(a) |
Pays floating interest rate and receives fixed rate. |
|
|
(b) |
Pays fixed interest rate and receives floating rate. |
|
|
|
|
|
|
|
|
|
BLACKROCK CORE BOND TRUST |
NOVEMBER 30, 2011 |
17 |
|
|
|
|
Schedule of Investments (continued) |
BlackRock Core Bond Trust (BHK) |
|
|
|
Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows: |
|
|
|
|
|
Level 1 unadjusted price quotations in active markets/exchanges for identical assets and liabilities |
|
|
|
|
|
Level 2 other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
|
|
|
|
|
Level 3 unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trusts own assumptions used in determining the fair value of investments and derivative financial instruments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trusts perceived risk of investing in those securities. For information about the Trusts policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Trusts most recent financial statements as contained in its annual report.
The following tables summarize the inputs used as of November 30, 2011 in determining the fair valuation of the Trusts investments and derivative financial instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed
|
|
$ |
|
|
|
13,435,062 |
|
$ |
6,056,442 |
|
$ |
19,491,504 |
|
Common Stocks |
|
|
|
|
|
1 |
|
|
|
|
|
1 |
|
Corporate Bonds |
|
|
|
|
|
267,871,354 |
|
|
5,174,617 |
|
|
273,045,971 |
|
Foreign Agency |
|
|
|
|
|
6,658,466 |
|
|
|
|
|
6,658,466 |
|
Non-Agency
|
|
|
|
|
|
56,471,710 |
|
|
393,744 |
|
|
56,865,454 |
|
Other Interests |
|
|
|
|
|
|
|
|
191 |
|
|
191 |
|
Preferred |
|
$ |
379,223 |
|
|
6,803,983 |
|
|
|
|
|
7,183,206 |
|
Taxable |
|
|
|
|
|
8,064,311 |
|
|
|
|
|
8,064,311 |
|
US Government |
|
|
|
|
|
52,648,517 |
|
|
|
|
|
52,648,517 |
|
US Treasury |
|
|
|
|
|
101,297,803 |
|
|
|
|
|
101,297,803 |
|
Warrants |
|
|
|
|
|
87,774 |
|
|
1 |
|
|
87,775 |
|
Short-Term |
|
|
2,008,562 |
|
|
385,962 |
|
|
|
|
|
2,394,524 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowed |
|
|
|
|
|
(1,515,191 |
) |
|
|
|
|
(1,515,191 |
) |
TBA Sale |
|
|
|
|
|
(10,948,547 |
) |
|
|
|
|
(10,948,547 |
) |
Total |
|
$ |
2,387,785 |
|
$ |
501,261,205 |
|
$ |
11,624,995 |
|
$ |
515,273,985 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Derivative Financial Instruments1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
|
|
$ |
1,301,858 |
|
|
|
|
$ |
1,301,858 |
|
Equity contracts |
|
$ |
568,128 |
|
|
1,049,465 |
|
|
|
|
|
1,617,593 |
|
Foreign currency |
|
|
|
|
|
380,427 |
|
|
|
|
|
380,427 |
|
Interest rate |
|
|
|
|
|
345,976 |
|
|
|
|
|
345,976 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
|
|
|
(171,109 |
) |
$ |
(1,353 |
) |
|
(172,462 |
) |
Equity contracts |
|
|
(786,864 |
) |
|
(962,623 |
) |
|
|
|
|
(1,749,487 |
) |
Foreign currency |
|
|
|
|
|
(143,680 |
) |
|
|
|
|
(143,680 |
) |
Interest rate |
|
|
|
|
|
(195,739 |
) |
|
|
|
|
(195,739 |
) |
Total |
|
$ |
(218,736 |
) |
$ |
1,604,575 |
|
$ |
(1,353 |
) |
$ |
1,384,486 |
|
|
|
1 |
Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options are shown at value. |
|
|
|
|
|
|
|
|
|
BLACKROCK CORE BOND TRUST |
NOVEMBER 30, 2011 |
18 |
|
|
|
|
Schedule of Investments (concluded) |
BlackRock Core Bond Trust (BHK) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset- |
|
Corporate |
|
Non-Agency |
|
Other |
|
Preferred |
|
Warrants |
|
Total |
|
|||||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of August 31, 2011 |
|
$ |
6,120,404 |
|
$ |
5,241,392 |
|
$ |
1,960,957 |
|
$ |
191 |
|
$ |
102,281 |
|
$ |
77,670 |
|
$ |
13,502,895 |
|
Accrued discounts/premiums |
|
|
(49,904 |
) |
|
190 |
|
|
4,269 |
|
|
|
|
|
|
|
|
|
|
|
(45,445 |
) |
Net realized gain (loss) |
|
|
48 |
|
|
17,863 |
|
|
40,566 |
|
|
|
|
|
120,330 |
|
|
|
|
|
178,807 |
|
Net change in unrealized appreciation/depreciation2 |
|
|
3,286 |
|
|
(32,828 |
) |
|
20,295 |
|
|
|
|
|
(102,281 |
) |
|
|
|
|
(111,528 |
) |
Purchases |
|
|
254,980 |
|
|
|
|
|
394,428 |
|
|
|
|
|
|
|
|
|
|
|
649,408 |
|
Sales |
|
|
(272,372 |
) |
|
(52,000 |
) |
|
(1,674,101 |
) |
|
|
|
|
(120,330 |
) |
|
|
|
|
(2,118,803 |
) |
Transfers in3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfers out3 |
|
|
|
|
|
|
|
|
(352,670 |
) |
|
|
|
|
|
|
|
(77,669 |
) |
|
(430,339 |
) |
Balance, as of November 30, 2011 |
|
$ |
6,056,442 |
|
$ |
5,174,617 |
|
$ |
393,744 |
|
$ |
191 |
|
$ |
|
|
$ |
1 |
|
$ |
11,624,995 |
|
|
|
2 |
The change in unrealized appreciation/depreciation on securities still held on November 30, 2011 was (14,773). |
|
|
3 |
The Trusts policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer. |
|
|
|
A reconciliation of Level 3 investments and derivatives is presented when the Trust had a significant amount of Level 3 investments and derivatives at the beginning and/or end of the period in relation to net assets. |
The following is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
|
|
Credit |
|
|
Liabilities: |
|
|
|
|
Balance, as of August 31, 2011 |
|
$ |
(941 |
) |
Accrued discounts/premiums |
|
|
1,845 |
|
Net realized gain (loss) |
|
|
|
|
Net change in unrealized appreciation/depreciation4 |
|
|
(412 |
) |
Purchases |
|
|
|
|
Issuances5 |
|
|
|
|
Sales |
|
|
|
|
Settlements6 |
|
|
(1,845 |
) |
Transfers in7 |
|
|
|
|
Transfers out7 |
|
|
|
|
|
|
|
|
|
Balance, as of November 30, 2011 |
|
$ |
(1,353 |
) |
|
|
4 |
The change in unrealized appreciation/depreciation on securities still held on November 30, 2011 was $(412). |
|
|
5 |
Issuances represent upfront cash received on certain derivative financial instruments. |
|
|
6 |
Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments. |
|
|
7 |
The Trusts policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer. |
A reconciliation of Level 3 investments and derivative 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 period in relation to net assets.
|
|
|
|
|
|
|
|
|
BLACKROCK CORE BOND TRUST |
NOVEMBER 30, 2011 |
19 |
Item 2 – |
Controls and Procedures |
||
|
|
||
2(a) – |
The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended. |
||
|
|
||
2(b) – |
There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
||
|
|
||
Item 3 – |
Exhibits |
||
|
|
||
|
Certifications – Attached hereto |
||
|
|
||
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
||
|
|
||
|
BlackRock Core Bond Trust |
||
|
By: | /s/ John M. Perlowski |
|
|
|
John M. Perlowski |
|
|
|
Chief Executive Officer (principal executive officer) of |
|
|
|
BlackRock Core Bond Trust |
|
|
|
||
|
Date: January 23, 2012 |
||
|
|
||
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
||
|
|
||
|
By: | /s/ John M. Perlowski |
|
|
|
John M. Perlowski |
|
|
|
Chief Executive Officer (principal executive officer) of |
|
|
|
BlackRock Core Bond Trust |
|
|
|
||
|
Date: January 23, 2012 |
||
|
|
||
|
By: | /s/ Neal J. Andrews |
|
|
|
Neal J. Andrews |
|
|
|
Chief Financial Officer (principal financial officer) of |
|
|
|
BlackRock Core Bond Trust |
|
|
|
|
|
|
Date: January 23, 2012 |